Harewood Structured Investment PCC Half Yearly -13-

(i) The notional amounts of the derivative instruments are as follows:

 
 BNP Paribas Absolute Progression   GBP 76,748,923 
 US High Income Cell - Class A      GBP 92,469,987 
 US High Income Cell - Class B      USD 58,337,229 
 BNP Paribas Agrinvest              GBP 47,225,896 
 Enhanced Property Recovery         GBP 30,125,000 
 Energy - Base Metals (3)           GBP 49,587,600 
 BNP Paribas COMAC                  GBP 25,526,009 
 US Enhanced Income - Class A       GBP 48,500,080 
 US Enhanced Income - Class B       USD 45,079,125 
 UK Enhanced Income                 GBP 49,015,722 
 Enhanced Income                    GBP 39,999,346

(ii) The maturity dates of the derivative instruments are as follows:

 
 BNP Paribas Absolute Progression    26 July 2012 
 US High Income Cell - Class A        19 November 
                                             2012 
 US High Income Cell - Class B        19 November 
                                             2012 
 BNP Paribas Agrinvest               22 June 2013 
 Enhanced Property Recovery         13 March 2014 
 Energy - Base Metals (3)             5 June 2014 
 BNP Paribas COMAC                    8 June 2029 
 US Enhanced Income - Class A        16 July 2029 
 US Enhanced Income - Class B        16 July 2029 
 UK Enhanced Income                  24 September 
                                             2029 
 Enhanced Income                      c. 30 April 
                                            2108*

*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;

(b) (b) by the Counterparty if the Company fails to make a payment it is required to pay under the relevant contract (subject to the grace period mentioned above); and

(c) by either the Counterparty or the Company if the other party is dissolved, becomes insolvent or is unable to pay its debts as they become due or on the occurrence of an illegality or the imposition on payments under the Contract of a withholding which the Company or the Counterparty, as the case may be, is unable to gross-up.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

   6          FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) 
   (g)        Valuation (continued)

(iii) Early Settlement Options relating to the derivative contracts (continued)

It is anticipated that, on early termination of a Contract, a termination payment would become due to the Company equal to the aggregate net asset value of the relevant Contract at the date of such termination. The directors may reinvest such proceeds as they see fit in investments which in the opinion of the directors replicate as nearly as practicable the investment characteristics of the contract so terminated and so that the proceeds are invested, as nearly as practicable, in accordance with the Company's stated investment objective for the relevant cell.

Even if recovered by the Company, any early redemption amount in respect of the shares of the relevant cell may result in a lower return than would have been the case if the contract had continued and been performed up to its maturity date.

In the event that the directors determine that the investment characteristics of the Contract cannot be replicated then the directors will notify Shareholders of the relevant cell of such circumstances, the relevant early redemption amount and the relevant early redemption date.

If the Counterparty fails to top up the collateral such that it is equal to at least the Specified Percentage (as set out in note 6(i) below) or other circumstances constituting an event of default with respect to the Counterparty occur, the Company will be entitled to enforce its security over the collateral as well as to pursue any other remedies it may have against the 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

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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

   6          FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) 
   (h)        Periodic Returns on Principal and Timings of Payments (continued)

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.

Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged Enhanced Income Preference Share.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

   6          FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) 
   (h)        Periodic Returns on Principal and Timings of Payments (continued)

UK Enhanced Income

UK Enhanced In (LSE:UKE)
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