Calculus Vct Regulatory News (CLC)

INVESTEC STRUCTURED PRODUCTS CALCULUS VCT PLCANNUAL FINANCIAL REPORTFOR THE YEAR ENDED 28 FEBRUARY 2014 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 Productsthat will provide investment returns that are sufficient to allow the Companyto maximise annual dividends and pay an interim return either by way of aspecial dividend or cash offer for shares on or before an interim return date; • generate sufficient returns from a portfolio of Venture Capital Investmentsthat will provide attractive long-term returns within a tax efficient vehiclebeyond an interim return date; • review the appropriate level of dividends annually to take account ofinvestment returns achieved and future prospects; and • maintain VCT status to enable qualifying investors to retain their income taxrelief of up to 30 per cent. on the initial investment and receive tax-freedividends and capital growth. Full details of the Company's investment policy can be found below. FINANCIAL REVIEW Ordinary Share Fund 12 Months to 12 Months to 28 February 28 February 2014 2013Total returnTotal return £199,000 £309,000Total return per ordinary share 4.2p 6.5pRevenueNet loss after tax (£44,000) (£46,000)Revenue return per ordinary share (0.9)p (1.0)pDividendRecommended final dividend 5.25p 5.25p As at As at 28 February 28 February 2014 2013Assets (investments valued atbid market prices)Net assets £4,512,000 £4,562,000Net asset value ("NAV")per ordinary share 95.2p 96.3pMid market quotationOrdinary shares 85.5p 92.5pDiscount to NAV (10.2)% (3.9)% C Share Fund 12 Months to 12 Months to 28 February 28 February 2014 2013Total returnTotal return £47,000 £104,000Total return per C share 2.4p 5.4pRevenueNet loss after tax (£25,000) (£35,000)Revenue return per C share (1.3)p (1.8)pDividendRecommended final dividend 4.5p 4.5p As at As at 28 February 28 February 2014 2013 Assets (investments valued atbid market prices)Net assets £1,765,000 £1,805,000NAV per C share 91.4p 93.5pMid market quotationC shares 90.0p 90.0pDiscount to NAV (1.5)% (3.7)% STRATEGIC REPORT The Strategic Report has been prepared in accordance with the requirements ofSection 414A of the Companies Act 2006 (the "Act"). Its purpose is to informmembers of the Company and help them assess how the Directors have performedtheir legal duty under Section 172 of the Act, to promote the success of theCompany. CHAIRMAN'S STATEMENT I am delighted to present your Company's results for the year ended28 February 2014. The Investec Structured Products Calculus VCT plc is atax 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) and Calculus Capital Limited, andbrings together both Managers' award winning expertise in their respectivefields of structured products and venture capital. During the year, the majority of investments have been in qualifying growthcompanies of which only a proportion can be invested in loan stocks andredeemable preference shares which generate an income. The remainder of theinvestments have been in Structured Products which do not provide income butgenerate a capital return. Consequently, the Company has shown a negativerevenue return and a strong positive capital return to produce an overallpositive return in line with expectations. The net asset value per ordinary share was 95.2 pence as at 28 February 2014compared to 96.3 pence as at 28 February 2013. This is after paying a dividendto ordinary shareholders in 2013 of 5.25 pence per share. The net asset value per C share was 91.4 pence as at 28 February 2014 comparedto 93.5 pence as at 28 February 2013. This is after paying a dividend toC shareholders in 2013 of 4.5 pence per share. The net asset values have subsequently risen to 95.5 pence per ordinary shareand 93.6 pence per C share as at 30 April 2014. Your Board and Managers are encouraged by the performance of the Company todate and believe it is well placed to make further progress in the forthcomingyear. Structured Products Portfolio Our non-Qualifying Investments are managed by Investec Structured Products.As at 28 February 2014, the Ordinary Share Fund held a portfolio of threeStructured Products and the C Share Fund held one Structured Product based onthe FTSE 100 Index. The products differ by duration and counterparty in orderto minimise risk and create a diversified portfolio of investments. Up to 20per cent. of the Structured Products portfolio of the C Share Fund will be ableto be invested in other indices besides the FTSE 100 Index. The Structured Products portfolio continues to perform well. As at 28 February2014, the FTSE 100 was trading at 6,809.7. This means that while the level ofthe FTSE 100 will change, if all of the Structured Products in both theOrdinary Share Fund and C Share Fund were to mature at this level, they wouldyield the maximum payoff for investors in each share fund. Venture Capital Investments Calculus Capital manages the portfolio of VCT Qualifying Investments made bythe Company. During the year, the Ordinary Share Fund redeemed £200,000 loanstock in Terrain Energy. Qualifying investments were made in eight companies onbehalf of the C Share Fund totalling £657,200 and the Company has now met itsrequirement for the combined Ordinary and C share portfolios to be at least 70per cent. invested in Qualifying Investments by 28 February 2014. A detailed analysis of the new investments and the investment performance canbe found in the Investment Manager's Review that follows this statement. Dividend In line with our aim to provide a regular tax-free dividend stream, theDirectors are pleased to propose a final dividend of 5.25 pence per ordinaryshare and 4.5 pence per C share which, subject to shareholder approval, will bepaid on 24 July 2014 to shareholders on the register on 30 May 2014. This willtake cumulative dividends paid to 21.0p per Ordinary share and 13.5 pence perC Share. The Board continues to manage the Company to seek to generate thereturns that will enable it to meet the special dividend objectives set out inthe original offer document. Developments since the Year End Since the year end, the Company has realised £150,000 from the redemption ofMicroEnergy loan stock held in the Ordinary Share Fund. In addition, in March2014, Horizon Discovery, one of the investments held by the C Share Fund, wasadmitted to trading on the London Stock Exchange's AIM market and it iscurrently trading at approximately double the Company's cost of investment. Changes to the Annual Report You will note there have been some changes to your Company's Annual Report thisyear. These are the results of new narrative reporting requirements that havenow come into effect. There is now a Strategic Report, which contains many ofthe disclosures previously contained within the Business Review section of theDirectors' Report, and a new Director's Remuneration Report. In relation to thelatter, shareholders will be asked to vote on both the Director's RemunerationPolicy and the Directors' Remuneration Report at the forthcoming Annual GeneralMeeting. Alternative Investment Fund Managers' Directive ("AIFMD") AIFMD was conceived to address a perceived regulatory gap to protect investorsand is intended to provide a harmonised regulatory and supervisory frameworkthroughout the European Union for regulating Alternative Investment Funds.Although it was principally aimed at private equity and hedge funds, investmenttrusts and venture capital trusts are also required to comply. AIFMD was implemented by the UK on 22 July 2013, with existing investmentcompanies, such as your Company, having until 22 July 2014 to comply fully withthe requirements. Calculus Capital Limited has been appointed as theAlternative Investment Fund Manager of the Company. Annual General Meeting We hope that as many shareholders as possible will attend the Company's AnnualGeneral Meeting, which will be held at 11.00 am on Tuesday, 1 July 2014 at theoffices of Investec Structured Products, 2 Gresham Street, London, EC2V 7QP. Outlook We believe that the Company's strategy, in respect of both its StructuredProducts portfolio and Qualifying Investments portfolio, is proving effective.The success of the Structured Products portfolio, thus far, has provided thebasis for tax-free dividend returns to shareholders whilst enabling theconstruction of a portfolio of Qualifying Investments to generate longer-termreturns. The Company had achieved its required level of 70 per cent. investedin Qualifying Investments by 28 February 2014. This calculation covers both theOrdinary Share Fund and the C Share Fund but is calculated for the Company as awhole. The rate of investment in new Qualifying Investments is, therefore,likely to lessen going forward. There is growing evidence that the recovery in the UK economy is taking holdalthough, clearly, it remains fragile in some sectors and geographic regions.The economic background is, therefore, more supportive for an uplift in valueover time in the qualifying portfolio than it has been hitherto. We believe theportfolio is well placed to take advantage of the recovery going forward. TheInvestment Manager's 'hands on' style should also help to develop and, in somecases, protect value and contribute to the delivery of future returns toshareholders. Michael O'HigginsChairman19 May 2014 INVESTMENT MANAGER'S REVIEW(Qualifying Investments) Portfolio Developments Calculus Capital Limited manages the portfolio of Qualifying Investments madeby the Company. To maintain its qualifying status as a Venture Capital Trust,the Company needs to be at least 70 per cent. invested in qualifying securitiesby the end of the relevant third accounting period. At 28 February 2014, thequalifying percentage for the Company was 71.8 per cent. During the year under review, the Company completed Qualifying Investments ineight unquoted companies as shown below: Amount Amount Invested by Invested by Ordinary C Shares SharesCompany Sector £ £Hampshire Cosmetics Limited Consumer staples 150,000Horizon Discovery Limited Renewable energy 50,000Pico's Limited (trading as Benito's Hat) Leisure 50,004Quai Administration Services Limited Business support services 150,158Scancell Holdings plc Biotechnology 100,000Secure Electrans Limited Information technology 12,000 25,000Terrain Energy Limited Oil and gas exploration and production 4,999The One Place Capital Limited Information Technology 127,000(trading as Money Dashboard) New Holdings Pico's Limited ("Benito's Hat") In May 2013, an investment of £50,004 was made in Benito's Hat by the C ShareFund. Benito's Hat is a Mexican-themed, fast casual restaurant business withplans to expand in central London. Offering tailor-made burritos, tacos, saladsand a range of specials, Benito's Hat provides an authentic experience andhigh-quality food, at an affordable price point. The brand has a devotedcustomer following and has won many accolades from food critics. Since investment, new outlets have been opened at Farringdon and LeadenhallStreet. Ordinary C Share Share 2013 Fund FundLatest Unaudited Results £'000 Investment Information £'000 £'000Year ended 31 JulTurnover 2,962 Total cost - 50Pre-tax loss (10) Income recognised in year - -Net assets 2,100 Equity valuation - 64 Loan stock valuation - -Valuation basis: Price of latest investment in the company Total valuation - 64 Voting rights - 1.2% Horizon Discovery Limited ("Horizon") In May 2013, the C Share Fund made a £50,000 investment into Horizon. Horizon is one of the leading genomic biotechnology companies in Europe with acustomer base comprising many hundreds of biotechnology, diagnostic andpharmaceutical companies, and academic research institutes. Horizon is a pioneer in 'translational genomics' with a scalable platformconsisting of genome-editing tools and derived products and services, whichenable life sciences research, drug discovery and development. It has aninternational base, reaching c.800 customers, comprising global leaders inindustrial pharmaceutical/biotech and academic research institutions and hasbeen ranked as one of the fastest growing biotechnology companies in Europe byDeloitte. Horizon has been able to grow with limited investment via licensed drugdiscovery programmes giving access to significant revenue milestones. CalculusCapital invested in May 2013 as part of a pre-IPO funding round. Funds raisedallowed the company to further develop its proprietary genome editing platform,"GENESIS™". The financial results for the period to 31 December 2013 reflect an increase inproduct revenue, service revenue and leveraged R&D (including licensing dealswith strategic partners). The company continues to invest in R&D in connectionwith the expansion of its cell line 'library'. Ordinary C Share Share 2013 2012 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Dec 31 DecTurnover 6,640 3,860 Total cost - 50Pre-tax loss (3,040) (5,610) Income recognised in year - -Net assets 7,860 4,340 Equity valuation - 50 Loan stock valuation - -Valuation basis: Discounted cash flow and comparable companies Total valuation - 50 Voting rights - 0.1% Scancell Holdings plc In August 2013, an investment by the C Share Fund was made into Scancell of£100,000. Scancell was founded in 1997 by Professor Lindy Durrant and IPO'd on AIM inJuly 2010. Scancell is developing novel immunotherapies for the treatment ofcancer based on its ImmunoBody and Moditope technology platforms. Initialresults from the Phase 1 trials of Scancell's novel immunotherapeutic melanomavaccine, SCIB1 look very promising. Funds raised will provide working capitalfor the completion of the SCIB1 Phase 1/2 trials. The recent fundraising will also be used to commence work on the pre-clinicaldevelopment of the first Moditope immunotherapy product. The Moditopetechnology produces cancer killing cells that destroy tumours, in mice, withouttoxicity and it is believed that Moditope epitopes can be used to developimmunotherapies for the treatment of a range of cancer tumours including,ovarian, breast and lung cancers. Exit will likely be through a trade sale to a major pharmaceutical company withappropriate oncology expertise who can complete development of Scancell'sproducts and take them through Phase III clinical trials. David Evans,Scancell's Chairman, has a long track record of steering life sciencescompanies to successful exits. Ordinary C Share Share 2013 2012 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 30 Apr 30 AprTurnover - - Total cost - 100Pre-tax loss (2,250) (1,930) Income recognised in year - -Net assets 5,090 1,671 Equity valuation - 144 Loan stock valuation - -Valuation basis: AIM traded Total valuation - 144 Voting rights - 0.2% The One Place Capital Limited ("Money Dashboard") An investment of £127,000 equity was made by the C Share Fund in November 2013.Founded in 2009, Money Dashboard is a free web-based application which empowersconsumers to take control of their finances. By using Money Dashboard aconsumer is able to view all of their internet enabled current accounts,savings accounts and credit cards in one secure place, providing the true viewof their financial lives. Transaction data is sorted into easily understoodcategories and, by using the simple charts and graphs, consumers can see wheretheir money is going and budget for the future. The rise in the cost-of-living within the UK is increasing consumer demand forvalue, control and transparency in the management of their finances. MoneyDashboard is well placed to help satisfy this demand. Ordinary C Share Share 2013 2012 Fund FundLatest Unaudited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 May 31 MayTurnover - - Total cost - 127Pre-tax loss (1,100) (530) Income recognised in year - -Net liabilities (300) (530) Equity valuation - 127 Loan stock valuation - -Valuation basis: Cost Total valuation - 127 Voting rights - 1.9% Quai Administration Services Limited ("Quai") In February 2014, an investment by the C Share Portfolio was made into Quai of£150,158. Quai provides white-label administration services for high-volumepersonal savings products. Quai's proprietary technology platform providesautomated administration, straight through processing, online web access andmulti-currency portfolio management services. It allows the company toadminister many thousands of individual savings plans at a fraction of the costincurred by established insurance companies and wealth managers, making it anideal outsourcing partner. Recent legal and regulatory changes such as auto-enrolment and the RetailDistribution Review are changing the way large insurers, banks and otherproviders offer savings products to UK consumers. Mass distribution ofindividual savings plans is pressuring providers into offering high-volume,low-margin schemes. Established providers will be increasingly forced to choosewhether to build a bespoke in-house system to administer mass-market productsor to outsource. Founded in 2011 by a team of industry experts who previouslyled the savings and investment administration business of BNP Paribas in theUK, Quai is seeking to benefit from these changes in the UK savings market. Ordinary C Share Share 2013 2012 Fund FundLatest Unaudited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Oct 31 Oct*Turnover 442 83 Total cost - 150Pre-tax loss (1,048) (1,326) Income recognised in year - -Net liabilities (1,513) (1,617) Equity valuation - 150 Loan stock valuation - -Valuation basis: Cost Total valuation - 150 Voting rights** - 3.4% * Seven months to 31 October 2012. **Other funds managed by Calculus Capital have combined voting rights of41.6 per cent. Existing Holdings AnTech Limited ("AnTech") Founded in 1994, Exeter based AnTech is a specialist engineering design andmanufacturing company providing a range of products to the upstream oil and gasindustry. AnTech has developed a new generation of directional drilling tools whichprovide the platform for a step-change transformation in the manner andefficiency in which oil and gas wells can be drilled with coil tubing. Ordinary C Share Share 2013 2012 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Aug 31 AugTurnover 1,615 1,548 Total cost 270 -Pre-tax profit 180 230 Income recognised in year 13 -Net assets 5,173 1,291 Equity valuation 105 - Loan stock valuation 150 -Valuation basis: Comparable companies Total valuation 255 - Voting rights 1.2% - Brigantes Energy Limited ("Brigantes") and Corfe Energy Limited ("Corfe") Brigantes and Corfe (details of which follow) were initially intended to be oneinvestment but were split for structural efficiency reasons. Brigantes andCorfe were originally each established to hold certain oil and gas explorationassets and spun out from InfraStrata Plc. Brigantes Brigantes acquired an interest in InfraStrata's Northern Ireland explorationassets. Recently released results of a study on the PL1/10 prospects, carriedout by Merlin Energy Resources, indicates the un-risked prospective resource ofthe licence to be as much as 450 million barrels of recoverable oil (112.5million barrels net to Brigantes after the farm out), if all structuresidentified are successful. The first well will target potential resources of 40million barrels (10 million barrels net to Brigantes after farm out). Anexploration well is planned for the first quarter of 2014. Ordinary C Share Share 2013 2012 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Jul 31 JulTurnover 86 69 Total cost 125 -Pre-tax loss (154) (920) Income recognised in year - -Net (liabilities)/assets (979) 1,131 Equity valuation 320 - Loan stock valuation - -Valuation basis: Prospective resources Total valuation 320 - Voting rights* 3.3% - * Other funds managed by Calculus Capital have combined voting rights of 25.6 per cent. Corfe Corfe acquired an interest in InfraStrata's exploration assets in SouthernEngland. Since March 2013, Corfe has held a number of conventional andunconventional licence interests in Southern England including a 25% workinginterest in UK onshore licences lying immediately west of the giant Wytch Farmoil field. The combination of Corfe's onshore and offshore blocks puts thecompany in a strong position to evaluate and benefit from the conventional andshale oil and gas potential of the area to the west and south of Wytch Farm. Gas has been proven in both conventional and shale reservoirs in the Dorsetplay area. It also represents a rare opportunity to invest directly in theemerging shale gas play in Europe. Oil giant Total's recent acquisition ofshale interests in the UK shows the growing industry interest in unconventionalenergy. Corfe will seek to sell into industry demand for assets rather thandevelop the opportunities itself. Ordinary C Share Share 2013 2012 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Jul 31 JulTurnover 86 69 Total cost 75 -Pre-tax loss (245) (64) Income recognised in year - -Net assets 1,764 2,006 Equity valuation 137 - Loan stock valuation - -Valuation basis: Prospective resources Total valuation 137 - Voting rights 2.0% - Dryden Human Capital Group Limited ("Dryden") Dryden is headquartered in the UK and specialises in the actuarial, insuranceand compliance recruitment sector with significant operations in London andHong Kong, and smaller offices in Mumbai, Sydney and New York. The group consists of four major brands: Darwin Rhodes, a specialist recruiteroperating globally in the niche areas of the insurance and finance sectors;Edison Morgan, the Asia-based executive search brand servicing the insuranceand asset management sectors; Drake Fleming, a multi–sector HR, change andbusiness transformation recruitment business; and Baker Noble, a private wealthand asset management recruitment brand. At present, Hong Kong is performing to plan but London is showing significantunderperformance and may require further restructuring. The financial statements for 2013 show negative net assets resulting from arequirement by the auditors to show 'A' Ordinary shares and 'B' Ordinary sharesas debt despite them being Ordinary shares. This also gives an odd result tothe calculation and is an accounting treatment with which we do not concur. Ordinary C Share Share 2013 2012 Fund FundLatest Audited Results(group) £'000 £'000 Investment Information £'000 £'000Year ended 31 Mar 31 MarTurnover 7,088 9,822 Total cost 100 -Pre-tax (loss)/profit (1,470)* 290 Income recognised in year - -Net (liabilities)/assets (2,281) 1,166 Equity valuation 14 - Loan stock valuation - -Valuation basis: Earnings multiple Total valuation 14 - Voting rights 0.9% -* pre-exceptional items. Hampshire Cosmetics Limited ("Hampshire") In December 2013, a further investment of £50,000 equity and £100,000 loanstock was made by the C Share Fund. Founded in the 1970s, Hampshire is an established company which develops andmanufactures a comprehensive range of products covering fragrances, bodytreatments, skincare and shampoos. The business and trade and assets have beenacquired by a management team that has previously been backed by CalculusCapital in a successful investment. The original investment in December 2012 was part of a turnaround led by anexperienced management buy-in team. This has progressed well to date, with animprovement in revenue and profitability. Performance has in fact been aheadof plans, and the company moved significantly into profitability for the yearto December 2013. This has been achieved through management's focus onhigh-quality customer delivery, margin and cashflow. In the year ahead the key objectives for the business are to grow and diversifyfurther the revenue base. This will be facilitated by the investment made inDecember 2013 to fund a small bolt-on investment. In addition, the company has undertaken a strategic review of the market andhas also identified additional opportunities for further productdiversification and margin improvement. Some of the identified strategies willbe implemented during the coming year, as well as delivering further costimprovements from the capital investment already undertaken. Ordinary C Share Share 2013 2012 Fund FundLatest Unaudited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Dec 31 DecTurnover 24,045 21,250 Total cost 250 150Pre-tax profit/(loss) 918 (668) Income recognised in year 12 2Net assets 2,592 1,773 Equity valuation 127 52 Loan stock valuation 150 100Valuation basis: Price of recent transaction Total valuation 277 152 Voting rights* 4.5% 1.8% * Other funds managed by Calculus Capital have combined voting rights of 0.9 per cent. Human Race Group Limited ("Human Race") Human Race owns and delivers over 58 events in triathlon, cycling, running,duathlon, aquathlon and open water swimming for over 100,000 participants ofall abilities and ages. The group had a successful year with like for like improvements in participantnumbers and 'net promoter scores' (a key metric for measuring customersatisfaction). Events have been delivered well in testing weather andenvironmental conditions, with only one event having to be postponed due topoor weather. Financial performance for 2013 has been largely in line withforecasts. The group made a modest loss for the year to 31 December 2013. Thiswas largely due to continued investment in growing events to maturity and a loss of evententry fees through refunds as a result of the postponed event. Continuous work goes on toensure entry numbers continue to build across each event and a number of new marketinginitiatives (physical, online and through partner channels) will be implemented throughout 2014. The management team have built a motivated workforce and put in place theinfrastructure necessary to develop and successfully run a growing portfolio ofevents. Ordinary C Share Share 2013 2012* Fund FundLatest Unaudited Results (group) £'000 £'000 Investment Information £'000 £'000Year ended 31 Dec 31 DecTurnover 2,713 3,196 Total cost 300 150Pre-tax loss (48) (23) Income recognised in year 16 8Net assets 2,053 2,329 Equity valuation 87 43 Loan stock valuation 200 100Valuation basis: Sales multiple Total valuation 287 143 Voting rights 1.9% 1.0%* Estimated consolidation of financial results Secure Electrans Limited ("Secure") In April 2013, £20,000 was invested in Secure, of which £12,000 was loan stockfor the Ordinary Share Fund and £8,000 was loan stock for the C Share Fund. InMay 2013, a further £17,000 of loan stock was invested in by the C Share Fund. Secure is a UK based payments technology company. Its HomePay™ solutionreplicates the retail chip and pin experience for other card transactions.Secure Electrans' solution and back end system supports secure, low cost, chipand pin payment facilities for small and medium sized businesses - particularlybusinesses requiring a high degree of mobility (e.g. plumbers, window cleanersand hairdressers), card not present transactions on different devices (e.g.computers, tablets and mobile phone), prepaid smart energy meters and eGovServices as local and national government move more of their services online. Global interest in chip and pin solutions for online transactions has increasedsignificantly in the past year. The United States was the last major market toembrace chip and pin, having moved rapidly in this direction after significantlosses of credit card information by major US retailers such as Target andNeiman Marcus. Notwithstanding the level of interest in Secure Electrans'products in its market, the company was unable to demonstrate adequatevisibility over future working capital needs and full provision has been madeagainst the value of our equity investment. We continue to value the loan stockat par as we believe there to be value in the intellectual property. Ordinary C Share Share 2012 2011 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Dec 31 DecTurnover 61 111 Total cost 112 75Pre-tax loss (2,384) (2,469) Income recognised in year 1 2Net (liabilities)/assets (40) 259 Equity valuation - - Loan stock valuation 12 25Valuation basis: Recoverable amount Total valuation 12 25 Voting rights 0.4% 0.2% Tollan Energy Limited ("Tollan") Tollan has been set up to generate electricity from renewable micro-generationfacilities. In February 2013, Tollan entered into an agreement to acquire aportfolio of installed solar PV panels on residential and commercial roofs inNorthern Ireland and will benefit from Northern Ireland Renewable ObligationCertificates ("NIROCs"). Tollan outsources operations, maintenance support and billing and cashcollection services. The developer has experience in this sector having,amongst other renewable projects, carried out the repairs and maintenance tothe 7,000 asset portfolio of Homesun prior to its sale to Aviva. The systems will be provided at no cost to the homeowners. Tollan's revenueswill come from two sources, both of which are inflation protected, beingdirectly linked to RPI. Firstly, there is the Government backed NIROC for everyunit of electricity generated. Under the current NIROC regime, solarinstallations of less than 50kW per site receive 4 NIROCs per mega watt ofelectricity generated indexed for 20 years. Secondly, there is the exporttariff for any surplus electricity not used by the homeowner that is exportedto the grid. As at 31 March 2014, 167 systems had been installed (0.9MW). It is anticipatedthat the portfolio will comprise of approximately 1.6MW in total. All systemsare due to be installed prior to the end of the 2014 calendar year. No financial information is currently available. Ordinary C Share Share Fund Fund Investment Information £'000 £'000No results available. Total cost 360 - Income recognised in year 17 - Equity valuation 150 - Valuation basis: Cost Loan stock valuation 210 - Total valuation 360 - Voting rights 6.4% - Venn Life Science Holdings plc ("Venn") Venn is a Clinical Research Organisation ("CRO") with operations in France, theNetherlands, Ireland and a branch office in Switzerland. The company's nearterm objective is the consolidation of a number of small European CROs to builda mid-sized CRO focused on the European market, offering clients a fullservice, multi-centred capability in Phase II-IV trials across a range ofprincipal disease areas. Ordinary C Share Share 2012 2011 Fund FundLatest Audited Results (group) £'000 £'000 Investment Information £'000 £'000Year ended 31 Dec 31 DecTurnover 2,670 2,870 Total cost 120 80Pre-tax (loss)/profit (930) 1,030 Income recognised in year - -Net assets 2,050 110 Equity valuation 88 59 Loan stock valuation - -Valuation basis: AIM traded Total valuation 88 59 Voting rights* 2.0% 1.3% * Other funds managed by Calculus Capital have combined voting rights of 9.1 per cent. Terrain Energy Limited ("Terrain") In August 2013, an additional investment of £5,000 was made in Terrain by the CShare Fund. A total of £200,000 of loan stock held by the Ordinary Share Fundwas redeemed during 2013. Terrain Energy is an oil and gas exploration and production company withlicence interests in the East Midlands, Surrey, Northern Ireland and Germany.Terrain has interests in ten petroleum licences: Keddington, Kirklington, DukesWood, Kelham Hills and Burton on the Wolds in the East Midlands, Larne and alicence offshore to the north of Larne in Northern Ireland, Brockham in Surreyand Bruckmuhl and Starnberger See in Germany. Terrain is currently producingfrom wells at Keddington and Brockham. On average, 80 barrels of oil per day(bopd) and 100,000 standard cubic feet of gas per day are being produced(gross). Two exploration wells are planned in 2014 on the Larne and Burton on the Woldslicences. Should the Larne well be a success, it would be game changing for thecompany as 450 million barrels of prospective resources have been mapped in thearea (45 million barrels net to Terrain). Also, this would greatly increase thelikelihood of finding commercial oil reserves in the 27th Offshore Roundlicence to the north of Larne which was awarded by DECC to the joint venturepartners in early 2014 (Terrain owns 20%). Terrain's strengths lie in the quality of its management team; its mix ofproduction, development and exploration assets which reduces risk; the size ofits reserves, especially prospective resources, which are due to be drilled inthe near future; and that it has sufficient cash to meet its commitments. Ordinary C Share Share 2012 2011 Fund FundLatest Audited Results £'000 £'000 Investment Information £'000 £'000Year ended 31 Dec 31 DecTurnover 246 308 Total cost 100 95Pre-tax loss (66) (72) Income recognised in year 5 3Net assets 3,670 3,435 Equity valuation 164 76 Loan stock valuation - 45Valuation basis: Reserves multiple Total valuation 164 121 Voting rights 1.3% 0.6% MicroEnergy Generation Services Limited ("MicroEnergy") MicroEnergy owns a portfolio of small onshore wind turbines. As at 31 December 2013, 153 turbines had been installed in East Anglia andYorkshire. The portfolio will provide MicroEnergy with sufficient scale tomitigate against concerns of poor short-term performance at any particularsite. The revenues from the fleet of installed turbines come from two sources,both of which are inflation protected, being directly linked to RPI. Firstly,there is the Government backed feed-in tariff ("FIT") paid by the electricitysuppliers for every kilowatt of electricity generated for twenty years.Secondly, there is the export tariff for any surplus electricity not used bythe site owner that is exported to the grid. Ordinary C Share Share 2013 2012* Fund FundLatest Audited Results(group) £'000 £'000 Investment Information £'000 £'000Year ended 31 Mar 31 MarTurnover 117 7 Total cost 300 -Pre-tax loss (84) (107) Income recognised in year 10 -Net assets 2,739 1,623 Equity valuation 138 - Loan stock valuation 150 -Valuation basis: Discounted cashflow Total valuation 288 - Voting rights** 5.1% - * The financials in the period from 11 February 2011 to 31 March 2012 have not been audited.** Other funds managed by Calculus Capital have combined voting rights of 5.8 per cent. Lime Technology Limited ("Lime Technology") The construction sector was one of the last sectors in the UK to show signs ofrecovery. It is now showing evidence of recovery, but from a low base. LimeTechnology now comprises three main activities: Render and Mortars; a buildingsystems division; and, in 2013, the group established an external wallinsulation ("EWI") division to address the need for insulation for the stock ofexisting (poorly insulated) pre-1980s houses. Lime Technology's proprietarymortars were used in the renovation of St Pancras Station and, although used in'new build', are most appropriate to the renovation and preservation of olderbuildings. This division is performing well but we believe it is capable ofbetter performance. Lime Technology's building systems division recently won asizeable contract from a large pharmaceutical company for a new building. LimeTechnology's zero carbon panels were also used in the external wallconstruction of M&S' new superstore at Cheshire Oaks, the largest outside ofMarble Arch, and in the construction of the Science Museum's new 'large object'archive at Wroughton, near Swindon. Lime Technology's prefabricated panels areclassed as 'zero carbon' and show superior performance compared to comparableproducts in terms of temperature, moisture control and fire resistance. Forexample, a 20 degree change in the external temperature changes the internaltemperature by one degree over 32 hours. The recently launched EWI division hasa reached an average monthly run rate of about £400k-£500k per month from azero base over the last twelve months. New management, appointed in January, isundertaking a number of reviews to improve operational efficiency in areas suchas gross margin control, factory efficiency and improved tendering. Ordinary C Share Share 2013* 2012 Fund FundLatest Audited Results(group) £'000 £'000 Investment Information £'000 £'000Year ended 31 Oct 31 OctTurnover 5,254 5,997 Total cost 307 -Pre-tax loss (6,985) (2,055) Income recognised in year 20 -Net liabilities (584) (499) Equity valuation 8 - Loan stock valuation 250 -Valuation basis: Comparable companies Total valuation 258 - Voting rights 0.2% - * The Lime Technology Group accounts are not required to be audited. These figures are derived fromthe Lime Technology Limited, Hemcrete Projects Limited and Hemp Technology Limited accounts whichhave been audited. Metropolitan Safe Custody Limited ("Metropolitan") Metropolitan provides safe custody services to many thousands of customers. Thecompany currently runs two safe custody sites, one in Knightsbridge (BRO), theother in St. Johns Wood (SJW). These two vaults are amongst the largest oftheir type in the country. In addition to maximising space efficiency at thesesites, investment is being made to increase unit and revenue capacity and toupgrade facilities. When the company's major 5-year capital expenditureprogramme is completed at the end of 2015, Metropolitan will have two top classvaults with outstanding facilities and systems. Additional customers add littleto operating costs at the existing sites, and most of any additional income isforecast to fall straight to the bottom line. A number of the high streetbanks are withdrawing from the safe custody market, driven by their desire tofocus on core activities and the closure of high street branches. As a result,many of the customers who previously stored goods with their local bank, havebeen looking for alternative provision. This is resulting in an increase inmarket share amongst the independent safe deposit providers. Year Period* ended ended Ordinary C 30 June 30 June Share Share 2013 2012 Fund FundLatest Audited Results(group) £'000 £'000 Investment Information £'000 £'000Turnover 1,612 491 Total cost 190 90Pre-tax profit 197 111 Income recognised in year 8 4Net assets 4,238 4,118 Equity valuation 129 58 Loan stock valuation 100 50Valuation basis: Comparable companies Total valuation 229 108 Voting rights 2.2% 1.0% * In 2012 the results of Metropolitan's principal trading subsidiary,Metropolitan Safe Deposits Limited, were only consolidated from 2 February 2012.The audited 12 month turnover for Metropolitan Safe Deposits Limited, was £1,390,000. Qualifying Investments No additional Qualifying Investments have been made since the year end. Developments since the Year End On 24 March 2014, Horizon raised £40m new equity in a private placing prior toIPO. Horizon was admitted to trading on the London Stock Exchange's AIM marketat a price of 180 pence per share on 27 March 2014. This compares with theCompany's cost price of 87.26 pence. Horizon aims to become the global No1 intranslational genomics research tools, and a leader in the implementation ofpersonalised medicine. There have been no further developments since the year end. Outlook The UK economy has shown recent signs of recovery from the low growth yearspost-recession, although concerns about productivity remain. In this context,we believe that the investments in the portfolio are well placed and can showgood returns in the medium to longer term. Calculus Capital Limited19 May 2014 Investment Manager's Review(Structured Products) Our non-Qualifying Investments are managed by Investec Structured Products. Asat the date of this report, the Company held a portfolio of Structured Productsbased on the FTSE 100 Index. The products differ by duration and counterparty. In line with the Company's strategy set out in the original offer documents,part of the initial cash raised has been used to build a portfolio ofStructured Products. The portfolio of Structured Products was constructed withdifferent issuers and differing maturity periods to minimise risk and create adiversified portfolio. The majority of this portfolio has now reached full termand paid a positive return, with all products which have reached full termpaying their maximum return. The recent changes are listed below. In the Ordinary Share Fund, this year the small £50,000 holding in the AbbeyNational product was sold early (21 June 2013) to help with cash flow,returning £59,500. All other products left in the portfolio are now maturatingin 2015. Currently the FTSE 100 is above all of these strike levels; thehighest strike level in the portfolio is now 5,341.93. The C Share Fund is smaller and the Abbey National product matured on 5February 2014, paying a 26% return on the £200,000 notional investment. Thereis now one product in the C share portfolio left which is due to mature in2017; the strike of this is 5,246.99. The continued strong performance of the FTSE 100 has supported valuations inthe Structured Products portfolio. The FTSE 100 has remained far above all ofthe products' strike levels. As at 28 February 2014, the FTSE 100 was at6,809.70. Over the past year, 5 year swap rates have increased slightly andvolatility has remained low, mainly due to the improvements in the UK economyas a whole. No new investments were made in Structured Products during the period. The Structured Products will achieve their target return subject to the FinalIndex Level of the FTSE 100 being higher than the Initial Index Level. Thecapital is at risk on a one-for-one basis ("CAR") if the FTSE 100 Index fallsmore than 50 per cent at any time during the investment term and fails to fullyrecover at maturity such that the Final Index Level is below the Initial IndexLevel. As at 28 February 2014, the following investments had been made inStructured Products: Ordinary Share Fund: FTSE 100 Initial Price as at Strike Index Notional Purchase 28 February Maturity Return/CapitalIssuer Date Level Investment Price 2014 Date at Risk(CAR) The RoyalBank ofScotland plc 05/05/2010 5,341.93 £275,000 £0.96 £1.5530 12/05/2015 162.5% if FTSE 100 higher*; CAR if FTSE 100 falls more than 50% Investec Bankplc 14/05/2010 5,262.85 £500,000 £0.98 £1.6985 19/11/2015 185% if FTSE 100 higher*; CAR if FTSE 100 falls more than 50% AbbeyNationalTreasuryServices 25/05/2010 4,940.68 £350,000 £0.99 £1.7348 18/11/2015 185% if FTSE 100 higher*; CAR if FTSE 100 falls more than 50% Matured/sold FTSE 100 Initial Index Price at Maturity Strike Level at Notional Purchase Maturity/ Date/Date Return/CapitalIssuer Date Maturity Investment Price Sale Sold at Risk(CAR) HSBC Bank plc 01/07/2010 4,805.75 £500,000 £1.00 Returned 06/07/2012 125.1% if FTSE 100 £1.2510 higher*; CAR if FTSE 100 falls more than 50% The RoyalBank ofScotland plc 18/03/2011 5,718.13 £50,000 £1.00 Returned 19/03/2012 Autocallable 10.5% p.a.; £1.1050 CAR if FTSE 100 falls more than 50%Nomura BankInternational** 28/05/2010 5,188.43 £350,000 £0.98 Sold at 30/03/2012 137% if FTSE 100 higher*; £1.2625 CAR if FTSE 100 falls more than 50% MorganStanleyInternational 10/06/2010 5,132.50 £500,000 £1.00 Sold at 31/10/2012 134% if FTSE 100 higher*; £1.3224 CAR if FTSE 100 falls more than 50%AbbeyNationalTreasuryServices 03/08/2011 5,584.51 £50,000 £1.00 Sold at 21/06/2013 126% if FTSE 100 higher*; £1.1900 CAR if FTSE 100 falls more than 50%The total valuation of the amount invested in Structured Products in theOrdinary Share Fund as at 28 February 2014 was £1,883,498. C Share Fund: FTSE 100 Initial Price as at Strike Index Notional Purchase 28 February Maturity Return/CapitalIssuer Date Level Investment Price 2014 Date at Risk(CAR) InvestecBank plc 05/08/2011 5,246.99 £328,000 £1.00 £1.5325 10/03/2017 182% if FTSE 100 higher*; CAR if FTSE 100 falls more than 50% Matured FTSE 100 Initial Index Strike Level at Notional Purchase Price at Maturity Return/CapitalIssuer Date Maturity Investment Price Maturity Date at Risk(CAR) The RoyalBank ofScotland plc 18/03/2011 5,718.13 £200,000 £1.00 Returned 19/03/2012 Autocallable 10.5% p.a.; £1.1050 CAR if FTSE 100 falls more than 50% Nomura BankInternational** 28/05/2010 5,188.43 £350,000 £1.2625 Returned 20/02/2013 137% if FTSE 100 higher*; £1.3700 CAR if FTSE 100 falls more than 50% AbbeyNationalTreasuryServices 03/08/2011 5,584.51 £200,000 £1.00 Returned 05/02/2014 126% if FTSE 100 higher*; £1.2600 CAR if FTSE 100 falls more than 50% The total valuation of the amount invested in Structured Products in the C Share Fundas at 28 February 2014 was £502,655. * The Final Index Level is calculated using 'averaging', meaning that theaverage of the closing levels of the FTSE 100 is taken on each Business Dayover the last 2-6 months of the Structured Product plan term (the length of theaveraging period differs for each plan). 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. ** The Nomura Structured Product was sold prior to maturity with a return oninitial investment of 28.8 per cent. This was sold to the C Share Fund. Investec Structured Products19 May 2014 INVESTMENT PORTFOLIOAS AT 28 FEBRUARY 2014 Ordinary Share Fund Net Assets % of Net AssetsStructured Products 41%Unquoted - loan stock 27%Unquoted - ordinary and preference shares 32%Unquoted - liquidity funds 0%Net current assets 0% 100% Sector % of PortfolioStructured Products 41%Unquoted - Qualifying Investments 59%Unquoted - other non-Qualifying Investments 0% 100% Nature of Book Cost Valuation % of Net % ofCompany Business £'000 £'000 Assets Portfolio Structured Products Investec Bank plc Banking 490 849 19% 19% Abbey National TreasuryServices Banking 346 607 13% 13% The Royal Bankof Scotland plc Banking 264 427 10% 9% Total Structured Products 1,100 1,883 42% 41% Qualifying Investments Tollan Energy Limited Energy 360 360 8% 8%Brigantes Energy Limited Oil and gas exploration and production 125 320 7% 7%MicroEnergy GenerationServices Limited Energy 300 288 6% 6% Human Race Group Limited Leisure 300 287 6% 6% Hampshire CosmeticsLimited Cosmetics 250 277 6% 6% Lime Technology Limited Construction 307 258 6% 6% AnTech Limited Oil services 270 255 6% 6% Metropolitan Safe Custody SafeLimited depository services 190 229 5% 5% Terrain Energy Limited Onshore oil and gas production 100 164 4% 4% Corfe Energy Limited Oil and gas exploration and production 75 137 3% 3% Venn Life Sciences ClinicalHoldings plc research 120 88 2% 2% Dryden Human Capital HumanGroup Limited resources 100 14 - - Secure Electrans Limited E-commerce security 112 12 - - Heritage House Limited Publishing and media services 127 - - - Total QualifyingInvestments 2,736 2,689 59% 59% Other non-QualifyingInvestments Scottish Widows LiquidityLiquidity Fund fund 1 1 - - Total Other non-QualifyingInvestments 1 1 - - Total Investments 3,837 4,573 101% 100% Net Current Liabilitiesless Creditors due afterone year (61) (1)% Net Assets 4,512 100% C Share Fund Net Assets % of Net AssetsStructured Products 28%Unquoted - loan stock 18%Unquoted - ordinary and preference shares 47%Unquoted - liquidity funds 0%Net current assets 7% 100% Sector % of PortfolioStructured Products 31%Unquoted - Qualifying Investments 69%Unquoted - other non-Qualifying Investments 0% 100% Book % of Nature of Cost Valuation Net % ofCompany Business £'000 £'000 Assets Portfolio Structured Products Investec Bank plc Banking 328 503 28% 31% Total Structured Products 328 503 28% 31% Qualifying Investments Hampshire CosmeticsLimited Cosmetics 150 152 9% 9% Quai Administration Services Limited Technology 150 150 9% 9% Scancell Holdings Plc Biotech 100 144 8% 9% Human Race Group Limited Leisure 150 143 8% 9% The One Place Capital PersonalLimited finance 127 127 7% 8% Terrain Energy Limited Onshore oil and gas production 95 121 7% 7% Metropolitan Safe Safe depositoryCustody Limited services 90 108 6% 6% Pico's Limited Leisure 50 64 4% 4% Venn Life Sciences ClinicalHoldings plc research 80 59 3% 4% Horizon DiscoveryLimited Biotechnology 50 50 3% 3% Secure Electrans Limited E-commerce security 75 25 1% 1% Heritage House Limited Publishing and media services 64 - - - Total QualifyingInvestments 1,181 1,143 65% 69% Other non-QualifyingInvestments Fidelity Liquidity Fund Liquidity fund - - - - Scottish Widows LiquidityFund Liquidity fund 1 1 - - Total Othernon-QualifyingInvestments 1 1 - - Total Investments 1,510 1,647 93% 100% Net Current Assets lessCreditors due after oneyear 118 7% Net Assets 1,765 100% OTHER STATUTORY INFORMATION Company Activities and Status The Company is registered as a public limited company and incorporated inEngland and Wales with registration number 07142153. Its shares have a premiumlisting and are traded on the London Stock Exchange. The Company's business model is to conduct business as a venture capital trust("VCT"). Company affairs are conducted in a manner to satisfy the conditions toenable it to obtain approval as a VCT under sections 258-332 of the Income TaxAct 2007 ("ITA 2007"). On incorporation, the Company was an investment company under section 833 ofthe Companies Act 2006. On 18 May 2011, investment company status was revokedby the Company. This was done in order to allow the Company to pay dividends toshareholders using the special reserve (a distributable capital reserve), whichhad been created on the cancellation of the share premium account on 20 October2010. Company Strategy, Objectives and Business model The Company's principal objectives for investors are to: * invest in a portfolio of Venture Capital Investments and Structured Products that will provide investment returns that are sufficient to allow the Company to maximise annual dividends and pay an interim return either by way of a special dividend or cash offer for shares on or before an interim return date; * generate sufficient returns from a portfolio of Venture Capital Investments that will provide attractive long-term returns within a tax efficient vehicle beyond an interim 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. Investment policy It is intended that approximately 75 per cent. of the monies raised by theCompany will be invested within 60 days in a portfolio of Structured Products.The balance will be used to meet initial costs and invested in cash or nearcash assets (as directed by the Board) and will be available to invest inVenture Capital Investments and 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 there will be a phased reduction in the Structured Productsportfolio and corresponding build up in the portfolio of Venture CapitalInvestments to achieve and maintain this 70 per cent. threshold along the linesset out in the table below: Average Exposure per Year Year 1 Year 2 Year 3 Year 4 Year 5 Year 6+ Structured Products andcash/near cash 85% 75% 35% 25% 25% 0%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 maximisinglong-term returns. Such returns will then be dependent, both in terms of amountand timing, on the performance of the Venture Capital Investments, but with theintention 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 Structured Products may also be collateralised whereby notes areissued by one issuer (such as Investec Bank plc) but with the underlyinginvestment risk being linked to more than one issuer (as approved by the Board)reducing insolvency risks, creating diversity and potentially increasingreturns for shareholders. If the Company invests in a collateralised StructuredProduct, the amount of the exposure to an underlying issuer will be taken intoaccount when reviewing investments for diversification. The maximum exposure toany one issuer (or underlying issuer) will be limited, in aggregate, 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 the investment). The Board and its Managers review the portfolio of investments on a regularbasis to assess asset allocation and the need to realise investments to meetthe Company's objectives or maintain VCT status. Where investment opportunitiesarise in one asset class which conflicts with assets held or opportunities inanother asset class, the Board will make the investment/divestment decision. Under its Articles, the Company has the ability to borrow a maximum amountequal to 25 per cent. of the gross assets of the Company. 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 willensure the Company has exposure to a diversified range of Venture CapitalInvestments from different sectors. Investec Structured Products will ensurethe Company has exposure to a diversified range of Structured Products. TheBoard believes that investment in these two asset classes provides furtherdiversification. 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 feltthis would enhance shareholder return; • invest in companies which operate in sectors with a high degree ofpredictability and a defensible market position; and • invest in companies which can benefit both from the capital provided byCalculus Capital but also from the many years of operating and financialexperience 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. Performance The Board reviews performance by reference to a number of key performanceindicators ("KPIs") and considers that the most relevant KPIs are those thatcommunicate the financial performance and strength of the Company as a whole,being; - total return per share - net asset value per share - share price and discount/premium to net asset value The financial performance of the Company is set out below: Year Ended Year Ended 28 February 28 February 2014 2013Ordinary Share FundFair value portfolio valuation £4.6m £4.5mTotal return after tax £199,000 £309,000Total return per ordinary share 4.2p 6.5pNAV per ordinary share 95.2p 96.3pOrdinary share price 85.5p 92.5pOrdinary share price discount to NAV (10.2)% (3.9)% C Share Fund Fair value portfolio valuation £1.6m £1.3mTotal return after tax £47,000 £104,000Total return per C share 2.4p 5.4pNAV per C share 91.4p 93.5pC share price 90.p 90.0pC share price discount to NAV (1.5)% (3.7)% 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. A summary of these tests is set out in the full Annual Report. TheCompany has received provisional approval as a VCT from HM Revenue & Customs. To maintain its qualifying status as a Venture Capital Trust, the Company as awhole needs to be at least 70 per cent. invested in Qualifying Investments bythe end of the relevant third accounting period. At 28 February 2014, thequalifying percentage for the Company was 71.8 per cent. Principal Risks and Uncertainties Facing the Company The Company is exposed to a variety of risks. The principal financial risks andthe Company's policies for managing these risks and the policy and practicewith regard to financial instruments are summarised in note 15 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 and AIM-traded companies involves a higherdegree of risk than investment in companies traded on the main market of theLondon Stock Exchange. These companies may not be freely marketable andrealisations of such investments can be difficult and can take a considerableamount of time. There may also be constraints imposed upon the Company withrespect to realisations in order to maintain its VCT status which may restrictthe Company's ability to obtain the maximum value from its investments. Calculus Capital has been appointed to manage the Qualifying Investmentsportfolio, and has extensive experience of investing in this type ofinvestment. 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 Share Fund, in such other index as thisfund may be invested, there will be no gains from the Structured Products. Inthe event of a fall in the relevant index of more than 50 per cent. at any timeduring the Structured Product term, and where the Final Index Level is belowthe Initial Index Level, there will be losses on the Structured Products. 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 of the Structured Product. InvestecStructured 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 time to time and market expectations regarding the futureperformance of the relevant underlying index, its composition and suchStructured Products. Investec Structured Products has been appointed to manage the StructuredProducts portfolio for its expertise in these types of financial products.Restrictions have been agreed with Investec Structured Products relating toapproved 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, andInvestec Wealth & Investments acts as custodian. C shares versus ordinary shares The assets relating to the C shares are managed and accounted for separatelyfrom the assets attributable to the ordinary shares. However, a number ofcompany regulations and VCT requirements are assessed at company level and,therefore, the performance of one fund may impact adversely on the other. TheBoard monitors both the performance of each separate fund as well asrequirements at a company level to reduce the risk of this occurring. Employees, Environmental, Human rights and Community Issues The Company has no employees and the Board is comprised entirely ofnon-executive Directors. Day-to-day management of the Company's business isdelegated to the Investment Managers (details of the respective managementagreements are set out in the Directors' Report in the full Annual Report) andthe Company itself has no environmental, human rights, or community policies.In carrying out its activities and in relationships with suppliers, the Companyaims to conduct itself responsibly, ethically and fairly. Gender Diversity The Board of Directors comprised of three male Directors and one femaleDirector during, and at the end of, the year to 28 February 2014. On behalf of the BoardMichael O'HigginsChairman19 May 2014 Directors The Directors who held office during the course of the period were as follows: Michael O'Higgins (Chairman)*Kate Cornish-Bowden*John GlencrossSteve Meeks* * Independent of the Investment Managers. Investment Managers Calculus Capital Calculus 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 theStructured Products portfolio manager (non VCT Qualifying Investments). EXTRACTS FROM THE DIRECTORS' REPORT Share Capital At the year end and at the date of this report, the issued share capitalcomprised 4,738,463 ordinary shares (representing 71.05 per cent. of totalvoting rights and of the total share capital) and 1,931,095 C shares(representing 28.95 per cent. of total voting rights and of the total sharecapital). No shares were held in Treasury. At the Annual General Meeting held on 17 July 2012, the Directors were grantedauthority to allot shares up to an aggregate nominal amount of £206,700, andthis authority will expire at the Annual General Meeting to be held in 2017. The Directors were also authorised to issue shares for cash (without rights ofpre-emption applying) (i) up to £100,000 of each class of share by way of offerfor subscription and (ii) up to 10 per cent. of each class of share for generalpurposes and to buy back up to 14.99 per cent. of each of the ordinary and Cshares in issue. No shares have been issued or bought back during the period.The Board's proposals for the renewal of these authorities are detailed in thefull Annual Report. Going Concern After making enquiries, and having reviewed the portfolio, balance sheet andprojected income and expenditure for the next twelve months, the Directors havea reasonable expectation that the Company has adequate resources to continue inoperation for the foreseeable future. The Directors have therefore adopted thegoing concern basis in preparing the Accounts. The full Annual Report and Accounts contains the following statements regardingresponsibility for the Accounts. DIRECTORS' RESPONSIBILITIES STATEMENT Statement of Directors' Responsibilities in respect of the Annual Report andthe Accounts The Directors are responsible for preparing the Annual Report and the Accountsin 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 accounting estimates that are reasonable and prudent; • state whether applicable UK Accounting Standards have been followed, subjectto any material departures disclosed and explained in the Accounts; and • prepare the Accounts on the going concern basis unless it is inappropriate topresume 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 Strategic Report, Directors' Report, Directors' Remuneration Reportand Corporate Governance Statement that comply with that law and thoseregulations, and for ensuring that the Annual Report includes informationrequired by the Listing Rules of the Financial Conduct Authority. The Accounts are published on the www.calculuscapital.com website, which is awebsite maintained by one of the Company's Investment Managers, CalculusCapital. The maintenance and integrity of the website maintained by CalculusCapital is, so far as it relates to the Company, the responsibility of CalculusCapital. The work carried out by the Auditor does not involve consideration ofthe maintenance and integrity of this website and accordingly, the Auditoraccepts no responsibility for any changes that have occurred to the Accountssince they were initially presented on the website. Visitors to the websiteneed to be aware that legislation in the United Kingdom covering thepreparation and dissemination of the Accounts may differ from legislation intheir jurisdiction. We confirm that to the best of our knowledge: • the Accounts, prepared in accordance with the applicable set ofaccounting 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 andperformance of the business and the position of the Company together with adescription of the principal risks and uncertainties that it faces. On behalf of the BoardMichael O'HigginsChairman19 May 2014 NON-STATUTORY ACCOUNTS The financial information set out below does not constitute the Company'sstatutory accounts for the year ended 28 February 2014 and the year ended 29February 2013 but is derived from those accounts. Statutory accounts for 2013have been delivered to the Registrar of Companies, and those for 2014 will bedelivered 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 Statementfor the year ended 28 February 2014 Year Ended Year Ended 28 February 2014 28 February 2013 Revenue Capital Revenue Capital Return Return Total Return Return Total Note £'000 £'000 £'000 £'000 £'000 £'000 Ordinary Share Fund Investment holding gains/(losses) 8 - 267 267 - (3) (3)Gain on disposal of investments 8 - 10 10 - 391 391Income 2 74 - 74 71 - 71Investment management fee 3 (11) (34) (45) (11) (33) (44)Other operating expenses 4 (107) - (107) (106) - (106)(Loss)/profit on ordinary activities beforetaxation (44) 243 199 (46) 355 309Taxation on ordinary activities 5 - - - - - -(Loss)/profit for the year (44) 243 199 (46) 355 309Basic and diluted earnings per ordinary share 7 (0.9)p 5.1p 4.2p (1.0)p 7.5p 6.5p C Share Fund Investment holding gains 8 - 33 33 - 80 80Gain on disposal of investments 8 - 52 52 - 72 72Income 2 22 - 22 13 - 13Investment management fee 3 (4) (13) (17) (4) (13) (17)Other operating expenses 4 (43) - (43) (44) - (44)(Loss)/profit on ordinary activities beforetaxation (25) 72 47 (35) 139 104Taxation on ordinary activities 5 - - - - - -(Loss)/profit for the year (25) 72 47 (35) 139 104Basic and diluted earnings per C share 7 (1.3)p 3.7p 2.4p (1.8)p 7.2p 5.4p The total column of these statements represents the Income Statement of theOrdinary Share Fund and C Share Fund. The supplementary revenue return and capital return columns are both preparedin accordance with the Association of Investment Companies' ("AIC") Statementof Recommended Practice ("SORP"). No operations were acquired or discontinued during the year. All items in the above statement derive from continuing operations. There were no recognised gains or losses other than those passing through theIncome Statement. The notes form an integral part of these Accounts. Income Statement (continued)for the year ended 28 February 2014 Year Ended Year Ended 28 February 2014 28 February 2013 Revenue Capital Revenue Capital Return Return Total Return Return TotalTotal Note £'000 £'000 £'000 £'000 £'000 £'000 Investment holding gains 8 - 300 300 - 77 77Gain on disposal of investments 8 - 62 62 - 463 463Income 2 96 - 96 84 - 84Investment management fee 3 (15) (47) (62) (15) (46) (61)Other operating expenses 4 (150) - (150) (150) - (150)(Loss)/profit on ordinary activities beforetaxation (69) 315 246 (81) 494 413Taxation on ordinary activities 5 - - - - - -(Loss)/profit for the year (69) 315 246 (81) 494 413Basic and diluted earnings per ordinary share 7 (0.9)p 5.1p 4.2p (1.0)p 7.5p 6.5pBasic and diluted earnings per C share 7 (1.3)p 3.7p 2.4p (1.8)p 7.2p 5.4p 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 AIC's SORP. No operations were acquired or discontinued during the year. All items in the above statement derive from continuing operations. There were no recognised gains or losses other than those passing through theIncome Statement. The notes form an integral part of these Accounts Reconciliation of Movements in Shareholders' Fundsfor the year ended 28 February 2014 Capital Capital Share Special Reserve Reserve Revenue Capital Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000Ordinary Share FundFor the year ended 28 February 2014 1 March 2013 47 3,978 297 469 (229) 4,562Investment holding gains - - - 267 - 267Gain on disposal of investments - - 10 - - 10Management fee allocated to capital - - (34) - - (34)Revenue return on ordinary activities after tax - - - - (44) (44)Dividend paid - (249) - - - (249)28 February 2014 47 3,729 273 736 (273) 4,512 For the year ended 28 February 20131 March 2012 47 4,226 (61) 472 (183) 4,501Change in accrual of IFA trail commission - 1 - - - 1Investment holding losses - - - (3) - (3)Gain on disposal of investments - - 391 - - 391Management fee allocated to capital - - (33) - - (33)Revenue return on ordinary activities after tax - - - - (46) (46)Dividend paid - (249) - - - (249)28 February 2013 47 3,978 297 469 (229) 4,562 The notes form an integral part of these Accounts. Reconciliation of Movements in Shareholders' Funds (continued)for the year ended 28 February 2014 Capital Capital Share Special Reserve Reserve Revenue Capital Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000C Share FundFor the year ended 28 February 2014 1 March 2013 19 1,715 47 104 (80) 1,805Investment holding gains - - - 33 - 33Gain on disposal of investments - - 52 - - 52Management fee allocated to capital - - (13) - - (13)Revenue return on ordinary activities after tax - - - - (25) (25)Dividend paid - (87) - - - (87)28 February 2014 19 1,628 86 137 (105) 1,765 For the year ended 28 February 2013 1 March 2012 19 1,802 (12) 24 (45) 1,788Investment holding gains - - - 80 - 80Gain on disposal of investments - - 72 - - 72Management fee allocated to capital - - (13) - - (13)Revenue return on ordinary activities after tax - - - - (35) (35)Dividend paid - (87) - - - (87)28 February 2013 19 1,715 47 104 (80) 1,805 The notes form an integral part of these Accounts. Reconciliation of Movements in Shareholders' Funds (continued)for the year ended 28 February 2014 Capital Capital Share Special Reserve Reserve Revenue Capital Reserve Realised Unrealised Reserve TotalTotal £'000 £'000 £'000 £'000 £'000 £'000For the year ended 28 February 2014 1 March 2013 66 5,693 344 573 (309) 6,367Investment holding gains - - - 300 - 300Gain on disposal of investments - - 62 - - 62Management fee allocated to capital - - (47) - - (47)Revenue return on ordinary activities after tax - - - - (69) (69)Dividend paid - (336) - - - (336)28 February 2014 66 5,357 359 873 (378) 6,277 For the year ended 28 February 2013 1 March 2012 66 6,028 (73) 496 (228) 6,289Change in accrual of IFA trail commission - 1 - - - 1Investment holding gains - - - 77 - 77Gain on disposal of investments - - 463 - - 463Management fee allocated to capital - - (46) - - (46)Revenue return on ordinary activities after tax - - - - (81) (81)Dividend paid - (336) - - - (336)28 February 2013 66 5,693 344 573 (309) 6,367 The notes form an integral part of these Accounts. Balance Sheetas at 28 February 2014 28 February 28 February 2014 2013 Note £'000 £'000Ordinary Share Fund Fixed assetsInvestments 8 4,573 4,545Current assetsDebtors 9 73 110Cash at bank and on deposit - 4 73 114 Creditors: amount falling due within oneyearCreditors 10 (107) (87)Bank overdraft (22) - (129) (87) Net current (liabilities)/assets (56) 27 Non-current liabilitiesIFA trail commission (5) (10) Net assets 4,512 4,562 Capital and reservesCalled-up share capital 11 47 47Special reserve 3,729 3,978Capital reserve - realised 273 297Capital reserve - unrealised 736 469Revenue reserve (273) (229)Equity shareholders' funds 4,512 4,562 Net asset valueper ordinary share - basic 12 95.2p 96.3p The notes form an integral part of these Accounts. Balance Sheet (continued)as at 28 February 2014 28 February 28 February 2014 2013 Note £'000 £'000C Share Fund Fixed assetsInvestments 8 1,647 1,258Current assetsDebtors 9 29 35Cash at bank and on deposit 130 556 159 591Creditors: amount falling due withinone yearCreditors 10 (36) (36) Net current assets 123 555 Non-current liabilitiesIFA trail commission (5) (8) Net assets 1,765 1,805 Capital and reservesCalled-up share capital 11 19 19Special reserve 1,628 1,715Capital reserve - realised 86 47Capital reserve - unrealised 137 104Revenue reserve (105) (80) Equity shareholders' funds 1,765 1,805 Net asset value per C share - basic 12 91.4p 93.5p The notes form an integral part of these Accounts. Balance Sheet (continued)as at 28 February 2014 28 February 28 February 2014 2013 Note £'000 £'000Total Fixed assetsInvestments 8 6,220 5,803 Current assetsDebtors 9 102 145Cash at bank and on deposit 130 560 232 705Creditors: amounts falling due withinone yearCreditors 10 (143) (123)Bank overdraft (22) - (165) (123) Net current assets 67 582 Non-current liabilitiesIFA trail commission (10) (18) Net assets 6,277 6,367 Capital and reservesCalled-up share capital 66 66Special reserve 5,357 5,693Capital reserve - realised 359 344Capital reserve - unrealised 873 573Revenue reserve (378) (309) Equity shareholders' funds 6,277 6,367 Net asset valueper ordinary share - basic 12 95.2p 96.3p Net asset value per C share - basic 12 91.4p 93.5p These Accounts were approved by the Board of Directors of Investec StructuredProducts Calculus VCT plc and were authorised for issue on 19 May 2014 and weresigned on its behalf by: Michael O'HigginsChairman Registered No. 07142153 England & Wales The notes form an integral part of these Accounts. Cash Flow Statementfor the year ended 28 February 2014 28 February 28 February 2014 2013 Note £'000 £'000 Ordinary Share Fund Operating activitiesInvestment income received 104 56Deposit interest received - 2Investment management fees (22) (22)Other cash payments (103) (85) Cash expended from operating activities 13 (21) (49) Cash flow from investing activitiesPurchase of investments (12) (1,700)Sale of investments 261 1,978 Net cash flow from investing activities 249 278 Equity dividend paid (249) (249) Net cash flow before financing (21) (20) Cash flow from financing activitiesExpenses of share issues (5) (4) Net cash flow from financing activities (5) (4) Decrease in cash at bank and on deposit (26) (24) Analysis of changes in cash at bank and on depositBeginning of year 4 28Net cash decrease (26) (24) As at 28 February (22) 4 The notes form an integral part of these Accounts. Cash Flow Statement (continued)for the year ended 28 February 2014 Year Ended Year Ended 28 February 28 February 2014 2013 Note £'000 £'000C Share Fund Operating activitiesInvestment income received 22 8Deposit interest received 1 -Investment management fees (17) (9)Other cash payments (38) (20) Cash expended from operating activities 13 (32) (21) Cash flow from investing activitiesPurchase of investments (657) (722)Sale of investments 353 1,307 Net cash flow from investing activities (304) 585 Equity dividend paid (87) (87) Net cash flow before financing (423) 477 Cash flow from financing activitiesExpenses of share issues (3) (25) Net cash flow from financing activities (3) (25) (Decrease)/increase in cash at bank and on deposit (426) 452 Analysis of changes in cash at bank and on depositBeginning of year 556 104 Net cash (decrease)/increase (426) 452 As at 28 February 130 556 The notes form an integral part of these Accounts. Cash Flow Statement (continued)for the year ended 28 February 2014 Year Ended Year Ended 28 February 28 February 2014 2013 Note £'000 £'000Total Operating activitiesInvestment income received 126 64Deposit interest received 1 2Investment management fees (39) (31)Other cash payments (141) (105) Cash expended from operating activities 13 (53) (70) Cash flow from investing activitiesPurchase of investments (669) (2,422)Sale of investments 614 3,285 Net cash flow from investing activities (55) 863 Equity dividend paid (336) (336) Net cash flow before financing (444) 457 Cash flow from financing activitiesExpenses of share issues (8) (29) Net cash flow from financing activities (8) (29) (Decrease)/increase in cash at bank and on deposit (452) 428 Analysis of changes in cash at bank and on depositBeginning of year 560 132Net cash (decrease)/increase (452) 428 As at 28 February 108 560 The notes form an integral part of these Accounts. NOTES TO THE ACCOUNTS Accounting Policies Basis of accounting These Accounts cover the 12 month period 1 March 2013 to 28 February 2014, andhave been prepared under the historical cost convention, except for thevaluation of financial assets at fair value through profit or loss, inaccordance with UK Generally Accepted Accounting Practice ("UK GAAP") and theAIC SORP issued in January 2009. These Accounts are prepared on the goingconcern basis. In determining the analysis of total income and expenses as between capitalreturn and revenue return, the Directors have followed the guidance containedin the AIC SORP, and on the assumption that the Company maintains VCT status. Expenses are allocated between the Ordinary Share Fund and the C Share Fund onthe basis of the ratio of the number of shares held by the respective fund tothe total number of ordinary and C shares where the expense is a sharedexpense. Where expenses are not shared in this proportion, they are applied onthe basis of the most accurate method. The Ordinary Share Fund and C Share Fund share bank accounts. Each funds' shareof the bank accounts is based on actual receipts and payments. These cash flowsare allocated according to the accounting policy for income and expensesrespectively. The Company has not prepared consolidated accounts and has accounted for itssubsidiary, Investec SPV Limited, as an investment on the grounds that itsresults are immaterial to the Company. Investec SPV Limited was dissolved inMarch 2014 as it was no longer required. The Company's Accounts are presented in Sterling. Investments at fair value through profit or loss The Company aims to invest in portfolios 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' and the AIC SORP. The Company manages andevaluates the performance of these investments on a fair value basis inaccordance with its investment strategy, and information about the portfolio isprovided internally on this basis to the Board. Fair value is the amount forwhich an asset can be exchanged between knowledgeable, willing parties in anarm's length transaction. Investments held at fair value through profit or lossare initially 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 trade date basis. For investments actively traded in organised financial markets, fair value isgenerally determined by reference to quoted market bid, or last, prices,depending 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 midprices for the Structured Products provided by the product issuers. Anadjustment is made to these prices to take into account any bid/offer spreadsprevalent in the market at each valuation date. These spreads are eitherdetermined by the issuer or recommended by the Structured Products Manager,Investec Structured Products (a trading name of Investec Bank plc). 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 ("IPEV") guidelines. Primary indicatorsof fair value are derived from earnings multiples, recent arm's length markettransactions, net assets or, where appropriate, at cost for recent investmentsor the discounted cash flow 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 theeffective interest rate method. Interest receivable on bank deposits isincluded in the Accounts on an accruals basis. The gains and losses arising on investments in Structured Products areallocated between revenue and capital according to the nature of eachStructured Product. This is dependent on the extent to which the return on theStructured Product is capital or revenue based. Other revenue is credited to the revenue column of the Income Statement whenthe Company's right to receive the revenue has been established. Expenses All expenses are accounted for on an accruals basis. Expenses are charged tothe Income Statement as follows: • expenses, except as stated below, are charged to the revenue column of theIncome Statement; • expenses incurred on the acquisition or disposal of an investment are takento 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 covering a five year period sinceshare allotment has been provided for in the Accounts as, due to the nature ofthe Company, it is probable that this will be payable. The commission isapportioned between current and non-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 and C shares respectively for the 2009/2010, 2010/2011 and 2011/2012 taxyears (excluding irrecoverable VAT, annual trail commission and performanceincentive fees), can be clawed back from Investec Structured Products until theOrdinary Share Interim Return Date. Any clawback is treated as a credit againstthe expenses of the Company. Investment management and performance fees Calculus Capital, as Investment Manager of the VCT qualifying portfolio,receives an annual investment management fee of an amount equivalent to 1.0 percent. of the net assets of the respective share fund. Investec Structured Products, as Investment Manager of the Structured Productsportfolio, does not receive any annual management fees from the Company.Investec Structured Products is entitled to an arrangement fee from theproviders 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 105p per ordinary share (this being a 50 per cent. returnon an initial net investment of 70p per ordinary share taking into accountupfront income tax relief) provided holders of ordinary shares have received orbeen offered an interim return of at least 70p per share for payment on orbefore 14 December 2015. Such performance incentive fees will be paid within 10business days of the date of payment of the relevant dividend or distribution. For the C Share Fund, Investec Structured Products and Calculus Capital will beentitled to performance incentive fees as set out below: • 10 per cent. of C Shareholder Proceeds in excess of 105p up to and includingProceeds of 115p per C share, such amount to be paid within ten business daysof the date of payment of the relevant dividend or distribution pursuant towhich a return of 115p per C share is satisfied; and • 10 per cent. of C Shareholder Proceeds in excess of 115p per C share, suchamounts to be paid within ten business days of the date of payment of therelevant dividend or distribution; provided in each case that C shareholders have received or been offered the CShare Interim Return of at least 70p per C share on or before 14 March 2017 andat least a further 45p per C share having being received or offered for paymenton or before the 14 March 2019. Capital reserve The capital return component of the return for the year is taken to thenon-distributable capital reserves and the unrealised capital component of thereturn for the year is taken to the non-distributable capital reserves withinthe Reconciliation of Movements in Shareholders' Funds. Special reserve The special reserve was created by the cancellation of the Ordinary ShareFund's share premium account on 20 October 2010. A further cancellation of theshare premium account occurred on 23 November 2011 for both the Ordinary ShareFund and C Share Fund. The special reserve is a distributable reserve createdto be used by the Company inter alia to write off losses, fund market purchasesof its own ordinary and C shares, make distributions and/or for other corporatepurposes. The Company was formerly an investment company under section 833 of theCompanies Act 2006. On 18 May 2011, investment company status was revoked bythe Company. This was done in order to allow the Company to pay dividends toshareholders using the special reserve. Taxation Deferred 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 bythe Company by virtue of its VCT status. However, the net revenue (excluding UKdividend income) accruing to the Company is liable to corporation tax at theprevailing 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 Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Ordinary Share Fund UK dividends 2 -UK unfranked loan stock interest 58 68Liquidity fund interest - 1Redemption premium 12 -Bank interest - 2Commission fees received 2 - 74 71Total income comprises:Interest 70 71Dividends 2 -Other income 2 - 74 71 C Share Fund UK dividends 1 -UK unfranked loan stock interest 19 12Liquidity fund interest - 1Bank interest 1 -Commission fees received 1 - 22 13Total income comprises:Interest 20 13Dividends 1 -Other income 1 - 22 13 Total UK dividends 3 -UK unfranked loan stock interest 77 80Liquidity fund interest - 2Redemption premium 12 -Bank interest 1 2Commission fees received 3 - 96 84Total income comprises:Interest 90 84Dividends 3 -Other income 3 - 96 84 3. Management Fee Year Ended Year Ended 28 February 2014 28 February 2013 Revenue Capital Total Revenue Capital Total £'000 £'000 £'000 £'000 £'000 £'000Ordinary Share FundInvestment management fee 11 34 45 11 33 44 C Share FundInvestment management fee 4 13 17 4 13 17 TotalInvestment management fee 15 47 62 15 46 61 No performance fee was paid during the year. 4. Other Expenses Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Ordinary Share Fund Directors' fees 35 47Secretarial and accounting fees 59 59Auditor's remuneration- audit services 14 15- tax compliance services 4 4Other 52 43Clawback of expenses in excess of 3% cap repayablefrom the Manager (57) (62) 107 106 C Share Fund Directors' fees 15 19Secretarial and accounting fees 24 24Auditor's remuneration- audit services 6 6- tax compliance services 2 2Other 19 21Clawback of expenses in excess of 3% cap repayablefrom the Manager (23) (28) 43 44 Total Directors' fees 50 66Secretarial and accounting fees 83 83Auditor's remuneration- audit services 20 21- tax compliance services 6 6Other 71 64Clawback of expenses in excess of 3% cap repayablefrom the Manager (80) (90) 150 150 Further details of Directors' fees can be found in the Directors' RemunerationReport in the full Annual Report. 5. Taxation Year Ended Year Ended 28 February 2014 28 February 2013 Revenue Capital Total Revenue Capital Total £'000 £'000 £'000 £'000 £'000 £'000Ordinary Share Fund (Loss)/profit on ordinaryactivities before tax (44) 243 199 (46) 355 309 Theoretical tax at UK CorporationTax rate of 23.1% (2013: 24.2%) (10) 56 46 (11) 86 75 Timing differences: loss notrecognised, carried forward 10 8 18 11 8 19 Effects of non-taxable gains - (64) (64) - (94) (94) Tax charge - - - - - - C Share Fund (Loss)/profit on ordinaryactivities before tax (25) 72 47 (35) 139 104 Theoretical tax at UK CorporationTax rate of 23.1% (2013: 24.2%) (6) 17 11 (9) 34 25 Timing differences: loss notrecognised, carried forward 6 3 9 9 3 12 Effects of non-taxable gains - (20) (20) - (37) (37) Tax charge - - - - - - Total (Loss)/profit on ordinaryactivities before tax (69) 315 246 (81) 494 413 Theoretical tax at UK CorporationTax rate of 23.1% (2013: 24.2%) (16) 73 57 (20) 120 100 Timing differences: loss notrecognised, carried forward 16 11 27 20 11 31 Effects of non-taxable gains - (84) (84) - (131) (131) Tax charge - - - - - - At 28 February 2014, the Company had £443,343 (28 February 2013: £428,064) ofexcess management expenses to carry forward against future taxable profits. The Company's deferred tax asset of £93,102 (28 February 2013: £103,591) hasnot been recognised due to the fact that it is unlikely the excess managementexpenses will be set off in the foreseeable future. 6. Dividends Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Ordinary Share Fund Declared and paid: 5.25p per ordinary share in respect of theyear ended 28 February 2013 (2012: 5.25p) 249 249 Proposed final dividend: 5.25p per ordinary share in respectof the year ended 28 February 2014 (2013: 5.25p) 249 249 C Share Fund Declared and paid: 4.5p per C share in respect of the yearended 28 February 2013 (2012: 4.5p) 87 87 Proposed final dividend: 4.5p per C share in respect of theyear ended 28 February 2014 (2013: 4.5p) 87 87 The proposed dividends are subject to approval by shareholders at theforthcoming Annual General Meeting and have not been included as a liability inthese Accounts. 7. Return per Share Year Ended Year Ended 28 February 2014 28 February 2013 Revenue Capital Total Revenue Capital Total pence pence pence pence pence pence Return per ordinary share (0.9) 5.1 4.2 (1.0) 7.5 6.5 Return per C share (1.3) 3.7 2.4 (1.8) 7.2 5.4 Ordinary Share Fund Revenue return per ordinary share is based on the net revenue loss on ordinaryactivities after taxation of £44,000 (28 February 2013: £46,000) and on4,738,463 ordinary shares (28 February 2013: 4,738,463), being the weightedaverage number of ordinary shares in issue during the year. Capital return per ordinary share is based on the net capital gain for the yearof £243,000 (28 February 2013: £355,000) and on 4,738,463 ordinary shares (28February 2013: 4,738,463), being the weighted average number of ordinary sharesin issue during the year. Total return per ordinary share is based on the total gain on ordinaryactivities after taxation of £199,000 (28 February 2013: £309,000) and on4,738,463 ordinary shares (28 February 2013: 4,738,463), being the weightedaverage number of ordinary shares in issue during the year. C Share Fund Revenue return per C share is based on the net revenue loss on ordinaryactivities after taxation of £25,000 (28 February 2013: £35,000) and on1,931,095 C shares (28 February 2013: 1,931,095), being the weighted averagenumber of C shares in issue during the year. Capital return per C share is based on the net capital gain for the year of£72,000 (28 February 2013: £139,000) and on 1,931,095 C shares (28 February2013: 1,931,095), being the weighted average number of C shares in issue duringthe year. Total return per C share is based on the total gain for the year of £47,000 (28February 2013: £104,000) and on 1,931,095 C shares (28 February 2013:1,931,095), being the weighted average number of C shares in issue during theyear. 8. Investments Year Ended 28 February 2014 Structured Product Unquoted Other Investments Investments Investments Total £'000 £'000 £'000 £'000Ordinary Share Fund Opening bookcost 1,150 2,924 2 4,076Opening investment holding gains/(losses) 584 (115) - 469Opening valuation 1,734 2,809 2 4,545 Movements in year:Purchases at cost - 12 - 12Sales proceeds (60) (200) (1) (261)Realised gains on sales 10 - - 10Increase/decrease in investmentholding gains/(losses) 199 68 - 267 Movements in year 149 (120) (1) (28)Closing valuation 1,883 2,689 1 4,573Closing bookcost 1,100 2,736 1 3,837Closing investment holding gains/(losses) 783 (47) - 736Closing valuation 1,883 2,689 1 4,573 Unquoted investments include unquoted shares valued at £nil (2013: £nil) in theCompany's subsidiary, Investec SPV. These shares cost £1,834, resulting in anunrealised loss of £1,834 (2013: £1,834). C Share Fund Opening bookcost 528 524 102 1,154Opening investment holding gains/(losses) 159 (55) - 104Opening valuation 687 469 102 1,258 Movements in year:Purchases at cost - 657 - 657Sales proceeds (252) - (101) (353)Realised gains on sales 52 - - 52 Increase/decrease in investment holdinggains/(losses) 16 17 - 33 Movements in year (184) 674 (101) 389Closing valuation 503 1,143 1 1,647Closing bookcost 328 1,181 1 1,510Closing investment holdinggains/(losses) 175 (38) - 137Closing valuation 503 1,143 1 1,647 Unquoted investments include unquoted shares valued at £nil (2013: £nil) in theCompany's subsidiary, Investec SPV. The shares cost £917, resulting in anunrealised loss of £917 (2013: £917). Year Ended 28 February 2014 Structured Product Unquoted Other Investments Investments Investments TotalTotal Opening bookcost 1,678 3,448 104 5,230Opening investment holding gains/(losses) 743 (170) - 573Opening valuation 2,421 3,278 104 5,803 Movements in year:Purchases at cost - 669 - 669Sales proceeds (312) (200) (102) (614)Realised gains on sales 62 - - 62Increase/decrease in investmentholding gains/(losses) 215 85 - 300Movements in year (35) 554 (102) 417Closing valuation 2,386 3,832 2 6,220Closing bookcost 1,428 3,917 2 5,347Closing investment holding gains/(losses) 958 (85) - 873 Closing valuation 2,386 3,832 2 6,220 Note 15 provides a detailed analysis of investments held at fair value throughprofit and loss in accordance with Financial Reporting Standard 29 'FinancialInstruments: Disclosures'. During the year the Company incurred no transaction costs on purchases inrespect of ordinary shareholder activities or C shareholder activities. Investec SPV was incorporated on 29 November 2011 and dissolved on 25 March2014. As at 28 February 2014, Investec SPV had share capital of £2,751(2013: £2,751) and a revenue deficit of £2,751 (2013: deficit of £2,751), valuingInvestec SPV at £nil. 9. Debtors Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Ordinary Share Fund Prepayments and accrued income 16 48Clawback of expenses in excess of 3% cap payable by the Manager 57 62 73 110C Share Fund Prepayments and accrued income 6 7Clawback of expenses in excess of 3% cap payable by the Manager 23 28 29 35 Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Total Prepayments and accrued income 22 55Clawback of expenses in excess of 3% cap payable by the Manager 80 90 102 145 10. Creditors Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Ordinary Share Fund IFA trail commission 5 5Management fees 56 33Audit fees 17 16Directors' fees 6 6Administration fees 5 5Other creditors 18 22 107 87 C Share Fund IFA trail commission 2 2Management fees 13 13Audit fees 7 7Directors' fees 2 2Administration fees 2 2Other creditors 10 10 36 36 Total IFA trail commission 7 7Management fees 69 46Audit fees 24 23Directors' fees 8 8Administration fees 7 7Other creditors 28 32 143 123 11. Share Capital 28 February 2014 28 February 2013 Number £'000 Number £'000Ordinary Share Fund Number of shares in issue 4,738,463 47 4,738,463 47 C Share Fund Number of shares in issue 1,931,095 19 1,931,095 19 Under the Articles of Association, a resolution for the continuation of theCompany as a VCT will be proposed at the Annual General Meeting falling afterthe tenth anniversary of the last allotment (from time to time) of shares inthe Company and thereafter at five-yearly intervals. 12. Net Asset Value per Share 28 February 28 February 2014 2013Ordinary Share FundNet asset value per ordinary share 95.2p 96.3p The basic net asset value per ordinary share is based on net assets (includingcurrent period revenue) of £4,512,000 (28 February 2013: £4,562,000) and on4,738,463 ordinary shares (28 February 2013: 4,738,463), being the number ofordinary shares in issue at the end of the year. C Share Fund Net asset value per C share 91.4p 93.5p The basic net asset value per C share is based on net assets (including currentperiod revenue) of £1,765,000 (28 February 2013: £1,805,000) and on 1,931,095 Cshares (28 February 2013: 1,931,095), being the number of C shares in issue atthe end of the year. 13. Reconciliation of Net Profit before Tax to Cash Expended from OperatingActivities Year Ended Year Ended 28 February 28 February 2014 2013 £'000 £'000Ordinary Share Fund Profit on ordinary activities before tax 199 309Gains on investments (277) (388)Decrease in debtors 37 9Increase in creditors 20 21Cash expended from operating activities (21) (49) C Share Fund Profit on ordinary activities before tax 47 104Gains on investments (85) (152)Decrease in debtors 6 16Increase in creditors - 11Cash expended from operating activities (32) (21) Total Profit on ordinary activities before tax 246 413Gains on investments (362) (540)Decrease in debtors 43 25Increase in creditors 20 32Cash expended from operating activities (53) (70) 14. Financial Commitments At 28 February 2014 the Company did not have any financial commitments whichhad not been accrued for. 15. Financial Instruments The Company's objective is to produce ongoing capital gains and income thatwill provide investment returns sufficient to maximise annual dividends and tofund a special dividend or cash offer in year 6 sufficient to bringdistributions per share to 70p. In order to qualify as a VCT, at least 70 per cent. (the "QualifyingPercentage") of the Company's investments must be invested in Venture CapitalInvestments within approximately three years of the relevant funds beingraised. Thus, there will be a phased reduction in the Structured Productsportfolio and corresponding build up in the portfolio of Venture CapitalInvestments to achieve and maintain this 70 per cent. threshold along thefollowing lines: Average Exposure per Year Year Year Year Year Year Year 1 2 3 4 5 6+Structured Products and cash/near cashassets 85% 75% 35% 25% 25% 0% Venture Capital Investments 15% 25% 65% 75% 75% 100% The Qualifying Percentage is, in general, calculated by reference to the latestprice paid by the Company for its investments rather than market value. By 28February 2014, the Company had achieved the Qualifying Percentage. At thatdate, by market value, the Company's investment portfolio comprised 38 percent. Structured Products and 62 per cent. Qualifying Investments. This issplit 41 per cent. and 59 per cent. for the ordinary share portfolio and 31 percent. and 69 per cent. for the C share portfolio. The Company's financial instruments comprise securities and cash and liquidresources that arise directly from the Company's operations. The principal risks the Company faces in its portfolio management activitiesare: ● 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. Market price risk Structured Products The return and valuation of the Company's investments in Structured Products iscurrently linked to the FTSE 100 Index by way of a fixed return that is payableas long as the Final Index Level is no lower than the Initial Index Level. All of the current investments in Structured Products 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 (Capital at Risk ("CAR")) (e.g.if the FTSE 100 Index falls by more than 50 per cent. during the investmentperiod and on maturity is down 25 per cent., capital within that StructuredProduct will be reduced by 25 per cent.). The tables in the InvestmentManager's Review (Structured Products) above provide details of the InitialIndex Level at the date of investment and the maturity date for each of theStructured Products. On 28 February 2014, the FTSE 100 Index closed at6,809.70. By 16 May 2014, being the last practicable date prior to thepublication of these Accounts, the Index had increased 0.7 per cent. to closeat 6,855.81. 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. 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 2014, the Company's investments in Structured Products werevalued at £2,386,000 (Ordinary Share Fund: £1,883,000; C Share Fund: £503,000).A 10 per cent. increase in the level of the FTSE 100 Index at 28 February 2014,given that all other variables remained constant, would have increased netassets by £79,652 (Ordinary Share Fund: £51,711; C Share Fund: £29,941). A 10per cent. decrease would have reduced net assets by £140,610 (Ordinary ShareFund: £99,357; C Share Fund: £41,253). If the net assets had been higher by£79,652 throughout the year, then the investment management fee due to CalculusCapital would have been increased by £796 (Ordinary Share Fund: £517; C ShareFund: £279); if the net assets had been lower by £140,610 lower throughout theyear, then the investment management fee due to Calculus Capital would havedecreased by £1,406 (Ordinary Share Fund: £994; C Share Fund: £412). 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 riskand price risk. The management of market price risk is part of the investment managementprocess. The portfolio is managed in accordance with policies in place asdescribed in more detail in the Chairman's Statement and Investment Manager'sReview (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 and AIM-traded companies, by their nature, involve a higher degree ofrisk than investments in the main market. Some of that risk can be mitigated bydiversifying the portfolio across business sectors 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. The main risk arising on the loan stock instruments iscredit risk. The Company does not have any interest 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 thetable below: As at 28 February 2014 As at 28 February 2013 Fair Value Cash Flow Fair Value Cash Flow Interest Interest Interest Interest Rate Rate Rate Rate Risk Risk Risk Risk £'000 £'000 £'000 £'000Ordinary Share Fund Loan stock 1,222 - 1,410 -Money market funds - 1 - 2Cash - - - 4 1,222 1 1,410 6 C Share Fund Loan stock 320 - 195 -Money market funds - 1 - 102Cash - 130 - 556 320 131 195 658 Total Loan stock 1,542 - 1,605 -Money market funds - 2 - 104Cash - 130 - 560 1,542 132 1,605 664 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 2014. Any movement in interest rates is deemed to have an insignificant effect on theStructured Products. b) Credit risk Structured Products The 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 (or underlying counterparty) will be limited to 15 per cent. ofthe assets of the Company at the time of investment. Credit 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. As at 28 February 2014, the Company's credit risk exposure, by credit rating ofthe Structured Product issuer, was as follows: 28 February 2014 28 February 2013Credit Risk Rating(Moody's unlessotherwise indicated) £'000 % of Portfolio £'000 % of Portfolio Ordinary Share Fund A2 607 13.3% 612 13.5%A3 - - 384 8.4%Baa1 427 9.3% - -Baa3 849 18.6% 738 16.2% 1,883 41.2% 1,734 38.1% C Share Fund A2 - - 239 19.0%Baa3 503 30.5% 448 35.6% 503 30.5% 687 54.6% Total A2 607 9.8% 851 14.7%A3 - - 384 6.6%Baa1 427 6.9% - -Baa3 1,352 21.7% 1,186 20.4% 2,386 38.4% 2,421 41.7% Qualifying Investments 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 are held by InvestecWealth & Investments, 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 realisablesecurities 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 (or underlying issuer). 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. The Board seeks to ensure that an appropriate proportion of the Company'sinvestment portfolio is invested in cash and readily realisable assets, whichare sufficient to meet any funding commitments that may arise. Under its Articles of Association, the Company has the ability to borrow amaximum amount equal to 25 per cent. of its gross assets. As at 28 February2014 the Company had no borrowings. 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 accordancewith IPEV 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 IPEV 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 AIM quoted equities and money market funds arerecognised within this category. - Valued using models with significant observable market parameters - "Level 2" Inputs to Level 2 fair values are inputs other than quoted prices includedwithin Level 1 that are observable for the asset, either directly orindirectly. The Company's investments in Structured Products are classifiedwithin 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 IPEV 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 year there were no transfers between Levels1, 2 or 3. Ordinary Share Fund Financial Assets at Fair Value through Profit or Loss At 28 February 2014 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000Structured Products - 1,883 - 1,883Unquoted equity - - 1,379 1,379Quoted equity 88 - - 88Money market funds 1 - - 1Loan stock - - 1,222 1,222 89 1,883 2,601 4,573 Financial Assets at Fair Value through Profit or Loss At 28 February 2013 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000Structured Products - 1,734 - 1,734Unquoted equity - - 1,399 1,399Money market funds 2 - - 2Loan stock - - 1,410 1,410 2 1,734 2,809 4,545 C Share Fund Financial Assets at Fair Value through Profit or Loss At 28 February 2014 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000Structured Products - 503 - 503Unquoted equity - - 620 620Quoted equity 203 - - 203Money market funds 1 - - 1Loan stock - - 320 320 204 503 940 1,647 Financial Assets at Fair Value through Profit or Loss At 28 February 2013 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000Structured Products - 687 - 687Unquoted equity - - 274 274Money market funds 102 - - 102Loan stock - - 195 195 102 687 469 1,258 Total Financial Assets at Fair Value through Profit or Loss At 28 February 2014 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000Structured Products - 2,386 - 2,386Unquoted equity - - 1,999 1,999Quoted equity 291 - - 291Money market funds 2 - - 2Loan stock - - 1,542 1,542 293 2,386 3,541 6,220 Financial Assets at Fair Value through Profit or Loss At 28 February 2013 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000Structured Products - 2,421 - 2,421Unquoted equity - - 1,673 1,673Money market funds 104 - - 104Loan stock - - 1,605 1,605 104 2,421 3,278 5,803 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. Applying the downside alternatives, the value of the unquoted investmentportfolio for the Ordinary Share Fund would be £124,948 or 4.8 per cent. lower(2013: £121,399 or 4.3 per cent. lower), for the C Share Fund would be £61,252or 6.5 per cent. lower (2013: £31,964 or 6.8 per cent. lower), and in total itwould be £186,200 or 5.3 per cent. lower (2013: £153,363 or 4.7 per cent.lower). Using the upside alternatives, the value of the unquoted investmentportfolio for the Ordinary Share Fund would be increased by £106,133 or 4.1 percent. (2013: £132,073 or 4.7 per cent.), for the C Share Fund it would beincreased by £40,879 or 4.4 per cent. (2013: £28,918 or 6.2 per cent.), and intotal it would be increased by £147,012 or 4.2 per cent. (2013: £160,991 or 4.9per cent.). 16. Transactions with Related Parties John Glencross, a Director of the Company, is considered to be a related partydue to his position as Chief Executive and a director of Calculus Capital, oneof the Company's Investment Managers. He does not receive any remuneration fromthe Company. He is a director of Terrain and Lime Technology and stepped downfrom the board of Human Race during the period, companies in which the Companyhas invested. Fees for the provision of Mr Glencross as a director of thesecompanies are paid to Calculus Capital, as disclosed in note 17. 17. Transactions with Investment Managers Investec Structured Products, an Investment Manager to the Company, is entitledto a performance incentive fee. Investec Structured Products will receive anarrangement fee of 0.75 per cent. of the amount invested in each StructuredProduct. This arrangement fee shall be paid to Investec Structured Products bythe issuer of the relevant Structured Product. No arrangement fee will be paidto Investec Structured Products in respect of any decision to invest inInvestec-issued Structured Products. Investec Structured Products has agreednot to earn an annual management fee from the Company. As at 28 February 2014, £80,000 (2013: £90,000) was owed by Investec StructuredProducts as claw back of costs in excess of the agreed expenses cap of 3 percent. (£57,000 to the Ordinary Share Fund and £23,000 to the C Share Fund). Calculus Capital receives an investment management fee from the Company. Forthe year ended 28 February 2014, fees of £62,000 (2013: £61,000) were payableto Calculus Capital (£45,000 payable by the Ordinary Share Fund and £17,000 bythe C Share Fund), of which £nil (2013: £46,000) was outstanding as at 28February 2014. No incentive fee accrued to either Investment Manager during the year(2013:£nil). Calculus Capital receives an annual fee from Terrain, Lime Technology, AnTech,Hampshire, Metropolitan, Money Dashboard and Human Race for the provision of adirector, as well as an annual monitoring fee which also covers the provisionof certain administrative support services. In the year ended 28 February 2014,the amount payable to Calculus Capital which was attributable to the investmentmade by the Company was £2,291 (2013: £3,951) from Terrain, £2,112(2013: £5,695) from Lime Technology, £2,455 (2013: £nil) from AnTech, £2,167(2013: £112) from Hampshire, £1,201 (2013: £2,899) from Metropolitan, £186(2013: £nil) from Money Dashboard and £3,665 (2013: £2,662) from Human Race(all excludingVAT). Calculus Capital receives an annual monitoring fee from MicroEnergy and Tollanwhich covers the provision of certain administrative support services. In theyear ended 28 February 2014, the amount payable to Calculus Capital that wasattributable to the investment made by the Company was £2,097 (2013: £2,728)from MicroEnergy and £2,813 (2013: £nil) from Tollan (excluding VAT). Calculus Capital receives an annual fee from Brigantes, Corfe, Benito's Hat andDryden for the provision of a director. The amount payable to Calculus Capitalin the year ended 28 February 2014 which was attributable to the investmentmade by the Company was £734 (2013: £378) from Brigantes, £435 (2013: £223)from Corfe, £374 (2013: £nil) from Benito's Hat and £1,186 (2013: £nil) fromDryden (excluding VAT). In the year ended 28 February 2014, Calculus Capital received arrangement feesas a result of the Company's new investments. Calculus Capital received anarrangement fee of £1,500 (2013: £nil) from Benito's Hat, £3,810 (2013: £nil)from Money Dashboard, £4,504 (2013: £nil) from Quai, £1,850 (2013: £7,500) fromSecure Electrans, £2,000 (2013: £nil) from Scancell and £150 (2013: £nil) fromTerrain. ANNUAL GENERAL MEETING This year's Annual General Meeting of the Company will be held at the officesof Investec Structured Products, 2 Gresham Street London EC2V 7QP on 1 July2014 at 11.00 am. For further information, please contact: Investment Manager to the Structured Products PortfolioInvestec Structured ProductsGary DaleTelephone: 020 7597 4065 Investment Manager to the Venture Capital PortfolioCalculus Capital LimitedSusan McDonaldTelephone: 020 7493 4940 National Storage Mechanism A copy of the Annual Report and Accounts will be submitted shortly to theNational Storage Mechanism ("NSM") and will be available for inspection at theNSM, which is situated at: www.morningstar.co.uk/uk/NSM ENDS Neither the contents of the Company's website nor the contents of any websiteaccessible from hyperlinks on this announcement (or any other website) isincorporated into, or forms part of, this announcement.