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RNS Number : 9205B
Harewood Structured Investment PCC
25 February 2011
Harewood Structured Investment PCC Limited (the "Company")
PRELIMINARY ANNOUNCEMENT OF ANNUAL RESULTS
The directors announce the statement of results for the year
ended 31 October 2010 as follows:
ABOUT THE COMPANY
Harewood Structured Investment PCC Limited, a closed-ended
protected cell investment company, was incorporated with limited
liability in Guernsey with limited liability on 27 January 2005
when two Ordinary Shares were issued for administrative
purposes.
The Company 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 and
issued at an issue price of GBP1 each.
On 6 July 2006 a further 5,000,000 EGAA Shares were allotted and
issued at an issue 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 and issued at an issue price of GBP1 each. On 6 July 2006
a further 8,000,000 FSM Shares were allotted and issued at an issue
price of 121.84 pence each. On 14 March 2007 a further 20,000,000
FSM Shares were allotted and issued at an issue 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 and issued at
an issue price of GBP1 each. On 25 November 2005 a further 700,000
EBM Shares were allotted and issued at an issue price of 106.54
pence each. The EBM Shares had a defined investment life to 5 July
2010 whereupon they were compulsory redeemed.
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 and issued at an issue price of GBP1 each. On 26
May 2006 a further 30,000,000 UKHI Shares were allotted and issued
at an issue price of 102.47 pence each and on 28 September 2006 a
further 50,000,000 shares were allotted and issued at an issue
price of 104.00 pence each and on 4 June 2007 a further 15,000,000
UKHI Shares were allotted and issued at an issue 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 and issued at an issue price of
GBP1 each. On 6 July 2006 a further 5,000,000 EBM2 Shares were
allotted and issued at an issue 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 and issued at an issue price 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 and issued at an issue price of GBP1
each. On 23 January 2007 a further 15,000,000 BAP Shares were
allotted and issued at an issue price of 108.484 pence each. 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 and issued at an issue price of GBP1
each. On 4 June 2007 a further 15,000,000 Class A USHI Shares were
allotted and issued at an issue 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 and issued at an issue price of $1 each. On 4
June 2007 a further 15,000,000 Class B USHI Shares were allotted
and issued at an issue 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 and issued at an issue price of GBP1
each.
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 and issued at an issue price of EUR1 each.
Whilst at the time of issue the Class A EUHI Shares and the
Class B EUHI Shares had a defined investment life to 1 July 2013
whereupon they would be compulsory redeemed, it was agreed by the
Board of directors in May 2010 that it was no longer in the best
interests of the Company, Euro High Income Cell (the "Cell") or the
holders of Class A EUHI Shares and Class B EUHI Shares for the
Company to continue to pursue its stated investment objective for
the Cell. At class meetings of each share class held on 25 June
2010 it was resolved to terminate the Cell and all such shares were
compulsory redeemed on 29 June 2010.
On 21 June 2007, 37,225,896 BNP Paribas Agrinvest Preference
Shares ("Agrinvest Shares") of the BNP Paribas Agrinvest cell were
allotted and issued 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 12 March 2008, 30,125,000 Enhanced Property Recovery
Preference Shares (the "EPR Shares") of the Enhanced Property
Recovery cell were allotted and issued 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 ("EBMC Shares") of the Energy - Base Metals (3) cell were
allotted and issued at an issue price of GBP1.00 each. On 5
September 2008 a further 15,000,000 EBMC Shares were allotted and
issued at an issue 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 ("AGRI Shares") of the BNP Paribas Agribusiness cell were
allotted and issued at an issue price of HUF 10,000 each. The AGRI
Shares had a defined investment life to 11 February 2011 whereupon
they were compulsory redeemed.
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 and issued at an issue price of GBP1
each. On 8 October 2009 a further 15,000,000 Class A EIF Shares
were allotted and issued at an issue price of 117.86 pence each.
The Class A EIF Shares have a defined investment life to 19 March
2108 whereupon they will be subject to compulsory redemption on
circa 10 May 2108.
*The maturity date of the Class A EIF Shares will be the
twenty-fourth business day following the relevant record date. As
the business days in 2108 cannot yet be accurately determined, an
approximate date is disclosed.
On 29 May 2009, 25,526,009 Class A Sterling Hedged COMAC
Preference Shares ("COM Shares") of the BNP Paribas COMAC cell were
allotted and issued at an issue price of GBP1 each. The COM Shares
have a defined investment life to 01 June 2029 whereupon they will
be subject to compulsory redemption on the fifth business day
following 01 June 2029.
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 and issued at an issue price of GBP1
each. The Class A USEI Shares have a defined investment life to 16
July 2029 whereupon they will be subject to compulsory redemption
on circa *1 September 2029.
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 and issued at an issue price of $1 each. On 8
October 2009 a further 20,000,000 Class B USEI Shares were allotted
and issued at an issue price of 109.64 cents each. The Class B USEI
Shares have a defined investment life to 16 July 2029 whereupon
they will be subject to compulsory redemption on circa *1 September
2029.
*The maturity date of the Class A USEI Shares and Class B USEI
Shares will be the twenty-fourth business day following the
relevant record date. As the business days in 2029 cannot yet be
accurately determined, an approximate date is disclosed.
On 23 September 2009, 49,015,722 UK Enhanced Income Preference
Shares ("UKEI Shares") of the UK Enhanced Income cell were allotted
and issued at an issue price of GBP1 each. The UKEI Shares have a
defined investment life to 24 September 2029 whereupon they will be
subject to compulsorily redemption on circa 8 November 2029.
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 all shares in issue are
listed on the Channel Islands Stock Exchange. The AGRI Shares were
until 10 January 2011 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 all 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.
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
Transforming Projects, Quality Control and Regulatory affairs for
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 the co-head of Regulatory
Structuring within the Global Structuring Group of BNP Paribas. He
has also held similar roles at Societe 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 - Investment Counterparty and Distributor
The Investment Counterparty and Distributor in respect of all
the cells of the Company is BNP Paribas SA. The duty of the
Investment Counterparty, in respect of each individual cell, is
that of the issuer of debt securities or other financial
instruments or the provide of a derivative contract or other
financial instrument. The duties of the Distributor includes, inter
alia, the preparation of literature to promote the Company and
relevant Cell within the United Kingdom and to ensure it complies
with the applicable UK requirements and other applicable laws and
regulatory requirements, promoting within the United Kingdom
investment in the shares of the Company and researching, evaluating
and identifying marketing opportunities for promoting investments
in the shares of the Company.
BNP Paribas SA is a company in the BNP Paribas Group (the
"Group"). As of 29 October 2010 the Group had an equity market
capitalisation of EUR62.97 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 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 31 December
2009 was EUR5.83 billion.
Harewood Asset Management SAS - Investment Manager
The Investment Manager in respect of all cells of the Company,
with the exception of Agribusiness, is Harewood Asset Management
SAS. The role of the Investment Manager includes, inter alia, the
making of investment decisions on behalf of the Company in respect
of the assets of the relevant Cell and monitoring the investments
attributable to that Cell. BNP Paribas Agribusiness has not
appointed an Investment Manager.
The Investment Manager is organised as a French Societe par
Actions Simplifiee, 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 Autorite des Marches 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 Autorite des Marches
Financiers underthe Reglement General de l'Autorite des Marches
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 31 December 2009, Harewood Asset Management was
responsible for the investment management of EUR4 billion across
100 funds.
BNP Paribas Securities Services, Luxembourg Branch -
Custodian
BNP Paribas Securities Services, Luxembourg Branch have been
appointed by the Company as custodian of the assets of the Company.
The Custodian will, amongst carrying out other duties, be
responsible for holding assets for the Company and presenting the
same for redemption and receiving the proceeds of such redemptions
for and on behalf of the Company for the account of the relevant
cell for onward payment to Shareholders upon applicable redemption.
The Custodian also holds custody over the collateral accounts of
each cell, as described on page 33.
The Custodian is the Luxembourg Branch of BNP Paribas Securities
Services, a fully licensed bank incorporated under French law as a
societe 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 Comite
des Etablissements de Credit 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 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
The Enhanced Global Asset Allocation Cell (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. 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 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.
The BNP Paribas FTSE Summit Cell (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.
The BNP Paribas Energy - Base Metals Secure Growth Cell (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") was 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 was 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 were priced
in US Dollars, may have been 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 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.
In accordance with their defined investment life, all EBM Shares
were compulsorily redeemed on 5 July 2010.
The BNP Paribas UK High Income Cell (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"), 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 (a) 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 (b) 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.
The BNP Paribas Energy - Base Metals (2) Cell (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.
The BNP Paribas European Shield Cell (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(R) 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 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.
The BNP Paribas Absolute Progression Cell (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
Summary and Securities Note, a copy of which is available from
the Administrator and from the Distributor.
The US High Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the US 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 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.
The Euro High Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect
of theEuro High Income Preference Shares (herein the "Shares") was
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(R) 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(R) Index, with a term and maturity matching the
term of the Shares, aimed 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 were
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.
Whilst at the time of issue the Class A EUHI Shares and the
Class B EUHI Shares had a defined investment life to 1 July 2013
whereupon they would be compulsory redeemed, it was agreed by the
Board of directors in May 2010 that it was no longer in the best
interests of the Company, Euro High Income Cell (the "Cell") or the
holders of Class A EUHI Shares and Class B EUHI Shares for the
Company to continue to pursue its stated investment objective for
the Cell. At class meetings of each share class held on 25 June
2010 it was resolved to terminate the Cell and all such shares were
compulsory redeemed on 29 June 2010.
The BNP Paribas Agrinvest Preference Cell (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(R) 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.
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.
The Enhanced Property Recovery Cell (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 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 thelevels 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.
The Energy - Base Metals (3) Cell (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 commoditiescomprised 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.
The BNP Paribas Agribusiness Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas Agribusiness Preference Shares (herein the
"Shares") was 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 was 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.
All of these returns were received by holders of the Shares and
they were, in accordance with their defined life, compulsory
redeemed on 11 February 2011.
The Enhanced Income Cell (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(R) 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.
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.
The BNP Paribas COMAC Cell (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.
The US Enhanced Income Cell (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(R) 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.
The UK Enhanced Income Cell (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.
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.
NET ASSET VALUES
As at 29 October 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
29 Oct 2010 30 Oct 2009
Enhanced Global Asset Allocation ("EGAA") 137.56 pence 135.90 pence
BNP Paribas FTSE Summit ("FTSE S") 129.75 pence 128.66 pence
BNP Paribas Energy - Base Metals Secure - 272.70 pence
Growth ("EBSMG")
BNP Paribas UK High Income ("UK HI") 56.52 pence 68.98 pence
BNP Paribas Energy - Base Metals (2) 176.14 pence 159.26 pence
("EBM (2)")
BNP Paribas European Shield ("ES") 92.27 pence 87.93 pence
BNP Paribas Absolute Progression ("Abs 123.66 pence 118.01 pence
Pro")
US High Income - Class A ("US HI A") 66.33 pence 74.01 pence
US High Income - Class B ("US HI B") 69.71 US$ cents 76.31 US$ cents
Euro High Income - Class A ("Euro HI - 53.51 pence
A")
Euro High Income - Class B ("Euro HI - 53.15 Euro
B") cents
BNP Paribas Agrinvest ("Agrinvest") 126.24 pence 102.39 pence
Enhanced Property Recovery ("EHPR") 79.37 pence 67.18 pence
Energy - Base Metals (3) ("EMB (3)") 110.85 pence 104.68 pence
BNP Paribas Agribusiness ("Agribusiness") 10,886 HUF 9,479 HUF
Enhanced Income - Class A ("EIF") 108.88 pence 113.85 pence
BNP Paribas COMAC ("COM") 84.75 pence 78.39 pence
US Enhanced Income - Class A ("US EI 105.57 pence 105.74 pence
A")
US Enhanced Income - Class B ("US EI 105.83 US$ 105.73 US$
B") cents cents
UK Enhanced Income ("UKEI") 100.52 pence 101.69 pence
MANAGEMENT REPORT
A description of important events which have occurred during the
financial year, their impact on the performance of the Company as
shown in the financial statements and a description of the
principal risks and uncertainties facing the Company is given in
the Investment Manager's Report on pages 35 to 56 and is
incorporated here by reference.
Details of related party transactions are given in note 7 to the
financial statements. Details of material related party
transactions are referred to on page 28.
Going Concern
The performance of the investments held by the Company for the
account of each of its cells over the year and the outlook for the
future are described in the Investment Manager's Report. The
Company's financial position, its cash flows and liquidity position
are set out in the financial statements and the Company's financial
risk management objectives and policies are set out at note 6 to
the financial statements.
As disclosed in note 6(d) to the financial statements, the only
financial commitments of the Company are its ongoing operating
expenses and obligations to shareholders on the redemption of their
shares of a cell. BNP Paribas has agreed to reimburse the Company
for or, on behalf of the Company, pay in full all of its ongoing
operating expenses. On the redemption of shares of a cell the
holders of such shares shall only be entitled to the net asset
value of such shares, which will be calculated by reference to the
proceeds received under the relevant contract entered into between
the Company acting on behalf of the relevant cell and BNP Paribas
on the maturity or early termination of that contract.
After making enquiries, the directors have a reasonable
expectation that the Company has adequate resources to continue in
operational existence for the foreseeable future.
Responsibility Statement
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 fair review of the development and performance of the business
and the position of the Company, together with a description of the
principal risks and uncertainties that it faces.
John R Le Prevost Peter Atkinson
Director Director
25 February 2011
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 29
October 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.
Next
Value as observation Min
Index Level at at date for 15% lock-in 30% lock-in 45% lock-in return
Name start 29-Oct-10 Change lock-ins level level level locked-in
-------- ---------- ---------- ------- ------------ ------------ ------------ ------------ ----------
Euro
Stoxx
50 3,053.54 2,844.99 -6.8% 20-Dec-10 3,511.57 3,969.60 4,427.63 45%
FTSE
100 4,923.30 5,675.16 15.3% 20-Dec-10 5,661.80 6,400.29 7,138.79 30%
Nikkei
225 11,879.81 9,202.45 -22.5% 20-Dec-10 13,661.78 15,443.75 17,225.72 45%
S&P 500 1,189.65 1,183.26 -0.5% 20-Dec-10 1,368.10 1,546.55 1,724.99 15%
-------- ---------- ---------- ------- ------------ ------------ ------------ ------------ ----------
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 18 March 2005 and close on 29 October 2010
(the last business day prior to the balance sheet date) the NAV had
risen by 42.5% (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 4.5%, the FTSE 100 had risen
by 15.3%, the S&P 500 had fallen by 0.5%, the Euro Stoxx 50 had
fallen by 6.8% and the Nikkei had also fallen by 22.5%.
The highest NAV reached since launch represented a value per
share of 144.09 pence and a highest 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.
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 29 June 2011 (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.
Highest
FTSE
Value as Next closing Minimum
Index Value at of observation level protected
name start 29-Oct-10 Change date recorded return
--------- --------- ---------- ------- ------------ --------- ----------
FTSE 100
Index 5,113.2 5,675.2 10.99% 29-Nov-10 6,706.0 131.15%
--------- --------- ---------- ------- ------------ --------- ----------
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 29 October 2010 the
NAV had risen by 29.8%, ahead of the 11.0% increase in the
FTSE.
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.
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
This product matured with a NAV of 241.9%.
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 29 June 2010 are set out in the table
below.
Value as of
Commodity name Value at Start 29-June-10 Change Weight
--------------------- --------------- -------------------- ------- -------
Aluminium 1716.00 1962.50 14.4% 20.0%
Copper 3597.00 6585.00 83.1% 20.0%
Nickel 14700.00 19935.00 35.6% 15.0%
West Texas
Intermediate 56.50 75.94 34.4% 30.0%
Zinc 1223.00 1759.50 43.9% 15.0%
--------------------- --------------- -------------------- ------- -------
Source for Commodity values Information: Bloomberg
Investment Performance
The fund matured in 29(th) June 2010.
Between launch on 30 June 2005 and redemption on 29 June 2010
the NAV had risen by 141.9%. Over this period the DJ UBS
Commodities Total Return Index had fallen by 18.7%. 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
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 September 2010 (representing the most recent
rebalancing of the portfolio) and 29 October 2010 are set out in
the table below.
Share
portfolio
Strike Current Performance Option weighting Weighting
price at price at at strike at Strike at
Stock 08-Sep-10 29-Oct-10 29-Oct-10 price Date 29-Oct-10
---------------- --------- --------- ----------- ------ --------- ---------
Anglo American 2499.00 2,908.00 16.37% 2,526 5.7% 6.33%
Astrazeneca 3333.50 3,129.50 -6.12% 3,353 5.6% 4.98%
Aviva 391.00 398.10 1.82% 395 4.2% 4.08%
BAE Systems 323.30 344.70 6.62% 326 4.2% 4.20%
BG Group 1076.00 1,215.50 12.96% 1,086 5.6% 6.00%
BHP Billiton 1890.00 2,213.50 17.12% 1,909 5.7% 6.30%
BP PLC 412.15 425.80 3.31% 416 7.0% 6.86%
BSKYB 710.50 706.50 -0.56% 713 2.8% 2.63%
British American
Tobacco 2319.00 2,380.00 2.63% 2,332 5.6% 5.45%
Glaxosmithkline 1266.00 1,221.00 -3.55% 1,273 7.0% 6.38%
HSBC Holdings 654.80 649.10 -0.87% 660 7.0% 6.57%
National Grid 548.00 590.00 7.66% 551 4.2% 4.29%
Rio Tinto 3470.50 4,036.00 16.29% 3,510 7.1% 7.86%
Royal Dutch
Shell 1764.00 1,998.50 13.29% 1,775 5.7% 6.08%
RSA Insurance
Group 125.90 131.00 4.05% 127 1.4% 1.38%
J Sainsbury Ltd 376.00 389.30 3.54% 379 2.8% 2.77%
Scottish &
Southern
Energy 1178.00 1,153.00 -2.12% 1,184 4.2% 3.91%
Severn Trent PLC 1378.00 1,395.00 1.23% 1,384 1.4% 1.35%
Tesco 414.75 426.85 2.92% 417 5.6% 5.49%
Vodafone Group 159.80 169.85 6.29% 161 7.1% 7.10%
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 9 December 2005 and close on 29 October 2010
the Total Return Performance had fallen by 9.0% (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, 7 February 2010, 11 May 2010, 11
August 2010 and 10 November 2010.
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 29
October, 2010 are set out in the table below.
Value at Value as
Commodity name Start of 29-Oct-10 Change Weight
------------------------- ---------- -------------- ------- -------
Aluminium 2,457.00 2,302.00 -6.3% 20.0%
------------------------- ---------- -------------- ------- -------
Copper 5,220.00 8,225.00 57.6% 20.0%
------------------------- ---------- -------------- ------- -------
Nickel 15,055.00 22,700.00 50.8% 15.0%
------------------------- ---------- -------------- ------- -------
West Texas Intermediate 63.91 81.43 27.4% 30.0%
------------------------- ---------- -------------- ------- -------
Zinc 2,543.00 2,392.50 -5.9% 15.0%
------------------------- ---------- -------------- ------- -------
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and 29 October 2010 the Total
Return Performance had risen by 76.1%. Over this period the DJ UBS
Commodities Excess Return Index had fallen by 9.5%.
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 29 October
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.
Lowest
Value as observed
Index Initial of 85% Barrier 50% Barrier Index
name Level 31-Oct-10 Change Level Level Level
-------- -------- ---------- ------- ------------ ------------ ---------
DJ Euro
Stoxx
50 3865.4 2845.0 -26.4% 3285.6 1932.7 1810.0
-------- -------- ---------- ------- ------------ ------------ ---------
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on April 27 2006 and close on 29 October 2010 the
NAV has fallen by 7.7% versus a 26.4.% 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 29 October
2010 is set out in the table below.
Current Value
Strike at 30 Sep
DJGT Components Price 10 % change Out-performance
-------------------- ----------- -------------- --------- ----------------
Abbot Labs 46.21 51.32 11.06% 26.64%
AT&T Inc 27.30 28.50 4.40% 19.98%
Chevron Texaco
Corp 65.32 82.61 26.47% 42.06%
Cisco Systems 17.88 22.83 27.68% 43.27%
Coca Cola 43.84 61.32 39.87% 55.46%
CONOCOPHILIPPS 64.43 59.40 -7.81% 7.78%
Exxon Mobil Corp 64.25 66.47 3.46% 19.04%
Hewlett packard 31.80 42.06 32.26% 47.85%
IBM 75.48 143.60 90.25% 105.84%
Intel Corp 17.15 20.07 17.03% 32.61%
Johnson & Johnson 61.37 63.67 3.75% 19.33%
JP Morgan Chase 42.98 37.63 -12.45% 3.14%
Merck 37.30 36.28 -2.73% 12.85%
Microsoft 22.85 26.64 16.59% 32.17%
Nestle 39.15 53.90 37.68% 53.26%
Pepsi Cola 62.48 65.30 4.51% 20.10%
Phillip Morris 41.05 58.50 42.51% 58.10%
Procter & Gamble 56.61 63.57 12.29% 27.88%
Royal Dutch Shell 26.54 23.31 -12.19% 3.40%
Samsung Electronics 598,000.00 745,000.00 24.58% 40.17%
Siemens 64.43 82.08 27.39% 42.98%
Telefonica 13.04 19.40 48.77% 64.36%
Verizon 30.94 32.47 4.96% 20.54%
Vodafone 113.40 169.85 49.78% 65.37%
Wal-Mart Stores 44.29 54.17 23.31 37.89%
Portfolio Average 36.08%
Annualised Since Launch 7.46%
--------------------------------- -------------- --------- ----------------
Source for Share Price Information: Bloomberg
As of 29 October 2010, the NAV had risen by 23.7% since. Since
launch, 27 stocks had outperformed the DJGT Index. The average
out-performance had been 36.08%.
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. This selection of shares is
rebalanced on a quarterly basis. 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) a
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 and (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.
The name and weighting of each selected share and its
performance as of 29 October 2010 are set out in the table
below.
Strike Current Performance Option Weighting Weighting
Price at price at at strike at Strike at
Stock 23-Aug-2010 29-Oct-10 29-Oct-10 price Date 29-Oct-10
Altria Group 22.73 25.4175 11.82% 23.42 2.70% 2.81%
AT&T 26.49 28.52 7.66% 27.39 5.41% 5.41%
Bank of America 12.87 11.449 -11.04% 13.73 5.41% 4.47%
Chevron Corp 75.05 82.6 10.06% 78.23 5.41% 5.53%
Ei di Pont de
Nemours 40.37 47.28 17.12% 42.45 2.70% 2.94%
Exxon Mobil 59.5 66.49 11.75% 61.94 6.76% 7.02%
General
Electric 14.89 16.02 7.59% 15.67 6.76% 6.76%
IBM 126.47 143.6 13.54% 131.32 5.41% 5.71%
Intel
Corporation 18.7 20.05 7.22% 19.74 5.41% 5.39%
JP Morgan 36.88 37.63 2.03% 39.00 5.41% 5.13%
Johnson &
Johnson 58.87 63.74 8.27% 60.67 6.76% 6.80%
McDonalds 73.34 77.77 6.04% 75.79 4.05% 4.00%
Microsoft 24.28 26.665 9.82% 25.44 6.76% 6.90%
Pfizer Inc. 16.1 17.415 8.17% 16.9 5.41% 5.44%
Phillip Morris
International 51.73 58.51 13.11% 53.68 4.05% 4.26%
Procter&Gamble 60.03 63.57 5.90% 61.91 6.76% 6.65%
Southern Co. 35.88 37.87 5.55% 36.9 1.35% 1.33%
UPS 65.22 67.34 3.25% 68.12 4.05% 3.89%
Walt Disney Co 32.93 36.125 9.70% 34.61 4.05% 4.14%
Wells Fargo &
Co 24.23 26.06 7.55% 25.83 5.41% 5.41%
S&P 100 413.54 533.08 28.91%
Weighted Basket
Performance 7.53%
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 29 October 2010
the Total Return Performance was 0.70% and 0.90% 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 5.6% 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, 17 April 2010 and 21 October 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: 25 June 2010
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(R) 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(R) Index, with a term and maturity matching the
term of the Shares, aims to reduce the risk of capital loss.
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 the maturity date (24 June 2010) are
set out in the table below.
Share
portfolio
Strike weighting
Price at Strike Weighting
at 22 Maturity Performance Option Date Class A
March Price at at Strike (Class at
Stock 2010 24-Jun-10 24-Jun-10 Price A) 24-Jun-10
--------------- ------- ---------- ------------ ------- ---------- ----------
AEGON 4.82 4.73 -1.87% 5.06 5.00% 5.76%
ALSTOM 47.69 38.52 -19.23% 50.07 5.00% 4.73%
AXA SA 15.77 13.25 -15.98% 16.55 5.00% 4.92%
ARCELORMITTAL 31.01 24.33 -21.54% 32.56 5.00% 4.59%
BANCO BILBAO 10.19 8.43 -17.27% 10.69 5.00% 4.84%
BANCO
SANTANDER 9.86 8.72 -11.56% 10.35 5.00% 5.18%
BNP PARIBAS 57.14 45.88 -19.71% 60 5.01% 4.71%
CRH PLC 18.61 18.09 -2.79% 19.54 5.00% 5.69%
CREDIT
AGRICOLE 12.44 8.812 -29.16% 13.06 5.00% 4.15%
DEUTSCHE BANK 54.08 43.89 -18.84% 56.6 5.02% 4.77%
DEUTSCHE
BOERSE AG 52.97 51.84 -2.13% 55.35 5.02% 5.75%
DEUTSCHE
TELEKOM 9.86 9.616 -2.47% 10.34 5.00% 5.71%
FRANCE TELECOM 17.65 14.79 -16.20% 18.53 5.00% 4.91%
ING GROEP 7.13 6.587 -7.62% 7.48 5.00% 5.41%
NOKIA AB OY A 11.2 6.785 -39.42% 11.76 5.00% 3.55%
SAINT GOBAIN 35.79 32.4 -9.47% 37.58 5.00% 5.30%
SOCIETE
GENERALE 45.67 35.155 -23.02% 47.95 4.99% 4.50%
TELECOM ITALIA 1.08 0.938 -13.15% 1.13 5.00% 5.09%
UNICREDIT SPA 2.14 1.905 -10.98% 2.24 5.00% 5.22%
VIVENDI SA 19.29 17.175 -10.96% 20.25 5.00% 5.21%
Investment Performance
Between launch on 21 June 2007 and the funds early maturity on
25 June 2010, the Total Return Performance decreased by 45.9% and
46.3% 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, 19 May 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(R) 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.
Investment Performance
Between launch on 22 June 2007 and close on 29 October 2010 the
NAV had increased by 26.24%. Over this period the S&P GSCI
Agri&Livestock ER Index had fallen by 7.20% and DJ UBS
Commodity ER had fallen by 15.20%.
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.
Investment Performance
Between launch on 13 March 2008 and close on 29 October 2010 the
NAV had fallen by 20.63%. Over this period the EPRA Index had
increased by 28.90%. 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 at 760.83. 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 29 October 2010 are set out in the table
below.
Value at Value as of
Commodity name Start 29-Oct-10 Change Weight
------------------------- --------- ------------ ------- -------
Aluminium 2,858.5 2,302 -19.5% 12.5%
Copper 8,006 8,225 2.7% 12.5%
Nickel 22,000 22,700 3.2% 12.5%
West Texas Intermediate 122.3 81.43 -33.4% 30.0%
Zinc 1,948.5 2,392.5 22.8% 12.5%
Natural Gas 12.379 4.038 -67.4% 20.0%
------------------------- --------- ------------ ------- -------
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 5 June 2008 and close on 29 October 2010 the
NAV had risen by 10.9%. Over this period the DJ AIG Commodities
Excess Return Index had fallen by 32.8%.
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).
Investment Performance
Between launch on 11 July 2008 and close on 29 October 2010 the
NAV had risen by 8.86%. Over this period the BNP Paribas Global
Agribusiness Excess Return Index had risen by 15.05%.
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: B65H881
Class B ISIN: GG00B4W90W+42
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(R) 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.
Investment Performance
Between launch on 19 March 2009 and close on 29 October 2010 the
Total return Performance had risen by 21.9%. Over this period the
DJ EuroStoxx TR Index had increased by 48.30%. 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").
Investment Performance
Between launch on 1 June 2009 and close on 29 October 2010 the
NAV of Class A had fallen by 16.02%. 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(R) Index (the "Index")
and notional short-term call options written on such index.
Investment Performance
Between launch on 16 July 2009 and close on 29 October 2010 the
NAV Total Return Performance was 16.30% and 16.60% 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 29.10% over that period.
The directors declared interim dividends of 2.00 pence per Class A
Sterling Hedged US Enhanced Income Preference Share and 2.00 cents
per Class B US Dollar Unhedged US Enhanced Income Preference Share
on 21 July 2010 and 2.00 pence per Class A Sterling Hedged US
Enhanced Income Preference Share and 2.00 cents per Class B US
Dollar Unhedged US Enhanced Income Preference Share on 20 October
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.
Investment Performance
Between launch on 24 September 2009 and close on 29 October 2010
the Total Return Performance had increased by 8.50%. Over this
period the FTSE 100 Total Return Index had risen by 15.80%. The
directors declared an interim dividend of 2.00 pence per UK
Enhanced Income Preference Share on 30 June 2010 and 2.00 pence per
UK Enhanced Income Preference Share on 30 September 2010.
STATEMENT OF COMPREHENSIVE INCOME
for the year ended 31 October 2010
Year to Year to
31 Oct
2010 31 Oct 2009
Total Total
Notes GBP GBP
Net movement in unrealised gains
/ (losses) on
on investments 13,846,952 (4,776,187)
Realised losses on investments 3,8 (16,452,795) (4,487,813)
Amortisation of debt issue costs (49,585) (49,585)
Income from financial assets at fair
value through profit
or loss 37,526,039 29,671,803
Finance costs - distributions to
holders of Preference
Shares (37,526,039) (29,671,803)
Decrease in net assets attributable
to Preference
shareholders from operations (2,655,428) (9,313,585)
------------- -------------
Other Comprehensive Income:
Exchange (losses) / gains on currency
balances (849,486) 874,585
------------- -------------
Total Comprehensive Income (3,504,914) (8,439,000)
============= =============
Pence Pence
Loss per Share 1j (0.31) (1.25)
In arriving at the results for the financial year, all amounts
above relate to continuing operations. There are no recognised
gains or losses for the year other than those disclosed above.
STATEMENT OF FINANCIAL POSITION
as at 31 October 2010
Year to Year to
31 Oct 2010 31 Oct 2009
Total Total
Notes GBP GBP
ASSETS
NON CURRENT ASSETS
Financial assets at fair value through
profit or loss 3 749,550,096 796,571,889
CURRENT ASSETS
Cash and cash equivalents - -
Investment income receivable 4,927,881 4,063,256
Prepaid debt issue costs 18,611 68,196
------------ ------------
4,946,492 4,131,452
LIABILITIES
CURRENT LIABILITIES
Dividends payable 4,927,881 4,063,256
------------ ------------
4,927,881 4,063,256
NET ASSETS ATTRIBUTABLE TO HOLDERS
OF
PREFERENCE SHARES 749,568,707 796,640,085
============ ============
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF
PREFERENCE SHARES
for the year ended 31 October 2010
Year to Year to
31 Oct
2010 31 Oct 2009
Total Total
Notes GBP GBP
Opening balance 796,640,085 627,265,230
Proceeds from issue of Preference
Shares - 194,555,055
Redemption of shares 3 (43,566,464) (16,741,200)
Net loss for the year attributable
to holders of
Preference Shares (2,655,428) (9,313,585)
Exchange (losses) / gains on currency
balances 3 (849,486) 874,585
------------- -------------
Balance as at 31 October 749,568,707 796,640,085
============= =============
STATEMENT OF CASH FLOWS
for the year ended 31 October 2010
Year to Year to
31 Oct 2010 31 Oct 2009
Total Total
GBP GBP
Operating activities
Net loss for the year attributable
to holders of Preference
Shares (2,655,428) (9,313,585)
Distributions to holders of Preference
Shares 36,661,414 25,608,547
Movement in realised and unrealised
loss on investments 2,605,843 9,264,000
Movement in debtors and creditors during
the year 49,585 49,585
------------- --------------
Net cash inflow from operating activities 36,661,414 25,608,547
Investing activities
Redemption of financial assets 43,566,464 16,741,200
Purchase of financial assets - (194,555,055)
------------- --------------
Net cash inflow / (outflow) from investing
activities 43,566,464 (177,813,855)
Financing activities
Distribution to holders of Preference
Shares redeemed (43,566,464) (16,741,200)
Proceeds from issue of Preference Shares - 194,555,055
Distributions to holders of Preference
Shares (36,661,414) (25,608,547)
------------- --------------
Net cash (outflow) / inflow from financing
activities (80,227,878) 152,205,308
Increase / (decrease) in cash and cash - -
equivalents
------------- --------------
Cash and cash equivalents at beginning - -
of year
Increase / (decrease) in cash and cash - -
equivalents
------------- --------------
Cash and cash equivalents at end of - -
year
------------- --------------
Notes to the Financial Statements
for the year ended 31 October 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 ("IASB"), 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.
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 require 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 that are expected to
affect the Company have been issued but not yet adopted by the
Company as shown below. Other Standards or Interpretations issued
by the IASB and the International Financial Reporting
Interpretations Committee ("IFRIC") are not expected to affect the
Company.
IAS 24 (revised November 2009) Related Party Disclosures
effective for annual periods beginning on or after 1 January
2011.
IAS 39 Financial Instruments - Recognition and Measurement
effective for annual periods beginning on or after 1 January
2010.
IFRS 9 Financial Instruments - Classification and Measurement
effective for annual periods beginning on or after 1 January
2013.
The directors have considered the above and are of the opinion
that the above Standards and Interpretations are not expected to
have an impact on the Company's financial statements except for the
presentation of additional disclosures and changes to the
presentation of components of the financial statements. These items
will be applied in the first financial period for which they are
required.
(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 year 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 (the "Cell") the Initial
Cell Expenses incurred (as defined in Cell'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.
(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 year
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.
(i) Financial assets at fair value through profit or loss
(continued)
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) Loss per share
The loss per share is based on the decrease in net assets
attributable to Preference shareholders from operations of the
Company for the year of GBP2,655,428 (2009: GBP9,313,585 net loss)
and on 857,671,534 (2009: 744,971,865) shares, being the weighted
average number of shares in issue during the year. There were no
dilutive instruments in issue during the year.
(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.
(m) Going concern
After making enquiries, the directors have a reasonable
expectation that the Company has adequate resources to continue in
operational existence for the foreseeable future. The directors
believe the Company is well placed to manage its business risks
successfully despite the current economic climate. Accordingly, the
directors have adopted the going concern basis in preparing the
financial information
(n) Segment reporting
Operating segments are reported in a manner consistent with the
internal reporting used by the Board of directors. In the opinion
of the directors the Company is engaged in a single segment of
business.
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 year 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 each 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, capital risk and correlations require management to
make estimates. Changes in assumptions about these factors could
affect the reported fair value of financial instruments.
3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
Year to Year to
31 Oct
2010 31 Oct 2009
Total Total
GBP GBP
Opening portfolio cost 849,600,277 676,274,235
Opening unrealised losses on valuation (60,159,548) (55,333,776)
Opening exchange gains on currency
balances 7,199,356 6,324,771
------------- -------------
Opening valuation 796,640,085 627,265,230
Purchase at cost - 194,555,055
Proceeds of sales of financial assets (43,566,464) (16,741,200)
Unrealised gains / (losses) for the
year 13,797,367 (4,825,772)
Realised losses for the year (16,452,795) (4,487,813)
Exchange (losses) / gains on currency
balances (849,486) 874,585
------------- -------------
Closing valuation 749,568,707 796,640,085
============= =============
Closing portfolio cost 789,581,018 849,600,277
Closing unrealised losses (46,362,181) (60,159,548)
Closing exchange gains on currency
balances 6,349,870 7,199,356
------------- -------------
Closing valuation 749,568,707 796,640,085
============= =============
IFRS 7 requires fair value measurements to be disclosed by the
source of inputs, using the following 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)
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 year under review.
4 SHARE CAPITAL
Authorised SHARES GBP
Preference shares of no par value Unlimited -
each
Ordinary shares of no par value each 2 -
---------- ----
2 -
========== ====
Allotted,
called-up and Shares Shares
fully paid issued as at Preference Preference issued as at
Preference 1 November Shares Shares 31 October
Shares 2009 Redeemed Issued 2010
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
Agrinvest 47,225,896 - - 47,225,896
Cell Euro HI
A 45,375,520 (45,375,520) * - -
Cell Euro HI
B 10,261,000 (10,261,000) * - -
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
Shares 2 - - 2
TOTAL 879,147,077 (63,338,519) - 815,808,558
* See Note 8
Allotted,
called-up and Shares issued
fully paid as at Preference Preference Shares issued
Preference 1 November Shares Shares as at 31
Shares 2008 Redeemed Issued October 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
Agrinvest 47,225,896 - - 47,225,896
Cell Euro HI
A 45,375,520 - - 45,375,520
Cell Euro HI
B 10,261,000 - - 10,261,000
Cell Hedge
Elite 21,229,013 (21,229,013) - -
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
Shares 2 - - 2
TOTAL 692,255,808 (21,229,013) 208,120,282 879,147,077
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 (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 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.
5 SHARE PREMIUM
Shares Shares
issued as issued as
Share Premium at 1 Preference at 31
Preference November Preference Shares October
Shares 2009 Shares Redeemed Issued 2010
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 Agrinvest 49,516,896 - - 49,516,896
Cell Euro HI
A 45,375,520 (45,375,520) * - -
Cell Euro HI
B 6,895,958 (6,895,958) * - -
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 (60,019,257) - 789,878,529
============= ============= =========== ============
* See Note 8
Shares issued
Share Premium as at Preference Preference Shares issued
Preference 1 November Shares Shares as at 31
Shares 2008 Redeemed Issued October 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
Agrinvest 49,516,896 - - 49,516,896
Cell Euro HI
A 45,375,520 - - 43,375,520
Cell Euro HI
B 6,895,958 - - 6,895,958
Cell Hedge
Elite 21,229,013 (21,229,013) - -
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 (21,229,013) 194,555,055 849,897,786
============== ============== ============== ==============
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The Company's activities expose it to a variety of financial
risks: market risk (including interest rate risk and market price
risk), credit risk, liquidity 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.
(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 87
to 90.
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 31 October 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 31 October 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
Cell 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 attributable to holders
of Preference Shares of Preference Shares
Year ended Year ended Year ended Year ended
31 October 31 October 31 October 31 October
2010 2009 2010 2009
Cell GBP GBP GBP GBP
Cell EGAA 1,857,095 1,834,698 (1,857,095) (1,834,698)
Cell FTSE S 5,255,395 5,210,924 (5,255,395) (5,210,924)
Cell EBMSG - 2,100,404 - (2,100,404)
Cell UK HI 8,005,272 9,769,352 (8,005,272) (9,769,352)
Cell EBM (2) 5,725,729 5,176,993 (5,725,729) (5,176,993)
Cell ES 2,306,775 2,198,450 (2,306,775) (2,198,450)
Cell Abs Pro 9,490,772 9,057,831 (9,490,772) (9,057,831)
Cell US HI A 6,134,089 6,843,704 (6,134,089) (6,843,704)
Cell US HI B 2,535,798 2,707,336 (2,535,798) (2,707,336)
Cell Agrinvest 5,962,080 4,835,790 (5,962,080) (4,835,790)
Cell Euro HI
A - 2,428,135 - (2,428,135)
Cell Euro HI
B - 487,801 - (487,801)
Cell EPR 2,391,021 2,023,828 (2,391,021) (2,023,828)
Cell EBM (3) 5,497,133 5,191,177 (5,497,133) (5,191,177)
Cell Agribus 252,681 223,910 (252,681) (223,910)
Cell COMAC 2,163,534 2,001,060 (2,163,534) (2,001,060)
Cell US EI A 5,120,153 5,128,787 (5,120,153) (5,128,787)
Cell US EI B 2,974,799 2,898,555 (2,974,799) (2,898,555)
Cell UK EI 4,927,355 4,984,409 (4,927,355) (4,984,409)
Cell EI 4,355,329 4,554,046 (4,355,329) (4,554,046)
------------- ------------ ------------- -------------
74,955,010 79,657,189 (74,955,010) (79,657,189)
============= ============ ============= =============
(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 Counterparty under the
swap confirmation, the Company will be entitled to enforce against
the Counterparty its security over the collateral.
Due to collateral being monitored on a weekly basis (as detailed
above), there is a risk due to timing that the amount posted to
collateral will be less than the Credit Support Amount.
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 GBP749,550,096.
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 and obligations to shareholders on redemption
of their shares of a cell. 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 Management
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 returns
stipulated in the swap agreement with the counterparty as described
in note 6 (h) and the collateral arrangements which are set out in
note 6(i).
(f) Foreign Exchange Risk
The carrying amounts of the Company's foreign currency
denominated financial assets at the reporting date are as
follows:
Year ended Year ended
31 October 31 October
2010 2009
GBP GBP
Euro - 4,878,010
US Dollar 55,105,977 56,058,908
Hungarian Forint 2,526,805 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 are 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 UK High Income GBP 141,613,549
BNP Paribas Energy - Base Metals GBP 32,506,140
(2)
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
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
(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 UK High Income 8 December
2011
BNP Paribas Energy - Base Metals 22 March 2012
(2)
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
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
26(th) 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 have 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
iii) Early Settlement Options relating to the derivative
contracts (continued)
(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.
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 Counterparty. 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
share), 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.
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.
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.
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.
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 31
October 2010 is detailed below:
Cell Year ended Year ended
31 October 31 October
2010 2009
GBP GBP
EGAA 6,071,634 6,916,495
FTSE S 6,546,572 8,757,644
EBMSG - 3,832,721
UK HI 9,644,704 26,410,783
EBM (2) 7,927,159 8,196,050
ES 5,279,994 7,178,798
Abs Pro 15,313,761 15,762,681
US HI 23,366,452 45,812,877
Agrinvest 16,016,399 21,268,699
Euro HI - 4,954,795
EPR 12,993,972 13,404,525
EBM (3) 16,432,104 18,010,161
Agribus 2,289,575 3,085,963
COMAC 3,383,428 11,645,744
US EI 52,444,168 45,067,271
UK EI 24,026,325 1,374,050
EI 24,635,481 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 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).
Payments to the Company for the account of the BNP Paribas
Agribusiness cell are made in Hungarian Forints.
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 year under review, the Administrator charged fees of
GBP276,416 (2009: GBP281,445) in respect of its administration of
the Company of which GBP21,529 (2009: GBP27,327) was outstanding at
the year end and the Registrar charged fees of GBP45,354 (2009:
GBP56,064) in respect of registration services on behalf of the
Company of which GBP1,777 (2009: GBP3,528) was outstanding at the
year 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 year under review the Investment Manager charged fees
of GBP847,865 (2009: GBP691,002), of which GBPNil (2009: GBPNil)
was outstanding at the year 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 year
BNP Paribas Group and its subsidiaries held the following shares in
issue:
As at As at
31 Oct
31 Oct 2010 2009
% of total % of total
Shares shares Shares shares
Enhanced Global Asset
Allocation 11,178,440 82.80% 9,834,455 72.85%
BNP Paribas FTSE Summit 39,392,983 97.26% 37,706,666 93.10%
BNP Paribas Energy -
Base Metals - 0.00% 7,132,473 92.61%
BNP Paribas UK High
Income 125,179,108 88.39% 102,157,816 72.14%
BNP Paribas Energy -
Base Metals (2) 31,377,701 96.53% 31,280,354 96.23%
BNP Paribas European
Shield 22,594,225 90.38% 20,072,414 80.29%
BNP Paribas Absolute
Progression 72,185,875 94.05% 71,184,880 92.75%
US High Income - Class
A Sterling Hedged
Preference Shares 77,183,830 83.47% 52,161,572 56.41%
US High Income - Class
B Unhedged Preference
Shares 49,415,612 84.71% 46,159,495 79.13%
BNP Paribas Agrinvest 38,701,110 81.95% 31,226,277 66.12%
Euro High Income -
Class A Sterling
Hedged Preference
Shares - 0.00% 43,643,993 96.21%
Euro High Income -
Class B Unhedged
Preference Shares - 0.00% 9,095,212 88.64%
BNP Paribas Enhanced
Property Recovery 16,734,691 55.55% 14,020,594 46.54%
BNP Paribas Energy -
Base Metals (3) 39,698,184 80.06% 37,289,818 75.20%
BNP Paribas
Agribusiness Cell - 0.00% - 0.00%
BNP Paribas Enhanced
Income 20,867,863 52.17% 20,704,734 51.76%
BNP Paribas COMAC 24,163,327 94.66% 13,467,175 52.76%
US Enhanced Income -
Class A 24,427,760 50.37% 30,468,910 62.82%
US Enhanced Income -
Class B 16,441,138 36.47% 19.252,738 42.71%
UK Enhanced Income 29,835,981 60.87% 34,953,181 71.31%
On 29 June 2010 all Euro High Income Class A Sterling Hedged and
all Euro High Income Class B Unhedged Preference Shares were
compulsorily redeemed and Euro High Income Class A and B were
subsequently dissolved.
On 21 July 2010 all BNP Paribas Energy - Base Metals Preference
Shares were compulsorily redeemed and BNP Paribas Energy - Base
Metals Preference was subsequently dissolved.
ONGOING EXPENSES Year ended Year ended
31 Oct 2010 31 Oct 2009
TOTAL TOTAL
GBP GBP
Administration fees 276,416 281,445
Directors' remuneration 19,200 25,600
Registration fees 45,354 56,064
Custody fees 172,687 519,066
Asset management fees 847,865 691,002
Tax fees 15,750 -
Audit fees 43,000 43,500
Annual fees 28,995 204,810
Other operating expenses 20,077 47,560
------------ ------------
1,469,344 1,869,047
============ ============
All expenses are accounted for on an accruals basis and are
borne by BNP Paribas SA.
8 REDEMPTION OF SHARES
During the year it was agreed by the Board of directors that it
was no longer in the best interests of the Company, Energy Base
Metals Secure Growth, Euro High Income or holders of Energy Base
Metals Secure Growth and Euro High Income Preference Shares for the
Company to continue to pursue its stated investment objectives for
Energy Base Metals Secure Growth and Euro High Income, so that it
was resolved compulsorily to redeem all Energy Base Metals Secure
Growth and Euro High Income Preference Shares in issue.
The redemption value per Energy Base Metals Secure Preference
Share was 241.885 pence, resulting in redemption proceeds and
distributions to the holders of Energy Base Metals Secure
Preference Shares of GBP18,629,980. The net realised gain on this
redemption was GBP10,882,201.
The redemption value per Euro High Income Class A Preference
Share was 45.748 pence, resulting in redemption proceeds and
distributions to the holders of Euro High Income Class A Preference
Shares of GBP20,758,392. The net realised loss on this redemption
was GBP24,617,127.
The redemption value per Euro High Income Class A Preference
Share was 50.293 cents, resulting in redemption proceeds and
distributions to the holders of Euro High Income Class A Preference
Shares of EUR5,160,564. The net realised loss on this redemption
was GBP2,717,869.
9 ULTIMATE CONTROLLING PARTY
The ultimate controlling party is BNP Paribas Arbitrage SNC as
holder of the two Ordinary Shares in issue.
10 SUBSEQUENT EVENTS
The 72,500 Agribusiness Preference Shares (the "AGRI Shares")
which originally allotted on 10 July 2008, and had a defined
investment life to 11 February 2011, were compulsorily redeemed in
the period to the date of signing this report.
On 10 January 2011 the AGRI Shares was delisted from the
Budapest Stock exchange, and on 9 February 2011 (the Dividend
Payment Date) a Dividend of HUF 105,062,446 (HUF 1,449.37 per
Share) was paid to holders of AGRI Shares.
On 11 February 2011 (the Redemption Date) a Redemption of HUF
725,000,000 (HUF 10,000 per Share) was paid to holders of AGRI
Shares and the BNP Paribas Agribusiness Cell was terminated.
SCHEDULE OF INVESTMENTS
as at 31 October 2010
as at 31 October 2010
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
Enhanced Global Asset
Allocation
BNP Paribas Index
Derivative Contract GBP 13,500,255 18,570,951 2.48%
BNP Paribas FTSE Summit
BNP Paribas Index
Derivative Contract GBP 40,501,195 52,553,946 7.01%
BNP Paribas Energy - Base
Metals
Secure Growth
BNP Paribas Index
Derivative Contract - - 0.00%
BNP Paribas UK High Income
BNP Paribas Index
Derivative Contract GBP 141,613,549 80,052,723 10.68%
BNP Paribas Energy - Base
Metals (2)
BNP Paribas Index
Derivative Contract GBP 32,506,140 57,257,290 7.64%
BNP Paribas European
Shield
BNP Paribas Index
Derivative Contract GBP 25,000,000 23,067,750 3.08%
BNP Paribas Absolute
Progression
BNP Paribas Index
Derivative Contract GBP 76,748,923 94,907,718 12.66%
US High Income - Class
A
BNP Paribas Index
Derivative Contract GBP 92,469,987 61,340,891 8.18%
US High Income - Class
B
BNP Paribas Index
Derivative Contract USD 58,337,229 25,357,984 3.38%
BNP Paribas Agrinvest
BNP Paribas Index
Derivative Contract GBP 47,225,896 59,620,805 7.95%
Euro High Income - Class
A
BNP Paribas Index
Derivative Cell - - 0.00%
Euro High Income - Class
B
BNP Paribas Index
Derivative Contract - - 0.00%
Enhanced Property Recovery
BNP Paribas Index
Derivative Contract GBP 30,125,000 23,910,212 3.19%
Energy - Base Metals (3)
BNP Paribas Index
Derivative Contract GBP 49,587,600 54,971,326 7.33%
BNP Paribas Agribusiness
BNP Paribas Index
Derivative Contract HUF 72,500 2,526,805 0.34%
Enhanced Income
BNP Paribas Index
Derivative Contract GBP 39,999,346 43,553,288 5.81%
as at 31 October 2010
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
UK Enhanced Income Cell
BNP Paribas Index
Derivative Contract GBP 49,015,722 49,273,545 6.57%
BNP Paribas COMAC
BNP Paribas Index
Derivative Contract GBP 25,526,009 21,635,335 2.89%
US Enhanced Income - Class
A
Sterling hedged
BNP Paribas Index
Derivative Contract GBP 48,500,080 51,201,534 6.83%
US Enhanced Income - Class
B
US Dollar unhedged
BNP Paribas Index
Derivative Contract USD 45,079,125 29,747,993 3.97%
------------ -----------------
TOTAL 749,550,096 100.00%
============ =================
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
Derivative Contract GBP 13,500,255 18,346,981 2.30%
BNP Paribas FTSE Summit
BNP Paribas Index
Derivative Contract GBP 40,501,195 52,109,243 6.54%
BNP Paribas Energy - Base
Metals
Secure Growth
BNP Paribas Index
Derivative Contract GBP 7,701,999 21,004,044 2.64%
BNP Paribas UK High Income
BNP Paribas Index
Derivative Contract GBP 141,613,549 97,693,523 12.26%
BNP Paribas Energy - Base
Metals (2)
BNP Paribas Index
Derivative Contract GBP 32,506,140 51,769,929 6.50%
BNP Paribas European Shield
BNP Paribas Index
Derivative Contract GBP 25,000,000 21,984,500 2.76%
BNP Paribas Absolute
Progression
BNP Paribas Index
Derivative Contract GBP 76,748,923 90,578,311 11.37%
US High Income - Class
A
BNP Paribas Index
Derivative Contract GBP 92,469,987 68,437,037 8.59%
US High Income - Class
B
BNP Paribas Index
Derivative Contract USD 58,337,229 27,073,356 3.40%
BNP Paribas Agrinvest
BNP Paribas Index
Derivative Contract GBP 47,225,896 48,357,901 6.07%
Euro High Income - Class
A
BNP Paribas Index
Derivative Cell GBP 45,375,520 24,281,348 3.05%
Euro High Income - Class
B
BNP Paribas Index
Derivative Contract EUR 10,261,000 4,878,010 0.61%
Enhanced Property Recovery
BNP Paribas Index
Derivative Contract GBP 30,125,000 20,238,276 2.54%
Energy - Base Metals (3)
BNP Paribas Index
Derivative Contract GBP 49,587,600 51,911,771 6.52%
BNP Paribas Agribusiness
BNP Paribas Index
Derivative Contract HUF 72,500 2,239,095 0.28%
Enhanced Income
BNP Paribas Index
Derivative Contract GBP 39,999,346 45,540,455 5.72%
as at 31 October 2009
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
BNP Paribas UK Enhanced
Income Cell
BNP Paribas Index
Derivative Contract GBP 49,015,722 49,844,088 6.26%
BNP Paribas COMAC
BNP Paribas Index
Derivative Contract GBP 25,526,009 20,010,604 2.51%
US Enhanced Income - Class
A
Sterling hedged
BNP Paribas Index
Derivative Contract GBP 48,500,080 51,287,865 6.44%
US Enhanced Income - Class
B
US Dollar Unhedged
BNP Paribas Index
Derivative Contract USD 45,079,125 28,985,552 3.64%
------------ -----------------
TOTAL 796,571,889 100.00%
============ =================
A pdf version of the annual financial report will shortly be
posted on the Company's web-site at
http://www.harewoodsolutions.co.uk/press.aspx and a further
announcement will be made once the annual financial report is
available to be downloaded.
For further information contact:
BNP Paribas
Tel: 0207 595 8056 or E-mail:
harewood_solutions@bnpparibas.com
Anson Fund Managers Limited
Secretary
Tel: Guernsey 01481 722260
25 February 2011
END OF ANNOUNCEMENT
E&OE - in transmission
This information is provided by RNS
The company news service from the London Stock Exchange
END
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