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Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
---|---|---|---|---|---|
Bnp Energy(2) | LSE:EBMB | London | Ordinary Share | GB00B0ZNS989 | RED PART SHS NPV |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 165.00 | 0.00 | 01:00:00 |
Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
---|---|---|---|---|---|
0 | 0 | N/A | 0 |
TIDMEBMB TIDMERS TIDMBAP TIDMUSH RNS Number : 5715O Harewood Structured Investment PCC 30 June 2010 Harewood Structured Investment PCC Limited Half-yearly Financial Report for the period ended 30 April 2010 (Unaudited) Harewood Structured Investment PCC Limited (the "Company") CONTENTS +--------------------------------------------------+---------+ | About the Company | 1 | | | | +--------------------------------------------------+---------+ | Investment Objective and Policy | 9 | | | | +--------------------------------------------------+---------+ | Net Asset Values | 23 | | | | +--------------------------------------------------+---------+ | Interim Management Report | 24 | | | | +--------------------------------------------------+---------+ | Investment Manager's Report | 25 | | | | +--------------------------------------------------+---------+ | Statement of Comprehensive Income | 50 | | | | +--------------------------------------------------+---------+ | Statement of Financial Position | 51 | | | | +--------------------------------------------------+---------+ | Statement of Changes in Net Assets Attributable | 52 | | to Holders of Preference Shares | | | | | +--------------------------------------------------+---------+ | Statement of Cash Flows | 53 | | | | +--------------------------------------------------+---------+ | Notes to the Financial Statements | 54 | | | | +--------------------------------------------------+---------+ | Schedule of Investments | 79 | | | | +--------------------------------------------------+---------+ | Directors and Service Providers | 83 | | | | +--------------------------------------------------+---------+ | Shareholder Information | 84 | +--------------------------------------------------+---------+ Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY Harewood Structured Investment PCC Limited, a closed-ended protected cell investment company, was incorporated in Guernsey with limited liability on 27 January 2005 when two Ordinary Shares were issued for administrative purposes and commenced business on 18 March 2005 when 8,500,255 Enhanced Global Asset Allocation Preference Shares ("EGAA Shares") of the Enhanced Global Asset Allocation cell were allotted to applicants pursuant to the initial placing and offer for subscription of such shares at an issue price of GBP1 each. On 6 July 2006 a further 5,000,000 EGAA Shares were allotted to applicants pursuant to an offer for subscription of such Shares at an Application Price of 127.13 pence each. The EGAA Shares have a defined investment life to 24 March 2011, whereupon they will be subject to compulsory redemption. On 28 June 2005, 12,501,195 BNP Paribas FTSE Summit Preference Shares ("FSM Shares") of the BNP Paribas FTSE Summit cell were allotted to applicants pursuant to the initial placing and offer for subscription of such shares at an issue price of GBP1 each. On 6 July 2006 a further 8,000,000 FSM Shares were allotted to applicants pursuant to an offer for subscription of such Shares at an Application Price of 121.84 pence each. On 14 March 2007 a further 20,000,000 FSM Shares were allotted to applicants pursuant to an offer for subscription of such Shares at an Application Price of 129.25 pence each. The FSM Shares have a defined investment life to 4 July 2011 whereupon they will be subject to compulsory redemption. On 28 June 2005, 7,001,999 BNP Paribas Energy - Base Metals Secure Growth Preference Shares ("EBM Shares") of the BNP Paribas Energy - Base Metals Secure Growth cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EBM Shares at an issue price of GBP1 each. On 25 November 2005 a further 700,000 EBM Shares were allotted to applicants pursuant to a placing of such EBM Shares at a Placing Price of 106.54 pence each. The EBM Shares have a defined investment life to 5 July 2010 whereupon they will be subject to compulsory redemption. Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) On 7 December 2005 46,613,549 BNP Paribas UK High Income Preference Shares ("UKHI Shares") of the BNP Paribas UK High Income Cell were allotted to applicants pursuant to the initial placing and offer for subscription of UKHI Shares at an issue price of GBP1 each. On 26 May 2006 a further 30,000,000 UKHI Shares were allotted to applicants pursuant to an offer for subscription of such UKHI Shares at an Application Price of 102.47 pence each and on 28 September 2006 a further 50,000,000 UKHI Shares were allotted to applicants pursuant to an offer for subscription of such UKHI Shares at an Application Price of 104.00 pence each and on 4 June 2007 a further 15,000,000 UKHI Shares were allotted to applicants pursuant to an offer for subscription of such UKHI Shares at an Application Price of 109.60 pence each. The UKHI Shares have a defined investment life to 8 December 2011 whereupon they will be subject to compulsory redemption. On 22 March 2006 27,506,140 BNP Paribas Energy - Base Metals (2) Preference Shares ("EBM2 Shares") of the BNP Paribas Energy - Base Metals (2) cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EBM2 Shares at an issue price of GBP1 each. On 6 July 2006 a further 5,000,000 EBM2 Shares were allotted to applicants pursuant to an offer for subscription of such EBM2 Shares at an Application Price of 110.44 pence each. The EMB2 Shares have a defined investment life to 28 March 2012, whereupon they will be subject to compulsory redemption. On 20 April 2006 25,000,000 BNP Paribas European Shield Preference Shares ("ES Shares") of the BNP Paribas European Shield cell were allotted to applicants pursuant to the initial placing and offer for subscription of such ES Shares at an issue price of GBP1 each. The ES Shares have a defined investment life to 3 May 2012, whereupon they will be subject to compulsory redemption. On 19 July 2006 61,748,923 BNP Paribas Absolute Progression Preference Shares ("BAP Shares") of the BNP Paribas Absolute Progression cell were allotted to applicants pursuant to the initial placing and offer for subscription of such BAP Shares at an issue price of GBP1 each. On 23 January 2007 a further 15,000,000 BAP Shares were allotted to applicants pursuant to an offer for subscription of such BAP Shares at an Application Price of 108.484 pence each. Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) The BAP Shares have a defined investment life to 26 July 2012, whereupon they will be subject to compulsory redemption. On 25 October 2006 77,469,987 Class A Sterling Hedged US High Income Preference Shares ("Class A USHI Shares") of the US High Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class A Shares at an issue price of GBP1 each. On 4 June 2007 a further 15,000,000 Class A USHI Shares were allotted to applicants pursuant to an offer for subscription of such Class A USHI Shares at an Application Price of 105.65 pence each. The Class A USHI Shares have a defined investment life to 26 November 2012, whereupon they will be subject to compulsory redemption. On 25 October 2006 43,337,229 Class B Unhedged US High Income Preference Shares ("Class B USHI Shares") of the US High Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class B USHI Shares at an issue price of $1 each. On 4 June 2007 a further 15,000,000 Class B USHI Shares were allotted to applicants pursuant to an offer for subscription of such Class B USHI Shares at an Application Price of 105.89 cents each.The Class B USHI Shares have a defined investment life to 26 November 2012, whereupon they will be subject to compulsory redemption. On 21 June 2007 45,375,520 Class A Sterling Hedged Euro High Income Preference Shares ("Class A EUHI Shares") of the Euro High Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class A EUHI Shares at an issue price of GBP1 each. The Class A EUHI Shares have a defined investment life to 1 July 2013, whereupon they will be subject to compulsory redemption. Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) On 21 June 2007 10,261,000 Class B Unhedged Euro High Income Preference Shares ("Class B EUHI Shares") of the Euro High Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class B Shares at an issue price of EUR1 each. The Class B EUHI Shares have a defined investment life to 1 July 2013, whereupon they will be subject to compulsory redemption. On 21 June 2007 37,225,896 BNP Paribas Agrinvest Preference Shares ("Agrinvest Shares") of the BNP Paribas Agrinvest cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Agrinvest Shares at an issue price of GBP1.00 each. The Agrinvest Shares have a defined investment life to 29 June 2013, whereupon they will be subject to compulsory redemption. On 25 October 2007 21,229,013 Hedge Elite Preference Shares ("Hedge Elite Shares") of the Hedge Elite cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Hedge Elite Shares at an issue price of GBP1.00 each. The Hedge Elite Shares had a defined investment life to 28 October 2013, whereupon they were intended to be subject to compulsory redemption. On 12 March 2008 30,125,000 Enhanced Property Recovery Preference Shares (the "EPR Shares") of the Enhanced Property Recovery cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EPR Shares at an issue price of GBP1.00 each. The EPR Shares have a defined investment life to 20 March 2014, whereupon they will be subject to compulsory redemption. On 4 June 2008 34,587,600 Energy - Base Metals (3) Preference Shares (the "EBMC Shares") of the Energy - Base Metals (3) cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EBMC Shares at an issue price of GBP1.00 each. On 5 September 2008 a further 15,000,000 EBMC Shares were allotted to applicants pursuant to an offer for subscription of such EBMC Shares at an Application Price of 100.03 pence each. The EBMC Shares have a defined investment life to 12 June 2014, whereupon they will be subject to compulsory redemption. On 10 July 2008 72,500 BNP Paribas Agribusiness Preference Shares (the "AGRI Shares") of the BNP Paribas Agribusiness cell were allotted to applicants pursuant to the initial Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) placing and offer for subscription of such AGRI Shares at an issue price of HUF 10,000 each. The AGRI Shares have a defined investment life to 11 February 2011, whereupon they will be subject to compulsory redemption. On 18 March 2009 24,999,346 Class A Sterling Hedged Enhanced Income Preference Shares ("Class A EIF Shares") of the Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class A EIF Shares at an issue price of GBP1 each. On 8 October 2009 a further 15,000,000 Class A EIF Shares were allotted to applicants pursuant to an offer for subscription of such Class A EIF Shares at an Application Price of 117.86 pence each. The Class A EIF Shares have a defined investment life to April 2108, whereupon they will be subject to compulsory redemption. On 29 May 2009 25,526,009 Class A Sterling Hedged COMAC Preference Shares ("COM Shares") of the BNP Paribas COMAC cell were allotted to applicants pursuant to the initial placing and offer for subscription of such COM Shares at an issue price of GBP1 each. The COM Shares have a defined investment life to June 2108, whereupon they will be subject to compulsory redemption. On 15 July 2009 48,500,080 Class A Sterling Hedged US Enhanced Income Preference Shares ("Class A USEI Shares") of the US Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class A USEI Shares at an issue price of GBP1 each. The Class A USEI Shares have a defined investment life to July 2029, whereupon they will be subject to compulsory redemption. On 14 July 2009 25,079,125 Class B Unhedged US Enhanced Income Preference Shares ("Class B USEI Shares") of the US Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class B USEI Shares at an issue price of $1 each. On 8 October 2009 a further 20,000,000 Class B USEI Shares were allotted to applicants pursuant to an offer for subscription of such Class B USEI Shares at an Application Price of 109.64 cents each. The Class B USEI Shares have a defined investment life to July 2029, whereupon they will be subject to compulsory redemption. On 23 September 2009 49,015,722 UK Enhanced Income Preference Shares ("UKEI Shares") of the UK Enhanced Income cell were allotted to applicants pursuant to the initial Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) placing and offer for subscription of such UKEI Shares at an issue price of GBP1 each. The UKEI Shares have a defined investment life to September 2029, whereupon they will be subject to compulsory redemption. The Company has an unlimited life but the shares of each cell have a defined investment term as set out above. Holders of the Ordinary Shares have the right to receive notice of and to vote at all meetings of shareholders. Other than the two Ordinary Shares and the AGRI Shares, all shares in issue are listed on the Channel Islands Stock Exchange. The AGRI Shares are listed on the Budapest Stock Exchange and the two Ordinary Shares are not listed. The Company is managed by its Board of directors who have appointed Harewood Asset Management SAS of Paris, France as the Company's external investment manager of all cells other than BNP Paribas Agribusiness. Administrative and secretarial support is provided by Anson Fund Managers Limited in Guernsey. BNP Paribas SA acts as Distributor and Investment Counterparty to the Cells. Directors and Principal Advisors John Le Prevost - Director John Le Prevost is British and resident in Guernsey. He is a director and controlling shareholder of Anson Group Limited, the holding company of Anson Fund Managers Limited, the Company's Administrator and Secretary, and of Anson Registrars Limited, the Company's registrar, paying agent and receiving agent. Mr Le Prevost has over thirty years experience in investment and offshore trusts during which time he was Managing Director of County NatWest Investment Management (Channel Islands), Royal Bank of Canada's mutual fund company in Guernsey and Republic National Bank of New York's international trust company. He is a trustee of the Guernsey Sailing Trust, a director of a number of companies associated with Anson Group Limited's business as well as a non-executive director of many listed investment companies. Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) Francois-Xavier Foucault - Director Francois-Xavier Foucault is French and resident in France. As well as being a director of the Company, he is currently head of Structuring for Institutional Markets of the Global Marketing Group of BNP Paribas SA. He has also held roles in finance, derivatives and funds at Gen Re Securities, Guaranty City, AXA Investment Managers and BFT (Credit Agricole). Youri Siegel - Director Mr Siegel is French and a resident of France. As well as being a director of the Company, he is currently in charge of fund structuring within the Global Structuring Group of BNP Paribas. He has also held similar roles at Société Generale and JPMorgan. Peter Atkinson - Director Peter Atkinson is British and resident in Guernsey. He is an Advocate of the Royal Court of Guernsey and an English Solicitor. Admitted to the Guernsey Bar in 1980, he was the Senior Partner of Collas Day Advocates for 14 years. He specialised in corporate and fiduciary work and has been and continues to act as a non-executive director of companies within the financial services sector including companies listed on the London and Channel Islands Stock Exchanges. He is a former Chairman of the Guernsey Bar and is the chairman of Anson Group Limited. BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 30 April, 2010, the Group had an equity market capitalisation of EUR60.94 billion (source: Reuters). The Group is a leading European provider of corporate and investment banking products and services and a leading provider of private banking and asset management products and services throughout the world. It provides retail banking and financial services to over 20 million individual customers throughout the world, in particular in Europe and the western United States of America. The Group has offices in more than 85 countries. At 31 December, 2009, the Group had audited consolidated assets of EUR2,057.69 billion and audited shareholders' equity (Group share including income for the 2009 fiscal year) of EUR69.5 billion. Audited net income, before Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) taxes, non-recurring items and amortization of goodwill, for the year ended 31 December, 2009 was EUR9 billion. Audited net income, Group share, for the year ended December 31, 2009 was EUR5.83 billion. The Investment Manager is organised as a French Société par Actions Simplifiée, which is a form of limited liability company with simplified legal obligations. The purpose of the Investment Manager is the creation and management of investment funds on behalf of their investors as outlined in the activity program approved by the Autorité des Marchés Financiers on 11 August, 2004. The Investment Manager may also provide investment advisory services. The Investment Manager is wholly-owned by BNP Paribas SA. The Investment Manager is regulated by the Autorité des Marchés Financiers under the Reglement Général de l'Autorité des Marchés Financiers. Following the acquisition of Parcadia Asset Management, a company incorporated in Luxembourg, Harewood Asset Management now provides investment management services to numerous investment funds domiciled in France, Luxembourg, the Cayman Islands and Guernsey. As of 30 December 2009, Harewood Asset Management was responsible for the investment management of EUR4 billion across 100 funds. The Custodian is the Luxembourg Branch of BNP Paribas Securities Services, a fully licensed bank incorporated under French law as a société anonyme (public limited company). BNP Paribas Securities Services, Luxembourg Branch was created on 28 March 2002 and registered with the Luxembourg Trade and Companies' register under the number of B86.862. As a branch of a French bank, BNP Paribas Securities Services, Luxembourg Branch is supervised by the Comité des Etablissements de Crédit et des Enterprises d'Investissement (which depends on the French Central Bank, the Banque de France). It has also been authorised by the Commission de Surveillance du Secteur Financier, the Luxembourg Commission for the Supervision of the Financial Sector to act as a credit Harewood Structured Investment PCC Limited (the "Company") ABOUT THE COMPANY (continued) institution under the terms of article 30 of the Luxembourg law of 5 April 1993 on the Financial Sector, as amended from time to time. INVESTMENT OBJECTIVE AND POLICY Enhanced Global Asset Allocation (herein the "Cell") The investment objective of the Company for the Cell in respect of the Enhanced Global Asset Allocation Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of global equity markets through four stock market Indices, being the FTSE 100, the Dow Jones EuroStoxx 50, the Standard & Poor's Composite 500 and the Nikkei 225, using an efficient asset allocation process, and with the possibility of benefiting from minimum returns for each Index provided certain conditions are met. The investment return of the Shares is not subject to the risk of foreign exchange movements. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive, on behalf of the Cell, an amount equalling the funds available for payment of the investment return described in the preceding paragraphs. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) BNP Paribas FTSE Summit (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas FTSE Summit Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of the UK equity market through the FTSE 100 Index (the "Index") with the benefit of a minimum redemption amount equal to the principal amount (100 pence) per Share, and with the possibility of benefiting from the highest level of the Index over the six year investment period as determined at monthly intervals provided certain conditions are met. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return described in the preceding paragraph. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Energy - Base Metals Secure Growth (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Energy - Base Metals Secure Growth Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy-related and base metal commodities (the "Commodity Portfolio") over a five year period. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the Commodity Portfolio, which are priced in US Dollars, may be affected by fluctuations in value of the US Dollar. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Supplemental Memorandum, a copy of which is available from the Administrator and from the Distributor. BNP Paribas UK High Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas UK High Income Preference Shares (herein the "Shares"), which were issued after the end of the financial period on 9 December 2005, is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the FTSE 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the FTSE 100 Index, with a term and maturity matching the term of the shares, aims to reduce the risk of capital loss. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at each subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 1.875 pence per Share, which will be applied by the Company in funding payments of dividends to shareholders and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) BNP Paribas Energy - Base Metals (2) (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Energy - Base Metals (2) Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy-related and base metal commodities (the "Commodity Portfolio") over a six year period. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the Commodity Portfolio, which are priced in US Dollars, may be affected by fluctuations in value of the US Dollar. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas European Shield (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas European Shield Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of the leading 50 stocks traded on various European stock exchanges through the Dow Jones Euro STOXX50 Index (the "Index") with the benefit of a geared return in respect of such performance (not exceeding 71.25 pence per Share), provided certain conditions are met, but subject to the risk, in other circumstances, of the aggregate amount payable being limited to the capital component of 100 pence per Share or a lesser amount linked to the performance of the Index. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Absolute Progression (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Absolute Progression Preference Shares (herein the "Shares") is to provide shareholders with an investment offering a return based on the divergence between stock prices of very large global companies. The Redemption Amount cannot be less than the capital amount of 100 pence per Share, and the return is linked to the performance, determined on an annual basis by reference to initial values determined on the Strike Date, being 20 July 2006, of a portfolio of shares selected annually from the 50 Shares comprising the Dow Jones Global Titans 50 Index (the "Index"), being shares which have outperformed the Index. Each year, the excess (if any) of the average annualised performance of the Shares comprising such portfolio above a benchmark level of 5% accrues to holders' Shares and an amount per Share equal to 100 pence multiplied by such accrual is paid to holders of Shares on the Redemption Date, being 26 July 2012. The objective of the Index is to represent multi-national companies whose stocks are traded on major exchanges of countries covered by the Dow Jones Global Indices benchmark family. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. US High Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the US High Income Preference Shares (herein the "Shares"), which were issued on 26 October 2006, is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the S&P 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the S&P 100 Index, with a term and maturity matching the term of the shares, aims to reduce the risk of capital loss. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount equal to 1.875 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Euro High Income (herein the "Cell") The investment objective of the Company for the Cell in respect of theEuro High Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares in Eurozone companies selected from the Dow Jones Euro STOXX 50 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the Dow Jones Euro Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) STOXX 50 Index, with a term and maturity matching the term of the Shares, aims to reduce the risk of capital loss. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount equal to 1.875 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. During the year it was agreed by the Board of directors that it was no longer in the best interests of the Company, Euro High Income (the "Cell") or the holder of Class A Sterling Hedged Euro High Income Preference Shares and Class B Unhedged Euro High Income Preference Shares for the Company to continue to pursue its stated investment objective for Euro High Income. The Class meetings of Euro High Income held on 25 June 2010 determined that the Cell hereby be subject to the Early Redemption date of 29 June 2010. BNP Paribas Agrinvest Preference (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Agrinvest Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of exchange-traded commodities futures comprised in the DCI Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is designed to provide a broad yet liquid representation of large, mid and small commodity futures inside the Organisation for Economic Cooperation and Development (OECD). The Index consists of 23 components within the agriculture sector. The Index is also subject to a forward curve roll optimisation process through the addition of a quantitative enhancement algorithm. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Hedge Elite (herein the "Cell") The investment objective of the Company for the Cell in respect of the Hedge Elite Preference Shares (herein the "Shares") was to provide shareholders with a return on capital linked to the performance of a notional dynamic basket, comprising participations in 10 hedge funds selected by BNP Paribas in accordance with specific criteria, a cash facility, foreign exchange contracts and a zero coupon bond, with the benefit of a profit lock-in mechanism and a Redemption Amount payable at scheduled maturity of not less than 90 pence per Share. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. As it was agreed by the Board of directors that it was no longer in the best interests of the Company, Hedge Elite or the holder of the Hedge Elite Preference Shares for the Company on behalf of Hedge Elite to continue to pursue its stated investment objective for Hedge Elite, all Hedge Elite Shares were redeemed on 19 October 2009 and Hedge Elite was subsequently dissolved. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) Enhanced Property Recovery (herein the "Cell") The investment objective of the Company for the Cell in respect of the Enhanced Property Recovery Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of shares traded on various European stock exchanges through the FTSE EPRA Europe Real Estate Index (the "Index"). The Index is an index designed to track the performance of listed real estate companies in the Europe. The Final Redemption Amount will be determined principally by reference to two values - the first (defined as the "Initial Index Level") being the level of the Index determined on 13 March 2008, the second (defined as the "Final Index Level") being the arithmetic average of the levels of the Index on 13 monthly averaging dates from and including 13 March 2013 to and including the Maturity Date. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Energy - Base Metals (3) (herein the "Cell") The investment objective of the Company for the Cell in respect of the Energy - Base Metals (3) Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy related and base metal commodities (the "Commodity Portfolio") over a six-year period. The Commodity Portfolio is a notional portfolio of commodities comprising 30% crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) comprised in the notional portfolio, which are priced in US dollars, may be affected by the fluctuations in value of the US dollar. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Agribusiness (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Agribusiness Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate, through a dividend payable on the Shares (the "Dividend Amount"), in the performance of shares of companies whose revenues are linked to the agribusiness industry through the BNP Paribas Global Agribusiness Excess Return Index (Reuters code: BNPIGAER Index) (the "Index"). In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive in respect of the dividend payment date an amount equal to the dividend amount due to shareholders, which will be applied by the Company in funding the payment of any dividend due to shareholders, and at redemption an amount equalling HUF 10,000 per share to finance the payment of the redemption proceeds due to shareholders. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) The Dividend amount in respect of each BNP Paribas Agribusiness Preference Share will be payable in the lawful currency of the Republic of Hungary and will be determined by reference to the closing level of the Index determined on or about 11 July 2008 (defined herein as the "Initial Index Level") and the performance of the Index calculated as of each of seven consecutive monthly observation dates (defined as "Observation Dates" and scheduled to fall respectively in July 2010, August 2010, September 2010, October 2010, November 2010, December 2010 and January 2011) as (a) the closing level of the Index on such Observation Date, divided by the Initial Index Level minus (b) 1. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Enhanced Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the Dow Jones Euro STOXX 50 Index (herein the "Index") and notional short-term call options written on the Index. In accordance with the Company's investment objective for the Cell, the gross proceeds at launch were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence per Share, which will be applied by the Company in funding the payment of dividends to shareholders and at redemption an amount equal to the net asset value of the underlying portfolio. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY Full details of the calculation of the investment return, the Contract and the collateral arrangements are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas COMAC (herein the "Cell") The investment objective of the Company for the Cell in respect of the Class A Sterling Hedged COMAC Preference Shares (herein the "Shares") is to provide shareholders with exposure to the performance of an actively managed long short arbitrage strategy (the "Strategy") based on a portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the "Index"). The Index is denominated in US Dollars and is designed to track the performance of an actively managed portfolio of 25 commodities selected from the energy, metals and agricultural sectors, the respective weightings of which are determined in accordance with an investment strategy based on recommendations provided by the asset managers which, from time to time, provides the scores used in the determination of the weightings of the different commodities comprising the Index, and a rules-based proprietary methodology designed by BNP Paribas (the "Index Methodology"). The Strategy is also linked to notional currency hedging intended to provide a level of protection against changes in the Sterling / US Dollar exchange rate. In accordance with the Company's investment objective for the Cell, the net proceeds at launch were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) US Enhanced Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the US Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the Standard and Poor's 500 Index and notional short-term call options written on such index. In accordance with the Company's investment objective for the Cell, the net proceeds at launch and at the subsequent issue of Shares were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. UK Enhanced Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the UK Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the FTSE 100(TM)Index and notional short-term call options written on such index. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT OBJECTIVE AND POLICY (continued) In accordance with the Company's investment objective for the Cell, the net proceeds at launch were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Harewood Structured Investments PCC Limited (the "Company") NET ASSET VALUES As at 30 April 2010, being the latest valuation date prior to the accounting reference date, the calculated net asset value of a share of each cell in existence at that date was as follows:- +------------------------------------------+-------------+-------------+ | | As at | As at | | | 30 April | 30 Oct 2009 | | | 2010 | | | | | | +------------------------------------------+-------------+-------------+ | Enhanced Global Asset Allocation | 136.87 | 135.90 | | ("EGAA") | pence | pence | | | | | +------------------------------------------+-------------+-------------+ | BNP Paribas FTSE Summit ("FTSE S") | 129.82 | 128.66 | | | pence | pence | +------------------------------------------+-------------+-------------+ | BNP Paribas Energy - Base Metals Secure | 331.96 | 272.70 | | Growth ("EBSMG") | pence | pence | | | | | +------------------------------------------+-------------+-------------+ | BNP Paribas UK High Income ("UK HI") | 61.91 pence | 68.98 pence | | | | | +------------------------------------------+-------------+-------------+ | BNP Paribas Energy - Base Metals (2) | 180.98 | 159.26 | | ("EBM (2)") | pence | pence | | | | | +------------------------------------------+-------------+-------------+ | BNP Paribas European Shield ("ES") | 89.47 pence | 87.93 pence | | | | | +------------------------------------------+-------------+-------------+ | BNP Paribas Absolute Progression ("Abs | 122.62 | 118.01 | | Pro") | pence | pence | | | | | +------------------------------------------+-------------+-------------+ | US High Income - Class A ("US HI A") | 67.78 pence | 74.01 pence | | | | | +------------------------------------------+-------------+-------------+ | US High Income - Class B ("US HI B") | 71.63 US$ | 76.31 US$ | | | cents | cents | | | | | +------------------------------------------+-------------+-------------+ | Euro High Income - Class A ("Euro HI A") | 50.20 pence | 53.51 pence | | | | | +------------------------------------------+-------------+-------------+ | Euro High Income - Class B ("Euro HI B") | 51.23 Euro | 53.15 Euro | | | cents | cents | +------------------------------------------+-------------+-------------+ | BNP Paribas Agrinvest ("Agrinvest") | 101.61 | 102.39 | | | pence | pence | +------------------------------------------+-------------+-------------+ | Enhanced Property Recovery ("EHPR") | 61.80 pence | 67.18 pence | | | | | +------------------------------------------+-------------+-------------+ | Energy - Base Metals (3) ("EMB (3)") | 110.31 | 104.68 | | | pence | pence | +------------------------------------------+-------------+-------------+ | BNP Paribas Agribusiness | 10,689 HUF | 9,479 HUF | | ("Agribusiness") | | | | | | | +------------------------------------------+-------------+-------------+ | Enhanced Income - Class A ("EIF") | 111.61 | 113.85 | | | pence | pence | +------------------------------------------+-------------+-------------+ | BNP Paribas COMAC ("COM") | 68.93 pence | 78.39 pence | | | | | +------------------------------------------+-------------+-------------+ | US Enhanced Income - Class A ("US EI A") | 114.25 | 105.74 | | | pence | pence | +------------------------------------------+-------------+-------------+ | US Enhanced Income - Class B ("US EI B") | 114.27 US$ | 105.73 US$ | | | cents | cents | +------------------------------------------+-------------+-------------+ | UK Enhanced Income ("UKEI") | 106.26 | 101.69 | | | pence | pence | +------------------------------------------+-------------+-------------+ Harewood Structured Investment PCC Limited (the "Company") INTERIM MANAGEMENT REPORT For the period from 1 November 2009 to 30 April 2010 A description of important events for each cell and the Company which have occurred during the reporting period and their impact on the performance of the Company as shown in the financial statements is given in the Investment Manager's Report on pages 25 to 49 and is incorporated here by reference. A description of the principal risks and uncertainties facing the Company is given in note 6 to the financial statements and is incorporated here by reference. The principal risks and uncertainties facing the Company to the end of its financial year are considered to be the same as applied in the first six months of the financial year. There were no material related party transactions which took place in the first six months of the financial year. This half-yearly financial report has not been audited nor reviewed by auditors pursuant to the Auditing Practices Board guidance on Review of Interim Financial Information. The Board of directors jointly and severally confirm that, to the best of their knowledge: (a) the financial statements, prepared in accordance with International Financial Reporting Standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and (b) This Management Report includes or incorporates by reference: a. An indication of important events that have occurred during the first six months of the financial year and their impact on the financial statements; b. A description of the principal risks and uncertainties for the remaining six months of the financial year; c. Confirmation that there were no material related party transactions in the first six months of the current financial year that have materially affected the financial position or the performance of the Company during that period; and d. Changes in the related parties transactions described in the Company's last annual financial report that could have a material effect on the financial position or performance of the Company in the first six months of the current financial year. John R Le Prevost Peter Atkinson Director Director 29 June 2010 Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT On the invitation of the Directors of the Company, the following commentary is provided by Harewood Asset Management, SAS, the Investment Manager. Their commentary is provided as a source of useful information for shareholders of the Company but is not directly attributable to the Company. Enhanced Global Asset Allocation Listing: Channel Islands Stock Exchange Launch date: 18 March 2005 Issue price at launch: 100 pence per share NAV at launch: 96.50 pence per share (before Investment Counterparty fees of 3.5 pence per share) Maturity date: 17 March 2011 ISIN: GB00B02FJD84 SEDOL: B02FJD8 Epic Code: EGA Investment Objective Enhanced Global Asset Allocation ("EGA") offers exposure over 6 years to the FTSE100, DJEuroStoxx50, S&P500 and Nikkei 225 (the "Indexes"). There are two principal features: the first is that growth becomes protected in each Index when it reaches 15%, 30% and 45% above its launch level (this is tested quarterly). The second feature involves the allocation of 40% of the return to the best-performing index at maturity (or protected level if higher), 30% to the next best (or protected level if higher), 20% to the next (or protected level if higher) and 10% to the worst (or protected level if higher). The levels of the Indexes recorded at launch and as of 30 April 2010, and the thresholds at which performance can become protected are set out in the table below. The Indexes are observed on the following dates each year (or the next business day if applicable): 18 March, 18 June, 18 September and 18 December. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) +--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+ | Index | Level | Value |Change | Next | 15% | 30% | 45% | Min | | Name | at | as at | |observation | lock-in | lock-in | lock-in | return | | | start | 30-April-10 | | date for | level | level | level |locked-in | | | | | | lock-ins | | | | | +--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+ | Euro | 3,053.54 | 2,816.86 | -7.8% | 18-June-10 | 3,511.57 | 3,969.60 | 4,427.63 | 45% | | Stoxx | | | | | | | | | | 50 | | | | | | | | | +--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+ | FTSE | 4,923.30 | 5,553.29 | 12.8% | 18- | 5,661.80 | 6,400.29 | 7,138.79 | 30% | | 100 | | | | June | | | | | | | | | | -10 | | | | | +--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+ |Nikkei | 11,879.81 | 11,057.40 | -6.9% | 18- | 13,661.78 | 15,443.75 | 17,225.72 | 45% | | 225 | | | | June | | | | | | | | | | -10 | | | | | +--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+ | S&P | 1,189.65 | 1,186.69 | -0.2% | 18- | 1,368.10 | 1,546.55 | 1,724.99 | 15% | | 500 | | | | June | | | | | | | | | | -10 | | | | | +--------+------------------+------------------+--------+-------------+--------------+--------------+--------------+-----------+ Source for Index Price Information: Bloomberg Investment Performance Between launch on 18 March 2005 and close on 30 April 2010 (the last business day prior to the balance sheet date) the NAV had risen by 41.83% (based on an initial NAV of 96.50 pence). Over the same period, the MSCI World Total Return index (which we regard as an appropriate benchmark) had risen by 2.51%, the FTSE 100 had risen by 12.8%, the S&P 500 had fallen by 0.25%, the Euro Stoxx 50 had fallen by 7.75% and the Nikkei had also fallen by 6.92.%. The highest NAV reached since launch represented a value per share of 144.09 pence and a performance since launch of 49.32% (based on an initial NAV of 96.50 pence). This occurred as of closing on 10 December 2007. The lowest NAV reached since launch represented a value per share of 94.26 pence and a performance since launch of -2.32% (based on an initial NAV of 96.50 pence). This occurred on 29 April 2005. Prior to the balance sheet date the indexes were observed on 18 March 2010 with respect to the thresholds at which lock-ins occur. The Nikkei 225 and the DJ EuroStoxx have locked in a minimum return of 45%, the FTSE 100 index has locked in a minimum return of 30% and the S & P 500 Index has locked in a minimum of 15%. As a result, if all the indices were to fall to zero on the maturity date, the minimum redemption value would now be 139.0 pence per share. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) BNP Paribas FTSE Summit Listing: Channel Islands Stock Exchange Launch date: 30 June 2005 Issue price: 100 pence NAV at launch: 100 pence Maturity date: 29 June 2011 ISIN: GB00B0B8FC95 SEDOL: B0B8FC9 Epic Code: FSM Investment Objective BNP Paribas FTSE Summit ("FSM") is a six-year investment that pays the return of the highest observed performance of the FTSE 100 Index (the "Index") over that period, irrespective of the level of the index at maturity. The closing price of the Index is observed on the 29th (whichever is earlier, or the next business day if exchanges are closed). If the index ever falls by 50% from its initial level at any time then 100 pence is returned at maturity. The level of the Index recorded at launch and as of 30 April 2010, the highest level of the index observed to date on an Index observation date, and the Index level which, if breached at any time, results in the return of 100 pence per share, are set out in the table below. +-------+---------+-----------+--------+-------------+----------+-----------+ |Index | Value | Value |Change | Next | Highest | Minimum | | name | at | as of | |observation | FTSE |protected | | | start |30-Apr-10 | | date | Lock-In | return | | | | | | | level | | | | | | | |recorded | | +-------+---------+-----------+--------+-------------+----------+-----------+ | FTSE |5,113.2 | 5,553.3 | 8.61% | 31-Mar-10 | 6,706.0 | 131.15% | | 100 | | | | | | | |Index | | | | | | | +-------+---------+-----------+--------+-------------+----------+-----------+ Source for Index Price Information: Bloomberg Investment Performance Between launch on 30 June 2005 and close on 30 April 2010 the NAV had risen by 29.82%, ahead of the 8.61% increase in the FTSE and ahead of the 29.8% increase in the FTSE 100 Total Return index. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) The highest NAV reached since launch represented a value per share of 143.81 pence and a performance since the launch NAV of 43.81%. This occurred as of closing on 31 October 2007. The lowest NAV was the launch NAV of 100 pence. As at the balance sheet date fifty eight Index measurement dates had occurred since launch. The highest closing level of the Index was recorded on 29th October 2007 (6,706.0). This represents a protected minimum return to investors of 131.15p on their shares. BNP Paribas Energy-Base Metals Secure Growth Listing: Channel Islands Stock Exchange Launch date: 30 June 2005 Issue price at launch: 100 pence NAV at launch: 100 pence Maturity date: June 29, 2010 ISIN: GB00B0B8H459 SEDOL: B0B8H45 Epic Code: EBM Investment Objective BNP Paribas Energy-Base Metals Secure Growth ("EBM") is a five-year investment offering 340% of the upside of the spot prices of a portfolio of commodities. The portfolio comprises West Texas Intermediate Oil (30%), Aluminium (20%), Copper (20%), Nickel (15%) and Zinc (15%). If the portfolio performance is negative over six years, 100 pence is returned at maturity. The name and weighting of each commodity, the spot prices of each commodity recorded at launch (the nearest futures price in the case of oil) and as of 30 April 2010 are set out in the table below. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) +-----------------+----------+------------+----------+---------+ | Commodity name |Value at | Value as | Change | Weight | | | Start | of | | | | | | 30-Apr-10 | | | +-----------------+----------+------------+----------+---------+ | Aluminium | 1716.00 | 2184.00 | 27.3% | 20.0% | +-----------------+----------+------------+----------+---------+ | Copper | 3597.00 | 7365.00 | 104.8% | 20.0% | +-----------------+----------+------------+----------+---------+ | Nickel |14700.00 | 25810.00 | 75.6% | 15.0% | +-----------------+----------+------------+----------+---------+ | West Texas | 56.50 | 86.15 | 52.5% | 30.0% | | Intermediate | | | | | +-----------------+----------+------------+----------+---------+ | Zinc | 1223.00 | 2256.00 | 84.5% | 15.0% | +-----------------+----------+------------+----------+---------+ Source for Commodity values Information: Bloomberg Investment Performance Between launch on 30 June 2005 and close on 30 April 2010 the NAV had risen by 231.96%. Over this period the DJ UBS Commodities Total Return Index had fallen by 11.9%. The principle factors underlying EBM's performance are the NAV's sensitivity to the direction of commodity spot and forward prices and high sensitivity to changes in the volatility of forward commodity prices. The highest NAV reached since launch represented a value per share of 415.90 pence and a performance since the launch NAV of 315.90%. This occurred on 11 July 2008. The lowest NAV reached since launch represented a value per share of 96.86 pence and a performance since the launch NAV of -3.1%. This occurred on 18 July 2005. BNP Paribas UK High Income Listing: Channel Islands Stock Exchange Launch date: 9 December 2005 Issue price at launch: 100 pence NAV immediately following launch: 98.75 pence Maturity date: 8 December 2011 ISIN: GB00B0N4CX50 SEDOL: B0N4CX50 Epic Code: UKH Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Objective BNP Paribas UK High Income ("UKH") is a six-year investment aiming to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the FTSE 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the FTSE 100 Index, with a term and maturity matching the term of the Shares, aims to reduce the risk of capital loss. BNP Paribas UK High Income launched on 9 December 2005 with an initial NAV of 98.75 pence. On this date (a) the portfolio of shares was selected and purchased (b) the corresponding 3-month call options were sold with an average strike price of 105.5% of the value of the shares (c) the portfolio insurance was acquired. This takes the form of a six-year put option on the FTSE 100 with a strike level of 5,517.4. The name and weighting of each selected share and its performance between 8 March 2010 (representing the most recent rebalancing of the portfolio) and 30 April 2010 are set out in the table below. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Stock | Strike | Current |Performance | Option | Share | Weighting at | | | price | price | at | strike |portfolio | 30-Apr-10 | | | at | at | 30-Apr-10 | price |weighting | | | |08-Mar-10 |30-Apr-10 | | |at Strike | | | | | | | | Date | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------------+ | Astrazeneca | 2,953.00 | 2,889.00 | -2.2% |2,959.30 | 5.9% | 6.1% | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Aviva | 392.40 | 348.70 | -11.1% | 393.71 | 4.4% | 4.1% | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | BAE | 384.30 | 344.40 | -10.4% | 385.07 | 4.4% | 4.2% | | | Systems | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | BHP | 2,233.00 | 2,025.50 | -9.3% |2,239.93 | 5.9% | 5.6% | | | Billiton | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | BP PLC | 616.20 | 575.50 | -6.6% | 617.33 | 7.4% | 7.2% | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | British | 2,322.00 | 2,054.00 | -11.5% |2,326.10 | 5.9% | 5.5% | | | American | | | | | | | | | Tobacco | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Cable | 139.00 | 86.40 | -37.8% | 139.67 | 1.5% | 1.0% | | | & | | | | | | | | | Wireless | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Diageo | 1,084.00 | 1,115.00 | 2.9% |1,085.99 | 5.9% | 6.4% | | | Plc | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Glaxosmithkline | 1,236.00 | 1,211.00 | -2.0% |1,238.27 | 7.4% | 7.6% | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | HSBC | 705.80 | 668.00 | -5.4% | 707.60 | 7.4% | 7.3% | | | Holdings | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Man | 251.50 | 243.30 | -3.3% | 252.46 | 1.5% | 1.5% | | | Group | | | | | | | | | Plc | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Marks | 350.60 | 366.50 | 4.5% | 351.45 | 2.9% | 3.2% | | | & | | | | | | | | | Spencer | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | National | 662.50 | 565.60 | -14.6% | 663.72 | 4.4% | 4.0% | | | Grid | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Rio | 3,720.50 | 3,379.00 | -9.2% |3,734.78 | 7.4% | 7.0% | | | Tinto | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Royal | 1,811.50 | 1,975.00 | 9.0% |1,815.00 | 5.9% | 6.7% | | | Dutch | | | | | | | | | Shell | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | RSA | 124.50 | 121.50 | -2.4% | 124.78 | 1.5% | 1.5% | | | Insurance | | | | | | | | | Group | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Scottish | 1,135.00 | 1,085.00 | -4.4% |1,136.86 | 4.4% | 4.4% | | | & | | | | | | | | | Southern | | | | | | | | | Energy | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Standard | 202.90 | 200.00 | -1.4% | 203.42 | 2.9% | 3.0% | | | Life | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Tesco | 440.25 | 435.15 | -1.2% | 441.05 | 5.9% | 6.1% | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Vodafone | 148.15 | 145.35 | -1.9% | 148.46 | 7.4% | 7.6% | | | Group | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | FTSE | 4,405.22 | 5,553.29 | 26.06% | | | | | | 100 | | | | | | | | | Index | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ | Weighted | | | -4.90% | | | | | | Basket | | | | | | | | | Performance | | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+--------+--------+ Source for Share Price Information: Bloomberg Investment Performance Between launch on 9 December 2005 and close on 30 April 2010 the NAV had fallen by 37.31% (based on the initial NAV of 100 pence). The directors declared interim dividends of 1.875 pence per share on 8 November 2007, 7 February 2008, 8 May 2008, 7 August 2008 6 November 2008, 5 February 2009, 7 May 2009, 6 August 2009, 5 November 2009, and 7 February 2010. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) BNP Paribas Energy-Base Metals (2) Listing: Channel Islands Stock Exchange Launch date: 23 March 2006 Issue price at launch: 100 pence NAV at launch: 100 pence Maturity date: 22 March 2012 ISIN: GB00B0ZNS989 SEDOL: B0ZNS98 Epic Code: EBMB Investment Objective BNP Paribas Energy-Base Metals 2 ("EBMB") is a six-year investment offering 230% of the upside of the spot prices of a portfolio of commodities. The portfolio comprises West Texas Intermediate Oil (30%), Aluminium (20%), Copper (20%), Nickel (15%) and Zinc (15%). If the portfolio performance is negative over six years, 100 pence is returned at maturity. The name and weighting of each commodity, the spot prices of each commodity recorded at launch (the nearest futures price in the case of oil) and as of April 30, 2010 are set out in the table below. +------------------+----------+-----------+----------+---------+ | Commodity name |Value at | Value as | Change | Weight | | | Start | of | | | | | |30-Apr-10 | | | +------------------+----------+-----------+----------+---------+ | Aluminium | 2,457 | 2,184.00 | -11.1% | 20.0% | +------------------+----------+-----------+----------+---------+ | Copper | 5,220 | 7,365.00 | 41.1% | 20.0% | +------------------+----------+-----------+----------+---------+ | Nickel | 15,055 |25,810.00 | 71.4% | 15.0% | +------------------+----------+-----------+----------+---------+ | West Texas | 64 | 86.15 | 34.8% | 30.0% | | Intermediate | | | | | +------------------+----------+-----------+----------+---------+ | Zinc | 2,543 | 2,256.00 | -11.3% | 15.0% | +------------------+----------+-----------+----------+---------+ Source for commodity values information: Bloomberg Investment Performance Between launch on 23 March 2006 and close on 30 April 2010 the NAV had risen by 80.98%. Over this period the DJ UBS Commodities Excess Return Index had fallen by 17.2%. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) BNP Paribas European Shield Listing: Channel Islands Stock Exchange Launch date: 28 April 2006 Issue price at launch: 100 pence NAV immediately following launch: 100.00 pence Maturity date: 26 April 2012 ISIN: GB00B12GMC87 SEDOL: B12GMC8 Investment Objective The BNP Paribas European Shield is a six-year fund returning 171.25p per share at maturity provided that, at maturity, the DJ Euro Stoxx 50 Index is at or above its initial level of 3,865.42. This is equivalent to an annualised return of 8.5% on the application price of 105p. The redemption value per share is reduced linearly from 171.25p to 100p per share as the index falls from 100% to 85% of its initial level. The redemption value per share of 100p is protected unless the index falls by 50% from its initial level at any point over the six year life. If downside is triggered and the index fails to recover to 85% of the initial level, investors will participate in index tracking plus 15p per share. The level of the Index recorded at launch and as of 30 April 2010, the level of the Index at maturity required to return a redemption value per share of 171.25 pence, the Index level which, if breached at any time, results in the potential loss of capital and the lowest observed level of the Index to date are set out in the table below. +--------+---------+-----------+--------+---------+---------+----------+ | Index |Initial | Value |Change | 85% | 50% | Lowest | | Name | Level | as of | |Barrier |Barrier |observed | | | |30-Apr-10 | | Level | Level | Index | | | | | | | | Level | +--------+---------+-----------+--------+---------+---------+----------+ | DJ | 3865.4 | 2816.9 |-27.1% | 3285.6 | 1932.7 | 1810.0 | | Euro | | | | | | | | Stoxx | | | | | | | | 50 | | | | | | | +--------+---------+-----------+--------+---------+---------+----------+ Source for Index Price Information: Bloomberg Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on April 27 2006 and close on 30 April 2010 the NAV has fallen by 10.53% versus a 26.64.% decline in the Eurostoxx 50 Index. BNP Paribas Absolute Progression Listing: Channel Islands Stock Exchange Launch date: 20 July 2006 Issue price at launch: 100 pence NAV immediately following launch: 100.00 pence Maturity date: 19 July 2012 ISIN: GB00B17WK500 SEDOL: B17WK500 Investment Objective This 6-year maturity fund produces absolute returns based on the divergence, rather than the direction, of stock performance. The fund focuses on the share components of the Dow Jones Global Titans Index, an index that includes the world's 50 largest multinational companies. On each anniversary of launch the fund's portfolio is, retrospectively, made up of the shares that have beaten the index over the previous year in equal weightings. The fund's return for each year equals the amount by which this portfolio's annualised performance beats the index less a hurdle rate of 5%. The level of the Index recorded at launch and as of 30 April 2010 is set out in the table below. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) +----------------+------------+-------------+-------------+-----------------+ | DJGT | Strike | Current | % change |Out-performance | | Components | Price | price at | | | | | |30-April-10 | | | +----------------+------------+-------------+-------------+-----------------+ | Abbot Labs | 46.21 | 51.16 | 10.71% | 25.98% | +----------------+------------+-------------+-------------+-----------------+ | Altria Group | 18.30 | 21.19 | 15.79% | 31.06% | +----------------+------------+-------------+-------------+-----------------+ | AT&T Inc | 27.30 | 26.06 | -4.54% | 10.73% | +----------------+------------+-------------+-------------+-----------------+ | BP Group | 625.00 | 575.50 | -7.92% | 7.35% | +----------------+------------+-------------+-------------+-----------------+ | Chevron Texaco | 65.32 | 81.44 | 24.68% | 39.95% | | Corp | | | | | +----------------+------------+-------------+-------------+-----------------+ | Cisco Systems | 17.88 | 26.92 | 50.56% | 65.83% | +----------------+------------+-------------+-------------+-----------------+ | Coca Cola | 43.84 | 53.45 | 21.92% | 37.19% | +----------------+------------+-------------+-------------+-----------------+ | CONOCOPHILIPPS | 64.43 | 59.19 | -8.13% | 7.14% | +----------------+------------+-------------+-------------+-----------------+ | Exxon Mobil | 64.25 | 67.85 | 5.60% | 20.87% | | Corp | | | | | +----------------+------------+-------------+-------------+-----------------+ | Google Corp. | 407.35 | 525.70 | 29.05% | 44.32% | +----------------+------------+-------------+-------------+-----------------+ | Hewlett | 31.80 | 51.97 | 63.43% | 78.70% | | packard | | | | | +----------------+------------+-------------+-------------+-----------------+ | IBM | 75.48 | 129.00 | 70.91% | 86.18% | +----------------+------------+-------------+-------------+-----------------+ | Intel Corp | 17.15 | 22.83 | 33.12% | 48.39% | +----------------+------------+-------------+-------------+-----------------+ | Johnson & | 61.37 | 64.30 | 4.77% | 20.04% | | Johnson | | | | | +----------------+------------+-------------+-------------+-----------------+ | JP Morgan | 42.98 | 42.58 | -0.93% | 14.34% | | Chase | | | | | +----------------+------------+-------------+-------------+-----------------+ | Merck | 37.30 | 35.04 | -6.06% | 9.21% | +----------------+------------+-------------+-------------+-----------------+ | Microsoft | 22.85 | 30.54 | 33.65% | 48.92% | +----------------+------------+-------------+-------------+-----------------+ | Nestle | 39.15 | 52.85 | 34.99% | 50.26% | +----------------+------------+-------------+-------------+-----------------+ | Pepsi Cola | 62.48 | 65.22 | 4.39% | 19.66% | +----------------+------------+-------------+-------------+-----------------+ | Procter & | 56.61 | 62.16 | 9.80% | 25.07% | | Gamble | | | | | +----------------+------------+-------------+-------------+-----------------+ | Royal Dutch | 26.54 | 23.57 | -11.19% | 4.08% | | Shell | | | | | +----------------+------------+-------------+-------------+-----------------+ | Samsung |598,000.00 |849,000.00 | 41.97% | 57.24% | | Electronics | | | | | +----------------+------------+-------------+-------------+-----------------+ | Siemens | 64.43 | 74.34 | 15.38% | 30.65% | +----------------+------------+-------------+-------------+-----------------+ | Telefonica | 13.04 | 17.03 | 30.56% | 45.83% | +----------------+------------+-------------+-------------+-----------------+ | Verizon | 30.94 | 28.89 | -6.62% | 8.65% | +----------------+------------+-------------+-------------+-----------------+ | Vodafone | 113.40 | 145.35 | 28.18% | 43.45% | +----------------+------------+-------------+-------------+-----------------+ | DJGT Index | 202.23 | 171.35 | -15.27% | | +----------------+------------+-------------+-------------+-----------------+ | | | | | | +----------------+------------+-------------+-------------+-----------------+ | Portfolio | | | | 33.98% | | Average | | | | | +----------------+------------+-------------+-------------+-----------------+ Source for Share Price Information: Bloomberg As of 30 April 2010, the NAV had risen by 22.62% since launch compared with the HFR Hedge Fund Universe Index, which has fallen by 15.27% over that period. Since launch, 27 stocks had outperformed the DJGT Index. The average out-performance had been 33.98%. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Class A Sterling Hedged US High Income Preference Shares and Class B Unhedged US High Income Preference Shares Listing: Channel Islands Stock Exchange Launch date: 26 October 2006 Issue price at launch: 100 pence NAV immediately following launch: 99 pence class A & $0.99 class B Maturity date: 19 November 2012 Class A ISIN: GG00B1FP4W69 Class A SEDOL: B1FP4W6 Class B ISIN: GG00B1FP4X76 Class B SEDOL: B1FP4X7 Investment Objective BNP Paribas US High Income ("USH" for Class A and "USHD" for Class B) is a six-year investment aiming to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the S&P 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the S&P 100 Index, with a term and maturity matching the term of the Shares, aims to reduce the risk of capital loss. BNP Paribas US High Income launched on 26 October 2006 with an initial NAV of 99 pence ($0.99 for class B). On this date (a) the portfolio of shares was selected and purchased (b) the corresponding 3-month call options were sold with an average strike price of 104.3% of the value of the shares (c) the portfolio insurance was acquired. This takes the form of a six-year put option on the S&P 100 with a strike level of 645.42. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) The name and weighting of each selected share and its performance between 18 August 2008 and 30 April 2010 are set out in the table below. +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Stock | Strike | Current |Performance |Option | Class | Class | | | Price | price | at |strike | A - | A - | | | at | at | 30-Apr-10 | price | Share | Weighting | | |22-Feb-2010 |30-Apr-10 | | |Portfolio | at | | | | | | |weighting |30-April-10 | | | | | | |at Strike | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Altria | 20.27 | 21.19 | 4.54% | 20.86 | 2.74% | 2.71% | | Group | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | AT&T | 25.02 | 26.06 | 4.16% | 25.85 | 5.48% | 5.39% | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Bank | 16.21 | 17.83 | 9.99% | 17.23 | 5.48% | 5.70% | | of | | | | | | | | America | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Chevron | 72.96 | 81.44 | 11.62% | 75.75 | 5.48% | 5.78% | | Corp | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Exxon | 65.40 | 67.77 | 3.62% | 67.70 | 6.85% | 6.71% | | Mobil | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | General | 16.25 | 18.86 | 16.06% | 17.06 | 6.85% | 7.51% | | Electric | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | IBM | 126.85 | 129.00 | 1.69% |131.15 | 5.48% | 5.27% | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Intel | 20.87 | 22.84 | 9.44% | 21.87 | 5.48% | 5.67% | | Corporation | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | JP | 40.85 | 42.58 | 4.24% | 43.15 | 5.48% | 5.40% | | Morgan | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | McDonalds | 64.77 | 70.59 | 8.99% | 66.71 | 4.11% | 4.23% | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Merck | 37.12 | 35.04 | -5.60% | 38.79 | 5.48% | 4.89% | | & Co. | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Microsoft | 28.73 | 30.54 | 6.28% | 29.93 | 6.85% | 6.88% | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Monsanto | 76.79 | 63.06 | -17.88% | 80.54 | 2.74% | 2.13% | | Co. | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Pfizer | 17.95 | 16.72 | -6.85% | 18.74 | 5.48% | 4.82% | | Inc. | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Phillip | 49.75 | 49.08 | -1.35% | 51.49 | 4.11% | 3.83% | | Morris | | | | | | | | International | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Procter&Gamble | 63.42 | 62.16 | -1.99% | 65.28 | 6.85% | 6.35% | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Southern | 32.34 | 34.56 | 6.86% | 33.30 | 1.37% | 1.38% | | Co. | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | UPS | 57.95 | 69.14 | 19.31% | 60.10 | 4.11% | 4.63% | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Walt | 31.12 | 36.84 | 18.38% | 32.43 | 4.11% | 4.60% | | Disney | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Wells | 28.01 | 33.11 | 18.21% | 15.60 | 5.48% | 6.12% | | Fargo | | | | | | | | & Co | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Altria | 20.27 | 21.19 | 4.54% | 20.86 | 2.74% | 2.71% | | Group | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | S&P | 413.54 | 540.28 | 30.65% | | | | | 100 | | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ | Weighted Basket | | 5.80% | | | | | Performance | | | | | | +----------------+-------------+-----------+-------------+--------+-----------+-------------+ Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Source for Share Price Information: Bloomberg Investment Performance Between launch on 26 October 2006 and close on 30 April 2010 the Total Return Performance was -5.28% and -1.39% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the S&P TR Performance, which declined 19.4% over that period. The directors declared interim dividends of 1.875 pence per Class A Sterling Hedged US High Income Preference Share and 1.875 cents per Class B Unhedged US High Income Preference Share on 17 January 2008, 17 April 2008, 17 July 2008, 23 October 2008, 22 January 2009, 23 April 2009, 23 July 2009, 22 October 2009, 21 January 2010, and 17 April 2010. Class A Sterling Hedged Euro High Income Preference Shares and Class B Unhedged Euro High Income Preference Shares Listing: Channel Islands Stock Exchange Launch date: 22 June 2007 Issue price at launch: GBP1 class A & EUR1 class B NAV immediately following launch: 99 pence Class A and 99 cents class B Maturity date: 1 July 2013 Class A ISIN: GG00B1YKCQ26 Class A SEDOL: B1YKCQ2 Class B ISIN: GG00B1YKCV78 Class B SEDOL: B1YKCV7 Investment Objective Euro High Income Preference Shares ("EUHS" for Class A and "EUHE" for Class B") is a six-year investment aiming to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares in Eurozone companies selected from the Dow Jones Euro STOXX 50 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the Dow Jones Euro STOXX 50 Index, with a term and maturity matching the term of the Shares, aims to reduce the risk of capital loss. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) The name and weighting of each selected share and its performance between 23 September 2009 (the date of the most recent stock basket rebalance) and 30 April 2010 are set out in the table below. +---------------+---------+-----------+-------------+--------+-----------+-----------+ | Stock | Strike | Current |Performance |Option | Class |Weighting | | | Price | price | at |Strike | A - | Class A | | | at | at | 30-Apr-10 | Price | Share | at | | | 22nd |30-Apr-10 | | |portfolio |30-Apr-10 | | | March | | | |weighting | | | | 2010 | | | |at Strike | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | AEGON | 4.82 | 5.33 | 10.59% | 5.06 | 5.00% | 5.69% | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | ALSTOM | 47.69 | 44.48 | -6.73% | 50.07 | 5.00% | 4.79% | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | AXA SA | 15.77 | 15.1 | -4.22% | 16.55 | 5.00% | 4.92% | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | ARCELORMITTAL | 31.01 | 29.66 | -4.35% | 32.56 | 5.00% | 4.92% | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | BANCO | 10.19 | 9.94 | -2.38% | 10.69 | 5.00% | 5.02% | | BILBAO | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | BANCO | 9.86 | 9.55 | -3.13% | 10.35 | 5.00% | 4.98% | | SANTANDER | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | BNP | 57.14 | 52.13 | -8.77% | 60 | 5.01% | 4.70% | | PARIBAS | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | CRH | 18.61 | 21.43 | 15.17% | 19.54 | 5.00% | 5.92% | | PLC | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | CREDIT | 12.44 | 10.82 | -13.02% | 13.06 | 5.00% | 4.47% | | AGRICOLE | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | DEUTSCHE | 54.08 | 51.73 | -4.35% | 56.6 | 5.02% | 4.93% | | BANK | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | DEUTSCHE | 52.97 | 57.88 | 9.27% | 55.35 | 5.02% | 5.64% | | BOERSE | | | | | | | | AG | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | DEUTSCHE | 9.86 | 9.88 | 0.18% | 10.34 | 5.00% | 5.16% | | TELEKOM | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | FRANCE | 17.65 | 16.45 | -6.83% | 18.53 | 5.00% | 4.79% | | TELECOM | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | ING | 7.13 | 6.74 | -5.44% | 7.48 | 5.00% | 4.86% | | GROEP | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | NOKIA | 11.20 | 9.155 | -18.26% | 11.76 | 5.00% | 4.20% | | AB OY | | | | | | | | A | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | SAINT | 35.79 | 37.415 | 4.54% | 37.58 | 5.00% | 5.38% | | GOBAIN | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | SOCIETE | 45.67 | 40.40 | -11.53% | 47.95 | 4.99% | 4.54% | | GENERALE | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | TELECOM | 1.08 | 1.05 | -2.32% | 1.13 | 5.00% | 5.02% | | ITALIA | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | UNICREDIT | 2.14 | 1.994 | -6.60% | 2.24 | 5.00% | 4.80% | | SPA | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | VIVENDI | 19.29 | 19.80 | 2.64% | 20.25 | 5.00% | 5.28% | | SA | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | DJ |2890.75 | 2816.86 | -2.56% | | | | | Eurostoxx | | | | | | | | 50 | | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ | Weighted Basket | | -2.77% | | | | | Performance | | | | | | +---------------+---------+-----------+-------------+--------+-----------+-----------+ Source for Share Price Information: Bloomberg Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 21 June 2007 and close on 30 April 2010 the Total Return Performance had was -49.29%and -48.25% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the DJ Eurostoxx TR performance, of -8.70% over that period. The directors declared interim dividends of 1.875 pence per Class A Sterling Hedged Euro High Income Preference Share and 1.875 Euro cents per Class B Unhedged Euro High Income Preference Share on 22 November 2007, 21 February 2008, 21 May 2008, 20 August 2008, 20 November 2008, 19 February 2009, 20 May 2009, 20 August 2009 26 November 2009, and 18 February 2010. BNP Paribas Agrinvest Listing: Channel Islands Stock Exchange Launch date: 21 June 2007 Issue price at launch: 100 pence NAV immediately following launch: 100.00 pence Maturity date: 29 May 2013 ISIN: GB00B1YKCX92 SEDOL: B1YKCX9 Investment Objective BNP Paribas Agrinvest Shares (herein the "Shares") is a six-year investment aiming to provide shareholders with the opportunity to participate in the performance of exchange-traded commodities futures comprised in the DCI Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is designed to provide a broad yet liquid representation of large, mid and small commodity futures inside the Organisation for Economic Cooperation and Development (OECD). The Index consists of 23 components within the agriculture sector. The Index is also subject to a forward curve roll optimisation process through the addition of a quantitative enhancement algorithm. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) +-------------+----------+-----------+---------+ | Commodity | Value | Value | Change | | name | at | as of | | | | Start |30-Apr-10 | | +-------------+----------+-----------+---------+ | DCI |1,053.0 | 876.9 |-16.73% | | Agriculture | | | | | BNP Paribas | | | | | Enhanced | | | | | Excess | | | | | Return | | | | +-------------+----------+-----------+---------+ Source for Index Price Information: Bloomberg Investment Performance Between launch on 22 June 2007 and close on 30 April 2010 the NAV had increased by 1.51%. Over this period the S&P GSCI Agri&Livestock ER Index had fallen by 6.73%. Hedge Elite Listing: Channel Islands Stock Exchange Launch date: 26 October 2007 Issue price at launch: 100 pence per share NAV immediately following launch: 100.00 pence Maturity date: 28 October, 2013 ISIN: GG00B28CCG11 SEDOL: B28CCG1 Investment Objective The investment objective of the Company for Hedge Elite was to provide shareholders with a return on capital linked to the performance of a notional dynamic basket, comprising participations in 10 hedge funds selected by BNP Paribas in accordance with specific criteria, a cash facility, foreign exchange contracts and a zero coupon bond, with the benefit of a profit lock-in mechanism and a Redemption Amount payable at scheduled maturity of not less than 90 pence per Share. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance and Termination As it was agreed by the Board of directors that it was no longer in the best interests of the Company, Hedge Elite or the holder of the Hedge Elite Preference Shares for the Company on behalf of Hedge Elite to continue to pursue its stated investment objective for Hedge Elite, all Hedge Elite Preference Shares were redeemed on 19 October 2009 at 78.86 pence each and Hedge Elite was subsequently dissolved. As the Hedge Elite Preference Shares were redeemed prior to the scheduled Redemption Date, the minimum Redemption Amount of 90 pence per share was not applicable. Enhanced Property Recovery Listing: Channel Islands Stock Exchange Launch date: 13 March 2008 Issue price at launch: 100 pence NAV immediately following launch: 100 pence Maturity date: March 13, 2014 ISIN: GG00B2PWW869 SEDOL: B2PWW86 Investment Overview The Enhanced Property Recovery Fund allows investors to benefit from a possible recovery in the listed property market with an enhanced market timing mechanism. At maturity, if the FTSE EPRA European Index (Bloomberg code: EPRA Index) (the "Index") finishes above its initial level, the fund will pay the greater of either 170% or the enhanced performance of the index. If the Index closes below the initial level, the Fund will track the Index. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 13 March 2008 and close on 30 April 2010 the NAV had fallen by 38.20%. Over this period the EPRA Index had fallen by 36.63%. The Fund performance is driven primarily by sensitivity of the NAV to movements in the underlying Index, which is nearly one for one. The Fund recorded its lowest observation in March 2009 and a new low of 689.08. The enhanced market timing mechanism of this Fund means that if the Index was to recover to maturity, this figure would be used as the reference for which to calculate final performance. BNP Paribas Energy-Base Metals (3) Listing: Channel Islands Stock Exchange Launch date: 5 June 2008 Issue price at launch: 100 pence NAV at launch: 100 pence Maturity date: 5 June 2014 ISIN: GG00B2R9LW24 SEDOL: B39TP47 Epic Code: EBMC Investment Objective BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year investment offering 175% of the upside of the spot prices of a portfolio of commodities. The portfolio comprises West Texas Intermediate Oil (30%), Natural Gas (20%), Aluminium (12.5%), Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio performance is negative over six years, 100 pence is returned at maturity. The name and weighting of each commodity, the spot prices of each commodity recorded at launch (the nearest futures price in the case of oil) and as of April 30, 2010 are set out in the table below. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) +------------------+----------+------------+---------+---------+ | Commodity name |Value at | Value as | Change | Weight | | | Start | of | | | | | | 30-Apr-10 | | | +------------------+----------+------------+---------+---------+ | Aluminium | 2858.5 | 2184 | -23.6% | 12.5% | +------------------+----------+------------+---------+---------+ | Copper | 8006 | 7365 | -8.0% | 12.5% | +------------------+----------+------------+---------+---------+ | Nickel | 22000 | 25810 | 17.3% | 12.5% | +------------------+----------+------------+---------+---------+ | West Texas | 122.3 | 86.15 | -29.6% | 30.0% | | Intermediate | | | | | +------------------+----------+------------+---------+---------+ | Zinc | 1948.5 | 2256 | 15.8% | 12.5% | +------------------+----------+------------+---------+---------+ | Natural Gas | 12.379 | 3.92 | -68.3% | 20.0% | +------------------+----------+------------+---------+---------+ Source for commodity values information: Bloomberg Investment Performance Between launch on 5 June 2008 and close on 30 April 2010 the NAV had risen by 10.31%. Over this period the DJ AIG Commodities Excess Return Index had fallen by 38.1%. BNP Paribas Agribusiness Listing: Budapest Stock Exchange Launch date: 11 July 2008 Issue price at launch: HUF 10,000 NAV immediately following launch: HUF 10,000 Maturity date: 10 January 2011 ISIN:GG00B39FV703 SEDOL: B39FVH0 Investment Overview The BNP Paribas Agribusiness Cell is a 2.5 year investment which aims to provide shareholders with the opportunity to participate, through a dividend payable on the Shares, in the performance of shares of companies whose revenues are linked to the agribusiness industry through the BNP Paribas Global Agribusiness Excess Return Index (Reuters Code: BNPIGAER). Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 11 July 2008 and close on 30 April 2010 the NAV had risen by 6.89%. Over this period the BNP Paribas Global Agribusiness Excess Return Index had fallen by 16.7%. Class A Sterling Hedged Enhanced Income Preference Shares and Class B Unhedged Enhanced Income Preference Shares Listing: Channel Islands Stock Exchange Launch date: March 19 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence Maturity date: March 2108 Class A ISIN: GG00B4W90V35 Class A SEDOL: B4W90V3 Class B ISIN: GG00B4W90W42 Class B SEDOL: B4W90W4 Investment Overview The investment objective of the Cell is to provide Shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital based on an investment strategy linked to the performance of the Dow Jones Euro STOXX 50 Index (the "Index") and notional call options written on the Index (the "Strategy"). Dividend distributions on the Enhanced Income Preference Shares will be denominated and paid in GBP in respect of the Class A Shares and in EUR in respect of the Class B Shares. There are currently no Class B Shares in issue. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 19 March 2009 and close on 30 April 2010 the NAV had risen by 20.61%. Over this period the DJ EuroStoxx TR Index had increased by 43.51%. The directors declared interim dividends of 2.00 pence per Class A Share on 24 June 2009, of 2.30 pence per Class A Share on 23 September 2009, 2.40 pence per Class A Share on 23 December 2009 and 2.30 pence per Class A Share on 24 March 2010. Class A Sterling Hedged COMAC Preference Shares and Class B US Dollar Unhedged COMAC Preference Shares Listing: Channel Islands Stock Exchange Launch date: 1 June 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence Maturity date: June 2029 Class A ISIN: GG00B3VGTS89 Class A SEDOL: B3VGTS8 Class B ISIN: GG00B3VM1S01 Class B SEDOL: B3VM1S) Investment Overview The investment objective of the Cell is to provide shareholders with exposure to the performance of an actively managed long short arbitrage strategy based on a portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the "Index"). The Index is denominated in USD and is designed to track the performance of an actively managed portfolio of 25 commodities selected from the energy, metals and agricultural sectors, the respective weightings of which are determined in accordance with an investment strategy based on recommendations provided by the COMAC Adviser and a rules-based proprietary methodology designed by BNP Paribas (the "Index Methodology"). Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 1 June 2009 and close on 30 April 2010 the NAV of Class A had fallen by 31.07%. Over this period the DJ UBS Commodity Index had increased by 4.30%. There are currently no Class B Shares in issue. Class A Sterling Hedged US Enhanced Income Preference Shares and Class B Unhedged US Enhanced Income Preference Shares Listing: Channel Islands Stock Exchange Launch date: 16 July 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence class A & 100 cents class B Maturity date: July 2029 Class A ISIN: GG00B4409G28 Class A SEDOL: B4409G2 Class B ISIN: GG00B4409P19 Class B SEDOL: B4409P1 Investment Overview The Cell's investment objective is to provide Shareholders with a stable stream of quarterly dividends (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy (the "Strategy") linked to the total return performance of the Standard and Poor's 500 Index (the "Index") and notional short-term call options written on such index. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 16 July 2009 and close on 30 April 2010 the NAV Total Return Performance was 21.05% and 21.08% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the S&P TR Performance, which increased 28.12% over that period. The directors declared interim dividends of 2.30 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.30 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 21 April 2010. UK Enhanced Income Listing: Channel Islands Stock Exchange Launch date: 24 September 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence Maturity date: September 2029 ISIN: GG00B3YF5842 SEDOL: B3YF584 Investment Overview The Cell's investment objective is to provide Shareholders with a stable stream of quarterly dividends (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy (the "Strategy") linked to the total return performance of the FTSE 100(TM) Index (the "Index") and notional short-term call options written on such index. Harewood Structured Investment PCC Limited (the "Company") INVESTMENT MANAGER'S REPORT (continued) Investment Performance Between launch on 24 September 2009 and close on 30 April 2010 the NAV had increased by 6.26%. Over this period the FTSE 100 Total Return Index had risen by 11.44.%. The directors declared an interim dividend of 2.00 pence per UK Enhanced Income Preference Share on 31 March 2010. Harewood Structured Investment PCC Limited (the "Company") STATEMENT OF COMPREHENSIVE INCOME for the period end 30 April 2010 +-------------------------------------+-------+--------------+----------+--------------+ | | | Period | | Period | | | | to | | to | +-------------------------------------+-------+--------------+----------+--------------+ | | | 30 Apr | | 30 Apr | | | | 2010 | | 2009 | +-------------------------------------+-------+--------------+----------+--------------+ | | | Total | | Total | +-------------------------------------+-------+--------------+----------+--------------+ | |Notes | GBP | | GBP | +-------------------------------------+-------+--------------+----------+--------------+ | | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Net movement in unrealised gains / | | | | | | (loss) on | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | on investments | | 3,727,186 | | (24,916,633) | +-------------------------------------+-------+--------------+----------+--------------+ | | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Amortisation of debt issue costs | | (24,589) | | (24,589) | +-------------------------------------+-------+--------------+----------+--------------+ | | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Income from financial assets at | | | | | | fair value through profit | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | or loss | 1h | 11,063,607 | | 12,354,222 | +-------------------------------------+-------+--------------+----------+--------------+ | | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Finance costs - distributions to | | | | | | holders of Preference | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Shares | 1l | (11,063,607) | | (12,354,222) | +-------------------------------------+-------+--------------+----------+--------------+ | | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Increase / (decrease) in net assets | | | | | | attributable to | | | | | +-------------------------------------+-------+--------------+----------+--------------+ | Preference shareholders from | | 3,702,597 | | (24,941,222) | | operations | | | | | +-------------------------------------+-------+--------------+----------+--------------+ In arriving at the results for the financial period, all amounts above relate to continuing operations. There are no recognised gains or losses for the period other than those disclosed above. The notes on pages 54 to 78 form an integral part of these financial statements. Harewood Structured Investment PCC Limited (the "Company") STATEMENT OF FINANCIAL POSITION as at 30 April 2010 +-------------------------------------+-------+-------------+----------+-------------+ | | | Period | | Year to | | | | to | | | +-------------------------------------+-------+-------------+----------+-------------+ | | | 30 Apr | | 31 Oct | | | | 2010 | | 2009 | +-------------------------------------+-------+-------------+----------+-------------+ | | | Total | | Total | +-------------------------------------+-------+-------------+----------+-------------+ | |Notes | GBP | | GBP | +-------------------------------------+-------+-------------+----------+-------------+ | | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | ASSETS | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | NON CURRENT ASSETS | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | Financial assets at fair value | | 804,293,815 | | 796,571,889 | | through profit or loss | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | CURRENT ASSETS | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | Cash at bank | 1g | - | | - | +-------------------------------------+-------+-------------+----------+-------------+ | Investment income receivable | 1h | - | | 4,063,256 | +-------------------------------------+-------+-------------+----------+-------------+ | Prepaid debt issue costs | | 43,607 | | 68,196 | +-------------------------------------+-------+-------------+----------+-------------+ | | | 43,607 | | 4,131,452 | +-------------------------------------+-------+-------------+----------+-------------+ | | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | LIABILITIES | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | CURRENT LIABILITIES | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | Dividends payable | 1l | - | | 4,063,256 | +-------------------------------------+-------+-------------+----------+-------------+ | | | - | | 4,063,256 | +-------------------------------------+-------+-------------+----------+-------------+ | | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | NET ASSETS ATTRIBUTABLE TO HOLDERS | | | | | | OF | | | | | +-------------------------------------+-------+-------------+----------+-------------+ | PREFERENCE SHARES | 3 | 804,337,422 | | 796,640,085 | +-------------------------------------+-------+-------------+----------+-------------+ The financial statements were approved by the Board of directors on 29 June 2010 and are signed on its behalf by: John R Le Prevost Peter Atkinson Director Director The notes on pages 54 to 78 form an integral part of these financial statements. Harewood Structured Investment PCC Limited (the "Company") STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES for the period ended 30 April 2010 +-------------------------------------+-------+-------------+----------+--------------+ | | | Period | | Period | | | | to | | to | +-------------------------------------+-------+-------------+----------+--------------+ | | | 30 Apr | | 30 Apr | | | | 2010 | | 2009 | +-------------------------------------+-------+-------------+----------+--------------+ | | | Total | | Total | +-------------------------------------+-------+-------------+----------+--------------+ | |Notes | GBP | | GBP | +-------------------------------------+-------+-------------+----------+--------------+ | | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | Opening balance | | 796,640,085 | | 627,265,230 | +-------------------------------------+-------+-------------+----------+--------------+ | | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | Proceeds from issue of Preference | | - | | 24,999,346 | | Shares | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | Net gain / (loss) for the year | | | | | | attributable to holders of | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | Preference Shares | | 3,702,597 | | (24,941,222) | +-------------------------------------+-------+-------------+----------+--------------+ | | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | Exchange gains on currency balances | | 3,994,740 | | 4,855,169 | +-------------------------------------+-------+-------------+----------+--------------+ | | | | | | +-------------------------------------+-------+-------------+----------+--------------+ | Balance as at 30 April 2010 | | 804,337,422 | | 632,178,523 | +-------------------------------------+-------+-------------+----------+--------------+ The notes on pages 54 to 78 form an integral part of these financial statements. Harewood Structured Investment PCC Limited (the "Company") STATEMENT OF CASH FLOWS for the period ended 30 April 2010 +----------------------------------------+--------------+----------+--------------+ | | Period | | Period | | | to | | to | +----------------------------------------+--------------+----------+--------------+ | | 30 Apr | | 30 Apr | | | 2001 | | 2009 | +----------------------------------------+--------------+----------+--------------+ | | Total | | Total | +----------------------------------------+--------------+----------+--------------+ | | GBP | | GBP | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | Net gain / (loss) for the year | | | | | attributable to holders of | | | | +----------------------------------------+--------------+----------+--------------+ | Preference Shares | 3,702,597 | | (24,941,222) | +----------------------------------------+--------------+----------+--------------+ | Distributions to holders of Preference | 11,063,607 | | 12,354,222 | | Shares | | | | +----------------------------------------+--------------+----------+--------------+ | Movement in realised and unrealised | (3,727,186) | | 24,916,633 | | loss on investments | | | | +----------------------------------------+--------------+----------+--------------+ | Movement in debtors and creditors | 24,589 | | 24,589 | | during the period | | | | +----------------------------------------+--------------+----------+--------------+ | Net cash inflow from operating | 11,063,607 | | 12,354,222 | | activities | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | Investing activities | | | | +----------------------------------------+--------------+----------+--------------+ | Purchase of financial assets | - | | (24,999,346) | +----------------------------------------+--------------+----------+--------------+ | Net cash outflow from investing | - | | (24,999,346) | | activities | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | Financing activities | | | | +----------------------------------------+--------------+----------+--------------+ | Proceeds from issue of Preference | - | | 24,999,346 | | Shares | | | | +----------------------------------------+--------------+----------+--------------+ | Distributions to holders of Preference | (11,063,607) | | (12,354,222) | | Shares | | | | +----------------------------------------+--------------+----------+--------------+ | Net cash inflow from financing | (11,063,607) | | 12,645,124 | | activities | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | Increase / (decrease) in cash and cash | - | | - | | equivalents | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | | | | | +----------------------------------------+--------------+----------+--------------+ | Cash and cash equivalents at beginning | - | | - | | of period | | | | +----------------------------------------+--------------+----------+--------------+ | Increase / (decrease) in cash and cash | - | | - | | equivalents | | | | +----------------------------------------+--------------+----------+--------------+ | Cash and cash equivalents at end of | - | | - | | period | | | | +----------------------------------------+--------------+----------+--------------+ The notes on pages 54 to 78 form an integral part of these financial statements. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements for the period ended 30 April 2010 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The principal accounting policies adopted by the Company and applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all periods presented, unless otherwise stated in the following text. (a) Basis of preparation The financial statements have been prepared in conformity with International Financial Reporting Standards ("IFRS") which comprise standards and interpretations approved by the International Accounting Standards Board, and International Accounting Standards and Standing Interpretations Committee approved by the International Accounting Standards Committee that remain in effect and applicable Guernsey law. The financial statements have been prepared under the historical cost convention as modified for the measurement at fair value of financial instruments held at fair value through profit or loss. The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates. It also requires the Board of directors to exercise judgement in the process of applying the Company's accounting policies. The areas involving a high degree of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are disclosed in Note 2. Changes in accounting policy and disclosures The accounting policies adopted are consistent with those of the previous financial year except as follows: - IFRS 8 Operating Segments - IAS 1 (Revised 2007) Presentation of Financial Statements - Amendments to IFRS 7 Financial Instruments: Disclosures - Improving Disclosures about Financial Instruments. The principal effect of these changes is as follows: IFRS 8 Operating Segments This standard is effective for accounting periods beginning on or after 1 January 2009, it requires disclosure of information about the Company's operating segments and replaced the requirement to determine primary (business) and secondary (geographical) reporting segments of the Company. For management purposes, the Company is organised into one business unit. The Company determined that this operating segment was the same as the business segment previously identified under IAS 14 Segment Reporting. IAS 1 (Revised 2007) Presentation of Financial Statements The standard replaces IAS 1 Presentation of Financial Statements (revised in 2003) as amended in 2005. The revised IAS 1 Presentation of Financial Statements was issued in September 2007 and is effective for accounting periods beginning on or after 1 January 2009. The standard introduces the Statement of Comprehensive Income; it presents all items of income and expense recognition in profit or loss, together with all other items of recognised income and expense, either in one single statement, or in two linked statements. The Company chose to present one single Statement of Comprehensive Income. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) (a) Basis of preparation (continued) Amendments to IFRS 7 Financial Instruments: Disclosures - Improving Disclosures about Financial Instruments. Amendments to IFRS 7 were issued by the IASB in March 2009, effective for annual periods beginning on or after 1 January 2009. The amendments to IFRS 7 requires fair value to be disclosed by the source of inputs, using a three-level hierarchy: Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1); Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices) (Level 2); Inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3). In addition, the amendments revise the specified minimum liquidity risk disclosures including: the contractual maturity of non-derivative and derivative financial liabilities, and a description of how this is managed. In the first year of application, comparative information is not required. The following Standards or Interpretations have been issued but not yet adopted by the Company: IFRS 2 Share-based Payment - Amendments relating to group cash-settled share-based payment transactions (revised June 2009) effective for annual periods beginning on or after 1 January 2010. IFRS 9 Financial Instruments - Classification and Measurement (revised November 2009) effective for annual periods beginning on or after 1 January 2013. IAS 24 Related Party Disclosures - Revised definition of related parties (revised November 2009) effective for annual periods beginning on or after 1 January 2011. IAS 32 Financial Instruments: Presentation - Amendments relating to classification of rights issued (revised 2009) effective for annual periods beginning on or after 1 February 2010. IFRIC 17 Distributions of Non-cash Assets to Owners effective for annual periods beginning on or after 1 July 2009. IFRIC 19 Extinguishing Financial Liabilities with Equity Instruments effective for annual periods beginning on or after 1 July 2010. Some of these Standards and Interpretations may require additional disclosure in future financial statements. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) (b) Functional and presentation currency Items included in the Company's financial statements are measured using the currency of the primary economic environment in which it operates (the "functional currency"). This is pounds sterling, which reflects the Company's primary activity of investing in sterling-denominated derivative transactions. The Company has adopted pounds sterling as its presentation currency as the Company is listed on the Channel Islands Stock Exchange and the majority of its registered shareholders are domiciled in the United Kingdom. Only one cell is not listed on the Channel Islands Stock Exchange, that being BNP Paribas Agribusiness, which is listed on the Budapest Stock Exchange. Whilst shareholders of this cell are not exposed to movements in the HUF / Sterling Exchange rate, the reported value of this cell in the financial statements is exposed to such movements, as the aggregated financial statements are prepared in the functional currency. (c) Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at period-end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the Statement of Comprehensive Income. Translation differences on non-monetary financial assets and liabilities such as equities at fair value through profit or loss are recognised in the Statement of Comprehensive Income within the fair value net gain or loss. (d) Taxation The Company has been granted exemption from Guernsey Income Tax under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 and is charged an annual fee of GBP600. (e) Expenses All expenses are accounted for on an accruals basis. All expenses are borne by BNP Paribas SA pursuant to the terms of an Engagement Letter between the Company and BNP Paribas SA. The ongoing expenses for the period under review are detailed in note 7 to the financial statements. (f) Debt issue costs Pursuant to the placing and offer for subscription of Shares in the Enhanced Global Asset Allocation Cell ("EGAA") the Initial Cell Expenses incurred (as defined in EGAA's Supplemental Memorandum) amounted to GBP297,509. Because the Preference Shares in EGAA are redeemable on or around 17 March 2011, they are required to be classified as debt instruments under IAS 32. Consequently, issue costs are required to be amortised over the life of the instrument. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) (g) Cash and cash equivalents At the reporting date cash or cash equivalents comprise cash at bank. As detailed in note 7, all expenses of the Company are borne by BNP Paribas SA. All income received is distributed to shareholders in the relevant cells as dividends and therefore the Company holds nil balances in its bank accounts as at the period end. (h) Income recognition Dividend income is recognised in the Statement of Comprehensive Income when the relevant cell's right to receive the dividend has been established, normally being the ex-dividend date. Dividend income is recognised on a gross basis, including withholding tax, if any. (i) Financial assets at fair value through profit or loss All investments and derivative financial instruments are classified as "at fair value through profit or loss". Investments are initially recognised at cost, being the fair value of the consideration given, including transaction costs associated with the investment. After initial recognition, investments are measured at fair value, with unrealised gains and losses on investments being recognised in the Statement of Comprehensive Income. The Company seeks to achieve the investment objective of each cell by entering into a contract with BNP Paribas (referred to herein as the "Counterparty"). Each contract is substantially in the form of an ISDA Master Agreement as supplemented by a transaction confirmation. In respect of each contract, within BNP Paribas Group (the "Group"), the Market and Liquidity Risk department is responsible for the day-to-day risk monitoring and contributes to the control of the economic fair value of the Group's trading books. This risk function department is separate and independent from the Trading and Sales departments. The Market and Liquidity Risk department reviews the consistency of the non-observable market parameters by comparing and reconciling on a monthly basis several external data sources, including Bloomberg, Reuters, Markit/Totem and 10X. This department is also responsible for the validation and control of any valuation models. (j) Earnings per share The earnings per share is based on the net gain of the Company for the period of GBP3,702,597 (Apr 2009: GBP24,941,222 net loss) and on 879,147,075 (Apr 2009: 698,194,877) shares, being the weighted average number of shares in issue during the period. There were no dilutive instruments in issue during the period. (k) Trade date accounting All "regular way" purchase and sales of financial assets are recognised on the "trade date" i.e. the date that the entity commits to purchase or sell the asset. Regular way purchases or sales of financial assets that require delivery of the asset within the time frame generally established by the regulation or convention in the market place. (l) Distributions payable to holders of redeemable shares Proposed distributions to holders of redeemable shares are recognised in the Statement of Comprehensive Income when they are declared by the Board of directors. The distribution on these redeemable shares is recognised in the Statement of Comprehensive Income as a finance cost. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the year ended 30 April 2010 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) (m) Going concern The Company has adequate financial resources and as a consequence, the directors believe the Company is well placed to manage its business risks successfully despite the current economic climate. After making enquiries, the directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, the directors have adopted the going concern basis in preparing the financial information 2 CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS Management make critical accounting estimates and judgements concerning the future. The resulting accounting estimates will, by definition, seldom equal the related actual results. The estimates and assumptions that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the financial period are outlined below: (a) Fair value of derivative financial instruments The Company holds derivatives which are tailored to meet the Company's respective needs for each cell. As the investments are not traded in an active market, the fair value of such instruments is determined by using valuation techniques. The fair value is calculated weekly and as at each month end by the Counterparty. As at the reporting date, an independent check of the valuations of the investments is performed by Future Value Consultants Limited (the "Calculation Agent"), an independent third party. The Calculation Agent uses a variety of methods and makes assumptions that are based on market conditions existing at the reporting date. Valuation techniques used include the use of comparable recent arm's length transactions (where available), discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants. These techniques are periodically reviewed by experienced personnel at the Calculation Agent. Models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilities and correlations require management to make estimates. Changes in assumptions about these factors could affect the reported fair value of financial instruments. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the year ended 30 April 2010 3 FINANCIAL ASSETS +-------------------------------------+------+--------------+----------+--------------+ | | | Period | | Year to | | | | to | | | +-------------------------------------+------+--------------+----------+--------------+ | | | 30 Apr | | 31 Oct | | | | 2010 | | 2009 | +-------------------------------------+------+--------------+----------+--------------+ | | | Total | | Total | +-------------------------------------+------+--------------+----------+--------------+ | | | GBP | | GBP | +-------------------------------------+------+--------------+----------+--------------+ | | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Opening portfolio cost | | 854,088,090 | | 676,274,235 | +-------------------------------------+------+--------------+----------+--------------+ | Opening unrealised loss on | | (64,647,361) | | (55,333,776) | | valuation | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Opening exchange gains on currency | | 7,199,356 | | 6,324,771 | | balances | | | | | +-------------------------------------+------+--------------+----------+--------------+ | | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Opening valuation | | 796,640,085 | | 627,265,230 | +-------------------------------------+------+--------------+----------+--------------+ | | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Purchase at cost | | - | | 194,555,055 | +-------------------------------------+------+--------------+----------+--------------+ | Proceeds of sales of financial | | - | | (16,741,200) | | assets | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Unrealised loss for the period / | | 3,702,597 | | (4,825,772) | | year | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Realised loss for the period / year | | - | | (4,487,813) | +-------------------------------------+------+--------------+----------+--------------+ | Exchange gains on currency balances | | 3,994,740 | | 874,585 | +-------------------------------------+------+--------------+----------+--------------+ | | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Closing valuation | | 804,337,422 | | 796,640,085 | +-------------------------------------+------+--------------+----------+--------------+ | | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Closing portfolio cost | | 854,088,090 | | 854,088,090 | +-------------------------------------+------+--------------+----------+--------------+ | Closing unrealised loss | | (60,944,764) | | (64,647,361) | +-------------------------------------+------+--------------+----------+--------------+ | Closing exchange gains on currency | | 11,194,096 | | 7,199,356 | | balances | | | | | +-------------------------------------+------+--------------+----------+--------------+ | | | | | | +-------------------------------------+------+--------------+----------+--------------+ | Closing valuation | | 804,337,422 | | 796,640,085 | +-------------------------------------+------+--------------+----------+--------------+ The financial assets held by the Company have been classified as Level 2. This is in accordance with the fair value hierarchy. There have been no transfers between Level 2 and Level 3 of the fair value hierarchy during the period under review. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the year ended 30 April 2010 4 SHARE CAPITAL +-------------------------------------+-----------+--------+ | Authorised | SHARES | GBP | +-------------------------------------+-----------+--------+ | Preference shares of no par value | Unlimited | - | | each | | | +-------------------------------------+-----------+--------+ | Ordinary shares of no par value | 2 | - | | each | | | +-------------------------------------+-----------+--------+ | | 2 | - | +-------------------------------------+-----------+--------+ +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Allotted, | | | | | | | Shares | | called-up | Shares | |Preference | |Preference | | issued as | | and fully | issued as | | Shares | | Shares | | at 30 | | paid | at | | Redeemed | | Issued | | April | | Preference | 1 November | | | | | | 2010 | | Shares | 2009 | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EGAA | 13,500,255 | | - | | - | | 13,500,255 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell FTSE S | 40,501,195 | | - | | - | | 40,501,195 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBMSG | 7,701,999 | | - | | - | | 7,701,999 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell UK HI | 141,613,549 | | - | | - | | 141,613,549 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBM (2) | 32,506,140 | | - | | - | | 32,506,140 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell ES | 25,000,000 | | - | | - | | 25,000,000 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Abs Pro | 76,748,923 | | - | | - | | 76,748,923 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell US HI A | 92,469,987 | | - | | - | | 92,469,987 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell US HI B | 58,337,229 | | - | | - | | 58,337,229 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell | 47,225,896 | | - | | - | | 47,225,896 | | Agrinvest | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Euro HI | 45,375,520 | | - | | - | | 45,375,520 | | A | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Euro HI | 10,261,000 | | - | | - | | 10,261,000 | | B | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Hedge | - | | - | | - | | - | | Elite | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EPR | 30,125,000 | | - | | - | | 30,125,000 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBM (3) | 49,587,600 | | - | | - | | 49,587,600 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Agribus | 72,500 | | - | | - | | 72,500 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EI | 39,999,346 | | - | | - | | 39,999,346 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell UK EI | 49,015,722 | | - | | - | | 49,015,722 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell COMAC | 25,526,009 | | - | | - | | 25,526,009 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell USEI A | 48,500,080 | | - | | - | | 48,500,080 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell USEI B | 45,079,125 | | - | | - | | 45,079,125 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Ordinary | 2 | | - | | - | | 2 | | Shares | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | TOTAL | 879,147,077 | | - | | - | | 879,147,077 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the year ended 30 April 2010 4 SHARE CAPITAL (continued) +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Allotted, | | | | | | | Shares | | called-up | Shares | | Preference | | Preference | | issued as | | and fully | issued as | | Shares | | Shares | | at 31 | | paid | at | | Redeemed | | Issued | | October | | Preference | 1 November | | | | | | 2009 | | Shares | 2008 | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EGAA | 13,500,255 | | - | | - | | 13,500,255 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell FTSE S | 40,501,195 | | - | | - | | 40,501,195 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EBMSG | 7,701,999 | | - | | - | | 7,701,999 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell UK HI | 141,613,549 | | - | | - | | 141,613,549 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EBM (2) | 32,506,140 | | - | | - | | 32,506,140 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell ES | 25,000,000 | | - | | - | | 25,000,000 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Abs Pro | 76,748,923 | | - | | - | | 76,748,923 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell US HI A | 92,469,987 | | - | | - | | 92,469,987 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell US HI B | 58,337,229 | | - | | - | | 58,337,229 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell | 47,225,896 | | - | | - | | 47,225,896 | | Agrinvest | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Euro HI | 45,375,520 | | - | | - | | 45,375,520 | | A | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Euro HI | 10,261,000 | | - | | - | | 10,261,000 | | B | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Hedge | 21,229,013 | | (21,229,013) | | - | | - | | Elite | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EPR | 30,125,000 | | - | | - | | 30,125,000 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EBM (3) | 49,587,600 | | - | | - | | 49,587,600 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Agribus | 72,500 | | - | | - | | 72,500 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EI | - | | - | | 39,999,346 | | 39,999,346 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell UK EI | - | | - | | 49,015,722 | | 49,015,722 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell COMAC | - | | - | | 25,526,009 | | 25,526,009 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell USEI A | - | | - | | 48,500,080 | | 48,500,080 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell USEI B | - | | - | | 45,079,125 | | 45,079,125 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Ordinary | 2 | | - | | - | | 2 | | Shares | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | TOTAL | 692,255,808 | | (21,229,013) | | 208,120,282 | | 879,147,077 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the year ended 30 April 2010 4 SHARE CAPITAL (continued) Holders of Ordinary Shares shall not be entitled to receive and shall not participate in any dividends or other distributions out of the profits of the Company. Holders of Ordinary Shares shall be entitled to receive notice of and to attend and vote at general meetings. The Ordinary Shares are not redeemable and comprise the Company's non-cellular assets. Holders of Enhanced Global Asset Allocation Preference Shares, BNP Paribas FTSE Summit Preference Shares, BNP Paribas Energy - Base Metals Secure Growth Preference Shares, BNP Paribas Energy - Base Metals (2) Preference Shares, BNP Paribas European Shield Preference Shares, BNP Paribas Absolute Progression Preference Shares, BNP Paribas Agrinvest Preference Shares, Enhanced Property Recovery Preference Shares, Energy - Base Metals (3) Preference Shares and BNP Paribas COMAC Shares ("Cell Shares") shall not be entitled to receive and shall not participate in any dividends or other distributions of the Company. Holders of BNP Paribas UK High Income Preference Shares, Class A Sterling Hedged US High Income Preference Shares, Class B Unhedged US High Income Preference Shares, Class A Sterling Hedged Euro High Income Preference Shares, Class B Unhedged Euro High Income Preference Shares, Class A Sterling Hedged Enhanced Income Preference Shares, Class A Sterling Hedged US Enhanced Income Preference Shares, Class B US Dollar Unhedged US Enhanced Income Preference Shares and UK Enhanced Income Preference Shares ("Cell Shares") shall be entitled to receive any dividends or other distributions out of the profits of their respective cells only, but not out of the non-cellular assets of the Company, other distributions out of the profits of their respective cells only, but not the Company. On their respective redemption dates the holders of Cell Shares shall be entitled to receive per Cell Share held an amount equal to the net asset value per Cell Share. As disclosed in the Supplemental Memorandum or Summary and Securities Note for each cell, the Cell Shares of each cell will be compulsorily redeemed by the Company on their respective redemption dates. Holders of Cell Shares shall not be entitled to receive notice of or to attend or vote at any general meeting of the Company. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 5 SHARE PREMIUM +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Share | | | | | | | Shares | | Premium | Shares | |Preference | |Preference | | issued as | | Preference | issued as | | Shares | | Shares | | at 30 | | Shares | at | | Redeemed | | Issued | | April 2010 | | | 1 November | | | | | | | | | 2009 | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | GBP | | GBP | | GBP | | GBP | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EGAA | 14,656,755 | | - | | - | | 14,656,755 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell FTSE S | 47,058,395 | | - | | - | | 47,058,395 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBMSG | 7,747,779 | | - | | - | | 7,747,779 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell UK HI | 143,419,549 | | - | | - | | 143,419,549 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBM (2) | 32,828,140 | | - | | - | | 32,828,140 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell ES | 25,000,000 | | - | | - | | 25,000,000 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Abs Pro | 77,271,523 | | - | | - | | 77,271,523 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell US HI A | 92,942,487 | | - | | - | | 92,942,487 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell US HI B | 30,710,285 | | - | | - | | 30,710,285 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell | 49,516,896 | | - | | - | | 49,516,896 | | Agrinvest | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Euro HI | 45,375,520 | | - | | - | | 43,375,520 | | A | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Euro HI | 6,895,958 | | - | | - | | 6,895,958 | | B | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Hedge | - | | - | | - | | - | | Elite | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EPR | 30,125,000 | | - | | - | | 30,125,000 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBM (3) | 49,292,100 | | - | | - | | 49,292,100 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell Agribus | 2,502,344 | | - | | - | | 2,502,344 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EI | 42,548,346 | | - | | - | | 42,548,346 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell UK EI | 49,015,722 | | - | | - | | 49,015,722 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell COMAC | 25,526,009 | | - | | - | | 25,526,009 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell USEI A | 48,500,080 | | - | | - | | 48,500,080 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell USEI B | 28,964,898 | | - | | - | | 28,964,898 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | TOTAL | 849,897,786 | | - | | - | | 849,897,786 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Share | | | | | | | Shares | | Premium | Shares | |Preference | |Preference | | issued as | | Preference | issued as | | Shares | | Shares | | at 31 | | Shares | at | | Redeemed | | Issued | | October | | | 1 November | | | | | | 2009 | | | 2008 | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | GBP | | GBP | | GBP | | GBP | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EGAA | 14,656,755 | | - | | - | | 14,656,755 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell FTSE S | 47,058,395 | | - | | - | | 47,058,395 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBMSG | 7,747,779 | | - | | - | | 7,747,779 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell UK HI | 143,419,549 | | - | | - | | 143,419,549 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell EBM (2) | 32,828,140 | | - | | - | | 32,828,140 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ | Cell ES | 25,000,000 | | - | | - | | 25,000,000 | +--------------+-------------+----------+------------+----------+------------+----------+-------------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 5 SHARE PREMIUM (continued) +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Share | | | | | | | Shares | | Premium | Shares | | Preference | | Preference | | issued as | | Preference | issued as | | Shares | | Shares | | at 31 | | Shares | at | | Redeemed | | Issued | | October | | | 1 November | | | | | | 2009 | | | 2008 | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | | GBP | | GBP | | GBP | | GBP | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Abs Pro | 77,271,523 | | - | | - | | 77,271,523 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell US HI A | 92,942,487 | | - | | - | | 92,942,487 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell US HI B | 30,710,285 | | - | | - | | 30,710,285 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell | 49,516,896 | | - | | - | | 49,516,896 | | Agrinvest | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Euro HI | 45,375,520 | | - | | - | | 43,375,520 | | A | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Euro HI | 6,895,958 | | - | | - | | 6,895,958 | | B | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Hedge | 21,229,013 | | (21,229,013) | | - | | - | | Elite | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EPR | 30,125,000 | | - | | - | | 30,125,000 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EBM (3) | 49,292,100 | | - | | - | | 49,292,100 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell Agribus | 2,502,344 | | - | | - | | 2,502,344 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell EI | - | | - | | 42,548,346 | | 42,548,346 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell UK EI | - | | - | | 49,015,722 | | 49,015,722 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell COMAC | - | | - | | 25,526,009 | | 25,526,009 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell USEI A | - | | - | | 48,500,080 | | 48,500,080 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | Cell USEI B | - | | - | | 28,964,898 | | 28,964,898 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ | TOTAL | 676,571,744 | | - | | 194,555,055 | | 849,897,786 | +--------------+-------------+----------+--------------+----------+-------------+----------+-------------+ 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES The Company's activities expose it to a variety of financial risk: market risk (including interest rate risk and market price risk), credit risk, liquidity risk, capital risk and foreign exchange risk. The Company's overall risk management programme focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Company's financial performance. The Company uses derivative financial instruments to moderate certain risk exposures. (a) Interest Rate Risk The Company is not directly exposed to cash flow interest rate risk. Changes in interest rates may affect the performance of the swap contracts in which each cell is invested. The Board and the Investment Manager monitor, but cannot control, interest rate risk. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (b) Market Price Risk Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the Company might suffer through holding market positions in the face of price movements. The Investment Manager actively monitors market prices and reports to the Board as to the appropriateness of the prices used for valuation purposes. On a periodic basis independent valuations of the Company's investments are obtained from the Calculation Agent. A list of investments held by the Company is shown in the Schedule of Investments on pages 79 to 82. The Investment Manager also monitors on a monthly basis the market price risk of each Cell's underlying financial assets and liabilities using statistical measures, such as Delta. Delta is the percentage change in price of a derivative in relation to a 1% change in the price of the underlying security, index or rate. As there is no secondary market for the Company's investments, the Board cannot directly monitor nor control market price risk. Price sensitivity If market prices as at 30 April 2010 had been 10 per cent higher, and assuming these values were to remain unchanged through to the end of the life of the cells, with all other variables held constant, the increase in net assets attributable to holders of Cell Shares on the Redemption Date would have been as stated below, arising due to the increase in the fair value of the financial assets at fair value through profit or loss. If market prices as at 30 April 2010 had been 10 per cent lower, and assuming these values were to remain unchanged through to the end of the life of the Cells, with all other variables held constant, the increase in net assets attributable to holders of preference shares on the Redemption Date would have been as stated below, arising due to the decrease in the fair value of the financial assets at fair value through profit or loss. +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | | Increase in net assets | | Decrease in net assets | | | attributable to holders of | | attributable to holders of | | | Preference Shares | | Preference Shares | +--------------+------------------------------------+----------+--------------------------------------+ | | Period | | Year | | Period | | Year ended | | | ended 30 | | ended 31 | | ended 30 | | 31 October | | | March 2010 | | October | | March | | 2009 | | | | | 2009 | | 2010 | | | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell | GBP | | GBP | | GBP | | GBP | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | | | | | | | | | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell EGAA | 80,597 | | 49.816 | | (81,407) | | (50,085) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell FTSE S | 809,619 | | 639,513 | | (810,429) | | (640,324) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell EBMSG | 4,451,910 | | 2,634,161 | | (4,451,601) | | (2,634,006) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell UK HI | (4,956,474) | | 9,904,452 | | 4,956,474 | | (9,907,284) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell EBM (2) | 8,485,728 | | 6,305,541 | | (8,482,477) | | (6,306,842) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell ES | 2,974,000 | | 2,720,500 | | (2,976,000) | | (2,719,500) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell Abs Pro | 1,078,322 | | 593,270 | | (1,070,648) | | (2,372,309) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell US HI A | (1,758,779) | | 6,916,755 | | 1,755,081 | | (6,916,755) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell US HI B | (725,292) | | 2,739,718 | | 726,056 | | (2,737,601) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell | 2,121,859 | | 2,518,557 | | (2,222,923) | | (2,515,724) | | Agrinvest | | | | | | | | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell Euro HI | (6,580,811) | | 2,358,620 | | 6,578,089 | | (2,392,197) | | A | | | | | | | | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell Euro HI | (1,294,945) | | 486,323 | | 1,295,482 | | (486,508) | | B | | | | | | | | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell EPR | 3,103,177 | | 3,247,174 | | (3,102,574) | | (3,247,776) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell EBM (3) | 3,420,057 | | 2,396,569 | | (3,423,032) | | (2,393,594) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ | Cell Agribus | 203,763 | | 62,834 | | (214,091) | | (62,834) | +--------------+-------------+----------+-----------+----------+-------------+----------+-------------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (b) Market Price Risk (continued) +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | | Increase in net assets | | Decrease in net assets | | | attributable to holders of | | attributable to holders of | | | Preference Shares | | Preference Shares | +--------------+-------------------------------------+----------+----------------------------------------+ | | Period | | Year | | Period | | Year ended | | | ended 30 | | ended 31 | | ended 30 | | 31 October | | | March 2010 | | October | | March | | 2009 | | | | | 2009 | | 2010 | | | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell | GBP | | GBP | | GBP | | GBP | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell US HI A | (1,758,779) | | 6,916,755 | | 1,755,081 | | (6,916,755) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell US HI B | (725,292) | | 2,739,718 | | 726,056 | | (2,737,601) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell | 2,121,859 | | 2,518,557 | | (2,222,923) | | (2,515,724) | | Agrinvest | | | | | | | | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell Euro HI | (6,580,811) | | 2,358,620 | | 6,578,089 | | (2,392,197) | | A | | | | | | | | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell Euro HI | (1,294,945) | | 486,323 | | 1,295,482 | | (486,508) | | B | | | | | | | | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell EPR | 3,103,177 | | 3,247,174 | | (3,102,574) | | (3,247,776) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell EBM (3) | 3,420,057 | | 2,396,569 | | (3,423.032) | | (2,393,594) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell Agribus | 203,763 | | 62,834 | | (214,091) | | (62,834) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell COMAC | 1,787,842 | | 2,516,099 | | (1,785,799) | | (2,517,630) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell US EI A | 4,755,433 | | 4,526,027 | | (4,750,582) | | (4,524,088) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell US EI B | 2,893,780 | | 2,580,069 | | (2,890,828) | | (2,578,985) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell UK EI | 4,801,578 | | 4,406,513 | | (4,805,504) | | (4,406,514) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | Cell EI | 3,799,938 | | 3,366,745 | | (3,799,938) | | (3,369,145) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | | | | | | | | | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ | | 29,451,301 | | 60,969,256 | | (29,556,648) | | (62,779,701) | +--------------+-------------+----------+------------+----------+--------------+----------+--------------+ (c) Credit Risk Credit risk is the risk that an issuer or counterparty will be unable or unwilling to meet a commitment that it has entered into with the Company. At the date of this report the Counterparty was rated AA by Standard & Poor's for credit purposes. Investors should be aware that repayment by the Company at the relevant redemption date of the redemption proceeds due to shareholders will only be performed if the Counterparty satisfies its obligations under the relevant contract to repay to the Company any amount due. Under the terms of the Credit Support Deeds between the Company and the Counterparty, the Counterparty is required to deliver varying amounts of collateral to an escrow account held in favour of the Company. Under the terms of credit support deeds entered into between the Counterparty and the Company acting for and on behalf of each cell, the Counterparty is required to post collateral in the form of AAA rated government bonds in favour of the Company acting for and on behalf of each cell, such collateral being valued on a weekly basis and, if the value of the collateral is less than the value calculated as specified below (the "Credit Support Amount"), The Counterparty will provide additional collateral to increase the aggregate value to at least the Credit Support Amount. Where there is an event of default in respect of the Conterparty under the swap confirmation, the Company will be entitled to enforce against the Counterparty its security over the collateral. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (c) Credit Risk (continued) In respect of all cells other than BNP Paribas Agribusiness, the Credit Support Amount is the lesser of (a) 100% of the net asset value of the relevant cell and (b) the total of the Applicable Percentage of such net asset value plus 10% of such net asset value (where the "Applicable Percentage" is calculated so as to reflect the percentage of shares in the relevant cell held at the relevant time by shareholders other than BNP Paribas Arbitrage SNC. The Credit Support Amount in respect of BNP Paribas Agribusiness is 100% of the net asset value of BNP Paribas Agribusiness. The most significant concentration of credit risk for the Company is that the Counterparty will be unable to satisfy its obligations under the relevant contract to repay to the Company any amount due. The maximum credit risk exposure at the reporting date is therefore considered to be the valuation of the investments at this date, being GBP804.293,815. The Investment Manager and Administrator monitor collateral posted on a weekly basis and report to the Board quarterly on the Counterparty's compliance with the relevant Credit Support Deeds. The Investment Manager and Administrator have also undertaken to report to the Board immediately if there is a breach of compliance with the terms of the relevant Credit Support Deeds. The Board monitors, but cannot control, credit risk. (d) Liquidity Risk Liquidity risk is the risk that the Company will encounter difficulty in realising assets or otherwise raising funds to meet financial commitments. The only financial commitments of the Company are to meet ongoing expenses and these are met out of monies provided to the Company's Administrator by BNP Paribas SA. There is a further liquidity risk in respect of the redemption of shares, the dates of which are set out in note 6(g)(ii). As the investments are not traded in an active market, the Company may not be able to liquidate quickly its investments in these instruments at an amount close to their fair value to meet its liquidity requirements or to respond to specific events such as deterioration in the credit worthiness of the Counterparty. The Board monitors, but cannot actively control, liquidity risk. (e) Capital Risk The Company has an unlimited life but the Protected Cell Shares for each cell have a fixed redemption date. The Board of directors believes the current capital structure to be sufficient in meeting the capital requirements of the Company. All expenses are borne by BNP Paribas SA and redemption proceeds are limited to the amounts received, if any, on the maturity or early termination of the relevant investment contract between the Company and the Counterparty. Potential losses to shareholders are mitigated by the collateral arrangements which are set out in note 6(i). Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (f) Foreign Exchange Risk The carrying amounts of the Company's foreign currency denominated financial assets at the reporting date are as follows: +----------------------------+------------+----------+------------+ | | Period | | Year ended | | | ended | | | +----------------------------+------------+----------+------------+ | | 30 April | | 31 October | | | 2010 | | 2009 | +----------------------------+------------+----------+------------+ | | GBP | | GBP | +----------------------------+------------+----------+------------+ | | | | | +----------------------------+------------+----------+------------+ | Euro | 4,576,749 | | 4,878,010 | +----------------------------+------------+----------+------------+ | US Dollar | 61,087,685 | | 56,058,908 | +----------------------------+------------+----------+------------+ | Hungarian Forint | 2,509,236 | | 2,239,095 | +----------------------------+------------+----------+------------+ As subscription, redemption and dividend payments in respect of all cells other than US High Income are made in the same functional currency, none of the cells other than US High Income is exposed to foreign exchange risk. Subscription and redemption payments in respect of Class B US High Income are made in US Dollars, but dividends are paid in the Sterling equivalent of a fixed US Dollar amount, unless the relevant shareholder elects to receive their dividends in US Dollars. As the currency in which these dividends are paid is selected at the option of the shareholder and may be paid in the functional currency, the directors do not consider that the Company acting on behalf of US High Income is exposed to material foreign exchange risk. (g) Valuation (i) The notional amounts of the derivative instruments are as follows: +-----------------------------------+-------------+ | Enhanced Global Asset Allocation | GBP | | | 13,500,255 | +-----------------------------------+-------------+ | BNP Paribas FTSE Summit | GBP | | | 40,501,195 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | GBP | | Secure Growth | 7,701,999 | +-----------------------------------+-------------+ | BNP Paribas UK High Income | GBP | | | 141,613,549 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | GBP | | (2) | 32,506,140 | +-----------------------------------+-------------+ | BNP Paribas European Shield | GBP | | | 25,000,000 | +-----------------------------------+-------------+ | BNP Paribas Absolute Progression | GBP | | | 76,748,923 | +-----------------------------------+-------------+ | US High Income Cell - Class A | GBP | | | 92,469,987 | +-----------------------------------+-------------+ | US High Income Cell - Class B | USD | | | 58,337,229 | +-----------------------------------+-------------+ | BNP Paribas Agrinvest | GBP | | | 47,225,896 | +-----------------------------------+-------------+ | Euro High Income - Class A | GBP | | | 45,375,520 | +-----------------------------------+-------------+ | Euro High Income - Class B | EUR | | | 10,261,000 | +-----------------------------------+-------------+ | Enhanced Property Recovery | GBP | | | 30,125,000 | +-----------------------------------+-------------+ | Energy - Base Metals (3) | GBP | | | 49,587,600 | +-----------------------------------+-------------+ | BNP Paribas Agribusiness | HUF 72,500 | +-----------------------------------+-------------+ | Enhanced Income | GBP | | | 39,999,346 | +-----------------------------------+-------------+ | UK Enhanced Income | GBP | | | 49,015,722 | +-----------------------------------+-------------+ | BNP Paribas COMAC | GBP | | | 25,526,009 | +-----------------------------------+-------------+ | US Enhanced Income - Class A | GBP | | | 48,500,080 | +-----------------------------------+-------------+ | US Enhanced Income - Class B | USD | | | 45,079,125 | +-----------------------------------+-------------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (g) Valuation (ii) The maturity dates of the derivative instruments are as follows: +-----------------------------------+-------------+ | Enhanced Global Asset Allocation | 17 March | | | 2011 | +-----------------------------------+-------------+ | BNP Paribas FTSE Summit | 29 June | | | 2011 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | 29 June | | Secure Growth | 2011 | +-----------------------------------+-------------+ | BNP Paribas UK High Income | 8 December | | | 2011 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | 22 March | | (2) | 2012 | +-----------------------------------+-------------+ | BNP Paribas European Shield | 26 April | | | 2012 | +-----------------------------------+-------------+ | BNP Paribas Absolute Progression | 26 July | | | 2012 | +-----------------------------------+-------------+ | US High Income Cell - Class A | 19 November | | | 2012 | +-----------------------------------+-------------+ | US High Income Cell - Class B | 19 November | | | 2012 | +-----------------------------------+-------------+ | BNP Paribas Agrinvest | 22 June | | | 2013 | +-----------------------------------+-------------+ | Euro High Income - Class A | 24 June | | | 2013 | +-----------------------------------+-------------+ | Euro High Income - Class B | 24 June | | | 2013 | +-----------------------------------+-------------+ | Enhanced Property Recovery | 13 March | | | 2014 | +-----------------------------------+-------------+ | Energy - Base Metals (3) | 5 June 2014 | +-----------------------------------+-------------+ | BNP Paribas Agribusiness | 10 January | | | 2011 | +-----------------------------------+-------------+ | Enhanced Income | *c. 30 | | | April 2108 | +-----------------------------------+-------------+ | UK Enhanced Income | 24 | | | September | | | 2029 | +-----------------------------------+-------------+ | BNP Paribas COMAC | 8 June 2029 | +-----------------------------------+-------------+ | US Enhanced Income - Class A | 16 July | | | 2029 | +-----------------------------------+-------------+ | US Enhanced Income - Class B | 16 July | | | 2029 | +-----------------------------------+-------------+ *The maturity date of the Enhanced Income cell will be the 26th business day after the final ex dividend date. As the business days in April 2108 cannot yet be determined, an approximate date is disclosed. (iii) Early Settlement Options relating to the derivative contracts Each contract entered into between the Counterparty and the Company acting for and on behalf of each cell has been entered into upon terms which allow such contracts to be terminated, inter alia, in the following circumstances: (a) by the Company if the Counterparty fails to make a payment under the relevant contract (subject to a grace period of three local business days) or makes a representation which is incorrect or misleading in any material respect or fails to comply with its related obligations; (b) by the Counterparty if the Company fails to make a payment it is required to pay under the relevant contract (subject to the grace period mentioned above); and (c) by either the Counterparty or the Company if the other party is dissolved, becomes insolvent or is unable to pay its debts as they become due or on the occurrence of an illegality or the imposition on payments under the Contract of a withholding which the Company or the Counterparty, as the case may be, is unable to gross-up. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (g) Valuation (continued) (iii) Early Settlement Options relating to the derivative contracts (continued) It is anticipated that, on early termination of a Contract, a termination payment would become due to the Company equal to the aggregate net asset value of the relevant Contract at the date of such termination. The Directors may reinvest such proceeds as they see fit in investments which in the opinion of the Directors replicate as nearly as practicable the investment characteristics of the contract so terminated and so that the proceeds are invested, as nearly as practicable, in accordance with the Company's stated investment objective for the relevant cell. Even if recovered by the Company, any early redemption amount in respect of the shares of the relevant cell may result in a lower return than would have been the case if the contract had continued and been performed up to its maturity date. In the event that the Directors determine that the investment characteristics of the Contract cannot be replicated then the Directors will notify Shareholders of the relevant cell of such circumstances, the relevant early redemption amount and the relevant early redemption date. If the Counterparty fails to top up the collateral such that it is equal to at least the Specified Percentage (as set out in note 6(i) below) or other circumstances constituting an event of default with respect to the Counterparty occur, the Company will be entitled to enforce its security over the collateral as well as to pursue any other remedies it may have against the Conterparty. In such circumstances, the Company will re-invest the proceeds of realisation of the collateral or distribute the same to Shareholders. (h) Periodic Returns on Principal and Timings of Payments BNP Paribas UK High Income Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the BNP Paribas UK High Income cell, the Counterparty pays to the Company for the account of the BNP Paribas UK High Income cell quarterly a Sterling amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 pence per BNP Paribas UK High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per shares), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 pence per BNP Paribas UK High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 pence per BNP Paribas UK High Income Preference Share. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (h) Periodic Returns on Principal and Timings of Payments (continued) US High Income - Class A Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US High Income cell in respect of Class A, the Counterparty pays to the Company for the account of the US High Income cell quarterly a Sterling amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 pence per Class A Sterling Hedged US High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 pence per Class A Sterling Hedged US High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 pence per Class A Sterling Hedged US High Income Preference Share. US High Income - Class B Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US High Income cell in respect of Class B, the Counterparty pays to the Company for the account of the US High Income cell quarterly the Sterling equivalent of an amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 cents per Class B Unhedged US High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 cents per share), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 cents per Class B Unhedged US High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 cents per Class B Unhedged US High Income Preference Share. Where holders of Class B Unhedged US High Income Preference Shares have elected to receive their quarterly dividends in US Dollars, the Counterparty pays at the request of the Company in US Dollars such proportion of the quarterly payment as is required to enable the Company to finance the quarterly dividends payable in US Dollars and the balance in Sterling. Euro High Income - Class A Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the Euro High Income cell in respect of Class A, the Counterparty pays to the Company for the account of the Euro High Income cell quarterly a Sterling amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 pence per Class A Sterling Hedged Euro High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 pence per Class A Sterling Hedged Euro High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 pence per Class A Sterling Hedged Euro High Income Preference Share. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (h) Periodic Returns on Principal and Timings of Payments (continued) Euro High Income - Class B Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the Euro High Income cell in respect of Class B, the Counterparty pays to the Company for the account of the Euro High Income cell quarterly a Euro amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 cents per Class B Unhedged Euro High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 cents per share), future payments will increase to 2.0624% of the notional amount of the Swap Confirmation, equivalent to 2.0625 cents per Class B Unhedged Euro High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 cents per Class B Unhedged Euro High Income Preference Share. BNP Paribas Agribusiness Cell Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the BNP Paribas Agribusiness cell, the Counterparty will pay to the Company for the account of the BNP Paribas Agribusiness cell five business days before the dividend date, that being on or about 9 February 2011. The dividend amount will be determined by reference to the closing level of the BNP Paribas Global Agribusiness Excess Return Index (the "Index") determined on or about 11 July 2008 (the "Initial Index Level") and the performance of the Index calculated as of each of seven consecutive monthly observation dates. If the arithmetic average performance of the Index on the seven observation dates is equal to or less than zero, the dividend amount will be zero. If the arithmetic average performance of the Index on the seven observation dates is greater than zero, the dividend amount will be an amount in Hungarian Forints equal to (a) HUF10,000 multiplied by (b) the product of (i)( the Participation Factor (being 100% and (ii) such arithmetic average performance of the Index. Enhanced Income Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the Enhanced Income cell, the Counterparty will pay to the Company for the account of the Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per Class A Sterling Hedged Enhanced Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling Hedged Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged Enhanced Income Preference Share. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (h) Periodic Returns on Principal and Timings of Payments (continued) UK Enhanced Income Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the UK Enhanced Income cell, the Counterparty will pay to the Company for the account of the UK Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per UK Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per UK Enhanced Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per UK Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per UK Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per UK Enhanced Income Preference Share. US Enhanced Income - Class A Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US Enhanced Income cell in respect of Class A, the Counterparty will pay to the Company for the account of the US Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per BNP Paribas US Enhanced Income Class A Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling Hedged US Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged US Enhanced Income Preference Share. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (h) Periodic Returns on Principal and Timings of Payments (continued) US Enhanced Income - Class B Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US Enhanced Income cell in respect of Class B, the Counterparty will pay to the Company for the account of the US Enhanced Income cell quarterly a US Dollar amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 cents per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 cents per BNP Paribas US Enhanced Income Class B Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 cents per Class A Sterling Hedged US Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share. (i) Collateral Arrangements Under the terms of credit support deeds entered into between the Counterparty and the Company acting for and on behalf of each cell, the Counterparty is required to post collateral in the form of AAA rated government bonds in favour of the Company acting for and on behalf of each cell, such collateral being valued on at a weekly basis and, if the value of the collateral is less than the Credit Support Amount (as set out in note 6(c) above), the Counterparty will provide additional collateral to increase the aggregate value to at least applicable Credit Support Amount. Where there is an event of default in respect of the Counterparty under the swap confirmation, the Company will be entitled to enforce its security over the collateral. The collateral held against all derivative instruments as at 30 April 2010 is detailed below: +----------------------------+------------+----------+------------+ | Cell | Period | | Year ended | | | ended | | | +----------------------------+------------+----------+------------+ | | 30 April | | 31 October | | | 2010 | | 2009 | +----------------------------+------------+----------+------------+ | | GBP | | GBP | +----------------------------+------------+----------+------------+ | | | | | +----------------------------+------------+----------+------------+ | EGAA | 5,579,904 | | 6,916,495 | +----------------------------+------------+----------+------------+ | FTSE S | 7,268,711 | | 8,757,644 | +----------------------------+------------+----------+------------+ | EBMSG | 4,053,455 | | 3,832,721 | +----------------------------+------------+----------+------------+ | UK HI | 14,423,130 | | 28,410,783 | +----------------------------+------------+----------+------------+ | EBM (2) | 8,467,885 | | 8,196,050 | +----------------------------+------------+----------+------------+ | ES | 6,077,172 | | 7,178,798 | +----------------------------+------------+----------+------------+ | Abs Pro | 15,238,880 | | 15,762,681 | +----------------------------+------------+----------+------------+ | US HI | 28,536,631 | | 45,812,877 | +----------------------------+------------+----------+------------+ | Agrinvest | 17,823,669 | | 21,268,699 | +----------------------------+------------+----------+------------+ | Euro HI | 4,048,254 | | 4,954,795 | +----------------------------+------------+----------+------------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (i) Collateral Arrangements (continued) +----------------------------+------------+----------+------------+ | Cell | Period | | Year ended | | | ended | | | +----------------------------+------------+----------+------------+ | | 30 April | | 31 October | | | 2010 | | 2009 | +----------------------------+------------+----------+------------+ | | GBP | | GBP | +----------------------------+------------+----------+------------+ | | | | | +----------------------------+------------+----------+------------+ | EPR | 12,518,113 | | 13,404,525 | +----------------------------+------------+----------+------------+ | EBM (3) | 17,706,012 | | 18,010,161 | +----------------------------+------------+----------+------------+ | Agribus | 3,145,917 | | 3,085,963 | +----------------------------+------------+----------+------------+ | COMAC | 3,824,370 | | 11,645,744 | +----------------------------+------------+----------+------------+ | US EI | 56,588,042 | | 45,067,271 | +----------------------------+------------+----------+------------+ | UK EI | 29,945,184 | | 1,374,050 | +----------------------------+------------+----------+------------+ | EI | 26,790,728 | | 27,472,475 | +----------------------------+------------+----------+------------+ (j) Finance Costs and Expenses All payments by the Company are made in Sterling, except that the Investment Manager's fees in respect of Class B of US High Income and US Enhanced Income are paid in US Dollars, the Investment Manager's fees in respect of Class B of Euro High Income are paid in Euros and the Investment Manager's fees in respect of BNP Paribas Agribusiness are paid in Hungarian Forints. All expenses are met out of monies provided by BNP Paribas. Quarterly payments to the Company for the account of the US High Income cell in respect of Class B are made in Sterling, except that if the Company so elects by notice in writing to the Counterparty specifying the portion of the derivative contract in respect of which the Company wishes to receive payment in US Dollars, such payment is paid in part, in US Dollars in an amount equal to the product of (a) the number of Units so specified, (b) USD 1.00 and (c) the underlying dividend rate (as explained further at note 6(h) above) and (2) as to the balance in Sterling in an amount equal to the product of (x) the remaining number of Units, (y) the Sterling Amount which could be purchased with USD 1.00 at the applicable Forward Rate and (z) the underlying dividend rate) as explained further at note 6(h) above). Such election will be made to satisfy elections from holders of Class B Unhedged US High Income Preference Shares to receive their dividends in US Dollars. Dividends paid by the Company to holders of Class B Unhedged US High Income Preference Shares are paid in Sterling except that, where holders of such shares have elected to receive their dividends in US Dollars, such dividends will be paid in US Dollars in an amount equal to (a) the number of Class B Unhedged US High Income Preference Shares in respect of which such election is made, (b) USD 1.00 and (c) the underlying dividend rate (as explained further at note 6(h) above). Quarterly payments to the Company for the account of the Euro High Income cell in respect of Class B are made in Euros. Dividends paid by the Company to holders of Class B Unhedged Euro High Income Preference Shares are paid in Euros. Payments to the Company for the account of the BNP Paribas Agribusiness cell are made in Hungarian Forints. Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued) (j) Finance Costs and Expenses (continued) Dividends paid by the Company to holders of BNP Paribas Agribusiness Preference Shares are paid in Hungarian Forints. Payments to the Company for the account of the US Enhanced Income cell in respect of Class B are made in US Dollars. Dividends paid by the Company to holders of Class B US Dollar Unhedged US Enhanced Income Preference Shares are paid in US Dollars. 7 RELATED PARTY TRANSACTIONS Anson Fund Managers Limited is the Administrator and Secretary of the Company and Anson Registrars Limited is the Registrar of the Company. John R Le Prevost is a director of both these companies. During the period under review, the Administrator charged fees of GBP141,420 (Apr 2009: GBP116,613) in respect of its administration of the Company of which GBP22,555 (Apr 2009: GBP18,819) was outstanding at the year end and the Registrar charged fees of GBP24,506 (Apr 2009: GBP25,905) in respect of registration services on behalf of the Company of which GBP3,262 (Apr 2009: GBP2,555) was outstanding at the period end. Anson Group Limited is the ultimate controlling party of Anson Fund Managers Limited and Anson Registrars Limited, John R Le Prevost and Peter Atkinson are directors of Anson Group Limited. Harewood Asset Management SAS, the Investment Manager, and BNP Paribas Arbitrage SNC, the Company's ultimate controlling party, are both members of the BNP Paribas Group. During the period under review the Investment Manager charged fees of GBP428,751 (Apr 2009: GBP359,196), of which GBPNil (Apr 2009: GBPNil) was outstanding at the period end. As described elsewhere in the financial statements, BNP Paribas, a member of the BNP Paribas Group, was appointed as Distributor of Preference Shares in all the cells and is also the counterparty to the Index Derivative Contracts entered into by the Company on behalf of all cells. All these transactions and arrangements have been entered into on an arms length basis. At the end of the period BNP Paribas Group and its subsidiaries held the following shares in issue: Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 7 RELATED PARTY TRANSACTIONS (continued) +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | | As at | | | | As at | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | | 30 Apr | | | | 31 Oct | | | | | 2010 | | | | 2009 | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | | Shares | | % of | | Shares | | % of | | | | | total | | | | total | | | | | shares | | | | shares | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | Enhanced Global Asset | 11,173,440 | | 82.76% | | 9,834,455 | | 72.85% | | Allocation | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas FTSE Summit | 39,170,113 | | 96.71% | | 37,706,666 | | 93.10% | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Energy - Base | 7,409,123 | | 96.20% | | 7,132,473 | | 92.61% | | Metals | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas UK High | 118,501,708 | | 83.68% | | 102,157,816 | | 72.14% | | Income | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Energy - Base | 31,328,388 | | 96.38% | | 31,280,354 | | 96.23% | | Metals (2) | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas European | 21,577,692 | | 86.31% | | 20,072,414 | | 80.29% | | Shield | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Absolute | 72,159,504 | | 94.02% | | 71,184,880 | | 92.75% | | Progression | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | US High Income - Class A | | | | | | | | | Sterling Hedged | 71,154,566 | | 76.95% | | 52,161,572 | | 56.41% | | Preference Shares | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | US High Income - Class B | 48,687,562 | | 83.46% | | 46,159,495 | | 79.13% | | Unhedged Preference | | | | | | | | | Shares | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Agrinvest | 35,103,169 | | 74.33% | | 31,226,277 | | 66.12% | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | Euro High Income - Class | 43,990,893 | | 96.95% | | 43,643,993 | | 96.21% | | A Sterling Hedged | | | | | | | | | Preference Shares | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | Euro High Income - Class | 9,430,212 | | 91.90% | | 9,095,212 | | 88.64% | | B Unhedged Preference | | | | | | | | | Shares | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Enhanced | 14,782,549 | | 49.07% | | 14,020,594 | | 46.54% | | Property Recovery | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | Energy - Base Metals (3) | 38,766,175 | | 78.18% | | 37,289,818 | | 75.20% | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Agribusiness | - | | 0.00% | | - | | 0.00% | | Cell | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP Paribas Enhanced | 21,088,734 | | 52.72% | | 20,704,734 | | 51.76% | | Income | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | BNP COMAC | 22,611,046 | | 88.58% | | 13,467,175 | | 52.76% | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | US Enhanced Income - | 27,124,910 | | 55.93% | | 30,468,910 | | 62.82% | | Class A | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | US Enhanced Income - | 17,119,738 | | 37.98% | | 19.252,738 | | 42.71% | | Class B | | | | | | | | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ | UK Enhanced Income | 29,519,181 | | 60.22% | | 34,953,181 | | 71.31% | +---------------------------+-------------+----------+--------+----------+-------------+----------+--------+ Harewood Structured Investment PCC Limited (the "Company") Notes to the Financial Statements (continued) for the period ended 30 April 2010 7 RELATED PARTY TRANSACTIONS (continued) +-----------------------+-----------+----------+------------+ | ONGOING EXPENSES | Period | | Period | | | ended | | ended | +-----------------------+-----------+----------+------------+ | | 30 Apr | | 30 Apr | | | 2010 | | 2009 | +-----------------------+-----------+----------+------------+ | | TOTAL | | TOTAL | +-----------------------+-----------+----------+------------+ | | GBP | | GBP | +-----------------------+-----------+----------+------------+ | | | | | +-----------------------+-----------+----------+------------+ | Administration fees | 141,420 | | 116,613 | +-----------------------+-----------+----------+------------+ | Directors' | 11,200 | | 10,400 | | remuneration | | | | +-----------------------+-----------+----------+------------+ | Registration fees | 24,506 | | 25,905 | +-----------------------+-----------+----------+------------+ | Custody fees | 91,935 | | 88,803 | +-----------------------+-----------+----------+------------+ | Investment management | 428,751 | | 359,196 | | fees | | | | +-----------------------+-----------+----------+------------+ | Audit fees | 18,750 | | 52,250 | +-----------------------+-----------+----------+------------+ | Annual fees | 14,234 | | 39,379 | +-----------------------+-----------+----------+------------+ | Other operating | 21,107 | | 20,241 | | expenses | | | | +-----------------------+-----------+----------+------------+ | | | | | +-----------------------+-----------+----------+------------+ | | 751,902 | | 712,787 | +-----------------------+-----------+----------+------------+ All expenses are accounted for on an accruals basis and are borne by BNP Paribas SA. 8 ULTIMATE CONTROLLING PARTY The ultimate controlling party is BNP Paribas Arbitrage SNC as holder of the two Ordinary Shares in issue. 9 SUBSEQUENT EVENTS During the period it was agreed by the Board of directors that it was no longer in the best interests of the Company, Euro High Income (the "Cell") or the holders of Class A Sterling Hedged Euro High Income Preference Shares ("Class A Shares") and Class B Unhedged Euro High Income Preference Shares ("Class B Shares") for the Company to continue to pursue its stated investment objective for the Cell. At class meetings of holders of Class A Shares and Class B Shares held on 25 June 2010, the holders of such shares determined that the specific terms and conditions of the Class A Shares and Class B Shares be varied so that the Redemption Date in respect of Class A Shares and Class B Shares be amended to 29 June 2010. At the date of approval of this report, it is expected that redemption proceeds will be paid to the holders of Class A Shares and Class B Shares on 30 June 2010. Harewood Structured Investment PCC Limited (the "Company") SCHEDULE OF INVESTMENTS as at 30 April 2010 +--------------------------+-------------+----------+------------+----------+----------------+ | | as at 30 April 2010 | +--------------------------+-----------------------------------------------------------------+ | | NOMINAL | | VALUATION | | TOTAL NET | | | | | | | ASSETS | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | GBP | | % | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Enhanced Global Asset | | | | | | | Allocation | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 18,478,204 | | 2.30% | | Derivative Contract | 13,500,255 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas FTSE Summit | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 52,579,056 | | 6.54% | | Derivative Contract | 40,501,195 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Energy - | | | | | | | Base Metals | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Secure Growth | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 25,568,172 | | 3.18% | | Derivative Contract | 7,701,999 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas UK High | | | | | | | Income | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 87,672,948 | | 10.90% | | Derivative Contract | 141,613,549 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Energy - | | | | | | | Base Metals (2) | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 58,831,237 | | 7.31% | | Derivative Contract | 32,506,140 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas European | | | | | | | Shield | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 22,368,500 | | 2.78% | | Derivative Contract | 25,000,000 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Absolute | | | | | | | Progression | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 94,113,367 | | 11.70% | | Derivative Contract | 76,748,923 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | US High Income - Class A | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 62,678,007 | | 7.79% | | Derivative Contract | 92,469,987 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | US High Income - Class B | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | USD | | 30,443,060 | | 3.78% | | Derivative Contract | 58,337,229 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Agrinvest | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 47,989,539 | | 5.97% | | Derivative Contract | 47,225,896 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Euro High Income - Class | | | | | | | A | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 22,779,872 | | 2.31% | | Derivative Cell | 45,375,520 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Euro High Income - Class | | | | | | | B | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | EUR | | 4,576,749 | | 0.57% | | Derivative Contract | 10,261,000 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Enhanced Property | | | | | | | Recovery | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 18,619,961 | | 2.31% | | Derivative Contract | 30,125,000 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Energy - Base Metals (3) | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 54,701,569 | | 6.80% | | Derivative Contract | 49,587,600 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Agribusiness | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | HUF 72,500 | | 2,509,236 | | 0.31% | | Derivative Contract | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Enhanced Income | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 44,643,270 | | 5.55% | | Derivative Contract | 39,999,346 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ Harewood Structured Investment PCC Limited (the "Company") SCHEDULE OF INVESTMENTS (continued) as at 30 April 2010 +--------------------------+-------------+----------+-------------+----------+----------------+ | | as at 30 April 2010 | +--------------------------+------------------------------------------------------------------+ | | NOMINAL | | VALUATION | | TOTAL NET | | | | | | | ASSETS | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | GBP | | % | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas UK Enhanced | | | | | | | Income Cell | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | GBP | | 52,086,067 | | 6.48% | | Derivative Contract | 49,015,722 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas COMAC | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | GBP | | 17,596,610 | | 2.19% | | Derivative Contract | 25,526,009 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | US Enhanced Income - | | | | | | | Class A | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | GBP | | 55,413,766 | | 6.89% | | Derivative Contract | 48,500,080 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | Euro High Income - Class | | | | | | | B | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | USD | | 30,644,625 | | 3.81% | | Derivative Contract | 45,079,125 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | TOTAL | | | 804,293,815 | | 99.99% | +--------------------------+-------------+----------+-------------+----------+----------------+ Harewood Structured Investment PCC Limited (the "Company") SCHEDULE OF INVESTMENTS as at 31 October 2009 +--------------------------+-------------+----------+------------+----------+----------------+ | | as at 31 October 2009 | +--------------------------+-----------------------------------------------------------------+ | | NOMINAL | | VALUATION | | TOTAL NET | | | | | | | ASSETS | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | GBP | | % | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Enhanced Global Asset | | | | | | | Allocation | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 18,346,981 | | 2.30% | | Derivative Contract | 13,500,255 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas FTSE Summit | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 52,109,243 | | 6.54% | | Derivative Contract | 40,501,195 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Energy - | | | | | | | Base Metals | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Secure Growth | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 21,004,044 | | 2.64% | | Derivative Contract | 7,701,999 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas UK High | | | | | | | Income | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 97,693,523 | | 12.26% | | Derivative Contract | 141,613,549 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Energy - | | | | | | | Base Metals (2) | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 51,769,929 | | 6.50% | | Derivative Contract | 32,506,140 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas European | | | | | | | Shield | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 21,984,500 | | 2.76% | | Derivative Contract | 25,000,000 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Absolute | | | | | | | Progression | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 90,578,311 | | 11.37% | | Derivative Contract | 76,748,923 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | US High Income - Class A | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 68,437,037 | | 8.59% | | Derivative Contract | 92,469,987 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | US High Income - Class B | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | USD | | 27,073,356 | | 3.40% | | Derivative Contract | 58,337,229 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Agrinvest | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 48,357,901 | | 6.07% | | Derivative Contract | 47,225,896 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Euro High Income - Class | | | | | | | A | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 24,281,348 | | 3.05% | | Derivative Cell | 45,375,520 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Euro High Income - Class | | | | | | | B | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | EUR | | 4,878,010 | | 0.61% | | Derivative Contract | 10,261,000 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Enhanced Property | | | | | | | Recovery | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 20,238,276 | | 2.54% | | Derivative Contract | 30,125,000 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Energy - Base Metals (3) | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 51,911,771 | | 6.52% | | Derivative Contract | 49,587,600 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Agribusiness | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | HUF 72,500 | | 2,239,095 | | 0.28% | | Derivative Contract | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | Enhanced Income | | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ | BNP Paribas Index | GBP | | 45,540,455 | | 5.72% | | Derivative Contract | 39,999,346 | | | | | +--------------------------+-------------+----------+------------+----------+----------------+ Harewood Structured Investment PCC Limited (the "Company") SCHEDULE OF INVESTMENTS (continued) as at 31 October 2009 +--------------------------+-------------+----------+-------------+----------+----------------+ | | as at 31 October 2009 | +--------------------------+------------------------------------------------------------------+ | | NOMINAL | | VALUATION | | TOTAL NET | | | | | | | ASSETS | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | GBP | | % | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas UK Enhanced | | | | | | | Income Cell | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | GBP | | 49,844,088 | | 6.26% | | Derivative Contract | 49,015,722 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas COMAC | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | GBP | | 20,010,604 | | 2.51% | | Derivative Contract | 25,526,009 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | US Enhanced Income - | | | | | | | Class A | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | GBP | | 51,287,865 | | 6.44% | | Derivative Contract | 48,500,080 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | Euro High Income - Class | | | | | | | B | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | BNP Paribas Index | USD | | 28,985,552 | | 3.64% | | Derivative Contract | 45,079,125 | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | | | | | | | +--------------------------+-------------+----------+-------------+----------+----------------+ | TOTAL | | | 796,571,889 | | 100.00% | +--------------------------+-------------+----------+-------------+----------+----------------+ Harewood Structured Investment PCC Limited (the "Company") DIRECTORS AND SERVICE PROVIDERS +------------------------------+------------------------------+ | Directors | Investment Manager | | Peter John Granville | Harewood Asset Management | | Atkinson | SAS | | Francois-Xavier Foucault | 20 Boulevard des Italiens | | John Reginald Le Prevost | 75009-Paris | | Youri Siegel | France | | | | +------------------------------+------------------------------+ | Administrator and Secretary | Solicitors to the Company | | Anson Fund Managers Limited | (English Law) | | Anson Place | Clifford Chance LLP | | Mill Court | 10 Upper Bank Street | | La Charroterie | London E14 5JJ | | St. Peter Port | England | | Guernsey GY1 1EJ | | | | | +------------------------------+------------------------------+ | Auditors | Advocates to the Company | | PricewaterhouseCoopers CI | (Guernsey Law)Ozannes | | LLP | 1 Le Marchant Street | | PO Box 321 | St. Peter Port | | National Westminster House | Guernsey GY1 4HP | | Le Truchot | | | St. Peter Port | | | Guernsey GY1 4ND | | | | | +------------------------------+------------------------------+ | Custodian | Registrar, Transfer Agent & | | BNP Paribas Securities | Paying Agent | | Services, Luxembourg Branch | Anson Registrars Limited | | 33, Rue de Gasperich | PO Box 426 | | Howald-Hesperange | Anson Place | | L-2085 Luxembourg | Mill Court | | | La Charroterie | | | St Peter Port | | | Guernsey | | | GY1 3WX | | | | +------------------------------+------------------------------+ | Investment Counterparty | Registered Office | | BNP Paribas | Anson Place | | 10 Harewood Avenue | Mill Court | | London NW1 6AA | La Charroterie | | England | St Peter Port | | | Guernsey | | | GY1 1EJ | | | | +------------------------------+------------------------------+ Harewood Structured Investment PCC Limited (the "Company") SHAREHOLDER INFORMATION Shares of all cells other than BNP Paribas Agribusiness are listed on the Channel Islands Stock Exchange and may be dealt in directly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of such shares may be settled through CREST. Announcements to holders of such shares and daily market closing prices are available on Bloomberg, Reuters and the Channel Islands Stock Exchange's web-site. Further information relating to such shares is available from BNP Paribas, telephone 44 (0)207 595 8056 or e-mail harewood_solutions@bnpparibas.com, and from Anson Fund Managers Limited, telephone 44 (0)1481 722 260 or e-mail: reception@anson-group.com. Shares of BNP Paribas Agribusiness are listed on the Budapest Stock Exchange and may be dealt in directly through a Hungarian-domiciled stockbroker or professional adviser acting on an investor's behalf. The buying and selling of such shares may be settled through KELER, the Hungarian domestic settlement system. Announcements to holders of such shares are available on the web-site of the Budapest Stock Exchange Company Limited by Shares. Further information relating to such shares is available from BNP Paribas, telephone 44 (0)207 595 8442 or e-mail EQD_CEE@bnpparibas.com, and from Anson Fund Managers Limited, telephone 44 (0)1481 722 260 or e-mail: reception@anson-group.com. The Annual Financial Report for the year ended 31 October 2010 is intended to be made public in February 2011 and sent to shareholders as soon as possible thereafter. REGISTRAR ENQUIRIES The Company's registrar is Anson Registrars Limited in Guernsey and they can be contacted on 01481 711301. This information is provided by RNS The company news service from the London Stock Exchange END IR MMGFVKGLGGZM
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