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Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
---|---|---|---|---|---|
Comptoir Group Plc | LSE:COM | London | Ordinary Share | GB00BYT1L205 | ORD 1P |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 4.75 | 4.50 | 5.00 | 4.75 | 4.75 | 4.75 | 0.00 | 08:00:08 |
Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
---|---|---|---|---|---|
Eating Places | 31.48M | -1.6M | -0.0130 | -3.65 | 5.83M |
TIDMEHPR TIDMEBMC TIDMEIF TIDMCOM RNS Number : 7103G Harewood Structured Investment PCC 04 February 2010 Harewood Structured Investment PCC Limited (the "Company") PRELIMINARY ANNOUNCEMENT OF ANNUAL RESULTS The directors announce the statement of results for the year ended 31 October 2009 as follows: 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 ("EGAA Shares") of the Enhanced Global Asset Allocation cell were allotted to applicants pursuant to the initial placing and offer for subscription of such shares at an issue price of GBP1 each. On 6 July 2006 a further 5,000,000 EGAA Shares were allotted to applicants pursuant to an offer for subscription of such Shares at an Application Price of 127.13 pence each. The EGAA Shares have a defined investment life to 24 March 2011, whereupon they will be subject to compulsory redemption. On 28 June 2005, 12,501,195 BNP Paribas FTSE Summit Preference Shares ("FSM Shares") of the BNP Paribas FTSE Summit cell were allotted to applicants pursuant to the initial placing and offer for subscription of such shares at an issue price of GBP1 each. On 6 July 2006 a further 8,000,000 FSM Shares were allotted to applicants pursuant to an offer for subscription of such Shares at an Application Price of 121.84 pence each. On 14 March 2007 a further 20,000,000 FSM Shares were allotted to applicants pursuant to an offer for subscription of such Shares at an Application Price of 129.25 pence each. The FSM Shares have a defined investment life to 4 July 2011 whereupon they will be subject to compulsory redemption. On 28 June 2005, 7,001,999 BNP Paribas Energy - Base Metals Secure Growth Preference Shares ("EBM Shares") of the BNP Paribas Energy - Base Metals Secure Growth cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EBM Shares at an issue price of GBP1 each. On 25 November 2005 a further 700,000 EBM Shares were allotted to applicants pursuant to a placing of such EBM Shares at a Placing Price of 106.54 pence each. The EBM Shares have a defined investment life to 5 July 2010 whereupon they will be subject to compulsory redemption. 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. 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 EUR1 each. The Class B EUHI Shares have a defined investment life to 1 July 2013, whereupon they will be subject to compulsory redemption. On 21 June 2007 37,225,896 BNP Paribas Agrinvest Preference Shares ("Agrinvest Shares") of the BNP Paribas Agrinvest cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Agrinvest Shares at an issue price of GBP1.00 each. The Agrinvest Shares have a defined investment life to 29 June 2013, whereupon they will be subject to compulsory redemption. On 25 October 2007 21,229,013 Hedge Elite Preference Shares ("Hedge Elite Shares") of the Hedge Elite cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Hedge Elite Shares at an issue price of GBP1.00 each. The Hedge Elite Shares had a defined investment life to 28 October 2013, whereupon they were intended to be subject to compulsory redemption. As it was agreed by the Board of directors that it was no longer in the best interests of the Company, Hedge Elite or the holder of the Hedge Elite Preference Shares for the Company on behalf of Hedge Elite to continue to pursue its stated investment objective for Hedge Elite, all Hedge Elite Preference Shares were redeemed on 19 October 2009 and Hedge Elite was subsequently dissolved. On 12 March 2008 30,125,000 Enhanced Property Recovery Preference Shares (the "EPR Shares") of the Enhanced Property Recovery cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EPR Shares at an issue price of GBP1.00 each. The EPR Shares have a defined investment life to 20 March 2014, whereupon they will be subject to compulsory redemption. On 4 June 2008 34,587,600 Energy - Base Metals (3) Preference Shares (the "EBMC Shares") of the Energy - Base Metals (3) cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EBMC Shares at an issue price of GBP1.00 each. On 5 September 2008 a further 15,000,000 EBMC Shares were allotted to applicants pursuant to an offer for subscription of such EBMC Shares at an Application Price of 100.03 pence each. The EBMC Shares have a defined investment life to 12 June 2014, whereupon they will be subject to compulsory redemption. On 10 July 2008 72,500 BNP Paribas Agribusiness Preference Shares (the "AGRI Shares") of the BNP Paribas Agribusiness cell were allotted to applicants pursuant to the initial placing and offer for subscription of such AGRI Shares at an issue price of HUF 10,000 each. The AGRI Shares have a defined investment life to 11 February 2011, whereupon they will be subject to compulsory redemption. On 18 March 2009 24,999,346 Class A Sterling Hedged Enhanced Income Preference Shares ("Class A EIF Shares") of the Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class A EIF Shares at an issue price of GBP1 each. On 8 October 2009 a further 15,000,000 Class A EIF Shares were allotted to applicants pursuant to an offer for subscription of such Class A EIF Shares at an Application Price of 117.86 pence each. The Class A EIF Shares have a defined investment life to April 2108, whereupon they will be subject to compulsory redemption. On 29 May 2009 25,526,009 Class A Sterling Hedged COMAC Preference Shares ("COM Shares") of the BNP Paribas COMAC cell were allotted to applicants pursuant to the initial placing and offer for subscription of such COM Shares at an issue price of GBP1 each. The COM Shares have a defined investment life to June 2108, whereupon they will be subject to compulsory redemption. On 15 July 2009 48,500,080 Class A Sterling Hedged US Enhanced Income Preference Shares ("Class A USEI Shares") of the US Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class A USEI Shares at an issue price of GBP1 each. The Class A USEI Shares have a defined investment life to July 2029, whereupon they will be subject to compulsory redemption. On 14 July 2009 25,079,125 Class B Unhedged US Enhanced Income Preference Shares ("Class B USEI Shares") of the US Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such Class B USEI Shares at an issue price of $1 each. On 8 October 2009 a further 20,000,000 Class B USEI Shares were allotted to applicants pursuant to an offer for subscription of such Class B USEI Shares at an Application Price of 109.64 cents each. The Class B USEI Shares have a defined investment life to July 2029, whereupon they will be subject to compulsory redemption. On 23 September 2009 49,015,722 UK Enhanced Income Preference Shares ("UKEI Shares") of the UK Enhanced Income cell were allotted to applicants pursuant to the initial placing and offer for subscription of such UKEI Shares at an issue price of GBP1 each. The UKEI Shares have a defined investment life to September 2029, whereupon they will be subject to compulsory redemption. The Company has an unlimited life but the shares of each cell have a defined investment term as set out above. Holders of the Ordinary Shares have the right to receive notice of and to vote at all meetings of shareholders. Other than the two Ordinary Shares and the AGRI Shares, all shares in issue are listed on the Channel Islands Stock Exchange. The AGRI Shares are listed on the Budapest Stock Exchange and the two Ordinary Shares are not listed. The Company is managed by its Board of directors who have appointed Harewood Asset Management SAS of Paris, France as the Company's external investment manager of all cells other than BNP Paribas Agribusiness. Administrative and secretarial support is provided by Anson Fund Managers Limited in Guernsey. BNP Paribas SA acts as Distributor and Investment Counterparty to the Cells. Directors and Principal Advisors John Le Prevost- Director John Le Prevost is British and resident in Guernsey. He is a director and controlling shareholder of Anson Group Limited, the holding company of Anson Fund Managers Limited, the Company's Administrator and Secretary, and of Anson Registrars Limited, the Company's registrar, paying agent and receiving agent. Mr Le Prevost has over 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. As well as being a director of the Company,he is currently head of Structuring for Institutional Markets of the Global Marketing Group of BNP Paribas SA. He has also held roles in finance, derivatives and funds at Gen Re Securities, Guaranty City, AXA Investment Managers and BFT (Credit Agricole). Youri Siegel - Director Mr Siegel is French and a resident of France. As well as being a director of the Company, he is currently in charge of fund structuring within the Global Structuring Group of BNP Paribas. He has also held similar roles at Société Generale and JPMorgan. Peter Atkinson - Director Peter Atkinson is British and resident in Guernsey. He is an Advocate of the Royal Court of Guernsey and an English Solicitor. Admitted to the Guernsey Bar in 1980, he was the Senior Partner of Collas Day Advocates for 14 years. He specialised in corporate and fiduciary work and has been and continues to act as a non-executive director of companies within the financial services sector including companies listed on the London and Channel Islands Stock Exchanges. He is a former Chairman of the Guernsey Bar and is the chairman of Anson Group Limited. BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 31 October, 2009, the Group had an equity market capitalisation of EUR60.94 billion (source: Reuters). The Group is a leading European provider of corporate and investment banking products and services and a leading provider of private banking and asset management products and services throughout the world. It provides retail banking and financial services to over 20 million individual customers throughout the world, in particular in Europe and the western United States of America. The Group has offices in more than 85 countries. At 31 December, 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. 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 31 October 2009, Harewood Asset Management was responsible for the management of EUR5 billion across 100 funds. INVESTMENT OBJECTIVE AND POLICY Enhanced Global Asset Allocation (herein the "Cell") The investment objective of the Company for the Cell in respect of the Enhanced Global Asset Allocation Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of global equity markets through four stock market Indices, being the FTSE 100, the Dow Jones EuroStoxx 50, the Standard & Poor's Composite 500 and the Nikkei 225, using an efficient asset allocation process, and with the possibility of benefiting from minimum returns for each Index provided certain conditions are met. The investment return of the Shares is not subject to the risk of foreign exchange movements. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive, on behalf of the Cell, an amount equalling the funds available for payment of the investment return described in the preceding paragraphs. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas FTSE Summit (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas FTSE Summit Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of the UK equity market through the FTSE 100 Index (the "Index") with the benefit of a minimum redemption amount equal to the principal amount (100 pence) per Share, and with the possibility of benefiting from the highest level of the Index over the six year investment period as determined at monthly intervals provided certain conditions are met. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return described in the preceding paragraph. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Energy - Base Metals Secure Growth (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Energy - Base Metals Secure Growth Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy-related and base metal commodities (the "Commodity Portfolio") over a five year period. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the Commodity Portfolio, which are priced in US Dollars, may be affected by fluctuations in value of the US Dollar. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Supplemental Memorandum, a copy of which is available from the Administrator and from the Distributor. BNP Paribas UK High Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas UK High Income Preference Shares (herein the "Shares"), which were issued after the end of the financial period on 9 December 2005, is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the FTSE 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the FTSE 100 Index, with a term and maturity matching the term of the shares, aims to reduce the risk of capital loss. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at each subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 1.875 pence per Share, which will be applied by the Company in funding payments of dividends to shareholders and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Energy - Base Metals (2) (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Energy - Base Metals (2) Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy-related and base metal commodities (the "Commodity Portfolio") over a six year period. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the Commodity Portfolio, which are priced in US Dollars, may be affected by fluctuations in value of the US Dollar. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas European Shield (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas European Shield Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of the leading 50 stocks traded on various European stock exchanges through the Dow Jones Euro STOXX50 Index (the "Index") with the benefit of a geared return in respect of such performance (not exceeding 71.25 pence per Share), provided certain conditions are met, but subject to the risk, in other circumstances, of the aggregate amount payable being limited to the capital component of 100 pence per Share or a lesser amount linked to the performance of the Index. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Absolute Progression (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Absolute Progression Preference Shares (herein the "Shares") is to provide shareholders with an investment offering a return based on the divergence between stock prices of very large global companies. The Redemption Amount cannot be less than the capital amount of 100 pence per Share, and the return is linked to the performance, determined on an annual basis by reference to initial values determined on the Strike Date, being 20 July 2006, of a portfolio of shares selected annually from the 50 Shares comprising the Dow Jones Global Titans 50 Index (the "Index"), being shares which have outperformed the Index. Each year, the excess (if any) of the average annualised performance of the Shares comprising such portfolio above a benchmark level of 5% accrues to holders' Shares and an amount per Share equal to 100 pence multiplied by such accrual is paid to holders of Shares on the Redemption Date, being 26 July 2012. The objective of the Index is to represent multi-national companies whose stocks are traded on major exchanges of countries covered by the Dow Jones Global Indices benchmark family. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. US High Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the US High Income Preference Shares (herein the "Shares"), which were issued on 26 October 2006, is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the S&P 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the S&P 100 Index, with a term and maturity matching the term of the shares, aims to reduce the risk of capital loss. In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount equal to 1.875 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Euro High Income (herein the \"Cell") The investment objective of the Company for the Cell in respect of 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. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount equal to 1.875 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. 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. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Hedge Elite (herein the "Cell") The investment objective of the Company for the Cell in respect of the Hedge Elite Preference Shares (herein the "Shares") was to provide shareholders with a return on capital linked to the performance of a notional dynamic basket, comprising participations in 10 hedge funds selected by BNP Paribas in accordance with specific criteria, a cash facility, foreign exchange contracts and a zero coupon bond, with the benefit of a profit lock-in mechanism and a Redemption Amount payable at scheduled maturity of not less than 90 pence per Share. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. As it was agreed by the Board of directors that it was no longer in the best interests of the Company, Hedge Elite or the holder of the Hedge Elite Preference Shares for the Company on behalf of Hedge Elite to continue to pursue its stated investment objective for Hedge Elite, all Hedge Elite Shares were redeemed on 19 October 2009 and Hedge Elite was subsequently dissolved. Enhanced Property Recovery (herein the "Cell") The investment objective of the Company for the Cell in respect of the Enhanced Property Recovery Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of shares traded on various European stock exchanges through the FTSE EPRA Europe Real Estate Index (the "Index"). The Index is an index designed to track the performance of listed real estate companies in the Europe. The Final Redemption Amount will be determined principally by reference to two values - the first (defined as the "Initial Index Level") being the level of the Index determined on 13 March 2008, the second (defined as the "Final Index Level") being the arithmetic average of the levels of the Index on 13 monthly averaging dates from and including 13 March 2013 to and including the Maturity Date. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Energy - Base Metals (3) (herein the "Cell") The investment objective of the Company for the Cell in respect of the Energy - Base Metals (3) Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy related and base metal commodities (the "Commodity Portfolio") over a six-year period. The Commodity Portfolio is a notional portfolio of commodities comprising 30% crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the notional portfolio, which are priced in US dollars, may be affected by the fluctuations in value of the US dollar. In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas Agribusiness (herein the "Cell") The investment objective of the Company for the Cell in respect of the BNP Paribas Agribusiness Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate, through a dividend payable on the Shares (the "Dividend Amount"), in the performance of shares of companies whose revenues are linked to the agribusiness industry through the BNP Paribas Global Agribusiness Excess Return Index (Reuters code: BNPIGAER Index) (the "Index"). In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive in respect of the dividend payment date an amount equal to the dividend amount due to shareholders, which will be applied by the Company in funding the payment of any dividend due to shareholders, and at redemption an amount equalling HUF 10,000 per share to finance the payment of the redemption proceeds due to shareholders. The Dividend amount in respect of each BNP Paribas Agribusiness Preference Share will be payable in the lawful currency of the Republic of Hungary and will be determined by reference to the closing level of the Index determined on or about 11 July 2008 (defined herein as the "Initial Index Level") and the performance of the Index calculated as of each of seven consecutive monthly observation dates (defined as "Observation Dates" and scheduled to fall respectively in July 2010, August 2010, September 2010, October 2010, November 2010, December 2010 and January 2011) as (a) the closing level of the Index on such Observation Date, divided by the Initial Index Level minus (b) 1. Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. Enhanced Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the Dow Jones Euro STOXX 50 Index (herein the "Index") and notional short-term call options written on the Index. In accordance with the Company's investment objective for the Cell, the gross proceeds at launch were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence per Share, which will be applied by the Company in funding the payment of dividends to shareholders and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and the collateral arrangements are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. BNP Paribas COMAC (herein the "Cell") The investment objective of the Company for the Cell in respect of the Class A Sterling Hedged COMAC Preference Shares (herein the "Shares") is to provide shareholders with exposure to the performance of an actively managed long short arbitrage strategy (the "Strategy") based on a portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the "Index"). The Index is denominated in US Dollars and is designed to track the performance of an actively managed portfolio of 25 commodities selected from the energy, metals and agricultural sectors, the respective weightings of which are determined in accordance with an investment strategy based on recommendations provided by the asset managers which, from time to time, provides the scores used in the determination of the weightings of the different commodities comprising the Index, and a rules-based proprietary methodology designed by BNP Paribas (the "Index Methodology"). The Strategy is also linked to notional currency hedging intended to provide a level of protection against changes in the Sterling / US Dollar exchange rate. In accordance with the Company's investment objective for the Cell, the net proceeds at launch were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return. Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. US Enhanced Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the US Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the Standard and Poor's 500 Index and notional short-term call options written on such index. In accordance with the Company's investment objective for the Cell, the net proceeds at launch and at the subsequent issue of Shares were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. UK Enhanced Income (herein the "Cell") The investment objective of the Company for the Cell in respect of the UK Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the FTSE 100(TM) Index and notional short-term call options written on such index. In accordance with the Company's investment objective for the Cell, the net proceeds at launch were invested in an index derivative contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio. Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor. NET ASSET VALUES As at 30 October 2009, being the latest valuation date prior to the accounting reference date, the calculated net asset value of a share of each cell in existence at that date was as follows:- +------------------------------------------+-------------+-----------+ | | As at | As at | | | 30 Oct 2009 | 31 Oct | | | | 2008 | | | | | +------------------------------------------+-------------+-----------+ | Enhanced Global Asset Allocation | 135.90 | 128.33 | | ("EGAA") | pence | pence | | | | | +------------------------------------------+-------------+-----------+ | BNP Paribas FTSE Summit ("FTSE S") | 128.66 | 123.41 | | | pence | pence | +------------------------------------------+-------------+-----------+ | BNP Paribas Energy - Base Metals Secure | 272.70 | 186.22 | | Growth ("EBSMG") | pence | pence | | | | | +------------------------------------------+-------------+-----------+ | BNP Paribas UK High Income ("UK HI") | 68.98 pence | 84.14 | | | | pence | +------------------------------------------+-------------+-----------+ | BNP Paribas Energy - Base Metals (2) | 159.26 | 118.57 | | ("EBM (2)") | pence | pence | | | | | +------------------------------------------+-------------+-----------+ | BNP Paribas European Shield ("ES") | 87.93 pence | 79.06 | | | | pence | +------------------------------------------+-------------+-----------+ | BNP Paribas Absolute Progression ("Abs | 118.01 | 114.53 | | Pro") | pence | pence | | | | | +------------------------------------------+-------------+-----------+ | US High Income - Class A ("US HI A") | 74.01 pence | 94.51 | | | | pence | | | | | +------------------------------------------+-------------+-----------+ | US High Income - Class B ("US HI B") | 76.31 US$ | 93.30 US$ | | | cents | cents | | | | | +------------------------------------------+-------------+-----------+ | Euro High Income - Class A ("Euro HI A") | 53.51 pence | 64.40 | | | | pence | | | | | +------------------------------------------+-------------+-----------+ | Euro High Income - Class B ("Euro HI B") | 53.15 Euro | 62.06 | | | cents | Euro | | | | cents | | | | | +------------------------------------------+-------------+-----------+ | BNP Paribas Agrinvest ("Agrinvest") | 102.39 | 94.20 | | | pence | pence | +------------------------------------------+-------------+-----------+ | Hedge Elite ("Hedge Elite") | - | 80.79 | | | | pence | +------------------------------------------+-------------+-----------+ | Enhanced Property Recovery ("EHPR") | 67.18 pence | 57.99 | | | | pence | +------------------------------------------+-------------+-----------+ | Energy - Base Metals (3) ("EMB (3)") | 104.68 | 87.58 | | | pence | pence | +------------------------------------------+-------------+-----------+ | BNP Paribas Agribusiness | 9,479 HUF | 9,120 HUF | | ("Agribusiness") | | | | | | | +------------------------------------------+-------------+-----------+ | Enhanced Income - Class A ("EIF") | 113.85 | - | | | pence | | +------------------------------------------+-------------+-----------+ | BNP Paribas COMAC ("COM") | 78.39 pence | - | | | | | +------------------------------------------+-------------+-----------+ | US Enhanced Income - Class A ("US EI A") | 105.74 | - | | | pence | | +------------------------------------------+-------------+-----------+ | US Enhanced Income - Class B ("US EI B") | 105.73 US$ | - | | | cents | | +------------------------------------------+-------------+-----------+ | UK Enhanced Income ("UKEI") | 101.69 | - | | | pence | | +------------------------------------------+-------------+-----------+ MANAGEMENT REPORT A description of important events which have occurred during the financial year, their impact on the performance of the Company as shown in the financial statements and a description of the principal risks and uncertainties facing the Company is given in the Investment Manager's Report on pages below and is incorporated here by reference. Details of all related party transactions are given in note 7 to the financial statements. There were no material related party transactions which took place in the financial year. Going Concern The performance of the investments held by the Company for the account of each of its cells over the year and the outlook for the future are described in the Investment Manager's Report. The Company's financial position, its cash flows and liquidity position are set out in the financial statements and the Company's financial risk management objectives and policies are set out at note 6 to the financial statements. As disclosed in note 6(d) to the financial statements, the only financial commitments of the Company are its ongoing operating expenses and obligations to shareholders on the redemption of their shares of a cell. BNP Paribas has agreed to reimburse the Company for or, on behalf of the Company, pay in full all of its ongoing operating expenses. On the redemption of shares of a cell the holders of such shares shall only be entitled to the net asset value of such shares, which will be calculated by reference to the proceeds received under the relevant contract entered into between the Company acting on behalf of the relevant cell and BNP Paribas on the maturity or early termination of that contract. After making enquiries, the directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. The Board of directors jointly and severally confirm that, to the best of their knowledge: (a) the financial statements, prepared in accordance with International Financial Reporting Standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and (b) This Management Report includes or incorporates by reference a fair review of the development and performance of the business and the position of the Company, together with a description of the principal risks and uncertainties that it faces. John R Le Prevost Peter Atkinson Director Director 4 February 2010 INVESTMENT MANAGER'S REPORT On the invitation of the Directors of the Company, the following commentary is provided by Harewood Asset Management, SAS, the Investment Manager. Their commentary is provided as a source of useful information for shareholders of the Company but is not attributable to the Company. Listing: Channel Islands Stock Exchange Launch date: 18 March 2005 Issue price at launch: 100 pence per share NAV at launch: 96.50 pence per share (before Investment Counterparty fees of 3.5 pence per share) Maturity date: 17 March 2011 ISIN: GB00B02FJD84 SEDOL: B02FJD8 Epic Code: EGA 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 October 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. +--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+ | Index | Level | Value |Change | Next | 15% | 30% | 45% | Min | | Name | at | as at | |observation | lock-in | lock-in | lock-in | return | | | start | 30-Oct-09 | | date for | level | level | level |locked-in | | | | | | lock-ins | | | | | +--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+ | Euro | 3,053.54 | 2,743.50 |-10.2% | 18-Dec-09 | 3,511.57 | 3,969.60 | 4,427.63 | 45% | | Stoxx | | | | | | | | | | 50 | | | | | | | | | +--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+ | FTSE | 4,923.30 | 5,044.55 | 2.5% | 18-Dec-09 | 5,661.80 | 6,400.29 | 7,138.79 | 30% | | 100 | | | | | | | | | +--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+ |Nikkei | 11,879.81 | 10,034.74 |-15.5% | 18-Dec-09 | 13,661.78 | 15,443.75 | 17,225.72 | 45% | | 225 | | | | | | | | | +--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+ | S&P | 1,189.65 | 1,036.19 |-12.9% | 18-Dec-09 | 1,368.10 | 1,546.55 | 1,724.99 | 15% | | 500 | | | | | | | | | +--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+ Source for Index Price Information: Bloomberg Between launch on 18 March 2005 and close on 30 October 2009 (the last business day prior to the balance sheet date) the NAV had risen by 40.83% (based on an initial NAV of 96.50 pence). Over the same period, the MSCI World Total Return index (which we regard as an appropriate benchmark) had fallen by 1.73%, the FTSE 100 had fallen by 2.5%, the S&P 500 had fallen by 12.9%, the Euro Stoxx 50 had fallen by 10.2% and the Nikkei had also fallen by 15.5.%. Prior to the balance sheet date the indexes were observed on 18 September 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. 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 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 October 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 | Value |Change | Next | Highest | Minimum | | name | at | as of | |observation | FTSE |protected | | | start |30-Oct-09 | | date | closing | return | | | | | | | level | | | | | | | |recorded | | +-------+---------+-----------+--------+-------------+----------+-----------+ | FTSE |5,113.2 | 5,044.6 |-1.34% | 29-Dec-09 | 6,706.0 | 131.15% | | 100 | | | | | | | |Index | | | | | | | +-------+---------+-----------+--------+-------------+----------+-----------+ Source for Index Price Information: Bloomberg Investment Performance Between launch on 30 June 2005 and close on 30 October 2009 the NAV had risen by 29.7%, ahead of the 1.5% decrease in the FTSE and ahead of the 15.8% increase in the FTSE 100 Total Return index. As at the balance sheet date fifty two 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 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 October 2009 are set out in the table below. +-----------------+----------+------------+----------+---------+ | Commodity name |Value at | Value as | Change | Weight | | | Start | of | | | | | | 30-Oct-09 | | | +-----------------+----------+------------+----------+---------+ | Aluminium | 1716.00 | 1,903.00 | 10.9% | 20.0% | +-----------------+----------+------------+----------+---------+ | Copper | 3597.00 | 6,575.00 | 82.8% | 20.0% | +-----------------+----------+------------+----------+---------+ | Nickel |14700.00 | 18,465.00 | 25.6% | 15.0% | +-----------------+----------+------------+----------+---------+ | West Texas | 56.50 | 77.00 | 36.3% | 30.0% | | Intermediate | | | | | +-----------------+----------+------------+----------+---------+ | Zinc | 1223.00 | 2,195.00 | 79.5% | 15.0% | +-----------------+----------+------------+----------+---------+ Source for Commodity values Information: Bloomberg Between launch on 30 June 2005 and close on 30 October 2009 the NAV had risen by 172%. Over this period the DJ UBS Commodities Total Return Index had fallen by 14%. 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. +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Stock | Strike | Current |Performance | Option | Share |Weighting | | | price | price | at | strike |portfolio | at | | | at | at | 30-Oct-09 | price |weighting |30-Oct-09 | | |8-Sept-09 |30-Oct-09 | | |at Strike | | | | | | | | Date | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Astrazeneca | 2,755.00 | 2,742.00 | -0.5% |2,869.31 | 5.2% | 5.1% | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Glaxosmithkline | 1,180.00 | 1,250.00 | 5.9% |1,226.01 | 6.6% | 6.8% | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | BHP | 1,665.50 | 1,643.50 | -1.3% |1,698.34 | 5.5% | 5.2% | | Billiton | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Rio | 2,552.00 | 2,693.00 | 5.5% |2,594.71 | 5.5% | 5.6% | | Tinto | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | BP PLC | 543.00 | 572.30 | 5.4% | 555.83 | 6.7% | 6.9% | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Royal | 1,685.00 | 1,760.00 | 4.5% |1,706.34 | 6.8% | 6.8% | | Dutch | | | | | | | | Shell | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Tesco | 376.60 | 407.35 | 8.2% | 387.61 | 5.3% | 5.5% | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Unilever | 1,650.00 | 1,829.00 | 10.8% |1,703.42 | 4.0% | 4.3% | | PLC | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Vodafone | 136.80 | 134.55 | -1.6% | 138.65 | 6.7% | 6.4% | | Group | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | British | 1,910.00 | 1,943.00 | 1.7% |1,977.59 | 5.2% | 5.1% | | American | | | | | | | | Tobacco | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | National | 588.50 | 606.50 | 3.1% | 608.49 | 4.0% | 4.0% | | Grid Plc | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | HSBC | 654.30 | 673.70 | 3.0% | 691.13 | 6.6% | 6.5% | | Holdings | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Scottish | 1,124.00 | 1,079.00 | -4.0% |1,161.73 | 4.0% | 3.7% | | & | | | | | | | | Southern | | | | | | | | Energy | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Diageo | 970.50 | 996.00 | 2.6% | 998.37 | 5.3% | 5.3% | | Plc | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Anglo | 2,036.50 | 2,215.00 | 8.8% |2,109.50 | 5.4% | 5.6% | | American | | | | | | | | Plc | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Man | 271.10 | 310.00 | 14.3% | 284.31 | 2.7% | 3.0% | | Group | | | | | | | | Plc | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | BAE | 322.60 | 314.50 | -2.5% | 336.53 | 3.9% | 3.7% | | Systems | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | BG | 1,055.00 | 1,055.00 | 0.0% |1,059.77 | 5.5% | 5.3% | | Group | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Reckitt | 2,920.00 | 3,035.00 | 3.9% |3,005.48 | 4.0% | 4.0% | | Bensicker | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | United | 455.70 | 440.50 | -3.3% | 475.91 | 1.3% | 1.2% | | Utilities | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | FTSE | 4,405.22 | 5,044.55 | 14.51% | | | | | 100 | | | | | | | | Index | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ | Weighted | | | 3.27% | | | | | Basket | | | | | | | | Performance | | | | | | | +-----------------+-----------+-----------+-------------+----------+-----------+-----------+ Source for Share Price Information: Bloomberg Investment Performance Between launch on 9 December 2005 and close on 30 October 2009 the NAV had fallen by 31.01% (based on the initial NAV of 100 pence). The directors declared interim dividends of 1.875 pence per share on 8 November 2007, 7 February 2008, 8 May 2008, 7 August 2008 6 November 2008, 5 February 2009, 7 May 2009, 6 August 2009 and 5 November 2009. +------------------+----------+-----------+----------+---------+ | Commodity name |Value at | Value as | Change | Weight | | | Start | of | | | | | |30-Oct-09 | | | +------------------+----------+-----------+----------+---------+ | Aluminium | 2,457 | 1,903.00 | -22.5% | 20.0% | +------------------+----------+-----------+----------+---------+ | Copper | 5,220 | 6,575.00 | 25.2% | 20.0% | +------------------+----------+-----------+----------+---------+ | Nickel | 15,055 |18,465.00 | 30.4% | 15.0% | +------------------+----------+-----------+----------+---------+ | West Texas | 64 | 77.00 | 20.5% | 30.0% | | Intermediate | | | | | +------------------+----------+-----------+----------+---------+ | Zinc | 2,543 | 2,195.00 | -26.7% | 15.0% | +------------------+----------+-----------+----------+---------+ Source for commodity values information: Bloomberg Investment Performance Between launch on 23 March 2006 and close on 30 October 2009 the NAV had risen by 59.3%. Over this period the DJ UBS Commodities Excess Return Index had fallen by 18.9%. +--------+---------+-----------+--------+---------+---------+----------+ | Index |Initial | Value |Change | 85% | 50% | Lowest | | name | Level | as of | |Barrier |Barrier |observed | | | |30-Oct-09 | | Level | Level | Index | | | | | | | | Level | +--------+---------+-----------+--------+---------+---------+----------+ | DJ | 3865.4 | 2743.5 |-29.0% | 3285.6 | 1932.7 | 1810.0 | | Euro | | | | | | | | Stoxx | | | | | | | | 50 | | | | | | | +--------+---------+-----------+--------+---------+---------+----------+ Source for Index Price Information: Bloomberg Investment Performance Between launch on April 27 2006 and close on 30 October 2009 the NAV has fallen by 12.1% versus a 28.6.% decline in the Eurostoxx 50 Index. The level of the Index recorded at launch and as of 30 October 2009 is set out in the table below. +----------------+------------+-------------+-------------+-----------------+ | DJGT | Share | Current | % change |Out-performance | | Components | Price | Value at | | | | | at | 30 Oct 09 | | | | | Launch | | | | +----------------+------------+-------------+-------------+-----------------+ | Abbot Labs | 46.21 | 50.57 | 9.44% | 27.88% | +----------------+------------+-------------+-------------+-----------------+ | Altria Group | 18.30 | 18.11 | -1.04% | 17.41% | +----------------+------------+-------------+-------------+-----------------+ | AT&T Inc | 27.30 | 25.67 | -5.97% | 12.47% | +----------------+------------+-------------+-------------+-----------------+ | BP Group | 625.00 | 572.30 | -8.43% | 10.01% | +----------------+------------+-------------+-------------+-----------------+ | Chevron Texaco | 65.32 | 76.54 | 17.18% | 35.62% | | Corp | | | | | +----------------+------------+-------------+-------------+-----------------+ | Cisco Systems | 17.88 | 22.85 | 27.80% | 46.24% | +----------------+------------+-------------+-------------+-----------------+ | Coca Cola | 43.84 | 53.31 | 21.60% | 40.05% | +----------------+------------+-------------+-------------+-----------------+ | Exxon Mobil | 64.25 | 71.67 | 11.55% | 29.99% | | Corp | | | | | +----------------+------------+-------------+-------------+-----------------+ | Glaxo | 1,493.00 | 1,250.00 | -16.28% | 2.17% | | Smithkline | | | | | +----------------+------------+-------------+-------------+-----------------+ | Google Corp. | 407.35 | 536.12 | 31.61% | 50.06% | +----------------+------------+-------------+-------------+-----------------+ | Hewlett | 31.80 | 47.46 | 49.25% | 67.69% | | packard | | | | | +----------------+------------+-------------+-------------+-----------------+ | IBM | 75.48 | 120.61 | 59.79% | 78.24% | +----------------+------------+-------------+-------------+-----------------+ | Intel Corp | 17.15 | 19.11 | 11.43% | 29.87% | +----------------+------------+-------------+-------------+-----------------+ | Johnson & | 61.37 | 59.05 | -3.78% | 14.66% | | Johnson | | | | | +----------------+------------+-------------+-------------+-----------------+ | JP Morgan | 42.98 | 41.77 | -2.82% | 15.63% | | Chase | | | | | +----------------+------------+-------------+-------------+-----------------+ | Merck | 37.30 | 30.93 | -17.08% | 1.37% | +----------------+------------+-------------+-------------+-----------------+ | Microsoft | 22.85 | 27.73 | 21.36% | 39.80% | +----------------+------------+-------------+-------------+-----------------+ | Nestle | 39.15 | 47.82 | 22.15% | 40.59% | +----------------+------------+-------------+-------------+-----------------+ | Pepsi Cola | 62.48 | 60.55 | -3.09% | 15.36% | +----------------+------------+-------------+-------------+-----------------+ | Procter & | 56.61 | 58.00 | 2.46% | 20.90% | | Gamble | | | | | +----------------+------------+-------------+-------------+-----------------+ | Samsung |598,000.00 |723,000.00 | 20.90% | 39.35% | | Electronics | | | | | +----------------+------------+-------------+-------------+-----------------+ | Siemens | 64.43 | 61.47 | -4.59% | 13.85% | +----------------+------------+-------------+-------------+-----------------+ | Telefonica | 13.04 | 19.03 | 45.94% | 64.38% | +----------------+------------+-------------+-------------+-----------------+ | Verizon | 30.94 | 29.59 | -4.35% | 14.09% | +----------------+------------+-------------+-------------+-----------------+ | Vodafone | 113.40 | 134.55 | 18.65% | 37.10% | +----------------+------------+-------------+-------------+-----------------+ | Wal-Mart | 44.29 | 49.68 | 12.17% | 30.61% | | Stores | | | | | +----------------+------------+-------------+-------------+-----------------+ | DJGT Index | 202.23 | 164.93 | -18.44% | | +----------------+------------+-------------+-------------+-----------------+ | | | | | | +----------------+------------+-------------+-------------+-----------------+ | Portfolio | | | | 30.6% | | Average | | | | | +----------------+------------+-------------+-------------+-----------------+ Source for Share Price Information: Bloomberg +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Stock | Strike | Current |Performance |Option | Class | Class | | | Price | price | at |strike | A - | A - | | | at | at | 30-Oct-09 | price | Share |Weighting | | |24-Aug-09 |30-Oct-09 | | | Portfolio | at | | | | | | | weighting |30-Oct-09 | | | | | | | at Strike | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Altria | 18.33 | 18.11 | -1.20% | 19.45 | 1,145,698 | 2.6% | | Group | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | AT&T | 26.14 | 25.67 | -1.80% | 28.15 | 2,864,238 | 6.6% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Bank | 17.35 | 14.58 | -15.97% | 20.21 | 2,291,397 | 5.8% | | of | | | | | | | | America | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Chevron | 70.76 | 76.54 | 8.17% | 76.78 | 2,291,350 | 5.4% | | Corp | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Exelon | 51.19 | 46.96 | -8.26% | 55.89 | 1,145,683 | 2.7% | | Corp. | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Exxon | 71.30 | 71.67 | 0.52% | 77.01 | 2,864,264 | 6.7% | | Mobil | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | General | 14.20 | 14.26 | 0.42% | 15.99 | 2,290,971 | 5.6% | | Electric | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | IBM | 119.32 | 120.61 | 1.08% |128.64 | 2,864,277 | 6.7% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Intel | 18.76 | 19.11 | 1.87% | 20.66 | 2,291,384 | 5.4% | | Corporation | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Johnson | 61.28 | 59.05 | -3.64% | 64.81 | 2,864,227 | 6.5% | | and | | | | | | | | Johnson | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | JP | 43.01 | 41.77 | -2.88% | 48.29 | 2,864,251 | 6.9% | | Morgan | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | McDonalds | 55.91 | 58.61 | 4.83% | 59.47 | 1,718,562 | 3.9% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Microsoft | 24.64 | 27.73 | 12.54% | 26.88 | 2,864,228 | 6.7% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Monsanto | 83.71 | 67.18 | -19.75% | 93.11 | 1,145,739 | 2.7% | | Co. | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Pfizer | 16.73 | 17.03 | 1.79% | 18.22 | 2,291,408 | 5.4% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Phillip | 47.43 | 47.36 | -0.15% | 51.12 | 2,291,391 | 5.3% | | Morris | | | | | | | | International | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Procter&Gamble | 53.34 | 58.00 | 8.74% | 56.88 | 2,864,251 | 6.6% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | United | 59.30 | 61.45 | 3.63% | 64.80 | 1,718,514 | 4.0% | | Technologies | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | UPS | 53.52 | 53.68 | 0.30% | 58.28 | 1,718,527 | 4.0% | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Walt | 26.80 | 27.37 | 2.13% | 29.50 | 1,718,550 | 4.1% | | Disney | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Wells | 27.32 | 27.52 | 0.73% | 15.60 | 2,291,383 | 5.7% | | Fargo | | | | | | | | & Co | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | S&P | 413.54 | 482.31 | 16.63% | | | | | 100 | | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ | Weighted Basket | | 0.43% | | | | | Performance | | | | | | +----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+ Source for Share Price Information: Bloomberg Investment Performance Between launch on 26 October 2006 and close on 30 October 2009 the Total Return Performance was -2.7% and -0.4% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the S&P TR Performance, which declined 19.4% over that period. The directors declared interim dividends of 1.875 pence per Class A Sterling Hedged US High Income Preference Share and 1.875 cents per Class B Unhedged US High Income Preference Share on 17 January 2008, 17 April 2008, 17 July 2008, 23 October 2008, 22 January 2009, 23 April 2009, 23 July 2009 and 22 October 2009. 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. +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | Stock | Strike | Current |Performance |Option | Class | Class | | | Price | price | at |Strike | A - | A - | | | at | at | 30-Oct-09 | Price | Share |Weighting | | |23-Sep-09 |30-Oct-09 | | |portfolio | at | | | | | | |weighting |30-Oct-09 | | | | | | |at Strike | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | ALLIANZ | 83.13 | 77.99 | -6.18% | 87.87 | 4.97% | 5.06% | | SE | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | AEGON | 5.64 | 4.88 | -13.43% | 5.92 | 5.00% | 4.69% | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | ALSTOM | 50.35 | 47.325 | -6.01% | 52.87 | 5.01% | 5.10% | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | AXA SA | 17.23 | 16.6251 | -3.51% | 18.09 | 5.00% | 5.23% | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | ARCELORMITTAL | 26.47 | 22.98 | -13.18% | 27.79 | 5.00% | 4.71% | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | CREDIT | 13.75 | 13.105 | -4.69% | 14.44 | 5.00% | 5.17% | | AGRICOLE | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | DAIMLER | 33.06 | 33.08 | 0.06% | 34.71 | 5.00% | 5.43% | | AG | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | DEUTSCHE | 51.28 | 48.9 | -4.64% | 54.03 | 4.99% | 5.16% | | BANK | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | DEUTSCHE | 58.47 | 55.29 | -5.44% | 61.38 | 5.00% | 5.13% | | BOERSE | | | | | | | | AG | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | DEUTSCHE | 9.30 | 9.255 | -0.48% | 9.77 | 5.00% | 5.40% | | TELEKOM | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | FORTIS | 2.92 | 2.952 | 1.27% | 3.07 | 5.00% | 5.48% | | BANK | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | GDF | 31.27 | 28.51 | -8.83% | 32.83 | 5.00% | 4.95% | | SUEZ | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | ING | 11.32 | 6.86 | -39.38% | 11.89 | 5.00% | 3.29% | | GROEP | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | NOKIA | 10.73 | 8.63 | -19.57% | 11.27 | 5.00% | 4.36% | | AB OY | | | | | | | | A | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | RENAULT | 31.95 | 30.6 | -4.23% | 33.55 | 5.00% | 5.19% | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | SAINT | 34.92 | 33.305 | -4.61% | 36.67 | 5.01% | 5.18% | | GOBAIN | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | SCHNEIDER | 71.37 | 71.01 | -0.50% | 74.94 | 5.00% | 5.39% | | ELECTRIC | | | | | | | | SA | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | UNICREDIT | 2.55 | 2.29 | -10.28% | 2.69 | 4.99% | 4.85% | | SPA | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | VINCI | 40.03 | 35.63 | -10.99% | 42.03 | 5.00% | 4.83% | | SA | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | VOLKSWAGEN | 110.20 | 110.05 | -0.14% |116.03 | 4.99% | 5.40% | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | DJ | 2887.24 | 2743.5 | -4.98% | | | | | Eurostoxx | | | | | | | | 50 | | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ | Weighted Basket | | -7.74% | | | | | Performance | | | | | | +---------------+-----------+-----------+-------------+--------+-----------+-----------+ Source for Share Price Information: Bloomberg 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-Oct-09 | | +-------------+----------+-----------+---------+ | DCI |1,053.0 | 884.6 |-15.99% | | Agriculture | | | | | BNP Paribas | | | | | Enhanced | | | | | Excess | | | | | Return | | | | +-------------+----------+-----------+---------+ Source for Index Price Information: Bloomberg Between launch on 22 June 2007 and close on 31 October 2008 the NAV had increased by 2.4%. Over this period the S&P GSCI Agri&Livestock ER Index had fallen by 26.0%. The investment objective of the Company for Hedge Elite was to provide shareholders with a return on capital linked to the performance of a notional dynamic basket, comprising participations in 10 hedge funds selected by BNP Paribas in accordance with specific criteria, a cash facility, foreign exchange contracts and a zero coupon bond, with the benefit of a profit lock-in mechanism and a Redemption Amount payable at scheduled maturity of not less than 90 pence per Share. Investment Performance and Termination As it was agreed by the Board of directors that it was no longer in the best interests of the Company, Hedge Elite or the holder of the Hedge Elite Preference Shares for the Company on behalf of Hedge Elite to continue to pursue its stated investment objective for Hedge Elite, all Hedge Elite Preference Shares were redeemed on 19 October 2009 at 78.86 pence each and Hedge Elite was subsequently dissolved. As the Hedge Elite Preference Shares were redeemed prior to the scheduled Redemption Date, the minimum Redemption Amount of 90 pence per share was not applicable. Enhanced Property Recovery Listing: Channel Islands Stock Exchange Launch date: 13 March 2008 Issue price at launch: 100 pence NAV immediately following launch: 100 pence Maturity date: March 13, 2014 ISIN: GG00B2PWW869 SEDOL: B2PWW86 Investment Overview The Enhanced Property Recovery Fund allows investors to benefit from a possible recovery in the listed property market with an enhanced market timing mechanism. At maturity, if the FTSE EPRA European Index (Bloomberg code: EPRA Index) (the "Index") finishes above its initial level, the fund will pay the greater of either 170% or the enhanced performance of the index. If the Index closes below the initial level, the Fund will track the Index. Investment Performance Between launch on 13 March 2008 and close on 30 October 2009 the NAV had fallen by 32.8%. Over this period the EPRA Index had fallen by 36.8%. The Fund performance is driven primarily by sensitivity of the NAV to movements in the underlying Index, which is nearly one for one. The Fund recorded its lowest observation in October 2008 and a new low of 1,263.19, which was significantly lower than the previous level from July 2008. The enhanced market timing mechanism of this Fund means that if the Index was to recover to maturity, this figure would be used as the reference for which to calculate final performance. BNP Paribas Energy-Base Metals (3) Listing: Channel Islands Stock Exchange Launch date: 5 June 2008 Issue price at launch: 100 pence NAV at launch: 100 pence Maturity date: 5 June 2014 ISIN: GG00B2R9LW24 SEDOL: B39TP47 Epic Code: EBMC Investment Objective BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year investment offering 175% of the upside of the spot prices of a portfolio of commodities. The portfolio comprises West Texas Intermediate Oil (30%), Natural Gas (20%), Aluminium (12.5%), Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio performance is negative over six years, 100 pence is returned at maturity. The name and weighting of each commodity, the spot prices of each commodity recorded at launch (the nearest futures price in the case of oil) and as of October 30, 2009 are set out in the table below. +------------------+----------+------------+---------+---------+ | Commodity name |Value at | Value as | Change | Weight | | | Start | of | | | | | | 30-Oct-09 | | | +------------------+----------+------------+---------+---------+ | Aluminium | 2858.5 | 1,903 | -33.4% | 12.5% | +------------------+----------+------------+---------+---------+ | Copper | 8006 | 6,575 | -17.9% | 12.5% | +------------------+----------+------------+---------+---------+ | Nickel | 22000 | 18,465 | -16.1% | 12.5% | +------------------+----------+------------+---------+---------+ | West Texas | 122.3 | 77 | -37.0% | 30.0% | | Intermediate | | | | | +------------------+----------+------------+---------+---------+ | Zinc | 1948.5 | 2,195 | 12.7% | 12.5% | +------------------+----------+------------+---------+---------+ | Natural Gas | 12.379 | 5.045 | -59.2% | 20.0% | +------------------+----------+------------+---------+---------+ Source for commodity values information: Bloomberg Investment Performance Between launch on 5 June 2008 and close on 30 October 2009 the NAV had risen by 4.7%. Over this period the DJ AIG Commodities Excess Return Index had fallen by 39.4%. ISIN:GG00B39FV703 SEDOL: B39FVH0 Investment Overview The BNP Paribas Agribusiness Cell is a 2.5 year investment which aims to provide shareholders with the opportunity to participate, through a dividend payable on the Shares, in the performance of shares of companies whose revenues are linked to the agribusiness industry through the BNP Paribas Global Agribusiness Excess Return Index (Reuters Code: BNPIGAER). Listing: Channel Islands Stock Exchange Launch date: March 19 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence Maturity date: March 2108 Class A ISIN: GG00B4W90V35 Class A SEDOL: B4W90V3 Class B ISIN: GG00B4W90W42 Class B SEDOL: B4W90W4 Investment Overview The investment objective of the Cell is to provide Shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital based on an investment strategy linked to the performance of the Dow Jones Euro STOXX 50 Index (the "Index") and notional call options written on the Index (the "Strategy"). Dividend distributions on the Enhanced Income Preference Shares will be denominated and paid in GBP in respect of the Class A Shares and in EUR in respect of the Class B Shares. There are currently no Class B Shares in issue. Listing: Channel Islands Stock Exchange Launch date: 1 June 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence Maturity date: June 2029 Class A ISIN: GG00B3VGTS89 Class A SEDOL: B3VGTS8 Class B ISIN: GG00B3VM1S01 Class B SEDOL: B3VM1S) Investment Overview The investment objective of the Cell is to provide shareholders with exposure to the performance of an actively managed long short arbitrage strategy based on a portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the "Index"). The Index is denominated in USD and is designed to track the performance of an actively managed portfolio of 25 commodities selected from the energy, metals and agricultural sectors, the respective weightings of which are determined in accordance with an investment strategy based on recommendations provided by the COMAC Adviser and a rules-based proprietary methodology designed by BNP Paribas (the "Index Methodology") Investment Performance Between launch on 1 June 2009 and close on 30 October 2009 the NAV of Class A had fallen by 21.61%. Over this period the DJ UBS Commodity Index had increased by 2.10%. There are currently no Class B Shares in issue. Investment Overview Between launch on 16 July 2009 and close on 30 October 2009 the NAV Total Return Performance was 7.9% and 7.9% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the S&P TR Performance, which increased 10.8% over that period. The directors declared interim dividends of 2.20 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.20 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 28 October 2009. UK Enhanced Income Listing: Channel Islands Stock Exchange Launch date: 24 September 2009 Issue price at launch: 101 pence NAV immediately following launch: 100 pence Maturity date: September 2029 ISIN: GG00B3YF5842 SEDOL: B3YF584 Investment Overview STATEMENT OF OPERATIONS for the year ended 31 October 2009 +-------------------------------------+-------+--------------+---------------+ | | | Year | Year to | | | | to | | +-------------------------------------+-------+--------------+---------------+ | | | 31 Oct | 31 Oct | | | | 2009 | 2008 | +-------------------------------------+-------+--------------+---------------+ | | | Total | Total | +-------------------------------------+-------+--------------+---------------+ | |Notes | GBP | GBP | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Net movement in unrealised loss on | | | | | financial assets | | | | +-------------------------------------+-------+--------------+---------------+ | at fair value through profit or | 3 | (4,776,187) | (136,407,505) | | loss | | | | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Realised loss on financial assets | 8 | (4,487,813) | - | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Amortisation of debt issue costs | | (49,585) | (49,721) | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Income from financial assets at | 1h | | | | fair value through profit | | | | +-------------------------------------+-------+--------------+---------------+ | or loss | | 29,671,803 | 23,793,522 | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Finance costs - distributions to | | | | | holders of Preference | | | | +-------------------------------------+-------+--------------+---------------+ | Shares | 1l | (29,671,803) | (23,793,522) | +-------------------------------------+-------+--------------+---------------+ | Decrease in net assets attributable | | | | | to Preference | | | | +-------------------------------------+-------+--------------+---------------+ | shareholders from operations | | (9,313,585) | 136,457,226 | +-------------------------------------+-------+--------------+---------------+ 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 year other than those disclosed above. NET ASSET STATEMENT as at 31 October 2009 +-------------------------------------+-------+-------------+-------------+ | | | Year | Year | | | | to | to | +-------------------------------------+-------+-------------+-------------+ | | | 31 Oct | 31 Oct | | | | 2009 | 2008 | +-------------------------------------+-------+-------------+-------------+ | | | Total | Total | +-------------------------------------+-------+-------------+-------------+ | |Notes | GBP | GBP | +-------------------------------------+-------+-------------+-------------+ | | | | | +-------------------------------------+-------+-------------+-------------+ | ASSETS | | | | +-------------------------------------+-------+-------------+-------------+ | NON CURRENT ASSETS | | | | +-------------------------------------+-------+-------------+-------------+ | Financial assets at fair value | | 796,571,889 | 627,147,449 | | through profit or loss | | | | +-------------------------------------+-------+-------------+-------------+ | | | | | +-------------------------------------+-------+-------------+-------------+ | CURRENT ASSETS | | | | +-------------------------------------+-------+-------------+-------------+ | Cash at bank | 1g | - | - | +-------------------------------------+-------+-------------+-------------+ | Investment income receivable | 1h | 4,063,256 | - | +-------------------------------------+-------+-------------+-------------+ | Prepaid debt issue costs | | 68,196 | 117,781 | +-------------------------------------+-------+-------------+-------------+ | | | 4,131,452 | 117,781 | +-------------------------------------+-------+-------------+-------------+ | | | | | +-------------------------------------+-------+-------------+-------------+ | LIABILITIES | | | | +-------------------------------------+-------+-------------+-------------+ | CURRENT LIABILITIES | | | | +-------------------------------------+-------+-------------+-------------+ | Dividends payable | 1l | 4,063,256 | - | +-------------------------------------+-------+-------------+-------------+ | | | 4,063,256 | - | +-------------------------------------+-------+-------------+-------------+ | NET ASSETS ATTRIBUTABLE TO HOLDERS | | | | | OF | | | | +-------------------------------------+-------+-------------+-------------+ | PREFERENCE SHARES | 3 | 796,640,085 | 627,265,230 | +-------------------------------------+-------+-------------+-------------+ STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES for the year ended 31 October 2009 +-------------------------------------+-------+--------------+---------------+ | | | Year | Year to | | | | to | | +-------------------------------------+-------+--------------+---------------+ | | | 31 Oct | 31 Oct | | | | 2009 | 2008 | +-------------------------------------+-------+--------------+---------------+ | | | Total | Total | +-------------------------------------+-------+--------------+---------------+ | |Notes | GBP | GBP | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Opening balance | | 627,265,230 | 660,921,690 | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Proceeds from issue of Preference | | 194,555,055 | 94,210,444 | | Shares | | | | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Redemption of shares | 8 | (16,741,200) | - | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Net loss for the year attributable | | | | | to holders of | | | | +-------------------------------------+-------+--------------+---------------+ | Preference Shares | | (9,313,585) | (136,457,226) | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Exchange gains on financial assets | | | | | at fair value through | | | | +-------------------------------------+-------+--------------+---------------+ | profit or loss | | 874,585 | 8,590,322 | +-------------------------------------+-------+--------------+---------------+ | | | | | +-------------------------------------+-------+--------------+---------------+ | Balance as at 31 October 2009 | | 796,640,085 | 627,265,230 | +-------------------------------------+-------+--------------+---------------+ STATEMENT OF CASH FLOWS for the year ended 31 October 2009 +-------------------------------------+-------+---------------+---------------+ | | | Year to | Year to | +-------------------------------------+-------+---------------+---------------+ | | | 31 Oct | 31 Oct | | | | 2009 | 2008 | +-------------------------------------+-------+---------------+---------------+ | | | Total | Total | +-------------------------------------+-------+---------------+---------------+ | |Notes | GBP | GBP | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | Operating activities | | | | +-------------------------------------+-------+---------------+---------------+ | Net loss for the year attributable | | | | | to holders of | | | | +-------------------------------------+-------+---------------+---------------+ | Preference Shares | | (9,313,585) | (136,457,226) | +-------------------------------------+-------+---------------+---------------+ | Add: Distributions to holders of | | 25,608,547 | 23,793,522 | | Preference Shares | | | | +-------------------------------------+-------+---------------+---------------+ | Add: Movement in realised and | | | | | unrealised loss on | | | | +-------------------------------------+-------+---------------+---------------+ | Investments | | 9,264,000 | 136,407,505 | +-------------------------------------+-------+---------------+---------------+ | Movement in debtors and creditors | | 49,585 | 49,721 | | during the year | | | | +-------------------------------------+-------+---------------+---------------+ | Net cash inflow from operating | | 25,608,547 | 23,793,522 | | activities | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | Investing activities | | | | +-------------------------------------+-------+---------------+---------------+ | Redemption of financial assets | 8 | 16,741,200 | - | +-------------------------------------+-------+---------------+---------------+ | Purchase of financial assets | | (194,555,055) | (94,210,444) | +-------------------------------------+-------+---------------+---------------+ | Net cash outflow from investing | | (177,813,855) | (94,210,444) | | activities | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | Financing activities | | | | +-------------------------------------+-------+---------------+---------------+ | Distribution to holders of | 8 | (16,741,200) | - | | Preference Shares redeemed | | | | +-------------------------------------+-------+---------------+---------------+ | Proceeds from issue of Preference | | 194,555,055 | 94,210,444 | | Shares | | | | +-------------------------------------+-------+---------------+---------------+ | Distributions to holders of | | (25,608,547) | (23,793,522) | | Preference Shares | | | | +-------------------------------------+-------+---------------+---------------+ | Net cash inflow from financing | | 152,205,308 | 70,416,922 | | activities | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | Increase / (decrease) in cash and | | - | - | | cash equivalents | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | | | | | +-------------------------------------+-------+---------------+---------------+ | Cash and cash equivalents at | | - | - | | beginning of year | | | | +-------------------------------------+-------+---------------+---------------+ | Increase / (decrease) in cash and | | - | - | | cash equivalents | | | | +-------------------------------------+-------+---------------+---------------+ | Cash and cash equivalents at end of | | - | - | | year | | | | +-------------------------------------+-------+---------------+---------------+ Notes to the Financial Statements for the year ended 31 October 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 approved by the International Accounting Standards Committee that remain in effect and applicable Guernsey law. The financial statements have been prepared under the historical cost convention as modified for the measurement at fair value of financial instruments held at fair value through profit or loss. The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates. It also requires the Board of directors to exercise judgement in the process of applying the Company's accounting policies. The areas involving a high degree of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are disclosed in Note 2. The financial statements for the year to 31 December 2009 have been prepared on an aggregated basis. In previous periods the financial statements have been shown on a cell by cell basis. The directors are of the opinion that this change provides users of the financial statements with a more concise report regarding the performance of the Company. 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 7 (revised March 2009) Financial Instruments: Disclosures effective for periods beginning on or after 1 January 2009. IAS 1 (revised 2007) Presentation of Financial Statements effective for periods beginning on or after 1 January 2009. IAS 39 (revised July 2008) Financial Instruments: Recognition and measurement effective for periods beginning on or after 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. (b) Functional and presentational 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 BNP Paribas Agribusiness, which is listed on the Budapest Stock Exchange. Whilst shareholders of this cell are not exposed to movements in the HUF / Sterling Exchange rate, the reported value of this cell in the financial statements is exposed to such movements, as the aggregated financial statements are prepared in the functional currency. (c) Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at period-end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the 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 year under review are detailed in note 7 to the financial statements. (f) Debt issue costs Pursuant to the placing and offer for subscription of Shares in the Enhanced Global Asset Allocation Cell ( "EGAA") the Initial Cell Expenses incurred (as defined in EGAA's Supplemental Memorandum) amounted to GBP297,509. Because the Preference Shares in EGAA are redeemable on or around 17 March 2011, they are required to be classified as debt instruments under IAS 32. Consequently, issue costs are required to be amortised over the life of the instrument. (g) Cash and cash equivalents At the date of the net asset statement cash or cash equivalents comprise cash at bank. As detailed in note 7, all expenses of the Company are borne by BNP Paribas SA. All income received is distributed to shareholders in the relevant cells as dividends and therefore the Company holds nil balances in its bank accounts as at year end. (h) Income recognition Dividend income is recognised in the Statement of Operations when the relevant cell's right to receive the dividend has been established, normally being the ex-dividend date. Dividend income is recognised on a gross basis, including withholding tax, if any. (i) Financial assets at fair value through profit or loss All investments and derivative financial instruments are classified as "at fair value through profit or loss". Investments are initially recognised at cost, being the fair value of the consideration given, including transaction costs associated with the investment. After initial recognition, investments are measured at fair value, with unrealised gains and losses on investments 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) Loss per share The loss per share is based on the net loss of the Company for the year of GBP9,313,585 (2008: GBP136,457,226 net loss) and on 692,255,806 (2008: 644,918,096) shares, being the weighted average number of shares in issue during the year. There were no dilutive instruments in issue during the year. (k) Trade date accounting All "regular way" purchase and sales of financial assets are recognised on the "trade date" i.e. the date that the entity commits to purchase or sell the asset. Regular way purchases or sales of financial assets that require delivery of the asset within the time frame generally established by the regulation or convention in the market place. (l) Distributions payable to holders of redeemable shares Proposed distributions to holders of redeemable shares are recognised in the Statement of 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 year 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 Limited (the "Calculation Agent"), an independent third party. The Calculation Agent uses a variety of methods and makes assumptions that are based on market conditions existing at the 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 Calculation Agent. Models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilities and correlations require management to make estimates. Changes in assumptions about these factors could affect the reported fair value of financial instruments. 3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES +-------------------------------------+------+--------------+---------------+ | | | Year | Year to | | | | to | | +-------------------------------------+------+--------------+---------------+ | | | 31 Oct | 31 Oct | | | | 2009 | 2008 | +-------------------------------------+------+--------------+---------------+ | | | Total | Total | +-------------------------------------+------+--------------+---------------+ | | | GBP | GBP | +-------------------------------------+------+--------------+---------------+ | | | | | +-------------------------------------+------+--------------+---------------+ | Opening portfolio cost | | 676,274,235 | 582,063,791 | +-------------------------------------+------+--------------+---------------+ | Opening unrealised (loss) / gain on | | (55,333,776) | 81,123,450 | | valuation | | | | +-------------------------------------+------+--------------+---------------+ | Opening exchange gains / (losses) | | | | | on currency | | | | +-------------------------------------+------+--------------+---------------+ | Balances | | 6,324,771 | (2,265,551) | +-------------------------------------+------+--------------+---------------+ | | | | | +-------------------------------------+------+--------------+---------------+ | Opening valuation | | 627,265,230 | 660,921,690 | +-------------------------------------+------+--------------+---------------+ | | | | | +-------------------------------------+------+--------------+---------------+ | Purchase at cost | | 194,555,055 | 94,210,444 | +-------------------------------------+------+--------------+---------------+ | Proceeds of sales of financial | | (16,741,200) | - | | assets | | | | +-------------------------------------+------+--------------+---------------+ | Unrealised loss for the year | | (4,825,772) | (136,457,226) | +-------------------------------------+------+--------------+---------------+ | Realised loss for the year | | (4,487,813) | - | +-------------------------------------+------+--------------+---------------+ | Exchange gains on currency balances | | 874,585 | 8,590,322 | +-------------------------------------+------+--------------+---------------+ | | | | | +-------------------------------------+------+--------------+---------------+ | Closing valuation | | 796,640,085 | 627,265,230 | +-------------------------------------+------+--------------+---------------+ | | | | | +-------------------------------------+------+--------------+---------------+ | Closing portfolio cost | | 854,088,090 | 676,274,235 | +-------------------------------------+------+--------------+---------------+ | Closing unrealised loss | | (64,647,361) | (55,333,776) | +-------------------------------------+------+--------------+---------------+ | Closing exchange gains on currency | | 7,199,356 | 6,324,771 | | balances | | | | +-------------------------------------+------+--------------+---------------+ | | | | | +-------------------------------------+------+--------------+---------------+ | Closing valuation | | 796,640,085 | 627,265,230 | +-------------------------------------+------+--------------+---------------+ 4 SHARE CAPITAL +-------------------------------------+-----------+--------+ | Authorised | SHARES | GBP | +-------------------------------------+-----------+--------+ | Preference shares of no par value | Unlimited | - | | each | | | +-------------------------------------+-----------+--------+ | Ordinary shares of no par value | 2 | - | | each | | | +-------------------------------------+-----------+--------+ | | 2 | - | +-------------------------------------+-----------+--------+ +--------------+-------------+---------------+-------------+-------------+ | Allotted, | | | | Shares | | called-up | Shares | Preference | Preference | issued as | | and fully | issued as | Shares | Shares | at 31 Oct | | paid | at | Redeemed | Issued | 2009 | | Preference | 1 Nov 2008 | | | | | Shares | | | | | +--------------+-------------+---------------+-------------+-------------+ | | | | | | +--------------+-------------+---------------+-------------+-------------+ | Cell EGAA | 13,500,255 | - | - | 13,500,255 | +--------------+-------------+---------------+-------------+-------------+ | Cell FTSE S | 40,501,195 | - | - | 40,501,195 | +--------------+-------------+---------------+-------------+-------------+ | Cell EBMSG | 7,701,999 | - | - | 7,701,999 | +--------------+-------------+---------------+-------------+-------------+ | Cell UK HI | 141,613,549 | - | - | 141,613,549 | +--------------+-------------+---------------+-------------+-------------+ | Cell EBM (2) | 32,506,140 | - | - | 32,506,140 | +--------------+-------------+---------------+-------------+-------------+ | Cell ES | 25,000,000 | - | - | 25,000,000 | +--------------+-------------+---------------+-------------+-------------+ | Cell Abs Pro | 76,748,923 | - | - | 76,748,923 | +--------------+-------------+---------------+-------------+-------------+ | Cell US HI A | 92,469,987 | - | - | 92,469,987 | +--------------+-------------+---------------+-------------+-------------+ | Cell US HI B | 58,337,229 | - | - | 58,337,229 | +--------------+-------------+---------------+-------------+-------------+ | Cell | 47,225,896 | - | - | 47,225,896 | | Agrinvest | | | | | +--------------+-------------+---------------+-------------+-------------+ | Cell Euro HI | 45,375,520 | - | - | 45,375,520 | | A | | | | | +--------------+-------------+---------------+-------------+-------------+ | Cell Euro HI | 10,261,000 | - | - | 10,261,000 | | B | | | | | +--------------+-------------+---------------+-------------+-------------+ | Cell Hedge | 21,229,013 | (21,229,013)* | - | - | | Elite | | | | | +--------------+-------------+---------------+-------------+-------------+ | Cell EPR | 30,125,000 | - | - | 30,125,000 | +--------------+-------------+---------------+-------------+-------------+ | Cell EBM (3) | 49,587,600 | - | - | 49,587,600 | +--------------+-------------+---------------+-------------+-------------+ | Cell Agribus | 72,500 | - | - | 72,500 | +--------------+-------------+---------------+-------------+-------------+ | Cell EI | - | - | 39,999,346 | 39,999,346 | +--------------+-------------+---------------+-------------+-------------+ | Cell UK EI | - | - | 49,015,722 | 49,015,722 | +--------------+-------------+---------------+-------------+-------------+ | Cell COMAC | - | - | 25,526,009 | 25,526,009 | +--------------+-------------+---------------+-------------+-------------+ | Cell USEI A | - | - | 48,500,080 | 48,500,080 | +--------------+-------------+---------------+-------------+-------------+ | Cell USEI B | - | - | 45,079,125 | 45,079,125 | +--------------+-------------+---------------+-------------+-------------+ | | | | | | +--------------+-------------+---------------+-------------+-------------+ | Ordinary | 2 | - | - | 2 | | Shares | | | | | +--------------+-------------+---------------+-------------+-------------+ | | | | | | +--------------+-------------+---------------+-------------+-------------+ | TOTAL | 692,255,808 | (21,229,013) | 208,120,282 | 879,147,077 | +--------------+-------------+---------------+-------------+-------------+ * See Note 8 +--------------+-------------+------------+------------+-------------+ | Allotted, | | | | Shares | | called-up | Shares |Preference |Preference | issued as | | and fully | issued as | Shares | Shares | at 31 Oct | | paid | at 1 Nov | Redeemed | Issued | 2008 | | Preference | 2007 | | | | | Shares | | | | | +--------------+-------------+------------+------------+-------------+ | | | | | | +--------------+-------------+------------+------------+-------------+ | 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 | 37,225,896 | - | 10,000,000 | 47,225,896 | | Agrinvest | | | | | +--------------+-------------+------------+------------+-------------+ | Cell Euro HI | 45,375,520 | - | - | 45,375,520 | | A | | | | | +--------------+-------------+------------+------------+-------------+ | Cell Euro HI | 10,261,000 | - | - | 10,261,000 | | B | | | | | +--------------+-------------+------------+------------+-------------+ | Cell Hedge | 21,229,013 | - | - | 21,229,013 | | Elite | | | | | +--------------+-------------+------------+------------+-------------+ | Cell EPR | - | - | 30,125,000 | 30,125,000 | +--------------+-------------+------------+------------+-------------+ | Cell EBM (3) | - | - | 49,587,600 | 49,587,600 | +--------------+-------------+------------+------------+-------------+ | Cell Agribus | - | - | 72,500 | 72,500 | +--------------+-------------+------------+------------+-------------+ | | | | | | +--------------+-------------+------------+------------+-------------+ | Ordinary | 2 | - | - | 2 | | Shares | | | | | +--------------+-------------+------------+------------+-------------+ | | | | | | +--------------+-------------+------------+------------+-------------+ | TOTAL | 602,470,708 | - | 89,785,100 | 692,255,808 | +--------------+-------------+------------+------------+-------------+ Holders of Ordinary Shares shall not be entitled to receive and shall not participate in any dividends or other distributions out of the profits of the Company. Holders of Ordinary Shares shall be entitled to receive notice of and to attend and vote at general meetings. The Ordinary Shares are not redeemable and comprise the Company's non-cellular assets. Holders of Enhanced Global Asset Allocation Preference Shares, BNP Paribas FTSE Summit Preference Shares, BNP Paribas Energy - Base Metals Secure Growth Preference Shares, BNP Paribas Energy - Base Metals (2) Preference Shares, BNP Paribas European Shield Preference Shares, BNP Paribas Absolute Progression Preference Shares, BNP Paribas Agrinvest Preference Shares, Enhanced Property Recovery Preference Shares, Energy - Base Metals (3) Preference Shares and BNP Paribas COMAC Shares ("Cell Shares") shall not be entitled to receive and shall not participate in any dividends or other distributions of the Company. Holders of BNP Paribas UK High Income Preference Shares, Class A Sterling Hedged US High Income Preference Shares, Class B Unhedged US High Income Preference Shares, Class A Sterling Hedged Euro High Income Preference Shares, Class B Unhedged Euro High Income Preference Shares, Class A Sterling Hedged Enhanced Income Preference Shares, Class A Sterling Hedged US Enhanced Income Preference Shares, Class B US Dollar Unhedged US Enhanced Income Preference Shares and UK Enhanced Income Preference Shares ("Cell Shares") shall be entitled to receive any dividends or other distributions out of the profits of their respective cells only, but not out of the non-cellular assets of the Company. On their respective redemption dates the holders of Cell Shares shall be entitled to receive per Cell Share held an amount equal to the net asset value per Cell Share. As disclosed in the Supplemental Memorandum or Summary and Securities Note for each cell, the Cell Shares of each cell will be compulsorily redeemed by the Company on their respective redemption dates. Holders of Cell Shares shall not be entitled to receive notice of or to attend or vote at any general meeting of the Company. 5 SHARE PREMIUM +-----------------+-------------+---------------+-------------+-------------+ | Share Premium | Share | Preference | Preference | Share | | Preference | premium as | Shares | Shares | premium | | Shares | at 1 Nov | Redeemed | Issued | as at 31 | | | 2008 | | | Oct 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 Agrinvest | 49,516,896 | - | - | 49,516,896 | +-----------------+-------------+---------------+-------------+-------------+ | Cell Euro HI A | 45,375,520 | - | - | 45,375,520 | +-----------------+-------------+---------------+-------------+-------------+ | Cell Euro HI B | 6,895,958 | - | - | 6,895,958 | +-----------------+-------------+---------------+-------------+-------------+ | Cell Hedge | 21,229,013 | (21,229,013)* | - | - | | Elite | | | | | +-----------------+-------------+---------------+-------------+-------------+ | Cell EPR | 30,125,000 | - | - | 30,125,000 | +-----------------+-------------+---------------+-------------+-------------+ | Cell EBM (3) | 49,292,100 | - | - | 49,292,100 | +-----------------+-------------+---------------+-------------+-------------+ | Cell Agribus | 2,502,344 | - | - | 2,502,344 | +-----------------+-------------+---------------+-------------+-------------+ | Cell EI | - | - | 42,548,346 | 42,548,346 | +-----------------+-------------+---------------+-------------+-------------+ | Cell UK EI | - | - | 49,015,722 | 49,015,722 | +-----------------+-------------+---------------+-------------+-------------+ | Cell COMAC | - | - | 25,526,009 | 25,526,009 | +-----------------+-------------+---------------+-------------+-------------+ | Cell USEI A | - | - | 48,500,080 | 48,500,080 | +-----------------+-------------+---------------+-------------+-------------+ | Cell USEI B | - | - | 28,964,898 | 28,964,898 | +-----------------+-------------+---------------+-------------+-------------+ | | | | | | +-----------------+-------------+---------------+-------------+-------------+ | TOTAL | 676,571,744 | (21,229,013) | 194,555,055 | 849,897,786 | +-----------------+-------------+---------------+-------------+-------------+ * See Note 8 +------------------+-------------+------------+------------+-------------+ | Share Premium | Share |Preference |Preference | Share | | Preference | premium as | Shares | Shares | premium | | Shares | at 1 Nov | Redeemed | Issued | as at 31 | | | 2007 | | | Oct 2008 | +------------------+-------------+------------+------------+-------------+ | | GBP | GBP | GBP | GBP | +------------------+-------------+------------+------------+-------------+ | | | | | | +------------------+-------------+------------+------------+-------------+ | Cell EGAA | 14,656,755 | - | - | 14,656,755 | +------------------+-------------+------------+------------+-------------+ | Cell FTSE S | 47,058,395 | - | - | 47,058,395 | +------------------+-------------+------------+------------+-------------+ | Cell EBMSG | 7,747,779 | - | - | 7,747,779 | +------------------+-------------+------------+------------+-------------+ | Cell UK HI | 143,419,549 | - | - | 143,419,549 | +------------------+-------------+------------+------------+-------------+ | Cell EBM (2) | 32,828,140 | - | - | 32,828,140 | +------------------+-------------+------------+------------+-------------+ | Cell ES | 25,000,000 | - | - | 25,000,000 | +------------------+-------------+------------+------------+-------------+ | Cell Abs Pro | 77,271,523 | - | - | 77,271,523 | +------------------+-------------+------------+------------+-------------+ | Cell US HI A | 92,942,487 | - | - | 92,942,487 | +------------------+-------------+------------+------------+-------------+ | Cell US HI B | 30,710,285 | - | - | 30,710,285 | +------------------+-------------+------------+------------+-------------+ | Cell Agrinvest | 37,225,896 | - | 12,291,000 | 49,516,896 | +------------------+-------------+------------+------------+-------------+ | Cell Euro HI A | 45,375,520 | - | - | 45,375,520 | +------------------+-------------+------------+------------+-------------+ | Cell Euro HI B | 6,895,958 | - | - | 6,895,958 | +------------------+-------------+------------+------------+-------------+ | Cell Hedge Elite | 21,229,013 | - | - | 21,229,013 | +------------------+-------------+------------+------------+-------------+ | 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 | +------------------+-------------+------------+------------+-------------+ | | | | | | +------------------+-------------+------------+------------+-------------+ | TOTAL | 582,361,300 | - | 94,210,444 | 676,571,744 | +------------------+-------------+------------+------------+-------------+ 6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES The Company's activities expose it to a variety of financial risk: market risk (including interest rate risk and market price risk), credit risk, liquidity risk, capital risk and foreign exchange risk. The Company's overall risk management programme focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Company's financial performance. The Company uses derivative financial instruments to moderate certain risk exposures. (a) Interest Rate Risk The Company is not directly exposed to cash flow interest rate risk. 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. (b) Market Price Risk Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the Company might suffer through holding market positions in the face of price movements. The Investment Manager actively monitors market prices and reports to the Board as to the appropriateness of the prices used for valuation purposes. On a periodic basis independent valuations of the Company's investments are obtained from the Calculation Agent. A list of investments held by the Company is shown in the Schedule of Investments. The Investment Manager also monitors on a monthly basis the market price risk of each cell's underlying financial assets and liabilities using statistical measures, such as Delta. Delta is the percentage change in price of a derivative in relation to a 1% change in the price of the underlying security, index or rate. As there is no secondary market for the Company's investments, the Board cannot directly monitor nor control market price risk. Price sensitivity If market prices as at 31 October 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 other variables held constant, the increase in net assets attributable to holders of Cell Shares on the Redemption Date would have been as stated below, arising due to the increase in the fair value of the financial assets at fair value through profit or loss. If market prices as at 31 October 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 other variables held constant, the increase in net assets attributable to holders of preference shares on the Redemption Date would have been as stated below, arising due to the decrease in the fair value of the financial assets at fair value through profit or loss. +------------+------------+------------+--------------+--------------+ | | Increase in net | Decrease in net | | | assets | assets | +------------+-------------------------+-----------------------------+ | | attributable to | attributable to | | | holders of | holders of | +------------+-------------------------+-----------------------------+ | | preference shares | preference shares | +------------+-------------------------+-----------------------------+ | | | | +------------+-------------------------+-----------------------------+ | | Year | Year | Year | Year ended | | | ended | ended | ended | | +------------+------------+------------+--------------+--------------+ | | 31 Oct | 31 Oct | 31 Oct | 31 Oct | | | 2009 | 2008 | 2009 | 2008 | +------------+------------+------------+--------------+--------------+ | | | | | | +------------+------------+------------+--------------+--------------+ | Cell | GBP | GBP | GBP | GBP | +------------+------------+------------+--------------+--------------+ | | | | | | +------------+------------+------------+--------------+--------------+ | Cell EGAA | 49,816 | 241,790 | (50,085) | (241,249) | +------------+------------+------------+--------------+--------------+ | Cell FTSE | 639,513 | 1,322,769 | (640,324) | (1,323,579) | | S | | | | | +------------+------------+------------+--------------+--------------+ | Cell EBMSG | 2,634,161 | 2,243,207 | (2,634,006) | (2,243,978) | +------------+------------+------------+--------------+--------------+ | Cell UK HI | 9,904,452 | 6,232,413 | (9,907,284) | (6,229,580) | +------------+------------+------------+--------------+--------------+ | Cell EBM | 6,305,541 | 3,733,655 | (6,306,842) | (3,730,405) | | (2) | | | | | +------------+------------+------------+--------------+--------------+ | Cell ES | 2,720,500 | 1,891,750 | (2,719,500) | (1,890,250) | +------------+------------+------------+--------------+--------------+ | Cell Abs | 593,270 | 3,044,630 | (2,372,309) | (3,043,095) | | Pro | | | | | +------------+------------+------------+--------------+--------------+ | Cell US HI | 6,916,755 | 8,322,299 | (6,916,755) | (8,322,299) | | A | | | | | +------------+------------+------------+--------------+--------------+ | Cell US HI | 2,739,718 | 1,657,437 | (2,737,601) | (1,659,614) | | B | | | | | +------------+------------+------------+--------------+--------------+ | Cell | 2,518,557 | 2,363,656 | (2,515,724) | (2,364,600) | | Agrinvest | | | | | +------------+------------+------------+--------------+--------------+ | Cell Euro | 2,358,620 | 19,966 | (2,392,197) | (16,335) | | HI A | | | | | +------------+------------+------------+--------------+--------------+ | Cell Euro | 486,323 | 53,728 | (486,508) | (53,565) | | HI B | | | | | +------------+------------+------------+--------------+--------------+ | Cell Hedge | - | 370,021 | - | (368,748) | | Elite | | | | | +------------+------------+------------+--------------+--------------+ | Cell EPR | 3,247,174 | 2,392,527 | (3,247,776) | (2,389,515) | +------------+------------+------------+--------------+--------------+ | Cell EBM | 2,396,569 | 1,538,703 | (2,393,594) | (1,539,695) | | (3) | | | | | +------------+------------+------------+--------------+--------------+ | Cell | 62,834 | 442,304 | (62,834) | (468,560) | | Agribus | | | | | +------------+------------+------------+--------------+--------------+ | Cell COMAC | 2,516,099 | - | (2,517,630) | - | +------------+------------+------------+--------------+--------------+ | Cell US EI | 4,526,027 | - | (4,524,088) | - | | A | | | | | +------------+------------+------------+--------------+--------------+ | Cell US EI | 2,580,069 | - | (2,578,985) | - | | B | | | | | +------------+------------+------------+--------------+--------------+ | Cell UK EI | 4,406,513 | - | (4,406,514) | - | +------------+------------+------------+--------------+--------------+ | Cell EI | 3,366,745 | - | (3,369,145) | - | +------------+------------+------------+--------------+--------------+ | | | | | | +------------+------------+------------+--------------+--------------+ | | | | | | | | 60,969,256 | 35,870,855 | (62,779,701) | (35,885,067) | +------------+------------+------------+--------------+--------------+ (c) Credit Risk Credit risk is the risk that an issuer or counterparty will be unable or unwilling to meet a commitment that it has entered into with the Company. At the date of this report the Counterparty was rated AA by Standard & Poor's for credit purposes. Investors should be aware that repayment by the Company at the relevant redemption date of the redemption proceeds due to shareholders will only be performed if the Counterparty satisfies its obligations under the relevant contract to repay to the Company any amount due. Under the terms of the Credit Support Deeds between the Company and the Counterparty, the Counterparty is required to deliver varying amounts of collateral to an escrow account held in favour of the Company. Under the terms of credit support deeds entered into between 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 a weekly basis and, if the value of the collateral is less than the value calculated as specified below (the "Credit Support Amount"), BNP Paribas will provide additional collateral to increase the aggregate value to at least the Credit Support Amount. Where there is an event of default in respect of BNP Paribas under the swap confirmation, the Company will be entitled to enforce its security over the collateral. In respect of all cells other than BNP Paribas Agribusiness, the Credit Support Amount is the lesser of (a) 100% of the net asset value of the relevant cell and (b) the total of the Applicable Percentage of such net asset value plus 10% of such net asset value (where the "Applicable Percentage" is calculated so as to reflect the percentage of shares in the relevant cell held at the relevant time by shareholders other than BNP Paribas Arbitrage SNC. The Credit Support Amount in respect of BNP Paribas Agribusiness is 100% of the net asset value of BNP Paribas Agribusiness, The most significant concentration of credit risk for the Company is that the Counterparty will be unable to satisfy its obligations under the relevant contract to repay to the Company any amount due. The maximum credit risk exposure at the date of the net asset statement is therefore considered to be the valuation of the investments at this date, being GBP796,571,889. The Investment Manager and Administrator monitor collateral posted on a weekly basis and report to the Board quarterly on the Counterparty's compliance with the relevant Credit Support Deeds. The Investment Manager and Administrator have also undertaken to report to the Board immediately if there is a breach of compliance with the terms of the relevant Credit Support Deeds. The Board monitors, but cannot control, credit risk. (d) Liquidity Risk Liquidity risk is the risk that the Company will encounter difficulty in realising assets or otherwise raising funds to meet financial commitments. The only financial commitments of the Company are to meet ongoing expenses and these are met out of monies provided to the Company's Administrator by BNP Paribas SA. There is a further liquidity risk in respect of the redemption of shares, the dates of which are set out in note 6 (g) (ii). As the investments are not traded in an active market, the Company may not be able to liquidate quickly its investments in these instruments at an amount close to their fair value to meet its liquidity requirements or to respond to specific events such as deterioration in the credit worthiness of the Counterparty. The Board monitors, but cannot actively control, liquidity risk. (e) Capital Risk The Company has an unlimited life but the Cell Shares for each cell have a fixed redemption date. The Board of directors believes the current capital structure to be sufficient in meeting the capital requirements of the Company. All expenses are borne by BNP Paribas SA and redemption proceeds are limited to the amounts received, if any, on the maturity or early termination of the relevant investment contract between the Company and BNP Paribas. Potential losses to shareholders are mitigated by the collateral arrangements which are set out in note 6(i). (f) Foreign Exchange Risk The carrying amounts of the Company's foreign currency denominated financial assets at the reporting date are as follows: +-----------------------------------+-------------+ | | GBP | +-----------------------------------+-------------+ | | | +-----------------------------------+-------------+ | Euro | 4,878,010 | +-----------------------------------+-------------+ | US Dollar | 56,058,908 | +-----------------------------------+-------------+ | Hungarian Forint | 2,239,095 | +-----------------------------------+-------------+ As subscription, redemption and dividend payments in respect of all cells other than US High Income are made in the same functional currency, none of the cells other than US High Income is exposed to foreign exchange risk. Subscription and redemption payments in respect of Class B US High Income are made in US Dollars, but dividends are paid in the Sterling equivalent of a fixed US Dollar amount, unless the relevant shareholder elects to receive their dividends in US Dollars. As the currency in which these dividends are paid is selected at the option of the shareholder and may be paid in the functional currency, the directors do not consider that the Company acting on behalf of US High Income is exposed to material foreign exchange risk. (g) Valuation (i) The notional amounts of the derivative instruments are as follows: +-----------------------------------+-------------+ | Enhanced Global Asset Allocation | GBP | | | 13,500,255 | +-----------------------------------+-------------+ | BNP Paribas FTSE Summit | GBP | | | 40,501,195 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | GBP | | Secure Growth | 7,701,999 | +-----------------------------------+-------------+ | BNP Paribas UK High Income | GBP | | | 141,613,549 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | GBP | | (2) | 32,506,140 | +-----------------------------------+-------------+ | BNP Paribas European Shield | GBP | | | 25,000,000 | +-----------------------------------+-------------+ | BNP Paribas Absolute Progression | GBP | | | 76,748,923 | +-----------------------------------+-------------+ | US High Income Cell - Class A | GBP | | | 92,469,987 | +-----------------------------------+-------------+ | US High Income Cell - Class B | USD | | | 58,337,229 | +-----------------------------------+-------------+ | BNP Paribas Agrinvest | GBP | | | 47,225,896 | +-----------------------------------+-------------+ | Euro High Income - Class A | GBP | | | 45,375,520 | +-----------------------------------+-------------+ | Euro High Income - Class B | EUR | | | 10,261,000 | +-----------------------------------+-------------+ | Enhanced Property Recovery | GBP | | | 30,125,000 | +-----------------------------------+-------------+ | Energy - Base Metals (3) | GBP | | | 49,587,600 | +-----------------------------------+-------------+ | BNP Paribas Agribusiness | HUF 72,500 | +-----------------------------------+-------------+ | Enhanced Income | GBP | | | 39,999,346 | +-----------------------------------+-------------+ | UK Enhanced Income | GBP | | | 49,015,722 | +-----------------------------------+-------------+ | BNP Paribas COMAC | GBP | | | 25,526,009 | +-----------------------------------+-------------+ | US Enhanced Income - Class A | GBP | | | 48,500,080 | +-----------------------------------+-------------+ | US Enhanced Income - Class B | USD | | | 45,079,125 | +-----------------------------------+-------------+ (ii) The maturity dates of the derivative instruments are as follows: +-----------------------------------+-------------+ | Enhanced Global Asset Allocation | 17 March | | | 2011 | +-----------------------------------+-------------+ | BNP Paribas FTSE Summit | 29 June | | | 2011 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | 29 June | | Secure Growth | 2011 | +-----------------------------------+-------------+ | BNP Paribas UK High Income | 8 December | | | 2011 | +-----------------------------------+-------------+ | BNP Paribas Energy - Base Metals | 22 March | | (2) | 2012 | +-----------------------------------+-------------+ | BNP Paribas European Shield | 26 April | | | 2012 | +-----------------------------------+-------------+ | BNP Paribas Absolute Progression | 26 July | | | 2012 | +-----------------------------------+-------------+ | US High Income Cell - Class A | 19 November | | | 2012 | +-----------------------------------+-------------+ | US High Income Cell - Class B | 19 November | | | 2012 | +-----------------------------------+-------------+ | BNP Paribas Agrinvest | 22 June | | | 2013 | +-----------------------------------+-------------+ | Euro High Income - Class A | 24 June | | | 2013 | +-----------------------------------+-------------+ | Euro High Income - Class B | 24 June | | | 2013 | +-----------------------------------+-------------+ | Enhanced Property Recovery | 13 March | | | 2014 | +-----------------------------------+-------------+ | Energy - Base Metals (3) | 5 June 2014 | +-----------------------------------+-------------+ | BNP Paribas Agribusiness | 10 January | | | 2011 | +-----------------------------------+-------------+ | Enhanced Income | c. 30 April | | | 2108 | +-----------------------------------+-------------+ | UK Enhanced Income | 24 | | | September | | | 2029 | +-----------------------------------+-------------+ | BNP Paribas COMAC | 8 June 2029 | +-----------------------------------+-------------+ | US Enhanced Income - Class A | 16 July | | | 2029 | +-----------------------------------+-------------+ | US Enhanced Income - Class B | 16 July | | | 2029 | +-----------------------------------+-------------+ *The maturity date of the Enhanced Income cell will be the 26th business day after the final ex dividend date. As the business days in April 2108 cannot yet be determined, an approximate date is disclosed. (iii) Early Settlement Options relating to the derivative contracts Each contract entered into between BNP Paribas and the Company acting for and on behalf of each cell has been entered into upon terms which allow such contract to be terminated, inter alia, in the following circumstances: (a) by the Company if BNP Paribas fails to make a payment under the relevant contract (subject to a grace period of three local business days) or makes a representation which is incorrect or misleading in any material respect or fails to comply with its related obligations; (b) by BNP Paribas if the Company fails to make a payment it is required to pay under the relevant contract (subject to the grace period mentioned above); and (c) by either 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 relevant contract at the date of such termination. The Directors may reinvest such proceeds as they see fit in investments which in the opinion of the Directors replicate as nearly as practicable the investment characteristics of the contract so terminated and so that the proceeds are invested, as nearly as practicable, in accordance with the Company's stated investment objective for the relevant cell. Even if recovered by the Company, any early redemption amount in respect of the shares of the relevant cell may result in a lower return than would have been the case if the contract had continued and been performed up to its maturity date. In the event that the Directors determine that the investment characteristics of the contract cannot be replicated then the Directors will notify Shareholders of the relevant cell of such circumstances, the relevant early redemption amount and the relevant early redemption date. If the Counterparty fails to top up the collateral such that it is equal to at least the Credit Support Amount (as set out in note 6(c) above) 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. (h) Periodic Returns on Principal and Timings of Payments BNP Paribas UK High Income 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 shares), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 pence per BNP Paribas UK High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 pence per BNP Paribas UK High Income Preference Share. US High Income - 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 - 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 - 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. Euro High Income - 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 2.0624% of the notional amount of the Swap Confirmation, equivalent to 2.0625 cents per Class B Unhedged Euro High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 cents per Class B Unhedged Euro High Income Preference Share. BNP Paribas Agribusiness Cell Under the terms of the Swap Confirmation between 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 five business days before the dividend date, that being on or about 9 February 2011. The dividend amount will be determined by reference to the closing level of the BNP Paribas Global Agribusiness Excess Return Index (the "Index") determined on or about 11 July 2008 (the "Initial Index Level") and the performance of the Index calculated as of each of seven consecutive monthly observation dates. If the arithmetic average performance of the Index on the seven observation dates is equal to or less than zero, the dividend amount will be zero. If the arithmetic average performance of the Index on the seven observation dates is greater than zero, the dividend amount will be an amount in Hungarian Forints equal to (a) HUF10,000 multiplied by (b) the product of (i)( the Participation Factor (being 100% and (ii) such arithmetic average performance of the Index. Enhanced Income Under the terms of the Swap Confirmation between 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 Class A Sterling Hedged Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per Class A Sterling Hedged Enhanced Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling Hedged Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged Enhanced Income Preference Share. UK Enhanced Income Under the terms of the Swap Confirmation between BNP Paribas and the Company acting for and on behalf of the UK Enhanced Income cell, BNP Paribas will pay to the Company for the account of the UK Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per UK Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per UK Enhanced Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per UK Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per UK Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per UK Enhanced Income Preference Share. US Enhanced Income - Class A Under the terms of the Swap Confirmation between BNP Paribas and the Company acting for and on behalf of the US Enhanced Income cell in respect of Class A, BNP Paribas will pay to the Company for the account of the US Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per BNP Paribas US Enhanced Income Class A Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling Hedged US Enhanced Income Preference Share. Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged US Enhanced Income Preference Share. US Enhanced Income - Class B Under the terms of the Swap Confirmation between BNP Paribas and the Company acting for and on behalf of the US Enhanced Income cell in respect of Class B, BNP Paribas will pay to the Company for the account of the US Enhanced Income cell quarterly a US Dollar amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 cents per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 cents per BNP Paribas US Enhanced Income Class B Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 cents per Class A Sterling Hedged US Enhanced Income Preference Share Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share. (i) Collateral Arrangements Under the terms of credit support deeds entered into between 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 a weekly basis and, if the value of the collateral is less than the Credit Support Amount (as set out in note 6(c) above), BNP Paribas will provide additional collateral to increase the aggregate value to at least applicable Credit Support Amount. Where there is an event of default in respect of BNP Paribas under the swap confirmation, the Company will be entitled to enforce its security over the collateral. The collateral held against all derivative instruments as at 31 October 2009 is detailed below: +------------+------------+-------------+ | | Year | Year | | | ended | ended | +------------+------------+-------------+ | | 31 Oct | 31 Oct | | | 2009 | 2008 | +------------+------------+-------------+ | | | | +------------+------------+-------------+ | Cell | GBP | GBP | +------------+------------+-------------+ | | | | +------------+------------+-------------+ | Cell EGAA | 6,916,495 | 17,614,362 | +------------+------------+-------------+ | Cell FTSE | 8,757,644 | 48,904,601 | | S | | | +------------+------------+-------------+ | Cell EBMSG | 3,832,721 | 13,949,834 | +------------+------------+-------------+ | Cell UK HI | 26,410,783 | 116,492,331 | +------------+------------+-------------+ | Cell EBM | 8,196,050 | 39,629,654 | | (2) | | | +------------+------------+-------------+ | Cell ES | 7,178,798 | 18,902,419 | +------------+------------+-------------+ | Cell Abs | 15,762,681 | 91,564,787 | | Pro | | | +------------+------------+-------------+ | Cell US HI | 45,812,877 | 119,160,332 | | | | | +------------+------------+-------------+ | Cell | 21,268,699 | 43,990,342 | | Agrinvest | | | +------------+------------+-------------+ | Cell Euro | 4,954,795 | 34,927,165 | | HI | | | +------------+------------+-------------+ | Cell Hedge | - | 18,212,462 | | Elite | | | +------------+------------+-------------+ | Cell EPR | 13,404,525 | 15,519,245 | +------------+------------+-------------+ | Cell EBM | 18,010,161 | 49,053,401 | | (3) | | | +------------+------------+-------------+ | Cell | 3,085,963 | 2,560,647 | | Agribus | | | +------------+------------+-------------+ | Cell COMAC | 11,645,744 | - | +------------+------------+-------------+ | Cell US EI | 45,067,271 | - | | | | | +------------+------------+-------------+ | Cell UK EI | 1,374,050 | - | +------------+------------+-------------+ | Cell EI | 27,472,475 | - | +------------+------------+-------------+ As detailed in note 7, during the year BNP Paribas Arbitrage SNC, an affiliate of BNP Paribas, significantly increased its holding of preference shares in each of the cells. The effect of these increases was to reduce the amount of collateral required, as BNP Paribas is only required to post collateral in an amount calculated by reference to the value of shares in the relevant cell held by third parties as set out at note 6(c) above. All payments by the Company are made in Sterling, except that the Investment Manager's fees in respect of Class B of US High Income and US Enhanced Income are paid in US Dollars, the Investment Manager's fees in respect of Class B of Euro High Income are paid in Euros and the Investment Manager's fees in respect of BNP Paribas Agribusiness are paid in Hungarian Forints. All expense 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(h) above) and (2) as to the balance in Sterling in an amount equal to the product of (x) the remaining number of Units, (y) the Sterling Amount which could be purchased with USD 1.00 at the applicable Forward Rate and (z) the underlying dividend rate) as explained further at note 6(h) above). Such election will be made to satisfy elections from holders of Class B Unhedged US High Income Preference Shares to receive their dividends in US Dollars. Dividends paid by the Company to holders of Class B Unhedged US High Income Preference Shares are paid in Sterling except that, where holders of such shares have elected to receive their dividends in US Dollars, such dividends will be paid in US Dollars in an amount equal to (a) the number of Class B Unhedged US High Income Preference Shares in respect of which such election is made, (b) USD 1.00 and (c) the underlying dividend rate (as explained further at note 6(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. Payments to the Company for the account of the US Enhanced Income cell in respect of Class B are made in US Dollars. Dividends paid by the Company to holders of Class B US Dollar Unhedged US Enhanced Income Preference Shares are paid in US Dollars. 7 RELATED PARTY TRANSACTIONS Anson Fund Managers Limited is the Administrator and Secretary of the Company and Anson Registrars Limited is the Registrar of the Company. John R Le Prevost is a director of both these companies. During the year under review, the Administrator charged fees of GBP281,445 (2008: GBP223,090) in respect of its administration of the Company of which GBP27,327 (2008: GBP19,562) was outstanding at the year end and the Registrar charged fees of GBP56,064 (2008: GBP76,449) in respect of registration services on behalf of the Company of which GBP3,528 (2008: GBP4,378) was outstanding at the year end. Anson Group Limited is the ultimate controlling party of Anson Fund Managers Limited and Anson Registrars Limited, John R Le Prevost and Peter Atkinson are directors of Anson Group Limited. Harewood Asset Management SAS, the Investment Manager, and BNP Paribas Arbitrage SNC, the Company's ultimate controlling party, are both members of the BNP Paribas Group. During the year under review the Investment Manager charged fees of GBP691,002 (2008: GBP616,038), of which GBPNil (2008: GBPNil) was outstanding at the year end. As described elsewhere in the financial statements, BNP Paribas, a member of the BNP Paribas Group, was appointed as Distributor of Preference Shares in all the cells and is also the counterparty to the Index Derivative Contracts entered into by the Company on behalf of all cells. All these transactions and arrangements have been entered into on an arms length basis. At the end of the year BNP Paribas Group and its subsidiaries held the following shares in issue: +-------------------------+-------------+-----------+-------------+------------+ | | As at | | As at | | +-------------------------+-------------+-----------+-------------+------------+ | | 31 Oct | | 31 Oct | | | | 2009 | | 2008 | | +-------------------------+-------------+-----------+-------------+------------+ | | Shares | % of | Shares | % of total | | | | total | | shares | | | | shares | | | +-------------------------+-------------+-----------+-------------+------------+ | | | | | | +-------------------------+-------------+-----------+-------------+------------+ | Enhanced Global Asset | 9,834,455 | 72.85% | 6,318,826 | 46.81% | | Allocation | | | | | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas FTSE Summit | 37,706,666 | 93.10% | 32,051,373 | 79.14% | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas Energy - | | | | | | Base Metals | | | | | +-------------------------+-------------+-----------+-------------+------------+ | Secure Growth | 7,132,473 | 92.61% | 6,986,515 | 90.71% | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas UK High | 102,157,816 | 72.14% | 30,489,250 | 21.53% | | Income | | | | | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas Energy - | | | | | | Base Metals | | | | | +-------------------------+-------------+-----------+-------------+------------+ | (2) | 31,280,354 | 96.23% | 30,246,461 | 93.05% | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas European | 20,072,414 | 80.29% | 101,128,739 | 40.51% | | Shield | | | | | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas Absolute | 71,184,880 | 92.75% | 32,783,853 | 42.72% | | Progression | | | | | +-------------------------+-------------+-----------+-------------+------------+ | US High Income - Class | 52,161,572 | 56.41% | 24,103,108 | 26.07% | | A | | | | | +-------------------------+-------------+-----------+-------------+------------+ | US High Income - Class | 46,159,495 | 79.13% | 12,022,700 | 20.61% | | B | | | | | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas Agrinvest | 31,226,277 | 66.12% | 27,489,964 | 58.21% | +-------------------------+-------------+-----------+-------------+------------+ | Euro High Income - | 43,643,993 | 96.21% | 34,857,365 | 76.82% | | Class A | | | | | +-------------------------+-------------+-----------+-------------+------------+ | Euro High Income - | 9,095,212 | 88.64% | 7,457,109 | 72.67% | | Class B | | | | | +-------------------------+-------------+-----------+-------------+------------+ | Hedge Elite | - | 0.00% | 19,787,087 | 93.21% | +-------------------------+-------------+-----------+-------------+------------+ | Enhanced Property | 14,020,594 | 46.54% | 13,158,560 | 43.68% | | Recovery | | | | | +-------------------------+-------------+-----------+-------------+------------+ | Energy - Base Metals | 37,289,818 | 75.20% | 16,881,247 | 34.04% | | (3) | | | | | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas | - | - | - | - | | Agribusiness | | | | | +-------------------------+-------------+-----------+-------------+------------+ | Enhanced Income | 20,704,734 | 51.76% | - | - | +-------------------------+-------------+-----------+-------------+------------+ | BNP Paribas COMAC | 13,467,175 | 52.76% | - | - | +-------------------------+-------------+-----------+-------------+------------+ | US Enhanced Income - | 30,468,910 | 62.82% | - | - | | Class A | | | | | +-------------------------+-------------+-----------+-------------+------------+ | US Enhanced Income - | 19.252,738 | 42.71% | - | - | | Class B | | | | | +-------------------------+-------------+-----------+-------------+------------+ | UK Enhanced Income | 34,953,181 | 71.31% | - | - | +-------------------------+-------------+-----------+-------------+------------+ On 19 October 2009 all Hedge Elite Preference Shares were compulsorily redeemed and Hedge Elite was subsequently dissolved. All Hedge Elite Preference Shares were beneficially held by BNP Paribas Arbitrage SNC. +-------------------------+-----------+-----------+----------+ | ONGOING EXPENSES | Year | Year | | | | ended | ended | | +-------------------------+-----------+-----------+----------+ | | 31 Oct | 31 Oct | | | | 2009 | 2008 | | +-------------------------+-----------+-----------+----------+ | | TOTAL | TOTAL | | +-------------------------+-----------+-----------+----------+ | | GBP | GBP | | +-------------------------+-----------+-----------+----------+ | | | | | +-------------------------+-----------+-----------+----------+ | Administration fees | 281,445 | 223,090 | | +-------------------------+-----------+-----------+----------+ | Directors' remuneration | 25,600 | 22,600 | | +-------------------------+-----------+-----------+----------+ | Registration fees | 56,064 | 76,449 | | +-------------------------+-----------+-----------+----------+ | Custody fees | 519,066 | 313,936 | | +-------------------------+-----------+-----------+----------+ | Investment management | 691,002 | 616,036 | | | fees | | | | +-------------------------+-----------+-----------+----------+ | Audit fees | 43,500 | 80,595 | | +-------------------------+-----------+-----------+----------+ | Annual fees | 204,810 | (3,517) | | +-------------------------+-----------+-----------+----------+ | Other operating | 47,560 | 65,226 | | | expenses | | | | +-------------------------+-----------+-----------+----------+ | | | | | +-------------------------+-----------+-----------+----------+ | | 1,869,047 | 1,394,415 | | +-------------------------+-----------+-----------+----------+ All expenses are accounted for on an accruals basis and are borne by BNP Paribas SA. 8 HEDGE ELITE During the year it was agreed by the Board of directors that it was no longer in the best interests of the Company, Hedge Elite or the holder of Hedge Elite Preference Shares for the Company to continue to pursue its stated investment objective for Hedge Elite, so that it was resolved compulsorily to redeem all Hedge Elite Preference Shares in issue. The redemption value per Hedge Elite Preference Share was 78.86 pence, resulting in redemption proceeds and distributions to the holder of Hedge Elite Preference Shares of GBP16,741,200. The net realised loss on this redemption was GBP4,487,813. 9 ULTIMATE CONTROLLING PARTY The ultimate controlling party is BNP Paribas Arbitrage SNC as holder of the two Ordinary Shares in issue. 10 EVENTS AFTER THE BALANCE SHEET DATE There were no material events after the balance sheet date. SCHEDULE OF INVESTMENTS as at 31 October 2009 +-+--------------------------+-+-----------+------------+----------------+------+ | | | as at 31 October 2009 | +-+----------------------------+------------------------------------------------+ | | NOMINAL | VALUATION | TOTAL NET | | | | | | ASSETS | | +----------------------------+-------------+------------+----------------+------+ | | | GBP | % | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | Enhanced Global Asset | | | | | | Allocation | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 18,346,981 | 2.30% | | | Derivative Contract | 13,500,255 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas FTSE Summit | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 52,109,243 | 6.54% | | | Derivative Contract | 40,501,195 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Energy - Base | | | | | | Metals | | | | | +----------------------------+-------------+------------+----------------+------+ | Secure Growth | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 21,004,044 | 2.64% | | | Derivative Contract | 7,701,999 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas UK High Income | | | | | | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 97,693,523 | 12.26% | | | Derivative Contract | 141,613,549 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Energy - Base | | | | | | Metals (2) | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 51,769,929 | 6.50% | | | Derivative Contract | 32,506,140 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas European | | | | | | Shield | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 21,984,500 | 2.76% | | | Derivative Contract | 25,000,000 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Absolute | | | | | | Progression | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 90,578,311 | 11.37% | | | Derivative Contract | 76,748,923 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | US High Income - Class A | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 68,437,037 | 8.59% | | | Derivative Contract | 92,469,987 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | US High Income - Class B | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | USD | 27,073,356 | 3.40% | | | Derivative Contract | 58,337,229 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Agrinvest | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 48,357,901 | 6.07% | | | Derivative Contract | 47,225,896 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | Euro High Income - Class A | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | GBP | 24,281,348 | 3.05% | | | Derivative Cell | 45,375,520 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | +----------------------------+-------------+------------+----------------+------+ | Euro High Income - Class B | | | | | +----------------------------+-------------+------------+----------------+------+ | BNP Paribas Index | EUR | 4,878,010 | 0.61% | | | Derivative Contract | 10,261,000 | | | | +----------------------------+-------------+------------+----------------+------+ | | | | | | | | +-+--------------------------+-+-----------+------------+----------------+------+ +--------------------------+------------+-------------+---------------+----+ | | as at 31 October 2009 | +--------------------------+-----------------------------------------------+ | | NOMINAL | VALUATION | TOTAL NET | | | | | | ASSETS | | +--------------------------+------------+-------------+---------------+----+ | | | GBP | % | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | Enhanced Property | | | | | | Recovery | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 20,238,276 | 2.54% | | | Derivative Contract | 30,125,000 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | Energy - Base Metals (3) | | | | | | | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 51,911,771 | 6.52% | | | Derivative Contract | 49,587,600 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Agribusiness | | | | | | | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | HUF 72,500 | 2,239,095 | 0.28% | | | Derivative Contract | | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | Enhanced Income | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 45,540,455 | 5.72% | | | Derivative Contract | 39,999,346 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | UK Enhanced Income | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 49,844,088 | 6.26% | | | Derivative Contract | 49,015,722 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas COMAC | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 20,010,604 | 2.51% | | | Derivative Contract | 25,526,009 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | US Enhanced Income - | | | | | | Class A | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 51,287,865 | 6.44% | | | Derivative Contract | 48,500,080 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | US Enhanced Income - | | | | | | Class B | | | | | +--------------------------+------------+-------------+---------------+----+ | BNP Paribas Index | USD | 28,985,552 | 3.64% | | | Derivative Contract | 45,079,125 | | | | +--------------------------+------------+-------------+---------------+----+ | | | | | | +--------------------------+------------+-------------+---------------+----+ | TOTAL | | 796,571,889 | 81.15% | | +--------------------------+------------+-------------+---------------+----+ SCHEDULE OF INVESTMENTS as at 31 October 2008 +--------------------------+-------------+-------------+---------------+----+ | | as at 31 October 2008 | +--------------------------+------------------------------------------------+ | | NOMINAL | VALUATION | TOTAL NET | | | | | | ASSETS | | +--------------------------+-------------+-------------+---------------+----+ | | | GBP | % | | +--------------------------+-------------+-------------+---------------+----+ | Enhanced Global Asset | | | | | | Allocation | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 17,325,957 | 2.76% | | | Derivative Contract | 13,500,255 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas FTSE Summit | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 49,982,930 | 7.97% | | | Derivative Contract | 40,501,195 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Energy - | | | | | | Base Metals | | | | | +--------------------------+-------------+-------------+---------------+----+ | Secure Growth | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 14,343,048 | 2.29% | | | Derivative Contract | 7,701,999 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas UK High | | | | | | Income | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 119,166,385 | 19.00% | | | Derivative Contract | 141,613,549 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Energy - | | | | | | Base Metals (2) | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 38,544,156 | 6.14% | | | Derivative Contract | 32,506,140 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas European | | | | | | Shield | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 19,766,750 | 3.15% | | | Derivative Contract | 25,000,000 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Absolute | | | | | | Progression | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 87,907,449 | 14.01% | | | Derivative Contract | 76,748,923 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | US High Income - Class A | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 87,393,385 | 13.93% | | | Derivative Contract | 92,469,987 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | US High Income - Class B | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | USD | 33,861,142 | 5.40% | | | Derivative Contract | 58,337,229 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Agrinvest | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 44,487,266 | 7.09% | | | Derivative Contract | 47,225,896 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | Euro High Income - Class | | | | | | A | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | GBP | 29,224,557 | 4.66% | | | Derivative Cell | 45,375,520 | | | | +--------------------------+-------------+-------------+---------------+----+ | | | | | | +--------------------------+-------------+-------------+---------------+----+ | Euro High Income - Class | | | | | | B | | | | | +--------------------------+-------------+-------------+---------------+----+ | BNP Paribas Index | EUR | 5,045,124 | 0.80% | | | Derivative Contract | 10,261,000 | | | | +--------------------------+-------------+-------------+---------------+----+ +--------------------------+-------------+------------+---------------+----+ | | as at 31 October 2008 | +--------------------------+-----------------------------------------------+ | | NOMINAL | VALUATION | TOTAL NET | | | | | | ASSETS | | +--------------------------+-------------+------------+---------------+----+ | | | GBP | % | | +--------------------------+-------------+------------+---------------+----+ | Hedge Elite | | | | | +--------------------------+-------------+------------+---------------+----+ | BNP Paribas Index | GBP | 17,152,406 | 2.73% | | | Derivative Contract | 21,229,013 | | | | +--------------------------+-------------+------------+---------------+----+ | | | | | | +--------------------------+-------------+------------+---------------+----+ | Enhanced Property | | | | | | Recovery | | | | | +--------------------------+-------------+------------+---------------+----+ | BNP Paribas Index | GBP | 17,470,994 | 2.79% | | | Derivative Contract | 30,125,000 | | | | +--------------------------+-------------+------------+---------------+----+ | | | | | | +--------------------------+-------------+------------+---------------+----+ | Energy - Base Metals (3) | | | | | | | | | | | +--------------------------+-------------+------------+---------------+----+ | BNP Paribas Index | GBP | 43,429,316 | 6.92% | | | Derivative Contract | 49,587,600 | | | | +--------------------------+-------------+------------+---------------+----+ | | | | | | +--------------------------+-------------+------------+---------------+----+ | BNP Paribas Agribusiness | | | | | | Cell | | | | | +--------------------------+-------------+------------+---------------+----+ | BNP Paribas Index | HUF | 2,046,584 | 0.33% | | | Derivative Contract | 725,000,000 | | | | +--------------------------+-------------+------------+---------------+----+ | | | | | | +--------------------------+-------------+------------+---------------+----+ | TOTAL | | 627,17,449 | 99.97% | | +--------------------------+-------------+------------+---------------+----+ A pdf version of the annual financial report will shortly be posted on the Company's web-site at http://www.harewoodsolutions.co.uk/press.aspx and a further announcement will be made once the annual financial report is available to be downloaded. For further information contact: BNP Paribas Tel: 0207 595 8056 or E-mail: harewood_solutions@bnpparibas.com Anson Fund Managers Limited Secretary Tel: Guernsey 01481 722260 4 February 2010 END OF ANNOUNCEMENT E&OE - in transmission This information is provided by RNS The company news service from the London Stock Exchange END ACSKKQDPPBKDQBK
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