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RNS Number : 8619I
Harewood Structured Investment PCC
21 June 2011
Harewood Structured Investment PCC Limited
Half-yearly Financial Report for the
period ended 30 April 2011 (Unaudited)
Harewood Structured Investment PCC Limited (the "Company")
CONTENTS
About the Company 1
Investment Objective and Policy 10
Net Asset Values 22
Interim Management Report 23
Investment Manager's Report 24
Statement of Comprehensive Income 45
Statement of Financial Position 46
Statement of Changes in Net Assets Attributable
to Holders of Preference Shares 47
Statement of Cash Flows 48
Notes to the Financial Statements 49
Schedule of Investments 71
Directors and Service Providers 75
Shareholder Information 76
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
Harewood Structured Investment PCC Limited, a closed-ended
protected cell investment company, was incorporated in Guernsey
with limited liability on 27 January 2005 when two Ordinary Shares
were issued for administrative purposes.
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 to
applicants pursuant to the initial placing and offer for
subscription of such shares at an issue price of 100 pence
each.
On 6 July 2006 a further 5,000,000 EGAA Shares were allotted to
applicants pursuant to an offer for subscription of such Shares at
an Application Price of 127.13 pence each. The EGAA Shares had a
defined investment life to 24 March 2011, whereupon they were
compulsorily redeemed.
On 28 June 2005, 12,501,195 BNP Paribas FTSE Summit Preference
Shares ("FSM Shares") of the BNP Paribas FTSE Summit cell were
allotted to applicants pursuant to the initial placing and offer
for subscription of such shares at an issue price of 100 pence
each. On 6 July 2006 a further 8,000,000 FSM Shares were allotted
to applicants pursuant to an offer for subscription of such Shares
at an Application Price of 121.84 pence each. On 14 March 2007 a
further 20,000,000 FSM Shares were allotted to applicants pursuant
to an offer for subscription of such Shares at an Application Price
of 129.25 pence each. The FSM Shares have a defined investment life
to 4 July 2011 whereupon they will be subject to compulsory
redemption.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
On 7 December 2005 46,613,549 BNP Paribas UK High Income
Preference Shares ("UKHI Shares") of the BNP Paribas UK High Income
Cell were allotted to applicants pursuant to the initial placing
and offer for subscription of UKHI Shares at an issue price of 100
pence each. On 26 May 2006 a further 30,000,000 UKHI Shares were
allotted to applicants pursuant to an offer for subscription of
such UKHI Shares at an Application Price of 102.47 pence each and
on 28 September 2006 a further 50,000,000 UKHI Shares were allotted
to applicants pursuant to an offer for subscription of such UKHI
Shares at an Application Price of 104.00 pence each and on 4 June
2007 a further 15,000,000 UKHI Shares were allotted to applicants
pursuant to an offer for subscription of such UKHI Shares at an
Application Price of 109.60 pence each. The UKHI Shares have a
defined investment life to 8 December 2011 whereupon they will be
subject to compulsory redemption.
On 22 March 2006 27,506,140 BNP Paribas Energy - Base Metals (2)
Preference Shares ("EBM2 Shares") of the BNP Paribas Energy - Base
Metals (2) cell were allotted to applicants pursuant to the initial
placing and offer for subscription of such EBM2 Shares at an issue
price of 100 pence each. On 6 July 2006 a further 5,000,000 EBM2
Shares were allotted to applicants pursuant to an offer for
subscription of such EBM2 Shares at an Application Price of 110.44
pence each. The EMB2 Shares have a defined investment life to 28
March 2012, whereupon they will be subject to compulsory
redemption.
On 20 April 2006 25,000,000 BNP Paribas European Shield
Preference Shares ("ES Shares") of the BNP Paribas European Shield
cell were allotted to applicants pursuant to the initial placing
and offer for subscription of such ES Shares at an issue price of
100 pence each. The ES Shares have a defined investment life to 3
May 2012, whereupon they will be subject to compulsory
redemption.
On 19 July 2006 61,748,923 BNP Paribas Absolute Progression
Preference Shares ("BAP Shares") of the BNP Paribas Absolute
Progression cell were allotted to applicants pursuant to the
initial placing and offer for subscription of such BAP Shares at an
issue price of 100 pence each. On 23 January 2007 a further
15,000,000 BAP Shares were allotted to applicants pursuant to an
offer for subscription of such BAP Shares at an Application Price
of 108.484 pence each.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
The BAP Shares have a defined investment life to 26 July 2012,
whereupon they will be subject to compulsory redemption.
On 25 October 2006 77,469,987 Class A Sterling Hedged US High
Income Preference Shares ("Class A USHI Shares") of the US High
Income cell were allotted and issued at a price of 100 pence each.
On 4 June 2007 a further 15,000,000 Class A USHI Shares were
allotted and issued at a 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 a price of 100 cents each. On 4
June 2007 a further 15,000,000 Class B USHI Shares were allotted
and issued at a 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, 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 100 pence 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 to applicants pursuant to the initial
placing and offer for subscription of such EPR Shares at an issue
price of 100 pence each. The EPR Shares have a defined investment
life to 20 March 2014, whereupon they will be subject to compulsory
redemption.
On 4 June 2008 34,587,600 Energy - Base Metals (3) Preference
Shares (the "EBMC Shares") of the Energy - Base Metals (3) cell
were allotted to applicants pursuant to the initial placing and
offer for subscription of such EBMC Shares at an issue price of 100
pence each. On 5 September 2008 a further 15,000,000 EBMC Shares
were allotted to applicants pursuant to an offer for subscription
of such EBMC Shares at an Application Price of 100.03
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
pence each. The EBMC Shares have a defined investment life to 12
June 2014, whereupon they will be subject to compulsory
redemption.
On 10 July 2008 72,500 BNP Paribas Agribusiness Preference
Shares (the "AGRI Shares") of the BNP Paribas Agribusiness cell
were allotted to applicants pursuant to the initial placing and
offer for subscription of such AGRI Shares at an issue price of HUF
10,000 each. The AGRI Shares had a defined investment life to 11
February 2011, whereupon they were compulsorily 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 100 pence
each. On 8 October 2009 a further 15,000,000 Class A EIF Shares
were allotted and issued at a 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 24(th)
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 to applicants pursuant to the initial placing and offer
for subscription of such COM Shares at an issue price of 100 pence
each. The COM Shares have a defined investment life to June 2108,
whereupon they will be subject to compulsory redemption.
On 15 July 2009, 48,500,080 Class A Sterling Hedged US Enhanced
Income Preference Shares ("Class A USEI Shares") of the US Enhanced
Income cell were allotted and issued at an issue price of 100 pence
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.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
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 a price of 100 cents each. On 8
October 2009 a further 20,000,000 Class B USEI Shares were allotted
and issued at a 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 24(th) 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
to applicants pursuant to the initial placing and offer for
subscription of such UKEI Shares at an issue price of 100 pence
each. The UKEI Shares have a defined investment life to September
2029, whereupon they will be subject to compulsory redemption.
The Company has an unlimited life but the shares of each cell
have a defined investment term as set out above. Holders of the
Ordinary Shares have the right to receive notice of and to vote at
all meetings of shareholders.
Other than the two Ordinary Shares, 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, renamed THEAM
from 31 March 2011, as the Company's external investment manager of
all cells (the "Investment Manager"). Administrative and
secretarial support is provided by Anson Fund Managers Limited in
Guernsey. BNP Paribas SA acts as Distributor and Investment
Counterparty to the Cells.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
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
Youri 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.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
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 provider 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 share of the Company.
BNP Paribas SA is a company in the BNP Paribas Group (the
"Group"). As of 30 April 2011, the Group had an equity market
capitalisation of EUR64.05 billion (source:Bloomberg). 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 20m
individual customers throughout the world, in particular in Europe
and western United States of America.
The Group has offices in more than 85 countries. At 31 December
2010, the Group had consolidated assets of EUR1,998.16bn of
unaudited shareholders equity (group share including income for the
2010 fiscal year) of EUR74.6bn. Audited net income, before taxes,
non re-occurring items and amortisation of good will, for the year
ended 31 December 2010 was EUR13.02bn. Audited net income, group
share, for the year ended 31 December 2010 was EUR7.84bn.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
THEAM - Investment Manager
The Investment Manager in respect of all cells of the Company,
with the exception of Agribusiness, is Harewood Asset Management
SAS. As a result of a joint project between BNP Paribas CIB and BNP
Paribas Investment Partners, combining the Sigma Teams from BNP
Asset Management with Harewood Asset Management SAS, Harewood Asset
Management SAS was renamed THEAM on 31 March 2011.
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
which are attributable to that Cell. BNP Paribas Agribusiness could
not appoint an investment manager.
The Investment Manager is organised as a French Societe 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. The Investment Manager may also provide investment
advisory services. The Investment Manager is a wholly owned
subsidiary of BNP Paribas Investment Partners. The Investment
Manager is regulated by the Autorite des marches financiers under
the French law. As of 1 April 2011 THEAM was responsible for (or
mandated for) the investment of EUR49 billion over 970 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 with 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.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
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 holder 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 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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY
Enhanced Global Asset Allocation (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the Enhanced Global Asset Allocation Preference Shares (herein
the "Shares") was to provide shareholders with the opportunity to
participate in the performance of global equity markets through
four stock market Indices, being the FTSE 100, the Dow Jones
EuroStoxx 50, the Standard & Poor's Composite 500 and the
Nikkei 225, using an efficient asset allocation process, and with
the possibility of benefiting from minimum returns for each Index
provided certain conditions are met. The investment return of the
Shares was not subject to the risk of foreign exchange
movements.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the gross proceeds at launch and at
the subsequent issue of Shares were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment
Counterparty. Under the terms of the Contract the Company
contracted to receive, on behalf of the Cell, an amount equalling
the funds available for payment of the investment return described
in the preceding paragraphs.
In accordance with their defined investment life, all EGAA
shares were compulsorily redeemed on 24 March 2011.
BNP Paribas FTSE Summit (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas FTSE Summit Preference Shares (herein the
"Shares") is to provide shareholders with the opportunity to
participate in the performance of the UK equity market through the
FTSE 100 Index (the "Index") with the benefit of a minimum
redemption amount equal to the principal amount (100 pence) per
Share, and with the possibility of benefiting from the highest
level of the Index over the six year investment period as
determined at monthly intervals provided certain conditions are
met.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the gross proceeds at launch and at
the subsequent issue of Shares were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment
Counterparty. Under the terms of the Contract the Company
contracted to receive at redemption, on behalf
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
of the Cell, an amount equalling the funds available for payment
of the investment return described in the preceding paragraph.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
BNP Paribas UK High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas UK High Income Preference Shares (herein the
"Shares"), which were issued after the end of the financial period
on 9 December 2005, is to provide shareholders with a stable stream
of quarterly dividend distributions based on the dividend income of
a notional portfolio of shares selected from the FTSE 100 Index,
supplemented by premiums for notional call options written on those
shares. In addition, a purchase of portfolio insurance in the form
of a put option linked to the FTSE 100 Index, with a term and
maturity matching the term of the shares, aims to reduce the risk
of capital loss.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the gross proceeds at launch and at
each subsequent issue of Shares were invested in an Index
Derivative Contract (the "Contract") with BNP Paribas, the
Investment Counterparty. Under the terms of the Contract the
Company contracted to receive on each dividend payment date an
amount initially equal to 1.875 pence per Share, which will be
applied by the Company in funding payments of dividends to
shareholders and at redemption an amount equal to the net asset
value of the underlying portfolio.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
BNP Paribas Energy - Base Metals (2) (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas Energy - Base Metals (2) Preference Shares
(herein the "Shares") is to provide shareholders with a geared
exposure to any increase in the prices of a notional portfolio of
certain energy-related and base metal commodities (the "Commodity
Portfolio") over a six year period. The investment return of the
Shares is not subject to the risk of foreign exchange movements
save to the extent that the value of the commodities comprised in
the Commodity Portfolio, which are priced in US Dollars, may be
affected by fluctuations in value of the US Dollar.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the net proceeds at launch were
invested in an Index Derivative Contract (the "Contract") with BNP
Paribas, the Investment Counterparty. Under the terms of the
Contract the Company contracted to receive at redemption, on behalf
of the Cell, an amount equalling the funds available for payment of
the investment return.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
BNP Paribas European Shield (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas European Shield Preference Shares (herein the
"Shares") is to provide shareholders with the opportunity to
participate in the performance of the leading 50 stocks traded on
various European stock exchanges through the Dow Jones Euro
STOXX50(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
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Company contracted to receive at redemption, on behalf of the
Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
BNP Paribas Absolute Progression (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas Absolute Progression Preference Shares (herein
the "Shares") is to provide shareholders with an investment
offering a return based on the divergence between stock prices of
very large global companies. The Redemption Amount cannot be less
than the capital amount of 100 pence per Share, and the return is
linked to the performance, determined on an annual basis by
reference to initial values determined on the Strike Date, being 20
July 2006, of a portfolio of shares selected annually from the 50
Shares comprising the Dow Jones Global Titans 50 Index (the
"Index"), being shares which have outperformed the Index. Each
year, the excess (if any) of the average annualised performance of
the Shares comprising such portfolio above a benchmark level of 5%
accrues to holders' Shares and an amount per Share equal to 100
pence multiplied by such accrual is paid to holders of Shares on
the Redemption Date, being 26 July 2012. The objective of the Index
is to represent multi-national companies whose stocks are traded on
major exchanges of countries covered by the Dow Jones Global
Indices benchmark family.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the net proceeds at launch were
invested in an Index Derivative Contract (the "Contract") with BNP
Paribas, the Investment Counterparty. Under the terms of the
Contract the Company contracted to receive at redemption, on behalf
of the Cell, an amount equalling the funds available for payment of
the investment return.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
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.
US High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the US High Income Preference Shares (herein the "Shares"),
which were issued on 26 October 2006, is to provide shareholders
with a stable stream of quarterly dividend distributions based on
the dividend income of a notional portfolio of shares selected from
the S&P 100 Index, supplemented by premiums for notional call
options written on those shares. In addition, a purchase of
portfolio insurance in the form of a put option linked to the
S&P 100 Index, with a term and maturity matching the term of
the shares, aims to reduce the risk of capital loss.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the gross proceeds at launch and at
the subsequent issue of Shares were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment
Counterparty. Under the terms of the Contract the Company
contracted to receive on each dividend payment date an amount equal
to 1.875 pence or cents per Share, which will be applied by the
Company in funding the payment of dividends to shareholders, and at
redemption an amount equal to the net asset value of the underlying
portfolio.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
BNP Paribas Agrinvest Preference (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas Agrinvest Shares (herein the "Shares") is to
provide shareholders with the opportunity to participate in the
performance of exchange-traded commodities futures comprised in the
DCI(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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Enhanced Property Recovery (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the Enhanced Property Recovery Preference Shares (herein the
"Shares") is to provide shareholders with the opportunity to
participate in the performance of shares traded on various European
stock exchanges through the FTSE EPRA Europe Real Estate Index (the
"Index"). The Index is an index designed to track the performance
of listed real estate companies in the Europe. The Final Redemption
Amount will be determined principally by reference to two values -
the first (defined as the "Initial Index Level") being the level of
the Index determined on 13 March 2008, the second (defined as the
"Final Index Level") being the arithmetic average of the levels of
the Index on 13 monthly averaging dates from and including 13 March
2013 to and including the Maturity Date.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the net proceeds at launch were
invested in an Index Derivative Contract (the "Contract") with BNP
Paribas, the Investment Counterparty. Under the terms of the
Contract the Company contracted to receive at redemption, on behalf
of the Cell, an amount equalling the funds available for payment of
the investment return.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Energy - Base Metals (3) (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the Energy - Base Metals (3) Preference Shares (herein the
"Shares") is to provide shareholders with a geared exposure to any
increase in the prices of a notional portfolio of certain energy
related and base metal commodities (the "Commodity Portfolio") over
a six-year period. The Commodity Portfolio is a notional portfolio
of commodities comprising 30% crude oil, 20% aluminium, 20% copper,
15% nickel and 15% zinc. The investment return of the Shares is not
subject to the risk of foreign exchange movements save to the
extent that the value of the commodities comprised in the notional
portfolio, which are priced in US dollars, may be affected by the
fluctuations in value of the US dollar.
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the net proceeds at launch were
invested in an Index Derivative Contract (the "Contract") with BNP
Paribas, the Investment Counterparty. Under the terms of the
Contract the Company contracted to receive at redemption, on behalf
of the Cell, an amount equalling the funds available for payment of
the investment return.
Full details of the calculation of the investment return, the
Contract and collateral arrangements in favour of the Company for
the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
BNP Paribas Agribusiness (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the BNP Paribas Agribusiness Preference Shares (herein the
"Shares") 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").
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the
Cell in respect of the Shares, the net proceeds at launch were
invested in an Index Derivative Contract (the "Contract") with BNP
Paribas, the Investment Counterparty. Under the terms of the
Contract the Company contracted to receive 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 a redemption
amount equalling HUF 10,000 per share to finance the payment of the
redemption proceeds due to shareholders.
The Dividend amount in respect of each BNP Paribas Agribusiness
Preference Share was payable in the lawful currency of the Republic
of Hungary and was determined by reference to the closing level of
the Index determined on or about 11 July 2008 (defined herein as
the "Initial Index Level") and the performance of the Index
calculated as of each of seven consecutive monthly observation
dates (defined as "Observation Dates" and scheduled to fall
respectively in July 2010, August 2010, September 2010, October
2010, November 2010, December 2010 and January 2011) as (a) the
closing level of the Index on such Observation Date, divided by the
Initial Index Level minus (b) 1.
In accordance with their defined investment life, all shares
were compulsorily redeemed on 11 February 2011.
Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the Enhanced Income Preference Shares (herein the "Shares") is
to provide shareholders with a stable stream of quarterly dividend
distributions (with a targeted dividend yield of approximately 8%
per annum, subject to increase and decrease in certain
circumstances) and return on capital, such investment objective
being intended to be achieved by reference to an investment
strategy linked to the total return performance of the Dow Jones
Euro STOXX 50(R) Index (herein the "Index") and notional short-term
call options written on the Index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the
Cell, the 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.
BNP Paribas COMAC (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the Class A Sterling Hedged COMAC Preference Shares (herein the
"Shares") is to provide shareholders with exposure to the
performance of an actively managed long short arbitrage strategy
(the "Strategy") based on a portfolio of 25 commodities through the
BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the
"Index"). The Index is denominated in US Dollars and is designed to
track the performance of an actively managed portfolio of 25
commodities selected from the energy, metals and agricultural
sectors, the respective weightings of which are determined in
accordance with an investment strategy based on recommendations
provided by the asset managers which, from time to time, provides
the scores used in the determination of the weightings of the
different commodities comprising
the Index, and a rules-based proprietary methodology designed by
BNP Paribas (the "Index Methodology"). The Strategy is also linked
to notional currency hedging intended to provide a level of
protection against changes in the Sterling / US Dollar exchange
rate.
In accordance with the Company's investment objective for the
Cell, the net proceeds at launch were invested in an index
derivative contract (the "Contract") with BNP Paribas, the
Counterparty. Under the terms of the Contract the Company
contracted to receive at redemption, on behalf of the Cell, an
amount equalling the funds available for payment of the investment
return.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
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.
US Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the US Enhanced Income Preference Shares (herein the "Shares")
is to provide shareholders with a stable stream of quarterly
dividend distributions (with a targeted dividend yield of
approximately 8% per annum, subject to increase and decrease in
certain circumstances) and return on capital, such investment
objective being intended to be achieved by reference to an
investment strategy linked to the total return performance of the
Standard and Poor's 500(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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
UK Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect
of the UK Enhanced Income Preference Shares (herein the "Shares")
is to provide shareholders with a stable stream of quarterly
dividend distributions (with a targeted dividend yield of
approximately 8% per annum, subject to increase and decrease in
certain circumstances) and return on capital, such investment
objective being intended to be achieved by reference to an
investment strategy linked to the total return performance of the
FTSE 100(TM) Index and notional short-term call options written on
such index.
In accordance with the Company's investment objective for the
Cell, the net proceeds at launch were invested in an index
derivative contract (the "Contract") with BNP Paribas, the
Counterparty. Under the terms of the Contract the Company
contracted to receive on each dividend payment date an amount
initially equal to 2 pence per Share, which will be applied by the
Company in funding the payment of dividends to shareholders, and at
redemption an amount equal to the net asset value of the underlying
portfolio.
Full details of the calculation of the investment return, the
Contract and the collateral arrangements in favour of the Company
for the account of the Cell are disclosed in the Cell's Summary and
Securities Note, a copy of which is available from the
Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
NET ASSET VALUES
As at 28 April 2011, 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
28 April 2011 29 Oct 2010
Enhanced Global Asset Allocation ("EGAA") - 137.56 pence
BNP Paribas FTSE Summit ("FTSE S") 130.41 pence 129.75 pence
BNP Paribas UK High Income ("UK HI") 50.20 pence 56.52 pence
BNP Paribas Energy - Base Metals (2) 219.07 pence 176.14 pence
("EBM (2)")
BNP Paribas European Shield ("ES") 96.85 pence 92.27 pence
BNP Paribas Absolute Progression ("Abs 123.94 pence 123.066 pence
Pro")
US High Income - Class A ("US HI A") 56.35 pence 66.33 pence
US High Income - Class B ("US HI B") 60.00 US$ cents 69.71 US$ cents
BNP Paribas Agrinvest ("Agrinvest") 136.19 pence 126.24 pence
Enhanced Property Recovery ("EHPR") 81.66 pence 79.37 pence
Energy - Base Metals (3) ("EMB (3)") 112.78 pence 110.85 pence
BNP Paribas Agribusiness ("Agribusiness") - 10,886 HUF
Enhanced Income - Class A ("EIF") 109.70 pence 108.88 pence
BNP Paribas COMAC ("COM") 85.62 pence 84.75 pence
US Enhanced Income - Class A ("US EI 114.82 pence 105.57 pence
A")
US Enhanced Income - Class B ("US EI 115.34 US$ 105.83 US$
B") cents cents
UK Enhanced Income ("UKEI") 103.63 pence 100.52 pence
Harewood Structured Investment PCC Limited (the "Company")
INTERIM MANAGEMENT REPORT
For the period from 1 November 2010 to 30 April 2011
A description of important events for each cell and the Company
which have occurred during the reporting period and their impact on
the performance of the Company as shown in the financial statements
is given in the Investment Manager's Report on pages 24 to 44 and
is incorporated here by reference. A description of the principal
risks and uncertainties facing the Company is given in note 6 to
the financial statements and is incorporated here by reference. The
principal risks and uncertainties facing the Company to the end of
its financial year are considered to be the same as those which
applied in the first six months of the financial year.
There were no material related party transactions which took
place in the first six months of the financial year.
This half-yearly financial report has not been audited nor
reviewed by auditors pursuant to the Auditing Practices Board
guidance on Review of Interim Financial Information.
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. An indication of important events that have occurred during
the first six months of the financial year and their impact on the
financial statements;
b. A description of the principal risks and uncertainties for
the remaining six months of the financial year;
c. Confirmation that there were no material related party
transactions in the first six months of the current financial year
that have materially affected the financial position or the
performance of the Company during that period; and
d. Changes in the related parties transactions described in the
Company's last annual financial report that could have a material
effect on the financial position or performance of the Company in
the first six months of the current financial year.
John R Le Prevost Peter Atkinson
Director Director
21 June 2011 Harewood Structured Investment PCC Limited (the
"Company")
INVESTMENT MANAGER'S REPORT
On the invitation of the Directors of the Company, the following
commentary is provided by THEAM, 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") offered exposure over 6
years to the FTSE100, DJEuroStoxx50, S&P500 and Nikkei 225 (the
"Indexes"). There were two principal features: the first was that
growth became protected in each Index when it reached 15%, 30% and
45% above its launch level (this was tested quarterly). The second
feature involved 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 at maturity,
and the thresholds at which performance could become protected are
set out in the table below. The Indexes were observed on the
following dates each year (or the next business day if applicable):
18 March, 18 June, 18 September and 18 December.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Last
observation Min
Index Level at Value as at date for 15% lock-in 30% lock-in 45% lock-in return
Name start 17-March-11 Change lock-ins level level level locked-in
-------- ---------- ------------ -------- ------------ ------------ ------------ ------------ ----------
Euro
Stoxx
50 3,053.54 2,786.16 -8.76% 17-March-11 3,511.57 3,969.60 4,427.63 45%
FTSE
100 4,923.30 5,696.11 +15.70% 17-March-11 5,661.80 6,400.29 7,138.79 30%
Nikkei
225 11,879.81 8,962.67 -24.56% 17-March-11 13,661.78 15,443.75 17,225.72 45%
S&P 500 1,189.65 1,273.72 +7.07% 17-March-11 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 maturity on 17 March 2011
the NAV had risen by 39% (based on an initial NAV of 96.50 pence).
Over the investment period, the MSCI World Total Return index
(which we regard as an appropriate benchmark) had risen by 9.45%,
the FTSE 100 had risen by 15.70%, the S&P 500 had increased by
7.07%, the Euro Stoxx 50 had fallen by 8.76% and the Nikkei had
fallen by 24.56.%.
The highest NAV reached over the investment period represented a
value per share of 174.34 and was recorded on closing on 20
September 2010. The lowest NAV reached over the investment period
represented a value per share of 94.26 pence and was recorded on
closing on 29 April 2005.
The indexes were observed on 17 March 2011 with respect to the
thresholds at which lock-ins occur. The Nikkei 225 and the DJ
EuroStoxx locked in a minimum return of 45%, the FTSE 100 index
locked in a minimum return of 30% and the S & P 500 Index
locked in a minimum of 15%.
As we can see, the Fund outperformed all of the underlyings
significantly. Moreover, both the lock-in and performance-based
allocation features enabled it to withstand a considerable drop in
the Nikkei, following the tsunami, and worldwide financial markets
following the subprime crisis.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas FTSE Summit
Listing: Channel Islands Stock Exchange
Launch date: 30 June 2005
Issue price: 100 pence
NAV at launch: 100 pence
Maturity date: 29 June 2011
ISIN: GB00B0B8FC95
SEDOL: B0B8FC9
Epic Code: FSM
Investment Objective
BNP Paribas FTSE Summit ("FSM") is a six-year investment that
pays the return of the highest observed performance of the FTSE 100
Index (the "Index") over that period, irrespective of the level of
the index at maturity. The closing price of the Index is observed
on the 29th (whichever is earlier, or the next business day if
exchanges are closed). If the index ever falls by 50% from its
initial level at any time then 100 pence is returned at
maturity.
The level of the Index recorded at launch and as of 28 April
2011, the highest level of the index observed to date on an Index
observation date, and the Index level which, if breached at any
time, results in the return of 100 pence per share, are set out in
the table below.
Highest
FTSE
Value as Next Lock-In Minimum
Index Value at of observation level protected
name start 28-Apr-11 Change date recorded return
--------- --------- ---------- ------- ------------ --------- ----------
FTSE 100
Index 5,113.2 6,069.9 18.71% 31-May-11 6,706.0 131.15%
--------- --------- ---------- ------- ------------ --------- ----------
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 28 April 2011 the
NAV had increased by 30.37%, ahead of the 18.71% increase in the
FTSE 100 Index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The highest NAV reached since launch represented a value per
share of 143.81 pence and a performance since the launch NAV of
43.81%. This occurred as of closing on 31 October 2007. The lowest
NAV was the launch NAV of 100 pence.
As at the balance sheet date seventy Index measurement dates
have occurred since launch. The highest closing level of the Index
was recorded on 29th October 2007 (6,706.0). This represents a
protected minimum return to investors of 131.15p on their
shares.
BNP Paribas 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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The name and weighting of each selected share and its
performance between 8 March 2011 (representing the most recent
rebalancing of the portfolio) and 28 April 2011 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-Mar-11 28-Apr-11 28-Apr-11 price Date 30-Apr-10
----------------- ---------- ---------- ------------ --------- ---------- ----------
ARM Holdings 589.5 620.5 5.30% 589.5 4.30% 4.30%
Astrazeneca 2,971 2,990.00 0.60% 2,971 8.50% 8.20%
Aviva 475.1 446.8 -6.00% 475.1 6.40% 5.80%
BAE Systems 327.7 327.9 0.10% 327.7 6.40% 6.20%
BHP Billiton PLC 2,443.00 2,524.50 3.30% 2,443.00 8.40% 8.40%
British American
Tobacco PLC 2,507.00 2,611 4.10% 2,507.00 8.50% 8.60%
British Land Co
PLC 574 600.5 4.60% 574 2.10% 2.10%
BT Group PLC 191.1 195.8 2.50% 191.1 6.50% 6.40%
Compass Group
PLC 540.5 584.5 8.10% 540.5 4.30% 4.40%
Eurasian Natural
Resources Corp
PLC 945.5 911.5 -3.60% 945.5 2.10% 2.00%
Glaxosmithkline 1,179 1,305.50 10.70% 1,179 10.70% 11.30%
Hammerson PLC 466 470.1 0.90% 466 2.10% 2.00%
J Sainsbury Ltd 368.6 348.3 -5.50% 368.6 4.30% 3.90%
Marks & Spencer
Group PLC 338.5 388 14.60% 338.5 2.10% 2.40%
Next PLC 1,934 2,237.00 15.70% 1,934.00 2.10% 2.40%
Royal Dutch
Shell 2,168.50 2,327.00 7.30% 2,169.00 8.50% 8.80%
RSA Insurance
Group 137.2 137.6 0.30% 137.2 2.10% 2.00%
Scottish &
Southern
Energy 1,220.00 1,358.00 11.30% 1,220.00 6.40% 6.80%
TUI Travel PLC 239.4 239.2 -0.10% 239.4 2.10% 2.00%
Vedanta
Resources PLC 2,326.00 2,325.00 0.00% 2,326.00 2.10% 2.00%
FTSE 100 Index 4,405.22 6,069.90 37.79%
Weighted Basket
Performance 3.99%
----------------- ---------- ---------- ------------ --------- ---------- ----------
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 9 December 2005 and close on 28 April 2011 the
NAV had fallen by 49.80% (based on the initial NAV of 100 pence).
The directors declared interim dividends of 1.875 pence per share
according to the following calendar:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Announcement Ex-Dividend Pay Date
07-Feb-08 13-Feb-08 13-Mar-08
08-May-08 14-May-08 12-Jun-08
07-Aug-08 13-Aug-08 11-Sep-08
06-Nov-08 12-Nov-08 11-Dec-08
05-Feb-09 11-Feb-09 12-Mar-09
07-May-09 13-May-09 11-Jun-09
06-Aug-09 12-Aug-09 11-Sep-09
05-Nov-09 11-Nov-09 11-Dec-09
08-Feb-10 17-Feb-10 11-Mar-10
11-May-10 19-May-10 11-Jun-10
11-Aug-10 18-Aug-10 13-Sep-10
10-Nov-10 17-Nov-10 13-Dec-10
08-Feb-11 16-Feb-11 18-Feb-11
10-May-11 18-May-11 13-Jun-11
BNP Paribas Energy-Base Metals (2)
Listing: Channel Islands Stock Exchange
Launch date: 23 March 2006
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 22 March 2012
ISIN: GB00B0ZNS989
SEDOL: B0ZNS98
Epic Code: EBMB
Investment Objective
BNP Paribas Energy-Base Metals 2 ("EBMB") is a six-year
investment offering 230% of the upside of the spot prices of a
portfolio of commodities. The portfolio comprises West Texas
Intermediate Oil (30%), Aluminium (20%), Copper (20%), Nickel (15%)
and Zinc (15%). If the portfolio performance is negative over six
years, 100 pence is returned at maturity. The name and weighting of
each commodity, the spot prices of each commodity recorded at
launch (the nearest futures price in the case of oil) and as of
April 28, 2011 are set out in the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Value at Value as
Commodity name Start of 28-Apr-11 Change Weight
------------------------- --------- -------------- ------- -------
Aluminium 2,457 2,772.00 -12.8% 20.0%
Copper 5,220 9,370.50 79.5% 20.0%
Nickel 15,055 26,610.00 76.8% 15.0%
West Texas Intermediate 64 113.93 78.3% 30.0%
Zinc 2,543 2,221.50 -12.6% 15.0%
------------------------- --------- -------------- ------- -------
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and close on 28 April 2011 the
NAV had risen by 121.54%. Over this period the DJ UBS Commodities
Excess Return Index had risen by 8.22%.
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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The level of the Index recorded at launch and as of 28 April
2011, 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 28-Apr-11 Change Level Level Level
-------- -------- ---------- ------- ------------ ------------ ---------
DJ Euro
Stoxx
50 3865.4 3005.3 -22.5% 3285.6 1932.7 1809.9
-------- -------- ---------- ------- ------------ ------------ ---------
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 28 April 2006 and close on 28 April 2011 the
NAV had fallen by 3.14% versus a 22.25% 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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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 April
2011 is set out in the table below.
Current
Strike price at
DJGT Components Price 29-April-11 % change Out-performance
Abbot Labs 46.21 52.04 12.62% 17.59%
AT&T Inc 27.30 31.12 13.99% 18.97%
Chevron Texaco
Corp 65.32 109.44 67.54% 72.52%
Cisco Systems 17.88 17.56 -1.79% 3.18%
Coca Cola 43.84 67.46 53.88% 58.85%
CONOCOPHILIPPS 64.43 78.93 22.51% 27.48%
Exxon Mobil Corp 64.25 88.00 36.96% 41.94%
Hewlett packard 31.80 40.37 26.95% 31.92%
IBM 75.48 170.58 125.99% 130.97%
Intel Corp 17.15 23.19 35.22% 40.19%
Johnson & Johnson 61.37 65.72 7.09% 12.06%
JP Morgan Chase 42.98 45.63 6.17% 11.14%
Merck 37.30 35.95 -3.62% 1.36%
Microsoft 22.85 26.02 13.87% 18.85%
Nestle 39.15 53.70 37.16% 42.14%
Pepsi Cola 62.48 68.89 10.26% 15.23%
Phillip Morris 41.05 69.44 69.16% 74.13%
Procter & Gamble 56.61 64.90 14.64% 19.62%
Royal Dutch Shell 26.54 26.08 -1.73% 3.24%
Samsung Electronics 598,000.00 893,000.00 49.33% 54.31%
Siemens 64.43 98.22 52.44% 57.42%
Telefonica 13.04 18.15 39.19% 44.16%
Verizon 30.94 37.78 22.12% 27.09%
Vodafone 113.40 171.60 51.33% 56.30%
Wal-Mart Stores 44.29 54.98 24.14% 29.11%
DJGT Index 202.23 192.17 -4.97%
Portfolio average 36.39%
--------------------- ----------- ------------- --------- ----------------
Source for Share Price Information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
As of 29 April 2011, the NAV had risen by 23.94% since launch
compared with the HFR Hedge Fund Universe Index, which had
increased by 3.04% over that period. The average out-performance
has been 36.39%.
Class A Sterling Hedged US High Income Preference Shares and
Class B Unhedged US High Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 26 October 2006
Issue price at launch: 100 pence
NAV immediately following launch: 99 pence class A & $0.99
class B
Maturity date: 19 November 2012
Class A ISIN: GG00B1FP4W69
Class A SEDOL: B1FP4W6
Class B ISIN: GG00B1FP4X76
Class B SEDOL: B1FP4X7
Investment Objective
BNP Paribas US High Income ("USH" for Class A and "USHD" for
Class B) is a six-year investment aiming to provide shareholders
with a stable stream of quarterly dividend distributions based on
the dividend income of a notional portfolio of shares selected from
the S&P 100 Index, supplemented by premiums for notional call
options written on those shares. In addition, a purchase of
portfolio insurance in the form of a put option linked to the
S&P 100 Index, with a term and maturity matching the term of
the Shares, aims to reduce the risk of capital loss.
BNP Paribas US High Income launched on 26 October 2006 with an
initial NAV of 99 pence ($0.99 for class B). On this date (a) the
portfolio of shares was selected and purchased (b) the
corresponding 3-month call options were sold with an average strike
price of 104.3% of the value of the shares (c) the portfolio
insurance was acquired. This takes the form of a six-year put
option on the S&P 100 with a strike level of 645.42.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The name and weighting of each selected share and its
performance between 22 February 2011 and 28 April 2011 are set out
in the table below.
Current Option
Strike Price price at Performance strike
Stock at 22-Feb-2011 28-Apr-11 at 28-Apr-11 price
--------------------- ---------------- ----------- -------------- --------
Altria Group 24.74 26.84 8.49% 24.74
AT&T 28.20 31.12 10.35% 28.20
Bank of America 14.18 12.28 -13.40% 14.18
Chevron Corp 100.32 109.44 9.09% 100.32
Comcast Corp 25.13 26.21 4.30% 25.13
Conocophillips 76.61 78.89 2.98% 76.61
Ei di Pont de
Nemours 54.38 56.79 4.43% 54.38
General Electric 20.82 20.45 -1.78% 20.82
IBM 161.95 170.58 5.33% 161.95
Intel Corporation 21.81 23.15 6.14% 21.81
Johnson & Johnson 60.65 65.72 8.36% 60.65
JP Morgan 46.01 45.63 -0.83% 46.01
McDonalds 75.70 78.31 3.45% 75.70
Microsoft 26.59 25.92 -2.52% 26.59
Pfizer Inc. 18.89 20.97 11.01% 18.89
Phillip Morris
International 61.54 69.44 12.84% 61.54
Procter&Gamble 64.07 64.90 1.30% 64.07
Southern Co 37.89 39.04 3.04% 37.89
UPS 74.61 74.97 0.48% 74.61
Wells Fargo & Co 31.38 29.11 -7.23% 31.38
S&P 100 591.37 608.33 2.87%
Weighted Basket Performance 3.34%
Source for Share Price Information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Class A - Class B - Weighted
Share Share average
portfolio portfolio Class A - Class B - strike
weighting weighting Weighting Weighting price
at Strike at Strike at at (Class
Stock Date Date 28-Apr-11 28-Apr-11 A)
---------------- ---------- ----------- ----------- ----------- ---------
Altria Group 2.35% 2.37% 2.88% 2.88% 2.4%
AT&T 4.68% 4.71% 5.85% 5.85% 4.7%
Bank of America 4.71% 4.74% 4.59% 4.59% 4.7%
Chevron Corp 6.00% 6.04% 7.23% 7.23% 6.0%
Comcast Corp 3.50% 3.52% 4.15% 4.15% 3.5%
Conocophillips 4.83% 4.86% 5.46% 5.46% 4.8%
Ei di Pont de
Nemours 2.33% 2.34% 2.77% 2.77% 2.3%
General
Electric 4.61% 4.64% 5.21% 5.21% 4.6%
IBM 5.82% 5.86% 6.98% 6.98% 5.8%
Intel
Corporation 4.57% 4.60% 5.63% 5.63% 4.6%
Johnson &
Johnson 4.69% 4.72% 5.75% 5.75% 4.7%
JP Morgan 4.70% 4.74% 5.26% 5.26% 4.7%
McDonalds 3.51% 3.53% 4.11% 4.11% 3.5%
Microsoft 5.89% 5.93% 6.46% 6.46% 5.9%
Pfizer Inc. 4.68% 4.71% 5.89% 5.89% 4.7%
Phillip Morris
International 5.93% 5.97% 7.48% 7.48% 5.9%
Procter&Gamble 3.54% 3.56% 4.03% 4.03% 3.5%
Southern Co 1.17% 1.18% 1.37% 1.37% 1.2%
UPS 3.48% 3.50% 4.00% 4.00% 3.5%
Wells Fargo &
Co 4.73% 4.76% 4.92% 4.92% 4.7%
S&P 100 85.72% 86.28% 100.00% 100.00% 85.7%
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 28 April 2011 the
respective NAVs for class A and B were down by 43.65% and 40.00%
(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 had declined 5.32% over that period. The directors declared
interim dividends of 1.875 pence per Class A Sterling Hedged US
High Income Preference Share according to the following
schedule:
Announcement Ex-Dividend Pay Date
21-Jan-10 27-Jan-10 01-Mar-10
22-Apr-10 28-Apr-10 01-Jun-10
22-Jul-10 28-Jul-10 31-Aug-10
21-Oct-10 27-Oct-10 29-Nov-10
20-Jan-11 26-Jan-11 28-Jan-11
19-Apr-11 27-Apr-11 31-May-11
The same schedule applies to Class B Unhedged US High Income
Preference Shares.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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.
Commodity name Value at Start Value as of 28-Apr-11 Change
---------------------------- --------------- ---------------------- -------
DCI Agriculture BNP Paribas
Enhanced Excess Return 1,049.51 1,256.64 19.74%
---------------------------- --------------- ---------------------- -------
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 21 June 2007 and close on 28 April 2011 the
NAV had increased by 36.20%. Over this period the S&P GSCI
Agriculture & Livestock ER Index had increased by 19.30%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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: 13 March 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 28 April 2011 the
NAV had fallen by 18.33%. Over this period the EPRA Index had
fallen by 25.91%. The Fund's 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 of
760.83 on the 13 March 2009. 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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas Energy-Base Metals (3)
Listing: Channel Islands Stock Exchange
Launch date: 5 June 2008
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 5 June 2014
ISIN: GG00B2R9LW24
SEDOL: B39TP47
Epic Code: EBMC
Investment Objective
BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year
investment offering 175% of the upside of the spot prices of a
portfolio of commodities. The portfolio comprises West Texas
Intermediate Oil (30%), Natural Gas (20%), Aluminium (12.5%),
Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio
performance is negative over six years, 100 pence is returned at
maturity.
The name and weighting of each commodity, the spot prices of
each commodity recorded at launch (the nearest futures price in the
case of oil) and as of April 29, 2011 are set out in the table
below.
Value as of
Commodity name Value at Start 29-Apr-11 Change Weight
Aluminium 2858.5 2772 -3.0% 12.5%
Copper 8006 9370.5 17% 12.5%
Nickel 22000 26610 21% 12.5%
West Texas
Intermediate 122.3 113.93 -6.8% 30%
Zinc 1948.5 2221.5 14% 12.5%
Natural Gas 12.379 4.698 -62% 20%
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 5 June 2008 and close on 28 April 2011 the NAV
had increased by 12.78% whereas the DJ AIG Commodities Excess
Return Index had fallen by 18.75%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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 maturity on 10 January 2011
the NAV had risen by 6.89%. Over this period the BNP Paribas Global
Agribusiness Excess Return Index had risen by 17.78%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Class A Sterling Hedged Enhanced Income Preference Shares and
Class B Unhedged Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 19 March 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: 19 March 2018
Class A ISIN: GG00B4W90V35
Class A SEDOL: B4W90V3
Class B ISIN: GG00B4W90W42
Class B SEDOL: B4W90W4
Investment Overview
The investment objective of the Cell is to provide Shareholders
with a stable stream of quarterly dividend distributions (with a
targeted dividend yield of approximately 8% per annum, subject to
increase and decrease in certain circumstances) and return on
capital based on an investment strategy linked to the performance
of the Dow Jones Euro STOXX 50(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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 19 March 2009 and close on 28 April 2011 the
NAV has risen by 9.7%. Over this period the DJ EuroStoxx TR Index
had risen by 48.84%. The directors declared interim dividends as
follows:
Announcement Ex-Dividend Pay Date Dividend
24-Jun-09 01-Jul-09 31-Jul-09 2.00%
23-Sep-09 30-Sep-09 30-Oct-09 2.30%
22-Dec-09 30-Dec-09 01-Feb-10 2.40%
24-Mar-10 31-Mar-10 30-Apr-10 2.30%
23-Jun-10 30-Jun-10 30-Jul-10 2.00%
22-Sep-10 29-Sep-10 29-Oct-10 2.00%
22-Dec-10 29-Dec-10 28-Jan-11 2.00%
23-Mar-11 30-Mar-11 29-Apr-11 2.00%
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: 1 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").
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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 28 April 2011 the NAV
of Class A had fallen by 14.38%. Over this period the S&P GSCI
ER Index had increased by 34.33% and the DJ-UBS Commodity Index had
increased by 38.49%. 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: 16 July 2029
Class A ISIN: GG00B4409G28
Class A SEDOL: B4409G2
Class B ISIN: GG00B4409P19
Class B SEDOL: B4409P1
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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 28 April 2011 the
NAVs had increased by 14.83% and 15.35% respectively for class A
and class B (based on an initial NAV of 100 pence for both Share
classes) compared with the S&P TR performance (+45.87%). The
directors declared interim dividends for both Share classes as
follows:
Announcement Ex-Dividend Pay Date Dividend
23-Oct-09 28-Oct-09 27-Nov-09 2.20%
20-Jan-10 27-Jan-10 26-Feb-10 2.30%
21-Apr-10 28-Apr-10 28-May-10 2.30%
21-Jul-10 28-Jul-10 27-Aug-10 2.00%
20-Oct-10 27-Oct-10 26-Nov-10 2.00%
20-Jan-11 26-Jan-11 25-Feb-11 2.20%
20-Apr-11 27-Apr-11 27-May-11 2.20%
20-Jul-11 27-Jul-11 26-Aug-11
26-Oct-11 02-Nov-11 02-Dec-11
--
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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: 24 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 28 April 2011
the NAV had increased by 3.63%. Over this period the FTSE 100 Total
Return Index had increased by 18.11%. The directors declared
interim dividends as follows:
Announcement Ex-Dividend Pay Date Dividend
30-Dec-09 06-Jan-10 05-Feb-10 2.00%
31-Mar-10 14-Apr-10 07-May-10 2.00%
24-Jun-10 07-Jul-10 06-Aug-10 2.00%
24-Sep-10 06-Oct-10 05-Nov-10 2.00%
24-Dec-10 05-Jan-11 04-Feb-11 2.00%
24-Mar-11 06-Apr-11 06-May-11 2.00%
24-Jun-11 06-Jul-11 05-Aug-11
24-Sep-11 05-Oct-11 04-Nov-11
24-Dec-11 04-Jan-12 03-Feb-12
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF COMPREHENSIVE INCOME
for the period end 30 April 2011
Period
to Period to
30 Apr
2011 30 Apr 2010
Total Total
Notes GBP GBP
Net movement in unrealised gains
on investments 5,576,652 3,727,186
Realised gains on investments 3, 8 4,406,108 -
Realised exchange gains on currency
balances 2,611 -
Amortisation of debt issue costs (18,611) (24,589)
Income from financial assets at fair
value through profit
or loss 17,339,247 11,063,607
Finance costs - distributions to
holders of Preference
Shares (17,339,247) (11,063,607)
Increase in net assets attributable
to Preference
shareholders from operations 9,966,760 3,702,597
------------- -------------
Other Comprehensive Income:
Exchange (losses) / gains on currency
balances (2,313,201) 3,994,740
------------- -------------
Total Comprehensive Income 7,653,559 7,697,337
============= =============
Pence Pence
Gain per Share 1j 1.23 0.42
In arriving at the results for the financial period, all amounts
above relate to continuing operations. There are no recognised
gains or losses for the period other than those disclosed
above.
The notes on pages 49 to 70 form an integral part of these
financial statements.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF FINANCIAL POSITION
as at 30 April 2011
Period to Year to
30 Apr 2011 31 Oct 2010
Total Total
Notes GBP GBP
ASSETS
NON CURRENT ASSETS
Financial assets at fair value through
profit or loss 735,951,957 749,550,096
CURRENT ASSETS
Cash and cash equivalents 1g 2,611 -
Investment income receivable 1h 980,314 4,927,881
Prepaid debt issue costs - 18,611
------------ ------------
982,925 4,946,492
LIABILITIES
CURRENT LIABILITIES
Dividends payable 1l 980,314 4,927,881
------------ ------------
980,314 4,927,881
NET ASSETS ATTRIBUTABLE TO HOLDERS
OF
PREFERENCE SHARES 3 735,954,568 749,568,707
============ ============
The financial statements were approved by the Board of directors
on 21 June 2011 and are signed on its behalf by:
John R Le Prevost Peter Atkinson
Director Director
The notes on pages 49 to 70 form an integral part of these
financial statements.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF
PREFERENCE SHARES
for the period ended 30 April 2011
Period
to Period to
30 Apr
2011 30 Apr 2010
Total Total
Notes GBP GBP
Opening balance 749,568,707 796,640,085
Redemption of shares (21,267,698) -
Net gain for the period attributable
to holders of
Preference Shares 9,966,760 3,702,597
Exchange (losses) / gains on currency
balances (2,313,201) 3,994,740
------------- ------------
Balance as at 30 April 2011 735,954,568 804,337,422
============= ============
The notes on pages 49 to 70 form an integral part of these
financial statements.
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the period ended 30 April 2011
Period to Period to
30 Apr 2011 30 Apr 2010
Total Total
GBP GBP
Operating activities
Net gain for the period attributable
to holders of Preference
Shares 9,966,760 3,702,597
Distributions to holders of Preference
Shares 16,358,933 11,063,607
Movement in realised and unrealised
loss on investments (9,982,760) (3,727,186)
Movement in debtors and creditors during
the period 18,611 24,589
------------- -------------
Net cash inflow from operating activities 16,361,544 11,063,607
Investing activities
Redemption of financial assets 21,267,698 -
------------- -------------
Net cash inflow from investing activities 21,267,698 -
Financing activities
Distributions to holders of Preference
Shares redeemed (21,267,698) -
Distributions to holders of Preference
Shares (16,358,933) (11,063,607)
------------- -------------
Net cash outflow from financing activities (37,626,631) (11,063,607)
Increase in cash and cash equivalents 2,611 -
------------- -------------
Cash and cash equivalents at beginning - -
of period
Increase in cash and cash equivalents 2,611 -
------------- -------------
Cash and cash equivalents at end of 2,611 -
period
------------- -------------
The notes on pages 49 to 70 form an integral part of these
financial statements. Harewood Structured Investment PCC Limited
(the "Company")
Notes to the Financial Statements
for the period ended 30 April 2011
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.
The following Standards or Interpretations that are expected to
affect the Company have been issued but not yet adopted by the
Company are 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.
IFRS 7 Financial Instruments: Disclosures - Amendments enhancing
disclosures about transfers of financial assets effective for
annual periods beginning on or after 1 July 2010.
IFRS 9 Financial Instruments - Classification and Measurement
effective for annual periods beginning on or after 1 January
2013.
IAS 24 Related Party Disclosures - Revised definition of related
parties effective for annual periods beginning on or after 1
January 2011.
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. Up until the maturity of the Cell BNP Paribas Agribusiness
in February 2011, there was only one Cell which was not listed on
the Channel Islands Stock Exchange, instead being listed on the
Budapest Stock Exchange. Whilst shareholders of this cell were not
exposed to movements in the HUF/Sterling Exchange rate, the
previously reported value of this cell in the financial statements
was exposed to such movements, as the aggregated financial
statements are prepared in the functional currency.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(c) Transactions and balances
Foreign currency transactions are translated into the functional
currency using the exchange rates prevailing at the dates of the
transactions. Foreign exchange gains and losses resulting from the
settlement of such transactions and from the translation at
period-end exchange rates of monetary assets and liabilities
denominated in foreign currencies are recognised in the Statement
of Comprehensive Income. Translation differences on non-monetary
financial assets and liabilities such as equities at fair value
through profit or loss are recognised in the Statement of
Comprehensive Income within the fair value net gain or loss.
(d) Taxation
The Company has been granted exemption from Guernsey Income Tax
under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 and
is charged an annual fee of GBP600.
(e) Expenses
All expenses are accounted for on an accruals basis. All
expenses are borne by BNP Paribas SA pursuant to the terms of an
Engagement Letter between the Company and BNP Paribas SA. The
ongoing expenses for the period under review are detailed in note 7
to the financial statements.
(f) Debt issue costs
Pursuant to the placing and offer for subscription of Shares in
the Enhanced Global Asset Allocation Cell ("EGAA") the Initial Cell
Expenses incurred (as defined in EGAA's Supplemental Memorandum)
amounted to GBP297,509. Because the Preference Shares in EGAA were
redeemable on 17 March 2011, they were required to be classified as
debt instruments under IAS 32. Consequently, issue costs were
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. Income received is distributed to shareholders
in the relevant cells as dividends.
(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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(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) Earnings per share
The earnings per share is based on the increase in net assets
attributable to Preference shareholders from operations of the
Company for the period of GBP9,966,760 (Apr 2010: GBP3,702,597) and
on 812,570,070 (Apr 2010: 879,147,075) shares, being the weighted
average number of shares in issue during the period. There were no
dilutive instruments in issue during the period.
(k) Trade date accounting
All "regular way" purchases 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 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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
2 CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS
Management make critical accounting estimates and judgements
concerning the future. The resulting accounting estimates will, by
definition, seldom equal the related actual results. The estimates
and assumptions that have a significant risk of causing a material
adjustment to the carrying amounts of assets and liabilities within
the financial period are outlined below:
(a) Fair value of derivative financial instruments
The Company holds derivatives which are tailored to meet the
Company's respective needs for each cell. As the investments are
not traded in an active market, the fair value of such instruments
is determined by using valuation techniques. The fair value is
calculated weekly and as at each month end by the Counterparty. As
at the reporting date, an independent check of the valuations of
the investments is performed by Future Value Consultants Limited
(the "Calculation Agent"), an independent third party. The
Calculation Agent uses a variety of methods and makes assumptions
that are based on market conditions existing at the reporting date.
Valuation techniques used include the use of comparable recent
arm's length transactions (where available), discounted cash flow
analysis, option pricing models and other valuation techniques
commonly used by market participants. These techniques are
periodically reviewed by experienced personnel at the Calculation
Agent.
Models use observable data, to the extent practicable. However,
areas such as credit risk (both own and counterparty),
volatilities, capital risk and correlations require management to
make estimates. Changes in assumptions about these factors could
affect the reported fair value of financial instruments.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
Period
to Year to
30 Apr
2011 31 Oct 2010
Total Total
GBP GBP
Opening portfolio cost 789,581,018 849,600,277
Opening unrealised loss on valuation (46,362,181) (60,159,548)
Opening exchange gains on currency
balances 6,349,870 7,199,356
------------- -------------
Opening valuation 749,568,707 796,640,085
Purchases at cost - -
Proceeds of sales of financial assets (21,267,698) (43,566,464)
Unrealised loss for the period /
year 5,558,041 13,797,367
Realised gain / (losses) on investments 4,406,108 (16,452,795)
Realised exchange gains on currency
balances 2,611 -
Exchange losses on currency balances (2,313,201) (849,486)
------------- -------------
Closing valuation 735,954,568 749,568,707
============= =============
Closing portfolio cost 772,722,039 789,581,018
Closing unrealised loss (40,804,140) (46,362,181)
Closing exchange gains on currency
balances 4,036,669 6,349,870
------------- -------------
Closing valuation 735,954,568 749,568,707
============= =============
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 period under review.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2011
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 issued
fully paid as at Preference Preference Shares issued
Preference 1 November Shares Shares as at 30
Shares 2010 Redeemed Issued April 2011
Cell EGAA 13,500,255 (13,500,255)* - -
Cell FTSE S 40,501,195 - - 40,501,195
Cell EBMSG - - - -
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 - - - -
Cell Euro HI
B - - - -
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 815,808,558 (13,572,755) - 802,235,803
============== ============== ============== ==============
*See Note 8
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2011
4 SHARE CAPITAL (continued)
Allotted,
called-up and Shares issued
fully paid as at Preference Preference Shares issued
Preference 1 November Shares Shares as at 31
Shares 2009 Redeemed Issued October 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 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
============== ============== ============== ==============
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 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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the year ended 30 April 2011
4 SHARE CAPITAL (continued)
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 US
Enhanced Income Preference Shares, Class B US Dollar Unhedged US
Enhanced Income Preference Shares, Enhanced Income 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.
On their respective redemption dates the holders of Cell Shares
shall be entitled to receive per Cell Share held an amount equal to
the net asset value per Cell Share. As disclosed in the
Supplemental Memorandum or Summary and Securities Note for each
cell, the Cell Shares of each cell will be compulsorily redeemed by
the Company on their respective redemption dates.
Holders of Cell Shares shall not be entitled to receive notice
of or to attend or vote at any general meeting of the Company.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
5 SHARE PREMIUM
Share premium
Share Premium as at 1 Preference Preference Share premium
Preference November Shares Shares as at 30
Shares 2010 Redeemed Issued April 2011
GBP GBP GBP GBP
Cell EGAA 14,656,755 (14,656,755)* - -
Cell FTSE S 47,058,395 - - 47,058,395
Cell EBMSG - - - -
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 - - - -
Cell Euro HI
B - - - -
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 789,878,529 (17,159,099) - 772,719,430
============== ============== ============== ==============
*See Note 8
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
5 SHARE PREMIUM (continued)
Share premium
Share Premium as at 1 Preference Preference Share premium
Preference November Shares Shares as at 31
Shares 2009 Redeemed Issued October 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 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
============== ============== ============== ==============
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, capital risk and foreign
exchange risk.
The Company's overall risk management programme focuses on the
unpredictability of financial markets and seeks to minimise
potential adverse effects on the Company's financial performance.
The Company uses derivative financial instruments to moderate
certain risk exposures.
(a) Interest Rate Risk
The Company is not directly exposed to cash flow interest rate
risk. Changes in interest rates may affect the performance of the
swap contracts in which each cell is invested. The Board and the
Investment Manager monitor, but cannot control, interest rate
risk.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(b) Market Price Risk
Market price risk arises mainly from uncertainty about future
prices of financial instruments held. It represents the potential
loss the Company might suffer through holding market positions in
the face of price movements. The Investment Manager actively
monitors market prices and reports to the Board as to the
appropriateness of the prices used for valuation purposes. On a
periodic basis independent valuations of the Company's investments
are obtained from the Calculation Agent. A list of investments held
by the Company is shown in the Schedule of Investments on pages 70
to 73.
The Investment Manager also monitors on a monthly basis the
market price risk of each Cell's underlying financial assets and
liabilities using statistical measures, such as Delta. Delta is the
percentage change in price of a derivative in relation to a 1%
change in the price of the underlying security, index or rate. As
there is no secondary market for the Company's investments, the
Board cannot directly monitor nor control market price risk.
Price sensitivity
If market prices as at 30 April 2011 had been 10 per cent higher
/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 / decrease in net assets attributable to
holders of Cell Shares on the Redemption Date would have been as
stated below, arising due to the increase / 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 Period ended Year ended
Period ended 31 October 30 April 31 October
30 April 2011 2010 2011 2010
Cell GBP GBP GBP GBP
Cell EGAA - 1,857,095 - (1,857,095)
Cell FTSE S 5,281,882 5,255,395 (5,281,882) (5,255,395)
Cell UK HI 7,109,425 8,005,272 (7,109,425) (8,005,272)
Cell EBM (2) 7,121,120 5,725,729 (7,121,120) (5,725,729)
Cell ES 2,421,400 2,306,775 (2,421,400) (2,306,775)
Cell Abs Pro 9,512,415 9,490,772 (9,512,415) (9,490,772)
Cell US HI A 5,210,684 6,134,089 (5,210,684) (6,134,089)
Cell US HI B 2,104,691 2,535,798 (2,104,691) (2,535,798)
Cell Agrinvest 6,431,931 5,962,081 (6,431,931) (5,962,081)
Cell EPR 2,460,218 2,391,021 (2,460,218) (2,391,021)
Cell EBM (3) 5,592,539 5,497,133 (5,592,539) (5,497,133)
Cell Agribus - 252,681 - (252,681)
Cell COMAC 2,185,588 2,163,534 (2,185,588) (2,163,534)
Cell US EI A 5,569,167 5,120,153 (5,569,167) (5,120,153)
Cell US EI B 3,126,659 2,974,799 (3,126,659) (2,974,799)
Cell UK EI 5,079,548 4,927,355 (5,079,548) (4,927,355)
Cell EI 4,387,928 4,355,329 (4,387,928) (4,355,329)
--------------- ------------ ------------- -------------
73,595,196 74,955,010 (73,595,196) (74,955,010)
=============== ============ ============= =============
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(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 its
security over the collateral.
Due to the 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.
The Credit Support Amount is the less 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 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 GBP735,951,957.
The Investment Manager and Administrator monitor collateral
posted on a weekly basis and report to the Board quarterly on the
Investment 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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(d) Liquidity Risk (continued)
There is a further liquidity risk in respect of the redemption
of shares, the dates of which are set out in note 6(g)(ii).
As the investments are not traded in an active market, the
Company may not be able to liquidate quickly its investments in
these instruments at an amount close to their fair value to meet
its liquidity requirements or to respond to specific events such as
deterioration in the credit worthiness of the Counterparty.
The Board monitors, but cannot actively control, liquidity
risk.
(e) Capital Risk
The Company has an unlimited life but the Protected Cell Shares
for each cell have a fixed redemption date.
The Board of directors believes the current capital structure to
be sufficient in meeting the capital requirements of the
Company.
All expenses are borne by BNP Paribas SA and redemption proceeds
are limited to the amounts received, if any, on the maturity or
early termination of the relevant investment contract between the
Company and the Counterparty.
Potential losses to shareholders are mitigated by the 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:
Period ended Year ended
31 October
30 April 2011 2010
GBP GBP
Euro - -
US Dollar 52,313,494 55,105,977
Hungarian Forint - 2,526,805
As subscription, redemption and dividend payments in respect of
all cells other than US High Income are made in the same functional
currency, none of the cells other than US High Income is exposed to
foreign exchange risk. Subscription and redemption payments in
respect of Class B US High Income are made in US Dollars, but
dividends are paid in the Sterling equivalent of a fixed US Dollar
amount, unless the relevant shareholder elects to receive their
dividends in US Dollars. As the currency in which these dividends
are paid is selected at the option of the shareholder and may be
paid in the functional currency, the directors do not consider that
the Company acting on behalf of US High Income is exposed to
material foreign exchange risk.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(g) Valuation
(i) The notional amounts of the derivative instruments are as
follows:
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
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:
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
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 has been entered into
upon terms which allow such contracts to be terminated, inter alia,
in the following circumstances:
(a) by the Company if the Counterparty fails to make a payment
under the relevant contract (subject to a grace period of three
local business days) or makes a representation which is incorrect
or misleading in any material respect or fails to comply with its
related obligations;
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(g) Valuation (continued)
(iii) Early Settlement Options relating to the derivative
contracts (continued)
(b) by the Counterparty if the Company fails to make a payment
it is required to pay under the relevant contract (subject to the
grace period mentioned above); and
(c) by either the Counterparty or the Company if the other party
is dissolved, becomes insolvent or is unable to pay its debts as
they become due or on the occurrence of an illegality or the
imposition on payments under the Contract of a withholding which
the Company or the Counterparty, as the case may be, is unable to
gross-up.
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 Cell
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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(h) Periodic Returns on Principal and Timings of Payments
(continued)
US High Income cell - 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 cell - 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.
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 2.200% of the notional
amount of the Swap Confirmation, equivalent to 2.200 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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(h) Periodic Returns on Principal and Timings of Payments
(continued)
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 BNP
Paribas 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 2.000% of the notional amount of the Swap
Confirmation, equivalent to 2.000 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 2.200% of the notional
amount of the Swap Confirmation, equivalent to 2.200 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 2.000% of the notional amount
of the Swap Confirmation, equivalent to 2.000 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 2.200% of the notional amount of the Swap Confirmation,
equivalent to 2.200 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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(h) Periodic Returns on Principal and Timings of Payments
(continued)
US Enhanced Income - Class A (continued)
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 2.000% 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 pence per share), future payments will increase
to 2.200% of the notional amount of the Swap Confirmation,
equivalent to 2.200 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 B US
Dollar Unhedged 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 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.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(i) Collateral Arrangements (continued)
The collateral held against all derivative instruments as at 30
April 2011 is detailed below:
Cell Period ended Year ended
31 October
30 April 2011 2010
GBP GBP
EGAA - 6,071,634
FTSE S 7,145,316 6,546,572
UK HI 12,453,818 9,644,704
EBM (2) 10,424,914 7,927,159
ES 5,372,748 5,279,994
Abs Pro 16,550,164 15,313,761
US HI 15,586,266 23,366,452
EPR 13,315,670 12,993,972
EBM (3) 17,504,073 16,432,104
Agribus - 2,289,575
COMAC 4,275,014 3,383,428
US EI 49,461,565 52,444,168
UK EI 24,429,580 24,026,325
EI 16,826,881 24,635,481
(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.
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 were made in Hungarian Forints.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(j) Finance Costs and Expenses (continued)
Dividends paid by the Company to holders of BNP Paribas
Agribusiness Preference Shares were paid in Hungarian Forints.
Payments to the Company for the account of the US Enhanced
Income cell in respect of Class B are made in US Dollars.
Dividends paid by the Company to holders of Class B US Dollar
Unhedged US Enhanced Income Preference Shares are paid in US
Dollars.
7 RELATED PARTY TRANSACTIONS
Anson Fund Managers Limited is the Administrator and Secretary
of the Company and Anson Registrars Limited is the Registrar of the
Company. John R Le Prevost is a director of both these companies.
During the period under review, the Administrator charged fees of
GBP127,699 (Apr 2010: GBP141,420) in respect of its administration
of the Company of which GBP19,262 (Apr 2010: GBP22,555) was
outstanding at the period end and the Registrar charged fees of
GBP20,313 (Apr 2010: GBP24,506) in respect of registration services
on behalf of the Company of which GBP1,886 (Apr 2010: GBP3.262) was
outstanding at the period end.
Anson Group Limited is the ultimate controlling party of Anson
Fund Managers Limited and Anson Registrars Limited, John Le Prevost
and Peter Atkinson are directors of Anson Group Limited.
Harewood Asset Management SAS, the Investment Manager, and BNP
Paribas Arbitrage SNC, the Company's ultimate controlling party,
are both members of the BNP Paribas Group.
During the period under review the Investment Manager charged
fees of GBP340,034 (Apr 2010: GBP428,751), of which GBP56,441 (Apr
2010: GBPNil) was outstanding at the period end.
As described elsewhere in the financial statements, BNP Paribas,
a member of the BNP Paribas Group, was appointed as Distributor of
Preference Shares in all the cells and is also the counterparty to
the Index Derivative Contracts entered into by the Company on
behalf of all cells. All these transactions and arrangements have
been entered into on an arms length basis. At the end of the period
BNP Paribas Group and its subsidiaries held the following shares in
issue:
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
7 RELATED PARTY TRANSACTIONS (continued)
As at As at
31 Oct
30 Apr 2011 % of total 2010 % of total
Shares shares Shares shares
Enhanced Global Asset
Allocation - - 11,178,440 82.80%
BNP Paribas FTSE 39,730,951 98.10% 39,392,983 97.26%
BNP Paribas UK High
Income 132,554,882 93.60% 125,179,108 88.39%
BNP Paribas Energy -
Base Metals (2) 31,406,285 96.62% 31,377,701 96.53%
BNP Paribas European
Shield 22,643,225 90.57% 22,594,225 90.38%
BNP Paribas Absolute
Progression 72,259,076 94.15% 72,185,875 94.05%
US High Income Class A
Sterling Hedged
Preference Shares 81,124,674 87.73% 77,183,830 83.47%
US High Income Class B
Unhedged Preference
Shares 54,453,836 93.34% 49,415,612 84.71%
BNP Paribas Agrinvest 40,183,183 85.09% 38,701,110 81.95%
BNP Paribas Enhanced
Property Recovery 17,050,691 56.60% 16,734,691 55.55%
BNP Paribas Energy -
Base Metals (3) 40,206,763 81.08% 39,698,184 80.06%
BNP Paribas
Agribusiness Cell - - - -
BNP Paribas Enhanced
Income 29,584,824 73.96% 20,867,863 52.17%
BNP COMAC 24,431,594 95.71% 24,163,327 94.66%
US Enhanced Income
Class A 30,695,254 63.29% 24,427,760 50.37%
US Enhanced Income
Class B 19,353,071 42.93% 16,441,138 36.47%
UK Enhanced Income 30,930,891 63.10% 29,835,981 60.87%
As detailed in Note 8 on 11 February 2011 all BNP Paribas
Agribusiness Preference Shares were compulsorily redeemed and BNP
Paribas Global Agribusiness was subsequently dissolved.
On 18 March 2011 all Enhanced Global Asset Allocation Preference
Shares were compulsorily redeemed and Enhanced Global Asset
Allocation was subsequently dissolved.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
7 RELATED PARTY TRANSACTIONS (continued)
ONGOING EXPENSES Period ended Period ended
30 Apr 2011 30 Apr 2010
TOTAL TOTAL
GBP GBP
Administration fees 127,699 141,420
Directors' remuneration 12,000 11,200
Registration fees 20,313 24,506
Custody fees 72,959 91,935
Asset management fees 340,034 428,751
Tax fees 10,000 -
Audit fees 34,550 18,750
Annual fees 14,016 14,234
Other operating expenses 8,039 21,107
------------- -------------
639,609 751,903
============= =============
All expenses are accounted for on an accruals basis and are
borne by BNP Paribas SA.
8 REDEMPTION ON SHARES
During the period the Enhanced Global Asset Allocation Cell and
BNP Paribas Agribusiness Cell both reached their respective
redemption dates. Therefore all Enhanced Global Asset Allocation
and BNP Paribas Agribusiness Preference Shares in issue were
compulsorily redeemed.
The redemption value per Enhanced Global Asset Allocation
Preference Share was 139 pence, resulting in redemption proceeds
and distributions to the holders of Enhanced Global Asset
Allocation Preference Shares of GBP18,765,354. The net realised
gain on this redemption was GBP4,406,108.
The BNP Paribas Agribusiness Preference Shares were delisted
from the Budapest Stock Exchange, and a dividend payment of HUF
105,062,446 (HUF 1,449.37 per Share) was paid to holders of BNP
Paribas Agribusiness Preference Shares.
The redemption value per BNP Paribas Agribusiness Preference
Share was HUF 10,000 per Share, there were no realised gain or loss
on this redemption.
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
There have been no material subsequent events
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS
as at 30 April 2011
as at 30 April 2011
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
Enhanced Global Asset
Allocation Cell
BNP Paribas Index
Derivative Contract GBP 13,500,255 - 0.00%
BNP Paribas FTSE Summit
Cell
BNP Paribas Index
Derivative Contract GBP 40,501,195 52,818,823 7.18%
BNP Paribas UK High Income
Cell
BNP Paribas Index
Derivative Contract GBP 141,613,549 71,094,250 9.66%
BNP Paribas Energy - Base
Metals (2)
Cell
BNP Paribas Index
Derivative Contract GBP 32,506,140 71,211,201 9.68%
BNP Paribas European
Shield Cell
BNP Paribas Index
Derivative Contract GBP 25,000,000 24,214,000 3.29%
BNP Paribas Absolute
Progression Cell
BNP Paribas Index
Derivative Contract GBP 76,748,923 95,124,150 12.93%
US High Income Cell -
Class A
BNP Paribas Index
Derivative Contract GBP 92,469,987 52,106,838 7.08%
US High Income Cell -
Class B
BNP Paribas Index
Derivative Contract USD 58,337,229 21,046,905 2.86%
BNP Paribas Agrinvest Cell
BNP Paribas Index
Derivative Contract GBP 47,225,896 64,319,309 8.74%
BNP Paribas Enhanced
Property
Recovery Cell
BNP Paribas Index
Derivative Contract GBP 30,125,000 24,602,184 3.34%
BNP Paribas Energy - Base
Metals (3)
Cell
BNP Paribas Index
Derivative Contract GBP 49,587,600 55,925,391 7.60%
BNP Paribas Agribusiness
Cell
BNP Paribas Index
Derivative Contract HUF 72,500 - 0.00%
BNP Paribas Enhanced
Income Cell
BNP Paribas Index
Derivative Contract GBP 39,999,346 43,879,283 5.96%
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS (continued)
as at 30 April 2011
as at 30 April 2011
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
BNP Paribas UK Enhanced
Income Cell
BNP Paribas Index
Derivative Contract GBP 49,015,722 50,795,483 6.90%
BNP Paribas COMAC Cell
BNP Paribas Index
Derivative Contract GBP 25,526,009 21,855,879 2.97%
US Enhanced Income Cell
- Class A
Sterling Hedged
BNP Paribas Index
Derivative Contract GBP 48,500,080 55,691,672 7.57%
US Enhanced Income Cell
- Class B
US Dollar Unhedged
BNP Paribas Index
Derivative Contract USD 45,079,125 31,266,589 4.25%
------------ -----------------
TOTAL 735,951,957 100.01%
============ =================
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS
as at 31 October 2010
as at 31 October 2010
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
Enhanced Global Asset
Allocation Cell
BNP Paribas Index
Derivative Contract GBP 13,500,255 18,570,951 2.48%
BNP Paribas FTSE Summit
Cell
BNP Paribas Index
Derivative Contract GBP 40,501,195 52,553,946 7.01%
BNP Paribas UK High Income
Cell
BNP Paribas Index
Derivative Contract GBP 141,613,549 80,052,723 10.68%
BNP Paribas Energy - Base
Metals (2)
Cell
BNP Paribas Index
Derivative Contract GBP 32,506,140 57,257,290 7.64%
BNP Paribas European
Shield Cell
BNP Paribas Index
Derivative Contract GBP 25,000,000 23,067,750 3.08%
BNP Paribas Absolute
Progression Cell
BNP Paribas Index
Derivative Contract GBP 76,748,923 94,907,718 12.66%
US High Income Cell -
Class A
BNP Paribas Index
Derivative Contract GBP 92,469,987 61,340,891 8.18%
US High Income Cell -
Class B
BNP Paribas Index
Derivative Contract USD 58,337,229 25,357,984 3.38%
BNP Paribas Agrinvest Cell
BNP Paribas Index
Derivative Contract GBP 47,225,896 59,620,805 7.95%
BNP Paribas Enhanced
Property
Recovery Cell
BNP Paribas Index
Derivative Contract GBP 30,125,000 23,910,212 3.19%
BNP Paribas Energy - Base
Metals (3)
Cell
BNP Paribas Index
Derivative Contract GBP 49,587,600 54,971,326 7.33%
BNP Paribas Agribusiness
Cell
BNP Paribas Index
Derivative Contract HUF 72,500 2,526,805 0.34%
BNP Paribas Enhanced
Income Cell
BNP Paribas Index
Derivative Contract GBP 39,999,346 43,553,288 5.81%
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS (continued)
as at 31 October 2010
as at 31 October 2010
NOMINAL VALUATION TOTAL NET ASSETS
GBP %
BNP Paribas UK Enhanced
Income Cell
BNP Paribas Index
Derivative Contract GBP 49,015,722 49,273,545 6.57%
BNP Paribas COMAC Cell
BNP Paribas Index
Derivative Contract GBP 25,526,009 21,635,335 2.89%
US Enhanced Income Cell
- Class A
Sterling Hedged
BNP Paribas Index
Derivative Contract GBP 48,500,080 51,201,534 6.83%
US Enhanced Income Cell
- Class B
US Dollar Unhedged
BNP Paribas Index
Derivative Contract USD 45,079,125 29,747,993 3.97%
------------ -----------------
TOTAL 749,550,096 99.99%
============ =================
Harewood Structured Investment PCC Limited (the "Company")
DIRECTORS AND SERVICE PROVIDERS
Directors Investment Manager
Peter John Granville Atkinson THEAM
Francois-Xavier Foucault 1 Boulevard Haussmann
John Reginald Le Prevost 75009-Paris
Youri Siegel France
---------------------------------- -----------------------------------
Administrator and Secretary Solicitors to the Company (English
Anson Fund Managers Limited Law)
Anson Place Clifford Chance LLP
Mill Court 10 Upper Bank Street
La Charroterie London E14 5JJ
St. Peter Port England
Guernsey GY1 1EJ
---------------------------------- -----------------------------------
Auditors Advocates to the Company (Guernsey
PricewaterhouseCoopers CI LLP Law)
PO Box 321 Mourant Ozannes
National Westminster House 1 Le Marchant Street
Le Truchot St. Peter Port
St. Peter Port Guernsey GY1 4HP
Guernsey GY1 4ND
---------------------------------- -----------------------------------
Custodian Registrar, Transfer Agent &
BNP Paribas Securities Services, Paying Agent
Luxembourg Branch Anson Registrars Limited
33, Rue de Gasperich PO Box 426
Howald-Hesperange Anson Place
L-2085 Luxembourg Mill Court
La Charroterie
St Peter Port
Guernsey GY1 3WX
---------------------------------- -----------------------------------
Investment Counterparty Registered Office
BNP Paribas Anson Place
10 Harewood Avenue Mill Court
London NW1 6AA La Charroterie
England St Peter Port
Guernsey GY1 1EJ
---------------------------------- -----------------------------------
Harewood Structured Investment PCC Limited (the "Company")
SHAREHOLDER INFORMATION
Shares of all cells are listed on the Channel Island Stock
Exchange and may be dealt in directly through a stockbroker or
professional adviser acting on an investor's behalf. The buying and
selling of such shares may be settled through CREST. Announcements
to holders of such shares and daily market closing prices are
available on Bloomberg, Reuters and the Channel Islands Stock
Exchange's web-site.
Further information relating to such shares is available from
BNP Paribas, telephone 44 (0)207 595 8442 or e-mail
EQD_CEE@bnpparibas.com, and from Anson Fund Managers Limited,
telephone 44 (0)1481 722 260 or e-mail:
reception@anson-group.com.
REGISTRAR ENQUIRIES
The Company's registrar is Anson Registrars Limited in Guernsey
and they can be contacted on 01481 711301.
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR ZMGZVVMKGMZM
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