Where the underlying portfolio net asset value subsequently
decreases after having increased to 110% or more of the initial
underlying portfolio net asset value, but has not decreased to less
than 100% of the initial underlying portfolio net asset value,
subsequent quarterly payments will reduce to 2.00 pence per Class A
Sterling Hedged US Enhanced Income Preference Share. If the
underlying portfolio net asset value has fallen below 100 per cent.
and below a lower percentage which is an integral multiple of 5 per
cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying
portfolio net asset value, subsequent dividend payments will be
adjusted to be the product of 2.00% and the relevant percentage
threshold level and 100 pence per Class A Sterling Hedged US
Enhanced Income Preference Share.
US Enhanced Income - Class B
Under the terms of the Swap Confirmation between the
Counterparty and the Company acting for and on behalf of the US
Enhanced Income cell in respect of Class B, the Counterparty will
pay to the Company for the account of the US Enhanced Income cell
quarterly a US Dollar amount equal to 2.00% of the notional amount
of the Swap Confirmation, equivalent to 2.00 cents per Class B US
Dollar Unhedged US Enhanced Income Preference Share, provided that
if the underlying portfolio net asset value reaches 110% of the
initial underlying portfolio net asset value (equivalent to a net
asset value of 110 cents per share), future payments will increase
to 2.20% of the notional amount of the Swap Confirmation,
equivalent to 2.20 cents per BNP Paribas US Enhanced Income Class B
Preference Share. For each subsequent 5 per cent. increase in the
underlying portfolio net asset value, subsequent quarterly payments
will increase by 0.1%, equivalent to 0.1 cents per Class 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 the applicable Credit Support Amount. Where there is an event
of default in respect of the Counterparty under the swap
confirmation, the Company will be entitled to enforce its security
over the collateral. The collateral is delivered to an escrow
account, held by BNP Paribas Securities Services as custodian, in
favour of the Company.
The collateral held against all derivative instruments as at 31
October 2013 is detailed below:
Cell Year ended Year ended
31 October 31 October 2012
2013
GBP GBP
US HI - 10,580,862
Agrinvest - 9,280,614
EPR 12,096,642 11,348,664
EBM3 11,511,139 13,066,686
COMAC - 3,009,433
US EI 22,821,910 30,604,119
UK EI 8,969,878 11,050,438
EI 9,353,130 9,735,991
=========== ================
(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.
As detailed in Note 1(b), all expenses are borne by BNP Paribas
SA and recognised in the Statement of Comprehensive Income.
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 of these
companies. During the year under review, the Administrator charged
fees of GBP140,201 (2012: GBP178,373) in respect of its
administration of the Company of which GBP8,801 (2012: GBP11,944)
was outstanding at the year end and the Registrar charged fees of
GBP20,777 (2012: GBP28,453) in respect of registration services on
behalf of the Company of which GBP872 (2012: GBP1,108) was
outstanding at the year end.
Anson Group Limited ("AGL") is the parent company of Anson Fund
Managers Limited and Anson Registrars Limited. John R Le Prevost is
a director of AGL.
THEAM the Investment Manager, and BNP Paribas Arbitrage SNC, the
Company's ultimate controlling party, are both members of the BNP
Paribas Group.
During the year under review the Investment Manager charged fees
of GBP272,543 (2012: GBP661,596), of which GBP19,308 (2012:
GBP66,156) was outstanding at the year end.
As described elsewhere in the Financial Statements, BNP Paribas,
a member of the BNP Paribas Group, was appointed as Distributor of
Preference Shares in all the cells and is also the Counterparty to
the Index Derivative Contracts entered into by the Company on
behalf of all cells. All these transactions and arrangements have
been entered into on an arms length basis. At the end of the year
BNP Paribas Group and its subsidiaries held the following shares in
issue:
As at As at
31 Oct 2013 % of total 31 Oct 2012 % of total
Shares shares Shares shares
US High Income Class
A Sterling Hedged Preference
Shares - 0.00% 76,921,674 83.19%
US High Income Class
B Unhedged Preference
Shares - 0.00% 55,800,836 95.65%
BNP Paribas Agrinvest - 0.00% 44,912,900 95.10%
BNP Paribas Enhanced
Property Recovery 18,895,854 62.72% 18,895,854 62.72%
BNP Paribas Energy -
Base Metals (3) 43,933,610 88.60% 43,100,057 86.92%
BNP Paribas Enhanced
Income 34,967,125 87.42% 34,015,772 85.04%
BNP COMAC - 0.00% 24,438,699 95.74%
US Enhanced Income Class
A 42,487,523 87.60% 39,779,523 82.02%
US Enhanced Income Class
B 36,594,677 81.18% 28,360,527 62.82%
UK Enhanced Income 44,712,395 91.22% 42,196,395 86.09%
As detailed in Note 8 on 26 November 2012 all BNP Paribas Class
A Sterling Hedged High Income Preference Shares and BNP Paribas US
Class B Unhedged US High Income Preference Shares were compulsorily
redeemed. BNP Paribas Class A Sterling Hedged US High Income and
BNP Paribas Class B Unhedged US High Income were subsequently
dissolved.
On 24 June 2013 all BNP Paribas Energy Agrinvest Preference
Shares were compulsorily redeemed and BNP Paribas Energy Agrinvest
was subsequently dissolved.
On 26 June 2013 all BNP Paribas COMAC Preference Shares were
compulsorily redeemed and BNP Paribas COMAC was subsequently
dissolved.
ONGOING EXPENSES Year ended Year ended
31 Oct 2013 31 Oct 2012
TOTAL TOTAL
GBP GBP
Transfer of cash surplus 400,000 -
to BNP Paribas
Administration fees 140,201 178,373
Directors' remuneration 30,000 28,469
Registration fees 20,777 28,453
Custody fees 61,483 93,631
Asset management fees 272,543 661,596
Tax fees 20,650 49,900
Audit fees 38,698 41,614
Annual fees 13,915 22,889
Foreign exchange differences (9,123) -
Other operating expenses 26,900 9,666
------------ ------------
1,016,044 1,114,591
============ ============
All expenses are accounted for on an accruals basis through the
Statement of Financial Position and are borne by BNP Paribas
SA.
8 REDEMPTION OF SHARES
During the year, BNP Paribas Class A Sterling Hedged High Income
Preference Shares, BNP Paribas US Class B Unhedged US High Income
Preference Shares and BNP Paribas Agrinvest Preference Shares
reached their redemption dates. Therefore all BNP Paribas Class A
Sterling Hedged High Income Preference Shares, BNP Paribas US Class
B Unhedged US High Income Shares and BNP Agrinvest Preference
Shares in issue were compulsorily redeemed.
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