Calculus Vct Regulatory News (CLC)

24 May 2011 07:00

Investec Structured Products Calculus VCT plc

Annual Report & Accounts

Period ended 28 February 2011

The full Annual Report and Accounts can be accessed via the following websites:www.calculuscapital.com and www.investecstructuredproducts.com or by contactingthe Company Secretary on telephone 01392 477500.

Investment Objective

The Company's principal objectives for investors are to:

• invest in a portfolio of Venture Capital Investments and Structured Products:

- to provide investment returns to maximise annual dividends; and

- to fund a special dividend or cash offer in year 6 sufficient to bring distributions per share to 70p;

• generate returns from a portfolio of Venture Capital Investments that willprovide attractive long-term returns within a tax efficient vehicle beyond aninterim return date;

• review the appropriate level of dividends annually to take account of investment returns achieved and future prospects; and

• maintain VCT status to enable qualifying investors to retain their income tax relief of up to 30 per cent. on the initial investment and receive tax-free dividends and capital growth.

Full details of the Company's investment policy can be found below.

Financial Review 13 Months to 28 February 2011 Total return Total return £308,000 Total return per ordinary share 8.3p Revenue Net loss after tax £(112,000) Revenue return per ordinary share (3.0)p Dividend Recommended final dividend 5.25p As at 28 February 2011

Assets (investments valued at bid market prices)

Net assets £4,836,000 Net asset value ("NAV") per ordinary share

102.1p

Mid market quotation

Ordinary shares 99.5p Discount to bid price NAV (2.5)% As at 30 April 2011 Unaudited net asset value per ordinary share

102.9p

Unaudited net asset value per C ordinary share

93.8p

Chairman's Statement

I am delighted to present your Company's results for the period ended 28 February 2011. The Investec Structured Products Calculus VCT plc is a tax efficient listed company which aims to address shareholder needs for:

● attractive tax free dividends;

● a clear strategy for returning capital;

● downside protection through the Structured Products portfolio and investmentin lower risk VCT qualifying companies with a high percentage of investments inloan stock and preference shares; and

● low annual management fees.

The Company, which launched in March 2010, is a joint venture between InvestecStructured Products (part of Investec Plc which is a member of the FTSE 100)and Calculus Capital, and brings together both Investment Managers' awardwinning expertise in their respective fields of structured products and venturecapital.Despite launching late in the 2009/10 tax year, the Company nevertheless raiseda creditable £3.87 million (before expenses) in the initial ordinary shareoffer before it closed in April 2010. Following shareholder approval, a furtherordinary share offer was launched in September 2010, and raised £0.92 million(before expenses) before closing in December 2010. Most recently, a C shareoffer was launched in January 2011 and raised £1.92 million (before expenses),closing at the end of April 2011. To date, the Company has raised a net totalof £6.46 million. Your Board and Investment Managers committed £1.18 million ofthis total, demonstrating their confidence in the Company and the productoffering. The additional fundraisings undertaken have further increased thesize of the Company over which the annual running costs can be spread and willprovide greater opportunities for diversification.After the close of the initial offer in April 2010, the two Investment Managersbegan implementation of the Company's investment plans. Investec has investedapproximately £2.4 million in a range of Structured Products of varyingdurations and counterparties to date, and Calculus Capital has made threeQualifying Investments (one of which has been made since the period end),totalling approximately £0.9 million.The net asset value per ordinary share was 102.1p as at 28 February 2011 andhas subsequently risen to 102.9p as at 30 April 2011. Since 5 May 2010, when weinvested in the first Structured Product, the FTSE 100 index level is up 12 percent. (up to 28 February 2011), making the Company one of the best performingof its 2010/11 peer group. Your Board and Investment Managers are encouraged bythe performance of the Company to date and believe it is well placed to makefurther progress in the forthcoming year.

Structured Products Portfolio

Our non-qualifying investments are managed by Investec Structured Products. Asat 28 February 2011, your Company held a portfolio of six Structured Products based on the FTSE 100 Index. The products differ by duration and counterparty, in order to minimise risk and create a diversified portfolio of investments. New funds raised under the C share offer will be used to buy additional Structured Products. Up to 20 per cent. of the Structured Products portfolio of the C shares fund will be able to be invested in other indices besides the FTSE 100 Index.

Venture Capital Investments

Calculus Capital manages the portfolio of Venture Capital Investments made bythe Company. It is intended that approximately 75 per cent. of the Company'sfunds will be invested over a three year period in a diversified portfolio ofholdings in unquoted VCT qualifying companies. In order to achieve this, therewill be a phased reduction in the Structured Products portfolio and acorresponding increase in the portfolio of Venture Capital Investments.In July 2010, the Company made its first VCT Qualifying Investment, investing £250,000 in Terrain Energy Limited ("Terrain"), as part of a £750,000fundraising round. Terrain was established in October 2009 to develop aportfolio of onshore oil and gas production and development interests in areasof low political risk, with the current focus being the UK. The portfolio oflicences, all of which are located in the UK, includes currently oil producing,scheduled for near term production, appraisal and exploration projects. Anadditional £50,000 was invested after the period end in Terrain.In November 2010, the Company invested £299,377 in Abingdon based LimeTechnology Limited ("Lime"). Lime was founded in 2002 and is a leader inrenewable lime and hemp based building products for the mainstream constructionindustry. Lime produces Tradical® Hemcrete® which is a negative carbonbio-composite product comprised of hemp and a lime based binder. Through itssubsidiary, Hemp Technology, the company controls the hemp supply chain fromseed to finished wall.

A more detailed analysis of the investment portfolios can be found in the respective Investment Managers' Reviews that follow this statement.

Dividend

In line with our aim to provide a regular tax free dividend stream, the Directors are pleased to propose a final dividend of 5.25p per ordinary share which, subject to shareholder approval, will be paid on 29 July 2011 to ordinary shareholders on the register on 3 June 2011.

Board Changes

Christopher Wightman stepped down as a Director and as Chairman of the Companyon 10 February 2011 in order to concentrate on his other business commitments.On behalf of the Board, I would like to thank Chris for the experience hebrought and the commitment he made to the Company from its launch.I am pleased to introduce Kate Cornish-Bowden as a new non-executive Directorof the Company. Kate was appointed on 10 February 2011. She brings with her awealth of experience from her time at Morgan Stanley and the Board welcomes herto the Company.

Ian Wohlman will be retiring as a Director at the Annual General Meeting. I would like to thank Ian for all his assistance since the launch of the Company.

Developments Since the Period End

Since the period end, the Company has issued 1,931,095 C shares under the Cshare offer, raising £1,920,500. The Investment Managers are reviewing investmentopportunities and it is expected that the first investment of the C shares fundin Structured Products will be made shortly.In addition, a further two Qualifying Investments have been made since thebalance sheet date. In March an additional £50,000 was invested in Terrain and£300,000 was invested in MicroEnergy Services Limited in early April. Furtherdetails of these investments are contained in the Investment Manager's Review(Qualifying Investments).Outlook

Promising and entrepreneurial unquoted companies of the kind backed by theInvestec Structured Products Calculus VCT are a key element in the country'seconomic recovery, as demonstrated by moves in the Chancellor's recent budgetstatement to increase investment in such companies. The decline in provision ofother forms of funding for promising companies, such as bank finance or anactive smaller companies Initial Public Offering market, also provide anattractive investment scenario. Your Board and Investment Managers believe yourCompany is well placed to take advantage of these opportunities, in particularat a time when valuations remain low by historic standards.Michael O'HigginsChairman23 May 2011

Investment Manager's Review (Qualifying Investments)

Portfolio Developments

Calculus Capital Limited manages the portfolio of Venture Capital Investments made by the Company. It is intended that approximately 75 per cent. of the Company's funds will be invested over a three year period in a diversified portfolio of holdings in unquoted VCT qualifying companies.

During the period under review, the Company completed two Qualifying Investments in unquoted companies, Terrain Energy Limited ("Terrain") and Lime Technology Limited ("Lime").

Terrain Energy Limited

In July 2010, the Company invested £250,000 in Terrain, of which £50,000 was in ordinary shares and £200,000 was in the form of 7 per cent. long-term loan stock. Terrain was established in October 2009 to develop a portfolio of onshore oil and gas production and development assets, predominantly in the UK.

The portfolio of licences, all of which are located in the UK, includes currently oil producing, scheduled for near term production, appraisal and exploration projects.

Oil is currently produced from the Keddington field on the East Midlandslicence (PEDL005) and the ongoing evaluation of this field is expected to leadto increased field production and revenues during 2011. Terrain holds a 15 percent. interest in the PEDL005, with 75 per cent. owned by Egdon Resources plcand 10 per cent. by Alba Resources Limited, a wholly owned subsidiary ofNautical Petroleum plc. The field also produces large volumes of gas and theuse of the gas for electricity generation and export to the grid is underevaluation. Drilling of an additional well commenced after the period end inearly April 2011, and this well is designed to increase total field productionat a time of high oil prices and also to provide additional reservoirinformation in an untested part of the field to enable an investment decisionto be taken on the scale of the proposed gas to electricity generation project.Further development of the rest of the portfolio is also planned for later in2011 including the restart of oil production at the Kirklington licence(PEDL203) and at the Dukes Wood licence (PEDL118), both of which are also inthe East Midlands. Terrain holds a 25 per cent. interest in each of theselicences.After the period end, Terrain acquired a 10 per cent. interest in anexploration licence in Northern Ireland (PL/10 Central Larne - Lough NeaghBasin) in a farm out arrangement from Infrastrata plc which retains a 30 percent. interest. Other participants include IS E&P Limited with 40 per cent. andNautical Petroleum plc with 20 per cent. The licence covers 663 squarekilometres with permitted development rights for drilling an exploration well.The main prospect is a conventional gas play with a gross reserve potential of2,800 billion cubic feet.After the period end, the Company invested a further £50,000 as ordinary equityat £1.28 per share as part of a total fundraising of £750,000. The fundraisingwas part of a funding programme intended to give Terrain visibility over itsfunding needs to meet development, appraisal and exploration commitments untilthe end of 2012.As a relatively new company, Terrain has not yet filed statutory accounts.Latest Audited Results Investment Information No statutory accounts have been filed Total cost

£250,000

Income recognised in period £8,921 Valuation basis: Fair value based on cost of investment, supported by discounted cash flow and comparable company analysis Total valuation £257,142 Voting rights* 1.77%

* Other funds managed by Calculus Capital have an interest in this company andhave a combined equity holding of 24.96 per cent. This follows the additionalinvestment in Terrain in March 2011.

Lime Technology Limited

Lime, based in Abingdon, was founded in 2002, and is a leader in renewable limeand hemp based building products for the mainstream construction industry. Limeproduces Tradical® Hemcrete® which is a negative carbon bio-composite productcomprised of hemp and a lime based binder. Through its subsidiary, HempTechnology, the company controls the hemp supply chain from seed to finishedwall.£299,377 was invested in Lime in November 2010 (£49,377 in equity shares and £250,000 in 7 per cent. long-term loan stock). The investment in the equityshares represents 0.47 per cent. of fully diluted total shares. The totalfunding round in Lime was £2.6 million and, of this, Calculus Capital's EISfunds invested approximately £1.28 million.Regulatory compliance with the Code for Sustainable Homes is a key driver inbringing the company's products into the mainstream construction industry.Developers of commercial buildings are also under pressure to build moreresponsibly. Hemcrete® exhibits excellent thermal properties, ideal forcreating comfortable buildings which meet the higher level Code for SustainableHomes and BREEAM ("BRE Environmental Assessment Method") excellent standards.Tradical® Hemcrete® has been specified in two sustainable housing developmentsand in the new Adnams distribution centre, a temperature controlled warehousefor the Wine Society and Marks & Spencer's Cheshire Oaks store.

As a small company, Lime is exempt from filing full accounts.

Latest Audited Results Investment Information Period ended 4 November 2010 Total cost £299,377 Net assets £1,358,275 Income recognised in period £5,561

Valuation basis: Fair value based on

cost of investment Total valuation £299,377 Voting rights* 0.49%

* Other funds managed by Calculus Capital have an interest in this company and had a combined equity holding of 12.12 per cent.

As at the period end, £549,377 had been invested in qualifying holdings representing approximately 12.1 per cent. of the net funds raised.

Developments Since the Period End

Since the period end, as described above, the Company has invested a further £50,000 in ordinary equity in Terrain as part of a fundraising programmeintended to give Terrain visibility over its funding needs to meet development,appraisal and exploration commitments until the end of 2012.Additionally, in early April, £300,000 was invested in MicroEnergy ServicesLimited ("MicroEnergy"). MicroEnergy is a company set up to acquire renewable,microgeneration facilities, including (but not limited to) wind, anaerobicdigestion, hydro and micro CHP (Combined Heat and Power). MicroEnergy iscurrently in negotiations to acquire its first renewable energy assets. Theinvestment was provided as £150,000 as ordinary equity and £150,000 in the formof long-term loan stock with a coupon of 7 per cent. The total funding roundwas £1,950,000 which was provided from funds managed or advised by CalculusCapital and the Company's equity interest following this fundraising was 8.7per cent.Outlook

The Company continues to build a diversified portfolio of good quality Qualifying Investments which the Investment Manager believes will deliver sustained long-term performance. We believe that the current market remains attractive for investment in qualifying unquoted companies, as access to finance for such companies remains tight and economic conditions have lowered valuations to more realistic levels.

Calculus Capital Limited23 May 2011

Investment Manager's Review (Structured Products)

In line with the Company's strategy set out in the original Offer document, alarge percentage of the cash raised has been used to build a portfolio ofStructured Products. The portfolio of Structured Products has been constructedwith different issuers and differing maturity periods to minimise risk andcreate a diversified portfolio. The FTSE 100 Initial Index Levels for theseinvestments range from 4,805.75 to 5,341.93.All of the Structured Product investments to date have potential returns thatare by way of a fixed amount payable as long as the Final Index Level is higherthan the Initial Index Level (e.g. for the Abbey National Treasury ServicesStructured Product the fixed amount is 85 per cent. (plus 100 per cent. of theinitial notional amount) if the Final Index Level is higher than the InitialIndex Level of 4,940.68). All of the products have capital at risk on aone-to-one basis if the FTSE 100 falls by more than 50 per cent. at any timeduring the term and fails to recover at maturity such that the Final IndexLevel is below the Initial Index Level.There have been no new investments made into the Structured Products portfoliosince the last reporting period. As at 28 February 2011 the Structured Productsportfolio was valued at £2,882,000, and the FTSE 100 closing level on this daywas 5994.01.

The Investment Manager constantly reviews the portfolio of investments to assess asset allocation and the need to realise investments.

Structured Products Portfolio as at 28 February 2011

FTSE 100 Price Valuation Initial as at 28 as at 28 Return/ Index Notional Purchase February February CapitalIssuer Strike Maturity Level Investment Price Cost 2011 2011 at Risk Date Date ("CAR")* The Royal 05/05/ 12/05/ 5,341.93 £275,000 £0.9600 £264,000 £1.0729 £295,048 162.5%Bank of 2010 2015 if FTSEScotland 100** higher; CAR if FTSE 100 falls by more than 50% Investec 14/05/ 19/11/ 5,262.85 £500,000 £0.9791 £489,550 £1.1636 £581,786 185% ifBank 2010 2015 FTSE 100** higher; CAR if FTSE 100 falls by more than 50% Santander 25/05/ 18/11/ 4,940.68 £350,000 £0.9898 £346,430 £1.2654 £442,890 185% ifGlobal 2010 2015 FTSEBanking 100**and higher;Markets CAR if(Abbey FTSENational 100Treasury fallsServices) by more than 50%

* Capital at Risk ("CAR") is explained in note 16.

The above investments have been designed to meet the 43.75p per ordinary shareinterim return by 14 December 2015. A total of £1,099,980 (24.20 per cent. ofnet monies raised) was invested in the above Structured Products. Assuming noissuer defaults and if the FTSE 100 Final Index Level is higher than theInitial Index Level, then these investments will return £2,019,375, equivalentto 42.62p per ordinary share. FTSE 100 Price Valuation Initial as at 28 as at 28 Return/ Index Notional Purchase February February CapitalIssuer Strike Maturity Level Investment Price Cost 2011 2011 at Risk Date Date ("CAR") Nomura 28/05/ 20/02/ 5,188.43 £350,000 £0.9800 £343,000 £1.1572 £405,020 137% ifBank 2010 2013 FTSEInternational 100** higher; CAR if FTSE 100 falls by more than 50% Morgan 10/06/ 17/12/ 5,132.50 £500,000 £1.0000 £500,000 £1.1544 £577,200 134% ifStanley 2010 2012 FTSE 100** higher; CAR if FTSE 100 falls by more than 50% HSBC Bank 01/07/ 06/07/ 4,805.75 £500,000 £1.0000 £500,000 £1.1591 £579,550 125.1% 2010 2012 if FTSE 100** higher; CAR if FTSE 100 falls by more than 50%The above investments mature prior to year 3 and target an average return of13.15 per cent. per annum. These investments may be sold prior to maturity ifit is deemed that a greater return can be made by Calculus Capital inQualifying Investments.** The Final Index Level is calculated using 'averaging', meaning that we takethe average of the closing levels of the FTSE 100 on each Business Day over the2 - 6 months of the Structured Product plan term (the length of the averagingperiod may differ for each plan). The use of averaging to calculate the returncan reduce adverse effects of a falling market or sudden market falls shortlybefore maturity. Equally, it can reduce the benefits of an increasing market orsudden market rises shortly before maturity.Investec Structured Products23 May 2011Investment Portfolioas at 28 February 2011Net assets % of net assets Structured Products 60% Unquoted - loan stock 9% Unquoted - ordinary and preference 2%shares Unquoted - liquidity funds 21% Net current assets 8% 100%Sector % of portfolio Structured Products 64% Unquoted - Qualifying Investments 12% Unquoted - other non-Qualifying 24%Investments 100% Book Cost Valuation % of Net % ofCompany Nature of £'000 £'000 Assets Portfolio Business Structured Products Investec Bank Banking 490 582 12% 13% The Royal Bank of Banking 264 295 6% 6%Scotland Santander Global Banking 346 443 9% 10%Banking and Markets (Abbey National Treasury Services) Nomura Bank Banking 343 405 9% 9%International Morgan Stanley Banking 500 577 12% 13% HSBC Bank Banking 500 580 12% 13% Total Structured 2,443 2,882 60% 64%Products Qualifying Investments Terrain Energy Onshore oil 250 257 5% 6%Limited and gas production Lime Technology Construction 299 299 6% 6%Limited Total Qualifying 549 556 11% 12%Investments Other non-Qualifying Investments Fidelity Liquidity Liquidity fund 350 350 7% 8%Fund Goldman Sachs Liquidity fund 350 350 7% 8%Liquidity Fund Scottish Widows Liquidity fund 350 350 7% 8%Liquidity Fund Total Other 1,050 1,050 21% 24%non-Qualifying Investments Total Investments 4,042 4,488 92% 100% Net Current Assets less Creditors due after one year 348 8% Net Assets 4,836 100% Board of Directors

Michael O'Higgins (Chairman)*

Kate Cornish-Bowden*John GlencrossSteve Meeks

Mark Rayward (Audit Committee Chairman)*

Philip Swatman*

Ian Wohlman

* independent of the Investment Managers

Investment Managers

Calculus CapitalCalculus Capital Limited is the Venture Capital Investments portfolio manager(VCT Qualifying Investments).

Investec Structured Products Investec Structured Products (a trading name of Investec Bank plc) is the Structured Products portfolio manager (non VCT Qualifying Investments).

Business ReviewActivities and status

The Company is registered as a public limited company and incorporated in England and Wales with registration number 07142153. Its shares have a premium listing and are traded on the London Stock Exchange.

The Company carries on business as a venture capital trust and its affairs areconducted in a manner to satisfy the conditions to enable it to obtain approvalas a venture capital trust under sections 258-332 of the Income Tax Act 2007("ITA 2007"). Details of the Company's investment policy are set out below.During the period, the Company was an investment company under section 833 ofthe Companies Act 2006. On 18 May 2011 investment company status was revoked.This was done in order to allow the Company to pay dividends to shareholdersusing the special reserve, which had been created on the cancellation of theshare premium account on 20 October 2010.

This Business Review should be read in conjunction with the Chairman's Statement, the Investment Managers' Reviews and the portfolio analysis.

Performance

The Board reviews performance by reference to a number of key performance indicators ("KPIs") and considers that the most relevant KPIs are those that communicate the financial performance and strength of the Company as a whole:

- total return per share- net asset value per share

- share price and discount/premium to net asset value

Further KPIs are those which show the Company's position in relation to the VCTtests which it is required to meet in order to meet and maintain its VCTstatus. These tests are set out in the full Annual Report and Accounts. TheCompany has received provisional approval as a VCT from HM Revenue & Customs.All the relevant VCT qualifying tests were met throughout the period.

The total return (after tax) for the period ended 28 February 2011 attributable to the ordinary shareholders was £308,000.

The fair value of the Company's investments at 28 February 2011 was £4.5 million.

The financial performance of the Company is set out below:

Period Ended 28 February 2011 Total return per ordinary share 8.3p NAV per ordinary share 102.1p Ordinary share price 99.5p Ordinary share price discount to NAV 2.5%

Dividend

The Directors are recommending a final dividend of 5.25p per ordinary share.Subject to approval by shareholders at the Annual General Meeting, thisdividend will be paid on 29 July 2011 to ordinary shareholders on the registeron 3 June 2011.Share capitalThe issued share capital on incorporation was 20 ordinary shares of 1p each. Atotal of 4,738,443 ordinary shares, with an aggregate nominal value of £47,384and a total consideration of £4,787,269, were issued during the year, asfollows:

• 3,867,897 ordinary shares were issued at 100p per share under the Offer for Subscription dated 3 March 2010.

• a further ordinary share offer was launched on 20 September 2010 and the following shares were issued:

- 115,830 ordinary shares at 103.6p per share on 5 October 2010

- 226,446 ordinary shares at 105.3p per share 2 November 2010

- 89,292 ordinary shares at 105.8p per share on 16 November 2010

- 18,250 ordinary shares at 105.2p per share on 30 November 2010

- 420,728 ordinary shares at 106.3p per share on 13 December 2010

5,000,000 redeemable non-voting shares of 1p each were issued to Investec Structured Products, an investment manager of the Company, on 10 February 2010 to enable the Company to register as a public limited company. These shares were redeemed in full on 29 June 2010.

At the year end, the issued share capital comprised 4,738,463 ordinary shares. No shares are held in treasury.

An offer for subscription for C ordinary shares of 1p each ("C shares") was launched in January 2011 and the following shares have been issued since the period end:

- 1,644,826 C shares at 100p per share on 1 April 2011

- 187,679 C shares at 100p per share on 5 April 2011

- 98,590 C shares at 100p per share on 4 May 2011

The ordinary shares and C shares have equal voting rights, and at general meetings of the Company, holders are entitled to one vote on a show of hands and on a poll to one vote for every share held.

At the date of this report, the issued share capital comprises 4,738,463 ordinary shares (representing 71.05 per cent. of total voting rights) and 1,931,095 C shares (representing 28.95 per cent. of total voting rights).

There are no restrictions concerning the transfer of securities in the Company;no special rights with regard to control attached to securities; no agreementsbetween holders of securities regarding their transfer known to the Company;and no agreements which the Company is party to that might affect its controlfollowing a successful takeover bid.The authority to issue or buy back the Company's shares and amendment of theCompany's Articles of Association require a relevant resolution to be passed byshareholders. At the General Meeting held on 6 September 2010, the Directorswere granted authority to allot ordinary and C shares up to an aggregatenominal amount of £165,000 and £275,000 respectively. They were also authorisedto issue for cash (without rights of pre-emption applying) and buyback bothordinary and C shares. The Board's proposals for the renewal of the authoritiesto issue and buyback shares are set out in the full Annual Report and Accounts.Investment policyAsset allocation

It was intended that approximately 75 per cent. of the monies raised by theCompany would be invested within 60 days in a portfolio of Structured Products.The balance would be used to meet initial costs and invested in cash or nearcash assets (as directed by the Board) and would be available to invest inVenture Capital Investments, as well as to fund ongoing expenses.In order to qualify as a VCT, at least 70 per cent. of the Company's assetsmust be invested in Venture Capital Investments within approximately threeyears. Thus, in respect of monies raised from time to time, there will be aphased reduction in the Structured Products portfolio and corresponding buildup in the portfolio of Venture Capital Investments to achieve and maintain this70 per cent. threshold along the following lines:

Average Exposure per Year Year 1 Year 2 Year 3 Year 4 Year 5 Year 6+

Structured Products and cash/ 85% 75% 35% 25% 25% 0%near cash Venture Capital Investments 15% 25% 65% 75% 75% 100%Note: the investment allocation set out above is only an estimate and theactual allocation will depend on market conditions, the level of opportunitiesand the comparative rates of returns available from Venture Capital Investmentsand Structured Products.The combination of Venture Capital Investments and the Structured Products willbe designed to produce ongoing capital gains and income that will be sufficientto maximise both annual dividends for the first five years from funds beingraised and an interim return by an interim return date by way of a specialdividend or cash tender offer for shares. After the interim return date, unlessInvestec Structured Products are requested to make further investments inStructured Products, the relevant fund will be left with a portfolio of VentureCapital Investments managed by Calculus Capital with a view to maximisinglonger term returns. Such returns will then be dependent, both in terms ofamount and timing, on the performance of the Venture Capital Investments butwith the intention to source exits as soon as possible.The portfolio of Structured Products will be constructed with different issuersand differing maturity periods to minimise risk and create a diversifiedportfolio. The maximum exposure to any one issuer will be limited to 15 percent. of the assets of the Company at the time of investment. StructuredProducts can and may be sold before their maturity date if required for thepurposes of making Venture Capital Investments and Investec Structured Productshave agreed to make a market in the Structured Products, should this berequired by the Company.The intention for the portfolio of Venture Capital Investments is to build adiverse portfolio of primarily established unquoted companies across differentindustries. In order to generate income and where it is felt it would enhanceshareholder return, investments may be structured to include loan stock and/orredeemable preference shares as well as ordinary equity. It is intended thatthe amount invested in any one sector and any one company will be no more thanapproximately 20 per cent. and 10 per cent. respectively of the Venture CapitalInvestments portfolio (in both cases at the date of investment).The Board and its Investment Managers review the portfolio of investments on aregular basis to assess asset allocation and the need to realise investments tomeet the Company's objectives or maintain VCT status. Where investmentopportunities arise in one asset class which conflicts with assets held oropportunities in another asset class, the Board will make the investment/divestment decision.Under its Articles of Association, the Company has the ability to borrow amaximum amount equal to 25 per cent. of the aggregate amount paid on all sharesissued by the Company (together with any share premium thereon). The Board willconsider borrowing if it is in the shareholders' interests to do so. Inparticular, because the Board intends to minimise cash balances, the Companymay borrow on a short-term to medium-term basis (in particular, againstStructured Products) for cashflow purposes and to facilitate the payment ofdividends and expenses in the early years.The Company will not vary the investment objective or the investment policy, toany material extent, without the approval of shareholders. The Company intendsto be a generalist VCT investing in a wide range of sectors.

Risk diversification

The Board controls the overall risk of the Company. Calculus Capital will ensure the Company has exposure to a diversified range of Venture Capital Investments from different sectors. Investec Structured Products will ensure the Company has exposure to a diversified range of Structured Products. The Board believes that investment in these two asset classes provides further diversification.

Co-investment policy

Calculus Capital has a co-investment policy between its various funds wherebyinvestment allocations are generally offered to each party in proportion totheir respective funds available for investment, subject to: (i) a prioritybeing given to any of the funds in order to maintain their tax status; (ii) thetime horizon of the investment opportunity being compatible with the exitstrategy of each fund; and (iii) the risk/reward profile of the investmentopportunity being compatible with the target return for each fund. The terms ofthe investments may differ between the parties. In the event of any conflictsbetween the parties, the issues will be resolved at the discretion of theindependent Directors, designated members and committees. It is not intendedthat the Company will co-invest with Directors or members of the CalculusCapital management team (including family members).In respect of the Venture Capital Investments, funds attributable to separateshare classes will co-invest (i.e. pro rata allocation per fund, unless one ofthe funds has a pre-existing investment where the incumbent fund will havepriority, or as otherwise approved by the Board). Any potential conflict ofinterest arising will be resolved on a basis which the Board believes to beequitable and in the best interests of all shareholders. A co-investment policyis not considered necessary for the Structured Products.

Policy on Qualifying Investments

Calculus Capital follows a disciplined investment approach which focuses oninvesting in more mature unquoted companies where the risk of capital loss isreduced and prospects for exit enhanced, typically by the cash generativecharacteristics and/or strong asset bases of the investee companies. CalculusCapital, therefore, intends to:

• Invest in a diversified portfolio from a range of different sectors.

• Focus on companies which are cash generative and/or with a strong asset base.

• Structure investments to include loans and preference shares where it is felt this would enhance shareholder return.

• Invest in companies which operate in sectors with a high degree of predictability and a defensible market position.

• Invest in companies which can benefit both from the capital provided by Calculus Capital but also from the many years of operating and financial experience of the Calculus Capital team.

It is intended that the Venture Capital Investments portfolio will be spreadacross a number of investments and the amount invested in any one sector andany one company will be no more than approximately 20 per cent. and 10 percent. respectively (in both cases at the date of investment).

VCT regulation

The Company's investment policy is designed to ensure that it will meet, andcontinue to meet, the requirements for approved VCT status from HM Revenue &Customs. Amongst other conditions, the Company may not invest more than 15 percent. (by value at the time of investment) of its investments in a singlecompany and must have at least 70 per cent. by value of its investmentsthroughout the period in shares or securities in qualifying holdings, of which30 per cent. by value must be ordinary shares which carry no preferentialrights ("eligible shares"). For funds raised from 6 April 2011, the requirementfor 30 per cent. to be invested in eligible shares was increased to 70 percent.

Principal risks and uncertainties facing the Company

The Company is exposed to a variety of risks. The principal financial risks and the Company's policies for managing these risks and the policy and practice with regard to financial instruments are summarised in note 16 to the Accounts.

The Board has also identified the following additional risks and uncertainties:

Loss of approval as a venture capital trust and other regulatory breaches

The Company has received provisional approval as a VCT under ITA 2007. Failureto meet and maintain the qualifying requirements for VCT status could result inthe loss of tax reliefs previously obtained, resulting in adverse taxconsequences for investors, including a requirement to repay the income taxrelief obtained, and could also cause the Company to lose its exemption fromcorporation tax on chargeable gains.The Board receives regular updates from the Managers and financial informationis produced on a monthly basis. The Board has appointed an independent adviserto monitor and advise on the Company's compliance with the VCT rules.The Company is subject to compliance with the Companies Act 2006, the rules ofthe UK Listing Authority and ITA 2007. A breach of any of these could lead tosuspension of the listing of the Company's shares on the London Stock Exchangeand/or financial penalties, with the resulting reputational implications.

Venture Capital Investments

There are restrictions regarding the type of companies in which the Company mayinvest and there is no guarantee that suitable investment opportunities will beidentified.Investment in unquoted companies, AIM-traded and PLUS Markets-traded companiesinvolves a higher degree of risk than investment in companies traded on themain market of the London Stock Exchange. These companies may not be freelymarketable and realisations of such investments can be difficult and can take aconsiderable amount of time. There may also be constraints imposed upon theCompany with respect to realisations in order to maintain its VCT status whichmay restrict the Company's ability to obtain the maximum value from itsinvestments.

Calculus Capital has been appointed to manage the Qualifying Investments portfolio, and has extensive experience of investing in this type of investment. Regular reports are provided to the Board.

Risks attaching to investment in Structured Products

Structured Products are subject to market fluctuations and the Company may losesome or all of its investment. In the event of a long-term decline in the FTSE100 Index (or, in the case of the C shares fund when investment commences, insuch other index as this fund may be invested), there will be no gains from theStructured Products. In the event of a fall in the relevant Index of more than50 per cent. at any time during the Structured Product term, and where theFinal Index Level is below the Initial Index Level, there will be losses on theStructured Products.

There may not be a liquid market in the Structured Products and there may never be two competitive market makers, making it difficult for the Company to realise its investment. Risk is increased further where there is a single market maker who is also the issuer of the Structured Product. Investec Structured Products has agreed to make a market in the Structured Products, should this be required by the Company.

Factors which may influence the market value of Structured Products includeinterest rates, changes in the method of calculating the relevant underlyingindex from to time and market expectations regarding the future performance ofthe relevant underlying index, its composition and such Structured Products.

Investec Structured Products has been appointed to manage the Structured Products portfolio for its expertise in these types of financial products. Restrictions have been agreed with Investec Structured Products relating to approved counterparties and maximum exposure to any one counterparty.

Liquidity/marketability risk

Due to the holding period required to maintain up-front tax reliefs, there is alimited secondary market for VCT shares and investors may therefore find itdifficult to realise their investments. As a result, the market price of theshares may not fully reflect, and will tend to be at a discount to, theunderlying net asset value. The level of discount may also be exacerbated bythe availability of income tax relief on the issue of new VCT shares. The Boardrecognises this difficulty, and has taken powers to buy back shares, whichcould be used to enable investors to realise investments.

Changes to legislation/taxation

Changes in legislation or tax rates concerning VCTs in general, and VentureCapital Investments and qualifying trades in particular, may limit the numberof new Venture Capital Investment opportunities, and thereby adversely affectthe ability of the Company to achieve or maintain VCT status, and/or reduce thelevel of returns which would otherwise have been achievable.

Engagement of third party advisers

The Company has no employees and relies on services provided by third parties.The Board has appointed Calculus Capital as Investment Manager of theQualifying Investments portfolio and Investec Structured Products as InvestmentManager of the Structured Products portfolio. Capita Sinclair Henderson Limitedprovides administration, accounting and company secretarial services, andRensburg Sheppards act as custodian.

C shares versus ordinary shares

The assets relating to the C shares will be managed and accounted for separately from the assets attributable to the ordinary shares. However, a number of company regulations and VCT requirements are assessed at company level and, therefore, the performance of one fund may impact adversely on the other. The Board will monitor both the performance of each separate fund as well as requirements at a company level to reduce the risk of this occurring.

Future developments

The Directors believe that the Company is well placed to make progress during 2011.

Corporate social responsibility

The Company has no employees and the Board is comprised entirely of non-executive Directors. Day to day management of the Company's business is delegated to the Investment Managers and the Company itself has no environmental, social or community policies. In carrying out its activities and in relationships with suppliers, the Company aims to conduct itself responsibly, ethically and fairly.

The full Annual Report and Accounts contain the following statements regarding responsibility for the Accounts.

Directors' Responsibilities Statement

Statement of Directors' Responsibilities in respect of the Annual Report and the Accounts

The Directors are responsible for preparing the Annual Report and the Accounts in accordance with applicable law and regulations.

Company law requires the Directors to prepare Accounts for each financial year.Under that law they have elected to prepare the Accounts in accordance withUnited Kingdom Generally Accepted Accounting Practice (United KingdomAccounting Standards and applicable laws). Under company law the Directors mustnot approve the Accounts unless they are satisfied that they give a true andfair view of the state of affairs and profit or loss of the Company for thatperiod.

In preparing these Accounts, the Directors are required to:

• select suitable accounting policies and then apply them consistently;

• make judgments and estimates that are reasonable and prudent;

• state whether applicable UK Accounting Standards have been followed, subject to any material departures disclosed and explained in the Accounts; and

• prepare the Accounts on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for keeping adequate accounting records that aresufficient to show and explain the Company's transactions and disclose withreasonable accuracy at any time the financial position of the Company andenable them to ensure that the Accounts comply with the Companies Act 2006.They are also responsible for safeguarding the assets of the Company and hencefor taking reasonable steps for the prevention and detection of fraud and otherirregularities.Under applicable law and regulations, the Directors are also responsible forpreparing a Directors' Report (including Business Review), Directors'Remuneration Report and Corporate Governance Statement that comply with thatlaw and those regulations, and for ensuring that the Annual Report includesinformation required by the Listing Rules of the Financial Services Authority.

In so far as each of the Directors is aware:

• there is no relevant audit information of which the Company's Auditor is unaware; and

• the Directors have taken all steps that they ought to have taken to makethemselves aware of any relevant audit information and to establish that theAuditor is aware of that information.The Accounts are published on the www.calculuscapital.com website, which is awebsite maintained by one of the Company's Investment Managers, CalculusCapital Limited. The maintenance and integrity of the website maintained byCalculus Capital Limited is, so far as it relates to the Company, theresponsibility of Calculus Capital Limited. The work carried out by the Auditordoes not involve consideration of the maintenance and integrity of this websiteand accordingly, the Auditor accepts no responsibility for any changes thathave occurred to the Accounts since they were initially presented on thewebsite. Visitors to the website need to be aware that legislation in theUnited Kingdom covering the preparation and dissemination of the Accounts maydiffer from legislation in their jurisdiction.

We confirm that to the best of our knowledge:

• the Accounts, prepared in accordance with the applicable set of accounting standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and

• the Annual Report includes a fair review of the development and performanceof the business and the position of the Company together with a description ofthe principal risks and uncertainties that it faces.On behalf of the BoardMichael O'HigginsChairman23 May 2011Non-Statutory AccountsThe financial information set out below does not constitute the Company'sstatutory accounts for the period ended 28 February 2011 but is derived fromthose accounts. Statutory accounts for 2011 will be delivered to the Registrarof Companies in due course. The Auditor has reported on those accounts; theirreport was (i) unqualified, (ii) did not include a reference to any matters towhich the Auditor drew attention by way of emphasis without qualifying theirreport and (ii) did not contain a statement under Section 498 (2) or (3) of theCompanies Act 2006. The text of the Auditor's report can be found in theCompany's full Annual Report and Accounts at www.calculuscapital.com.

Income Statement

for the period from 1 February 2010 to 28 February 2011

Period Ended 28 February 2011 Revenue Capital Total Return Return Note £'000 £'000 £'000 Investment holding gains 8 - 446 446 Income 2 20 - 20 Investment management fee 3 (9) (26) (35) Other operating expenses 4 (123) - (123) (Loss)/profit on ordinary (112) 420 308 activities before taxation

Taxation on ordinary activities 5 - -

- (Loss)/profit on ordinary (112) 420 308 activities after taxation

Return per ordinary share - basic 7 (3.0)p 11.3p 8.3p

The total column of this statement represents the Company's Income Statement.

The supplementary revenue return and capital return columns are both preparedin accordance with the Association of Investment Companies ("AIC") Statement ofRecommended Practice ("SORP").

No operations were acquired or discontinued during the period.

All items in the above statement derive from continuing operations.

There were no recognised gains or losses other than those passing through the Income Statement.

The notes form an integral part of these Accounts.

Reconciliation of Movements in Shareholders' Funds for the period from 1 February 2010 to 28 February 2011

Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 For the period to 28 February 2011 1 February 2010 - - - - - - - (Loss)/profit for the - - - (26) 446 (112) 308 period Issue of redeemable 50 - - - - - 50 non-voting shares Redemption of redeemable (50) - - - - - (50)non-voting shares Increase in share 47 4,740 - - - - 4,787 capital in issue Expenses of share issues - (259) - - - - (259) Share premium cancelled - (3,729) 3,729 - - - - during period 28 February 2011 47 752 3,729 (26) 446 (112) 4,836

The notes form an integral part of these Accounts.

Balance Sheetas at 28 February 2011 28 February 2011 Note £'000 Fixed assets Investments designated at fair value through profit or 8 4,488 loss Current assets Debtors 9 214 Cash at bank and on deposit 326 540

Creditors: amounts falling due within one year

Creditors 10 (176) (176) Net current assets 364 Non-current liabilities IFA trail commission (16) Total net assets 4,836 Capital and reserve Called-up share capital 11 47 Share premium account 12 752 Special reserve 12 3,729

Capital reserve - realised 12

(26)

Capital reserve - unrealised 12

446 Revenue reserve 12 (112) Equity shareholders' funds 4,836 Net asset value per ordinary share 13

102.1p

These Accounts were approved by the Board of Directors and were authorised for issue on 23 May 2011 and were signed on its behalf:

Michael O'HigginsChairman

Registered No. 07142153 England & Wales

The notes form an integral part of these Accounts.

Cash Flow Statement

for the period from 1 February 2010 to 28 February 2011

Period Ended 28 February 2011 Note £'000 Operating activities Investment income received 7 Deposit interest received 6 Investment management fees (24) Other cash payments (169) Cash expended from operations 14

(180)

Cash flow from investing activities

Purchase of investments (4,042) Net cash outflow from investing activities

(4,042)

Net cash outflow before financing

(4,222)

Cash flow from financing activities Redeemable non-voting shares issued

50

Redemption of redeemable non-voting shares

(50) Shares issued 4,787 Expenses of share issues (239) Net cash inflow from financing activities

4,548

Increase in cash at bank and on deposit

326

The notes form an integral part of these Accounts.

Notes to the Accounts1. Accounting PoliciesBasis of accountingThese Accounts cover the 13 month period from incorporation on 1 February 2010to 28 February 2011, and have been prepared under the historical costconvention, except for the valuation of financial assets at fair value throughprofit or loss, in accordance with UK Generally Accepted Accounting Practice("UK GAAP").

In determining the analysis of total income and expenses as between capital return and revenue return, the Directors have followed the guidance contained in the AIC SORP, as revised in 2009, and on the assumption that the Company maintains VCT status.

The Company's Accounts are presented in Sterling.

Investments at fair value through profit or loss

The Company aims to invest in a portfolio of Structured Products and VentureCapital Investments that will provide sufficient total returns to allow theCompany to pay annual dividends and provide long-term capital returns forinvestors. As a result, all investments held by the Company are designated,upon initial recognition, as held at fair value through profit or loss, inaccordance with Financial Reporting Standard 26 'Financial Instruments:Recognition and Measurement'. The Company manages and evaluates the performanceof these investments on a fair value basis in accordance with its investmentstrategy, and information about the portfolio is provided internally on thisbasis to the Board. Fair value is the amount for which an asset can beexchanged between knowledgeable, willing parties in an arm's lengthtransaction. Investments held at fair value through profit or loss areinitially recognised at cost, being the consideration given and excludingtransaction or other dealing costs associated with the investment, which areexpensed and included in the capital column of the Income Statement.Subsequently, investments are measured at fair value, with gains and losses oninvestments recognised in the Income Statement and allocated to capital. Allpurchases and sales of investments are accounted for on the trade date basis.For investments actively traded in organised financial markets, fair value isgenerally determined by reference to quoted market bid, or last, pricesdepending on the convention of the exchange on which the investment is quoted,at the close of business on the Balance Sheet date.

Structured Products are valued by reference to the FTSE 100 Index with mid prices for the Structured Products provided by the product issuers. An adjustment is made to these prices to take into account any bid/offer spreads prevalent in the market at each valuation date. These spreads are either determined by the issuer or recommended by the Structured Products Manager, Investec Structured Products (a trading name of Investec Bank plc).

Returns are linked to the FTSE 100 Index by way of a fixed return that ispayable as long as the Final Index Level is no lower than the Initial IndexLevel (Final Index Level and Initial Index Level being the closing (or averageclosing) level of the FTSE 100 Index at the end of the relevant IndexCalculation Period (being the relevant period over which the Initial and FinalIndex Levels are determined in accordance with the terms of the StructuredProduct) for a Structured Product). All of the investments in StructuredProducts in respect of the ordinary shares fund will either be capitalprotected or capital at risk on a one-to-one basis where the FTSE 100 Indexfalls by more than 50 per cent. and the Final Index Level is below the InitialIndex Level. If the FTSE 100 Index does fall by more than 50 per cent. at anytime during the investment period and fails to recover at maturity, the capitalwill be at risk on a maximum one-to-one basis (i.e. if the FTSE 100 Index fallsby more than 50 per cent. during the investment period and on maturity is down25 per cent., capital within that Structured Product will be reduced by 25 percent.).

The majority of the Structured Products are designed to produce capital appreciation.

Unquoted investments are valued using an appropriate valuation technique so asto establish what the transaction price would have been at the Balance Sheetdate. Such investments are valued in accordance with the International PrivateEquity and Venture Capital Association ("IPEVCA") guidelines. Primaryindicators of fair value are derived from earnings multiples, recent arm'slength market transactions, net assets or, where appropriate, at cost forrecent investments or the valuation as at the previous reporting date.

Income

Dividends receivable on equity shares are recognised as revenue on the date onwhich the shares or units are marked as ex-dividend. Where no ex-dividend dateis available, the revenue is recognised when the Company's right to receive ithas been established.

Interest receivable from fixed income securities is recognised using the effective interest rate method. Interest receivable on bank deposits is included in the Accounts on an accruals basis.

The gains and losses arising on investments in Structured Products are allocated between revenue and capital according to the nature of each Structured Product. This is dependent on the extent to which the return on the Structured Product is capital or revenue based.

Other revenue is credited to the revenue column of the Income Statement when the Company's right to receive the revenue has been established.

Expenses

All expenses are accounted for on an accruals basis. Expenses are charged to the Income Statement as follows:

• expenses, except as stated below, are charged to the revenue column of the Income Statement;

• expenses incurred in the acquisition or disposal of an investment are taken to the capital column of the Income Statement;

• expenses are charged to the capital column of the Income Statement where aconnection with the maintenance or enhancement of the value of the investmentscan be demonstrated. In this respect management fees have been allocated 75 percent. to the capital column and 25 per cent. to the revenue column of theIncome Statement, being in line with the Board's expected long-term split ofreturns, in the form of capital gains and revenue respectively, from theinvestment portfolio of the Company; and• expenses associated with the issue of shares are deducted from the sharepremium account. Annual IFA trail commission to 14 December 2015 has beenprovided for in the Accounts as, due to the nature of the fund, it is probablethat this will be payable. The commission is apportioned between current andnon-current liabilities.Expenses incurred by the Company in excess of the agreed cap, currently 3 percent. of the gross amount raised from the offer for subscription of ordinaryshares for the 2009/2010 and 2010/2011 tax years (excluding irrecoverable VAT,annual trail commission and performance incentive fees), can be clawed backfrom Investec Structured Products until 14 December 2015 (the interim returndate for the ordinary shares). Any claw back is treated as a credit against theexpenses of the Company.

Investment management and performance fees

Calculus Capital, as Investment Manager of the VCT qualifying portfolio, willreceive an annual investment management fee of an amount equivalent to 1.0 percent. of the net assets of the Company.

Investec Structured Products, as Investment Manager of the Structured Products portfolio, will not receive any annual management fees from the Company. Investec Structured Products is entitled to an arrangement fee from the providers of Structured Products as detailed in note 17.

The Investment Managers will each receive a performance incentive fee payablein cash of an amount equal to 10 per cent. of dividends and distributions paid(including the relevant distribution being offered) to holders of ordinaryshares over and above 105 pence per ordinary share (this being a 50 per cent.return on an initial net investment of 70 pence per ordinary share taking intoaccount upfront income tax relief)provided holders of ordinary shares havereceived or been offered an interim return of at least 70 pence per share forpayment on or before 14 December 2015. Such performance incentive fees will bepaid within 10 business days of the date of payment of the relevant dividend ordistribution.Capital reserve

The capital return component of the return for the period is taken to the non-distributable capital reserves within the Reconciliation of Movements in Shareholders' Funds.

TaxationDeferred tax is recognised in respect of all timing differences that haveoriginated but not reversed at the Balance Sheet date where transactions orevents that result in an obligation to pay more tax in the future have occurredat the Balance Sheet date. This is subject to deferred tax assets only beingrecognised if it is considered more likely than not that there will be suitableprofits from which the future reversals of the underlying timing differencescan be deducted. Timing differences are differences between the Company'staxable profits and its results as stated in the Accounts.Deferred tax is measured at the average tax rates that are expected to apply inthe periods in which the timing differences are expected to reverse, based ontax rates and laws that have been enacted or substantially enacted by theBalance Sheet date. Deferred tax is measured on a non-discounted basis.

No taxation liability arises on gains from sales of fixed asset investments by the Company by virtue of its Venture Capital Trust status. However, the net revenue (excluding UK dividend income) accruing to the Company is liable to corporation tax at the prevailing rates.

Dividends

Dividends to shareholders are accounted for in the period in which they arepaid or approved in general meetings. Dividends payable to equity shareholdersare recognised in the Reconciliation of Movements in Shareholders' Funds whenthey are paid, or have been approved by shareholders in the case of a finaldividend and become a liability of the Company.2. Income Period Ended 28 February 2011 £'000 UK unfranked loan stock interest 14 Bank interest 6 20 Total income comprises: Interest 20 20 3. Management Fee Period Ended 28 February 2011 Revenue Capital Total £'000 £'000 £'000 Investment management fee 9 26 35

No performance fee was paid during the period.

4. Other Expenses Period Ended 28 February 2011 £'000 Directors' fees 73 Secretarial and accounting fees 60 Auditor's remuneration - audit services 17 - interim review 13 - reporting accountant on launch 10 - reporting accountant on issue of ordinary shares 7 - tax 5 Other 123 Clawback of expenses in excess of 3% cap (185) 123

Further details of Directors' fees can be found in the Directors' Remuneration Report in the full Annual Report and Accounts.

5. Taxation Period Ended 28 February 2011 Revenue Capital Total £'000 £'000 £'000

(Loss)/profit on ordinary activities before tax (112) 420 308

Theoretical tax at UK Corporation Tax rate of 28% (31) 118 87

Timing differences: Loss not recognised, carried 31 - 31 forward Effects of non-taxable gains/(losses) - (118)

(118)

Tax on (loss)/profit for the year - -

- 6. Dividends Period Ended 28 February 2011 £'000 Proposed final dividend: 5.25 p per 249ordinary share

The above dividend is proposed by the Company and is subject to approval by shareholders at the forthcoming Annual General Meeting. This proposed dividend has not been included as a liability in these Accounts.

7. Return per Ordinary Share Period Ended 28 February 2011 Revenue Capital Total pence pence pence Return per ordinary share (3.0) 11.3 8.3 Revenue return per ordinary share is based on the net revenue loss on ordinaryactivities after taxation of £112,000, and on 3,721,530 ordinary shares, beingthe weighted average number of ordinary shares in issue during the period.

Capital return per ordinary share is based on the net capital gain for the period of £420,000, and on 3,721,530 ordinary shares, being the weighted average number of ordinary shares in issue during the period.

Total return per ordinary share is based on the net gain for the period of £308,000, and on 3,721,530 ordinary shares, being the weighted average number of ordinary shares in issue during the period.

8. Investments Period Ended 28 February 2011 Structured Products Unquoted Other Investments Investments Investments Total £'000 £'000 £'000 £'000 Movements in period: Purchases at cost 2,443 549 1,050 4,042

Increase in unrealised appreciation 439 7 -

446 Closing valuation 2,882 556 1,050 4,488 Closing bookcost 2,443 549 1,050 4,042

Closing unrealised appreciation 439 7 -

446 2,882 556 1,050 4,488 Note 16 provides a detailed analysis of investments held at fair value throughprofit and loss in accordance with Financial Reporting Standard 29 'FinancialInstruments: Disclosures'.

During the period the Company incurred no transaction costs on purchases in respect of ordinary shareholder activities.

9. Debtors Period Ended 28 February 2011 £'000 Prepayments and accrued income 29 Clawback of expenses in excess of 3% cap 185 214 10. Creditors Period Ended 28 February 2011 £'000 IFA trail commission 4 Management fees 10 Audit fees 17 Directors' fees 13 Administration fees 10 Other creditors 122 176 11. Share Capital 28 February 2011 Number £'000 Ordinary shares of 1p each As at 1 February 2010 20 - Issue of ordinary shares 4,738,443 47 4,738,463 47 Redeemable non-voting shares of 1p each As at 1 February 2010 - - Issue of redeemable shares 5,000,000 50 Redemption of redeemable shares (5,000,000) (50) - - The Company was incorporated on 1 February 2010 with 20 subscriber shares.

Under the Articles of Association, a resolution for the continuation of the Company as a Venture Capital Trust will be proposed at the Annual General Meeting falling after the tenth anniversary of the last allotment (from time to time) of shares in the Company and thereafter at five-yearly intervals.

12. Reserves Share Capital Capital Premium Special Reserve Reserve Revenue Account Reserve Realised Unrealised Reserve £'000 £'000 £'000 £'000 £'000 Premium on issue of 4,740 - - - - ordinary shares Cancellation of share (3,729) 3,729 - - - premium Expenses of share issues (259) - - - - Unrealised net increase - - - 446 - in value of investments Management fee - - (26) - - capitalisation net of associated tax Revenue return on - - - - (112)ordinary activities after tax Closing balance 752 3,729 (26) 446 (112)

During the period, the Company was an investment company under section 833 ofthe Companies Act 2006. On 18 May 2011 investment company status was revoked.This was done in order to pay dividends to shareholders using the SpecialReserve.The Special Reserve was created by the cancellation of Share Premium on 20October 2010. The Special Reserve is a distributable reserve created to be usedby the Company inter alia to write off losses, fund market purchases of its ownordinary shares, make distributions and/or for other corporate purposes.13. Net Asset Value per Share Period Ended 28 February 2011 £'000 Total net assets £4,836,000 Number of shares in issue 4,738,463 Net asset value per ordinary share 102.1p The basic net asset value per ordinary share is based on net assets (includingcurrent period revenue) of £4,836,000 and on 4,738,463 ordinary shares, beingthe number of ordinary shares in issue at the end of the period.14. Reconciliation of Net Profit before Tax to Cash Expended from OperatingActivities Period Ended 28 February 2011 £'000 Profit on ordinary activities before taxation 308 Gains on investments (446) Increase in debtors (214) Increase in creditors 172 Cash expended from operating activities (180)The increase in creditors shown above does not agree with the movement shown inthe Balance Sheet principally because of the effect of the short-term liabilityfor trail commission of £4,000 included in creditors at the year end, which isnot part of operating activities.

15. Financial Commitments

At 28 February 2011 the Company did not have any financial commitments which had not been accrued for.

16. Financial InstrumentsThe Company's objective is to create two portfolios to produce ongoing capitalgains and income that will provide investment returns sufficient to maximiseannual dividends and to fund a special dividend or cash offer in year 6sufficient to bring distributions per share to 70p.Initially, a minimum of 66.5 per cent. of the monies raised by the Company hasbeen invested in a portfolio of Structured Products. The balance has beeninvested in cash or near cash assets (as directed by the Board) and it willthen be available to invest in Venture Capital Investments, as well as to fundexpenses.In order to qualify as a VCT, at least 70 per cent. of the Company'sinvestments must be invested in Venture Capital Investments withinapproximately three years of the relevant funds being raised. Thus, there willbe a phased reduction in the Structured Products portfolio and correspondingbuild up in the portfolio of Venture Capital Investments to achieve andmaintain this 70 per cent. threshold along the following lines:Average Exposure per Year 1 Year 2 Year 3 Year 4 Year 5 Year 6+Year Structured Products and 85% 75% 35% 25% 25% 0%cash/near cash assets Venture Capital 15% 25% 65% 75% 75% 100%Investments

As at 28 February 2011, the Company's investment portfolio comprised 64 per cent. Structured Products and 12 per cent. Qualifying Investments, by market value.

The Company's financial instruments comprise securities and cash and liquid resources that arise directly from the Company's operations.

The principal risks the Company faces in its portfolio management activities are:

• Market price risk• Credit risk• Liquidity risk

The Company does not have exposure to foreign currency risk.

With many years experience of managing the risks involved in investing inStructured Products and Venture Capital Investments respectively, both theInvestec Structured Products team and the Calculus Capital team, together withthe Board, have designed the Company's structure and its investment strategy toreduce risk as much as possible. The policies for managing these risks aresummarised below and have been applied throughout the period under review.

a) Market price risk

Structured Products

The return and valuation of the Company's investments in Structured Products islinked to the FTSE 100 Index by way of a fixed return that is payable as longas the Final Index Level is no lower than the Initial Index Level.All of the investments in Structured Products in respect of the ordinary sharesfund will either be capital protected or capital at risk on a one-to-one basiswhere the FTSE 100 Index falls by more than 50 per cent. and the Final IndexLevel is below the Initial Index Level. If the FTSE 100 Index does fall by morethan 50 per cent. at any time during the investment period and fails to recoverat maturity, the capital will be at risk on a maximum one-to-one basis (Capitalat Risk ("CAR")) (eg if the FTSE 100 Index falls by more than 50 per cent.during the investment period and on maturity is down 25 per cent., capitalwithin that Structured Product will be reduced by 25 per cent.). The tablebelow provides details of the Initial Index Level at the date of investment andthe maturity date for each of the Structured Products. As at 28 February 2011,the FTSE 100 Index closed at 5,994.0. As at 19 May 2011 being the lastpractical date prior to the publication of these Accounts, the Index hadincreased 0.6 per cent. to close at 5,956.0. Initial Strike Index Maturity Issuer Date Level Date Return/CAR The Royal Bank of Scotland 05/05/ 5,341.93 12/05/ 162.5% if FTSE 100 2010 2015 higher; CAR if FTSE 100 falls by more than 50% Investec Bank 14/05/ 5,262.85 19/11/ 185% if FTSE 100 2010 2015 higher; CAR if FTSE 100 falls by more than 50% Santander Global Banking 25/05/ 4,940.68 18/11/ 185% if FTSE 100 and Markets (Abbey National 2010 2015 higher; CAR if FTSE Treasury Services) 100 falls by more than 50% Nomura Bank International 28/05/ 5,188.43 20/02/ 137% if FTSE 100 2010 2013 higher; CAR if FTSE 100 falls by more than 50% Morgan Stanley 10/06/ 5,132.50 17/12/ 134% if FTSE 100 2010 2012 higher; CAR if FTSE 100 falls by more than 50% HSBC Bank 01/07/ 4,805.75 06/07/ 125.1% if FTSE 100 2010 2012 higher; CAR if FTSE 100 falls by more than 50% The Final Index Level is calculated using 'averaging', meaning that the averageis taken of the closing levels of the FTSE 100 on each Business Day over thelast two to six months of the Structured Product plan term (the length of theaveraging period differs for each plan).The Investment Manager of the Structured Products portfolio and the Boardreview this risk on a regular basis and the use of averaging to calculate thereturn can reduce adverse effects of a falling market or sudden market fallsshortly before maturity. Equally, it can reduce the benefits of an increasingmarket or sudden market rises shortly before maturity.As at 28 February 2011, the value of the Company's investments in StructuredProducts was valued at £2,882,000. A 10 per cent. increase in the level of theFTSE 100 Index, at 28 February 2011 given that all other variables remainedconstant, would have increased net assets by £158,000. A 10 per cent. decreasewould have reduced net assets by £211,000. A 10 per cent. increase wouldincrease the investment management fee due to Calculus Capital by £1,185; a 10per cent. decrease would reduce the fee by £1,582.In recent years, the performance of the FTSE 100 Index has been volatile andthe Directors consider that an increase or decrease in the aggregate value ofinvestments by 10 per cent. or more is reasonably possible.

Qualifying Investments

Market risk embodies the potential for losses and includes interest rate risk and price risk.

The management of market price risk is part of the investment management process. The portfolio is managed in accordance with policies in place as described in more detail in the Chairman's Statement and Investment Manager's Review (Qualifying Investments).

The Company's strategy on the management of investment risk is driven by theCompany's investment objective as outlined above. Investments in unquotedcompanies, AIM-traded and PLUS Markets-traded companies, by their nature,involve a higher degree of risk than investments in the main market. Some ofthat risk can be mitigated by diversifying the portfolio across businesssectors and asset classes.Interest is earned on cash balances and money market funds and is linked to thebanks' variable deposit rates. The Board does not consider interest rate riskto be material. Interest rates do not materially impact upon the value of theQualifying Investments as the investee companies have no external debt and theloan stock instruments contain fixed interest rates. The main risk arising onthe loan stock instruments is credit risk. The Company does not have anyinterest bearing liabilities.As required by Financial Reporting Standard 29 'Financial Instruments:Disclosures' (the "Standard") an analysis of financial assets and liabilities,which identifies the risk of the Company's holding of such items is provided.The Company's financial assets comprise equity, loan stock, cash and debtors.The interest rate profile of the Company's financial assets is given in the

table below: As at 28 February 2011 Fair Value Cash Flow Interest Interest Rate Risk Rate Risk £'000 £'000 Loan stock 450 - Money market funds - 1,050 Cash - 326 450 1,376

The variable rate is based on the banks' deposit rate, and applies to cashbalances held and the money market funds. The benchmark rate which determinesthe interest payments received on interest bearing cash balances is the Bank ofEngland base rate which was 0.5 per cent. as at 28 February 2011.

Any movement in interest rates is deemed to have an insignifi cant effect on the Structured Products.

b) Credit riskStructured ProductsThe failure of a counterparty to discharge its obligations under a transactioncould result in the Company suffering a loss. In its role as the InvestmentManager of the Structured Products portfolio and to diversify counterpartyrisk, Investec Structured Products will only invest in Structured Productsissued by approved issuers. In addition, the maximum exposure to any onecounterparty will be limited to 15 per cent. of the assets of the Company atthe time of investment.

As at 28 February 2011, the Company's credit risk exposure, by credit rating of the Structured Product issuer, was as follows:

28 February 2011 Credit Risk Rating % of(Moody's unless otherwise indicated) £'000 Portfolio A2 577 12.9% Aa2 580 13.0% Aa3 738 16.5% A - (Standard & Poor's) 405 9.0% Baa3 582 13.0% 2,882 64.4%Qualifying InvestmentsCredit risk is the risk that the counterparty to a financial instrument willfail to discharge an obligation or commitment that it has entered into with theCompany. The Investment Manager has in place a monitoring procedure in respectof counterparty risk which is reviewed on an ongoing basis. The carrying amountof financial assets best represents the maximum credit risk exposure at thebalance sheet date.Where an investment is made in loan stock issued by an unquoted company, it ismade as part of an overall equity and debt package. The recoverability of thedebt is assessed as part of the overall investment process and is thenmonitored on an ongoing basis by the Investment Manager who reports to theBoard on any recoverability issues.Credit risk arising on transactions with brokers relates to transactionsawaiting settlement. Risk relating to unsettled transactions is considered tobe small due to the short settlement period involved and the high creditquality of the brokers used. The Board monitors the quality of service providedby the brokers used to further mitigate this risk.All the assets of the Company which are traded on AIM or PLUS Markets are heldby Rensburg Sheppards, the Company's custodian. Bankruptcy or insolvency of thecustodian may cause the Company's rights with respect to securities held by thecustodian to be delayed or limited. The Board and the Investment Managermonitor the Company's risk by reviewing the custodian's internal controlreports.

c) Liquidity risk

The Company's liquidity risk is managed on an ongoing basis by the InvestmentManagers. The Company's overall liquidity risks are monitored on a quarterlybasis by the Board.

The Company maintains sufficient investments in cash and readily realisable securities to pay accounts payable and accrued expenses as they fall due.

Structured Products

If Structured Products are redeemed before the end of the term, the Company mayget back less than the amount originally invested. The value of the StructuredProducts will be determined by the price at which the investments can actuallybe sold on the relevant dealing date. The Board does not consider this risk tobe significant as the planned investment periods in Structured Products willrange from six months to five and a half years and there is a plannedtransition from Structured Products to Qualifying Investments as detailedearlier in this note.There may not be a liquid market in the Structured Products and there may neverbe two competitive market makers, making it difficult for the Company torealise its investment. Risk is increased further where there is a singlemarket maker who is also the issuer. The Board has sought to mitigate this riskby only investing in approved issuers of Structured Products, and by limitingexposure to any one issuer.

The Board seeks to ensure that an appropriate proportion of the Company's investment portfolio is invested in cash and readily realisable assets, which are sufficient to meet any funding commitments that may arise.

Under its Articles of Association, the Company has the ability to borrow a maximum amount equal to 25 per cent. of the aggregate amount paid on all shares issued by the Company (together with any share premium thereon). As at 28 February 2011 the Company had no borrowings.

Qualifying Investments

The Company's financial instruments include investments in unlisted equityinvestments which are not traded in an organised public market and which may beilliquid. As a result, the Company may not be able to realise quickly some ofits investments at an amount close to their fair value in order to meet itsliquidity requirements, or to respond to specific events such as deteriorationin the creditworthiness of any particular issuer.

d) Capital management

The capital structure of the Company consists of cash held and shareholders'equity. Capital is managed to ensure the Company has adequate resources tocontinue as a going concern, and to maximise the income and capital return toits shareholders, while maintaining a capital base to allow the Company tooperate effectively in the market place and sustain future development of thebusiness. To this end the Company may use gearing to achieve its objectives.The Company's assets and borrowing levels are reviewed regularly by the Board.

e) Fair value hierarchy

Investments held at fair value through profit and loss are valued in accordance with IPEVCA guidelines.

The valuation method used will be the most appropriate valuation methodologyfor an investment within its market, with regard to the financial health of theinvestment and the IPEVCA guidelines.As required by the Standard an analysis of financial assets and liabilities,which identifies the risk of the Company's holding of such items, is provided.The Standard requires an analysis of investments carried at fair value based onthe reliability and significance of the information used to measure their fairvalue. In order to provide further information on the valuation techniques usedto measure assets carried at fair value, we have categorised the measurementbasis into a "fair value hierarchy" as follows:

- Quoted market prices in active markets - "Level 1"

Inputs to Level 1 fair values are quoted prices in active markets for identicalassets. An active market is one in which transactions occur with sufficientfrequency and volume to provide pricing information on an ongoing basis. TheCompany's investments in money market funds are recognised within thiscategory.

- Valued using models with significant observable market parameters - "Level 2"

Inputs to Level 2 fair values are inputs other than quoted prices included within Level 1 that are observable for the asset, either directly or indirectly. The Company's investments in Structured Products are classified within this category.

- Valued using models with significant unobservable market parameters - "Level 3"

Inputs to Level 3 fair values are unobservable inputs for the asset.Unobservable inputs may have been used to measure fair value to the extent thatobservable inputs are not available, thereby allowing for situations in whichthere is little, if any, market activity for the asset at the measurement date(or market information for the inputs to any valuation models). As such,unobservable inputs reflect the assumptions the Company considers that marketparticipants would use in pricing the asset. The Company's unquoted equitiesand loan stock are classified within this category. As explained in note 1,unquoted investments are valued in accordance with the IPEVCA guidelines.The table below shows movements in the assets measured at fair value based onLevel 3 valuation techniques for which any significant input is not based onobservable market data. During the period there were no transfers betweenlevels 1, 2 or 3. Financial Assets at Fair Value through Profit or Loss At 28 February 2011 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000 Structured Products - 2,882 - 2,882 Unquoted equity - - 106 106 Money market funds 1,050 - - 1,050 Loan stock - - 450 450 1,050 2,882 556 4,488

The Standard requires disclosure, by class of financial instruments, if theeffect of changing one or more inputs to reasonably possible alternativeassumptions would result in a significant change to the fair value measurement.The information used in determination of the fair value of Level 3 investmentsis chosen with reference to the specific underlying circumstances and positionof the investee company. The portfolio has been reviewed and both downside andupside reasonable possible alternative assumptions have been identified andapplied to the valuation of the unquoted investments. For Terrain, the assumedoil price used within the valuation model has been increased/decreased by 10per cent. Applying the downside alternatives, the value of the unquotedinvestment portfolio would be £8,928 or 1.6 per cent. lower. Using the upsidealternatives, the value of the unquoted investment portfolio would be increasedby £8,482 or 1.5 per cent.

17. Related Party Transactions

Investec Structured Products is a related party in respect of its appointmentas an Investment Manager to the Company and is entitled to a performanceincentive fee. Investec Structured Products will receive an arrangement fee of0.75 per cent. of the amount invested in each Structured Product. Thisarrangement fee shall be paid to Investec Structured Products by the issuer ofthe relevant Structured Product. No arrangement fee will be paid to InvestecStructured Products in respect of any decision to invest in Investec-issuedStructured Products. Investec Structured Products has agreed not to earn anannual management fee from the Company.As at 28 February 2011, £81,000 was payable to Investec Structured Products inrelation to the initial fee of 5 per cent. of the gross funds raised pursuantto the original ordinary share offer. In addition, £185,000 was owed byInvestec Structured Products as claw back of costs in excess of the agreedexpenses cap of 3 per cent.Calculus Capital is regarded as a related party in respect of its appointmentas an Investment Manager to the Company. For the period ended 28 February 2011,fees of £35,000 were payable to Calculus Capital, of which £10,000 wereoutstanding as at 28 February 2011. Calculus Capital is also entitled to aperformance incentive fee.

John Glencross, a Director of the Company, has an interest in Calculus Capital and is a director of Terrain Energy Limited and Lime Technology Limited, companies in which the Company has invested.

In the period ended 28 February 2011, Calculus Capital received an arrangementfee of £7,500 as a result of the Company's investment in Terrain EnergyLimited. Calculus Capital also receives an annual fee from Terrain EnergyLimited for the provision of John Glencross as a director, as well as an annualmonitoring fee which also covers the provision of certain administrativesupport services. In the period ended 28 February 2011, the amount paid toCalculus Capital which was attributable to the investment made by the Companywas £2,713 (excluding VAT).In the period ended 28 February 2011, Calculus Capital received an arrangementfee of £8,233 as a result of the Company's investment in Lime TechnologyLimited. Calculus Capital also receives an annual fee from Lime TechnologyLimited for the provision of John Glencross as a director, as well as an annualmonitoring fee. In the period ended 28 February 2011, the amount paid toCalculus Capital which was attributable to the investment made by the Companywas £1,626 (excluding VAT).

No incentive fee accrued to either Investment Manager during the period.

The following Directors are considered to be related parties due to theirconnection with one of the Investment Managers: Ian Wohlman is a director ofInvestec Bank plc (of which Investec Structured Products is a tradingdivision), and John Glencross is a director of Calculus Capital. Both Directorshave agreed not to receive any remuneration from the Company. Steven Meeksreceived consulting fees from Investec Bank plc during the period.

Ian Wohlman applied for £30,000 of C shares under the offer for subscription launched in January 2011. 30,000 C shares were allotted to Mr Wohlman on 1 April 2011 at a price of 100p per C share.

Kate Cornish-Bowden subscribed for £10,000 of C shares under the offer for subscription. 10,000 C shares were allotted to Ms Cornish-Bowden on 4 May 2011 at a price of 100p per C share.

18. Post Balance Sheet Events

In January 2011 an offer for subscription for C shares was launched. Since the period end the following shares have been issued:

- 1,644,826 C shares at 100p per share on 1 April 2011.

- 187,679 C shares at 100p per share on 5 April 2011.

- 98,590 C shares at 100p per share on 4 May 2011.

The offer for subscription closed on 30 April 2011.

Please refer to 'Developments Since the Period End' in the Chairman's Statement for details of investments made post year end.

Annual General Meeting and Separate Class Meetings

The Company's Annual General Meeting will be held at the offices of InvestecStructured Products, 2 Gresham Street, London EC2V 7QP at 11.00 am on Thursday,30 June 2011. It will be followed by separate class meetings of the holders ofordinary shares and C shares.

For further information, please contact:

Investment Manager to the Structured Products Portfolio

Investec Structured ProductsGary DaleTelephone: 020 7597 4065

Investment Manager to the Venture Capital Portfolio

Calculus Capital LimitedSusan McDonaldTelephone: 020 7493 4940National Storage MechanismA copy of the Annual Report and Financial Statements will be submitted shortlyto the National Storage Mechanism ("NSM") and will be available for inspectionat the NSM, which is situated at: www.hemscott.com/nsm.do.

ENDS

Neither the contents of the Company's website nor the contents of any website accessible from hyperlinks on this announcement (or any other website) is incorporated into, or forms part of, this announcement.