TIDMEBMB TIDMERS TIDMBAP TIDMUSH
RNS Number : 5715O
Harewood Structured Investment PCC
30 June 2010
Harewood Structured Investment PCC Limited
Half-yearly Financial Report for the
period ended 30 April 2010 (Unaudited)
Harewood Structured Investment PCC Limited (the "Company")
CONTENTS
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| About the Company | 1 |
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| Investment Objective and Policy | 9 |
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+--------------------------------------------------+---------+
| Net Asset Values | 23 |
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+--------------------------------------------------+---------+
| Interim Management Report | 24 |
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+--------------------------------------------------+---------+
| Investment Manager's Report | 25 |
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+--------------------------------------------------+---------+
| Statement of Comprehensive Income | 50 |
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+--------------------------------------------------+---------+
| Statement of Financial Position | 51 |
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+--------------------------------------------------+---------+
| Statement of Changes in Net Assets Attributable | 52 |
| to Holders of Preference Shares | |
| | |
+--------------------------------------------------+---------+
| Statement of Cash Flows | 53 |
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+--------------------------------------------------+---------+
| Notes to the Financial Statements | 54 |
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+--------------------------------------------------+---------+
| Schedule of Investments | 79 |
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+--------------------------------------------------+---------+
| Directors and Service Providers | 83 |
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| Shareholder Information | 84 |
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Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
Harewood Structured Investment PCC Limited, a closed-ended protected cell
investment company, was incorporated in Guernsey with limited liability on 27
January 2005 when two Ordinary Shares were issued for administrative purposes
and commenced business on 18 March 2005 when 8,500,255 Enhanced Global Asset
Allocation Preference Shares ("EGAA Shares") of the Enhanced Global Asset
Allocation cell were allotted to applicants pursuant to the initial placing and
offer for subscription of such shares at an issue price of GBP1 each.
On 6 July 2006 a further 5,000,000 EGAA Shares were allotted to applicants
pursuant to an offer for subscription of such Shares at an Application Price of
127.13 pence each. The EGAA Shares have a defined investment life to 24 March
2011, whereupon they will be subject to compulsory redemption.
On 28 June 2005, 12,501,195 BNP Paribas FTSE Summit Preference Shares ("FSM
Shares") of the BNP Paribas FTSE Summit cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such shares at an
issue price of GBP1 each. On 6 July 2006 a further 8,000,000 FSM Shares were
allotted to applicants pursuant to an offer for subscription of such Shares at
an Application Price of 121.84 pence each. On 14 March 2007 a further
20,000,000 FSM Shares were allotted to applicants pursuant to an offer for
subscription of such Shares at an Application Price of 129.25 pence each. The
FSM Shares have a defined investment life to 4 July 2011 whereupon they will be
subject to compulsory redemption.
On 28 June 2005, 7,001,999 BNP Paribas Energy - Base Metals Secure Growth
Preference Shares ("EBM Shares") of the BNP Paribas Energy - Base Metals Secure
Growth cell were allotted to applicants pursuant to the initial placing and
offer for subscription of such EBM Shares at an issue price of GBP1 each. On 25
November 2005 a further 700,000 EBM Shares were allotted to applicants pursuant
to a placing of such EBM Shares at a Placing Price of 106.54 pence each. The
EBM Shares have a defined investment life to 5 July 2010 whereupon they will be
subject to compulsory redemption.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
On 7 December 2005 46,613,549 BNP Paribas UK High Income Preference Shares
("UKHI Shares") of the BNP Paribas UK High Income Cell were allotted to
applicants pursuant to the initial placing and offer for subscription of UKHI
Shares at an issue price of GBP1 each. On 26 May 2006 a further 30,000,000 UKHI
Shares were allotted to applicants pursuant to an offer for subscription of such
UKHI Shares at an Application Price of 102.47 pence each and on 28 September
2006 a further 50,000,000 UKHI Shares were allotted to applicants pursuant to an
offer for subscription of such UKHI Shares at an Application Price of 104.00
pence each and on 4 June 2007 a further 15,000,000 UKHI Shares were allotted to
applicants pursuant to an offer for subscription of such UKHI Shares at an
Application Price of 109.60 pence each. The UKHI Shares have a defined
investment life to 8 December 2011 whereupon they will be subject to compulsory
redemption.
On 22 March 2006 27,506,140 BNP Paribas Energy - Base Metals (2) Preference
Shares ("EBM2 Shares") of the BNP Paribas Energy - Base Metals (2) cell were
allotted to applicants pursuant to the initial placing and offer for
subscription of such EBM2 Shares at an issue price of GBP1 each. On 6 July 2006
a further 5,000,000 EBM2 Shares were allotted to applicants pursuant to an offer
for subscription of such EBM2 Shares at an Application Price of 110.44 pence
each. The EMB2 Shares have a defined investment life to 28 March 2012,
whereupon they will be subject to compulsory redemption.
On 20 April 2006 25,000,000 BNP Paribas European Shield Preference Shares ("ES
Shares") of the BNP Paribas European Shield cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such ES Shares at
an issue price of GBP1 each. The ES Shares have a defined investment life to 3
May 2012, whereupon they will be subject to compulsory redemption.
On 19 July 2006 61,748,923 BNP Paribas Absolute Progression Preference Shares
("BAP Shares") of the BNP Paribas Absolute Progression cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
BAP Shares at an issue price of GBP1 each. On 23 January 2007 a further
15,000,000 BAP Shares were allotted to applicants pursuant to an offer for
subscription of such BAP Shares at an Application Price of 108.484 pence each.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
The BAP Shares have a defined investment life to 26 July 2012, whereupon they
will be subject to compulsory redemption.
On 25 October 2006 77,469,987 Class A Sterling Hedged US High Income Preference
Shares ("Class A USHI Shares") of the US High Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class A Shares at an issue price of GBP1 each. On 4 June 2007 a further
15,000,000 Class A USHI Shares were allotted to applicants pursuant to an offer
for subscription of such Class A USHI Shares at an Application Price of 105.65
pence each. The Class A USHI Shares have a defined investment life to 26
November 2012, whereupon they will be subject to compulsory redemption.
On 25 October 2006 43,337,229 Class B Unhedged US High Income Preference Shares
("Class B USHI Shares") of the US High Income cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such Class B USHI
Shares at an issue price of $1 each. On 4 June 2007 a further 15,000,000 Class B
USHI Shares were allotted to applicants pursuant to an offer for subscription of
such Class B USHI Shares at an Application Price of 105.89 cents each.The Class
B USHI Shares have a defined investment life to 26 November 2012, whereupon they
will be subject to compulsory redemption.
On 21 June 2007 45,375,520 Class A Sterling Hedged Euro High Income Preference
Shares ("Class A EUHI Shares") of the Euro High Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class A EUHI Shares at an issue price of GBP1 each. The Class A EUHI Shares
have a defined investment life to 1 July 2013, whereupon they will be subject to
compulsory redemption.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
On 21 June 2007 10,261,000 Class B Unhedged Euro High Income Preference Shares
("Class B EUHI Shares") of the Euro High Income cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such Class B
Shares at an issue price of EUR1 each. The Class B EUHI Shares have a defined
investment life to 1 July 2013, whereupon they will be subject to compulsory
redemption.
On 21 June 2007 37,225,896 BNP Paribas Agrinvest Preference Shares ("Agrinvest
Shares") of the BNP Paribas Agrinvest cell were allotted to applicants pursuant
to the initial placing and offer for subscription of such Agrinvest Shares at an
issue price of GBP1.00 each. The Agrinvest Shares have a defined investment life
to 29 June 2013, whereupon they will be subject to compulsory redemption.
On 25 October 2007 21,229,013 Hedge Elite Preference Shares ("Hedge Elite
Shares") of the Hedge Elite cell were allotted to applicants pursuant to the
initial placing and offer for subscription of such Hedge Elite Shares at an
issue price of GBP1.00 each. The Hedge Elite Shares had a defined investment
life to 28 October 2013, whereupon they were intended to be subject to
compulsory redemption.
On 12 March 2008 30,125,000 Enhanced Property Recovery Preference Shares (the
"EPR Shares") of the Enhanced Property Recovery cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such EPR Shares at
an issue price of GBP1.00 each. The EPR Shares have a defined investment life to
20 March 2014, whereupon they will be subject to compulsory redemption.
On 4 June 2008 34,587,600 Energy - Base Metals (3) Preference Shares (the "EBMC
Shares") of the Energy - Base Metals (3) cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such EBMC Shares
at an issue price of GBP1.00 each. On 5 September 2008 a further 15,000,000
EBMC Shares were allotted to applicants pursuant to an offer for subscription of
such EBMC Shares at an Application Price of 100.03 pence each. The EBMC Shares
have a defined investment life to 12 June 2014, whereupon they will be subject
to compulsory redemption.
On 10 July 2008 72,500 BNP Paribas Agribusiness Preference Shares (the "AGRI
Shares") of the BNP Paribas Agribusiness cell were allotted to applicants
pursuant to the initial
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
placing and offer for subscription of such AGRI Shares at an issue price of HUF
10,000 each. The AGRI Shares have a defined investment life to 11 February
2011, whereupon they will be subject to compulsory redemption.
On 18 March 2009 24,999,346 Class A Sterling Hedged Enhanced Income Preference
Shares ("Class A EIF Shares") of the Enhanced Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class A EIF Shares at an issue price of GBP1 each. On 8 October 2009 a further
15,000,000 Class A EIF Shares were allotted to applicants pursuant to an offer
for subscription of such Class A EIF Shares at an Application Price of 117.86
pence each. The Class A EIF Shares have a defined investment life to April
2108, whereupon they will be subject to compulsory redemption.
On 29 May 2009 25,526,009 Class A Sterling Hedged COMAC Preference Shares ("COM
Shares") of the BNP Paribas COMAC cell were allotted to applicants pursuant to
the initial placing and offer for subscription of such COM Shares at an issue
price of GBP1 each. The COM Shares have a defined investment life to June 2108,
whereupon they will be subject to compulsory redemption.
On 15 July 2009 48,500,080 Class A Sterling Hedged US Enhanced Income Preference
Shares ("Class A USEI Shares") of the US Enhanced Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class A USEI Shares at an issue price of GBP1 each. The Class A USEI Shares have
a defined investment life to July 2029, whereupon they will be subject to
compulsory redemption.
On 14 July 2009 25,079,125 Class B Unhedged US Enhanced Income Preference Shares
("Class B USEI Shares") of the US Enhanced Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class B USEI Shares at an issue price of $1 each. On 8 October 2009 a further
20,000,000 Class B USEI Shares were allotted to applicants pursuant to an offer
for subscription of such Class B USEI Shares at an Application Price of 109.64
cents each. The Class B USEI Shares have a defined investment life to July
2029, whereupon they will be subject to compulsory redemption.
On 23 September 2009 49,015,722 UK Enhanced Income Preference Shares ("UKEI
Shares") of the UK Enhanced Income cell were allotted to applicants pursuant to
the initial
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
placing and offer for subscription of such UKEI Shares at an issue price of GBP1
each. The UKEI Shares have a defined investment life to September 2029,
whereupon they will be subject to compulsory redemption.
The Company has an unlimited life but the shares of each cell have a defined
investment term as set out above. Holders of the Ordinary Shares have the right
to receive notice of and to vote at all meetings of shareholders.
Other than the two Ordinary Shares and the AGRI Shares, all shares in issue are
listed on the Channel Islands Stock Exchange. The AGRI Shares are listed on the
Budapest Stock Exchange and the two Ordinary Shares are not listed.
The Company is managed by its Board of directors who have appointed Harewood
Asset Management SAS of Paris, France as the Company's external investment
manager of all cells other than BNP Paribas Agribusiness. Administrative and
secretarial support is provided by Anson Fund Managers Limited in Guernsey. BNP
Paribas SA acts as Distributor and Investment Counterparty to the Cells.
Directors and Principal Advisors
John Le Prevost - Director
John Le Prevost is British and resident in Guernsey. He is a director and
controlling shareholder of Anson Group Limited, the holding company of Anson
Fund Managers Limited, the Company's Administrator and Secretary, and of Anson
Registrars Limited, the Company's registrar, paying agent and receiving agent.
Mr Le Prevost has over thirty years experience in investment and offshore trusts
during which time he was Managing Director of County NatWest Investment
Management (Channel Islands), Royal Bank of Canada's mutual fund company in
Guernsey and Republic National Bank of New York's international trust company.
He is a trustee of the Guernsey Sailing Trust, a director of a number of
companies associated with Anson Group Limited's business as well as a
non-executive director of many listed investment companies.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
Francois-Xavier Foucault - Director
Francois-Xavier Foucault is French and resident in France. As well as being a
director of the Company, he is currently head of Structuring for Institutional
Markets of the Global Marketing Group of BNP Paribas SA. He has also held roles
in finance, derivatives and funds at Gen Re Securities, Guaranty City, AXA
Investment Managers and BFT (Credit Agricole).
Youri Siegel - Director
Mr Siegel is French and a resident of France. As well as being a director of the
Company, he is currently in charge of fund structuring within the Global
Structuring Group of BNP Paribas. He has also held similar roles at Société
Generale and JPMorgan.
Peter Atkinson - Director
Peter Atkinson is British and resident in Guernsey. He is an Advocate of the
Royal Court of Guernsey and an English Solicitor. Admitted to the Guernsey Bar
in 1980, he was the Senior Partner of Collas Day Advocates for 14 years. He
specialised in corporate and fiduciary work and has been and continues to act as
a non-executive director of companies within the financial services sector
including companies listed on the London and Channel Islands Stock Exchanges. He
is a former Chairman of the Guernsey Bar and is the chairman of Anson Group
Limited.
BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 30
April, 2010, the Group had an equity market capitalisation of EUR60.94 billion
(source: Reuters). The Group is a leading European provider of corporate and
investment banking products and services and a leading provider of private
banking and asset management products and services throughout the world. It
provides retail banking and financial services to over 20 million individual
customers throughout the world, in particular in Europe and the western United
States of America.
The Group has offices in more than 85 countries. At 31 December, 2009, the
Group had audited consolidated assets of EUR2,057.69 billion and audited
shareholders' equity (Group share including income for the 2009 fiscal year) of
EUR69.5 billion. Audited net income, before
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
taxes, non-recurring items and amortization of goodwill, for the year ended 31
December, 2009 was EUR9 billion. Audited net income, Group share, for the year
ended December 31, 2009 was EUR5.83 billion.
The Investment Manager is organised as a French Société par Actions Simplifiée,
which is a form of limited liability company with simplified legal obligations.
The purpose of the Investment Manager is the creation and management of
investment funds on behalf of their investors as outlined in the activity
program approved by the Autorité des Marchés Financiers on 11 August, 2004. The
Investment Manager may also provide investment advisory services. The
Investment Manager is wholly-owned by BNP Paribas SA. The Investment Manager is
regulated by the Autorité des Marchés Financiers under the Reglement Général de
l'Autorité des Marchés Financiers.
Following the acquisition of Parcadia Asset Management, a company incorporated
in Luxembourg, Harewood Asset Management now provides investment management
services to numerous investment funds domiciled in France, Luxembourg, the
Cayman Islands and Guernsey. As of 30 December 2009, Harewood Asset Management
was responsible for the investment management of EUR4 billion across 100 funds.
The Custodian is the Luxembourg Branch of BNP Paribas Securities Services, a
fully licensed bank incorporated under French law as a société anonyme (public
limited company). BNP Paribas Securities Services, Luxembourg Branch was
created on 28 March 2002 and registered with the Luxembourg Trade and Companies'
register under the number of B86.862. As a branch of a French bank, BNP Paribas
Securities Services, Luxembourg Branch is supervised by the Comité des
Etablissements de Crédit et des Enterprises d'Investissement (which depends on
the French Central Bank, the Banque de France). It has also been authorised by
the Commission de Surveillance du Secteur Financier, the Luxembourg Commission
for the Supervision of the Financial Sector to act as a credit
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
institution under the terms of article 30 of the Luxembourg law of 5 April 1993
on the Financial Sector, as amended from time to time.
INVESTMENT OBJECTIVE AND POLICY
Enhanced Global Asset Allocation (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced
Global Asset Allocation Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate in the performance of global
equity markets through four stock market Indices, being the FTSE 100, the Dow
Jones EuroStoxx 50, the Standard & Poor's Composite 500 and the Nikkei 225,
using an efficient asset allocation process, and with the possibility of
benefiting from minimum returns for each Index provided certain conditions are
met. The investment return of the Shares is not subject to the risk of foreign
exchange movements.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at the subsequent issue of Shares
were invested in an Index Derivative Contract (the "Contract") with BNP Paribas,
the Investment Counterparty. Under the terms of the Contract the Company
contracted to receive, on behalf of the Cell, an amount equalling the funds
available for payment of the investment return described in the preceding
paragraphs.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
BNP Paribas FTSE Summit (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas FTSE Summit Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate in the performance of the UK
equity market through the FTSE 100 Index (the "Index") with the benefit of a
minimum redemption amount equal to the principal amount (100 pence) per Share,
and with the possibility of benefiting from the highest level of the Index over
the six year investment period as determined at monthly intervals provided
certain conditions are met.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at the subsequent issue of Shares
were invested in an Index Derivative Contract (the "Contract") with BNP Paribas,
the Investment Counterparty. Under the terms of the Contract the Company
contracted to receive at redemption, on behalf of the Cell, an amount equalling
the funds available for payment of the investment return described in the
preceding paragraph.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas Energy - Base Metals Secure Growth (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Energy - Base Metals Secure Growth Preference Shares (herein the
"Shares") is to provide shareholders with a geared exposure to any increase in
the prices of a notional portfolio of certain energy-related and base metal
commodities (the "Commodity Portfolio") over a five year period. The investment
return of the Shares is not subject to the risk of foreign exchange movements
save to the extent that the value of the commodities comprised in the Commodity
Portfolio, which are priced in US Dollars, may be affected by fluctuations in
value of the US Dollar.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at the subsequent issue of Shares
were invested in an Index Derivative Contract (the "Contract") with BNP Paribas,
the Investment Counterparty. Under the terms of the Contract the Company
contracted to receive at redemption, on behalf of the Cell, an amount equalling
the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Supplemental Memorandum, a copy of which is available
from the Administrator and from the Distributor.
BNP Paribas UK High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas UK High Income Preference Shares (herein the "Shares"), which were
issued after the end of the financial period on 9 December 2005, is to provide
shareholders with a stable stream of quarterly dividend distributions based on
the dividend income of a notional portfolio of shares selected from the FTSE 100
Index, supplemented by premiums for notional call options written on those
shares. In addition, a purchase of portfolio insurance in the form of a put
option linked to the FTSE 100 Index, with a term and maturity matching the term
of the shares, aims to reduce the risk of capital loss.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at each subsequent issue of Shares
were invested in an Index Derivative Contract (the "Contract") with BNP Paribas,
the Investment Counterparty. Under the terms of the Contract the Company
contracted to receive on each dividend payment date an amount initially equal to
1.875 pence per Share, which will be applied by the Company in funding payments
of dividends to shareholders and at redemption an amount equal to the net asset
value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
BNP Paribas Energy - Base Metals (2) (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Energy - Base Metals (2) Preference Shares (herein the "Shares") is to
provide shareholders with a geared exposure to any increase in the prices of a
notional portfolio of certain energy-related and base metal commodities (the
"Commodity Portfolio") over a six year period. The investment return of the
Shares is not subject to the risk of foreign exchange movements save to the
extent that the value of the commodities comprised in the Commodity Portfolio,
which are priced in US Dollars, may be affected by fluctuations in value of the
US Dollar.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas European Shield (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas European Shield Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate in the performance of the
leading 50 stocks traded on various European stock exchanges through the Dow
Jones Euro STOXX50 Index (the "Index") with the benefit of a geared return in
respect of such performance (not exceeding 71.25 pence per Share), provided
certain conditions are met, but subject to the risk, in other circumstances, of
the aggregate amount payable being limited to the capital component of 100 pence
per Share or a lesser amount linked to the performance of the Index.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Company contracted to receive at redemption, on behalf of the Cell, an amount
equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas Absolute Progression (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Absolute Progression Preference Shares (herein the "Shares") is to
provide shareholders with an investment offering a return based on the
divergence between stock prices of very large global companies. The Redemption
Amount cannot be less than the capital amount of 100 pence per Share, and the
return is linked to the performance, determined on an annual basis by reference
to initial values determined on the Strike Date, being 20 July 2006, of a
portfolio of shares selected annually from the 50 Shares comprising the Dow
Jones Global Titans 50 Index (the "Index"), being shares which have outperformed
the Index. Each year, the excess (if any) of the average annualised performance
of the Shares comprising such portfolio above a benchmark level of 5% accrues to
holders' Shares and an amount per Share equal to 100 pence multiplied by such
accrual is paid to holders of Shares on the Redemption Date, being 26 July 2012.
The objective of the Index is to represent multi-national companies whose
stocks are traded on major exchanges of countries covered by the Dow Jones
Global Indices benchmark family.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Summary and Securities Note, a copy of which is available from the Administrator
and from the Distributor.
US High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the US High
Income Preference Shares (herein the "Shares"), which were issued on 26 October
2006, is to provide shareholders with a stable stream of quarterly dividend
distributions based on the dividend income of a notional portfolio of shares
selected from the S&P 100 Index, supplemented by premiums for notional call
options written on those shares. In addition, a purchase of portfolio insurance
in the form of a put option linked to the S&P 100 Index, with a term and
maturity matching the term of the shares, aims to reduce the risk of capital
loss.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at the subsequent issue of
Shares were invested in an Index Derivative Contract (the "Contract") with BNP
Paribas, the Investment Counterparty. Under the terms of the Contract the
Company contracted to receive on each dividend payment date an amount equal to
1.875 pence or cents per Share, which will be applied by the Company in funding
the payment of dividends to shareholders, and at redemption an amount equal to
the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Euro High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of theEuro High
Income Preference Shares (herein the "Shares") is to provide shareholders with a
stable stream of quarterly dividend distributions based on the dividend income
of a notional portfolio of shares in Eurozone companies selected from the Dow
Jones Euro STOXX 50 Index, supplemented by premiums for notional call options
written on those shares. In addition, a purchase of portfolio insurance in the
form of a put option linked to the Dow Jones Euro
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
STOXX 50 Index, with a term and maturity matching the term of the Shares, aims
to reduce the risk of capital loss.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive on each dividend
payment date an amount equal to 1.875 pence or cents per Share, which will be
applied by the Company in funding the payment of dividends to shareholders, and
at redemption an amount equal to the net asset value of the underlying
portfolio.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
During the year it was agreed by the Board of directors that it was no longer in
the best interests of the Company, Euro High Income (the "Cell") or the holder
of Class A Sterling Hedged Euro High Income Preference Shares and Class B
Unhedged Euro High Income Preference Shares for the Company to continue to
pursue its stated investment objective for Euro High Income. The Class meetings
of Euro High Income held on 25 June 2010 determined that the Cell hereby be
subject to the Early Redemption date of 29 June 2010.
BNP Paribas Agrinvest Preference (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Agrinvest Shares (herein the "Shares") is to provide shareholders with
the opportunity to participate in the performance of exchange-traded commodities
futures comprised in the DCI Agriculture BNP Paribas Enhanced Excess Return
Index (the "Index"). The Index is designed to provide a broad yet liquid
representation of large, mid and small commodity futures inside the Organisation
for Economic Cooperation and Development (OECD). The Index consists of 23
components within the agriculture sector. The Index is also subject to a forward
curve roll optimisation process through the addition of a quantitative
enhancement algorithm.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Hedge Elite (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Hedge
Elite Preference Shares (herein the "Shares") was to provide shareholders with a
return on capital linked to the performance of a notional dynamic basket,
comprising participations in 10 hedge funds selected by BNP Paribas in
accordance with specific criteria, a cash facility, foreign exchange contracts
and a zero coupon bond, with the benefit of a profit lock-in mechanism and a
Redemption Amount payable at scheduled maturity of not less than 90 pence per
Share.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
As it was agreed by the Board of directors that it was no longer in the best
interests of the Company, Hedge Elite or the holder of the Hedge Elite
Preference Shares for the Company on behalf of Hedge Elite to continue to pursue
its stated investment objective for Hedge Elite, all Hedge Elite Shares were
redeemed on 19 October 2009 and Hedge Elite was subsequently dissolved.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Enhanced Property Recovery (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced
Property Recovery Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate in the performance of shares
traded on various European stock exchanges through the FTSE EPRA Europe Real
Estate Index (the "Index"). The Index is an index designed to track the
performance of listed real estate companies in the Europe. The Final Redemption
Amount will be determined principally by reference to two values - the first
(defined as the "Initial Index Level") being the level of the Index determined
on 13 March 2008, the second (defined as the "Final Index Level") being the
arithmetic average of the levels of the Index on 13 monthly averaging dates from
and including 13 March 2013 to and including the Maturity Date.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Energy - Base Metals (3) (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Energy -
Base Metals (3) Preference Shares (herein the "Shares") is to provide
shareholders with a geared exposure to any increase in the prices of a notional
portfolio of certain energy related and base metal commodities (the "Commodity
Portfolio") over a six-year period. The Commodity Portfolio is a notional
portfolio of commodities comprising 30% crude oil, 20% aluminium, 20% copper,
15% nickel and 15% zinc. The investment return of the Shares is not subject to
the risk of foreign exchange movements save to the extent that the value of the
commodities
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
comprised in the notional portfolio, which are priced in US dollars, may be
affected by the fluctuations in value of the US dollar.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas Agribusiness (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Agribusiness Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate, through a dividend payable on
the Shares (the "Dividend Amount"), in the performance of shares of companies
whose revenues are linked to the agribusiness industry through the BNP Paribas
Global Agribusiness Excess Return Index (Reuters code: BNPIGAER Index) (the
"Index").
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive in respect of the
dividend payment date an amount equal to the dividend amount due to
shareholders, which will be applied by the Company in funding the payment of any
dividend due to shareholders, and at redemption an amount equalling HUF 10,000
per share to finance the payment of the redemption proceeds due to shareholders.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
The Dividend amount in respect of each BNP Paribas Agribusiness Preference Share
will be payable in the lawful currency of the Republic of Hungary and will be
determined by reference to the closing level of the Index determined on or about
11 July 2008 (defined herein as the "Initial Index Level") and the performance
of the Index calculated as of each of seven consecutive monthly observation
dates (defined as "Observation Dates" and scheduled to fall respectively in July
2010, August 2010, September 2010, October 2010, November 2010, December 2010
and January 2011) as (a) the closing level of the Index on such Observation
Date, divided by the Initial Index Level minus (b) 1.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced
Income Preference Shares (herein the "Shares") is to provide shareholders with a
stable stream of quarterly dividend distributions (with a targeted dividend
yield of approximately 8% per annum, subject to increase and decrease in certain
circumstances) and return on capital, such investment objective being intended
to be achieved by reference to an investment strategy linked to the total return
performance of the Dow Jones Euro STOXX 50 Index (herein the "Index") and
notional short-term call options written on the Index.
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch were invested in an index derivative contract (the
"Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract
the Company contracted to receive on each dividend payment date an amount
initially equal to 2 pence per Share, which will be applied by the Company in
funding the payment of dividends to shareholders and at redemption an amount
equal to the net asset value of the underlying portfolio.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY
Full details of the calculation of the investment return, the Contract and the
collateral arrangements are disclosed in the Cell's Summary and Securities Note,
a copy of which is available from the Administrator and from the Distributor.
BNP Paribas COMAC (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Class A
Sterling Hedged COMAC Preference Shares (herein the "Shares") is to provide
shareholders with exposure to the performance of an actively managed long short
arbitrage strategy (the "Strategy") based on a portfolio of 25 commodities
through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the
"Index"). The Index is denominated in US Dollars and is designed to track the
performance of an actively managed portfolio of 25 commodities selected from the
energy, metals and agricultural sectors, the respective weightings of which are
determined in accordance with an investment strategy based on recommendations
provided by the asset managers which, from time to time, provides the scores
used in the determination of the weightings of the different commodities
comprising the Index, and a rules-based proprietary methodology designed by BNP
Paribas (the "Index Methodology"). The Strategy is also linked to notional
currency hedging intended to provide a level of protection against changes in
the Sterling / US Dollar exchange rate.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch were invested in an index derivative contract (the
"Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract
the Company contracted to receive at redemption, on behalf of the Cell, an
amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
US Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the US
Enhanced Income Preference Shares (herein the "Shares") is to provide
shareholders with a stable stream of quarterly dividend distributions (with a
targeted dividend yield of approximately 8% per annum, subject to increase and
decrease in certain circumstances) and return on capital, such investment
objective being intended to be achieved by reference to an investment strategy
linked to the total return performance of the Standard and Poor's 500 Index and
notional short-term call options written on such index.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch and at the subsequent issue of Shares were invested in an
index derivative contract (the "Contract") with BNP Paribas, the Counterparty.
Under the terms of the Contract the Company contracted to receive on each
dividend payment date an amount initially equal to 2 pence or cents per Share,
which will be applied by the Company in funding the payment of dividends to
shareholders, and at redemption an amount equal to the net asset value of the
underlying portfolio.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
UK Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the UK
Enhanced Income Preference Shares (herein the "Shares") is to provide
shareholders with a stable stream of quarterly dividend distributions (with a
targeted dividend yield of approximately 8% per annum, subject to increase and
decrease in certain circumstances) and return on capital, such investment
objective being intended to be achieved by reference to an investment strategy
linked to the total return performance of the FTSE 100(TM)Index and notional
short-term call options written on such index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch were invested in an index derivative contract (the
"Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract
the Company contracted to receive on each dividend payment date an amount
initially equal to 2 pence per Share, which will be applied by the Company in
funding the payment of dividends to shareholders, and at redemption an amount
equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Harewood Structured Investments PCC Limited (the "Company")
NET ASSET VALUES
As at 30 April 2010, being the latest valuation date prior to the accounting
reference date, the calculated net asset value of a share of each cell in
existence at that date was as follows:-
+------------------------------------------+-------------+-------------+
| | As at | As at |
| | 30 April | 30 Oct 2009 |
| | 2010 | |
| | | |
+------------------------------------------+-------------+-------------+
| Enhanced Global Asset Allocation | 136.87 | 135.90 |
| ("EGAA") | pence | pence |
| | | |
+------------------------------------------+-------------+-------------+
| BNP Paribas FTSE Summit ("FTSE S") | 129.82 | 128.66 |
| | pence | pence |
+------------------------------------------+-------------+-------------+
| BNP Paribas Energy - Base Metals Secure | 331.96 | 272.70 |
| Growth ("EBSMG") | pence | pence |
| | | |
+------------------------------------------+-------------+-------------+
| BNP Paribas UK High Income ("UK HI") | 61.91 pence | 68.98 pence |
| | | |
+------------------------------------------+-------------+-------------+
| BNP Paribas Energy - Base Metals (2) | 180.98 | 159.26 |
| ("EBM (2)") | pence | pence |
| | | |
+------------------------------------------+-------------+-------------+
| BNP Paribas European Shield ("ES") | 89.47 pence | 87.93 pence |
| | | |
+------------------------------------------+-------------+-------------+
| BNP Paribas Absolute Progression ("Abs | 122.62 | 118.01 |
| Pro") | pence | pence |
| | | |
+------------------------------------------+-------------+-------------+
| US High Income - Class A ("US HI A") | 67.78 pence | 74.01 pence |
| | | |
+------------------------------------------+-------------+-------------+
| US High Income - Class B ("US HI B") | 71.63 US$ | 76.31 US$ |
| | cents | cents |
| | | |
+------------------------------------------+-------------+-------------+
| Euro High Income - Class A ("Euro HI A") | 50.20 pence | 53.51 pence |
| | | |
+------------------------------------------+-------------+-------------+
| Euro High Income - Class B ("Euro HI B") | 51.23 Euro | 53.15 Euro |
| | cents | cents |
+------------------------------------------+-------------+-------------+
| BNP Paribas Agrinvest ("Agrinvest") | 101.61 | 102.39 |
| | pence | pence |
+------------------------------------------+-------------+-------------+
| Enhanced Property Recovery ("EHPR") | 61.80 pence | 67.18 pence |
| | | |
+------------------------------------------+-------------+-------------+
| Energy - Base Metals (3) ("EMB (3)") | 110.31 | 104.68 |
| | pence | pence |
+------------------------------------------+-------------+-------------+
| BNP Paribas Agribusiness | 10,689 HUF | 9,479 HUF |
| ("Agribusiness") | | |
| | | |
+------------------------------------------+-------------+-------------+
| Enhanced Income - Class A ("EIF") | 111.61 | 113.85 |
| | pence | pence |
+------------------------------------------+-------------+-------------+
| BNP Paribas COMAC ("COM") | 68.93 pence | 78.39 pence |
| | | |
+------------------------------------------+-------------+-------------+
| US Enhanced Income - Class A ("US EI A") | 114.25 | 105.74 |
| | pence | pence |
+------------------------------------------+-------------+-------------+
| US Enhanced Income - Class B ("US EI B") | 114.27 US$ | 105.73 US$ |
| | cents | cents |
+------------------------------------------+-------------+-------------+
| UK Enhanced Income ("UKEI") | 106.26 | 101.69 |
| | pence | pence |
+------------------------------------------+-------------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
INTERIM MANAGEMENT REPORT
For the period from 1 November 2009 to 30 April 2010
A description of important events for each cell and the Company which have
occurred during the reporting period and their impact on the performance of the
Company as shown in the financial statements is given in the Investment
Manager's Report on pages 25 to 49 and is incorporated here by reference. A
description of the principal risks and uncertainties facing the Company is given
in note 6 to the financial statements and is incorporated here by reference. The
principal risks and uncertainties facing the Company to the end of its financial
year are considered to be the same as applied in the first six months of the
financial year.
There were no material related party transactions which took place in the first
six months of the financial year.
This half-yearly financial report has not been audited nor reviewed by auditors
pursuant to the Auditing Practices Board guidance on Review of Interim Financial
Information.
The Board of directors jointly and severally confirm that, to the best of their
knowledge:
(a) the financial statements, prepared in accordance with International
Financial Reporting Standards, give a true and fair view of the assets,
liabilities, financial position and profit or loss of the Company; and
(b) This Management Report includes or incorporates by reference:
a. An indication of important events that have occurred during the first six
months of the financial year and their impact on the financial statements;
b. A description of the principal risks and uncertainties for the remaining
six months of the financial year;
c. Confirmation that there were no material related party transactions in the
first six months of the current financial year that have materially affected the
financial position or the performance of the Company during that period; and
d. Changes in the related parties transactions described in the Company's last
annual financial report that could have a material effect on the financial
position or performance of the Company in the first six months of the current
financial year.
John R Le Prevost Peter Atkinson
Director Director
29 June 2010
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT
On the invitation of the Directors of the Company, the following commentary is
provided by Harewood Asset Management, SAS, the Investment Manager. Their
commentary is provided as a source of useful information for shareholders of the
Company but is not directly attributable to the Company.
Enhanced Global Asset Allocation
Listing: Channel Islands Stock Exchange
Launch date: 18 March 2005
Issue price at launch: 100 pence per share
NAV at launch: 96.50 pence per share (before Investment Counterparty fees of 3.5
pence per share)
Maturity date: 17 March 2011
ISIN: GB00B02FJD84
SEDOL: B02FJD8
Epic Code: EGA
Investment Objective
Enhanced Global Asset Allocation ("EGA") offers exposure over 6 years to the
FTSE100, DJEuroStoxx50, S&P500 and Nikkei 225 (the "Indexes"). There are two
principal features: the first is that growth becomes protected in each Index
when it reaches 15%, 30% and 45% above its launch level (this is tested
quarterly). The second feature involves the allocation of 40% of the return to
the best-performing index at maturity (or protected level if higher), 30% to the
next best (or protected level if higher), 20% to the next (or protected level if
higher) and 10% to the worst (or protected level if higher).
The levels of the Indexes recorded at launch and as of 30 April 2010, and the
thresholds at which performance can become protected are set out in the table
below. The Indexes are observed on the following dates each year (or the next
business day if applicable): 18 March, 18 June, 18 September and 18 December.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+
| Index | Level | Value |Change | Next | 15% | 30% | 45% | Min |
| Name | at | as at | |observation | lock-in | lock-in | lock-in | return |
| | start | 30-April-10 | | date for | level | level | level |locked-in |
| | | | | lock-ins | | | | |
+--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+
| Euro | 3,053.54 | 2,816.86 | -7.8% | 18-June-10 | 3,511.57 | 3,969.60 | 4,427.63 | 45% |
| Stoxx | | | | | | | | |
| 50 | | | | | | | | |
+--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+
| FTSE | 4,923.30 | 5,553.29 | 12.8% | 18- | 5,661.80 | 6,400.29 | 7,138.79 | 30% |
| 100 | | | | June | | | | |
| | | | | -10 | | | | |
+--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+
|Nikkei | 11,879.81 | 11,057.40 | -6.9% | 18- | 13,661.78 | 15,443.75 | 17,225.72 | 45% |
| 225 | | | | June | | | | |
| | | | | -10 | | | | |
+--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+
| S&P | 1,189.65 | 1,186.69 | -0.2% | 18- | 1,368.10 | 1,546.55 | 1,724.99 | 15% |
| 500 | | | | June | | | | |
| | | | | -10 | | | | |
+--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 18 March 2005 and close on 30 April 2010 (the last business
day prior to the balance sheet date) the NAV had risen by 41.83% (based on an
initial NAV of 96.50 pence). Over the same period, the MSCI World Total Return
index (which we regard as an appropriate benchmark) had risen by 2.51%, the FTSE
100 had risen by 12.8%, the S&P 500 had fallen by 0.25%, the Euro Stoxx 50 had
fallen by 7.75% and the Nikkei had also fallen by 6.92.%.
The highest NAV reached since launch represented a value per share of 144.09
pence and a performance since launch of 49.32% (based on an initial NAV of 96.50
pence). This occurred as of closing on 10 December 2007. The lowest NAV
reached since launch represented a value per share of 94.26 pence and a
performance since launch of -2.32% (based on an initial NAV of 96.50 pence).
This occurred on 29 April 2005.
Prior to the balance sheet date the indexes were observed on 18 March 2010 with
respect to the thresholds at which lock-ins occur. The Nikkei 225 and the DJ
EuroStoxx have locked in a minimum return of 45%, the FTSE 100 index has locked
in a minimum return of 30% and the S & P 500 Index has locked in a minimum of
15%. As a result, if all the indices were to fall to zero on the maturity date,
the minimum redemption value would now be 139.0 pence per share.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas FTSE Summit
Listing: Channel Islands Stock Exchange
Launch date: 30 June 2005
Issue price: 100 pence
NAV at launch: 100 pence
Maturity date: 29 June 2011
ISIN: GB00B0B8FC95
SEDOL: B0B8FC9
Epic Code: FSM
Investment Objective
BNP Paribas FTSE Summit ("FSM") is a six-year investment that pays the return of
the highest observed performance of the FTSE 100 Index (the "Index") over that
period, irrespective of the level of the index at maturity. The closing price
of the Index is observed on the 29th (whichever is earlier, or the next business
day if exchanges are closed). If the index ever falls by 50% from its initial
level at any time then 100 pence is returned at maturity.
The level of the Index recorded at launch and as of 30 April 2010, the highest
level of the index observed to date on an Index observation date, and the Index
level which, if breached at any time, results in the return of 100 pence per
share, are set out in the table below.
+-------+---------+-----------+--------+-------------+----------+-----------+
|Index | Value | Value |Change | Next | Highest | Minimum |
| name | at | as of | |observation | FTSE |protected |
| | start |30-Apr-10 | | date | Lock-In | return |
| | | | | | level | |
| | | | | |recorded | |
+-------+---------+-----------+--------+-------------+----------+-----------+
| FTSE |5,113.2 | 5,553.3 | 8.61% | 31-Mar-10 | 6,706.0 | 131.15% |
| 100 | | | | | | |
|Index | | | | | | |
+-------+---------+-----------+--------+-------------+----------+-----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 30 April 2010 the NAV had risen by
29.82%, ahead of the 8.61% increase in the FTSE and ahead of the 29.8% increase
in the FTSE 100 Total Return index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The highest NAV reached since launch represented a value per share of 143.81
pence and a performance since the launch NAV of 43.81%. This occurred as of
closing on 31 October 2007. The lowest NAV was the launch NAV of 100 pence.
As at the balance sheet date fifty eight Index measurement dates had occurred
since launch. The highest closing level of the Index was recorded on 29th
October 2007 (6,706.0). This represents a protected minimum return to investors
of 131.15p on their shares.
BNP Paribas Energy-Base Metals Secure Growth
Listing: Channel Islands Stock Exchange
Launch date: 30 June 2005
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: June 29, 2010
ISIN: GB00B0B8H459
SEDOL: B0B8H45
Epic Code: EBM
Investment Objective
BNP Paribas Energy-Base Metals Secure Growth ("EBM") is a five-year investment
offering 340% of the upside of the spot prices of a portfolio of commodities.
The portfolio comprises West Texas Intermediate Oil (30%), Aluminium (20%),
Copper (20%), Nickel (15%) and Zinc (15%). If the portfolio performance is
negative over six years, 100 pence is returned at maturity.
The name and weighting of each commodity, the spot prices of each commodity
recorded at launch (the nearest futures price in the case of oil) and as of 30
April 2010 are set out in the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+-----------------+----------+------------+----------+---------+
| Commodity name |Value at | Value as | Change | Weight |
| | Start | of | | |
| | | 30-Apr-10 | | |
+-----------------+----------+------------+----------+---------+
| Aluminium | 1716.00 | 2184.00 | 27.3% | 20.0% |
+-----------------+----------+------------+----------+---------+
| Copper | 3597.00 | 7365.00 | 104.8% | 20.0% |
+-----------------+----------+------------+----------+---------+
| Nickel |14700.00 | 25810.00 | 75.6% | 15.0% |
+-----------------+----------+------------+----------+---------+
| West Texas | 56.50 | 86.15 | 52.5% | 30.0% |
| Intermediate | | | | |
+-----------------+----------+------------+----------+---------+
| Zinc | 1223.00 | 2256.00 | 84.5% | 15.0% |
+-----------------+----------+------------+----------+---------+
Source for Commodity values Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 30 April 2010 the NAV had risen by
231.96%. Over this period the DJ UBS Commodities Total Return Index had fallen
by 11.9%. The principle factors underlying EBM's performance are the NAV's
sensitivity to the direction of commodity spot and forward prices and high
sensitivity to changes in the volatility of forward commodity prices.
The highest NAV reached since launch represented a value per share of 415.90
pence and a performance since the launch NAV of 315.90%. This occurred on 11
July 2008. The lowest NAV reached since launch represented a value per share of
96.86 pence and a performance since the launch NAV of -3.1%. This occurred on
18 July 2005.
BNP Paribas UK High Income
Listing: Channel Islands Stock Exchange
Launch date: 9 December 2005
Issue price at launch: 100 pence
NAV immediately following launch: 98.75 pence
Maturity date: 8 December 2011
ISIN: GB00B0N4CX50
SEDOL: B0N4CX50
Epic Code: UKH
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Objective
BNP Paribas UK High Income ("UKH") is a six-year investment aiming to provide
shareholders with a stable stream of quarterly dividend distributions based on
the dividend income of a notional portfolio of shares selected from the FTSE 100
Index, supplemented by premiums for notional call options written on those
shares. In addition, a purchase of portfolio insurance in the form of a put
option linked to the FTSE 100 Index, with a term and maturity matching the term
of the Shares, aims to reduce the risk of capital loss.
BNP Paribas UK High Income launched on 9 December 2005 with an initial NAV of
98.75 pence. On this date (a) the portfolio of shares was selected and
purchased (b) the corresponding 3-month call options were sold with an average
strike price of 105.5% of the value of the shares (c) the portfolio insurance
was acquired. This takes the form of a six-year put option on the FTSE 100 with
a strike level of 5,517.4.
The name and weighting of each selected share and its performance between 8
March 2010 (representing the most recent rebalancing of the portfolio) and 30
April 2010 are set out in the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Stock | Strike | Current |Performance | Option | Share | Weighting at |
| | price | price | at | strike |portfolio | 30-Apr-10 |
| | at | at | 30-Apr-10 | price |weighting | |
| |08-Mar-10 |30-Apr-10 | | |at Strike | |
| | | | | | Date | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------------+
| Astrazeneca | 2,953.00 | 2,889.00 | -2.2% |2,959.30 | 5.9% | 6.1% | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Aviva | 392.40 | 348.70 | -11.1% | 393.71 | 4.4% | 4.1% | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| BAE | 384.30 | 344.40 | -10.4% | 385.07 | 4.4% | 4.2% | |
| Systems | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| BHP | 2,233.00 | 2,025.50 | -9.3% |2,239.93 | 5.9% | 5.6% | |
| Billiton | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| BP PLC | 616.20 | 575.50 | -6.6% | 617.33 | 7.4% | 7.2% | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| British | 2,322.00 | 2,054.00 | -11.5% |2,326.10 | 5.9% | 5.5% | |
| American | | | | | | | |
| Tobacco | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Cable | 139.00 | 86.40 | -37.8% | 139.67 | 1.5% | 1.0% | |
| & | | | | | | | |
| Wireless | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Diageo | 1,084.00 | 1,115.00 | 2.9% |1,085.99 | 5.9% | 6.4% | |
| Plc | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Glaxosmithkline | 1,236.00 | 1,211.00 | -2.0% |1,238.27 | 7.4% | 7.6% | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| HSBC | 705.80 | 668.00 | -5.4% | 707.60 | 7.4% | 7.3% | |
| Holdings | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Man | 251.50 | 243.30 | -3.3% | 252.46 | 1.5% | 1.5% | |
| Group | | | | | | | |
| Plc | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Marks | 350.60 | 366.50 | 4.5% | 351.45 | 2.9% | 3.2% | |
| & | | | | | | | |
| Spencer | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| National | 662.50 | 565.60 | -14.6% | 663.72 | 4.4% | 4.0% | |
| Grid | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Rio | 3,720.50 | 3,379.00 | -9.2% |3,734.78 | 7.4% | 7.0% | |
| Tinto | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Royal | 1,811.50 | 1,975.00 | 9.0% |1,815.00 | 5.9% | 6.7% | |
| Dutch | | | | | | | |
| Shell | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| RSA | 124.50 | 121.50 | -2.4% | 124.78 | 1.5% | 1.5% | |
| Insurance | | | | | | | |
| Group | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Scottish | 1,135.00 | 1,085.00 | -4.4% |1,136.86 | 4.4% | 4.4% | |
| & | | | | | | | |
| Southern | | | | | | | |
| Energy | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Standard | 202.90 | 200.00 | -1.4% | 203.42 | 2.9% | 3.0% | |
| Life | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Tesco | 440.25 | 435.15 | -1.2% | 441.05 | 5.9% | 6.1% | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Vodafone | 148.15 | 145.35 | -1.9% | 148.46 | 7.4% | 7.6% | |
| Group | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| FTSE | 4,405.22 | 5,553.29 | 26.06% | | | | |
| 100 | | | | | | | |
| Index | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
| Weighted | | | -4.90% | | | | |
| Basket | | | | | | | |
| Performance | | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 9 December 2005 and close on 30 April 2010 the NAV had fallen
by 37.31% (based on the initial NAV of 100 pence). The directors declared
interim dividends of 1.875 pence per share on 8 November 2007, 7 February 2008,
8 May 2008, 7 August 2008 6 November 2008, 5 February 2009, 7 May 2009, 6 August
2009, 5 November 2009, and 7 February 2010.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas Energy-Base Metals (2)
Listing: Channel Islands Stock Exchange
Launch date: 23 March 2006
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 22 March 2012
ISIN: GB00B0ZNS989
SEDOL: B0ZNS98
Epic Code: EBMB
Investment Objective
BNP Paribas Energy-Base Metals 2 ("EBMB") is a six-year investment offering 230%
of the upside of the spot prices of a portfolio of commodities. The portfolio
comprises West Texas Intermediate Oil (30%), Aluminium (20%), Copper (20%),
Nickel (15%) and Zinc (15%). If the portfolio performance is negative over six
years, 100 pence is returned at maturity. The name and weighting of each
commodity, the spot prices of each commodity recorded at launch (the nearest
futures price in the case of oil) and as of April 30, 2010 are set out in the
table below.
+------------------+----------+-----------+----------+---------+
| Commodity name |Value at | Value as | Change | Weight |
| | Start | of | | |
| | |30-Apr-10 | | |
+------------------+----------+-----------+----------+---------+
| Aluminium | 2,457 | 2,184.00 | -11.1% | 20.0% |
+------------------+----------+-----------+----------+---------+
| Copper | 5,220 | 7,365.00 | 41.1% | 20.0% |
+------------------+----------+-----------+----------+---------+
| Nickel | 15,055 |25,810.00 | 71.4% | 15.0% |
+------------------+----------+-----------+----------+---------+
| West Texas | 64 | 86.15 | 34.8% | 30.0% |
| Intermediate | | | | |
+------------------+----------+-----------+----------+---------+
| Zinc | 2,543 | 2,256.00 | -11.3% | 15.0% |
+------------------+----------+-----------+----------+---------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and close on 30 April 2010 the NAV had risen by
80.98%. Over this period the DJ UBS Commodities Excess Return Index had fallen
by 17.2%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas European Shield
Listing: Channel Islands Stock Exchange
Launch date: 28 April 2006
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 26 April 2012
ISIN: GB00B12GMC87
SEDOL: B12GMC8
Investment Objective
The BNP Paribas European Shield is a six-year fund returning 171.25p per share
at maturity provided that, at maturity, the DJ Euro Stoxx 50 Index is at or
above its initial level of 3,865.42. This is equivalent to an annualised return
of 8.5% on the application price of 105p. The redemption value per share is
reduced linearly from 171.25p to 100p per share as the index falls from 100% to
85% of its initial level. The redemption value per share of 100p is protected
unless the index falls by 50% from its initial level at any point over the six
year life. If downside is triggered and the index fails to recover to 85% of
the initial level, investors will participate in index tracking plus 15p per
share.
The level of the Index recorded at launch and as of 30 April 2010, the level of
the Index at maturity required to return a redemption value per share of 171.25
pence, the Index level which, if breached at any time, results in the potential
loss of capital and the lowest observed level of the Index to date are set out
in the table below.
+--------+---------+-----------+--------+---------+---------+----------+
| Index |Initial | Value |Change | 85% | 50% | Lowest |
| Name | Level | as of | |Barrier |Barrier |observed |
| | |30-Apr-10 | | Level | Level | Index |
| | | | | | | Level |
+--------+---------+-----------+--------+---------+---------+----------+
| DJ | 3865.4 | 2816.9 |-27.1% | 3285.6 | 1932.7 | 1810.0 |
| Euro | | | | | | |
| Stoxx | | | | | | |
| 50 | | | | | | |
+--------+---------+-----------+--------+---------+---------+----------+
Source for Index Price Information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on April 27 2006 and close on 30 April 2010 the NAV has fallen by
10.53% versus a 26.64.% decline in the Eurostoxx 50 Index.
BNP Paribas Absolute Progression
Listing: Channel Islands Stock Exchange
Launch date: 20 July 2006
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 19 July 2012
ISIN: GB00B17WK500
SEDOL: B17WK500
Investment Objective
This 6-year maturity fund produces absolute returns based on the divergence,
rather than the direction, of stock performance. The fund focuses on the share
components of the Dow Jones Global Titans Index, an index that includes the
world's 50 largest multinational companies. On each anniversary of launch the
fund's portfolio is, retrospectively, made up of the shares that have beaten the
index over the previous year in equal weightings. The fund's return for each
year equals the amount by which this portfolio's annualised performance beats
the index less a hurdle rate of 5%.
The level of the Index recorded at launch and as of 30 April 2010 is set out in
the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+----------------+------------+-------------+-------------+-----------------+
| DJGT | Strike | Current | % change |Out-performance |
| Components | Price | price at | | |
| | |30-April-10 | | |
+----------------+------------+-------------+-------------+-----------------+
| Abbot Labs | 46.21 | 51.16 | 10.71% | 25.98% |
+----------------+------------+-------------+-------------+-----------------+
| Altria Group | 18.30 | 21.19 | 15.79% | 31.06% |
+----------------+------------+-------------+-------------+-----------------+
| AT&T Inc | 27.30 | 26.06 | -4.54% | 10.73% |
+----------------+------------+-------------+-------------+-----------------+
| BP Group | 625.00 | 575.50 | -7.92% | 7.35% |
+----------------+------------+-------------+-------------+-----------------+
| Chevron Texaco | 65.32 | 81.44 | 24.68% | 39.95% |
| Corp | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Cisco Systems | 17.88 | 26.92 | 50.56% | 65.83% |
+----------------+------------+-------------+-------------+-----------------+
| Coca Cola | 43.84 | 53.45 | 21.92% | 37.19% |
+----------------+------------+-------------+-------------+-----------------+
| CONOCOPHILIPPS | 64.43 | 59.19 | -8.13% | 7.14% |
+----------------+------------+-------------+-------------+-----------------+
| Exxon Mobil | 64.25 | 67.85 | 5.60% | 20.87% |
| Corp | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Google Corp. | 407.35 | 525.70 | 29.05% | 44.32% |
+----------------+------------+-------------+-------------+-----------------+
| Hewlett | 31.80 | 51.97 | 63.43% | 78.70% |
| packard | | | | |
+----------------+------------+-------------+-------------+-----------------+
| IBM | 75.48 | 129.00 | 70.91% | 86.18% |
+----------------+------------+-------------+-------------+-----------------+
| Intel Corp | 17.15 | 22.83 | 33.12% | 48.39% |
+----------------+------------+-------------+-------------+-----------------+
| Johnson & | 61.37 | 64.30 | 4.77% | 20.04% |
| Johnson | | | | |
+----------------+------------+-------------+-------------+-----------------+
| JP Morgan | 42.98 | 42.58 | -0.93% | 14.34% |
| Chase | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Merck | 37.30 | 35.04 | -6.06% | 9.21% |
+----------------+------------+-------------+-------------+-----------------+
| Microsoft | 22.85 | 30.54 | 33.65% | 48.92% |
+----------------+------------+-------------+-------------+-----------------+
| Nestle | 39.15 | 52.85 | 34.99% | 50.26% |
+----------------+------------+-------------+-------------+-----------------+
| Pepsi Cola | 62.48 | 65.22 | 4.39% | 19.66% |
+----------------+------------+-------------+-------------+-----------------+
| Procter & | 56.61 | 62.16 | 9.80% | 25.07% |
| Gamble | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Royal Dutch | 26.54 | 23.57 | -11.19% | 4.08% |
| Shell | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Samsung |598,000.00 |849,000.00 | 41.97% | 57.24% |
| Electronics | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Siemens | 64.43 | 74.34 | 15.38% | 30.65% |
+----------------+------------+-------------+-------------+-----------------+
| Telefonica | 13.04 | 17.03 | 30.56% | 45.83% |
+----------------+------------+-------------+-------------+-----------------+
| Verizon | 30.94 | 28.89 | -6.62% | 8.65% |
+----------------+------------+-------------+-------------+-----------------+
| Vodafone | 113.40 | 145.35 | 28.18% | 43.45% |
+----------------+------------+-------------+-------------+-----------------+
| DJGT Index | 202.23 | 171.35 | -15.27% | |
+----------------+------------+-------------+-------------+-----------------+
| | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Portfolio | | | | 33.98% |
| Average | | | | |
+----------------+------------+-------------+-------------+-----------------+
Source for Share Price Information: Bloomberg
As of 30 April 2010, the NAV had risen by 22.62% since launch compared with the
HFR Hedge Fund Universe Index, which has fallen by 15.27% over that period.
Since launch, 27 stocks had outperformed the DJGT Index. The average
out-performance had been 33.98%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Class A Sterling Hedged US High Income Preference Shares and Class B Unhedged US
High Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 26 October 2006
Issue price at launch: 100 pence
NAV immediately following launch: 99 pence class A & $0.99 class B
Maturity date: 19 November 2012
Class A ISIN: GG00B1FP4W69
Class A SEDOL: B1FP4W6
Class B ISIN: GG00B1FP4X76
Class B SEDOL: B1FP4X7
Investment Objective
BNP Paribas US High Income ("USH" for Class A and "USHD" for Class B) is a
six-year investment aiming to provide shareholders with a stable stream of
quarterly dividend distributions based on the dividend income of a notional
portfolio of shares selected from the S&P 100 Index, supplemented by premiums
for notional call options written on those shares. In addition, a purchase of
portfolio insurance in the form of a put option linked to the S&P 100 Index,
with a term and maturity matching the term of the Shares, aims to reduce the
risk of capital loss.
BNP Paribas US High Income launched on 26 October 2006 with an initial NAV of 99
pence ($0.99 for class B). On this date (a) the portfolio of shares was
selected and purchased (b) the corresponding 3-month call options were sold with
an average strike price of 104.3% of the value of the shares (c) the portfolio
insurance was acquired. This takes the form of a six-year put option on the S&P
100 with a strike level of 645.42.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The name and weighting of each selected share and its performance between 18
August 2008 and 30 April 2010 are set out in the table below.
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Stock | Strike | Current |Performance |Option | Class | Class |
| | Price | price | at |strike | A - | A - |
| | at | at | 30-Apr-10 | price | Share | Weighting |
| |22-Feb-2010 |30-Apr-10 | | |Portfolio | at |
| | | | | |weighting |30-April-10 |
| | | | | |at Strike | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Altria | 20.27 | 21.19 | 4.54% | 20.86 | 2.74% | 2.71% |
| Group | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| AT&T | 25.02 | 26.06 | 4.16% | 25.85 | 5.48% | 5.39% |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Bank | 16.21 | 17.83 | 9.99% | 17.23 | 5.48% | 5.70% |
| of | | | | | | |
| America | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Chevron | 72.96 | 81.44 | 11.62% | 75.75 | 5.48% | 5.78% |
| Corp | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Exxon | 65.40 | 67.77 | 3.62% | 67.70 | 6.85% | 6.71% |
| Mobil | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| General | 16.25 | 18.86 | 16.06% | 17.06 | 6.85% | 7.51% |
| Electric | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| IBM | 126.85 | 129.00 | 1.69% |131.15 | 5.48% | 5.27% |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Intel | 20.87 | 22.84 | 9.44% | 21.87 | 5.48% | 5.67% |
| Corporation | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| JP | 40.85 | 42.58 | 4.24% | 43.15 | 5.48% | 5.40% |
| Morgan | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| McDonalds | 64.77 | 70.59 | 8.99% | 66.71 | 4.11% | 4.23% |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Merck | 37.12 | 35.04 | -5.60% | 38.79 | 5.48% | 4.89% |
| & Co. | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Microsoft | 28.73 | 30.54 | 6.28% | 29.93 | 6.85% | 6.88% |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Monsanto | 76.79 | 63.06 | -17.88% | 80.54 | 2.74% | 2.13% |
| Co. | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Pfizer | 17.95 | 16.72 | -6.85% | 18.74 | 5.48% | 4.82% |
| Inc. | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Phillip | 49.75 | 49.08 | -1.35% | 51.49 | 4.11% | 3.83% |
| Morris | | | | | | |
| International | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Procter&Gamble | 63.42 | 62.16 | -1.99% | 65.28 | 6.85% | 6.35% |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Southern | 32.34 | 34.56 | 6.86% | 33.30 | 1.37% | 1.38% |
| Co. | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| UPS | 57.95 | 69.14 | 19.31% | 60.10 | 4.11% | 4.63% |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Walt | 31.12 | 36.84 | 18.38% | 32.43 | 4.11% | 4.60% |
| Disney | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Wells | 28.01 | 33.11 | 18.21% | 15.60 | 5.48% | 6.12% |
| Fargo | | | | | | |
| & Co | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Altria | 20.27 | 21.19 | 4.54% | 20.86 | 2.74% | 2.71% |
| Group | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| S&P | 413.54 | 540.28 | 30.65% | | | |
| 100 | | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
| Weighted Basket | | 5.80% | | | |
| Performance | | | | | |
+----------------+-------------+-----------+-------------+--------+-----------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 30 April 2010 the Total Return
Performance was -5.28% and -1.39% respectively for class A and class B (based on
an initial NAV of 100 pence and 100 cents respectively for class A and class B)
compared with the S&P TR Performance, which declined 19.4% over that period.
The directors declared interim dividends of 1.875 pence per Class A Sterling
Hedged US High Income Preference Share and 1.875 cents per Class B Unhedged US
High Income Preference Share on 17 January 2008, 17 April 2008, 17 July 2008, 23
October 2008, 22 January 2009, 23 April 2009, 23 July 2009, 22 October 2009, 21
January 2010, and 17 April 2010.
Class A Sterling Hedged Euro High Income Preference Shares and Class B Unhedged
Euro High Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 22 June 2007
Issue price at launch: GBP1 class A & EUR1 class B
NAV immediately following launch: 99 pence Class A and 99 cents class B
Maturity date: 1 July 2013
Class A ISIN: GG00B1YKCQ26
Class A SEDOL: B1YKCQ2
Class B ISIN: GG00B1YKCV78
Class B SEDOL: B1YKCV7
Investment Objective
Euro High Income Preference Shares ("EUHS" for Class A and "EUHE" for Class B")
is a six-year investment aiming to provide shareholders with a stable stream of
quarterly dividend distributions based on the dividend income of a notional
portfolio of shares in Eurozone companies selected from the Dow Jones Euro STOXX
50 Index, supplemented by premiums for notional call options written on those
shares. In addition, a purchase of portfolio insurance in the form of a put
option linked to the Dow Jones Euro STOXX 50 Index, with a term and maturity
matching the term of the Shares, aims to reduce the risk of capital loss.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The name and weighting of each selected share and its performance between 23
September 2009 (the date of the most recent stock basket rebalance) and 30 April
2010 are set out in the table below.
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| Stock | Strike | Current |Performance |Option | Class |Weighting |
| | Price | price | at |Strike | A - | Class A |
| | at | at | 30-Apr-10 | Price | Share | at |
| | 22nd |30-Apr-10 | | |portfolio |30-Apr-10 |
| | March | | | |weighting | |
| | 2010 | | | |at Strike | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| AEGON | 4.82 | 5.33 | 10.59% | 5.06 | 5.00% | 5.69% |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| ALSTOM | 47.69 | 44.48 | -6.73% | 50.07 | 5.00% | 4.79% |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| AXA SA | 15.77 | 15.1 | -4.22% | 16.55 | 5.00% | 4.92% |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| ARCELORMITTAL | 31.01 | 29.66 | -4.35% | 32.56 | 5.00% | 4.92% |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| BANCO | 10.19 | 9.94 | -2.38% | 10.69 | 5.00% | 5.02% |
| BILBAO | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| BANCO | 9.86 | 9.55 | -3.13% | 10.35 | 5.00% | 4.98% |
| SANTANDER | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| BNP | 57.14 | 52.13 | -8.77% | 60 | 5.01% | 4.70% |
| PARIBAS | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| CRH | 18.61 | 21.43 | 15.17% | 19.54 | 5.00% | 5.92% |
| PLC | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| CREDIT | 12.44 | 10.82 | -13.02% | 13.06 | 5.00% | 4.47% |
| AGRICOLE | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| DEUTSCHE | 54.08 | 51.73 | -4.35% | 56.6 | 5.02% | 4.93% |
| BANK | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| DEUTSCHE | 52.97 | 57.88 | 9.27% | 55.35 | 5.02% | 5.64% |
| BOERSE | | | | | | |
| AG | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| DEUTSCHE | 9.86 | 9.88 | 0.18% | 10.34 | 5.00% | 5.16% |
| TELEKOM | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| FRANCE | 17.65 | 16.45 | -6.83% | 18.53 | 5.00% | 4.79% |
| TELECOM | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| ING | 7.13 | 6.74 | -5.44% | 7.48 | 5.00% | 4.86% |
| GROEP | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| NOKIA | 11.20 | 9.155 | -18.26% | 11.76 | 5.00% | 4.20% |
| AB OY | | | | | | |
| A | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| SAINT | 35.79 | 37.415 | 4.54% | 37.58 | 5.00% | 5.38% |
| GOBAIN | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| SOCIETE | 45.67 | 40.40 | -11.53% | 47.95 | 4.99% | 4.54% |
| GENERALE | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| TELECOM | 1.08 | 1.05 | -2.32% | 1.13 | 5.00% | 5.02% |
| ITALIA | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| UNICREDIT | 2.14 | 1.994 | -6.60% | 2.24 | 5.00% | 4.80% |
| SPA | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| VIVENDI | 19.29 | 19.80 | 2.64% | 20.25 | 5.00% | 5.28% |
| SA | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| DJ |2890.75 | 2816.86 | -2.56% | | | |
| Eurostoxx | | | | | | |
| 50 | | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
| Weighted Basket | | -2.77% | | | |
| Performance | | | | | |
+---------------+---------+-----------+-------------+--------+-----------+-----------+
Source for Share Price Information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 21 June 2007 and close on 30 April 2010 the Total Return
Performance had was -49.29%and -48.25% respectively for class A and class B
(based on an initial NAV of 100 pence and 100 cents respectively for class A and
class B) compared with the DJ Eurostoxx TR performance, of -8.70% over that
period. The directors declared interim dividends of 1.875 pence per Class A
Sterling Hedged Euro High Income Preference Share and 1.875 Euro cents per Class
B Unhedged Euro High Income Preference Share on 22 November 2007, 21 February
2008, 21 May 2008, 20 August 2008, 20 November 2008, 19 February 2009, 20 May
2009, 20 August 2009 26 November 2009, and 18 February 2010.
BNP Paribas Agrinvest
Listing: Channel Islands Stock Exchange
Launch date: 21 June 2007
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 29 May 2013
ISIN: GB00B1YKCX92
SEDOL: B1YKCX9
Investment Objective
BNP Paribas Agrinvest Shares (herein the "Shares") is a six-year investment
aiming to provide shareholders with the opportunity to participate in the
performance of exchange-traded commodities futures comprised in the DCI
Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is
designed to provide a broad yet liquid representation of large, mid and small
commodity futures inside the Organisation for Economic Cooperation and
Development (OECD). The Index consists of 23 components within the agriculture
sector. The Index is also subject to a forward curve roll optimisation process
through the addition of a quantitative enhancement algorithm.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+-------------+----------+-----------+---------+
| Commodity | Value | Value | Change |
| name | at | as of | |
| | Start |30-Apr-10 | |
+-------------+----------+-----------+---------+
| DCI |1,053.0 | 876.9 |-16.73% |
| Agriculture | | | |
| BNP Paribas | | | |
| Enhanced | | | |
| Excess | | | |
| Return | | | |
+-------------+----------+-----------+---------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 22 June 2007 and close on 30 April 2010 the NAV had increased
by 1.51%. Over this period the S&P GSCI Agri&Livestock ER Index had fallen by
6.73%.
Hedge Elite
Listing: Channel Islands Stock Exchange
Launch date: 26 October 2007
Issue price at launch: 100 pence per share
NAV immediately following launch: 100.00 pence
Maturity date: 28 October, 2013
ISIN: GG00B28CCG11
SEDOL: B28CCG1
Investment Objective
The investment objective of the Company for Hedge Elite was to provide
shareholders with a return on capital linked to the performance of a notional
dynamic basket, comprising participations in 10 hedge funds selected by BNP
Paribas in accordance with specific criteria, a cash facility, foreign exchange
contracts and a zero coupon bond, with the benefit of a profit lock-in mechanism
and a Redemption Amount payable at scheduled maturity of not less than 90 pence
per Share.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance and Termination
As it was agreed by the Board of directors that it was no longer in the best
interests of the Company, Hedge Elite or the holder of the Hedge Elite
Preference Shares for the Company on behalf of Hedge Elite to continue to pursue
its stated investment objective for Hedge Elite, all Hedge Elite Preference
Shares were redeemed on 19 October 2009 at 78.86 pence each and Hedge Elite was
subsequently dissolved. As the Hedge Elite Preference Shares were redeemed
prior to the scheduled Redemption Date, the minimum Redemption Amount of 90
pence per share was not applicable.
Enhanced Property Recovery
Listing: Channel Islands Stock Exchange
Launch date: 13 March 2008
Issue price at launch: 100 pence
NAV immediately following launch: 100 pence
Maturity date: March 13, 2014
ISIN: GG00B2PWW869
SEDOL: B2PWW86
Investment Overview
The Enhanced Property Recovery Fund allows investors to benefit from a possible
recovery in the listed property market with an enhanced market timing mechanism.
At maturity, if the FTSE EPRA European Index (Bloomberg code: EPRA Index) (the
"Index") finishes above its initial level, the fund will pay the greater of
either 170% or the enhanced performance of the index. If the Index closes below
the initial level, the Fund will track the Index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 13 March 2008 and close on 30 April 2010 the NAV had fallen by
38.20%. Over this period the EPRA Index had fallen by 36.63%. The Fund
performance is driven primarily by sensitivity of the NAV to movements in the
underlying Index, which is nearly one for one. The Fund recorded its lowest
observation in March 2009 and a new low of 689.08. The enhanced market timing
mechanism of this Fund means that if the Index was to recover to maturity, this
figure would be used as the reference for which to calculate final performance.
BNP Paribas Energy-Base Metals (3)
Listing: Channel Islands Stock Exchange
Launch date: 5 June 2008
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 5 June 2014
ISIN: GG00B2R9LW24
SEDOL: B39TP47
Epic Code: EBMC
Investment Objective
BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year investment offering 175%
of the upside of the spot prices of a portfolio of commodities. The portfolio
comprises West Texas Intermediate Oil (30%), Natural Gas (20%), Aluminium
(12.5%), Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio
performance is negative over six years, 100 pence is returned at maturity.
The name and weighting of each commodity, the spot prices of each commodity
recorded at launch (the nearest futures price in the case of oil) and as of
April 30, 2010 are set out in the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+------------------+----------+------------+---------+---------+
| Commodity name |Value at | Value as | Change | Weight |
| | Start | of | | |
| | | 30-Apr-10 | | |
+------------------+----------+------------+---------+---------+
| Aluminium | 2858.5 | 2184 | -23.6% | 12.5% |
+------------------+----------+------------+---------+---------+
| Copper | 8006 | 7365 | -8.0% | 12.5% |
+------------------+----------+------------+---------+---------+
| Nickel | 22000 | 25810 | 17.3% | 12.5% |
+------------------+----------+------------+---------+---------+
| West Texas | 122.3 | 86.15 | -29.6% | 30.0% |
| Intermediate | | | | |
+------------------+----------+------------+---------+---------+
| Zinc | 1948.5 | 2256 | 15.8% | 12.5% |
+------------------+----------+------------+---------+---------+
| Natural Gas | 12.379 | 3.92 | -68.3% | 20.0% |
+------------------+----------+------------+---------+---------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 5 June 2008 and close on 30 April 2010 the NAV had risen by
10.31%. Over this period the DJ AIG Commodities Excess Return Index had fallen
by 38.1%.
BNP Paribas Agribusiness
Listing: Budapest Stock Exchange
Launch date: 11 July 2008
Issue price at launch: HUF 10,000
NAV immediately following launch: HUF 10,000
Maturity date: 10 January 2011
ISIN:GG00B39FV703
SEDOL: B39FVH0
Investment Overview
The BNP Paribas Agribusiness Cell is a 2.5 year investment which aims to provide
shareholders with the opportunity to participate, through a dividend payable on
the Shares, in the performance of shares of companies whose revenues are linked
to the agribusiness industry through the BNP Paribas Global Agribusiness Excess
Return Index (Reuters Code: BNPIGAER).
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 11 July 2008 and close on 30 April 2010 the NAV had risen by
6.89%. Over this period the BNP Paribas Global Agribusiness Excess Return Index
had fallen by 16.7%.
Class A Sterling Hedged Enhanced Income Preference Shares and Class B Unhedged
Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: March 19 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: March 2108
Class A ISIN: GG00B4W90V35
Class A SEDOL: B4W90V3
Class B ISIN: GG00B4W90W42
Class B SEDOL: B4W90W4
Investment Overview
The investment objective of the Cell is to provide Shareholders with a stable
stream of quarterly dividend distributions (with a targeted dividend yield of
approximately 8% per annum, subject to increase and decrease in certain
circumstances) and return on capital based on an investment strategy linked to
the performance of the Dow Jones Euro STOXX 50 Index (the "Index") and notional
call options written on the Index (the "Strategy"). Dividend distributions on
the Enhanced Income Preference Shares will be denominated and paid in GBP in
respect of the Class A Shares and in EUR in respect of the Class B Shares.
There are currently no Class B Shares in issue.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 19 March 2009 and close on 30 April 2010 the NAV had risen by
20.61%. Over this period the DJ EuroStoxx TR Index had increased by 43.51%.
The directors declared interim dividends of 2.00 pence per Class A Share on 24
June 2009, of 2.30 pence per Class A Share on 23 September 2009, 2.40 pence per
Class A Share on 23 December 2009 and 2.30 pence per Class A Share on 24 March
2010.
Class A Sterling Hedged COMAC Preference Shares and Class B US Dollar Unhedged
COMAC Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 1 June 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: June 2029
Class A ISIN: GG00B3VGTS89
Class A SEDOL: B3VGTS8
Class B ISIN: GG00B3VM1S01
Class B SEDOL: B3VM1S)
Investment Overview
The investment objective of the Cell is to provide shareholders with exposure to
the performance of an actively managed long short arbitrage strategy based on a
portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total
Return Net of Fees Index (the "Index"). The Index is denominated in USD and is
designed to track the performance of an actively managed portfolio of 25
commodities selected from the energy, metals and agricultural sectors, the
respective weightings of which are determined in accordance with an investment
strategy based on recommendations provided by the COMAC Adviser and a
rules-based proprietary methodology designed by BNP Paribas (the "Index
Methodology").
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 1 June 2009 and close on 30 April 2010 the NAV of Class A had
fallen by 31.07%. Over this period the DJ UBS Commodity Index had increased by
4.30%. There are currently no Class B Shares in issue.
Class A Sterling Hedged US Enhanced Income Preference Shares and Class B
Unhedged US Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 16 July 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence class A & 100 cents class B
Maturity date: July 2029
Class A ISIN: GG00B4409G28
Class A SEDOL: B4409G2
Class B ISIN: GG00B4409P19
Class B SEDOL: B4409P1
Investment Overview
The Cell's investment objective is to provide Shareholders with a stable stream
of quarterly dividends (with a targeted dividend yield of approximately 8% per
annum, subject to increase and decrease in certain circumstances) and return on
capital, such investment objective being intended to be achieved by reference to
an investment strategy (the "Strategy") linked to the total return performance
of the Standard and Poor's 500 Index (the "Index") and notional short-term call
options written on such index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 16 July 2009 and close on 30 April 2010 the NAV Total Return
Performance was 21.05% and 21.08% respectively for class A and class B (based on
an initial NAV of 100 pence and 100 cents respectively for class A and class B)
compared with the S&P TR Performance, which increased 28.12% over that period.
The directors declared interim dividends of 2.30 pence per Class A Sterling
Hedged US Enhanced Income Preference Share and 2.30 cents per Class B US Dollar
Unhedged US Enhanced Income Preference Share on 21 April 2010.
UK Enhanced Income
Listing: Channel Islands Stock Exchange
Launch date: 24 September 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: September 2029
ISIN: GG00B3YF5842
SEDOL: B3YF584
Investment Overview
The Cell's investment objective is to provide Shareholders with a stable stream
of quarterly dividends (with a targeted dividend yield of approximately 8% per
annum, subject to increase and decrease in certain circumstances) and return on
capital, such investment objective being intended to be achieved by reference to
an investment strategy (the "Strategy") linked to the total return performance
of the FTSE 100(TM) Index (the "Index") and notional short-term call options
written on such index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 24 September 2009 and close on 30 April 2010 the NAV had
increased by 6.26%. Over this period the FTSE 100 Total Return Index had risen
by 11.44.%. The directors declared an interim dividend of 2.00 pence per UK
Enhanced Income Preference Share on 31 March 2010.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF COMPREHENSIVE INCOME
for the period end 30 April 2010
+-------------------------------------+-------+--------------+----------+--------------+
| | | Period | | Period |
| | | to | | to |
+-------------------------------------+-------+--------------+----------+--------------+
| | | 30 Apr | | 30 Apr |
| | | 2010 | | 2009 |
+-------------------------------------+-------+--------------+----------+--------------+
| | | Total | | Total |
+-------------------------------------+-------+--------------+----------+--------------+
| |Notes | GBP | | GBP |
+-------------------------------------+-------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Net movement in unrealised gains / | | | | |
| (loss) on | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| on investments | | 3,727,186 | | (24,916,633) |
+-------------------------------------+-------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Amortisation of debt issue costs | | (24,589) | | (24,589) |
+-------------------------------------+-------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Income from financial assets at | | | | |
| fair value through profit | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| or loss | 1h | 11,063,607 | | 12,354,222 |
+-------------------------------------+-------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Finance costs - distributions to | | | | |
| holders of Preference | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Shares | 1l | (11,063,607) | | (12,354,222) |
+-------------------------------------+-------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Increase / (decrease) in net assets | | | | |
| attributable to | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
| Preference shareholders from | | 3,702,597 | | (24,941,222) |
| operations | | | | |
+-------------------------------------+-------+--------------+----------+--------------+
In arriving at the results for the financial period, all amounts above relate to
continuing operations. There are no recognised gains or losses for the period
other than those disclosed above.
The notes on pages 54 to 78 form an integral part of these financial statements.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF FINANCIAL POSITION
as at 30 April 2010
+-------------------------------------+-------+-------------+----------+-------------+
| | | Period | | Year to |
| | | to | | |
+-------------------------------------+-------+-------------+----------+-------------+
| | | 30 Apr | | 31 Oct |
| | | 2010 | | 2009 |
+-------------------------------------+-------+-------------+----------+-------------+
| | | Total | | Total |
+-------------------------------------+-------+-------------+----------+-------------+
| |Notes | GBP | | GBP |
+-------------------------------------+-------+-------------+----------+-------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| ASSETS | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| NON CURRENT ASSETS | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| Financial assets at fair value | | 804,293,815 | | 796,571,889 |
| through profit or loss | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| CURRENT ASSETS | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| Cash at bank | 1g | - | | - |
+-------------------------------------+-------+-------------+----------+-------------+
| Investment income receivable | 1h | - | | 4,063,256 |
+-------------------------------------+-------+-------------+----------+-------------+
| Prepaid debt issue costs | | 43,607 | | 68,196 |
+-------------------------------------+-------+-------------+----------+-------------+
| | | 43,607 | | 4,131,452 |
+-------------------------------------+-------+-------------+----------+-------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| LIABILITIES | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| CURRENT LIABILITIES | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| Dividends payable | 1l | - | | 4,063,256 |
+-------------------------------------+-------+-------------+----------+-------------+
| | | - | | 4,063,256 |
+-------------------------------------+-------+-------------+----------+-------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| NET ASSETS ATTRIBUTABLE TO HOLDERS | | | | |
| OF | | | | |
+-------------------------------------+-------+-------------+----------+-------------+
| PREFERENCE SHARES | 3 | 804,337,422 | | 796,640,085 |
+-------------------------------------+-------+-------------+----------+-------------+
The financial statements were approved by the Board of directors on 29 June 2010
and are signed on its behalf by:
John R Le Prevost Peter Atkinson
Director Director
The notes on pages 54 to 78 form an integral part of these financial statements.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
for the period ended 30 April 2010
+-------------------------------------+-------+-------------+----------+--------------+
| | | Period | | Period |
| | | to | | to |
+-------------------------------------+-------+-------------+----------+--------------+
| | | 30 Apr | | 30 Apr |
| | | 2010 | | 2009 |
+-------------------------------------+-------+-------------+----------+--------------+
| | | Total | | Total |
+-------------------------------------+-------+-------------+----------+--------------+
| |Notes | GBP | | GBP |
+-------------------------------------+-------+-------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| Opening balance | | 796,640,085 | | 627,265,230 |
+-------------------------------------+-------+-------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| Proceeds from issue of Preference | | - | | 24,999,346 |
| Shares | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| Net gain / (loss) for the year | | | | |
| attributable to holders of | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| Preference Shares | | 3,702,597 | | (24,941,222) |
+-------------------------------------+-------+-------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| Exchange gains on currency balances | | 3,994,740 | | 4,855,169 |
+-------------------------------------+-------+-------------+----------+--------------+
| | | | | |
+-------------------------------------+-------+-------------+----------+--------------+
| Balance as at 30 April 2010 | | 804,337,422 | | 632,178,523 |
+-------------------------------------+-------+-------------+----------+--------------+
The notes on pages 54 to 78 form an integral part of these financial statements.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the period ended 30 April 2010
+----------------------------------------+--------------+----------+--------------+
| | Period | | Period |
| | to | | to |
+----------------------------------------+--------------+----------+--------------+
| | 30 Apr | | 30 Apr |
| | 2001 | | 2009 |
+----------------------------------------+--------------+----------+--------------+
| | Total | | Total |
+----------------------------------------+--------------+----------+--------------+
| | GBP | | GBP |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| Net gain / (loss) for the year | | | |
| attributable to holders of | | | |
+----------------------------------------+--------------+----------+--------------+
| Preference Shares | 3,702,597 | | (24,941,222) |
+----------------------------------------+--------------+----------+--------------+
| Distributions to holders of Preference | 11,063,607 | | 12,354,222 |
| Shares | | | |
+----------------------------------------+--------------+----------+--------------+
| Movement in realised and unrealised | (3,727,186) | | 24,916,633 |
| loss on investments | | | |
+----------------------------------------+--------------+----------+--------------+
| Movement in debtors and creditors | 24,589 | | 24,589 |
| during the period | | | |
+----------------------------------------+--------------+----------+--------------+
| Net cash inflow from operating | 11,063,607 | | 12,354,222 |
| activities | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| Investing activities | | | |
+----------------------------------------+--------------+----------+--------------+
| Purchase of financial assets | - | | (24,999,346) |
+----------------------------------------+--------------+----------+--------------+
| Net cash outflow from investing | - | | (24,999,346) |
| activities | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| Financing activities | | | |
+----------------------------------------+--------------+----------+--------------+
| Proceeds from issue of Preference | - | | 24,999,346 |
| Shares | | | |
+----------------------------------------+--------------+----------+--------------+
| Distributions to holders of Preference | (11,063,607) | | (12,354,222) |
| Shares | | | |
+----------------------------------------+--------------+----------+--------------+
| Net cash inflow from financing | (11,063,607) | | 12,645,124 |
| activities | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| Increase / (decrease) in cash and cash | - | | - |
| equivalents | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| | | | |
+----------------------------------------+--------------+----------+--------------+
| Cash and cash equivalents at beginning | - | | - |
| of period | | | |
+----------------------------------------+--------------+----------+--------------+
| Increase / (decrease) in cash and cash | - | | - |
| equivalents | | | |
+----------------------------------------+--------------+----------+--------------+
| Cash and cash equivalents at end of | - | | - |
| period | | | |
+----------------------------------------+--------------+----------+--------------+
The notes on pages 54 to 78 form an integral part of these financial
statements.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the period ended 30 April 2010
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The principal accounting policies adopted by the Company and applied in the
preparation of these financial statements are set out below. These policies
have been consistently applied to all periods presented, unless otherwise stated
in the following text.
(a) Basis of preparation
The financial statements have been prepared in conformity with International
Financial Reporting Standards ("IFRS") which comprise standards and
interpretations approved by the International Accounting Standards Board, and
International Accounting Standards and Standing Interpretations Committee
approved by the International Accounting Standards Committee that remain in
effect and applicable Guernsey law. The financial statements have been prepared
under the historical cost convention as modified for the measurement at fair
value of financial instruments held at fair value through profit or loss.
The preparation of financial statements in conformity with IFRS requires the use
of certain critical accounting estimates. It also requires the Board of
directors to exercise judgement in the process of applying the Company's
accounting policies. The areas involving a high degree of judgement or
complexity, or areas where assumptions and estimates are significant to the
financial statements are disclosed in Note 2.
Changes in accounting policy and disclosures
The accounting policies adopted are consistent with those of the previous
financial year except as follows:
- IFRS 8 Operating Segments
- IAS 1 (Revised 2007) Presentation of Financial Statements
- Amendments to IFRS 7 Financial Instruments: Disclosures - Improving
Disclosures about Financial Instruments.
The principal effect of these changes is as follows:
IFRS 8 Operating Segments
This standard is effective for accounting periods beginning on or after 1
January 2009, it requires disclosure of information about the Company's
operating segments and replaced the requirement to determine primary (business)
and secondary (geographical) reporting segments of the Company. For management
purposes, the Company is organised into one business unit. The Company
determined that this operating segment was the same as the business segment
previously identified under IAS 14 Segment Reporting.
IAS 1 (Revised 2007) Presentation of Financial Statements
The standard replaces IAS 1 Presentation of Financial Statements (revised in
2003) as amended in 2005. The revised IAS 1 Presentation of Financial
Statements was issued in September 2007 and is effective for accounting periods
beginning on or after 1 January 2009.
The standard introduces the Statement of Comprehensive Income; it presents all
items of income and expense recognition in profit or loss, together with all
other items of recognised income and expense, either in one single statement, or
in two linked statements. The Company chose to present one single Statement of
Comprehensive Income.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(a) Basis of preparation (continued)
Amendments to IFRS 7 Financial Instruments: Disclosures - Improving Disclosures
about Financial Instruments.
Amendments to IFRS 7 were issued by the IASB in March 2009, effective for annual
periods beginning on or after 1 January 2009. The amendments to IFRS 7 requires
fair value to be disclosed by the source of inputs, using a three-level
hierarchy:
Quoted prices (unadjusted) in active markets for identical assets or liabilities
(Level 1);
Inputs other than quoted prices included in Level 1 that are observable for the
asset or liability, either directly (as prices) or indirectly (derived from
prices) (Level 2);
Inputs for the asset or liability that are not based on observable market data
(unobservable inputs) (Level 3).
In addition, the amendments revise the specified minimum liquidity risk
disclosures including: the contractual maturity of non-derivative and derivative
financial liabilities, and a description of how this is managed.
In the first year of application, comparative information is not required.
The following Standards or Interpretations have been issued but not yet adopted
by the Company:
IFRS 2 Share-based Payment - Amendments relating to group cash-settled
share-based payment transactions (revised June 2009) effective for annual
periods beginning on or after 1 January 2010.
IFRS 9 Financial Instruments - Classification and Measurement (revised November
2009) effective for annual periods beginning on or after 1 January 2013.
IAS 24 Related Party Disclosures - Revised definition of related parties
(revised November 2009) effective for annual periods beginning on or after 1
January 2011.
IAS 32 Financial Instruments: Presentation - Amendments relating to
classification of rights issued (revised 2009) effective for annual periods
beginning on or after 1 February 2010.
IFRIC 17 Distributions of Non-cash Assets to Owners effective for annual periods
beginning on or after 1 July 2009.
IFRIC 19 Extinguishing Financial Liabilities with Equity Instruments effective
for annual periods beginning on or after 1 July 2010.
Some of these Standards and Interpretations may require additional disclosure in
future financial statements.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(b) Functional and presentation currency
Items included in the Company's financial statements are measured using the
currency of the primary economic environment in which it operates (the
"functional currency"). This is pounds sterling, which reflects the Company's
primary activity of investing in sterling-denominated derivative transactions.
The Company has adopted pounds sterling as its presentation currency as the
Company is listed on the Channel Islands Stock Exchange and the majority of its
registered shareholders are domiciled in the United Kingdom. Only one cell is
not listed on the Channel Islands Stock Exchange, that being BNP Paribas
Agribusiness, which is listed on the Budapest Stock Exchange. Whilst
shareholders of this cell are not exposed to movements in the HUF / Sterling
Exchange rate, the reported value of this cell in the financial statements is
exposed to such movements, as the aggregated financial statements are prepared
in the functional currency.
(c) Transactions and balances
Foreign currency transactions are translated into the functional currency using
the exchange rates prevailing at the dates of the transactions. Foreign
exchange gains and losses resulting from the settlement of such transactions and
from the translation at period-end exchange rates of monetary assets and
liabilities denominated in foreign currencies are recognised in the Statement of
Comprehensive Income. Translation differences on non-monetary financial assets
and liabilities such as equities at fair value through profit or loss are
recognised in the Statement of Comprehensive Income within the fair value net
gain or loss.
(d) Taxation
The Company has been granted exemption from Guernsey Income Tax under the Income
Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 and is charged an annual fee of
GBP600.
(e) Expenses
All expenses are accounted for on an accruals basis. All expenses are borne by
BNP Paribas SA pursuant to the terms of an Engagement Letter between the Company
and BNP Paribas SA. The ongoing expenses for the period under review are
detailed in note 7 to the financial statements.
(f) Debt issue costs
Pursuant to the placing and offer for subscription of Shares in the Enhanced
Global Asset Allocation Cell ("EGAA") the Initial Cell Expenses incurred (as
defined in EGAA's Supplemental Memorandum) amounted to GBP297,509. Because the
Preference Shares in EGAA are redeemable on or around 17 March 2011, they are
required to be classified as debt instruments under IAS 32. Consequently, issue
costs are required to be amortised over the life of the instrument.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(g) Cash and cash equivalents
At the reporting date cash or cash equivalents comprise cash at bank. As
detailed in note 7, all expenses of the Company are borne by BNP Paribas SA. All
income received is distributed to shareholders in the relevant cells as
dividends and therefore the Company holds nil balances in its bank accounts as
at the period end.
(h) Income recognition
Dividend income is recognised in the Statement of Comprehensive Income when the
relevant cell's right to receive the dividend has been established, normally
being the ex-dividend date. Dividend income is recognised on a gross basis,
including withholding tax, if any.
(i) Financial assets at fair value through profit or loss
All investments and derivative financial instruments are classified as "at fair
value through profit or loss". Investments are initially recognised at cost,
being the fair value of the consideration given, including transaction costs
associated with the investment. After initial recognition, investments are
measured at fair value, with unrealised gains and losses on investments being
recognised in the Statement of Comprehensive Income.
The Company seeks to achieve the investment objective of each cell by entering
into a contract with BNP Paribas (referred to herein as the "Counterparty").
Each contract is substantially in the form of an ISDA Master Agreement as
supplemented by a transaction confirmation.
In respect of each contract, within BNP Paribas Group (the "Group"), the Market
and Liquidity Risk department is responsible for the day-to-day risk monitoring
and contributes to the control of the economic fair value of the Group's trading
books. This risk function department is separate and independent from the
Trading and Sales departments.
The Market and Liquidity Risk department reviews the consistency of the
non-observable market parameters by comparing and reconciling on a monthly basis
several external data sources, including Bloomberg, Reuters, Markit/Totem and
10X.
This department is also responsible for the validation and control of any
valuation models.
(j) Earnings per share
The earnings per share is based on the net gain of the Company for the period of
GBP3,702,597 (Apr 2009: GBP24,941,222 net loss) and on 879,147,075 (Apr 2009:
698,194,877) shares, being the weighted average number of shares in issue during
the period. There were no dilutive instruments in issue during the period.
(k) Trade date accounting
All "regular way" purchase and sales of financial assets are recognised on the
"trade date" i.e. the date that the entity commits to purchase or sell the
asset. Regular way purchases or sales of financial assets that require delivery
of the asset within the time frame generally established by the regulation or
convention in the market place.
(l) Distributions payable to holders of redeemable shares
Proposed distributions to holders of redeemable shares are recognised in the
Statement of Comprehensive Income when they are declared by the Board of
directors. The distribution on these redeemable shares is recognised in the
Statement of Comprehensive Income as a finance cost.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2010
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(m) Going concern
The Company has adequate financial resources and as a consequence, the directors
believe the Company is well placed to manage its business risks successfully
despite the current economic climate. After making enquiries, the directors have
a reasonable expectation that the Company has adequate resources to continue in
operational existence for the foreseeable future. Accordingly, the directors
have adopted the going concern basis in preparing the financial information
2 CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS
Management make critical accounting estimates and judgements concerning the
future. The resulting accounting estimates will, by definition, seldom equal
the related actual results. The estimates and assumptions that have a
significant risk of causing a material adjustment to the carrying amounts of
assets and liabilities within the financial period are outlined below:
(a) Fair value of derivative financial instruments
The Company holds derivatives which are tailored to meet the Company's
respective needs for each cell. As the investments are not traded in an active
market, the fair value of such instruments is determined by using valuation
techniques. The fair value is calculated weekly and as at each month end by the
Counterparty. As at the reporting date, an independent check of the valuations
of the investments is performed by Future Value Consultants Limited (the
"Calculation Agent"), an independent third party. The Calculation Agent uses a
variety of methods and makes assumptions that are based on market conditions
existing at the reporting date. Valuation techniques used include the use of
comparable recent arm's length transactions (where available), discounted cash
flow analysis, option pricing models and other valuation techniques commonly
used by market participants. These techniques are periodically reviewed by
experienced personnel at the Calculation Agent.
Models use observable data, to the extent practicable. However, areas such as
credit risk (both own and counterparty), volatilities and correlations require
management to make estimates. Changes in assumptions about these factors could
affect the reported fair value of financial instruments.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2010
3 FINANCIAL ASSETS
+-------------------------------------+------+--------------+----------+--------------+
| | | Period | | Year to |
| | | to | | |
+-------------------------------------+------+--------------+----------+--------------+
| | | 30 Apr | | 31 Oct |
| | | 2010 | | 2009 |
+-------------------------------------+------+--------------+----------+--------------+
| | | Total | | Total |
+-------------------------------------+------+--------------+----------+--------------+
| | | GBP | | GBP |
+-------------------------------------+------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Opening portfolio cost | | 854,088,090 | | 676,274,235 |
+-------------------------------------+------+--------------+----------+--------------+
| Opening unrealised loss on | | (64,647,361) | | (55,333,776) |
| valuation | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Opening exchange gains on currency | | 7,199,356 | | 6,324,771 |
| balances | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Opening valuation | | 796,640,085 | | 627,265,230 |
+-------------------------------------+------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Purchase at cost | | - | | 194,555,055 |
+-------------------------------------+------+--------------+----------+--------------+
| Proceeds of sales of financial | | - | | (16,741,200) |
| assets | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Unrealised loss for the period / | | 3,702,597 | | (4,825,772) |
| year | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Realised loss for the period / year | | - | | (4,487,813) |
+-------------------------------------+------+--------------+----------+--------------+
| Exchange gains on currency balances | | 3,994,740 | | 874,585 |
+-------------------------------------+------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Closing valuation | | 804,337,422 | | 796,640,085 |
+-------------------------------------+------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Closing portfolio cost | | 854,088,090 | | 854,088,090 |
+-------------------------------------+------+--------------+----------+--------------+
| Closing unrealised loss | | (60,944,764) | | (64,647,361) |
+-------------------------------------+------+--------------+----------+--------------+
| Closing exchange gains on currency | | 11,194,096 | | 7,199,356 |
| balances | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| | | | | |
+-------------------------------------+------+--------------+----------+--------------+
| Closing valuation | | 804,337,422 | | 796,640,085 |
+-------------------------------------+------+--------------+----------+--------------+
The financial assets held by the Company have been classified as Level 2. This
is in accordance with the fair value hierarchy.
There have been no transfers between Level 2 and Level 3 of the fair value
hierarchy during the period under review.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2010
4 SHARE CAPITAL
+-------------------------------------+-----------+--------+
| Authorised | SHARES | GBP |
+-------------------------------------+-----------+--------+
| Preference shares of no par value | Unlimited | - |
| each | | |
+-------------------------------------+-----------+--------+
| Ordinary shares of no par value | 2 | - |
| each | | |
+-------------------------------------+-----------+--------+
| | 2 | - |
+-------------------------------------+-----------+--------+
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Allotted, | | | | | | | Shares |
| called-up | Shares | |Preference | |Preference | | issued as |
| and fully | issued as | | Shares | | Shares | | at 30 |
| paid | at | | Redeemed | | Issued | | April |
| Preference | 1 November | | | | | | 2010 |
| Shares | 2009 | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EGAA | 13,500,255 | | - | | - | | 13,500,255 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell FTSE S | 40,501,195 | | - | | - | | 40,501,195 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBMSG | 7,701,999 | | - | | - | | 7,701,999 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell UK HI | 141,613,549 | | - | | - | | 141,613,549 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBM (2) | 32,506,140 | | - | | - | | 32,506,140 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell ES | 25,000,000 | | - | | - | | 25,000,000 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Abs Pro | 76,748,923 | | - | | - | | 76,748,923 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell US HI A | 92,469,987 | | - | | - | | 92,469,987 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell US HI B | 58,337,229 | | - | | - | | 58,337,229 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell | 47,225,896 | | - | | - | | 47,225,896 |
| Agrinvest | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Euro HI | 45,375,520 | | - | | - | | 45,375,520 |
| A | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Euro HI | 10,261,000 | | - | | - | | 10,261,000 |
| B | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Hedge | - | | - | | - | | - |
| Elite | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EPR | 30,125,000 | | - | | - | | 30,125,000 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBM (3) | 49,587,600 | | - | | - | | 49,587,600 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Agribus | 72,500 | | - | | - | | 72,500 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EI | 39,999,346 | | - | | - | | 39,999,346 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell UK EI | 49,015,722 | | - | | - | | 49,015,722 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell COMAC | 25,526,009 | | - | | - | | 25,526,009 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell USEI A | 48,500,080 | | - | | - | | 48,500,080 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell USEI B | 45,079,125 | | - | | - | | 45,079,125 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Ordinary | 2 | | - | | - | | 2 |
| Shares | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| TOTAL | 879,147,077 | | - | | - | | 879,147,077 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2010
4 SHARE CAPITAL (continued)
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Allotted, | | | | | | | Shares |
| called-up | Shares | | Preference | | Preference | | issued as |
| and fully | issued as | | Shares | | Shares | | at 31 |
| paid | at | | Redeemed | | Issued | | October |
| Preference | 1 November | | | | | | 2009 |
| Shares | 2008 | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EGAA | 13,500,255 | | - | | - | | 13,500,255 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell FTSE S | 40,501,195 | | - | | - | | 40,501,195 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EBMSG | 7,701,999 | | - | | - | | 7,701,999 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell UK HI | 141,613,549 | | - | | - | | 141,613,549 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EBM (2) | 32,506,140 | | - | | - | | 32,506,140 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell ES | 25,000,000 | | - | | - | | 25,000,000 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Abs Pro | 76,748,923 | | - | | - | | 76,748,923 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell US HI A | 92,469,987 | | - | | - | | 92,469,987 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell US HI B | 58,337,229 | | - | | - | | 58,337,229 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell | 47,225,896 | | - | | - | | 47,225,896 |
| Agrinvest | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Euro HI | 45,375,520 | | - | | - | | 45,375,520 |
| A | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Euro HI | 10,261,000 | | - | | - | | 10,261,000 |
| B | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Hedge | 21,229,013 | | (21,229,013) | | - | | - |
| Elite | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EPR | 30,125,000 | | - | | - | | 30,125,000 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EBM (3) | 49,587,600 | | - | | - | | 49,587,600 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Agribus | 72,500 | | - | | - | | 72,500 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EI | - | | - | | 39,999,346 | | 39,999,346 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell UK EI | - | | - | | 49,015,722 | | 49,015,722 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell COMAC | - | | - | | 25,526,009 | | 25,526,009 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell USEI A | - | | - | | 48,500,080 | | 48,500,080 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell USEI B | - | | - | | 45,079,125 | | 45,079,125 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Ordinary | 2 | | - | | - | | 2 |
| Shares | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| TOTAL | 692,255,808 | | (21,229,013) | | 208,120,282 | | 879,147,077 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2010
4 SHARE CAPITAL (continued)
Holders of Ordinary Shares shall not be entitled to receive and shall not
participate in any dividends or other distributions out of the profits of the
Company. Holders of Ordinary Shares shall be entitled to receive notice of and
to attend and vote at general meetings. The Ordinary Shares are not redeemable
and comprise the Company's non-cellular assets.
Holders of Enhanced Global Asset Allocation Preference Shares, BNP Paribas FTSE
Summit Preference Shares, BNP Paribas Energy - Base Metals Secure Growth
Preference Shares, BNP Paribas Energy - Base Metals (2) Preference Shares, BNP
Paribas European Shield Preference Shares, BNP Paribas Absolute Progression
Preference Shares, BNP Paribas Agrinvest Preference Shares, Enhanced Property
Recovery Preference Shares, Energy - Base Metals (3) Preference Shares and BNP
Paribas COMAC Shares ("Cell Shares") shall not be entitled to receive and shall
not participate in any dividends or other distributions of the Company.
Holders of BNP Paribas UK High Income Preference Shares, Class A Sterling Hedged
US High Income Preference Shares, Class B Unhedged US High Income Preference
Shares, Class A Sterling Hedged Euro High Income Preference Shares, Class B
Unhedged Euro High Income Preference Shares, Class A Sterling Hedged Enhanced
Income Preference Shares, Class A Sterling Hedged US Enhanced Income Preference
Shares, Class B US Dollar Unhedged US Enhanced Income Preference Shares and UK
Enhanced Income Preference Shares ("Cell Shares") shall be entitled to receive
any dividends or other distributions out of the profits of their respective
cells only, but not out of the non-cellular assets of the Company, other
distributions out of the profits of their respective cells only, but not the
Company.
On their respective redemption dates the holders of Cell Shares shall be
entitled to receive per Cell Share held an amount equal to the net asset value
per Cell Share. As disclosed in the Supplemental Memorandum or Summary and
Securities Note for each cell, the Cell Shares of each cell will be compulsorily
redeemed by the Company on their respective redemption dates.
Holders of Cell Shares shall not be entitled to receive notice of or to attend
or vote at any general meeting of the Company.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
5 SHARE PREMIUM
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Share | | | | | | | Shares |
| Premium | Shares | |Preference | |Preference | | issued as |
| Preference | issued as | | Shares | | Shares | | at 30 |
| Shares | at | | Redeemed | | Issued | | April 2010 |
| | 1 November | | | | | | |
| | 2009 | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | GBP | | GBP | | GBP | | GBP |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EGAA | 14,656,755 | | - | | - | | 14,656,755 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell FTSE S | 47,058,395 | | - | | - | | 47,058,395 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBMSG | 7,747,779 | | - | | - | | 7,747,779 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell UK HI | 143,419,549 | | - | | - | | 143,419,549 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBM (2) | 32,828,140 | | - | | - | | 32,828,140 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell ES | 25,000,000 | | - | | - | | 25,000,000 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Abs Pro | 77,271,523 | | - | | - | | 77,271,523 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell US HI A | 92,942,487 | | - | | - | | 92,942,487 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell US HI B | 30,710,285 | | - | | - | | 30,710,285 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell | 49,516,896 | | - | | - | | 49,516,896 |
| Agrinvest | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Euro HI | 45,375,520 | | - | | - | | 43,375,520 |
| A | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Euro HI | 6,895,958 | | - | | - | | 6,895,958 |
| B | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Hedge | - | | - | | - | | - |
| Elite | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EPR | 30,125,000 | | - | | - | | 30,125,000 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBM (3) | 49,292,100 | | - | | - | | 49,292,100 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell Agribus | 2,502,344 | | - | | - | | 2,502,344 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EI | 42,548,346 | | - | | - | | 42,548,346 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell UK EI | 49,015,722 | | - | | - | | 49,015,722 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell COMAC | 25,526,009 | | - | | - | | 25,526,009 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell USEI A | 48,500,080 | | - | | - | | 48,500,080 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell USEI B | 28,964,898 | | - | | - | | 28,964,898 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| TOTAL | 849,897,786 | | - | | - | | 849,897,786 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Share | | | | | | | Shares |
| Premium | Shares | |Preference | |Preference | | issued as |
| Preference | issued as | | Shares | | Shares | | at 31 |
| Shares | at | | Redeemed | | Issued | | October |
| | 1 November | | | | | | 2009 |
| | 2008 | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | GBP | | GBP | | GBP | | GBP |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EGAA | 14,656,755 | | - | | - | | 14,656,755 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell FTSE S | 47,058,395 | | - | | - | | 47,058,395 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBMSG | 7,747,779 | | - | | - | | 7,747,779 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell UK HI | 143,419,549 | | - | | - | | 143,419,549 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell EBM (2) | 32,828,140 | | - | | - | | 32,828,140 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
| Cell ES | 25,000,000 | | - | | - | | 25,000,000 |
+--------------+-------------+----------+------------+----------+------------+----------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
5 SHARE PREMIUM (continued)
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Share | | | | | | | Shares |
| Premium | Shares | | Preference | | Preference | | issued as |
| Preference | issued as | | Shares | | Shares | | at 31 |
| Shares | at | | Redeemed | | Issued | | October |
| | 1 November | | | | | | 2009 |
| | 2008 | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| | GBP | | GBP | | GBP | | GBP |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Abs Pro | 77,271,523 | | - | | - | | 77,271,523 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell US HI A | 92,942,487 | | - | | - | | 92,942,487 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell US HI B | 30,710,285 | | - | | - | | 30,710,285 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell | 49,516,896 | | - | | - | | 49,516,896 |
| Agrinvest | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Euro HI | 45,375,520 | | - | | - | | 43,375,520 |
| A | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Euro HI | 6,895,958 | | - | | - | | 6,895,958 |
| B | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Hedge | 21,229,013 | | (21,229,013) | | - | | - |
| Elite | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EPR | 30,125,000 | | - | | - | | 30,125,000 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EBM (3) | 49,292,100 | | - | | - | | 49,292,100 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell Agribus | 2,502,344 | | - | | - | | 2,502,344 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell EI | - | | - | | 42,548,346 | | 42,548,346 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell UK EI | - | | - | | 49,015,722 | | 49,015,722 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell COMAC | - | | - | | 25,526,009 | | 25,526,009 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell USEI A | - | | - | | 48,500,080 | | 48,500,080 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| Cell USEI B | - | | - | | 28,964,898 | | 28,964,898 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
| TOTAL | 676,571,744 | | - | | 194,555,055 | | 849,897,786 |
+--------------+-------------+----------+--------------+----------+-------------+----------+-------------+
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The Company's activities expose it to a variety of financial risk: market risk
(including interest rate risk and market price risk), credit risk, liquidity
risk, capital risk and foreign exchange risk.
The Company's overall risk management programme focuses on the unpredictability
of financial markets and seeks to minimise potential adverse effects on the
Company's financial performance. The Company uses derivative financial
instruments to moderate certain risk exposures.
(a) Interest Rate Risk
The Company is not directly exposed to cash flow interest rate risk. Changes in
interest rates may affect the performance of the swap contracts in which each
cell is invested. The Board and the Investment Manager monitor, but cannot
control, interest rate risk.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(b) Market Price Risk
Market price risk arises mainly from uncertainty about future prices of
financial instruments held. It represents the potential loss the Company might
suffer through holding market positions in the face of price movements. The
Investment Manager actively monitors market prices and reports to the Board as
to the appropriateness of the prices used for valuation purposes. On a periodic
basis independent valuations of the Company's investments are obtained from the
Calculation Agent. A list of investments held by the Company is shown in the
Schedule of Investments on pages 79 to 82.
The Investment Manager also monitors on a monthly basis the market price risk of
each Cell's underlying financial assets and liabilities using statistical
measures, such as Delta. Delta is the percentage change in price of a
derivative in relation to a 1% change in the price of the underlying security,
index or rate. As there is no secondary market for the Company's investments,
the Board cannot directly monitor nor control market price risk.
Price sensitivity
If market prices as at 30 April 2010 had been 10 per cent higher, and assuming
these values were to remain unchanged through to the end of the life of the
cells, with all other variables held constant, the increase in net assets
attributable to holders of Cell Shares on the Redemption Date would have been as
stated below, arising due to the increase in the fair value of the financial
assets at fair value through profit or loss.
If market prices as at 30 April 2010 had been 10 per cent lower, and assuming
these values were to remain unchanged through to the end of the life of the
Cells, with all other variables held constant, the increase in net assets
attributable to holders of preference shares on the Redemption Date would have
been as stated below, arising due to the decrease in the fair value of the
financial assets at fair value through profit or loss.
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| | Increase in net assets | | Decrease in net assets |
| | attributable to holders of | | attributable to holders of |
| | Preference Shares | | Preference Shares |
+--------------+------------------------------------+----------+--------------------------------------+
| | Period | | Year | | Period | | Year ended |
| | ended 30 | | ended 31 | | ended 30 | | 31 October |
| | March 2010 | | October | | March | | 2009 |
| | | | 2009 | | 2010 | | |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell | GBP | | GBP | | GBP | | GBP |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| | | | | | | | |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell EGAA | 80,597 | | 49.816 | | (81,407) | | (50,085) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell FTSE S | 809,619 | | 639,513 | | (810,429) | | (640,324) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell EBMSG | 4,451,910 | | 2,634,161 | | (4,451,601) | | (2,634,006) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell UK HI | (4,956,474) | | 9,904,452 | | 4,956,474 | | (9,907,284) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell EBM (2) | 8,485,728 | | 6,305,541 | | (8,482,477) | | (6,306,842) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell ES | 2,974,000 | | 2,720,500 | | (2,976,000) | | (2,719,500) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell Abs Pro | 1,078,322 | | 593,270 | | (1,070,648) | | (2,372,309) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell US HI A | (1,758,779) | | 6,916,755 | | 1,755,081 | | (6,916,755) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell US HI B | (725,292) | | 2,739,718 | | 726,056 | | (2,737,601) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell | 2,121,859 | | 2,518,557 | | (2,222,923) | | (2,515,724) |
| Agrinvest | | | | | | | |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell Euro HI | (6,580,811) | | 2,358,620 | | 6,578,089 | | (2,392,197) |
| A | | | | | | | |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell Euro HI | (1,294,945) | | 486,323 | | 1,295,482 | | (486,508) |
| B | | | | | | | |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell EPR | 3,103,177 | | 3,247,174 | | (3,102,574) | | (3,247,776) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell EBM (3) | 3,420,057 | | 2,396,569 | | (3,423,032) | | (2,393,594) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
| Cell Agribus | 203,763 | | 62,834 | | (214,091) | | (62,834) |
+--------------+-------------+----------+-----------+----------+-------------+----------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(b) Market Price Risk (continued)
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| | Increase in net assets | | Decrease in net assets |
| | attributable to holders of | | attributable to holders of |
| | Preference Shares | | Preference Shares |
+--------------+-------------------------------------+----------+----------------------------------------+
| | Period | | Year | | Period | | Year ended |
| | ended 30 | | ended 31 | | ended 30 | | 31 October |
| | March 2010 | | October | | March | | 2009 |
| | | | 2009 | | 2010 | | |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell | GBP | | GBP | | GBP | | GBP |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell US HI A | (1,758,779) | | 6,916,755 | | 1,755,081 | | (6,916,755) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell US HI B | (725,292) | | 2,739,718 | | 726,056 | | (2,737,601) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell | 2,121,859 | | 2,518,557 | | (2,222,923) | | (2,515,724) |
| Agrinvest | | | | | | | |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell Euro HI | (6,580,811) | | 2,358,620 | | 6,578,089 | | (2,392,197) |
| A | | | | | | | |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell Euro HI | (1,294,945) | | 486,323 | | 1,295,482 | | (486,508) |
| B | | | | | | | |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell EPR | 3,103,177 | | 3,247,174 | | (3,102,574) | | (3,247,776) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell EBM (3) | 3,420,057 | | 2,396,569 | | (3,423.032) | | (2,393,594) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell Agribus | 203,763 | | 62,834 | | (214,091) | | (62,834) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell COMAC | 1,787,842 | | 2,516,099 | | (1,785,799) | | (2,517,630) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell US EI A | 4,755,433 | | 4,526,027 | | (4,750,582) | | (4,524,088) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell US EI B | 2,893,780 | | 2,580,069 | | (2,890,828) | | (2,578,985) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell UK EI | 4,801,578 | | 4,406,513 | | (4,805,504) | | (4,406,514) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| Cell EI | 3,799,938 | | 3,366,745 | | (3,799,938) | | (3,369,145) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| | | | | | | | |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
| | 29,451,301 | | 60,969,256 | | (29,556,648) | | (62,779,701) |
+--------------+-------------+----------+------------+----------+--------------+----------+--------------+
(c) Credit Risk
Credit risk is the risk that an issuer or counterparty will be unable or
unwilling to meet a commitment that it has entered into with the Company. At
the date of this report the Counterparty was rated AA by Standard & Poor's for
credit purposes.
Investors should be aware that repayment by the Company at the relevant
redemption date of the redemption proceeds due to shareholders will only be
performed if the Counterparty satisfies its obligations under the relevant
contract to repay to the Company any amount due. Under the terms of the Credit
Support Deeds between the Company and the Counterparty, the Counterparty is
required to deliver varying amounts of collateral to an escrow account held in
favour of the Company.
Under the terms of credit support deeds entered into between the Counterparty
and the Company acting for and on behalf of each cell, the Counterparty is
required to post collateral in the form of AAA rated government bonds in favour
of the Company acting for and on behalf of each cell, such collateral being
valued on a weekly basis and, if the value of the collateral is less than the
value calculated as specified below (the "Credit Support Amount"), The
Counterparty will provide additional collateral to increase the aggregate value
to at least the Credit Support Amount. Where there is an event of default in
respect of the Conterparty under the swap confirmation, the Company will be
entitled to enforce against the Counterparty its security over the collateral.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(c) Credit Risk (continued)
In respect of all cells other than BNP Paribas Agribusiness, the Credit Support
Amount is the lesser of (a) 100% of the net asset value of the relevant cell and
(b) the total of the Applicable Percentage of such net asset value plus 10% of
such net asset value (where the "Applicable Percentage" is calculated so as to
reflect the percentage of shares in the relevant cell held at the relevant time
by shareholders other than BNP Paribas Arbitrage SNC. The Credit Support Amount
in respect of BNP Paribas Agribusiness is 100% of the net asset value of BNP
Paribas Agribusiness.
The most significant concentration of credit risk for the Company is that the
Counterparty will be unable to satisfy its obligations under the relevant
contract to repay to the Company any amount due. The maximum credit risk
exposure at the reporting date is therefore considered to be the valuation of
the investments at this date, being GBP804.293,815.
The Investment Manager and Administrator monitor collateral posted on a weekly
basis and report to the Board quarterly on the Counterparty's compliance with
the relevant Credit Support Deeds. The Investment Manager and Administrator
have also undertaken to report to the Board immediately if there is a breach of
compliance with the terms of the relevant Credit Support Deeds.
The Board monitors, but cannot control, credit risk.
(d) Liquidity Risk
Liquidity risk is the risk that the Company will encounter difficulty in
realising assets or otherwise raising funds to meet financial commitments. The
only financial commitments of the Company are to meet ongoing expenses and these
are met out of monies provided to the Company's Administrator by BNP Paribas SA.
There is a further liquidity risk in respect of the redemption of shares, the
dates of which are set out in note 6(g)(ii).
As the investments are not traded in an active market, the Company may not be
able to liquidate quickly its investments in these instruments at an amount
close to their fair value to meet its liquidity requirements or to respond to
specific events such as deterioration in the credit worthiness of the
Counterparty.
The Board monitors, but cannot actively control, liquidity risk.
(e) Capital Risk
The Company has an unlimited life but the Protected Cell Shares for each cell
have a fixed redemption date.
The Board of directors believes the current capital structure to be sufficient
in meeting the capital requirements of the Company.
All expenses are borne by BNP Paribas SA and redemption proceeds are limited to
the amounts received, if any, on the maturity or early termination of the
relevant investment contract between the Company and the Counterparty.
Potential losses to shareholders are mitigated by the collateral arrangements
which are set out in note 6(i).
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(f) Foreign Exchange Risk
The carrying amounts of the Company's foreign currency denominated financial
assets at the reporting date are as follows:
+----------------------------+------------+----------+------------+
| | Period | | Year ended |
| | ended | | |
+----------------------------+------------+----------+------------+
| | 30 April | | 31 October |
| | 2010 | | 2009 |
+----------------------------+------------+----------+------------+
| | GBP | | GBP |
+----------------------------+------------+----------+------------+
| | | | |
+----------------------------+------------+----------+------------+
| Euro | 4,576,749 | | 4,878,010 |
+----------------------------+------------+----------+------------+
| US Dollar | 61,087,685 | | 56,058,908 |
+----------------------------+------------+----------+------------+
| Hungarian Forint | 2,509,236 | | 2,239,095 |
+----------------------------+------------+----------+------------+
As subscription, redemption and dividend payments in respect of all cells other
than US High Income are made in the same functional currency, none of the cells
other than US High Income is exposed to foreign exchange risk. Subscription and
redemption payments in respect of Class B US High Income are made in US Dollars,
but dividends are paid in the Sterling equivalent of a fixed US Dollar amount,
unless the relevant shareholder elects to receive their dividends in US Dollars.
As the currency in which these dividends are paid is selected at the option of
the shareholder and may be paid in the functional currency, the directors do not
consider that the Company acting on behalf of US High Income is exposed to
material foreign exchange risk.
(g) Valuation
(i) The notional amounts of the derivative instruments are as follows:
+-----------------------------------+-------------+
| Enhanced Global Asset Allocation | GBP |
| | 13,500,255 |
+-----------------------------------+-------------+
| BNP Paribas FTSE Summit | GBP |
| | 40,501,195 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | GBP |
| Secure Growth | 7,701,999 |
+-----------------------------------+-------------+
| BNP Paribas UK High Income | GBP |
| | 141,613,549 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | GBP |
| (2) | 32,506,140 |
+-----------------------------------+-------------+
| BNP Paribas European Shield | GBP |
| | 25,000,000 |
+-----------------------------------+-------------+
| BNP Paribas Absolute Progression | GBP |
| | 76,748,923 |
+-----------------------------------+-------------+
| US High Income Cell - Class A | GBP |
| | 92,469,987 |
+-----------------------------------+-------------+
| US High Income Cell - Class B | USD |
| | 58,337,229 |
+-----------------------------------+-------------+
| BNP Paribas Agrinvest | GBP |
| | 47,225,896 |
+-----------------------------------+-------------+
| Euro High Income - Class A | GBP |
| | 45,375,520 |
+-----------------------------------+-------------+
| Euro High Income - Class B | EUR |
| | 10,261,000 |
+-----------------------------------+-------------+
| Enhanced Property Recovery | GBP |
| | 30,125,000 |
+-----------------------------------+-------------+
| Energy - Base Metals (3) | GBP |
| | 49,587,600 |
+-----------------------------------+-------------+
| BNP Paribas Agribusiness | HUF 72,500 |
+-----------------------------------+-------------+
| Enhanced Income | GBP |
| | 39,999,346 |
+-----------------------------------+-------------+
| UK Enhanced Income | GBP |
| | 49,015,722 |
+-----------------------------------+-------------+
| BNP Paribas COMAC | GBP |
| | 25,526,009 |
+-----------------------------------+-------------+
| US Enhanced Income - Class A | GBP |
| | 48,500,080 |
+-----------------------------------+-------------+
| US Enhanced Income - Class B | USD |
| | 45,079,125 |
+-----------------------------------+-------------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(g) Valuation
(ii) The maturity dates of the derivative instruments are as follows:
+-----------------------------------+-------------+
| Enhanced Global Asset Allocation | 17 March |
| | 2011 |
+-----------------------------------+-------------+
| BNP Paribas FTSE Summit | 29 June |
| | 2011 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | 29 June |
| Secure Growth | 2011 |
+-----------------------------------+-------------+
| BNP Paribas UK High Income | 8 December |
| | 2011 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | 22 March |
| (2) | 2012 |
+-----------------------------------+-------------+
| BNP Paribas European Shield | 26 April |
| | 2012 |
+-----------------------------------+-------------+
| BNP Paribas Absolute Progression | 26 July |
| | 2012 |
+-----------------------------------+-------------+
| US High Income Cell - Class A | 19 November |
| | 2012 |
+-----------------------------------+-------------+
| US High Income Cell - Class B | 19 November |
| | 2012 |
+-----------------------------------+-------------+
| BNP Paribas Agrinvest | 22 June |
| | 2013 |
+-----------------------------------+-------------+
| Euro High Income - Class A | 24 June |
| | 2013 |
+-----------------------------------+-------------+
| Euro High Income - Class B | 24 June |
| | 2013 |
+-----------------------------------+-------------+
| Enhanced Property Recovery | 13 March |
| | 2014 |
+-----------------------------------+-------------+
| Energy - Base Metals (3) | 5 June 2014 |
+-----------------------------------+-------------+
| BNP Paribas Agribusiness | 10 January |
| | 2011 |
+-----------------------------------+-------------+
| Enhanced Income | *c. 30 |
| | April 2108 |
+-----------------------------------+-------------+
| UK Enhanced Income | 24 |
| | September |
| | 2029 |
+-----------------------------------+-------------+
| BNP Paribas COMAC | 8 June 2029 |
+-----------------------------------+-------------+
| US Enhanced Income - Class A | 16 July |
| | 2029 |
+-----------------------------------+-------------+
| US Enhanced Income - Class B | 16 July |
| | 2029 |
+-----------------------------------+-------------+
*The maturity date of the Enhanced Income cell will be the 26th business day
after the final ex dividend date. As the business days in April 2108 cannot yet
be determined, an approximate date is disclosed.
(iii) Early Settlement Options relating to the derivative contracts
Each contract entered into between the Counterparty and the Company acting for
and on behalf of each cell has been entered into upon terms which allow such
contracts to be terminated, inter alia, in the following circumstances:
(a) by the Company if the Counterparty fails to make a payment under the
relevant contract (subject to a grace period of three local business days) or
makes a representation which is incorrect or misleading in any material respect
or fails to comply with its related obligations;
(b) by the Counterparty if the Company fails to make a payment it is
required to pay under the relevant contract (subject to the grace period
mentioned above); and
(c) by either the Counterparty or the Company if the other party is
dissolved, becomes insolvent or is unable to pay its debts as they become due or
on the occurrence of an illegality or the imposition on payments under the
Contract of a withholding which the Company or the Counterparty, as the case may
be, is unable to gross-up.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(g) Valuation (continued)
(iii) Early Settlement Options relating to the derivative contracts (continued)
It is anticipated that, on early termination of a Contract, a termination
payment would become due to the Company equal to the aggregate net asset value
of the relevant Contract at the date of such termination. The Directors may
reinvest such proceeds as they see fit in investments which in the opinion of
the Directors replicate as nearly as practicable the investment characteristics
of the contract so terminated and so that the proceeds are invested, as nearly
as practicable, in accordance with the Company's stated investment objective for
the relevant cell.
Even if recovered by the Company, any early redemption amount in respect of the
shares of the relevant cell may result in a lower return than would have been
the case if the contract had continued and been performed up to its maturity
date.
In the event that the Directors determine that the investment characteristics of
the Contract cannot be replicated then the Directors will notify Shareholders of
the relevant cell of such circumstances, the relevant early redemption amount
and the relevant early redemption date.
If the Counterparty fails to top up the collateral such that it is equal to at
least the Specified Percentage (as set out in note 6(i) below) or other
circumstances constituting an event of default with respect to the Counterparty
occur, the Company will be entitled to enforce its security over the collateral
as well as to pursue any other remedies it may have against the Conterparty. In
such circumstances, the Company will re-invest the proceeds of realisation of
the collateral or distribute the same to Shareholders.
(h) Periodic Returns on Principal and Timings of Payments
BNP Paribas UK High Income
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the BNP Paribas UK High Income cell, the
Counterparty pays to the Company for the account of the BNP Paribas UK High
Income cell quarterly a Sterling amount equal to 1.875% of the notional amount
of the Swap Confirmation, equivalent to 1.875 pence per BNP Paribas UK High
Income Preference Share, provided that if the underlying portfolio net asset
value reaches 110% of the initial underlying portfolio net asset value
(equivalent to a net asset value of 110 pence per shares), future payments will
increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent
to 2.0625 pence per BNP Paribas UK High Income Preference Share. For each
subsequent 5 per cent increase in the underlying portfolio net asset value,
subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375
pence per BNP Paribas UK High Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments (continued)
US High Income - Class A
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the US High Income cell in respect of Class
A, the Counterparty pays to the Company for the account of the US High Income
cell quarterly a Sterling amount equal to 1.875% of the notional amount of the
Swap Confirmation, equivalent to 1.875 pence per Class A Sterling Hedged US High
Income Preference Share, provided that if the underlying portfolio net asset
value reaches 110% of the initial underlying portfolio net asset value
(equivalent to a net asset value of 110 pence per share), future payments will
increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent
to 2.0625 pence per Class A Sterling Hedged US High Income Preference Share.
For each subsequent 5 per cent increase in the underlying portfolio net asset
value, subsequent quarterly payments will increase by 0.09375%, equivalent to
0.09375 pence per Class A Sterling Hedged US High Income Preference Share.
US High Income - Class B
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the US High Income cell in respect of Class
B, the Counterparty pays to the Company for the account of the US High Income
cell quarterly the Sterling equivalent of an amount equal to 1.875% of the
notional amount of the Swap Confirmation, equivalent to 1.875 cents per Class B
Unhedged US High Income Preference Share, provided that if the underlying
portfolio net asset value reaches 110% of the initial underlying portfolio net
asset value (equivalent to a net asset value of 110 cents per share), future
payments will increase to 2.0625% of the notional amount of the Swap
Confirmation, equivalent to 2.0625 cents per Class B Unhedged US High Income
Preference Share. For each subsequent 5 per cent increase in the underlying
portfolio net asset value, subsequent quarterly payments will increase by
0.09375%, equivalent to 0.09375 cents per Class B Unhedged US High Income
Preference Share. Where holders of Class B Unhedged US High Income Preference
Shares have elected to receive their quarterly dividends in US Dollars, the
Counterparty pays at the request of the Company in US Dollars such proportion of
the quarterly payment as is required to enable the Company to finance the
quarterly dividends payable in US Dollars and the balance in Sterling.
Euro High Income - Class A
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the Euro High Income cell in respect of
Class A, the Counterparty pays to the Company for the account of the Euro High
Income cell quarterly a Sterling amount equal to 1.875% of the notional amount
of the Swap Confirmation, equivalent to 1.875 pence per Class A Sterling Hedged
Euro High Income Preference Share, provided that if the underlying portfolio net
asset value reaches 110% of the initial underlying portfolio net asset value
(equivalent to a net asset value of 110 pence per share), future payments will
increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent
to 2.0625 pence per Class A Sterling Hedged Euro High Income Preference Share.
For each subsequent 5 per cent increase in the underlying portfolio net asset
value, subsequent quarterly payments will increase by 0.09375%, equivalent to
0.09375 pence per Class A Sterling Hedged Euro High Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments (continued)
Euro High Income - Class B
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the Euro High Income cell in respect of
Class B, the Counterparty pays to the Company for the account of the Euro High
Income cell quarterly a Euro amount equal to 1.875% of the notional amount of
the Swap Confirmation, equivalent to 1.875 cents per Class B Unhedged Euro High
Income Preference Share, provided that if the underlying portfolio net asset
value reaches 110% of the initial underlying portfolio net asset value
(equivalent to a net asset value of 110 cents per share), future payments will
increase to 2.0624% of the notional amount of the Swap Confirmation, equivalent
to 2.0625 cents per Class B Unhedged Euro High Income Preference Share. For
each subsequent 5 per cent increase in the underlying portfolio net asset value,
subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375
cents per Class B Unhedged Euro High Income Preference Share.
BNP Paribas Agribusiness Cell
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the BNP Paribas Agribusiness cell, the
Counterparty will pay to the Company for the account of the BNP Paribas
Agribusiness cell five business days before the dividend date, that being on or
about 9 February 2011. The dividend amount will be determined by reference to
the closing level of the BNP Paribas Global Agribusiness Excess Return Index
(the "Index") determined on or about 11 July 2008 (the "Initial Index Level")
and the performance of the Index calculated as of each of seven consecutive
monthly observation dates. If the arithmetic average performance of the Index
on the seven observation dates is equal to or less than zero, the dividend
amount will be zero. If the arithmetic average performance of the Index on the
seven observation dates is greater than zero, the dividend amount will be an
amount in Hungarian Forints equal to (a) HUF10,000 multiplied by (b) the product
of (i)( the Participation Factor (being 100% and (ii) such arithmetic average
performance of the Index.
Enhanced Income
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the Enhanced Income cell, the Counterparty
will pay to the Company for the account of the Enhanced Income cell quarterly a
Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation,
equivalent to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference
Share, provided that if the underlying portfolio net asset value reaches 110% of
the initial underlying portfolio net asset value (equivalent to a net asset
value of 110 pence per share), future payments will increase to 2.20% of the
notional amount of the Swap Confirmation, equivalent to 2.20 pence per Class A
Sterling Hedged Enhanced Income Preference Share. For each subsequent 5 per
cent increase in the underlying portfolio net asset value, subsequent quarterly
payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling
Hedged Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after
having increased to 110% or more of the initial underlying portfolio net asset
value, but has not decreased to less than 100% of the initial underlying
portfolio net asset value, subsequent quarterly payments will reduce to 2.00
pence per Class A Sterling Hedged Enhanced Income Preference Share. If the
underlying portfolio net asset value has fallen below 100 per cent. and below a
lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85%
(down to 5%) of the initial underlying portfolio net asset value, subsequent
dividend payments will be adjusted to be the product of 2.00% and the relevant
percentage threshold level and 100 pence per Class A Sterling Hedged Enhanced
Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments (continued)
UK Enhanced Income
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the UK Enhanced Income cell, the
Counterparty will pay to the Company for the account of the UK Enhanced Income
cell quarterly a Sterling amount equal to 2.00% of the notional amount of the
Swap Confirmation, equivalent to 2.00 pence per UK Enhanced Income Preference
Share, provided that if the underlying portfolio net asset value reaches 110% of
the initial underlying portfolio net asset value (equivalent to a net asset
value of 110 pence per share), future payments will increase to 2.20% of the
notional amount of the Swap Confirmation, equivalent to 2.20 pence per UK
Enhanced Income Preference Share. For each subsequent 5 per cent increase in
the underlying portfolio net asset value, subsequent quarterly payments will
increase by 0.1%, equivalent to 0.1 pence per UK Enhanced Income Preference
Share.
Where the underlying portfolio net asset value subsequently decreases after
having increased to 110% or more of the initial underlying portfolio net asset
value, but has not decreased to less than 100% of the initial underlying
portfolio net asset value, subsequent quarterly payments will reduce to 2.00
pence per UK Enhanced Income Preference Share. If the underlying portfolio net
asset value has fallen below 100 per cent. and below a lower percentage which is
an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the
initial underlying portfolio net asset value, subsequent dividend payments will
be adjusted to be the product of 2.00% and the relevant percentage threshold
level and 100 pence per UK Enhanced Income Preference Share.
US Enhanced Income - Class A
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the US Enhanced Income cell in respect of
Class A, the Counterparty will pay to the Company for the account of the US
Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional
amount of the Swap Confirmation, equivalent to 2.00 pence per Class A Sterling
Hedged US Enhanced Income Preference Share, provided that if the underlying
portfolio net asset value reaches 110% of the initial underlying portfolio net
asset value (equivalent to a net asset value of 110 pence per share), future
payments will increase to 2.20% of the notional amount of the Swap Confirmation,
equivalent to 2.20 pence per BNP Paribas US Enhanced Income Class A Preference
Share. For each subsequent 5 per cent increase in the underlying portfolio net
asset value, subsequent quarterly payments will increase by 0.1%, equivalent to
0.1 pence per Class A Sterling Hedged US Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after
having increased to 110% or more of the initial underlying portfolio net asset
value, but has not decreased to less than 100% of the initial underlying
portfolio net asset value, subsequent quarterly payments will reduce to 2.00
pence per Class A Sterling Hedged US Enhanced Income Preference Share. If the
underlying portfolio net asset value has fallen below 100 per cent. and below a
lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85%
(down to 5%) of the initial underlying portfolio net asset value, subsequent
dividend payments will be adjusted to be the product of 2.00% and the relevant
percentage threshold level and 100 pence per Class A Sterling Hedged US Enhanced
Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments (continued)
US Enhanced Income - Class B
Under the terms of the Swap Confirmation between the Counterparty and the
Company acting for and on behalf of the US Enhanced Income cell in respect of
Class B, the Counterparty will pay to the Company for the account of the US
Enhanced Income cell quarterly a US Dollar amount equal to 2.00% of the notional
amount of the Swap Confirmation, equivalent to 2.00 cents per Class B US Dollar
Unhedged US Enhanced Income Preference Share, provided that if the underlying
portfolio net asset value reaches 110% of the initial underlying portfolio net
asset value (equivalent to a net asset value of 110 cents per share), future
payments will increase to 2.20% of the notional amount of the Swap Confirmation,
equivalent to 2.20 cents per BNP Paribas US Enhanced Income Class B Preference
Share. For each subsequent 5 per cent increase in the underlying portfolio net
asset value, subsequent quarterly payments will increase by 0.1%, equivalent to
0.1 cents per Class A Sterling Hedged US Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after
having increased to 110% or more of the initial underlying portfolio net asset
value, but has not decreased to less than 100% of the initial underlying
portfolio net asset value, subsequent quarterly payments will reduce to 2.00
cents per Class B US Dollar Unhedged US Enhanced Income Preference Share. If the
underlying portfolio net asset value has fallen below 100 per cent. and below a
lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85%
(down to 5%) of the initial underlying portfolio net asset value, subsequent
dividend payments will be adjusted to be the product of 2.00% and the relevant
percentage threshold level and 100 cents per Class B US Dollar Unhedged US
Enhanced Income Preference Share.
(i) Collateral Arrangements
Under the terms of credit support deeds entered into between the Counterparty
and the Company acting for and on behalf of each cell, the Counterparty is
required to post collateral in the form of AAA rated government bonds in favour
of the Company acting for and on behalf of each cell, such collateral being
valued on at a weekly basis and, if the value of the collateral is less than the
Credit Support Amount (as set out in note 6(c) above), the Counterparty will
provide additional collateral to increase the aggregate value to at least
applicable Credit Support Amount. Where there is an event of default in respect
of the Counterparty under the swap confirmation, the Company will be entitled to
enforce its security over the collateral.
The collateral held against all derivative instruments as at 30 April 2010 is
detailed below:
+----------------------------+------------+----------+------------+
| Cell | Period | | Year ended |
| | ended | | |
+----------------------------+------------+----------+------------+
| | 30 April | | 31 October |
| | 2010 | | 2009 |
+----------------------------+------------+----------+------------+
| | GBP | | GBP |
+----------------------------+------------+----------+------------+
| | | | |
+----------------------------+------------+----------+------------+
| EGAA | 5,579,904 | | 6,916,495 |
+----------------------------+------------+----------+------------+
| FTSE S | 7,268,711 | | 8,757,644 |
+----------------------------+------------+----------+------------+
| EBMSG | 4,053,455 | | 3,832,721 |
+----------------------------+------------+----------+------------+
| UK HI | 14,423,130 | | 28,410,783 |
+----------------------------+------------+----------+------------+
| EBM (2) | 8,467,885 | | 8,196,050 |
+----------------------------+------------+----------+------------+
| ES | 6,077,172 | | 7,178,798 |
+----------------------------+------------+----------+------------+
| Abs Pro | 15,238,880 | | 15,762,681 |
+----------------------------+------------+----------+------------+
| US HI | 28,536,631 | | 45,812,877 |
+----------------------------+------------+----------+------------+
| Agrinvest | 17,823,669 | | 21,268,699 |
+----------------------------+------------+----------+------------+
| Euro HI | 4,048,254 | | 4,954,795 |
+----------------------------+------------+----------+------------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(i) Collateral Arrangements (continued)
+----------------------------+------------+----------+------------+
| Cell | Period | | Year ended |
| | ended | | |
+----------------------------+------------+----------+------------+
| | 30 April | | 31 October |
| | 2010 | | 2009 |
+----------------------------+------------+----------+------------+
| | GBP | | GBP |
+----------------------------+------------+----------+------------+
| | | | |
+----------------------------+------------+----------+------------+
| EPR | 12,518,113 | | 13,404,525 |
+----------------------------+------------+----------+------------+
| EBM (3) | 17,706,012 | | 18,010,161 |
+----------------------------+------------+----------+------------+
| Agribus | 3,145,917 | | 3,085,963 |
+----------------------------+------------+----------+------------+
| COMAC | 3,824,370 | | 11,645,744 |
+----------------------------+------------+----------+------------+
| US EI | 56,588,042 | | 45,067,271 |
+----------------------------+------------+----------+------------+
| UK EI | 29,945,184 | | 1,374,050 |
+----------------------------+------------+----------+------------+
| EI | 26,790,728 | | 27,472,475 |
+----------------------------+------------+----------+------------+
(j) Finance Costs and Expenses
All payments by the Company are made in Sterling, except that the Investment
Manager's fees in respect of Class B of US High Income and US Enhanced Income
are paid in US Dollars, the Investment Manager's fees in respect of Class B of
Euro High Income are paid in Euros and the Investment Manager's fees in respect
of BNP Paribas Agribusiness are paid in Hungarian Forints.
All expenses are met out of monies provided by BNP Paribas.
Quarterly payments to the Company for the account of the US High Income cell in
respect of Class B are made in Sterling, except that if the Company so elects by
notice in writing to the Counterparty specifying the portion of the derivative
contract in respect of which the Company wishes to receive payment in US
Dollars, such payment is paid in part, in US Dollars in an amount equal to the
product of (a) the number of Units so specified, (b) USD 1.00 and (c) the
underlying dividend rate (as explained further at note 6(h) above) and (2) as to
the balance in Sterling in an amount equal to the product of (x) the remaining
number of Units, (y) the Sterling Amount which could be purchased with USD 1.00
at the applicable Forward Rate and (z) the underlying dividend rate) as
explained further at note 6(h) above). Such election will be made to satisfy
elections from holders of Class B Unhedged US High Income Preference Shares to
receive their dividends in US Dollars.
Dividends paid by the Company to holders of Class B Unhedged US High Income
Preference Shares are paid in Sterling except that, where holders of such shares
have elected to receive their dividends in US Dollars, such dividends will be
paid in US Dollars in an amount equal to (a) the number of Class B Unhedged US
High Income Preference Shares in respect of which such election is made, (b) USD
1.00 and (c) the underlying dividend rate (as explained further at note 6(h)
above).
Quarterly payments to the Company for the account of the Euro High Income cell
in respect of Class B are made in Euros.
Dividends paid by the Company to holders of Class B Unhedged Euro High Income
Preference Shares are paid in Euros.
Payments to the Company for the account of the BNP Paribas Agribusiness cell are
made in Hungarian Forints.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(j) Finance Costs and Expenses (continued)
Dividends paid by the Company to holders of BNP Paribas Agribusiness Preference
Shares are paid in Hungarian Forints.
Payments to the Company for the account of the US Enhanced Income cell in
respect of Class B are made in US Dollars.
Dividends paid by the Company to holders of Class B US Dollar Unhedged US
Enhanced Income Preference Shares are paid in US Dollars.
7 RELATED PARTY TRANSACTIONS
Anson Fund Managers Limited is the Administrator and Secretary of the Company
and Anson Registrars Limited is the Registrar of the Company. John R Le Prevost
is a director of both these companies. During the period under review, the
Administrator charged fees of GBP141,420 (Apr 2009: GBP116,613) in respect of
its administration of the Company of which GBP22,555 (Apr 2009: GBP18,819) was
outstanding at the year end and the Registrar charged fees of GBP24,506 (Apr
2009: GBP25,905) in respect of registration services on behalf of the Company of
which GBP3,262 (Apr 2009: GBP2,555) was outstanding at the period end.
Anson Group Limited is the ultimate controlling party of Anson Fund Managers
Limited and Anson Registrars Limited, John R Le Prevost and Peter Atkinson are
directors of Anson Group Limited.
Harewood Asset Management SAS, the Investment Manager, and BNP Paribas Arbitrage
SNC, the Company's ultimate controlling party, are both members of the BNP
Paribas Group.
During the period under review the Investment Manager charged fees of GBP428,751
(Apr 2009: GBP359,196), of which GBPNil (Apr 2009: GBPNil) was outstanding at
the period end.
As described elsewhere in the financial statements, BNP Paribas, a member of the
BNP Paribas Group, was appointed as Distributor of Preference Shares in all the
cells and is also the counterparty to the Index Derivative Contracts entered
into by the Company on behalf of all cells. All these transactions and
arrangements have been entered into on an arms length basis. At the end of the
period BNP Paribas Group and its subsidiaries held the following shares in
issue:
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
7 RELATED PARTY TRANSACTIONS (continued)
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| | As at | | | | As at | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| | 30 Apr | | | | 31 Oct | | |
| | 2010 | | | | 2009 | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| | Shares | | % of | | Shares | | % of |
| | | | total | | | | total |
| | | | shares | | | | shares |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| Enhanced Global Asset | 11,173,440 | | 82.76% | | 9,834,455 | | 72.85% |
| Allocation | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas FTSE Summit | 39,170,113 | | 96.71% | | 37,706,666 | | 93.10% |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Energy - Base | 7,409,123 | | 96.20% | | 7,132,473 | | 92.61% |
| Metals | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas UK High | 118,501,708 | | 83.68% | | 102,157,816 | | 72.14% |
| Income | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Energy - Base | 31,328,388 | | 96.38% | | 31,280,354 | | 96.23% |
| Metals (2) | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas European | 21,577,692 | | 86.31% | | 20,072,414 | | 80.29% |
| Shield | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Absolute | 72,159,504 | | 94.02% | | 71,184,880 | | 92.75% |
| Progression | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| US High Income - Class A | | | | | | | |
| Sterling Hedged | 71,154,566 | | 76.95% | | 52,161,572 | | 56.41% |
| Preference Shares | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| US High Income - Class B | 48,687,562 | | 83.46% | | 46,159,495 | | 79.13% |
| Unhedged Preference | | | | | | | |
| Shares | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Agrinvest | 35,103,169 | | 74.33% | | 31,226,277 | | 66.12% |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| Euro High Income - Class | 43,990,893 | | 96.95% | | 43,643,993 | | 96.21% |
| A Sterling Hedged | | | | | | | |
| Preference Shares | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| Euro High Income - Class | 9,430,212 | | 91.90% | | 9,095,212 | | 88.64% |
| B Unhedged Preference | | | | | | | |
| Shares | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Enhanced | 14,782,549 | | 49.07% | | 14,020,594 | | 46.54% |
| Property Recovery | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| Energy - Base Metals (3) | 38,766,175 | | 78.18% | | 37,289,818 | | 75.20% |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Agribusiness | - | | 0.00% | | - | | 0.00% |
| Cell | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP Paribas Enhanced | 21,088,734 | | 52.72% | | 20,704,734 | | 51.76% |
| Income | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| BNP COMAC | 22,611,046 | | 88.58% | | 13,467,175 | | 52.76% |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| US Enhanced Income - | 27,124,910 | | 55.93% | | 30,468,910 | | 62.82% |
| Class A | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| US Enhanced Income - | 17,119,738 | | 37.98% | | 19.252,738 | | 42.71% |
| Class B | | | | | | | |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
| UK Enhanced Income | 29,519,181 | | 60.22% | | 34,953,181 | | 71.31% |
+---------------------------+-------------+----------+--------+----------+-------------+----------+--------+
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2010
7 RELATED PARTY TRANSACTIONS (continued)
+-----------------------+-----------+----------+------------+
| ONGOING EXPENSES | Period | | Period |
| | ended | | ended |
+-----------------------+-----------+----------+------------+
| | 30 Apr | | 30 Apr |
| | 2010 | | 2009 |
+-----------------------+-----------+----------+------------+
| | TOTAL | | TOTAL |
+-----------------------+-----------+----------+------------+
| | GBP | | GBP |
+-----------------------+-----------+----------+------------+
| | | | |
+-----------------------+-----------+----------+------------+
| Administration fees | 141,420 | | 116,613 |
+-----------------------+-----------+----------+------------+
| Directors' | 11,200 | | 10,400 |
| remuneration | | | |
+-----------------------+-----------+----------+------------+
| Registration fees | 24,506 | | 25,905 |
+-----------------------+-----------+----------+------------+
| Custody fees | 91,935 | | 88,803 |
+-----------------------+-----------+----------+------------+
| Investment management | 428,751 | | 359,196 |
| fees | | | |
+-----------------------+-----------+----------+------------+
| Audit fees | 18,750 | | 52,250 |
+-----------------------+-----------+----------+------------+
| Annual fees | 14,234 | | 39,379 |
+-----------------------+-----------+----------+------------+
| Other operating | 21,107 | | 20,241 |
| expenses | | | |
+-----------------------+-----------+----------+------------+
| | | | |
+-----------------------+-----------+----------+------------+
| | 751,902 | | 712,787 |
+-----------------------+-----------+----------+------------+
All expenses are accounted for on an accruals basis and are borne by BNP Paribas
SA.
8 ULTIMATE CONTROLLING PARTY
The ultimate controlling party is BNP Paribas Arbitrage SNC as holder of the two
Ordinary Shares in issue.
9 SUBSEQUENT EVENTS
During the period it was agreed by the Board of directors that it was no longer
in the best interests of the Company, Euro High Income (the "Cell") or the
holders of Class A Sterling Hedged Euro High Income Preference Shares ("Class A
Shares") and Class B Unhedged Euro High Income Preference Shares ("Class B
Shares") for the Company to continue to pursue its stated investment objective
for the Cell. At class meetings of holders of Class A Shares and Class B Shares
held on 25 June 2010, the holders of such shares determined that the specific
terms and conditions of the Class A Shares and Class B Shares be varied so that
the Redemption Date in respect of Class A Shares and Class B Shares be amended
to 29 June 2010. At the date of approval of this report, it is expected that
redemption proceeds will be paid to the holders of Class A Shares and Class B
Shares on 30 June 2010.
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS
as at 30 April 2010
+--------------------------+-------------+----------+------------+----------+----------------+
| | as at 30 April 2010 |
+--------------------------+-----------------------------------------------------------------+
| | NOMINAL | | VALUATION | | TOTAL NET |
| | | | | | ASSETS |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | GBP | | % |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Enhanced Global Asset | | | | | |
| Allocation | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 18,478,204 | | 2.30% |
| Derivative Contract | 13,500,255 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas FTSE Summit | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 52,579,056 | | 6.54% |
| Derivative Contract | 40,501,195 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Energy - | | | | | |
| Base Metals | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Secure Growth | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 25,568,172 | | 3.18% |
| Derivative Contract | 7,701,999 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas UK High | | | | | |
| Income | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 87,672,948 | | 10.90% |
| Derivative Contract | 141,613,549 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Energy - | | | | | |
| Base Metals (2) | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 58,831,237 | | 7.31% |
| Derivative Contract | 32,506,140 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas European | | | | | |
| Shield | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 22,368,500 | | 2.78% |
| Derivative Contract | 25,000,000 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Absolute | | | | | |
| Progression | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 94,113,367 | | 11.70% |
| Derivative Contract | 76,748,923 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| US High Income - Class A | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 62,678,007 | | 7.79% |
| Derivative Contract | 92,469,987 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| US High Income - Class B | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | USD | | 30,443,060 | | 3.78% |
| Derivative Contract | 58,337,229 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Agrinvest | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 47,989,539 | | 5.97% |
| Derivative Contract | 47,225,896 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Euro High Income - Class | | | | | |
| A | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 22,779,872 | | 2.31% |
| Derivative Cell | 45,375,520 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Euro High Income - Class | | | | | |
| B | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | EUR | | 4,576,749 | | 0.57% |
| Derivative Contract | 10,261,000 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Enhanced Property | | | | | |
| Recovery | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 18,619,961 | | 2.31% |
| Derivative Contract | 30,125,000 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Energy - Base Metals (3) | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 54,701,569 | | 6.80% |
| Derivative Contract | 49,587,600 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Agribusiness | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | HUF 72,500 | | 2,509,236 | | 0.31% |
| Derivative Contract | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Enhanced Income | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 44,643,270 | | 5.55% |
| Derivative Contract | 39,999,346 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS (continued)
as at 30 April 2010
+--------------------------+-------------+----------+-------------+----------+----------------+
| | as at 30 April 2010 |
+--------------------------+------------------------------------------------------------------+
| | NOMINAL | | VALUATION | | TOTAL NET |
| | | | | | ASSETS |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | GBP | | % |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas UK Enhanced | | | | | |
| Income Cell | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | GBP | | 52,086,067 | | 6.48% |
| Derivative Contract | 49,015,722 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas COMAC | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | GBP | | 17,596,610 | | 2.19% |
| Derivative Contract | 25,526,009 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| US Enhanced Income - | | | | | |
| Class A | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | GBP | | 55,413,766 | | 6.89% |
| Derivative Contract | 48,500,080 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| Euro High Income - Class | | | | | |
| B | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | USD | | 30,644,625 | | 3.81% |
| Derivative Contract | 45,079,125 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| TOTAL | | | 804,293,815 | | 99.99% |
+--------------------------+-------------+----------+-------------+----------+----------------+
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS
as at 31 October 2009
+--------------------------+-------------+----------+------------+----------+----------------+
| | as at 31 October 2009 |
+--------------------------+-----------------------------------------------------------------+
| | NOMINAL | | VALUATION | | TOTAL NET |
| | | | | | ASSETS |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | GBP | | % |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Enhanced Global Asset | | | | | |
| Allocation | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 18,346,981 | | 2.30% |
| Derivative Contract | 13,500,255 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas FTSE Summit | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 52,109,243 | | 6.54% |
| Derivative Contract | 40,501,195 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Energy - | | | | | |
| Base Metals | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Secure Growth | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 21,004,044 | | 2.64% |
| Derivative Contract | 7,701,999 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas UK High | | | | | |
| Income | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 97,693,523 | | 12.26% |
| Derivative Contract | 141,613,549 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Energy - | | | | | |
| Base Metals (2) | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 51,769,929 | | 6.50% |
| Derivative Contract | 32,506,140 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas European | | | | | |
| Shield | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 21,984,500 | | 2.76% |
| Derivative Contract | 25,000,000 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Absolute | | | | | |
| Progression | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 90,578,311 | | 11.37% |
| Derivative Contract | 76,748,923 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| US High Income - Class A | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 68,437,037 | | 8.59% |
| Derivative Contract | 92,469,987 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| US High Income - Class B | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | USD | | 27,073,356 | | 3.40% |
| Derivative Contract | 58,337,229 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Agrinvest | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 48,357,901 | | 6.07% |
| Derivative Contract | 47,225,896 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Euro High Income - Class | | | | | |
| A | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 24,281,348 | | 3.05% |
| Derivative Cell | 45,375,520 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Euro High Income - Class | | | | | |
| B | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | EUR | | 4,878,010 | | 0.61% |
| Derivative Contract | 10,261,000 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Enhanced Property | | | | | |
| Recovery | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 20,238,276 | | 2.54% |
| Derivative Contract | 30,125,000 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Energy - Base Metals (3) | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 51,911,771 | | 6.52% |
| Derivative Contract | 49,587,600 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Agribusiness | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | HUF 72,500 | | 2,239,095 | | 0.28% |
| Derivative Contract | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| Enhanced Income | | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
| BNP Paribas Index | GBP | | 45,540,455 | | 5.72% |
| Derivative Contract | 39,999,346 | | | | |
+--------------------------+-------------+----------+------------+----------+----------------+
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS (continued)
as at 31 October 2009
+--------------------------+-------------+----------+-------------+----------+----------------+
| | as at 31 October 2009 |
+--------------------------+------------------------------------------------------------------+
| | NOMINAL | | VALUATION | | TOTAL NET |
| | | | | | ASSETS |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | GBP | | % |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas UK Enhanced | | | | | |
| Income Cell | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | GBP | | 49,844,088 | | 6.26% |
| Derivative Contract | 49,015,722 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas COMAC | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | GBP | | 20,010,604 | | 2.51% |
| Derivative Contract | 25,526,009 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| US Enhanced Income - | | | | | |
| Class A | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | GBP | | 51,287,865 | | 6.44% |
| Derivative Contract | 48,500,080 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| Euro High Income - Class | | | | | |
| B | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| BNP Paribas Index | USD | | 28,985,552 | | 3.64% |
| Derivative Contract | 45,079,125 | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| | | | | | |
+--------------------------+-------------+----------+-------------+----------+----------------+
| TOTAL | | | 796,571,889 | | 100.00% |
+--------------------------+-------------+----------+-------------+----------+----------------+
Harewood Structured Investment PCC Limited (the "Company")
DIRECTORS AND SERVICE PROVIDERS
+------------------------------+------------------------------+
| Directors | Investment Manager |
| Peter John Granville | Harewood Asset Management |
| Atkinson | SAS |
| Francois-Xavier Foucault | 20 Boulevard des Italiens |
| John Reginald Le Prevost | 75009-Paris |
| Youri Siegel | France |
| | |
+------------------------------+------------------------------+
| Administrator and Secretary | Solicitors to the Company |
| Anson Fund Managers Limited | (English Law) |
| Anson Place | Clifford Chance LLP |
| Mill Court | 10 Upper Bank Street |
| La Charroterie | London E14 5JJ |
| St. Peter Port | England |
| Guernsey GY1 1EJ | |
| | |
+------------------------------+------------------------------+
| Auditors | Advocates to the Company |
| PricewaterhouseCoopers CI | (Guernsey Law)Ozannes |
| LLP | 1 Le Marchant Street |
| PO Box 321 | St. Peter Port |
| National Westminster House | Guernsey GY1 4HP |
| Le Truchot | |
| St. Peter Port | |
| Guernsey GY1 4ND | |
| | |
+------------------------------+------------------------------+
| Custodian | Registrar, Transfer Agent & |
| BNP Paribas Securities | Paying Agent |
| Services, Luxembourg Branch | Anson Registrars Limited |
| 33, Rue de Gasperich | PO Box 426 |
| Howald-Hesperange | Anson Place |
| L-2085 Luxembourg | Mill Court |
| | La Charroterie |
| | St Peter Port |
| | Guernsey |
| | GY1 3WX |
| | |
+------------------------------+------------------------------+
| Investment Counterparty | Registered Office |
| BNP Paribas | Anson Place |
| 10 Harewood Avenue | Mill Court |
| London NW1 6AA | La Charroterie |
| England | St Peter Port |
| | Guernsey |
| | GY1 1EJ |
| | |
+------------------------------+------------------------------+
Harewood Structured Investment PCC Limited (the "Company")
SHAREHOLDER INFORMATION
Shares of all cells other than BNP Paribas Agribusiness are listed on the
Channel Islands Stock Exchange and may be dealt in directly through a
stockbroker or professional adviser acting on an investor's behalf. The buying
and selling of such shares may be settled through CREST. Announcements to
holders of such shares and daily market closing prices are available on
Bloomberg, Reuters and the Channel Islands Stock Exchange's web-site.
Further information relating to such shares is available from BNP Paribas,
telephone 44 (0)207 595 8056 or e-mail harewood_solutions@bnpparibas.com, and
from Anson Fund Managers Limited, telephone 44 (0)1481 722 260 or e-mail:
reception@anson-group.com.
Shares of BNP Paribas Agribusiness are listed on the Budapest Stock Exchange and
may be dealt in directly through a Hungarian-domiciled stockbroker or
professional adviser acting on an investor's behalf. The buying and selling of
such shares may be settled through KELER, the Hungarian domestic settlement
system. Announcements to holders of such shares are available on the web-site
of the Budapest Stock Exchange Company Limited by Shares.
Further information relating to such shares is available from BNP Paribas,
telephone 44 (0)207 595 8442 or e-mail EQD_CEE@bnpparibas.com, and from Anson
Fund Managers Limited, telephone 44 (0)1481 722 260 or e-mail:
reception@anson-group.com.
The Annual Financial Report for the year ended 31 October 2010 is intended to be
made public in February 2011 and sent to shareholders as soon as possible
thereafter.
REGISTRAR ENQUIRIES
The Company's registrar is Anson Registrars Limited in Guernsey and they can be
contacted on 01481 711301.
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR MMGFVKGLGGZM
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