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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 |
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RNS Number : 4637U
Harewood Structured Investment PCC
24 June 2009
Harewood Structured Investment PCC Limited
Half-yearly Financial Report for the
period ended 30 April 2009 (Unaudited)
Harewood Structured Investment PCC Limited (the "Company")
CONTENTS
+----------------------------------------------------------+------------+
| About the Company | 1 |
| | |
+----------------------------------------------------------+------------+
| Investment Objective and Policy | 9 |
| | |
+----------------------------------------------------------+------------+
| Net Asset Values | 31 |
| | |
+----------------------------------------------------------+------------+
| Interim Management Report | 32 |
| | |
+----------------------------------------------------------+------------+
| Investment Manager's Report | 33 |
| | |
+----------------------------------------------------------+------------+
| Statement of Operations | 54 |
| | |
+----------------------------------------------------------+------------+
| Net Asset Statement | 62 |
| | |
+----------------------------------------------------------+------------+
| Statement of Changes in Net Assets Attributable to | 70 |
| Holders of Preference Shares | |
| | |
+----------------------------------------------------------+------------+
| Statement of Cash Flows | 78 |
| | |
+----------------------------------------------------------+------------+
| Notes to the Financial Statements | 86 |
| | |
+----------------------------------------------------------+------------+
| Schedule of Investments | 107 |
| | |
+----------------------------------------------------------+------------+
| Directors and Service Providers | 109 |
| | |
+----------------------------------------------------------+------------+
| Shareholder Information | 110 |
| | |
+----------------------------------------------------------+------------+
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 reasons and
commenced business on 18 March 2005 when 8,500,255 Enhanced Global Asset
Allocation Preference 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 Enhanced Global Asset Allocation Preference
Shares ("EGAA Shares") of the Enhanced Global Asset Allocation Cell 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 of the
BNP Paribas FTSE Summit Cell 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 of the BNP Paribas FTSE Summit
Cell 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 of the BNP Paribas Energy - Base
Metals Secure Growth Cell 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
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
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.
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 $1 each. The Class B 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
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 have a defined investment
life to 28 October 2013, whereupon they will be subject to compulsory
redemption.
On 12 March 2008 30,125,000 Enhanced Property Recovery Preference Shares (the
"EPR Shares") of Enhanced Property Recovery 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 Energy - Base Metals (3) 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. 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 BNP Paribas Agribusiness were allotted to applicants pursuant to the
initial placing and offer for subscription of such AGRI Shares at an issue price
of HUF 10,000 each. The AGRI Shares have a defined investment life to 11
February 2011, whereupon they will be subject to compulsory redemption.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
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. 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.
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 Counterparty to all the cells.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
Directors and Principal Advisors
John Le Prevost - Director
John Le Prevost is British and resident in Guernsey. He is a director and
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 30 years experience in investment and offshore trusts during
which time he was managing director of County NatWest Investment Management
(Channel Islands), Royal Bank of Canada's mutual fund company in Guernsey and
Republic National Bank of New York's international trust company. He is a
trustee of the Guernsey Sailing Trust, a director of a number of companies
associated with Anson Group Limited's business as well as a non-executive
director of many listed investment companies.
Francois-Xavier Foucault - Director
Francois-Xavier Foucault is French and resident in France. 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. 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.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
BNP Paribas SA - Counterparty
BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 30
April, 2009, the Group had an equity market capitalisation of EUR42.9 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, 2008, the Group
had audited consolidated assets of EUR2,075.5 billion and audited shareholders'
equity (Group share including income for the 2008 fiscal year) of EUR53.2 billion.
Audited net income, before taxes, non-recurring items and amortization of
goodwill, for the year ended 31 December, 2008 was EUR3.9 billion. Audited net
income, Group share, for the year ended December 31, 2008 was EUR3.02 billion.
Harewood Asset Management SAS - Investment Manager
The Investment Manager was 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 manages numerous investment funds
domiciled in France, Luxembourg, the Cayman Islands and Guernsey. As of 30 April
2009, Harewood Asset Management was responsible for the management of EUR5 billion
across 100 funds.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
BNP Paribas Securities Services, Luxembourg Branch - Custodian
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 institution under
the terms of article 30 of the Luxembourg law of 5 April 1993 on the Financial
Sector, as amended from time to time.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY
Enhanced Global Asset Allocation (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced
Global Asset Allocation Preference Shares (herein the "Shares") 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. Key features are:
- each Index may become subject to a locked-in minimum return of 15%, 30% or
45%, depending on the Index levels attained on any of the scheduled observation
dates;
- the performance of each Index at maturity equals the greater of (a) the
locked-in minimum return (if any) or (b) the final return at the end of the
investment's life (which may be positive or negative);
- the investment return of the Shares comprises 40% of the best Index
performance, 30% of the second-best, 20% of the third-best and 10% of the worst
Index performance, taking into account any locked-in minimum return achieved on
each Index.
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch and from any subsequent issue of Shares have been 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 behalf of the Cell, an amount equalling the funds available for payment of
the investment return described in the preceding paragraphs. The Contract
requires the Counterparty to deliver collateral to a collateral account held in
favour of the Company. Such collateral is delivered monthly in the form of AAA
rated government bonds in an amount at least equal to 100% of the gross proceeds
of the most recently published net asset value at that time.Where there is an
event of default in respect of the Counterparty under the Contract, the Cell
will be entitled to enforce its security over the collateral.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Full details of the calculation of the investment return, the Contract and the
collateral arrangements 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 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. Key features are:
- the Shares will be subject to a locked-in return based on the highest
observed closing level of the Index attained as of the scheduled monthly
observation dates;
- the redemption amount of a Share payable at maturity will be the Issue
Price of a Share (that is, 100 pence) plus an amount equal to the return (if
positive) on the Issue Price of a Share implied by the highest observed closing
level of the Index on any scheduled observation date during the life of the
investment.
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch and from any subsequent issue of Shares have been 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 described in the preceding paragraph. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered monthly in the form
of AAA rated government bonds in an amount at least equal to 100% of the most
recently published NAV at that time.Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Full details of the calculation of the investment return, the Contract and the
collateral arrangements 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. Key features are:
Subject as provided below, the Shares are designed to pay to shareholders, on
the Redemption Date, a capital payment, comprising a capital amount of 100 pence
per Share and a return on capital equal to 3.4 times any percentage increase in
the value of the Commodity Portfolio during the life of the investment.
* The Commodity Portfolio is a notional portfolio of commodities comprising 30%
crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc.
* If there is a decrease in value of the Commodity Portfolio at maturity, the
Shares are designed to repay the capital amount.
* While the Shares are designed to repay the capital amount of 100 pence per
Share, they are not designed to repay any other amounts, including without
limitation fees, which are paid or incurred by shareholders in connection with
an investment in the Shares.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch and from any subsequent issue of Shares have been 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. The Contract requires the Counterparty to
deliver collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements 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") 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. Key features are:
* Subject to certain conditions, shareholders are entitled to receive quarterly
dividends of 1.875 pence per Share. Shareholders are also entitled to receive,
on the redemption date, being 11 December 2011, a capital payment reflecting the
capital performance of the underlying portfolio.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* The Shares offer exposure to an underlying portfolio comprising a notional
holding of shares ("Selected Shares") issued by 20 companies selected from the
FTSE 100 Index, notional European-style cash settled call options written on
those shares, a notional European-style cash settled put option purchased on the
Index and a notional cash account.
* The Selected Shares are reviewed and rebalanced every three months according to
criteria chosen by BNP Paribas SA. Shareholders are exposed to the capital
returns of, and dividends paid by, the Selected Shares.
* The call options are written every three months and with a maturity of three
months on the Selected Shares. As a result, a proportion of potential growth is
relinquished in return for premiums in respect of the call options.
* The portfolio insurance takes the form of an Index put option bought in respect
of the Index, with a term and maturity matching the term of the Shares. Whilst
there can be no assurance that the performance of the underlying portfolio will
match the performance of the Index, the Index put option will provide a positive
return if the Index has fallen over the life of the Shares.
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch and from any subsequent issue of Shares have been 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 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. The Contract requires the Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered weekly in the form of AAA rated government bonds in an
amount at least equal to the net asset value of the underlying portfolio at that
time.Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
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.
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. Key features are:
* Subject as provided below, the Shares are designed to pay to shareholders, on
the Redemption Date, a capital payment, comprising a capital amount of 100 pence
per Share and a return on capital equal to 2.3 times any percentage increase in
the value of the Commodity Portfolio during the life of the investment.
* The Commodity Portfolio is a notional portfolio of commodities comprising 30%
crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc.
* If there is a decrease in value of the Commodity Portfolio at maturity, the
Shares are designed to repay the capital amount.
* While the Shares are designed to repay the capital amount of 100 pence per
Share, they are not designed to repay any other amounts, including without
limitation fees, which are paid or incurred by shareholders in connection with
an investment in the Shares.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Investment Counterparty to deliver collateral to a
collateral account held in favour of the Company. Such collateral is delivered
monthly in the form of AAA rated government bonds in an amount at least equal to
105% of the most recently published NAV at that time. Where there is an event
of default in respect of the Counterparty under the Contract, the Cell will be
entitled to enforce its security over the collateral.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Full details of the calculation of the investment return, the Contract and the
collateral arrangements 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. Key
features are:
* If the level of the Index at maturity is equal to or greater than 85% of its
initial level, the aggregate amount payable in respect of each Share at maturity
will be equal to (a) the capital component of 100 pence per Share plus (b) an
amount, subject to a maximum of 71.25 pence per Share, equal to the product of
100 pence, 475% and the Index performance in percentage points measure from 85%
of the initial level of the Index (for example, if the level of the Index at
maturity is 100% of the initial level of the Index, this would represent an
index return of plus 15%).
* If the level of the Index at maturity is less than 85% of its initial level, and
if the level of the Index has not at any time during the life of the investment
fallen to 50% or less of its initial level, the aggregate amount payable in
respect of each Share at maturity will be equal to the capital component of 100
pence per Share.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* If the level of the Index at maturity is less than 85% of its initial level, and
if the level of the Index has at any time during the life of the investment
fallen to 50% or less of its initial level, the aggregate amount payable in
respect of each Share at maturity will be equal to the capital component of 100
pence per Share reduced by the performance of the Index in percentage points
measured from 85% of the initial level of the Index (for example, if the level
of the Index at maturity is 80% of the initial level of the Index, this would
represent an Index reduction of 5%), subjection to a minimum of 15 pence per
Share.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered weekly in the form
of AAA rated government bonds in an amount at least equal to 105% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
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. Key features are:
* The Shares offer exposure to the divergence between prices of shares selected
from the Shares comprised in the Dow Jones Global Titans 50 Index, with a
minimum amount of 100 pence per Share payable on redemption at maturity.
* The amount payable on maturity will not be less than the capital amount of 100
pence per Share and will comprise (a) 100 pence per Share plus (b) 100 pence
multiplied by the sum of the annual accruals, these representing a locked-in
return payable on redemption at maturity, which will be determined as of each of
six annual valuation dates
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 have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered weekly in the form
of AAA rated government bonds in an amount at least equal to 105% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
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.
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") 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. Key features are:
* Subject to certain conditions, shareholders are entitled to receive quarterly
dividends of 1.875 pence or cents per Share. Shareholders are also entitled to
receive, on the redemption date, being 19 November 2012, a capital payment
reflecting the capital performance of the underlying portfolio.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* The Shares offer exposure to an underlying portfolio comprising a notional
holding of shares ("Selected Shares") issued by 20 companies selected from the
S&P 100 Index, notional European-style cash settled call options written on
those shares, a notional European-style cash settled put option purchased on the
Index and a notional cash account.
* The Selected Shares are reviewed and rebalanced every three months according to
criteria chosen by BNP Paribas SA. Shareholders are exposed to the capital
returns of, and dividends paid by, the Selected Shares.
* The call options are written every three months and with a maturity of three
months on the Selected Shares. As a result, a proportion of potential growth is
relinquished in return for premiums in respect of the call options.
* The portfolio insurance takes the form of an Index put option bought in respect
of the Index, with a term and maturity matching the term of the Shares. Whilst
there can be no assurance that the performance of the underlying portfolio will
match the performance of the Index, the Index put option will provide a positive
return if the Index has fallen over the life of the Shares.
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch and from any subsequent issue of Shares have been 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 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. The Contract requires the counterparty to
deliver collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to the net asset value of the underlying portfolio at that
time.Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Euro High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Euro 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 STOXX 50 Index, with a term
and maturity matching the term of the Shares, aims to reduce the risk of capital
loss. Key features are:
* Subject to conditions, shareholders are entitled to receive, on Dividend Payment
Dates, quarterly Dividends at the rate of 1.875 pence or 1.875 cents per Share.
Shareholders are also entitled to receive, on the Redemption Date, being June
2013, a capital payment reflecting the capital performance of the Underlying
Portfolio.
* The Shares offer exposure to an underlying portfolio comprising a notional
holding of shares selected from the Dow Jones Euro STOXX 50 Index, an index of
50 leading European stocks listed and trading on various stock exchanges of
member states of the European Union, notional European-style cash settled call
options written on those shares, a notional European-style cash settled put
option purchased on the Index and a notional cash account. In the case of the
Class A Euro High Income Preference Shares, the Underlying Portfolio includes
also a notional currency hedge to provide a level of protection against changes
in the Sterling/Euro exchange rate.
* Selected Shares are reviewed and rebalanced every three months according to
criteria described in this document and chosen by BNP Paribas. Shareholders are
exposed to the capital returns of, and dividends paid by, the Selected Shares,
as well as other factors described below.
* The call options are written every three months and with a maturity of three
months on the Selected Shares. As a result, a proportion of potential growth
over the three-month holding period is relinquished in return for premiums in
respect of the Call Options.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
The portfolio insurance, a technique intended to reduce the impact of a decline
in equity markets, takes the form of a notional European-style cash settled put
option bought in respect of the Index, with a term and maturity matching the
term of the Shares. While there can be no assurance that the performance of the
underlying portfolio will match the performance of the Index, the Index Put
Option will provide a positive return if the Index has fallen over the life of
the Shares.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered monthly in the form
of AAA rated government bonds in an amount at least equal to 100% of the
aggregate net asset value of the notional underlying portfolios for both
Classes. Where there is an event of default in respect of the Counterparty
under the Contract, the Cell will be entitled to enforce its security over the
collateral.
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 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. Key features are:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* Subject to conditions, the Shares are designed to pay to shareholders, on the
Redemption Date, being June 2013, a capital payment comprising an amount equal
to the capital component of 100 pence per Share and if the level of the Index at
maturity is greater than its initial level, an amount per share equal to 1.30
times any percentage increase in the performance of the Index during the life of
the Investment.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered monthly in the form
of AAA rated government bonds in an amount at least equal to 100% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
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.
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") is 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. Key features are:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* The Shares offer exposure through an investment contract to the performance of a
dynamic notional basket comprising participations in 10 hedge funds selected by
BNP Paribas, a cash facility, foreign exchange contracts and a zero coupon bond,
with a minimum amount of 90 pence per Share payable on the Redemption Date,
being August 2013.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered monthly in the form
of AAA rated government bonds in an amount at least equal to 100% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
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.
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. Key features
are:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* The Shares offer an exposure through an investment contract to the performance
of the Index over a 6-year period.
* If the Final Index Level equals or exceeds the Initial Index Level, the Final
Redemption Amount will be an amount (not less than 170 pence per Share) equal to
the greater of 170 pence and the amount determined by the Calculation Agent
according to the following formula:
100 pence x (100% + (Final Index Level -A) / Initial Index Level)
where A is the lowest closing level of the Index as observed by the Calculation
Agent on any of 25 monthly observation dates from and including 13 March 2008 to
and including 13 March 2010.
* If the Final Index Level is less than the Initial index Level, the Final
Redemption Amount will be an amount (less than the capital component of 100
pence) equal to 100 pence multiplied by the Final Index Level divided by the
Initial Index Level.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered monthly in the form
of AAA rated government bonds in an amount at least equal to 100% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Energy - Base Metals (3) (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Energy -
Base Metals (3) Preference Shares (herein the "Shares") is to provide
shareholders with a geared exposure to any increase in the prices of a notional
portfolio of certain energy related and base metal commodities (the "Commodity
Portfolio") over a six-year period. The Commodity Portfolio is a notional
portfolio of commodities comprising 30% crude oil, 20% aluminium, 20% copper,
15% nickel and 15% zinc. The investment return of the Shares is not subject to
the risk of foreign exchange movements save to the extent that the value of the
commodities comprised in the notional portfolio, which are priced in US dollars,
may be affected by the fluctuations in value of the US dollar. Key features
are:
* Subject as provided below, the Shares are designed to pay to shareholders, on
the Redemption Date, a capital payment, comprising an amount equal to the
capital component of 100 pence per Share and a return on the capital component
equal to 1.75 times any percentage increase in the value of the Commodity
Portfolio during the life of the investment.
* If there is a decrease in value of the Commodity Portfolio at maturity, the
Shares are designed to repay the capital amount.
* While the Shares are designed to repay the capital amount of 100 pence per
Share, they are not designed to repay any other amounts, including without
limitation fees, which are paid or incurred by shareholders in connection with
an investment in the Shares.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been 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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered weekly in the form
of AAA rated government bonds in an amount at least equal to 100% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Full details of the calculation of the investment return, the Contract and the
collateral arrangements 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").
The Dividend amount in respect of each BNP Paribas Agribusiness Preference Share
will be payable in the lawful currency of the Republic of Hungary ("HUF" or
"Hungarian Forint") 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. Key features are:
* If the arithmetic average performance of the Index as of the seven Observation
Dates determined as explained above:
is equal to or less than zero, the Dividend Amount will be zero; and
is greater than zero, the Dividend Amount will be an amount in HUF 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.
* The Shares are denominated in Hungarian Forint and have a finite investment term
of two and a half years.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* A single dividend is payable on the Shares linked to the performance of the
Index during the investment term. The Dividend Amount, if greater than zero,
will be payable on or around 9 February 2011.
* The Shares are redeemable at scheduled redemption of HUF10,000 per share.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch have been invested in an index derivative contract (the
"Contract") with BNP Paribas, the 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. The Contract requires the
Counterparty to deliver collateral to a collateral account held in favour of the
Company. Such collateral is delivered weekly in the form of AAA rated government
bonds in an amount at least equal to 100% of the most recently published NAV at
that time. Where there is an event of default in respect of the Counterparty
under the Contract, the Cell will be entitled to enforce its security over the
collateral.
Full details of the calculation of the dividend, 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.
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 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"), notional short-term call options written on Index
and notional currency hedging, which is intended to provide a level of
protection against changes in the Sterling / Euro exchange rate. Key features
are:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* The Shares have a finite investment term of approximately ninety-nine years
expiring in March 2108.
* Shareholders are expected to receive, on quarterly dividend payment dates,
dividends initially at the rate of 2 pence per Share (with an equal amount being
deducted from the net asset value of the Cell).
* If the value of the underlying contract in which the Cell is invested (herein
the "Contract") as at the relevant valuation date increases to 110 per cent. of
its initial value, future dividends would increase to 2.2 pence per share and
for each subsequent 5 pence increase in the value of the Contract subsequent
quarterly dividends will increase by 0.1 pence per Share. If the value of the
Contract subsequently decreases after having increased to 110 or more percent,
but has not decreased to less than 100 per cent. of its initial value, future
dividend payments will consequently decrease back to a dividend yield of 8% on
capital.
* If the value of the Contract as at the relevant valuation date has fallen below
100 per cent. of its initial value and below a lower percentage which is an
integral multiple of 5% of the initial value of the Contract, future dividend
payments will be adjuseted to be the product of 2% and the relevant percentage
threshold level and 100 pence per Share.
* The Shares offer exposure to an investment strategy linked to the total return
performance of the Index, the notional sale of European-style cash settled call
options on the Index on a rolling 15 day cycle and notional currency hedging,
which is intended to provide a level of protection against changes in the
Sterling / Euro exchange rate.
* Shareholders are exposed to the performance of the Index as well as other
factors described below. Capital invested in the Shares is at risk.
* The call options on the Index are notionally written for a notional amount equal
to 1/15 of the gross proceeds raised by the issue of the Shares at a strike
price which is either 98% or 102% of the current level of the Index at the
relevant time. As a result, the potential benefit from the Index being above the
relevant strike price on the maturity of the relevant call option is
relinquished in return for premium in respect of the relevant call option.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch have been 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. The Contract requires
the Counterparty to deliver collateral to a collateral account held in favour of
the Company. Such collateral is delivered monthly in the form of AAA rated G7
government bonds in an amount at least equal to the net asset value of the
underlying portfolio at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
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 assset 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 ot provide a level of protection against changes in
the Sterling / US Dollar exchange rate. Key features are:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
* The Shares have a finite investment term of twenty years ending in June 2029.
* The Shares offer an exposure through an investment contract (subject to
counterparty risk and subject to the collateral arrangements described below) to
the performance of the Index over the investment term. The Strategy is also
linked to notional currency hedging intended ot provide a level of protection
against changes in the Sterling / US Dollar exchange rate.
* Capital invested in Shares is at risk.
* No dividends are expected to be paid on the Shares.
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. The
Contract requires the Counterparty to deliver collateral to a collateral account
held in favour of the Company. Such collateral is delivered monthly in the form
of AAA rated G7 government bonds in an amount at least equal to 100% of the most
recently published NAV at that time. If in future the debt obligations of fewer
than four G7 governments are AAA rated, the Counterparty will be allowed to use
bonds issued by any of the four best rated G7 governments. Where there is an
event of default in respect of the Counterparty under the Contract, the Cell
will be entitled to enforce its security over the collateral.
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.
Harewood Structured Investment PCC Limited (the "Company")
NET ASSET VALUES
As at 30 April 2009, the calculated net asset value of a share of each cell in
existence at that date was as follows:-
+--------------------------------------------+--+----------------+---------------+
| | | As at | As at |
| | | 30 Apr 2009 | 31 Oct 2008 |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Enhanced Global Asset Allocation ("EGAA") | | 133.08 pence | 128.33 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas FTSE Summit ("FTSE S") | | 126.55 pence | 123.41 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas Energy - Base Metals Secure | | 161.15 pence | 186.22 pence |
| Growth ("EBSMG") | | | |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas UK High Income ("UK HI") | | 75.65 pence | 84.14 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas Energy - Base Metals (2) ("EBM | | 116.74 pence | 118.57 pence |
| (2)") | | | |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas European Shield ("ES") | | 75.28 pence | 79.06 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas Absolute Progression ("Abs | | 116.78 pence | 114.53 pence |
| Pro") | | | |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| US High Income Class A Sterling Hedged US | | 83.24 pence | 94.51 pence |
| High Income Preference Shares ("US HI A") | | | |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| US High Income Class B Unhedged US High | | 82.82 US$ | 93.30 US$ |
| Income Preference Shares ("US HI B") | | cents | cents |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Euro High Income Class A Sterling Hedged | | 63.05 pence | 64.40 pence |
| Euro High Income Preference Shares ("Euro | | | |
| HI A") | | | |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Euro High Income Class B Unhedged Euro | | 60.84 Euro | 62.06 Euro |
| High Income Preference Shares ("Euro HI | | cents | cents |
| B") | | | |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas Agrinvest ("Agrinvest") | | 101.03 pence | 94.20 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Hedge Elite ("Hedge Elite") | | 78.51 pence | 80.79 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Enhanced Property Recovery ("EHPR") | | 45.46 pence | 57.99 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Energy - Base Metals (3) ("EMB (3)") | | 94.02 pence | 87.58 pence |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| BNP Paribas Agribusiness ("Agribusiness") | | 8,746 HUF | 9,120 HUF |
| | | | |
+--------------------------------------------+--+----------------+---------------+
| Enhanced Income ("EIF") | | 105.62 pence | - |
| | | | |
+--------------------------------------------+--+----------------+---------------+
Harewood Structured Investment PCC Limited (the "Company")
INTERIM MANAGEMENT REPORT
For the period from 1 November 2008 to 30 April 2009
A description of important events 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 33 to
53 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.
There were no material related party transactions which took place in the first
six months of the financial year.
This half-yearly financial report has not been audited nor reviewed by auditors
pursuant to the Auditing Practices Board guidance on Review of Interim Financial
Information.
Responsibility Statement
The Board of directors jointly and severally confirm that, to the best of their
knowledge:
* 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
* 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 Le Prevost | Francois-Xavier Foucault |
+--------------------------------------+--------------------------------------+
| Director | Director |
+--------------------------------------+--------------------------------------+
| 24 June 2009 | |
+--------------------------------------+--------------------------------------+
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.
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 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 2009, 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-Apr-09 | | date for | level | level | level |locked-in |
| | | | | lock-ins | | | | |
+--------+-------------+-------------+--------+-------------+--------------+--------------+--------------+-----------+
| Euro | 3,053.54 | 2,375.34 | -22.2% | 18-Jun-09 | 3,511.57 | 3,969.60 | 4,427.63 | 45% |
| Stoxx | | | | | | | | |
| 50 | | | | | | | | |
+--------+-------------+-------------+--------+-------------+--------------+--------------+--------------+-----------+
| FTSE | 4,923.30 | 4,243.71 | -13.8% | 18-Jun-09 | 5,661.80 | 6,400.29 | 7,138.79 | 30% |
| 100 | | | | | | | | |
+--------+-------------+-------------+--------+-------------+--------------+--------------+--------------+-----------+
| Nikkei | 11,879.81 | 8,933.56 | -24.8% | 18-Jun-09 | 13,661.78 | 15,443.75 | 17,225.72 | 45% |
| 225 | | | | | | | | |
+--------+-------------+-------------+--------+-------------+--------------+--------------+--------------+-----------+
| S&P | 1,189.65 | 872.81 | -26.6% | 18-Jun-09 | 1,368.10 | 1,546.55 | 1,724.99 | 15% |
| 500 | | | | | | | | |
+--------+-------------+-------------+--------+-------------+--------------+--------------+--------------+-----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 18 March 2005 and close on 30 April 2009 (the last business
day prior to the balance sheet date) the NAV had risen by 37.91% (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 fallen by 23.62%, the
FTSE 100 had fallen by 13.8%, the S&P 500 had fallen by 26.6%, the Euro Stoxx 50
had fallen by 22.2% and the Nikkei had also fallen by 24.8.%.
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 2009 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 2009, 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 at | Value as | Change | Next | Highest | Minimum |
| name | start | of | |observation | FTSE | protected |
| | |30-Apr-09 | | date | closing | return |
| | | | | | level | |
| | | | | | recorded | |
+----------+----------+-----------+---------+-------------+------------+------------+
|FTSE 100 | 5,113.2 | 4,243.7 |-17.00% | 29-Apr-09 | 6,706.0 | 131.15% |
+----------+----------+-----------+---------+-------------+------------+------------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 30 April 2009 the NAV had risen by
26.5%, ahead of the 17.0% decline in the FTSE and ahead of the 4.4% decline 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 43.79%. 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 forty six monthly 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 2009 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 of | Change | Weight |
| | Start | 30-Apr-09 | | |
+---------------------+--------------+---------------+--------------+------------+
| Aluminium | 1,716 | 1430.50 | -16.6% | 20.0% |
+---------------------+--------------+---------------+--------------+------------+
| Copper | 3,597 | 4515.00 | 25.5% | 20.0% |
+---------------------+--------------+---------------+--------------+------------+
| Nickel | 14,700 | 11505.00 | -21.7% | 15.0% |
+---------------------+--------------+---------------+--------------+------------+
| West Texas | 56.50 | 51.12 | -9.5% | 30.0% |
| Intermediate | | | | |
+---------------------+--------------+---------------+--------------+------------+
| Zinc | 1,223 | 1408.00 | 15.1% | 15.0% |
+---------------------+--------------+---------------+--------------+------------+
Source for Commodity values Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 30 April 2009 the NAV had risen by
61%. Over this period the DJ AIG Commodities Total Return Index had fallen by
28%. 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.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas UK High Income
Listing: Channel Islands Stock Exchange
Launch date: 9 December 2005
Issue price at launch: 100 pence
NAV immediately following launch: 98.75 pence
Maturity date: 8 December 2011
ISIN: GB00B0N4CX50
SEDOL: B0N4CX50
Epic Code: UKH
Investment Objective
BNP Paribas UK High Income ("UKH") is a six-year investment aiming to provide
shareholders with a stable stream of quarterly dividend distributions based on
the dividend income of a notional portfolio of shares selected from the FTSE 100
Index, supplemented by premiums for notional call options written on those
shares. In addition, a purchase of portfolio insurance in the form of a put
option linked to the FTSE 100 Index, with a term and maturity matching the term
of the Shares, aims to reduce the risk of capital loss.
BNP Paribas UK High Income launched on 9 December 2005 with an initial NAV of
98.75 pence. On this date (a) the portfolio of shares was selected and purchased
(b) the corresponding 3-month call options were sold with an average strike
price of 105.5% of the value of the shares (c) the portfolio insurance was
acquired. This takes the form of a six-year put option on the FTSE 100 with a
strike level of 5,517.4.
The name and weighting of each selected share and its performance between
8 March 2009 (representing the most recent rebalancing of the portfolio) and
30 April 2009 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 |
| | price | price | at | strike |portfolio | at |
| | at | at | 30-Apr-09 | price |weighting |30-Apr-09 |
| |8-Mar-09 |30-Apr-09 | | |at Strike | |
| | | | | | Date | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Amlin | 355.25 | 360.75 | 1.5% | 368.75 | 1.5% | 1.4% |
| PLC | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Astrazeneca |2,223.00 | 2,385.00 | 7.3% |2,446.14 | 6.0% | 5.7% |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| BHP |1,171.00 | 1,424.00 | 21.6% |1,358.54 | 6.2% | 6.8% |
| Billiton | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| BP PLC | 438.25 | 482.50 | 10.1% | 485.79 | 7.9% | 7.7% |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| British |1,716.00 | 1,639.00 | -4.5% |1,851.68 | 6.2% | 5.3% |
| American | | | | | | |
| Tobacco | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| BT | 71.90 | 94.00 | 30.7% | 81.31 | 4.5% | 5.2% |
| Group | | | | | | |
| PLC | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Centrica | 240.75 | 227.00 | -5.7% | 265.92 | 4.5% | 3.8% |
| PLC | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Drax | 478.00 | 516.00 | 7.9% | 524.64 | 1.5% | 1.5% |
| Group | | | | | | |
| Plc | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Glaxosmithkline |1,006.50 | 1,049.00 | 4.2% |1,099.96 | 7.4% | 6.8% |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Imperial |1,570.00 | 1,551.00 | -1.2% |1,706.47 | 6.2% | 5.4% |
| Tobacco | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Land | 344.04 | 562.50 | 63.5% | 441.56 | 1.3% | 1.9% |
| Securities | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Reckitt |2,454.00 | 2,667.00 | 8.7% |2,662.14 | 6.0% | 5.8% |
| Benckiser | | | | | | |
| Group | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Rio |1,791.00 | 2,774.00 | 54.9% |2,105.78 | 6.1% | 8.4% |
| Tinto | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Royal |1,476.00 | 1,557.00 | 5.5% |1,633.09 | 7.6% | 7.2% |
| Dutch | | | | | | |
| Shell | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Standard | 131.80 | 190.30 | 44.4% | 145.97 | 3.0% | 3.8% |
| Life PLC | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Tate & | 229.50 | 276.00 | 20.3% | 252.15 | 1.5% | 1.6% |
| Lyle | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Tesco | 306.20 | 337.20 | 10.1% | 336.50 | 6.1% | 5.9% |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Unilever |1,254.00 | 1,326.00 | 5.7% |1,361.45 | 6.1% | 5.7% |
| PLC | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| United | 463.75 | 508.50 | 9.6% | 506.41 | 3.1% | 3.0% |
| Utilities | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Vodafone | 114.65 | 124.70 | 8.8% | 127.89 | 7.5% | 7.2% |
| Group | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| FTSE |3,542.40 | 4,243.71 | 19.8% | | | |
| 100 | | | | | | |
| Index | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
| Weighted | | | 12.4% | | | |
| Basket | | | | | | |
| Performance | | | | | | |
+-----------------+----------+-----------+-------------+----------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 9 December 2005 and close on 30 April 2009 the NAV had fallen
by 23.39% (based on the initial NAV of 98.75 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 and 5 February 2009.
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 30 April 2009 are set out in the
table below.
+----------------------+--------------+--------------+--------------+------------+
| Commodity name | Value at | Value as of | Change | Weight |
| | Start | 30-Apr-09 | | |
+----------------------+--------------+--------------+--------------+------------+
| Aluminium | 2,457 | 1,430.50 | -41.8% | 20.0% |
+----------------------+--------------+--------------+--------------+------------+
| Copper | 5,220 | 4,515.00 | -13.5% | 20.0% |
+----------------------+--------------+--------------+--------------+------------+
| Nickel | 15,055 | 11,505.00 | -23.6% | 15.0% |
+----------------------+--------------+--------------+--------------+------------+
| West Texas | 64 | 51.12 | -20.0% | 30.0% |
| Intermediate | | | | |
+----------------------+--------------+--------------+--------------+------------+
| Zinc | 2,543 | 1,408.00 | -44.6% | 15.0% |
+----------------------+--------------+--------------+--------------+------------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and close on 30 April 2009 the NAV had risen by
16.74%. Over this period the DJ AIG Commodities Excess Return Index had fallen
by 32.0%.
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 2009; 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-09 | | Level | Level | Index |
| | | | | | | Level |
+--------+---------+-----------+--------+---------+---------+----------+
| DJ | 3865.4 | 2375.3 |-38.5% | 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 2009 the NAV has fallen by
24.7% versus a 38.5% 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 2009 is set out in
the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
+--------------------+------------+--------------+----------------+-----------------+
| DJGT Components | Share | Current | % change |Out-performance |
| | Price at | Value at | | |
| | Launch | 30-Apr-09 | | |
+--------------------+------------+--------------+----------------+-----------------+
| Abbot Labs | 46.21 | 41.85 | -9.44% | 24.55% |
+--------------------+------------+--------------+----------------+-----------------+
| Altria Group | 18.30 | 16.33 | -10.77% | 23.22% |
+--------------------+------------+--------------+----------------+-----------------+
| AT&T Inc | 27.30 | 25.62 | -6.15% | 27.83% |
+--------------------+------------+--------------+----------------+-----------------+
| BP Group | 625.00 | 482.50 | -22.80% | 11.18% |
+--------------------+------------+--------------+----------------+-----------------+
| Chevron Texaco | 65.32 | 66.10 | 1.19% | 35.18% |
| Corp | | | | |
+--------------------+------------+--------------+----------------+-----------------+
| Cisco Systems | 17.88 | 19.32 | 8.05% | 42.03% |
+--------------------+------------+--------------+----------------+-----------------+
| Coca Cola | 43.84 | 43.05 | -1.80% | 32.18% |
+--------------------+------------+--------------+----------------+-----------------+
| ENI | 22.91 | 16.45 | -28.20% | 5.78% |
+--------------------+------------+--------------+----------------+-----------------+
| Exxon Mobil Corp | 64.25 | 66.67 | 3.77% | 37.75% |
+--------------------+------------+--------------+----------------+-----------------+
| Glaxo Smithkline | 1,493.00 | 1,049.00 | -29.74% | 4.24% |
+--------------------+------------+--------------+----------------+-----------------+
| Hewlett packard | 31.80 | 35.98 | 13.14% | 47.13% |
+--------------------+------------+--------------+----------------+-----------------+
| IBM | 75.48 | 103.21 | 36.74% | 70.72% |
+--------------------+------------+--------------+----------------+-----------------+
| Intel Corp | 17.15 | 15.78 | -7.99% | 25.99% |
+--------------------+------------+--------------+----------------+-----------------+
| Johnson & Johnson | 61.37 | 52.36 | -14.68% | 19.30% |
+--------------------+------------+--------------+----------------+-----------------+
| JP Morgan Chase | 42.98 | 33.00 | -23.22% | 10.76% |
+--------------------+------------+--------------+----------------+-----------------+
| Microsoft | 22.85 | 20.26 | -11.33% | 22.65% |
+--------------------+------------+--------------+----------------+-----------------+
| Nestle | 39.15 | 37.36 | -4.57% | 29.41% |
+--------------------+------------+--------------+----------------+-----------------+
| Nokia - Finland | 15.62 | 10.93 | -30.03% | 3.96% |
+--------------------+------------+--------------+----------------+-----------------+
| Pepsi Cola | 62.48 | 49.76 | -20.36% | 13.62% |
+--------------------+------------+--------------+----------------+-----------------+
| Procter & Gamble | 56.61 | 49.44 | -12.67% | 21.32% |
+--------------------+------------+--------------+----------------+-----------------+
| Roche Holding | 214.90 | 144.50 | -32.76% | 1.22% |
+--------------------+------------+--------------+----------------+-----------------+
| Royal Dutch Shell | 26.54 | 17.57 | -33.80% | 0.18% |
+--------------------+------------+--------------+----------------+-----------------+
| Samsung |598,000.00 | 592,000.00 | -1.00% | 32.98% |
| Electronics | | | | |
+--------------------+------------+--------------+----------------+-----------------+
| Siemens | 64.43 | 51.03 | -20.80% | 13.18% |
+--------------------+------------+--------------+----------------+-----------------+
| Telefonica | 13.04 | 14.41 | 10.51% | 44.49% |
+--------------------+------------+--------------+----------------+-----------------+
| Total Fina Elf | 51.00 | 38.35 | -24.81% | 9.17% |
+--------------------+------------+--------------+----------------+-----------------+
| Toyota | 5,800.00 | 3,850.00 | -33.62% | 0.36% |
+--------------------+------------+--------------+----------------+-----------------+
| Verizon | 30.94 | 30.34 | -1.93% | 32.05% |
+--------------------+------------+--------------+----------------+-----------------+
| Vodafone | 113.40 | 124.70 | 9.97% | 43.95% |
+--------------------+------------+--------------+----------------+-----------------+
| Wal-Mart Stores | 44.29 | 50.40 | 13.80% | 47.78% |
+--------------------+------------+--------------+----------------+-----------------+
| | | | | |
+--------------------+------------+--------------+----------------+-----------------+
| Portfolio average | | | | 24.47% |
+--------------------+------------+--------------+----------------+-----------------+
| DJGT Index | 202.23 | 133.51 | -33.98% | |
+--------------------+------------+--------------+----------------+-----------------+
Source for Share Price Information: Bloomberg
As of 30 April 2009, the NAV had risen by 16.8% since launch compared with the
HFR Hedge Fund Universe Index, which has fallen by 10.0% over that period. Since
launch, 30 stocks had outperformed the DJGT Index. The average out-performance
had been 24.5%.
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.
The name and weighting of each selected share and its performance between
23 February 2009 (representing the most recent rebalancing of the portfolio) and
30 April 2009 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 |
| | Price | price | at |strike |Portfolio | at |
| | at | at | 30-Apr-09 | price |weighting |30-Apr-09 |
| |23-Feb-09 |30-Apr-09 | | |at Strike | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| AT&T | 22.68 | 25.62 | 12.96% | 27.86 | 6.02% | 5.74% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Bristol-Myers | 19.88 | 19.20 | -3.42% | 23.94 | 3.61% | 2.95% |
| Squibb | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Chevron | 62.94 | 66.10 | 5.02% | 77.30 | 6.02% | 5.34% |
| Corp | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| EI Du | 18.91 | 27.90 | 47.54% | 24.00 | 1.20% | 1.50% |
| Pont | | | | | | |
| de | | | | | | |
| Nemours | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Exxon | 69.30 | 66.67 | -3.80% | 83.69 | 6.02% | 4.89% |
| Mobil | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| General | 8.85 | 12.65 | 42.94% | 12.51 | 4.82% | 5.82% |
| Electrics | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Golman | 80.07 | 128.50 | 60.48% |113.22 | 3.61% | 4.90% |
| Sachs | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Home | 18.71 | 26.32 | 40.67% | 24.05 | 2.41% | 2.86% |
| Depot | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Intel | 12.08 | 15.78 | 30.63% | 15.47 | 4.82% | 5.31% |
| Corporation | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| IBM | 84.37 | 103.21 | 22.33% |101.45 | 6.02% | 6.22% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Johnson | 53.65 | 52.36 | -2.40% | 61.33 | 6.02% | 4.96% |
| and | | | | | | |
| Johnson | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| JP | 19.51 | 33.00 | 69.14% | 27.59 | 4.82% | 6.88% |
| Morgan | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| McDonalds | 53.87 | 53.29 | -1.08% | 63.22 | 3.61% | 3.02% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Microsoft | 17.21 | 20.26 | 17.72% | 21.45 | 6.02% | 5.99% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Pfizer | 13.27 | 13.36 | 0.68% | 23.01 | 4.82% | 4.10% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Phillip | 35.11 | 36.20 | 3.10% | 42.00 | 4.82% | 4.19% |
| Morris | | | | | | |
| International | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Procter&Gamble | 48.90 | 49.44 | 1.10% | 57.47 | 6.02% | 5.14% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Southern | 29.71 | 28.88 | -2.79% | 46.46 | 2.41% | 1.98% |
| Co | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| United | 42.35 | 48.84 | 15.32% | 51.91 | 3.61% | 3.52% |
| Technologies | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| UPS | 40.92 | 52.34 | 27.91% | 50.16 | 3.61% | 3.90% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| WalMart | 48.88 | 50.40 | 3.11% | 57.63 | 6.02% | 5.24% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Wells | 11.03 | 20.01 | 81.41% | 15.60 | 3.61% | 5.54% |
| Fargo | | | | | | |
| & Co | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| S&P | 413.54 | 406.00 | -1.82% | | | |
| 100 | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Weighted Basket | | 18.45% | | | |
| Performance | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 30 April 2009 the Total Return
Performance was 3.6% and 2.4% respectively for class A and class B (based on an
initial NAV of 99 pence and 99 cents respectively for class A and class B)
compared with the S&P 100 TR Performance, which declined 32.9% 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 and 23 April 2009.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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.
The name and weighting of each selected share and its performance between 23
March 2009 (representing the most recent rebalancing of the portfolio) and
30 April 2009 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 |
| | Price | price | at |Strike |portfolio | at |
| | at | at | 30-Apr-09 | Price |weighting |30-Apr-09 |
| |23-Mar-09 |30-Apr-09 | | |at Strike | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Allianz | 68.09 | 69.71 | 2.38% | 71.72 | 5.03% | 4.26% |
| SE | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| AXA | 9.9 | 12.745 | 28.74% | 10.56 | 4.99% | 5.31% |
| S.A. | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Alstom | 41.145 | 47.835 | 16.26% | 43.69 | 5.03% | 4.84% |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Banco | 6.32 | 8.28 | 31.01% | 6.73 | 5.03% | 5.45% |
| Bilbao | | | | | | |
| Vizcaya | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Banco | 5.44 | 7.27 | 33.64% | 5.78 | 4.99% | 5.52% |
| Santander | | | | | | |
| S.A. | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| BNP | 34.5 | 40.25 | 16.67% | 36.66 | 5.14% | 4.96% |
| Paribas | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Credit | 9.175 | 11.2 | 22.07% | 9.76 | 5.00% | 5.05% |
| Agricole | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Daimler | 21.645 | 27.145 | 25.41% | 23.02 | 4.81% | 4.99% |
| AG | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Deutsche | 41.01 | 55.2 | 34.60% | 42.46 | 4.86% | 5.41% |
| Boerse | | | | | | |
| AG | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Enel | 3.75 | 3.6428 | -2.86% | 3.97 | 4.95% | 3.97% |
| SPA | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Intesa | 2.0475 | 2.4375 | 19.05% | 2.18 | 4.95% | 4.87% |
| San | | | | | | |
| Paolo | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Nokia AB | 8.57 | 10.93 | 27.54% | 9.09 | 5.02% | 5.30% |
| OY A | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Philips | 11.97 | 13.76 | 14.95% | 12.7 | 4.99% | 4.74% |
| Electr | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Renault | 15.56 | 24.57 | 57.90% | 16.58 | 4.96% | 6.48% |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Saint | 21.975 | 27.425 | 24.80% | 23.37 | 5.06% | 5.22% |
| Gobain | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Schneider | 50.58 | 57.91 | 14.49% | 53.7 | 5.05% | 4.79% |
| Electric | | | | | | |
| S.A. | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Societe | 31.8 | 39.165 | 23.16% | 33.81 | 5.07% | 5.17% |
| Generale | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Telecom | 0.9275 | 0.963 | 3.83% | 0.98 | 4.99% | 4.28% |
| Italia | | | | | | |
| SPA | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Unicredit | 1.403 | 1.5807 | 12.67% | 1.5 | 5.21% | 4.85% |
| SPA | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Volkswagen | 212.2 | 239.1 | 12.68% | 226 | 4.86% | 4.53% |
| AG | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| DJ | 2121.72 | 2375.34 | 11.95% | | | |
| Eurostoxx | | | | | | |
| 50 | | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
| Weighted Basket | | |20.91% | | |
| Performance | | | | | |
+------------+-----------+-----------+-------------+--------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 21 June 2007 and close on 30 April 2009 the Total Return
Performance was -23.2% and -25.4% respectively for class A and class B (based on
an initial NAV of 99 pence and 99 cents respectively for class A and class B)
compared with the DJ Eurostoxx TR performance, of -44.3% 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 and 18 February 2009.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas Agrinvest
Listing: Channel Islands Stock Exchange
Launch date: 21 June 2007
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 29 May 2013
ISIN: GB00B1YKCX92
SEDOL: B1YKCX9
Investment Objective
BNP Paribas Agrinvest Shares (herein the "Shares") is a six-year investment
aiming to provide shareholders with the opportunity to participate in the
performance of exchange-traded commodities futures comprised in the DCI
Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is
designed to provide a broad yet liquid representation of large, mid and small
commodity futures inside the Organisation for Economic Cooperation and
Development (OECD). The Index consists of 23 components within the agriculture
sector. The Index is also subject to a forward curve roll optimisation process
through the addition of a quantitative enhancement algorithm.
+-------------+----------+-----------+---------+
| Commodity | Value | Value | Change |
| name | at | as of | |
| | Start |30-Apr-09 | |
+-------------+----------+-----------+---------+
| DCI |1,053.0 | 851.3 |-19.16% |
| 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 2009 the NAV had risen by
1.03%. Over this period the S&P GSCI Agri&Livestock ER Index had fallen by
25.00%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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 the Cell is 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. There is no guarantee that the Cell's investment objective will be
achieved.
The investment objective of the Cell will not be varied without the consent of
shareholders.
Investment Performance
Between launch on 26 October 2007 and close on 30 April 2009 the NAV had fallen
by 21.49%. Over this period the HFRX Global Hedge Fund GBP Index had fallen by
21.23%
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Enhanced Property Recovery
Listing: Channel Islands Stock Exchange
Launch date: 13 March 2008
Issue price at launch: 100 pence
NAV immediately following launch: 100 pence
Maturity date: March 13, 2014
ISIN: GG00B2PWW869
SEDOL: B2PWW86
Investment Objective
The Enhanced Property Recovery Fund allows investors to benefit from a possible
recovery in the listed property market with an enhanced market timing mechanism.
At maturity, if the FTSE EPRA European Index (Bloomberg code: EPRA Index) (the
"Index") finishes above its initial level, the fund will pay the greater of
either 170% or the enhanced performance of the index. If the Index closes below
the initial level, the Fund will track the Index.
Investment Performance
Between launch on 13 March 2008 and close on 30 April 2009 the NAV had fallen by
54.5%. Over this period the EPRA Index had fallen by 51.0%. The Fund performance
is driven primarily by sensitivity of the NAV to movements in the underlying
Index, which is close to one for one. The Fund recorded its 13th monthly
observation in March and a new low of 760.83, which was significantly lower than
the previous level from February. The enhanced market timing mechanism of this
Fund means that if the Index was to recover to maturity, this figure would be
used as the reference for which to calculate final performance.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas Energy-Base Metals (3)
Listing: Channel Islands Stock Exchange
Launch date: 5 June 2008
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 5 June 2014
ISIN: GG00B2R9LW24
SEDOL: B39TP47
Epic Code: EBMC
Investment Objective
BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year investment offering 175%
of the upside of the spot prices of a portfolio of commodities. The portfolio
comprises West Texas Intermediate Oil (30%), Natural Gas (20%), Aluminium
(12.5%), Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio
performance is negative over six years, 100 pence is returned at maturity.
The name and weighting of each commodity, the spot prices of each commodity
recorded at launch (the nearest futures price in the case of oil) and as of 30
April 2009 are set out in the table below.
+-----------------------+--------------+---------------+------------+------------+
| Commodity name | Value at | Value as of | Change | Weight |
| | Start | 30-Apr-09 | | |
+-----------------------+--------------+---------------+------------+------------+
| Aluminium | 2858.5 | 1430.5 | -50.0% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| Copper | 8006 | 4515 | -43.6% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| Nickel | 1948.5 | 11505 | -47.7% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| West Texas | 122.3 | 51.12 | -58.2% | 30.0% |
| Intermediate | | | | |
+-----------------------+--------------+---------------+------------+------------+
| Zinc | 22000 | 1408 | -27.7% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| Natural Gas | 12.379 | 3.373 | -72.8% | 20.0% |
+-----------------------+--------------+---------------+------------+------------+
Source for commodity values information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 5 June 2008 and close on 30 April 2009 the NAV had fallen by
6.0%. Over this period the DJ AIG Commodities Excess Return Index had fallen by
49.2%.
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 Objective
The BNP Paribas Agribusiness Cell is a 2.5 year investment which aims to provide
shareholders with the opportunity to participate, through a dividend payable on
the Shares, in the performance of shares of companies whose revenues are linked
to the agribusiness industry through the BNP Paribas Global Agribusiness Excess
Return Index (Reuters Code: BNPIGAER).
Investment Performance
Between launch on 11 July 2008 and close on 30 April 2009 the NAV had fallen by
12.54%. Over this period the BNP Paribas Global Agribusiness Excess Return Index
had fallen by 13.60%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Enhanced Income Cell
Listing: Channel Islands Stock Exchange
Launch date: 19 March 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: March 2108
ISIN: GG00B4W90V35
SEDOL: B4W90V3
Currency: GBP
Investment Objective
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.
Investment Performance
Between launch on 19 March 2009 and close on 30 April 2009 the NAV had risen by
5.62% (based on the initial NAV of 100 pence)
Harewood Asset Management S.A.S.
24 June 2009
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF OPERATIONS
for the period ended 30 April 2009
+----------------------------------+-------+------------+--+------------+--+-------------+
| | Notes | Cell | | Cell FTSE | | Cell EBMSG |
| | | EGAA | | S | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Net movement in unrealised gain | | | | | | |
| / (loss) on | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| investments | 3 | 640,857 | | 1,273,762 | | (1,930,814) |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Amortisation of debt issue costs | | (24,589) | | - | | - |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Income from financial assets at | | | | | | |
| fair value | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| through profit or loss | | - | | - | | - |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Finance costs - distributions to | | | | | | |
| holders of | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Preference Shares | | - | | - | | - |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Increase / (decrease) in net | | | | | | |
| assets attributable | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| to Preference shareholders from | | 616,268 | | 1,273,762 | | (1,930,814) |
| operations | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Weighted average number of | | 13,500,255 | | 40,501,195 | | 7,701,999 |
| shares | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| | | Pence | | Pence | | Pence |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Gain / (loss) per share for | | 4.75 | | 3.14 | | (25.07) |
| investment purposes | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Adjustment to include | | | | | | |
| amortisation of debt | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| issue costs | | (0.18) | | - | | - |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Adjustment to include investment | | - | | - | | - |
| income | | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
| Gain / (loss) per share for the | 1 | 4.57 | | 3.14 | | (25.07) |
| period | (j) | | | | | |
+----------------------------------+-------+------------+--+------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
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 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| Cell UK HI | | Cell | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | EBM(2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| (12,030,071) | | (593,563) | | (946,250) | | 1,723,781 | | (10,412,121) | | (4,908,163) |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| 5,310,508 | | - | | - | | - | | 3,467,625 | | 1,511,911 |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| (5,310,508) | | - | | - | | - | | (3,467,625) | | (1,511,911) |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| (12,030,071) | | (593,563) | | (946,250) | | 1,723,781 | | (10,412,121) | | (4,908,163) |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| 141,613,549 | | 32,506,140 | | 25,000,000 | | 76,748,923 | | 92,469,987 | | 58,337,229 |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | Pence |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| (12.24) | | (1.83) | | (3.79) | | 2.25 | | (15.01) | | (11.01) |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| 3.75 | | - | | - | | - | | 3.75 | | 2.59 |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
| (8.49) | | (1.83) | | (3.79) | | 2.25 | | (11.26) | | (8.42) |
+--------------+--+------------+--+------------+--+------------+--+--------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF OPERATIONS
for the period ended 30 April 2009 (continued)
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Net movement in unrealised gain | | | | | | |
| / (loss) on | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| investments | 3 | 3,229,779 | | (613,930) | | (596,700) |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Amortisation of debt issue costs | | - | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Income from financial assets at | | | | | | |
| fair value | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| through profit or loss | | - | | 1,701,582 | | 362,596 |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Finance costs - distributions to | | | | | | |
| holders of | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Preference Shares | | - | | (1,701,582) | | (362,596) |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Increase / (decrease) in net | | | | | | |
| assets attributable | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| to Preference shareholders from | | 3,229,779 | | (613,930) | | (596,700) |
| operations | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Weighted average number of | | 47,225,896 | | 45,375,520 | | 10,261,000 |
| shares | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | Pence | | Pence | | Pence |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Gain / (loss) per share for | | 6.84 | | (5.10) | | (9.35) |
| investment purposes | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Adjustment to include | | | | | | |
| amortisation of debt | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| issue costs | | - | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Adjustment to include investment | | - | | 3.75 | | 3.53 |
| income | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Gain / (loss) per share for the | 1 | 6.84 | | (1.35) | | (5.82) |
| period | (j) | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
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 86 to 106 form an integral part of these financial
statements.
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| Elite | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| (485,083) | | (3,776,169) | | 3,192,946 | | (90,857) | | 1,405,963 | | (24,916,633) |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| - | | - | | - | | - | | - | | (24,589) |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| - | | - | | - | | - | | - | | 12,354,222 |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| - | | - | | - | | - | | - | | (12,354,222) |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| (485,083) | | (3,776,169) | | 3,192,946 | | (90,857) | | 1,405,963 | | (24,941,222) |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| 21,229,013 | | 30,125,000 | | 49,587,600 | | 72,500 | | 5,939,071 | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| (2.29) | | (12.54) | | 6.44 | | (125.32) | | 23.67 | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| - | | - | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| - | | - | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
| (2.29) | | (12.54) | | 6.44 | | (125.32) | | 23.67 | | |
+--------------+--+-------------+--+------------+--+-------------+--+-----------+--+--------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF OPERATIONS
for the period ended 30 April 2008
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | Notes | Cell EGAA | | Cell FTSE S | | Cell EBMSG |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Net movement in unrealised gain | | | | | | |
| / (loss) on | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| investments | 3 | (1,549,694) | | (4,838,272) | | 3,373,321 |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Amortisation of debt issue costs | | (24,724) | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Income from financial assets at | | | | | | |
| fair value | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| through profit or loss | | - | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Finance costs - distributions to | | | | | | |
| holders of | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Preference Shares | | - | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Increase / (decrease) in net | | | | | | |
| assets attributable | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| to Preference shareholders from | | (1,574,418) | | (4,838,272) | | 3,373,321 |
| operations | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Weighted average number of | | 13,500,255 | | 40,501,195 | | 7,701,999 |
| shares | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| | | Pence | | Pence | | Pence |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Gain / (loss) per share for | | (11.48) | | (11.94) | | 43.80 |
| investment purposes | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Adjustment to include | | | | | | |
| amortisation of debt | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| issue costs | | (0.18) | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Adjustment to include investment | | - | | - | | - |
| income | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
| Gain / (loss) per share for the | 1 (j) | (11.66) | | (11.94) | | 43.80 |
| period | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
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 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | (2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| (11,796,409) | | 6,554,863 | | (863,250) | | (5,765,379) | | (5,992,055) | | (2,676,784) |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| 5,310,508 | | - | | - | | - | | 3,467,625 | | 1,083,962 |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| (5,310,508) | | - | | - | | - | | (3,467,625) | | (1,083,962) |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| (11,796,409) | | 6,554,863 | | (863,250) | | (5,765,379) | | (5,992,055) | | (2,676,784) |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| 141,613,549 | | 32,506,140 | | 25,000,000 | | 76,748,923 | | 92,469,987 | | 58,337,229 |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | Pence |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| (12.08) | | 20.16 | | (3.45) | | (7.51) | | (10.22) | | (6.45) |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| 3.75 | | - | | - | | - | | 3.75 | | 1.86 |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| (8.33) | | 20.16 | | (3.45) | | (7.51) | | (6.47) | | (4.59) |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF OPERATIONS
for the period ended 30 April 2008 (continued)
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Net movement in unrealised gain | | | | | | |
| / (loss) on | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| investments | 3 | 2,463,683 | | (7,601,307) | | (1,247,734) |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Amortisation of debt issue costs | | - | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Income from financial assets at | | | | | | |
| fair value | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| through profit or loss | | - | | 1,701,582 | | 296,852 |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Finance costs - distributions to | | | | | | |
| holders of | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Preference Shares | | - | | (1,701,582) | | (296,852) |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Increase / (decrease) in net | | | | | | |
| assets attributable | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| to Preference shareholders from | | 2,463,683 | | (7,601,307) | | (1,247,734) |
| operations | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Weighted average number of | | 42,290,869 | | 45,375,520 | | 10,261,000 |
| shares | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| | | Pence | | Pence | | Pence |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Gain / (loss) per share for | | 5.83 | | (20.50) | | (15.05) |
| investment purposes | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Adjustment to include | | | | | | |
| amortisation of debt | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| issue costs | | - | | - | | - |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Adjustment to include investment | | - | | 3.75 | | 2.89 |
| income | | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
| Gain / (loss) per share for the | 1 | 5.83 | | (16.75) | | (12.16) |
| period | (j) | | | | | |
+----------------------------------+-------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
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 86 to 106 form an integral part of these financial
statements.
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| Elite | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| (1,735,684) | | (1,000,753) | | - | | - | | - | | (32,675,454) |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | (24,724) |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | 11,860,529 |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | (11,860,529) |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| (1,735,684) | | (1,000,753) | | - | | - | | - | | (32,700,178) |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| 21,229,013 | | 7,945,055 | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| (8.18) | | (12.60) | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| (8.18) | | (12.60) | | - | | - | | - | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
Harewood Structured Investment PCC Limited (the "Company")
NET ASSET STATEMENT
as at 30 April 2009
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | Notes | Cell EGAA | | Cell FTSE S | | Cell EBMSG |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NON CURRENT ASSETS | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Financial assets at fair value | | | | | | |
| through profit | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| or loss | 3 | 17,966,814 | | 51,256,692 | | 12,412,234 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| CURRENT ASSETS | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Cash at bank | | - | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Prepaid debt issue costs | | 93,192 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | 93,192 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NET ASSETS ATTRIBUTABLE TO | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| HOLDERS OF PREFERENCE SHARES | | 18,060,006 | | 51,256,692 | | 12,412,234 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Shares in issue | 4 | 13,500,255 | | 40,501,195 | | 7,701,999 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | Pence | | Pence | | Pence |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NAV per share for investment | | 133.08 | | 126.55 | | 161.15 |
| purposes | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Adjustment to include expenses | | | | | | |
| on an | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| accruals basis | | 0.69 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NAV per share per the | | 133.77 | | 126.55 | | 161.15 |
| financial statements | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The financial statements were approved by the Board of directors on 24 June 2009
and are signed on its behalf by:
John Le Prevost Francois-Xavier Foucault
Director Director
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | (2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 107,136,314 | | 37,950,593 | | 18,820,500 | | 89,631,230 | | 76,981,264 | | 32,665,700 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 107,136,314 | | 37,950,593 | | 18,820,500 | | 89,631,230 | | 76,981,264 | | 32,665,700 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 141,613,549 | | 32,506,140 | | 25,000,000 | | 76,748,923 | | 92,469,987 | | 58,337,229 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | Pence |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 75.65 | | 116.74 | | 75.28 | | 116.78 | | 83.24 | | 55.99 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 75.65 | | 116.74 | | 75.28 | | 116.78 | | 83.24 | | 55.99 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
Harewood Structured Investment PCC Limited (the "Company")
NET ASSET STATEMENT
as at 30 April 2009 (continued)
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NON CURRENT ASSETS | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Financial assets at fair value | | | | | | |
| through profit | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| or loss | 3 | 47,717,045 | | 28,610,627 | | 5,583,300 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| CURRENT ASSETS | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Cash at bank | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Prepaid debt issue costs | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NET ASSETS ATTRIBUTABLE TO | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| HOLDERS OF PREFERENCE SHARES | | 47,717,045 | | 28,610,627 | | 5,583,300 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Shares in issue | 4 | 47,225,896 | | 45,375,520 | | 10,261,000 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | Pence | | Pence | | Pence |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NAV per share for investment | | 101.03 | | 63.05 | | 54.41 |
| purposes | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Adjustment to include expenses | | | | | | |
| on an | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| accruals basis | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NAV per share per the | | 101.03 | | 63.05 | | 54.41 |
| financial statements | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell EIF* | | TOTAL |
| | | | | EBM(3) | | Agribus | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| Elite | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| 16,667,323 | | 13,694,825 | | 46,622,262 | | 1,963,299 | | 26,405,309 | | 632,085,331 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| - | | - | | - | | - | | - | | 93,192 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| - | | - | | - | | - | | - | | 93,192 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| 16,667,323 | | 13,694,825 | | 46,622,262 | | 1,963,299 | | 26,405,309 | | 632,178,523 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| 21,229,013 | | 30,125,000 | | 49,587,600 | | 72,500 | | 24,999,346 | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| 78.51 | | 45.46 | | 94.02 | | 2,707.99 | | 105.62 | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| - | | - | | - | | - | | - | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
| 78.51 | | 45.46 | | 94.02 | | 2,707.99 | | 105.62 | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF NET ASSETS
as at 31 October 2008
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | Notes | Cell EGAA | | Cell FTSE S | | Cell EBMSG |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NON CURRENT ASSETS | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Financial assets at fair value | | | | | | |
| through profit | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| or loss | 3 | 17,325,957 | | 49,982,930 | | 14,343,048 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| CURRENT ASSETS | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Cash at bank | | - | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Prepaid debt issue costs | | 117,781 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | 117,781 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NET ASSETS ATTRIBUTABLE TO | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| HOLDERS OF PREFERENCE SHARES | | 17,443,738 | | 49,982,930 | | 14,343,048 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Shares in issue | 4 | 13,500,255 | | 40,501,195 | | 7,701,999 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | Pence | | Pence | | Pence |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NAV per share for investment | | 128.33 | | 123.41 | | 186.22 |
| purposes | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Adjustment to include expenses | | | | | | |
| on an | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| accruals basis | | 0.87 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| NAV per share per the | | 129.20 | | 123.41 | | 186.22 |
| financial statements | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | (2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 119,166,385 | | 38,544,156 | | 19,766,750 | | 87,907,449 | | 87,393,385 | | 33,861,142 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 119,166,385 | | 38,544,156 | | 19,766,750 | | 87,907,449 | | 87,393,385 | | 33,861,142 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 141,613,549 | | 32,506,140 | | 25,000,000 | | 76,748,923 | | 92,469,987 | | 58,337,229 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | Pence |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 84.14 | | 118.57 | | 79.06 | | 114.53 | | 94.51 | | 58.04 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
| 84.14 | | 118.57 | | 79.06 | | 114.53 | | 94.51 | | 58.04 |
+--------------+--+------------+--+------------+--+-------------+--+------------+--+------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF NET ASSETS
as at 31 October 2008 (continued)
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NON CURRENT ASSETS | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Financial assets at fair value | | | | | | |
| through profit | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| or loss | 3 | 44,487,266 | | 29,224,557 | | 5,045,124 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| CURRENT ASSETS | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Cash at bank | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Prepaid debt issue costs | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NET ASSETS ATTRIBUTABLE TO | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| HOLDERS OF PREFERENCE SHARES | | 44,487,266 | | 29,224,557 | | 5,045,124 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Shares in issue | 4 | 47,225,896 | | 45,375,520 | | 10,261,000 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | Pence | | Pence | | Pence |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NAV per share for investment | | 94.20 | | 64.40 | | 49.16 |
| purposes | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Adjustment to include expenses | | | | | | |
| on an | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| accruals basis | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| NAV per share per the | | 94.20 | | 64.40 | | 49.16 |
| financial statements | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| Elite | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| 17,152,406 | | 17,470,994 | | 43,429,316 | | 2,046,584 | | - | | 627,147,449 |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| - | | - | | - | | - | | - | | 117,781 |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| - | | - | | - | | - | | - | | 117,781 |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| 17,152,406 | | 17,470,994 | | 43,429,316 | | 2,046,584 | | - | | 627,265,230 |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| 21,229,013 | | 30,125,000 | | 49,587,600 | | 72,500 | | - | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| Pence | | Pence | | Pence | | Pence | | Pence | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| 80.79 | | 57.99 | | 87.58 | | 2,822.87 | | - | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| - | | - | | - | | - | | - | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
| 80.79 | | 57.99 | | 87.58 | | 2,822.87 | | - | | |
+--------------+--+------------+--+------------+--+-------------+--+----------+--+-------------+
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 2009
+----------------------------------+--------+------------+--+-------------+--+-------------+
| | Notes | Cell | | Cell FTSE S | | Cell EBMSG |
| | | EGAA | | | | |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| Opening balance | | 17,443,738 | | 49,982,930 | | 14,343,048 |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| Proceeds from issue of | | - | | - | | - |
| Preference Shares | | | | | | |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| Net gain / (loss) for the period | | | | | | |
| attributable to | | | | | | |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| holders of Preference Shares | | 616,268 | | 1,273,762 | | (1,930,814) |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| Exchange gains/ (losses) on | | - | | - | | - |
| currency balances | | | | | | |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+--------+------------+--+-------------+--+-------------+
| Balance as at 30 April 2009 | | 18,060,006 | | 51,256,692 | | 12,412,234 |
+----------------------------------+--------+------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | (2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| 119,166,385 | | 38,544,156 | | 19,766,750 | | 87,907,449 | | 87,393,385 | | 33,861,142 |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| (12,030,071) | | (593,563) | | (946,250) | | 1,723,781 | | (10,412,121) | | (4,908,163) |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | 3,712,721 |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| 107,136,314 | | 37,950,593 | | 18,820,500 | | 89,631,230 | | 76,981,264 | | 32,665,700 |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
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 2009 (continued)
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Opening balance | | 44,487,266 | | 29,224,557 | | 5,045,124 |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Proceeds from issue of | | - | | - | | - |
| Preference Shares | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Net gain / (loss) for the period | | | | | | |
| attributable to | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| holders of Preference Shares | | 3,229,779 | | (613,930) | | (596,700) |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Exchange gains / (losses) on | | - | | - | | 1,134,876 |
| currency balances | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Balance as at 30 April 2009 | | 47,717,045 | | 28,610,627 | | 5,583,300 |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| Elite | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| 17,152,406 | | 17,470,994 | | 43,429,316 | | 2,046,584 | | - | | 627,265,230 |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| - | | - | | - | | - | | 24,999,346 | | 24,999,346 |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| (485,083) | | (3,776,169) | | 3,192,946 | | (90,857) | | 1,405,963 | | (24,941,222) |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| - | | - | | - | | 7,572 | | - | | 4,855,169 |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
| 16,667,323 | | 13,694,825 | | 46,622,262 | | 1,963,299 | | 26,405,309 | | 632,178,523 |
+--------------+--+-------------+--+------------+--+-------------+--+------------+--+--------------+
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 2008
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| | Notes | Cell | | Cell FTSE S | | Cell EBMSG |
| | | EGAA | | | | |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| Opening balance | | 19,555,758 | | 58,243,148 | | 24,534,256 |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| Proceeds from issue of | | - | | - | | - |
| Preference Shares | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| Net gain / (loss) for the period | | | | | | |
| attributable to | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| holders of Preference Shares | | (1,574,418) | | (4,838,272) | | 3,373,321 |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| Exchange gains / (losses) on | | - | | - | | - |
| currency balances | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
| Balance as at 30 April 2008 | | 17,981,340 | | 53,404,876 | | 27,907,577 |
+----------------------------------+--------+-------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | (2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| 155,660,197 | | 47,146,255 | | 27,299,250 | | 87,388,626 | | 97,833,246 | | 30,338,276 |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| (11,796,409) | | 6,554,863 | | (863,250) | | (5,765,379) | | (5,992,055) | | (2,676,784) |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | 1,422,277 |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
| 143,863,788 | | 53,701,118 | | 26,436,000 | | 81,623,247 | | 91,841,191 | | 29,083,769 |
+--------------+--+------------+--+------------+--+-------------+--+-------------+--+-------------+
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 2008 (continued)
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Opening balance | | 40,082,611 | | 44,619,564 | | 6,991,490 |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Proceeds from issue of | | 12,291,000 | | - | | - |
| Preference Shares | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Net gain / (loss) for the period | | | | | | |
| attributable to | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| holders of Preference Shares | | 2,463,683 | | (7,601,307) | | (1,247,734) |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Exchange gains / (losses) on | | - | | - | | 853,328 |
| currency balances | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| | | | | | | |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
| Balance as at 30 April 2008 | | 54,837,294 | | 37,018,257 | | 6,597,084 |
+----------------------------------+--------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| Elite | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| 21,229,013 | | - | | - | | - | | - | | 660,921,690 |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | 30,125,000 | | - | | - | | - | | 42,416,000 |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| (1,735,684) | | (1,000,753) | | - | | - | | - | | (32,700,178) |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | 2,275,605 |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
| 19,493,329 | | 29,124,247 | | - |- | - | | - | | 672,913,117 |
+--------------+--+-------------+--+------------+--+-------------+--+----------+--+--------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the period ended 30 April 2009
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | Notes | Cell EGAA | | Cell FTSE S | | Cell EBMSG |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Net gain / (loss) for the | | | | | | |
| period attributable to | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| holders of Preference Shares | | 616,268 | | 1,273,762 | | (1,930,814) |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Add: Distributions to holders | | | | | | |
| of Preference | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Shares | | - | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Less: Movement in realised and | | | | | | |
| unrealised | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| gain / (loss) on investments | | (640,857) | | (1,273,762) | | 1,930,814 |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Movement in debtors and | | | | | | |
| creditors during the | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| period | | 24,589 | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Net cash inflow from operating | | | | | | |
| activities | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Investing activities | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Purchase of financial assets | | - | | - | | - |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Net cash outflow from | | | | | | |
| investing activities | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Financing activities | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Proceeds from issue of | | - | | - |- | - |
| Preference Shares | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Distributions to holders of | | - | | - | | - |
| Preference Shares | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| Net cash (outflow) / inflow | | | | | | |
| from financing | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
| 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 | | | | | | |
+--------------------------------+-------+------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US HI |
| | | (2) | | | | Pro | | A | | B |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| (12,030,071) | | (593,563) | | (946,250) | | 1,723,781 | | (10,412,121) | | (4,908,163) |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| 5,310,508 | | - | | - | | - | | 3,467,625 | | 1,511,911 |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| 12,030,071 | | 593,563 | | 946,250 | | (1,723,781) | | 10,412,121 | | 4,908,163 |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| 5,310,508 | | - | | - | | - | | 3,467,625 | | 1,511,911 |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| (5,310,508) | | - | | - | | - | | (3,467,625) | | (1,511,911) |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| (5,310,508) | | - | | - | | - | | (3,467,625) | | (1,511,911) |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+------------+--+------------+--+-------------+--+--------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the period ended 30 April 2009 (continued)
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | Notes | Cell | | Cell Euro | | Cell Euro HI |
| | | Agrinvest | | HI A | | B |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Net gain / (loss) for the | | | | | | |
| period attributable to | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| holders of Preference Shares | | 3,229,779 | | (613,930) | | (596,700) |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Add: Distributions to holders | | | | | | |
| of Preference | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Shares | | - | | 1,701,582 | | 362,596 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Less: Movement in realised and | | | | | | |
| unrealised | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| gain / (loss) on investments | | (3,229,779) | | 613,930 | | 596,700 |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Movement in debtors and | | | | | | |
| creditors during | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| the period | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Net cash inflow from operating | | - | | 1,701,582 | | 362,596 |
| activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Investing activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Purchase of financial assets | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Net cash outflow from | | - | | - | | - |
| investing activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Financing activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Proceeds from issue of | | - | | - | | - |
| Preference Shares | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Distributions to holders of | | - | | (1,701,582) | | (362,596) |
| Preference Shares | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| Net cash (outflow) / inflow | | | | | | |
| from financing | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| activities | | - | | (1,701,582) | | (362,596) |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
| 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 | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+--------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| Elite | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| (485,083) | | (3,776,169) | | 3,192,946 | | (90,857) | | 1,405,963 | | (24,941,222) |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | 12,354,222 |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| 485,083 | | 3,776,169 | | (3,192,946) | | 90,857 | | (1,405,963) | | 24,916,633 |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | 24,589 |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | 12,354,222 |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | (24,999,346) | | (24,999,346) |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | (24,999,346) | | (24,999,346) |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | 24,999,346 | | 24,999,346 |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | (12,354,222) |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | 24,999,346 | | 12,645,124 |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+-------------+--+------------+--+--------------+--+--------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the period ended 30 April 2008
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | Notes | Cell EGAA | | Cell FTSE S | | Cell EBMSG |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Net gain / (loss) for the | | | | | | |
| period attributable to | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| holders of Preference Shares | | (1,574,418) | | (4,838,272) | | 3,373,321 |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Add: Distributions to holders | | | | | | |
| of Preference | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Shares | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Less: Movement in realised and | | | | | | |
| unrealised | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| gain / (loss) on investments | | 1,549,694 | | 4,838,272 | | (3,373,321) |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Movement in debtors and | | | | | | |
| creditors during the | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Period | | 24,724 | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Net cash inflow from operating | | - | | - | | - |
| activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Investing activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Purchase of financial assets | | - | | - | | - |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Net cash outflow from | | - | | - | | - |
| investing activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Financing activities | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Proceeds from issue of | | - | | - | | - |
| Preference Shares | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Distributions to holders of | | - | | - | | - |
| Preference Shares | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| Net cash (outflow) / inflow | | | | | | |
| from financing | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
| 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 | | | | | | |
+--------------------------------+-------+-------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US | | Cell US HI |
| | | (2) | | | | Pro | | HI A | | B |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| (11,796,409) | | 6,554,863 | | (863,250) | | (5,765,379) | | (5,992,055) | | (2,676,784) |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| 5,310,508 | | - | | - | | - | | 3,467,625 | | 1,083,962 |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| 11,796,409 | | (6,554,863) | | 863,250 | | 5,765,379 | | 5,992,055 | | 2,676,784 |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| 5,310,508 | | - | | - | | - | | 3,467,625 | | 1,083,962 |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| (5,310,508) | | - | | - | | - | | (3,467,625) | | (1,083,962) |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| (5,310,508) | | - | | - | | - | | (3,467,625) | | (1,083,962) |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+------------+--+-------------+--+-------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the period ended 30 April 2008 (continued)
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | Notes | Cell | | Cell Euro | | Cell Euro |
| | | Agrinvest | | HI A | | HI B |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | GBP | | GBP | | GBP |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Net gain / (loss) for the | | | | | | |
| period attributable to | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| holders of Preference Shares | | 2,463,683 | | (7,601,307) | | (1,247,734) |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Add: Distributions to holders | | | | | | |
| of Preference | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Shares | | - | | 1,701,582 | | 296,852 |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Less: Movement in realised and | | | | | | |
| unrealised | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| gain / (loss) on investments | | (2,463,683) | | 7,601,307 | | 1,247,734 |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Movement in debtors and | | | | | | |
| creditors during | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| the period | | - | | - | | - |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Net cash inflow from operating | | - | | 1,701,582 | | 296,852 |
| activities | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Investing activities | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Purchase of financial assets | | (12,291,000) | | - | | - |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Net cash outflow from | | (12,291,000) | | - | | - |
| investing activities | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Financing activities | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Proceeds from issue of | | 12,291,000 | | - | | - |
| Preference Shares | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Distributions to holders of | | - | | (1,701,582) | | (296,852) |
| Preference Shares | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| Net cash (outflow) / inflow | | | | | | |
| from financing | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| activities | | 12,291,000 | | (1,701,582) | | (296,852) |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
| 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 | | | | | | |
+--------------------------------+-------+--------------+--+-------------+--+-------------+
*These cells launched during the period ended 30 April 2009, the date of launch
being shown in the Investment Manager's Report.
The notes on pages 86 to 106 form an integral part of these financial
statements.
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell | | TOTAL |
| Elite | | | | EBM(3) | | Agribus | | EIF* | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| (1,735,684) | | (1,000,753) | | - | | - | | - | | (32,700,178) |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | 11,860,529 |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| 1,735,684 | | 1,000,753 | | - | | - | | - | | 32,675,454 |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | 24,724 |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | 11,860,529 |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | (30,125,000) | | - | | - | | - | | (42,416,000) |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | (30,125,000) | | - | | - | | - | | (42,416,000) |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | 30,125,000 | | - | | - | | - | | 42,416,000 |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | (11,860,529) |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | 30,125,000 | | - | | - | | - | | 30,555,471 |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| | | | | | | | | | | |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+--------------+--+------------+--+------------+--+----------+--+--------------+
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009
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
interpretations 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 or judgement or
complexity, or areas where assumptions and estimates are significant to the
financial statements, are disclosed in Note 2.
As at the date of these financial statements, the following Standards,
amendments and interpretations, which have not been applied in these financial
statements, were in issue but not yet effective:
IFRS 1 (amendment), 'First time adoption of IFRS' (effective from 1 January
2009);
IFRS 2 (amendment), 'Share-based payment' (effective from 1 January 2009);
IFRS 3 (revised), 'Business combinations' (effective from 1 July 2009);
IFRS 7 (amendment), 'Financial instruments: disclosures' (effective from 1
January 2009);
IFRS 8, 'Operating segments' (effective from 1 January 2009);
IAS 1 (revised), 'Presentation of financial statements' (effective from 1
January 2009);
IAS 23 (revised), 'Borrowing costs' (effective from 1 January 2009);
IAS 27 (amendment), 'Consolidated and separate financial statements' (effective
from 1 January 2009);
IAS 27 (revised), 'Consolidated and separate financial statements' (effective
from 1 July 2009);
IAS 28 (amendment), 'Investments in associates' (effective 1 July 2009);
IAS 31 (amendment), 'Interests in joint ventures' (effective 1 July 2009);
IAS 32 (amendment), 'Financial instruments: presentation' (effective 1 January
2009);
IAS 39 (amendment), 'Financial instruments: recognition and measurement'
(effective from 30 June 2009);
IAS 39 (amendment), 'Financial instruments: recognition and measurement'
(effective from 1 July 2009);
IFRIC 15, 'Agreements for construction of real estates' (effective from 1
January 2009);
IFRIC 17, 'Distribution of non-cash assets to owners' (effective from 1 July
2009); and
IFRIC 18, 'Transfers of assets from customers' (effective from 1 July 2009).
The directors believe that the adoption of these Standards, amendments and
interpretations in future periods will have no material impact on the financial
statements.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
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 presentational 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 the BNP Paribas
Agribusiness which is listed on the Budapest Stock Exchange.
(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 income statement.
Translation differences on non-monetary financial assets and liabilities such as
equities at fair value through profit or loss are recognised in the income
statement 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 (the "Cell") the Initial Cell Expenses incurred (as
defined in the Cell's Supplemental Memorandum) amounted to GBP297,509. Because
the Preference Shares in EGAA are redeemable on or around 17 March 2011, they
are required to be classified as debt instruments under IAS 32. Consequently,
issue costs are required to be amortised over the life of the instrument.
(g) Cash and cash equivalents
At the balance sheet date cash or cash equivalents may comprise cash at bank.
(h) Income recognition
Dividend income is recognised in the Statement of Operations when the Fund'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.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(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 and
impairment of investments being recognised in the Statement of Operations.
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) Gain / (Loss) per share
The gain / (loss) per share is based on the net gain / (loss) for the period as
shown in the table below.
+----------------+--+----------------+--+----------------+---+----------------+
| | | Weighted | | | | |
| | | average | | | | |
+----------------+--+----------------+--+----------------+---+----------------+
| | | number of | | Net gain / | | Net gain / |
| | | Shares | | (loss) | | (loss) |
+----------------+--+----------------+--+----------------+---+----------------+
| | | in Issue | | for the period | | Per share for |
| | | during | | | | the |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell | | the period | | (GBP) | | period (pence) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EGAA | | 13,500,255 | | 616,268 | | 4.57 |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell FTSE S | | 40,501,195 | | 1,273,762 | | 3.14 |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EBMSG | | 7,701,999 | | (1,930,814) | | (25.07) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell UK HI | | 141,613,549 | | (12,030,071) | | (8.49) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EBM(2) | | 32,506,140 | | (593,563) | | (1.83) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell ES | | 25,000,000 | | (946,250) | | (3.79) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Abs Pro | | 76,748,923 | | 1,723,781 | | 2.25 |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell US HI A | | 92,469,987 | | (10,412,121) | | (11.26) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell US HI B | | 58,337,229 | | (4,908,163) | | (8.42) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Agrinvest | | 47,225,896 | | 3,229,779 | | 6.84 |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Euro HI A | | 45,375,520 | | (613,930) | | (1.35) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Euro HI B | | 10,261,000 | | (596,700) | | (5.82) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Hedge | | 21,229,013 | | (485,083) | | (2.29) |
| Elite | | | | | | |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EPR | | 30,125,000 | | (3,776,169) | | (12.54) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EBM(3) | | 49,587,600 | | 3,192,946 | | 6.44 |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Agribus | | 72,500 | | (90,857) | | (125.32) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EIF | | 5,939,071 | | 1,405,963 | | 23.67 |
+----------------+--+----------------+--+----------------+---+----------------+
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(k) Trade date accounting
All "regular way" purchases and sales of financial assets are recognised on the
"trade date" i.e. the date that the entity commits to purchase or sell the
asset. Regular way purchases or sales of financial assets are those 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 Operations when they are declared by the Board of directors. The
distribution on these redeemable shares is recognised in the Statement of
Operations as a finance cost.
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 balance sheet date, an independent check of the
valuations of the investments is performed by Future Value Consultants (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 balance sheet 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 independent consultant, Future Value Consultants.
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
for the period ended 30 April 2009 (continued)
3 FINANCIAL ASSETS
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | Cell EGAA | | Cell FTSE | | Cell EBMSG |
| | | | | S | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening portfolio cost as at 1 November | | 14,359,246 | | 47,058,395 | | 7,747,779 |
| 2008 | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| 1 November 2008 | | 3,084,492 | | 2,924,535 | | 6,595,269 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| balances as at 1 November 2008 | | - | | - | | - |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening valuation as at 1 November 2008 | | 17,443,738 | | 49,982,930 | | 14,343,048 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Purchases at cost | | - | | - | | - |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Unrealised gain / (loss) for the period | | 616,268 | | 1,273,762 | | (1,930,814) |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Exchange gains / (losses) on currency | | - | | - | | - |
| balances | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing valuation as at 30 April 2009 | | 18,060,006 | | 51,256,692 | | 12,412,234 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing portfolio cost as at 30 April | | 14,359,246 | | 47,058,395 | | 7,747,779 |
| 2009 | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| 30 April 2009 | | 3,700,760 | | 4,198,297 | | 4,664,455 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| balances as at 30 April 2009 | | - | | - | | - |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing valuation as at 30 April 2009 | | 18,060,006 | | 51,256,692 | | 12,412,234 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | Cell EGAA | | Cell FTSE | | Cell EBMSG |
| | | | | S | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | GBP | | GBP | | GBP |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening portfolio cost as at 1 November | | 14,359,246 | | 47,058,395 | | 7,747,779 |
| 2007 | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| 1 November 2007 | | 5,196,512 | | 11,184,753 | | 16,786,477 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| balances as at 1 November 2007 | | - | | - | | - |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Opening valuation as at 1 November 2007 | | 19,555,758 | | 58,243,148 | | 24,534,256 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Purchases at cost | | - | | - | | - |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Unrealised gain / (loss) for the period | | (2,112,020) | | (8,260,218) | | (10,191,208) |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Exchange gains / (losses) on currency | | - | | - | | - |
| balances | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing valuation as at 31 October 2008 | | 17,443,738 | | 49,982,930 | | 14,343,048 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing portfolio cost as at 31 October | | 14,359,246 | | 47,058,395 | | 7,747,779 |
| 2008 | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| 31 October 2008 | | 3,084,492 | | 2,924,535 | | 6,595,269 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| balances as at 31 October 2008 | | - | | - | | - |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
| Closing valuation as at 31 October 2008 | | 17,443,738 | | 49,982,930 | | 14,343,048 |
+-----------------------------------------+--+-------------+--+-------------+--+--------------+
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US |
| | | (2) | | | | Pro | | A | | HI B |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 143,419,549 | | 32,828,140 | | 25,000,000 | | 77,271,523 | | 92,942,487 | | 30,710,285 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| (24,253,164) | | 5,716,016 | | (5,233,250) | | 10,635,926 | | (5,549,102) | | (2,282,291) |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | 5,433,148 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 119,166,385 | | 38,544,156 | | 19,766,750 | | 87,907,449 | | 87,393,385 | | 33,861,142 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| (12,030,071) | | (593,563) | | (946,250) | | 1,723,781 | | (10,412,121) | | (4,908,163) |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | 3,712,721 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 107,136,314 | | 37,950,593 | | 18,820,500 | | 89,631,230 | | 76,981,264 | | 32,665,700 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 143,419,549 | | 32,828,140 | | 25,000,000 | | 77,271,523 | | 92,942,487 | | 30,710,285 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| (36,283,235) | | 5,122,453 | | (6,179,500) | | 12,359,707 | | (15,961,223) | | (7,190,454) |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | 9,145,869 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 107,136,314 | | 37,950,593 | | 18,820,500 | | 89,631,230 | | 76,981,264 | | 32,665,700 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| Cell UK HI | | Cell EBM | | Cell ES | | Cell Abs | | Cell US HI | | Cell US |
| | | (2) | | | | Pro | | A | | HI B |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 143,419,549 | | 32,828,140 | | 25,000,000 | | 77,271,523 | | 92,942,487 | | 30,710,285 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 12,240,648 | | 14,318,115 | | 2,299,250 | | 10,117,103 | | 4,890,759 | | 2,142,621 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | (2,514,630) |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 155,660,197 | | 47,146,255 | | 27,299,250 | | 87,388,626 | | 97,833,246 | | 30,338,276 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | - |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| (36,493,812) | | (8,602,099) | | (7,532,500) | | 518,823 | | (10,439,861) | | (4,424,912) |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | 7,947,778 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 119,166,385 | | 38,544,156 | | 19,766,750 | | 87,907,449 | | 87,393,385 | | 33,861,142 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 143,419,549 | | 32,828,140 | | 25,000,000 | | 77,271,523 | | 92,942,487 | | 30,710,285 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| (24,253,164) | | 5,716,016 | | (5,233,250) | | 10,635,926 | | (5,549,102) | | (2,282,291) |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| - | | - | | - | | - | | - | | 5,433,148 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| | | | | | | | | | | |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
| 119,166,385 | | 38,544,156 | | 19,766,750 | | 87,907,449 | | 87,393,385 | | 33,861,142 |
+--------------+--+-------------+--+-------------+--+-------------+--+--------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
3 FINANCIAL ASSETS (continued)
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | Cell | | Cell Euro | | Cell Euro |
| | | Agrinvest | | HI A | | HI B |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | GBP | | GBP | | GBP |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening portfolio cost as at 1 November | | 49,516,896 | | 45,375,520 | | 6,895,958 |
| 2008 | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| 1 November 2008 | | (5,029,630) | | (16,150,963) | | (3,001,782) |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| balances as at 1 November 2008 | | - | | - | | 1,150,948 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening valuation as at 1 November 2008 | | 44,487,266 | | 29,224,557 | | 5,045,124 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Purchases at cost | | - | | - | | - |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Unrealised gain / (loss) for the period | | 3,229,779 | | (613,930) | | (596,700) |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Exchange gains / (losses) on currency | | - | | - | | 1,134,876 |
| balances | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing valuation as at 30 April 2009 | | 47,717,045 | | 28,610,627 | | 5,583,300 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing portfolio cost as at 30 April | | 49,516,896 | | 45,375,520 | | 6,895,958 |
| 2009 | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| 30 April 2009 | | (1,799,851) | | (16,764,893) | | (3,598,482) |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| balances as at 30 April 2009 | | - | | - | | 2,285,824 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing valuation as at 30 April 2009 | | 47,717,045 | | 28,610,627 | | 5,583,300 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | Cell | | Cell Euro | | Cell Euro |
| | | Agrinvest | | HI A | | HI B |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | GBP | | GBP | | GBP |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening portfolio cost as at 1 November | | 37,225,896 | | 45,375,520 | | 6,895,958 |
| 2007 | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| 1 November 2007 | | 2,856,715 | | (755,956) | | (153,547) |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| balances as at 1 November 2007 | | - | | - | | 249,079 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Opening valuation as at 1 November 2007 | | 40,082,611 | | 44,619,564 | | 6,991,490 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Purchases at cost | | 12,291,000 | | - | | - |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Unrealised gain / (loss) for the period | | (7,886,345) | | (15,395,007) | | (2,848,235) |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Exchange gains / (losses) on currency | | - | | - | | 901,869 |
| balances | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing valuation as at 31 October 2008 | | 44,487,266 | | 29,224,557 | | 5,045,124 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing portfolio cost as at 31 October | | 49,516,896 | | 45,375,520 | | 6,895,958 |
| 2008 | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing unrealised gain / (loss) on | | | | | | |
| valuation as at | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| 31 October 2008 | | (5,029,630) | | (16,150,963) | | (3,001,782) |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing exchange gains / (losses) on | | | | | | |
| currency | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| balances as at 31 October 2008 | | - | | - | | 1,150,948 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| | | | | | | |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
| Closing valuation as at 31 October 2008 | | 44,487,266 | | 29,224,557 | | 5,045,124 |
+-----------------------------------------+--+-------------+--+--------------+--+-------------+
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell EIF* | | |
| | | | | EBM(3) | | Agribus | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| Elite | | | | | | | | | | TOTAL |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 21,229,013 | | 30,125,000 | | 49,292,100 | | 2,502,344 | | - | | 676,274,235 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| (4,076,607) | | (12,654,006) | | (5,862,784) | | (196,435) | | - | | (55,333,776) |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | (259,325) | | - | | 6,324,771 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 17,152,406 | | 17,470,994 | | 43,429,316 | | 2,046,584 | | - | | 627,265,230 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | - | | 24,999,346 | | 24,999,346 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| (485,083) | | (3,776,169) | | 3,192,946 | | (90,857) | | 1,405,963 | | (24,941,222) |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | 7,572 | | - | | 4,855,169 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 16,667,323 | | 13,694,825 | | 46,622,262 | | 1,963,299 | | 26,405,309 | | 632,178,523 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 21,229,013 | | 30,125,000 | | 49,292,100 | | 2,502,344 | | 24,999,346 | | 701,273,581 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| (4,561,690) | | (16,430,175) | | (2,669,838) | | (287,292) | | 1,405,963 | | (80,274,998) |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | (251,753) | | - | | 11,179,940 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 16,667,323 | | 13,694,825 | | 46,622,262 | | 1,963,299 | | 26,405,309 | | 632,178,523 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| Cell Hedge | | Cell EPR | | Cell | | Cell | | Cell EIF* | | |
| | | | | EBM(3) | | Agribus | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| Elite | | | | | | | | | | TOTAL |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| GBP | | GBP | | GBP | | GBP | | GBP | | GBP |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 21,229,013 | | - | | - | | - | | - | | 582,063,791 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | - | | - | | 81,123,450 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | - | | - | | (2,265,551) |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 21,229,013 | | - | | - | | - | | - | | 660,921,690 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | 30,125,000 | | 49,292,100 | | 2,502,344 | | - | | 94,210,444 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| (4,076,607) | | (12,654,006) | | (5,862,784) | | (196,435) | | - | | (136,457,226) |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | (259,325) | | - | | 8,590,322 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 17,152,406 | | 17,470,994 | | 43,429,316 | | 2,046,584 | | - | | 627,265,230 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 21,229,013 | | 30,125,000 | | 49,292,100 | | 2,502,344 | | - | | 676,274,235 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| (4,076,607) | | (12,654,006) | | (5,862,784) | | (196,435) | | - | | (55,333,776) |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| - | | - | | - | | (259,325) | | - | | 6,324,771 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| | | | | | | | | | | |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
| 17,152,406 | | 17,470,994 | | 43,429,316 | | 2,046,584 | | - | | 627,265,230 |
+-------------+--+--------------+--+-------------+--+-------------+--+------------+--+---------------+
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
4 SHARE CAPITAL
+---------------------+-----------+--------------+---+--------------+---+--------------+
| Authorised: | | | SHARES | | GBP |
+---------------------------------+--------------+---+--------------+---+--------------+
| Preference shares of no par value each | | Unlimited | | - |
+------------------------------------------------+---+--------------+---+--------------+
| Ordinary Shares of no par value | | 2 | | - |
+------------------------------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | 2 | | - |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Allotted, called-up | Shares issued | | Preference | | Shares |
| and | | | | | issued |
+---------------------+--------------------------+---+--------------+---+--------------+
| fully paid | as at | | Shares | | as at |
| Preference | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Shares | 1 November 2008 | | Issued | | 30 April |
| | | | | | 2009 |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EGAA | 13,500,255 | | - | | 13,500,255 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell FTSE S | 40,501,195 | | - | | 40,501,195 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EBMSG | 7,701,999 | | - | | 7,701,999 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell UK HI | 141,613,549 | | - | | 141,613,549 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EBM(2) | 32,506,140 | | - | | 32,506,140 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell ES | 25,000,000 | | - | | 25,000,000 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Abs Pro | 76,748,923 | | - | | 76,748,923 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell US HI A | 92,469,987 | | - | | 92,469,987 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell US HI B | 58,337,229 | | - | | 58,337,229 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Agrinvest | 47,225,896 | | - | | 47,225,896 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Euro HI A | 45,375,520 | | - | | 45,375,520 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Euro HI B | 10,261,000 | | - | | 10,261,000 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Hedge Elite | 21,229,013 | | - | | 21,229,013 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EPR | 30,125,000 | | - | | 30,125,000 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EBM(3) | 49,587,600 | | - | | 49,587,600 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Agribus | 72,500 | | - | | 72,500 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EIF | - | | 24,999,346 | | 24,999,346 |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Ordinary Shares | 2 | | - | | 2 |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| TOTAL | 692,255,808 | | 24,999,346 | | 717,255,154 |
+---------------------+-----------+--------------+---+--------------+---+--------------+
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, BNP Paribas Hedge
Elite Preference Shares, BNP Paribas Enhanced Property Recovery Preference
Shares and BNP Paribas Energy - Base Metals (3) Preference Shares ("Cell
shares") shall not be entitled to receive and shall not participate in any
dividends or other distributions of the Company.
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, BNP Paribas Agribusiness Preference Shares
and Enhanced Income Preference Shares ("Cell shares") shall be entitled to
receive and shall participate in any dividends or other distributions out of the
profits of their respective cells only, but not the Company.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
4 SHARE CAPITAL (continued)
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 the Preference Shares shall not be entitled to receive notice of or
to attend or vote at any general meeting of the Company.
5 SHARE PREMIUM
+--------------+---------------+--+---------------+--+--------------+--+--------------+
| Protected |Share premium | | Protected | | Protected | | Share |
| Cell | | | Cell | | Cell | | premium |
+--------------+---------------+--+---------------+--+--------------+--+--------------+
| Preference | as at | | Preference | | Preference | | as at |
+--------------+---------------+--+---------------+--+--------------+--+--------------+
| Shares | 1 November | | Shares | | Shares | | 30 April |
| | 2008 | | Redeemed | | Issued | | 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 | | - | | - | | 45,375,520 |
| 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 EIF | - | | - | | 24,999,346 | | 24,999,346 |
+--------------+---------------+--+---------------+--+--------------+--+--------------+
| | | | | | | | |
+--------------+---------------+--+---------------+--+--------------+--+--------------+
| | | | | | | | |
+--------------+---------------+--+---------------+--+--------------+--+--------------+
| TOTAL | 676,571,744 | | - | | 24,999,346 | | 701,571,090 |
+--------------+---------------+--+---------------+--+--------------+--+--------------+
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 and liquidity
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. However,
the Company is exposed to fair value 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
for the period ended 30 April 2009 (continued)
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
Future Value Consultants, a specialist calculation agent. A list of investments
held by the Company is shown in the Schedule of Investments on pages 107 and
108.
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
The following tables detail each Cell's sensitivity to a 10 per cent increase
and decrease in the final market prices of its constituent financial assets and
liabilities. The 10 per cent change rate is deemed by the Board of directors to
be the most appropriate rate to illustrate each Cell's sensitivity to the final
market price.
If market prices as at 30 April 2009 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 the other variables held constant, the change in net assets
attributable to holders of preference shares on the Redemption Date would have
been as stated below, arising due to the difference in the fair value of
financial assets at fair value through profit or loss.
+---------------------------------+------------------+---+------------------+
| | Change in net assets attributable to |
| | holders |
+---------------------------------+-----------------------------------------+
| | of preference shares |
+---------------------------------+-----------------------------------------+
| Cell | Period ended | | Year ended |
+---------------------------------+------------------+---+------------------+
| | 30 April 2009 | | 31 October 2008 |
+---------------------------------+------------------+---+------------------+
| | GBP | | GBP |
+---------------------------------+------------------+---+------------------+
| Cell EGAA | 68,447 | | 241,790 |
+---------------------------------+------------------+---+------------------+
| Cell FTSE S | 596,988 | | 1,322,769 |
+---------------------------------+------------------+---+------------------+
| Cell EBMSG | 1,944,831 | | 2,243,207 |
+---------------------------------+------------------+---+------------------+
| Cell UK HI | (4,211,587) | | 6,232,413 |
+---------------------------------+------------------+---+------------------+
| Cell EBM(2) | 3,316,518 | | 3,733,655 |
+---------------------------------+------------------+---+------------------+
| Cell ES | 2,095,250 | | 1,891,750 |
+---------------------------------+------------------+---+------------------+
| Cell Abs Pro | 1,540,351 | | 3,044,630 |
+---------------------------------+------------------+---+------------------+
| Cell US HI A | (8,932,601) | | 8,322,299 |
+---------------------------------+------------------+---+------------------+
| Cell US HI B | (840,111) | | 1,657,437 |
+---------------------------------+------------------+---+------------------+
| Cell Agrinvest | 2,292,345 | | 2,363,656 |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI A | (3,563,340) | | 19,966 |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI B | (508,574) | | 53,728 |
+---------------------------------+------------------+---+------------------+
| Cell Hedge Elite | (36,514) | | 370,021 |
+---------------------------------+------------------+---+------------------+
| Cell EPR | 2,382,888 | | 2,392,527 |
+---------------------------------+------------------+---+------------------+
| Cell EBM(3) | 1,489,115 | | 1,538,703 |
+---------------------------------+------------------+---+------------------+
| Cell Agribus | 510 | | 442,304 |
+---------------------------------+------------------+---+------------------+
| Cell EIF | 793,979 | | - |
+---------------------------------+------------------+---+------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| | (1,751,505) | | 35,870,854 |
+---------------------------------+------------------+---+------------------+
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(b) Market Price Risk (continued)
If market prices as at 30 April 2009 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 the other variables held constant, the change in net assets
attributable to holders of guaranteed shares on the Redemption Date would have
been as stated below, arising due to the difference in the fair value of
financial assets at fair value through profit or loss.
+---------------------------------+------------------+---+------------------+
| | Change in net assets attributable to |
| | holders |
+---------------------------------+-----------------------------------------+
| | of preference shares |
+---------------------------------+-----------------------------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| Cell | Period ended | | Year ended |
+---------------------------------+------------------+---+------------------+
| | 30 April 2009 | | 31 October 2008 |
+---------------------------------+------------------+---+------------------+
| | GBP | | GBP |
+---------------------------------+------------------+---+------------------+
| Cell EGAA | (69,796) | | (241,249) |
+---------------------------------+------------------+---+------------------+
| Cell FTSE S | (504,645) | | (1,323,579) |
+---------------------------------+------------------+---+------------------+
| Cell EBMSG | (1,944,216) | | (2,243,978) |
+---------------------------------+------------------+---+------------------+
| Cell UK HI | 5,446,457 | | (6,229,580) |
+---------------------------------+------------------+---+------------------+
| Cell EBM(2) | (3,135,867) | | (3,730,405) |
+---------------------------------+------------------+---+------------------+
| Cell ES | (2,091,250) | | (1,890,250) |
+---------------------------------+------------------+---+------------------+
| Cell Abs Pro | (1,425,228) | | (3,043,095) |
+---------------------------------+------------------+---+------------------+
| Cell US HI A | 8,932,601 | | (8,322,299) |
+---------------------------------+------------------+---+------------------+
| Cell US HI B | 840,110 | | (1,659,614) |
+---------------------------------+------------------+---+------------------+
| Cell Agrinvest | (2,292,345) | | (2,364,600) |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI A | 3,560,617 | | (16,335) |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI B | 508,207 | | (53,565) |
+---------------------------------+------------------+---+------------------+
| Cell Hedge Elite | (36,514) | | (368,748) |
+---------------------------------+------------------+---+------------------+
| Cell EPR | (2,214,489) | | (2,389,515) |
+---------------------------------+------------------+---+------------------+
| Cell EBM(3) | (1,489,116) | | (1,539,695) |
+---------------------------------+------------------+---+------------------+
| Cell Agribus | (509) | | (468,560) |
+---------------------------------+------------------+---+------------------+
| Cell EIF | (795,979) | | - |
+---------------------------------+------------------+---+------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| | 3,288,038 | | (35,885,068) |
+---------------------------------+------------------+---+------------------+
(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 issuer 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
equity swap transaction to repay to the Company any amount due. Under the terms
of 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. Further details of these arrangements are
shown in the section "Investment Objective and Policy" on pages 9 to 29.
The most significant concentration of credit risk for the Company is that the
Counterparty will be unable to satisfy its obligations under the relevant equity
swap transaction to repay to the Company and amount due. The maximum credit risk
exposure at the balance sheet date is therefore considered to be the valuation
of the investments at this date, being GBP632,085,331.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(c) Credit Risk (continued)
The Investment Manager monitors collateral posted on a weekly basis and reports
to the Board quarterly on the Counterparty's compliance with the relevant Credit
Support Deeds. The Investment Manager has 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 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 (f) (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 Preference shares for
each cell have a fixed redemption date.
The Board of directors believe 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 BNP Paribas.
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
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(f) Valuation
(i) The notional amounts of the derivative instruments are as follows:
+--------------------------------------------------+------------------+
| Enhanced Global Asset Allocation Cell | GBP 13,500,255 |
+--------------------------------------------------+------------------+
| BNP Paribas FTSE Summit Cell | GBP 40,501,195 |
+--------------------------------------------------+------------------+
| BNP Paribas Energy - Base Metals Secure Growth | GBP 7,701,999 |
| Cell | |
+--------------------------------------------------+------------------+
| BNP Paribas UK High Income Cell | GBP 141,613,549 |
+--------------------------------------------------+------------------+
| BNP Paribas Energy - Base Metals (2) Cell | GBP 32,506,140 |
+--------------------------------------------------+------------------+
| BNP Paribas European Shield Cell | GBP 25,000,000 |
+--------------------------------------------------+------------------+
| BNP Paribas Absolute Progression Cell | 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 Cell | GBP 47,225,896 |
+--------------------------------------------------+------------------+
| Euro High Income Cell - Class A | GBP 45,375,520 |
+--------------------------------------------------+------------------+
| Euro High Income Cell - Class B | EUR 10,261,000 |
+--------------------------------------------------+------------------+
| Hedge Elite Cell | GBP 21,229,013 |
+--------------------------------------------------+------------------+
| Enhanced Property Recovery Cell | GBP 30,125,000 |
+--------------------------------------------------+------------------+
| Energy - Base Metals (3) Cell | GBP 49,587,600 |
+--------------------------------------------------+------------------+
| BNP Paribas Agribusiness Cell | HUF 725,000,000 |
+--------------------------------------------------+------------------+
| Enhanced Income Cell | GBP 24,999,346 |
+--------------------------------------------------+------------------+
(ii) The maturity dates of the derivative instruments are as follows:
+--------------------------------------------------+------------------+
| Enhanced Global Asset Allocation Cell | 17 March 2011 |
+--------------------------------------------------+------------------+
| BNP Paribas FTSE Summit Cell | 29 June 2011 |
+--------------------------------------------------+------------------+
| BNP Paribas Energy - Base Metals Secure Growth | 29 June 2011 |
| Cell | |
+--------------------------------------------------+------------------+
| BNP Paribas UK High Income Cell | 8 December 2011 |
+--------------------------------------------------+------------------+
| BNP Paribas Energy - Base Metals (2) Cell | 22 March 2012 |
+--------------------------------------------------+------------------+
| BNP Paribas European Shield Cell | 26 April 2012 |
+--------------------------------------------------+------------------+
| BNP Paribas Absolute Progression Cell | 26 July 2012 |
+--------------------------------------------------+------------------+
| US High Income Cell - Class A | 19 November 2012 |
+--------------------------------------------------+------------------+
| US High Income Cell - Class B | 19 November 2012 |
+--------------------------------------------------+------------------+
| BNP Paribas Agrinvest Cell | 22 June 2013 |
+--------------------------------------------------+------------------+
| Euro High Income Cell - Class A | 24 June 2013 |
+--------------------------------------------------+------------------+
| Euro High Income Cell - Class B | 24 June 2013 |
+--------------------------------------------------+------------------+
| Hedge Elite Cell | 23 October 2013 |
+--------------------------------------------------+------------------+
| Enhanced Property Recovery Cell | 13 March 2014 |
+--------------------------------------------------+------------------+
| Energy - Base Metals (3) Cell | 5 June 2014 |
+--------------------------------------------------+------------------+
| BNP Paribas Agribusiness Cell | 10 January 2011 |
+--------------------------------------------------+------------------+
| Enhanced Income Cell | c. 30 April 2108 |
| | * |
+--------------------------------------------------+------------------+
* 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.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(f) Valuation (continued)
(iii) Early Settlement Options relating to the derivative contracts:
Each swap confirmation entered into between BNP Paribas and the Company acting
for and on behalf of each cell have been entered into upon terms which allow
such contracts to be terminated, inter alia, in the following circumstances:
(a) by the Company if BNP Paribas fails to make a payment under the Contract
(subject to a grace period of 3 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 BNP Paribas if the Company fails to make a payment it is required to
pay under the Contract (subject to the grace period mentioned above); and
(c) by either BNP Paribas 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 BNP Paribas, as the case may be, is unable to
gross-up.
It is anticipated that, on early termination of a Contract, a termination
payment would become due to the Company equal to the aggregate net asset value
of the 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 BNP Paribas
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 BNP Paribas. In such
circumstances, the Company will re-invest the proceeds of realisation of the
collateral or distribute the same to shareholders.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(g) Fair values
The total amount of change in fair value that was recognised in the Statement of
Operations during the period was as follows:
+---------------------------------+------------------+--+-------------------+
| | Change in fair | | Change in fair |
| | value | | value |
+---------------------------------+------------------+--+-------------------+
| | period ended | | year ended |
+---------------------------------+------------------+--+-------------------+
| Cell | 30 April 2009 | | 31 October 2008 |
+---------------------------------+------------------+--+-------------------+
| | GBP | | GBP |
+---------------------------------+------------------+--+-------------------+
| Cell EGAA | 616,268 | | (2,112,020) |
+---------------------------------+------------------+--+-------------------+
| Cell FTSE S | 1,273,762 | | (8,260,218) |
+---------------------------------+------------------+--+-------------------+
| Cell EBMSG | (1,930,814) | | (10,191,208) |
+---------------------------------+------------------+--+-------------------+
| Cell UK HI | (12,030,071) | | (36,493,812) |
+---------------------------------+------------------+--+-------------------+
| Cell EBM(2) | (593,563) | | (8,602,099) |
+---------------------------------+------------------+--+-------------------+
| Cell ES | (946,250) | | (7,532,500) |
+---------------------------------+------------------+--+-------------------+
| Cell Abs Pro | 1,723,781 | | 518,823 |
+---------------------------------+------------------+--+-------------------+
| Cell US HI A | (10,412,121) | | (10,439,861) |
+---------------------------------+------------------+--+-------------------+
| Cell US HI B | (4,908,163) | | (4,424,912) |
+---------------------------------+------------------+--+-------------------+
| Cell Agrinvest | 3,229,779 | | (7,886,345) |
+---------------------------------+------------------+--+-------------------+
| Cell Euro HI A | (613,930) | | (15,395,007) |
+---------------------------------+------------------+--+-------------------+
| Cell Euro HI B | (596,700) | | (2,848,235) |
+---------------------------------+------------------+--+-------------------+
| Cell Hedge Elite | (485,083) | | (4,076,607) |
+---------------------------------+------------------+--+-------------------+
| Cell EPR | (3,776,169) | | (12,654,006) |
+---------------------------------+------------------+--+-------------------+
| Cell EBM(3) | 3,192,946 | | (5,862,784) |
+---------------------------------+------------------+--+-------------------+
| Cell Agribus | (90,857) | | (196,435) |
+---------------------------------+------------------+--+-------------------+
| Cell EIF | 1,405,963 | | - |
+---------------------------------+------------------+--+-------------------+
| | | | |
+---------------------------------+------------------+--+-------------------+
| TOTAL | (24,941,222) | | (136,457,226) |
+---------------------------------+------------------+--+-------------------+
(h) Periodic Returns on Principal and Timings of Payments
BNP Paribas UK High Income cell
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the BNP Paribas UK High Income cell, BNP Paribas
pays to the Company for the account of the BNP Paribas UK High Income cell
quarterly a Sterling amount equal to 1.875% of the notional amount of the Swap
Confirmation, equivalent to 1.875 pence per BNP Paribas UK High Income
Preference Share, provided that if the underlying portfolio net asset value
reaches 110% of the initial underlying portfolio net asset value (equivalent to
a net asset value of 110 pence per share), future payments will increase to
2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625
pence per BNP Paribas UK High Income Preference Share. For each subsequent 5 per
cent increase in the underlying portfolio net asset value, subsequent quarterly
payments will increase by 0.09375%, equivalent to 0.09375 pence per BNP Paribas
UK High Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments (continued)
US High Income cell - Class A
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the US High Income cell in respect of Class A, BNP
Paribas pays to the Company for the account of the US High Income cell quarterly
a Sterling amount equal to 1.875% of the notional amount of the Swap
Confirmation, equivalent to 1.875 pence per Class A Sterling Hedged US High
Income Preference Share, provided that if the underlying portfolio net asset
value reaches 110% of the initial underlying portfolio net asset value
(equivalent to a net asset value of 110 pence per share), future payments will
increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent
to 2.0625 pence per Class A Sterling Hedged US High Income Preference Share. For
each subsequent 5 per cent increase in the underlying portfolio net asset value,
subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375
pence per Class A Sterling Hedged US High Income Preference Share.
US High Income cell - Class B
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the US High Income cell in respect of Class B, BNP
Paribas 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, BNP Paribas 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 cell - Class A
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the Euro High Income cell in respect of Class A, BNP
Paribas 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
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments (continued)
Euro High Income cell - Class B
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the Euro High Income cell in respect of Class B, BNP
Paribas 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
2.0625% 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 BNP Paribas and the Company
acting for and on behalf of the BNP Paribas Agribusiness cell, BNP Paribas will
pay to the Company for the account of the BNP Paribas Agribusiness cell a
dividend 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 scheduled to fall respectively in July 2010 to January 2011.
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
("HUF") 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 cell
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the Enhanced Income cell, BNP Paribas 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 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. If the underlying portfolio net asset value has fallen
below 100 per cent. of its initial value and below a lower percentage which is
an integral multiple of 5% of the initial underlying portfolio net asset value,
future dividend payments will be adjusted to be the product of 2% 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
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(i) Collateral Arrangements
Under the terms of credit support deeds entered into between BNP Paribas and the
Company acting for and on behalf of each cell, BNP Paribas 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 least
a monthly basis and, if the value of the collateral is less than the percentage
specified below of the aggregate net asset value of each cell at such time, BNP
Paribas will provide additional collateral to increase the aggregate value to at
least the specified percentage of the aggregate net asset value of each cell.
Where there is an event of default in respect of BNP Paribas under the swap
confirmation, the Company will be entitled to enforce its security over the
collateral.
The following represents the specified percentage of collateral required and
collateral held against each derivative instrument as at 30 April 2009:
+------------------------------------+------------------+------------------+
| Name of Cell | Specified | Collateral Held |
| | Percentage | (GBP) |
+------------------------------------+------------------+------------------+
| Enhanced Global Asset Allocation | 100% | 18,481,779 |
+------------------------------------+------------------+------------------+
| BNP Paribas FTSE Summit | 100% | 51,018,141 |
+------------------------------------+------------------+------------------+
| BNP Paribas Energy - Base Metals | 100% | 13,480,991 |
| Secure Growth | | |
+------------------------------------+------------------+------------------+
| BNP Paribas UK High Income | 100% | 107,910,293 |
+------------------------------------+------------------+------------------+
| BNP Paribas Energy - Base Metals | 105% | 39,005,648 |
| (2) | | |
+------------------------------------+------------------+------------------+
| BNP Paribas European Shield | 105% | 19,233,130 |
+------------------------------------+------------------+------------------+
| BNP Paribas Absolute Progression | 105% | 94,508,751 |
+------------------------------------+------------------+------------------+
| US High Income | 100% | 116,284,120 |
+------------------------------------+------------------+------------------+
| BNP Paribas Agrinvest | 100% | 47,165,322 |
+------------------------------------+------------------+------------------+
| Euro High Income | 100% | 35,107,869 |
+------------------------------------+------------------+------------------+
| Hedge Elite | 100% | 16,555,009 |
+------------------------------------+------------------+------------------+
| Enhanced Property Recovery Cell | 100% | 14,581,074 |
+------------------------------------+------------------+------------------+
| Energy - Base Metals (3) | 100% | 46,160,682 |
+------------------------------------+------------------+------------------+
| BNP Paribas Agribusiness Cell | 100% | 3,026,137 |
+------------------------------------+------------------+------------------+
| Enhanced Income Cell | 100% | 27,061,417 |
+------------------------------------+------------------+------------------+
(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 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 BNP Paribas 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(e) 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 5(e) 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.
Harewood Structured Investment PCC Limited (the "Company")
NOTES TO THE FINANCIAL STATEMENTS
for the period ended 30 April 2009 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(j) Finance Costs and Expenses (continued)
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(e)
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.
Dividends paid by the Company to holders of BNP Paribas Agribusiness Preference
Shares are paid in Hungarian Forints.
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 GBP116,613 (30 April 2008: GBP150,217) in respect
of its administration of the Company of which GBP18,819 (30 April 2008:
GBP18,939) was outstanding at the period end and the Registrar charged fees of
GBP25,905 (30 April 2008: GBP37,990) in respect of registration services on
behalf of the Company of which GBP2,555 (30 April 2008: GBP4,914) was
outstanding at the period end.
Anson Group Limited is the ultimate controlling party of Anson Fund Managers
Limited and Anson Registrars Limited. John Le Prevost and Peter Atkinson are
directors of Anson Group Limited.
Harewood Asset Management SAS, the Investment Manager, and BNP Paribas Arbitrage
SNC, the Company's ultimate controlling party, are both members of the BNP
Paribas Group.
During the period under review the Investment Manager charged fees of GBP359,196
(30 April 2008: GBP271,911), of which GBPNil (30 April 2008: 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
for the period ended 30 April 2009 (continued)
7 RELATED PARTY TRANSACTIONS (continued)
+----------------------------------+------------+---------+------------+---------+
| | As at | As at |
| | 30 April 2009 | 31 October 2008 |
+----------------------------------+----------------------+----------------------+
| | Shares | % of | Shares | % of |
| | | total | | total |
+----------------------------------+------------+---------+------------+---------+
| | | shares | | shares |
+----------------------------------+------------+---------+------------+---------+
| Enhanced Global Asset Allocation | 9,234,769 | 68.40% | 6,318,826 | 46.81% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas FTSE Summit | 36,805,116 | 90.87% | 32,051,373 | 79.14% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas Energy - Base Metals | | | | |
| Secure | | | | |
+----------------------------------+------------+---------+------------+---------+
| Growth | 6.879,765 | 89.32% | 6,986,515 | 90.71% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas UK High Income | 33,809,250 | 23.87% | 30,489,250 | 21.53% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas Energy - Base Metals | 31,242,162 | 96.11% | 30,246,461 | 93.05% |
| (2) | | | | |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas European Shield | 16,684,198 | 66.74% | 10,128,739 | 40.51% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas Absolute Progression | 67,492,684 | 87.94% | 32,783,853 | 42.72% |
+----------------------------------+------------+---------+------------+---------+
| US High Income - Class A | 20,777,183 | 22.47% | 24,103,108 | 26.07% |
+----------------------------------+------------+---------+------------+---------+
| US High Income - Class B | 27,993,899 | 47.99% | 12,022,700 | 20.61% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas Agrinvest | 29,590,439 | 62.66% | 27,489,964 | 58.21% |
+----------------------------------+------------+---------+------------+---------+
| Euro High Income - Class A | 41,537,365 | 91.54% | 34,857,365 | 76.82% |
+----------------------------------+------------+---------+------------+---------+
| Euro High Income - Class B | 8,795,212 | 85.71% | 7,457,109 | 72.67% |
+----------------------------------+------------+---------+------------+---------+
| Hedge Elite | 21,224,069 | 99.98% | 19,787,087 | 93.21% |
+----------------------------------+------------+---------+------------+---------+
| Enhanced Property Recovery | 13,378,791 | 44.41% | 13,158,560 | 43.68% |
+----------------------------------+------------+---------+------------+---------+
| Energy - Base Metals (3) | 32,994,292 | 66.54% | 16,881,247 | 34.04% |
+----------------------------------+------------+---------+------------+---------+
| BNP Paribas Agribusiness Cell | 37,266 | 51.40% | 38,766 | 53.47% |
+----------------------------------+------------+---------+------------+---------+
| Enhanced Income | 13,377,000 | 53.51% | - | - |
+----------------------------------+------------+---------+------------+---------+
ONGOING EXPENSES
+----------------------------------------+--------------+------+--------------+
| | Period ended | | Period ended |
+----------------------------------------+--------------+------+--------------+
| | 30 April | | 30 April |
| | 2009 | | 2008 |
+----------------------------------------+--------------+------+--------------+
| | TOTAL | | TOTAL |
+----------------------------------------+--------------+------+--------------+
| | GBP | | GBP |
+----------------------------------------+--------------+------+--------------+
| Administration fees | 116,613 | | 150,217 |
+----------------------------------------+--------------+------+--------------+
| Directors' remuneration | 10,400 | | 7,400 |
+----------------------------------------+--------------+------+--------------+
| Registration fees | 25,905 | | 37,990 |
+----------------------------------------+--------------+------+--------------+
| Custody fees | 88,803 | | 160,953 |
+----------------------------------------+--------------+------+--------------+
| Asset management fees | 359,196 | | 271,911 |
+----------------------------------------+--------------+------+--------------+
| Audit fees | 52,250 | | 35,025 |
+----------------------------------------+--------------+------+--------------+
| Annual fees | 39,379 | | 55,155 |
+----------------------------------------+--------------+------+--------------+
| Other operating expenses | 20,241 | | 30,804 |
+----------------------------------------+--------------+------+--------------+
| | | | |
+----------------------------------------+--------------+------+--------------+
| | 712,787 | | 749,455 |
+----------------------------------------+--------------+------+--------------+
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 EVENTS AFTER THE BALANCE SHEET DATE
On 29 May 2009, 25,526,009 Class A Sterling Hedged COMAC Preference Shares (the
"COMAC Shares") of the BNP Paribas COMAC cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such COMAC Shares
at an issue price of GBP1.00 each. The COMAC Shares have a defined investment
life to June 2029, whereupon they will be subject to compulsory redemption.
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS PER CELL
as at 30 April 2009
+----------------------------------+--------------+--+-------------+--+-------------+
| | As at 30 April 2009 |
+----------------------------------+------------------------------------------------+
| | | | | | TOTAL |
+----------------------------------+--------------+--+-------------+--+-------------+
| | NOMINAL | | VALUATION | | NET ASSETS |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | GBP | | % |
+----------------------------------+--------------+--+-------------+--+-------------+
| Enhanced Global Asset Allocation | | | | | |
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 17,966,814 | | 2.84% |
| Contract | 13,500,255 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas FTSE Summit | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 51,256,692 | | 8.11% |
| Contract | 40,501,195 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Energy - Base Metals | | | | | |
| Secure | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Growth | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 12,412,234 | | 1.96% |
| Contract | 7,701,999 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas UK High Income | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 107,136,314 | | 16.95% |
| Contract | 141,613,549 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Energy - Base Metals | | | | | |
| (2) | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 37,950,593 | | 6.00% |
| Contract | 32,506,140 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas European Shield | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 18,820,500 | | 2.98% |
| Contract | 25,000,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Absolute Progression | | | | | |
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 89,631,230 | | 14.18% |
| Contract | 76,748,923 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| US High Income - Class A | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 76,981,264 | | 12.18% |
| Contract | 92,469,987 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| US High Income - Class B | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | USD | | 32,665,700 | | 5.17% |
| Contract | 58,337,229 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Agrinvest | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 47,717,045 | | 7.55% |
| Contract | 47,225,896 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Euro High Income - Class A | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 28,610,627 | | 4.53% |
| Contract | 45,375,520 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Euro High Income - Class B | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | EUR | | 5,583,300 | | 0.88% |
| Contract | 10,261,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Hedge Elite | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 16,667,323 | | 2.64% |
| Contract | 21,229,013 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Enhanced Property Recovery | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 13,694,825 | | 2.17% |
| Contract | 30,125,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Energy - Base Metals (3) | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 46,622,262 | | 7.37% |
| Contract | 49,587,600 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Agribusiness Cell | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | HUF | | 1,963,299 | | 0.31% |
| Contract | 725,000,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Enhanced Income | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 26,405,309 | | 4.18% |
| Contract | 24,999,346 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| TOTAL | | | 632,085,331 | | 100.00% |
+----------------------------------+--------------+--+-------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS PER CELL
as at 31 October 2008
+----------------------------------+--------------+--+-------------+--+-------------+
| | As at 31 October 2008 |
+----------------------------------+------------------------------------------------+
| | | | | | TOTAL |
+----------------------------------+--------------+--+-------------+--+-------------+
| | NOMINAL | | VALUATION | | NET ASSETS |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | GBP | | % |
+----------------------------------+--------------+--+-------------+--+-------------+
| Enhanced Global Asset Allocation | | | | | |
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 17,325,957 | | 2.76% |
| Contract | 13,500,255 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas FTSE Summit | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 49,982,930 | | 7.97% |
| Contract | 40,501,195 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Energy - Base Metals | | | | | |
| Secure | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Growth | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 14,343,048 | | 2.29% |
| Contract | 7,701,999 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas UK High Income | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 119,166,385 | | 19.00% |
| Contract | 141,613,549 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Energy - Base Metals | | | | | |
| (2) | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 38,544,156 | | 6.14% |
| Contract | 32,506,140 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas European Shield | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 19,766,750 | | 3.15% |
| Contract | 25,000,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Absolute Progression | | | | | |
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 87,907,449 | | 14.01% |
| Contract | 76,748,923 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| US High Income - Class A | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 87,393,385 | | 13.93% |
| Contract | 92,469,987 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| US High Income - Class B | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | USD | | 33,861,142 | | 5.40% |
| Contract | 58,337,229 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Agrinvest Cell | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 44,487,266 | | 7.09% |
| Contract | 47,225,896 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Euro High Income - Class A | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 29,224,557 | | 4.66% |
| Contract | 45,375,520 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Euro High Income - Class B | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | EUR | | 5,045,124 | | 0.80% |
| Contract | 10,261,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Hedge Elite | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 17,152,406 | | 2.73% |
| Contract | 21,229,013 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Enhanced Property Recovery | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 17,470,994 | | 2.79% |
| Contract | 30,125,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Energy - Base Metals (3) | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | GBP | | 43,429,316 | | 6.92% |
| Contract | 49,587,600 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Agribusiness | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | HUF | | 2,046,584 | | 0.33% |
| Contract | 725,000,000 | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| Enhanced Income | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| BNP Paribas Index Derivative | - | | - | | - |
| Contract | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| | | | | | |
+----------------------------------+--------------+--+-------------+--+-------------+
| TOTAL | | | 627,147,449 | | 99.97% |
+----------------------------------+--------------+--+-------------+--+-------------+
Harewood Structured Investment PCC Limited (the "Company")
DIRECTORS AND SERVICE PROVIDERS
+------------------------------------+------------------------------------+
| Directors | Investment Manager |
| John Reginald Le Prevost | Harewood Asset Management SAS |
| Francois-Xavier Foucault | 20 Boulevard des Italiens |
| Youri Siegel | 75009-Paris |
| Peter John Granville Atkinson | France |
| | |
+------------------------------------+------------------------------------+
| Administrator and Secretary | Solicitors to the Company (English |
| Anson Fund Managers Limited | Law) |
| Anson Place | Clifford Chance LLP |
| Mill Court | 10 Upper Bank Street |
| La Charroterie | London E14 5JJ |
| St. Peter Port | England |
| Guernsey GY1 1EJ | |
| | |
+------------------------------------+------------------------------------+
| Auditors | Advocates to the Company (Guernsey |
| PricewaterhouseCoopers CI LLP | Law) |
| PO Box 321 | Ozannes |
| National Westminster House | 1 Le Marchant Street |
| Le Truchot | St. Peter Port |
| St. Peter Port | Guernsey GY1 4HP |
| Guernsey GY1 4ND | |
| | |
+------------------------------------+------------------------------------+
| Custodian | Registrar, Transfer Agent & Paying |
| BNP Paribas Securities Services, | Agent |
| Luxembourg Branch | Anson Registrars Limited |
| 33, Rue de Gasperich | PO Box 426 |
| Howald-Hesperange | Anson Place |
| L-2085 Luxembourg | Mill Court |
| | La Charroterie |
| | St Peter Port |
| | Guernsey |
| | GY1 3WX |
| | |
+------------------------------------+------------------------------------+
| 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 2009 is intended to be
made public in February 2010 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 or from outside of Great Britain on 44 1481 711301.
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR DGGZVVDMGLZM
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