Calculus Vct Regulatory News (CLC)

1 Jun 2012 18:24

Investec Structured Products Calculus VCT plcAnnual Financial Reportfor the year ended 29 February 2012The full Annual Report and Accounts can be accessed via thefollowing websites: www.calculuscapital.com andwww.investecstructuredproducts.com or by contacting the Company Secretary ontelephone 01392 477500.INVESTMENT OBJECTIVE

The Company's principal objectives for investors are to:

- invest in a portfolio of Venture Capital Investments andStructured Products that will provide investment returns that are sufficientto allow the Company to maximise annual dividends and pay an interim returneither by way of a special dividend or cash offer for shares on or before aninterim 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.

Full details of the Company's investment policy can be found in theBusiness Review below.FINANCIAL REVIEWOrdinary Share Fund 12 Months to 13 Months to 29 February 28 February 2012 2011Total returnTotal return (£80,000) £308,000Total return per ordinary share (1.7)p 8.3p

Revenue

Net loss after tax (£71,000) (£112,000)Revenue return per ordinary share (1.5)p (3.0)p

Dividend

Recommended final dividend 5.25p 5.25p As at As at 29 February 28 February 2012 2011Assets (investments valued at bidmarket prices)Net assets £4,501,000 £4,836,000Net asset value ("NAV") per ordinary 95.0p 102.1pshareMid market quotationOrdinary shares 97.5p 99.5pPremium/(discount) to NAV 2.6% (2.5)%C Share Fund 11 Months to 29 February 2012*Total returnTotal return (£33,000)Total return per C share (1.7)p

Revenue

Net loss after tax (£45,000)Revenue return per C share (2.3)p

Dividend

Recommended final dividend 4.5p As at 29 February 2012Assets (investments valued at bidmarket prices)Net assets £1,788,000NAV per C share 92.6pMid market quotationC shares 94.0pPremium to NAV 1.5%

* The C shares were issued in three tranches, on 1 April 2011, 5 April 2011 and 4 May 2011.

CHAIRMAN'S STATEMENT

I am delighted to present your Company's results for the year ended 29 February 2012. The Investec Structured Products Calculus VCT plc is a tax efficient listed company which aims to address shareholder needs for:

- attractive tax-free dividends;

- a clear strategy for returning capital;

- downside protection through the Structured Products portfolio and investment in lower risk VCT qualifying companies with a high percentage of investments in loan stock and preference shares; and

- low annual management fees.

The Company, which launched in March 2010, is a joint venture between Investec Structured Products (part of Investec Plc) and Calculus Capital Limited, and brings together both Managers' award winning expertise in their respective fields of structured products and venture capital.

The net asset value per ordinary share was 95.0 pence as at 29February 2012 compared to 102.1 pence as at 28 February 2011. This is afterpaying a dividend to ordinary shareholders in 2011 of 5.25 pence per share.The net asset value per C share was 92.6 pence as at 29 February 2012 comparedto a value immediately following close of the C share fundraising of 93.6pence. The net asset values have subsequently risen to 95.3 pence per ordinaryshare and 92.8 pence per C share as at 30 April 2012. Your Board and Managersare encouraged by the performance of the Company to date and believe it iswell placed to make further progress in the forthcoming year.

Structured Products Portfolio

Our non-Qualifying Investments are managed by Investec StructuredProducts. As at 29 February 2012, the Ordinary Share Fund held a portfolio ofeight Structured Products and the C Share Fund held a portfolio of threeStructured Products based on the FTSE 100 Index. The products differ byduration and counterparty in order to minimise risk and create a diversifiedportfolio of investments. Up to 20 per cent. of the Structured Productsportfolio of the C Share Fund will be able to be invested in other indicesbesides the FTSE 100 Index.The Structured Products portfolio is currently performing well. Asat 29 February 2012 the FTSE 100 was trading at 5,871.51. This means thatwhile the level of the FTSE 100 will change, if all of the Structured Productsin both the Ordinary Share Fund and C Share Fund were to mature at this level,they would yield the maximum payoff for investors in each share fund.

Venture Capital Investments

Calculus Capital manages the portfolio of VCT QualifyingInvestments made by the Company. The overall value of the unquoted portfolioshowed a rise of £710,000 during the period. Several new QualifyingInvestments were made during the period on behalf of the Ordinary Share Fundand the C Share Fund across a broad range of industries.

A detailed analysis of the new investments and the investment performance can be 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, the Directors are pleased to propose a final dividend of 5.25 pence per ordinary share and 4.5 pence per C share which, subject to shareholder approval, will be paid on 31 July 2012 to ordinary shareholders and C shareholders on the register on 15 June 2012.

Developments Since the Year End

Since the year end, the Royal Bank of Scotland Autocall StructuredProduct has matured with a total return of 110.5 (initial capital of 100 andgrowth of 10.5). There was £50,000 held in the Ordinary Share Fund and£200,000 in the C Share Fund. The Ordinary Share Fund has also sold its£343,000 investment in the Nomura Bank International Structured Product whichmatures on 20 February 2013 to the C Share Fund at current market value of£441,875. This Product was originally bought to pay back any borrowing,however the early sale, which was made possible by positive marketperformance, has allowed for the borrowing requirement in each fund to bereduced. The Company has used the funds to invest in new QualifyingInvestments. In April 2012, £175,000 and £75,000 were invested in ParticipateSport Limited and £100,000 and £50,000 in Secure Electrans Limited on behalfof the Ordinary and C Share Funds respectively.

Board Changes

The Directors have reviewed the operation of the Board andconcluded that it is operating effectively. However, pressure of othercommitments has led Mark Rayward and Philip Swatman to decide to stand down asDirectors at the Annual General Meeting. The Board has decided that theremaining four Directors (three of them independent) will constitute a Boardof adequate size, given that the Structured Products investments have beenmade and the Qualifying Investment programme is well underway. I would like tothank Mark and Philip for their wisdom and effort since the Company's launch.

Outlook

The euro zone crisis continues to be a concern for the UK economy,which is expected to remain fragile in 2012. Access to finance for smaller UKcompanies remains tight despite Government initiatives, providing anattractive investment scenario for the Company. Your Board and Managers areencouraged by the number of attractive investment opportunities available andwill continue to build a diversified portfolio of investments to deliversustained long-term performance.Michael O'HigginsChairman1 June 2012INVESTMENT MANAGER'S REVIEW(Qualifying Investments)Portfolio Developments

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

During the year under review, the Company completed Qualifying Investments in five unquoted companies, Terrain Energy Limited ("Terrain"), MicroEnergy Generation Services Limited ("MicroEnergy"), Lime Technology Limited ("Lime"), Heritage House Media Limited ("Heritage") and Viscount Safe Custody Services Limited ("Viscount").

Terrain Energy Limited

In March 2011, the Ordinary Share Fund made a follow-on equityinvestment of £50,000 in Terrain, and in August, the C Share Fund made a£90,000 investment, of which £45,000 was in ordinary shares and £45,000 was 7per cent. long-term loan stock. Terrain was established in October 2009 todevelop a portfolio of onshore oil and gas production and development assets,predominantly in the UK.Terrain acquired interests in two additional licences during theyear. The new licence interests are a 10 per cent. interest in a gasexploration opportunity in the Larne-Lough Neagh basin in County Antrim and a12.5 per cent. interest in an oil exploration licence at Burton on the Woldsin the East Midlands. The main prospect at Larne is a conventional gas playwhich is thought to be an extension of the Morecambe Bay gas field. 288 km of2D seismic data has recently been obtained with the plan to drill a gasappraisal well in 2013. Burton on the Wolds is located on the southern marginof the Widmerpool Gulf geological basin. A well is planned for thethird/fourth quarter of 2012 to evaluate a prospect with targets at twodistinct stratigraphic levels. Of the other licence interests, Keddington isoil producing and there are plans to convert gas also produced to electricityon site and feed into the grid. Kirklington and Dukes Wood are due to bebrought back into production in May 2012. Ordinary C Share Share 2010 Fund FundLatest Audited £'000 Investment Information £'000 £'000ResultsYear ended 31 DecemberTurnover 271 Total cost 300 90 Income recognised inPre-tax loss (158) period 14 2Net assets 1,953 Equity valuation 113 48Valuation basis: Fair value based oncost of investment supported bydiscounted cash flow and comparablecompany analysis Loan stock valuation 200 45 Total valuation 313 93 Voting rights* 2.50% 1.05%

*Other funds managed by Calculus Capital, excluding those shown above, have combined voting rights of 19.20 per cent.

MicroEnergy Generation Services Limited

In early April 2011, £300,000 was invested in MicroEnergy from the Ordinary Share Fund, of which £150,000 was ordinary equity and £150,000 was 7 per cent. long-term loan stock.

MicroEnergy is a company set up to acquire renewable,microgeneration facilities, including (but not limited to) wind, anaerobicdigestion, hydro and micro CHP (Combined Heat and Power). The company hasentered into a contract to buy a fleet of 84 small wind turbines (

* Other funds managed by Calculus Capital have combined voting rights of 9.89 per cent.

Lime Technology Limited

A small additional investment of approximately £8,000 was invested from the Ordinary Share Fund in Lime, a low carbon based building materials developer, to convert warrants into shares.

The company's main product is Hembuild, a lime, hemp and linseedbased building material manufactured in panel form and used in the mainstreamconstruction industry. Lime has recently completed its contracts for the newMarks & Spencer Cheshire Oaks' superstore, their largest outside Marble Arch,and a warehouse for Kane's Foods. Lime is currently completing a contract tobuild new archives for the London Science Museum. Lime's subsidiary, HempTechnology, which operates a fibre processing plant, has been operatingprofitably since August 2011. Hemp Technology's sales of processed linseed tothe paper industry have increased from nil to an annualised rate ofapproximately 5,000 tonnes since Easter 2011. Ordinary C Share ShareLatest Audited 2011 2010 Investment Information Fund £'000 FundResults £'000 £'000 £'000Year ended 31 Oct 4 NovTurnover 4,507 3,726 Total cost 307 -Pre-tax loss (2,020) (1,556) Income recognised in period 19 -Net (liabilities)/assets (157) 252 Equity valuation 30 - Loan stock valuation 250 -Valuation basis: Earningsmultiple Total valuation 280 - Voting rights* 0.47% -

* Other funds managed by Calculus Capital have combined voting rights of 41.86 per cent.

Heritage House Media Limited

An investment of approximately £125,000 and £63,000 was made inHeritage on behalf of the Ordinary and C Share Funds respectively following acorporate and financial restructuring of the business. As part of thistransaction, the Company also invested £1,834 and £917 on behalf of theOrdinary and C Share Funds respectively to acquire 100 per cent. of the sharesin Investec SPV Limited ("Investec SPV"). Investec SPV, in turn, owns sharesand securities in Heritage which were purchased from Foresight 2 VCT plc andForesight 3 VCT plc.The Heritage business includes printed visitor attractions andaccommodation directories published under the brands Hudson's, VisitBritain,Dream Weddings and OpenBritain and a contract publishing division providingguidebooks for visitor attractions. The aim of the restructuring was toposition Heritage to migrate from printed directories to a digital mediaoffering. Although a significant start has been made on the digital mediaplan, progress is behind schedule. The company's bank has given notice of thewithdrawal of overdraft facilities. We have decided against providingadditional capital to make up the shortfall, have put the business up for saleand have written the investment down to nil. Ordinary C Share Share 2010 2009 Investment Fund Fund £'000 £'000 Information £'000 £'000Latest AuditedResultsYear ended 30 SeptemberNet liabilities (3,639) (1,522) Total cost†127 64 Income recognised in period - - Equity valuation - - Loan stock valuation - -

Valuation basis: Discounted cash flow Total valuation -

- Voting rights held directly* 2.00% 1.00% Voting rights held by Investec SPV* 5.70% 2.90%

†Including the investment in Investec SPV of £1,834 and £917 respectively.

* Other funds managed by Calculus Capital, excluding those shown above, have combined voting rights of 36.30 per cent.

Viscount Safe Custody Services Limited

Viscount is the holding company for Metropolitan Safe Deposits,which provides safe custody services in the central London area. The OrdinaryShare Fund invested £190,000, of which £90,000 was invested as ordinary equityand £100,000 as 8 per cent. long-term loan stock, and the C Share Fundinvested £90,000, of which £40,000 was ordinary equity and £50,000 was 8 percent. long-term loan stock. In a connected transaction, Viscount acquiredUnited Gold. United Gold was recently launched to provide private investorswith a seamless way to buy, store, insure and sell bullion.Founded in 1983, Metropolitan is one of the oldest establishedbrands in the safe custody sector in London. The company currently runs twosafe custody sites in Knightsbridge and St John's Wood. These profitablebusinesses provide customers with access to the vaults seven days a week.Traditionally, this service has been provided by the clearing banks but highstreet banks are fast withdrawing from such physical banking services andMetropolitan is well placed to take advantage of these opportunities.Providing private investors with a seamless and convenient way to buy, storeand sell bullion, primarily gold, is a logical extension of Metropolitan's

services to customers. Ordinary C Share ShareLatest Audited 2011 2010 Investment Fund FundResults £'000 £'000 Information £'000 £'000Year ended 30 JuneTurnover 1,327 1,271 Total cost 190 90Pre-tax profit 196 210 Income recognised in period - -Net assets 772 776 Equity valuation 90 40 Loan stock valuation 100 50

Valuation basis: Earnings multiple Total valuation 190 90

Voting rights* 2.20%

1.00%

* Other funds managed by Calculus Capital, excluding those shown above, have combined voting rights of 39.00 per cent.

Qualifying Investments

As at the year end, £1,222,000 had been invested on behalf of theOrdinary Share Fund in Qualifying Investments, representing approximately 27.0per cent. of the net funds raised. £243,000 had been invested in QualifyingInvestments on behalf of the C Share Fund, representing approximately 13.3 percent. of the net funds raised.

Developments Since the Year End

Since the year end, £175,000 and £75,000 has been invested inParticipate Sport Limited from the Ordinary Share Fund and C Share Fundrespectively. Participate is a mass participation sports event business whichowns, promotes and delivers sports events across cycling, running, triathlonand open water swimming. Participate has, in turn, acquired Human Race tocreate the UK's largest and most diverse mass participation sports eventscompany, delivering over 55 events to over 100,000 participants. The combinedentity is to be rebranded Human Race. A further £100,000 and £50,000 has beeninvested from the two funds in Secure Electrans Limited. Secure is a paymenttechnology company holding key patents covering e-commerce security. BritishGas holds a stake of approximately 20 per cent. Both investments were made

inApril 2012.OutlookRecent figures for the UK's gross domestic product (GDP) for thefirst quarter of 2012 show the second consecutive quarter of decline. Smallercompanies can be a good lead indicator of underlying economic activity.Although the outlook remains challenging, there are signs that the UK economymay fare better in 2012 than is generally predicted and the Manager believesthat, overall, the portfolio is well-positioned to benefit from any upturn.

Calculus Capital Limited1 June 2012INVESTMENT MANAGER'S REVIEW(Structured Products)

Our non-Qualifying Investments are managed by Investec Structured Products. As at the date of this report, the Company held a portfolio of Structured Products based on the FTSE 100 Index. The products differ by duration and counterparty.

In line with the Company's strategy set out in the original Offerdocuments, a large percentage of the initial cash raised has been used tobuild a portfolio of Structured Products. The portfolio of Structured Productshas been constructed with different issuers and differing maturity periods tominimise risk and create a diversified portfolio. The FTSE 100 Initial IndexLevels for these investments range from 4,805.75 to 5,718.13.At the year end, the FTSE 100 closing level was 5,871.51. The totalamount to date invested in Structured Products stands at £2,542,980 for theOrdinary Share Fund and £850,000 for the C Share Fund, representing 56.2 percent. and 46.7 per cent. of the net funds raised respectively. As at 29February 2012 the Structured Products portfolio was valued at £3,156,172 forthe Ordinary Share Fund and £934,538 for the C Share Fund.Since year end, the FTSE 100 has been volatile, causingfluctuations in the value of the Structured Products portfolio. However, whilevalues may change, as at 30 April 2012 the Structured Products portfolio wasvalued at £2,687,000 for the ordinary shares and £1,168,000 for the C shares.

Since the year end, both funds had their first product mature in the middle of March 2012 - the RBS Autocall matured with a payout of 10.5 per cent. after being invested for one year.

The original intention was to use borrowings to fund QualifyingInvestments pending maturity of some of the portfolio of Structured Products.The Managers have managed to minimise such borrowings by the Ordinary ShareFund by selling its £350,000 investment in the Nomura Bank InternationalStructured Product after the year end at its current fair market value of£441,875 to the C Share Fund. The price this sold at allows for the C ShareFund to gain a sizeable return in nine months, which is better than could behad for a similar risk by investing in a primary issue but also gave a healthyreturn to the Ordinary Share Fund. The cash flow improves for the Company as awhole, as returns have been captured earlier than expected. The starting levelof the FTSE 100 for the Nomura Structured Product was 5188.43, so as long asthe Final Index Level is above this level when it matures on 20 February 2013,the product would yield the maximum payoff.Markets have been turbulent since the half-year report; however, 5year swap rates are roughly the same, volatility has dropped, but the FTSE hasincreased substantially. Overall this has led to an increase in the valuationsof the Structured Products portfolio.

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

Ordinary Share Fund Structured Products Portfolio as at 29 February 2012

Price Valuation FTSE 100 as at as at Return/Capital Strike Maturity Initial Index Notional Purchase 29 February 29 February at Risk

Issuer Date Date Level Investment Price Cost 2012 2012 ("CAR")†162.5% if FTSE100* higher; CAR ifThe Royal FTSE100 fallsBank of by more thanScotland plc 05/05/2010 12/05/2015 5,341.93 £275,000 £0.96 £264,000 £1.1026 £303,215 50% 185% if FTSE100* higher; CAR if FTSE100 fallsInvestec by more thanBank plc 14/05/2010 19/11/2015 5,262.85 £500,000 £0.98 £489,550 £1.2247 £612,332 50% 185% if FTSE100*Abbey higher; CAR ifNational FTSE100 fallsTreasury by more thanServices 25/05/2010 18/11/2015 4,940.68 £350,000 £0.99 £346,430 £1.3319 £466,165 50%

†Capital at Risk ("CAR") is explained in note 15.

The above investments have been designed to meet the 43.75p per ordinary share interim return by 14 December 2015.

FTSE 100 Price Valuation Initial as at as at Return/Capital Strike Maturity Index Notional Purchase 29 February 29 February at RiskIssuer Date Date Level Investment Price Cost 2012 2012 ("CAR") 137% if FTSE100* higher; CAR ifNomura FTSE100 fallsBank by more thanInternational 28/05/2010 20/02/2013 5,188.43 £350,000 £0.98 £343,000 £1.2471 £436,485 50% 134% if FTSE100* higher; CAR ifMorgan FTSE100 fallsStanley by more thanInternational 10/06/2010 17/12/2012 5,132.50 £500,000 £1.00 £500,000 £1.2436 £621,800 50% 125.1% if FTSE100* higher; CAR if FTSE100 fallsHSBC by more thanBank plc 01/07/2010 06/07/2012 4,805.75 £500,000 £1.00 £500,000 £1.2223 £611,165 50% Autocallable 10.5% p.a.;The Royal CAR if FTSEBank of 100 falls moreScotland 18/03/2011 20/03/2017 5,718.13 £50,000 £1.00 £50,000 £1.0637 £53,185 than 50%plc** 126% if FTSEAbbey 100* higher;National CAR if FTSETreasury 100 falls moreServices** 03/08/2011 05/02/2014 5,584.51 £50,000 £1.00 £50,000 £1.0365 £51,825 than 50%

The above investments are aimed to provide additional return as dividends. These investments may be sold prior to maturity if it is deemed that a greater return can be made by Calculus Capital investing in Qualifying Investments.

C Share Fund Structured Products Portfolio as at 29 February 2012

Price Valuation FTSE 100 as at as at Return/Capital Strike Maturity Initial Index Notional Purchase 29 February 29 February at RiskIssuer Date Date Level Investment Price Cost 2012 2012 ("CAR") 182% if FTSE 100* higher; CAR if FTSEInvestec 100 falls more

Bank plc** 05/08/2011 10/03/2017 5,246.99 £450,000 £1.00 £450,000 £1.1433 £514,498 than 50%

The above Investec Structured Product investment in the C ShareFund (£450,000) is a collateralised product. The collateral comprises aportfolio of securities issued by each of HSBC Bank plc, Nationwide BuildingSociety, Santander UK plc, The Royal Bank of Scotland plc and Lloyds TSB Bankplc, and/or cash and/or UK government debt. Insolvency risk to Investec Bankplc is replaced with a risk spread across these named institutions. Price Valuation FTSE 100 as at as at Return/Capital Strike Maturity Initial Index Notional Purchase 29 February 29 February at RiskIssuer Date Date Level Investment Price Cost 2012 2012 ("CAR") AutocallableThe Royal 10.5% p.a.;Bank of CAR if FTSEScotland 100 falls moreplc** 18/03/2011 20/03/2017 5,718.13 £200,000 £1.00 £200,000 £1.0637 £212,740 than 50% 126% If FTSEAbbey 100* higher;National CAR if FTSETreasury 100 falls more

Services** 03/08/2011 05/02/2014 5,584.51 £200,000 £1.00 £200,000 £1.03065 £207,300 than 50%

The above investments target an average return of 9.58 per cent. per annum. These investments may be sold prior to maturity if it is deemed that a greater return can be made by Calculus Capital by investing in Qualifying Investments.

* The Final Index Level is calculated using `averaging', meaning that we takethe average of the closing levels of the FTSE 100 on each Business Day overthe 2 - 6 months of the Structured Product term (the length of the averagingperiod may differ for each Structured Product). The use of averaging tocalculate the return can reduce adverse effects of a falling market or suddenmarket falls shortly before maturity. Equally, it can reduce the benefits ofan increasing market or sudden market rises shortly before maturity.

** These investments were purchased in the 2011-2012 financial year.

Investec Structured Products1 June 2012INVESTMENT PORTFOLIOAS AT 29 FEBRUARY 2012Ordinary Share FundNet assets % of net assetsStructured Products 71%Unquoted - loan stock 16%Unquoted - ordinary and preference 8%sharesUnquoted - liquidity funds 4%Net current assets 1% 100%Sector % of portfolioStructured Products 72%Unquoted - Qualifying Investments 24%Unquoted - other non-Qualifying 4% 100%Investments Nature of Book Cost Valuation % of Net % ofCompany Business £'000 £'000 Assets PortfolioStructuredProductsInvestec Bank plc Banking 490 612 14% 14%The Royal Bank ofScotland plc Banking 314 356 8% 8%Abbey NationalTreasury Services Banking 396 518 11% 12%Nomura BankInternational Banking 343 437 10% 10%Morgan StanleyInternational Banking 500 622 14% 14%HSBC Bank plc Banking 500 611 14% 14%Total StructuredProducts 2,543 3,156 71% 72%QualifyingInvestmentsTerrain Energy Onshore oilLimited and gas production 300 313 7% 7%Lime TechnologyLimited Construction 307 280 6% 6%Heritage House Publishing andMedia Limited* media services 127 - - -Viscount Safe SafeCustody Services depositoryLimited services 190 190 4% 4%MicroEnergyGenerationServices Limited Energy 300 300 7% 7%Total QualifyingInvestments 1,224 1,083 24% 24%Othernon-QualifyingInvestmentsFidelity Liquidity

Fund Liquidity fund 81 81 2% 2%Goldman SachsLiquidity Fund Liquidity fund 50 50 1% 1%Scottish WidowsLiquidity Fund Liquidity fund 65 65 1% 1%Total Othernon-QualifyingInvestments 196 196 4% 4%Total Investments 3,963 4,435 99% 100%Net Current Assetsless Creditors dueafter one year 66 1%Net Assets 4,501 100%

* Included in the cost is £1,834 invested in Investec SPV.

C Share FundNet assets % of net assetsStructured Products 53%Unquoted - loan stock 5%Unquoted - ordinary and preference 5%sharesUnquoted - liquidity funds 32%Net current assets 5% 100%Sector % of portfolioStructured Products 55%Unquoted - Qualifying Investments 11%Unquoted - other non-Qualifying 34% 100%Investments Nature of Book Cost Valuation % of Net % ofCompany Business £'000 £'000 Assets PortfolioStructuredProductsInvestec Bank plc†Banking 450 515 29% 30%The Royal Bank ofScotland plc Banking 200 213 12% 13%Abbey NationalTreasury Services Banking 200 207 12% 12%Total StructuredProducts 850 935 53% 55%QualifyingInvestmentsTerrain Energy Onshore oilLimited and gas production 90 93 5% 6%Heritage House Publishing andMedia Limited* media services 64 - - -Viscount Safe SafeCustody Services depositoryLimited services 90 90 5% 5%Total QualifyingInvestments 244 183 10% 11%Othernon-QualifyingInvestmentsFidelity Liquidity Liquidity fund 251 251 14% 15%FundGoldman SachsLiquidity Fund Liquidity fund 100 100 6% 6%Scottish WidowsLiquidity Fund Liquidity fund 222 222 12% 13%Total Othernon-QualifyingInvestments 573 573 32% 34%Total Investments 1,667 1,691 95% 100%Net Current Assetsless Creditors dueafter one year 97 5%Net Assets 1,788 100%

†This is a collateralised product, and the credit risk is equally spread across five counterparties: HSBC Bank plc, Nationwide Building Society, Santander UK plc, The Royal Bank of Scotland plc and Lloyds TSB Bank plc.

*Included in the cost is £917 invested in Investec SPV.

BOARD OF DIRECTORS

Michael O'Higgins (Chairman)*

Kate Cornish-Bowden*John GlencrossSteve Meeks*

Mark Rayward (Audit Committee Chairman)*

Philip Swatman*

* 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 the Structured Products portfolio manager (non VCT Qualifying Investments).

BUSINESS REVIEWActivities and status

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

The Company carries on business as a venture capital trust ("VCT")and its affairs are conducted in a manner to satisfy the conditions to enableit to obtain approval as a venture capital trust under sections 258-332 of theIncome Tax Act 2007 ("ITA 2007"). Details of the Company's investment policyare set out below.

On incorporation, the Company was an investment company under section 833 of the Companies Act 2006. On 18 May 2011 investment company status was revoked by the Company. This was done in order to allow the Company to pay dividends to shareholders using the special reserve (a distributable capital reserve), which had been created on the cancellation of the share premium account on 20 October 2010.

During the year, the Company acquired 100 per cent. of the sharesin Investec SPV Limited. As set out in the Investment Manager's Review(Qualifying Investments), Investec SPV owns shares and securities in Heritagewhich were acquired on behalf of the Ordinary Share Fund and the C Share Fund.The Company has not prepared consolidated accounts and has accounted forInvestec SPV as an investment on the grounds that its results are immaterialto the Company and control is intended to be temporary because the subsidiaryhas been acquired and held exclusively with a view to its subsequent disposalin the near future.

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

Performance

The Board reviews performance by reference to a number of keyperformance indicators ("KPIs") and considers that the most relevant KPIs arethose that communicate the financial performance and strength of the Companyas a whole:- total return per share- net asset value per share

- share price and discount/premium to net asset value

Further KPIs are those which show the Company's position in relation to the VCT tests which it is required to meet in order to meet and maintain its VCT status. These tests are set out in the full Annual Report and Accounts. The Company has received provisional approval as a VCT from HM Revenue & Customs.

The financial performance of the Company is set out below:

Year Ended Period Ended 29 February 2012 28 February 2011Ordinary Share FundFair value portfolio £4.4m £4.5mvaluationTotal return (after tax) (£80,000) £308,000Total return per ordinaryshare (1.7)p 8.3pNAV per ordinary share 95.0p 102.1pOrdinary share price 97.5p 99.5pOrdinary share pricepremium/(discount) to NAV 2.6% (2.5)% C Share FundFair value portfoliovaluation £1.7m n/aTotal return (after tax) (£33,000) n/aTotal return per C share (1.7)p n/aNAV per C share 92.6p n/aC share price 94.0p n/aC share price premium to NAV 1.5% n/a

Dividend

The Directors are recommending a final dividend of 5.25p per ordinary share and 4.5p per C share. Subject to approval by shareholders at the Annual General Meeting, these dividends will be paid on 31 July 2012 to shareholders on the register on 15 June 2012.

Share capital

An offer for subscription for C ordinary shares of 1p each ("C shares") was launched in January 2011. A total of 1,931,095 C shares with an aggregate nominal value of £19,311 and a total consideration of £1,931,095 were issued during the year, as follows:

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

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

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

At the year end and at the date of this report, the issued sharecapital comprised 4,738,463 ordinary shares (representing 71.05 per cent. oftotal voting rights) and 1,931,095 C shares (representing 28.95 per cent. oftotal voting rights). No shares were held in Treasury.

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

There are no restrictions concerning the transfer of securities inthe Company; no special rights with regard to control attached to securities;no agreements between holders of securities regarding their transfer known tothe Company; and no agreements which the Company is party to that might affectits control following a successful takeover bid.The authority to issue or buy back the Company's shares andamendment of the Company's Articles of Association require a relevantresolution to be passed by shareholders. At the Annual General Meeting held on30 June 2011, the Directors were granted authority to allot shares up to anaggregate nominal amount of £206,700. They were also authorised to issueshares for cash (without rights of pre-emption applying) (i) up to £100,000 ofeach class of share by way of offer for subscription and (ii) up to 10 percent. of each class of share for general purposes and to buy back up to 14.99per cent. of each of the ordinary and C shares in issue. The Board's proposalsfor the renewal of the authorities to issue and buy back shares are detailedin the full Annual Report and Accounts.

Investment policy

It is intended that approximately 75 per cent. of the monies raisedby the Company will be invested within 60 days in a portfolio of StructuredProducts. The balance will be used to meet initial costs and invested in cashor near cash assets (as directed by the Board) and will be available to investin Venture Capital Investments and to fund ongoing expenses.

In order to qualify as a VCT, at least 70 per cent. of the Company's assets must be invested in Venture Capital Investments within approximately three years. Thus there will be a phased reduction in the Structured Products portfolio and corresponding build up in the portfolio of Venture Capital Investments to achieve and maintain this 70 per cent. threshold along the following lines:

Average Exposure Year 1 Year 2 Year 3 Year 4 Year 5 Year 6+per YearStructuredProducts andcash/near cash 85% 75% 35% 25% 25% 0%Venture CapitalInvestments 15% 25% 65% 75% 75% 100%

Note: the investment allocation set out above is only an estimate and the actual allocation will depend on market conditions, the level of opportunities and the comparative rates of returns available from Venture Capital Investments and Structured Products.

The combination of Venture Capital Investments and the StructuredProducts will be designed to produce ongoing capital gains and income thatwill be sufficient to maximise both annual dividends for the first five yearsfrom funds being raised and an interim return by an interim return date by wayof a special dividend or cash tender offer for shares. After the interimreturn date, unless Investec Structured Products are requested to make furtherinvestments in Structured Products, the relevant fund will be left with aportfolio of Venture Capital Investments managed by Calculus Capital with aview to maximising long-term returns. Such returns will then be dependent,both in terms of amount and timing, on the performance of the Venture CapitalInvestments, but with the intention to source exits as soon as possible.The portfolio of Structured Products will be constructed withdifferent issuers and differing maturity periods to minimise risk and create adiversified portfolio. The Structured Products may also be collateralisedwhereby notes are issued by one issuer (such as Investec Bank plc) but withthe underlying investment risk being linked to more than one issuer (asapproved by the Board) reducing insolvency risks, creating diversity andpotentially increasing returns for shareholders. If the Company invests in acollateralised Structured Product, the amount of the exposure to an underlyingissuer will be taken into account when reviewing investments fordiversification. The maximum exposure to any one issuer (or underlying issuer)will be limited, in aggregate, to 15 per cent. of the assets of the Company atthe time of investment. Structured Products can and may be sold before theirmaturity date if required for the purposes of making Venture CapitalInvestments and Investec Structured Products have agreed to make a market inthe Structured Products, should this be required by the Company.The intention for the portfolio of Venture Capital Investments isto build a diverse portfolio of primarily established unquoted companiesacross different industries. In order to generate income and where it is feltit would enhance shareholder return, investments may be structured to includeloan stock and/or redeemable preference shares as well as ordinary equity. Itis intended that the amount invested in any one sector and any one companywill be no more than approximately 20 per cent. and 10 per cent. respectivelyof the Venture Capital Investments portfolio (in both cases at the date of theinvestment).

The Board and its Managers review the portfolio of investments on a regular basis to assess asset allocation and the need to realise investments to meet the Company's objectives or maintain VCT status. Where investment opportunities arise in one asset class which conflicts with assets held or opportunities in another asset class, the Board will make the investment/divestment decision.

Under its Articles, the Company has the ability to borrow a maximumamount equal to 25 per cent. of the gross assets of the Company. The Boardwill consider 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, to any material extent, without the approval of shareholders. The Company intends to be a generalist VCT investing in a wide range of sectors.

Risk diversificationThe Board controls the overall risk of the Company. CalculusCapital will ensure the Company has exposure to a diversified range of VentureCapital Investments from different sectors. Investec Structured Products willensure the Company has exposure to a diversified range of Structured Products.The Board believes that investment in these two asset classes provides furtherdiversification.Co-investment policyCalculus Capital has a co-investment policy between its variousfunds whereby investment allocations are generally offered to each party inproportion to their respective funds available for investment, subject to: (i)a priority being given to any of the funds in order to maintain their taxstatus; (ii) the time horizon of the investment opportunity being compatiblewith the exit strategy of each fund; and (iii) the risk/reward profile of theinvestment opportunity being compatible with the target return for each fund.The terms of the investments may differ between the parties. In the event ofany conflicts between the parties, the issues will be resolved at thediscretion of the independent directors, designated members and committees. Itis not intended that the Company will co-invest with directors or members ofthe Calculus Capital management team (including family members).In respect of the Venture Capital Investments, funds attributableto separate share classes will co-invest (i.e. pro rata allocation per fund,unless one of the funds has a pre-existing investment where the incumbent fundwill have priority, or as otherwise approved by the Board). Any potentialconflict of interest arising will be resolved on a basis which the Boardbelieves to be equitable and in the best interests of all shareholders. Aco-investment policy is not considered necessary for the Structured Products.

Policy on Qualifying Investments

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

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

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

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

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

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

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

VCT regulation

The Company's investment policy is designed to ensure that it willmeet, and continue to meet, the requirements for approved VCT status from HMRevenue & Customs. Amongst other conditions, the Company may not invest morethan 15 per cent. (by value at the time of investment) of its investments in asingle company 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, therequirement for 30 per cent. to be invested in eligible shares was increasedto 70 per cent.

Principal risks and uncertainties facing the Company

The Company is exposed to a variety of risks. The principal financial risks and the Company's policies for managing these risks and the policy and practice with regard to financial instruments are summarised in note 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 ITA2007. Failure to meet and maintain the qualifying requirements for VCT statuscould result in the loss of tax reliefs previously obtained, resulting inadverse tax consequences for investors, including a requirement to repay theincome tax relief obtained, and could also cause the Company to lose itsexemption from corporation tax on chargeable gains.

The Board receives regular updates from the Managers and financial information is produced on a monthly basis. The Board has appointed an independent adviser to 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 of the UK Listing Authority and ITA 2007. A breach of any of thesecould lead to suspension of the listing of the Company's shares on the LondonStock Exchange and/or financial penalties, with the resulting reputationalimplications.

Venture Capital Investments

There are restrictions regarding the type of companies in which the Company may invest and there is no guarantee that suitable investment opportunities will be identified.

Investment in unquoted companies, AIM-traded and PLUSMarkets-traded companies involves a higher degree of risk than investment incompanies traded on the main market of the London Stock Exchange. Thesecompanies may not be freely marketable and realisations of such investmentscan be difficult and can take a considerable amount of time. There may also beconstraints imposed upon the Company with respect to realisations in order tomaintain its VCT status which may restrict the Company's ability to obtain themaximum value from its investments.

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

Risks attaching to investment in Structured Products

Structured Products are subject to market fluctuations and the Company may lose some or all of its investment. In the event of a long-term decline in the FTSE 100 Index, or, in the case of the C Share Fund, in such other index as this fund may be invested, there will be no gains from the Structured Products. In the event of a fall in the relevant index of more than 50 per cent. at any time during the Structured Product term, and where the Final Index Level is below the Initial Index Level, there will be losses on the Structured Products.

There may not be a liquid market in the Structured Products andthere may never be two competitive market makers, making it difficult for theCompany to realise its investment. Risk is increased further where there is asingle market 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 include interest rates, changes in the method of calculating the relevant underlying index from time to time and market expectations regarding the future performance of the relevant underlying index, its composition and such Structured Products.

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

Liquidity/marketability risk

Due to the holding period required to maintain up-front taxreliefs, there is a limited secondary market for VCT shares and investors maytherefore find it difficult to realise their investments. As a result, themarket price of the shares may not fully reflect, and will tend to be at adiscount to, the underlying net asset value. The level of discount may also beexacerbated by the availability of income tax relief on the issue of new VCTshares. The Board recognises this difficulty, and has taken powers to buy backshares, which could be used to enable investors to realise investments.

Changes to legislation/taxation

Changes in legislation or tax rates concerning VCTs in general, andVenture Capital Investments and qualifying trades in particular, may limit thenumber of new Venture Capital Investment opportunities, and thereby adverselyaffect the ability of the Company to achieve or maintain VCT status, and/orreduce the level of returns which would otherwise have been achievable.

Engagement of third party advisers

The Company has no employees and relies on services provided bythird parties. The Board has appointed Calculus Capital as Investment Managerof the Qualifying Investments portfolio and Investec Structured Products asInvestment Manager of the Structured Products portfolio. Capita SinclairHenderson Limited provides administration, accounting and company secretarialservices, and Investec Wealth & Investments (formerly known as RensburgSheppards) acts as custodian.

C shares versus ordinary shares

The assets relating to the C shares are managed and accounted forseparately from the assets attributable to the ordinary shares. However, anumber of company regulations and VCT requirements are assessed at companylevel and, therefore, the performance of one fund may impact adversely on theother. The Board monitors both the performance of each separate fund as wellas requirements at a company level to reduce the risk of this occurring.

Future developments

The Directors believe that the Company is well placed to make progress during 2012 and are encouraged by the number of attractive investment opportunities available.

Corporate social responsibility

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 full Annual Report and Accounts) and the Companyitself has no environmental, social or community policies. In carrying out itsactivities and in relationships with suppliers, the Company aims to conductitself responsibly, ethically and fairly.

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

DIRECTORS' RESPONSIBILTY STATEMENT

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

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

Company law requires the Directors to prepare Accounts for each financial year. Under that law they have elected to prepare the Accounts in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards and applicable laws). Under company law the Directors must not approve the Accounts unless they are satisfied that they give a true and fair view of the state of affairs and profit or loss of the Company for that period.

In preparing these Accounts, the Directors are required to:

- select suitable accounting policies and then apply them consistently;

- make judgments and estimates that are reasonable and prudent;

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

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

The Directors are responsible for keeping adequate accountingrecords that are sufficient to show and explain the Company's transactions anddisclose with reasonable accuracy at any time the financial position of theCompany and enable them to ensure that the Accounts comply with the CompaniesAct 2006. They are also responsible for safeguarding the assets of the Companyand hence for taking reasonable steps for the prevention and detection offraud and other irregularities.Under applicable law and regulations, the Directors are alsoresponsible for preparing a Directors' Report (including Business Review),Directors' Remuneration Report and Corporate Governance Statement that complywith that law and those regulations, and for ensuring that the Annual Reportincludes information required by the Listing Rules of the Financial ServicesAuthority.

In so far as each of the Directors is aware:

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

- the Directors have taken all steps that they ought to have taken to make themselves aware of any relevant audit information and to establish that the Auditor is aware of that information.

The Accounts are published on the www.calculuscapital.com website,which is a website maintained by one of the Company's Investment Managers,Calculus Capital Limited. The maintenance and integrity of the websitemaintained by Calculus Capital Limited is, so far as it relates to theCompany, the responsibility of Calculus Capital Limited. The work carried outby the Auditor does not involve consideration of the maintenance and integrityof this website and accordingly, the Auditor accepts no responsibility for anychanges that have occurred to the Accounts since they were initially presentedon the website. Visitors to the website need to be aware that legislation inthe United Kingdom covering the preparation and dissemination of the Accountsmay differ from legislation in their jurisdiction.

We confirm that to the best of our knowledge:

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

- the Annual Report includes a fair review of the development and performance of the business and the position of the Company together with a description of the principal risks and uncertainties that it faces.

On behalf of the BoardMichael O'HigginsChairman1 June 2012NON-STATUTORY ACCOUNTSThe financial information set out below does not constitute theCompany's statutory accounts for the year ended 29 February 2012 and theperiod ended 28 February 2011 but is derived from those accounts. Statutoryaccounts for 2011 have been delivered to the Registrar of Companies, and thosefor 2012 will be delivered in due course. The Auditor has reported on thoseaccounts; their report was (i) unqualified, (ii) did not include a referenceto any matters to which the Auditor drew attention by way of emphasis withoutqualifying their report and (ii) did not contain a statement under Section 498(2) or (3) of the Companies Act 2006. The text of the Auditor's report can befound in the Company's full Annual Report and Accounts atwww.calculuscapital.com.

INCOME STATEMENT

for the year ended 29 February 2012

Year Ended 29 February 2012

Period Ended 28 February 2011

Revenue Capital Revenue Capital Return Return Total Return Return Total Note £'000 £'000 £'000 £'000 £'000 £'000 Ordinary Share Fund

Investment holding gains 8 - 26 26 - 446 446Income 2 48 - 48 20 - 20Investment management fee 3 (12) (35) (47) (9) (26) (35)Other operating expenses 4 (107) - (107)

(123) - (123)

(Loss)/profit on ordinary activitiesbefore taxation (71) (9) (80)

(112) 420 308

Taxation on ordinary activities 5 - - -

- - -

(Loss)/profit on ordinary activitiesafter taxation (71) (9) (80)

(112) 420 308

Return per ordinary share - basic 7 (1.5)p (0.2)p (1.7)p (3.0)p 11.3p 8.3p C Share Fund Investment holding gains 8 - 24 24Income 2 7 - 7Investment management fee 3 (4) (12) (16)Other operating expenses 4 (48) - (48) (Loss)/profit on ordinary activitiesbefore taxation (45) 12 (33) Taxation on ordinary activities 5 - - - (Loss)/profit on ordinary activitiesafter taxation (45) 12 (33) Return per C share - basic 7 (2.3)p 0.6p (1.7)p

The total column of these statements represents the Income Statement of the Ordinary Share Fund and C Share Fund.

Year Ended 29 February 2012

Period Ended 28 February 2011

Revenue Capital Revenue Capital Return Return Total Return Return Total Note £'000 £'000 £'000 £'000 £'000 £'000 Total

Investment holding gains 8 - 50 50 - 446 446Income 2 55 - 55 20 - 20Investment management fee 3 (16) (47) (63) (9) (26) (35)Other operating expenses 4 (155) - (155)

(123) - (123)

(Loss)/profit on ordinary activities (116) 3 (113) (112) 420 308before taxation Taxation on ordinary activities 5 - - -

- - -

(Loss)/profit on ordinary activities (116) 3 (113) (112) 420 308after taxation Return per ordinary share - basic 7 (1.5)p (0.2)p (1.7)p (3.0)p 11.3p 8.3p Return per C share - basic 7 (2.3)p 0.6p (1.7)p

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

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

No operations were acquired or discontinued during the year.

All items in the above statements derive from continuing operations.

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

The notes form an integral part of these Accounts.

RECONCILIATION OF MOVEMENTS IN SHAREHOLDERS' FUNDS

for the year ended 29 February 2012

Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 Ordinary Share Fund

For the year ended 29 February 2012

1 March 2011 47 752 3,729 (26) 446 (112) 4,836Cancellation of share premium - (747) 747 - - - -Expenses on share issue - (5) (1) - - - (6)Unrealised net increase in value of - - - - 26 - 26investmentsManagement fee allocated to capital - - - (35) - - (35)Revenue return on ordinary activities - - - -

- (71) (71)after taxDividend paid - - (249) - - - (249) Closing balance 47 - 4,226 (61) 472 (183) 4,501

For the period to 28 February 2011

1 February 2010 - - - - - - -Unrealised net increase in value of - - - - 446 - 446investmentsManagement fee allocated to capital - - - (26) - - (26)Revenue return on ordinary activities - - - - - (112) (112)after taxIssue of redeemable non-voting shares 50 - - - - - 50Redemption of redeemable non-voting (50) - - - - - (50)sharesIncrease in share capital in issue 47 4,740 - - - - 4,787Expenses on share issues - (259) - - - - (259)Cancellation of share premium - (3,729) 3,729 -

- - - 28 February 2011 47 752 3,729 (26) 446 (112) 4,836 Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 C Share Fund

For the year ended 29 February 2012

1 March 2011 - - - - - - -Increase in share capital in issue 19 1,912 - -

- - 1,931Cancellation of share premium - (1,802) 1,802 - - - -Expenses on share issue - (110) - - - - (110)

Unrealised net increase in value of - - - - 24 - 24investmentsManagement fee allocated to capital - - - (12) - - (12)Revenue return on ordinary activities - - - -

- (45) (45)after tax Closing balance 19 - 1,802 (12) 24 (45) 1,788 Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 Total

For the year ended 29 February 2012

1 March 2011 47 752 3,729 (26) 446 (112) 4,836Increase in share capital in issue 19 1,912 - -

- - 1,931Cancellation of share premium - (2,549) 2,549 - - - -Expenses on share issue - (115) (1) - - - (116)

Unrealised net increase in value of - - - - 50 - 50investmentsManagement fee allocated to capital - - - (47) - - (47)Revenue return on ordinary activities - - - -

- (116) (116)after taxDividend paid - - (249) - - - (249) Closing balance 66 - 6,028 (73) 496 (228) 6,289

For the period to 28 February 2011

1 February 2010 - - - - - - -Unrealised net increase in value of - - - - 446 - 446investmentsManagement fee allocated to capital - - - (26) - - (26)Revenue return on ordinary activities - - - - - (112) (112)after taxIssue of redeemable non-voting shares 50 - - - - - 50Redemption of redeemable non-voting (50) - - - - - (50)sharesIncrease in share capital in issue 47 4,740 - -

- - 4,787Expenses on share issues - (259) - - - - (259)Cancellation of share premium - (3,729) 3,729 - - - - 28 February 2011 47 752 3,729 (26) 446 (112) 4,836

The notes form an integral part of these Accounts.

BALANCE SHEETas at 29 February 2012 29 February 2012 28 February 2011 Note £'000 £'000 Ordinary Share Fund Fixed assetsInvestments designated at fairvalue through profit or loss 8 4,435 4,488 Current assetsDebtors 9 119 214Cash at bank and on deposit 28 326 147 540 Creditors: amount falling duewithin one yearCreditors 10 (66) (176) (66) (176) Net current assets 81 364 Non-current liabilitiesIFA trail commission (15) (16) Total net assets 4,501 4,836Capital and reservesCalled-up share capital 11 47 47Share premium account - 752Special reserve 4,226 3,729Capital reserve - realised (61) (26)Capital reserve - unrealised 472 446Revenue reserve (183) (112) Equity shareholders' funds 4,501 4,836 Net asset value per ordinaryshare - basic 12 95.0p 102.1p 29 February 2012 Note £'000 C Share Fund Fixed assetsInvestments designated at fair value throughprofit or loss 8 1,691 Current assetsDebtors 9 51Cash at bank and on deposit 104 155 Creditors: amount falling due within one yearCreditors 10 (48) (48) Net current assets 107 Non-current liabilitiesIFA trail commission (10) Total net assets 1,788Capital and reservesCalled-up share capital 11 19Share premium account -Special reserve 1,802Capital reserve - realised (12)Capital reserve - unrealised 24Revenue reserve (45) Equity shareholders' funds 1,788 Net asset value per C share - basic 12 92.6p 29 February 2012 28 February 2011 Note £'000 £'000 Total Fixed assetsInvestments designated at fairvalue through profit or loss 8 6,126 4,488 Current assetsDebtors 9 170 214Cash at bank and on deposit 132 326 302 540 Creditors: amounts falling duewithin one yearCreditors 10 (114) (176) (114) (176) Net current assets 188 364 Non-current liabilitiesIFA trail commission (25) (16) Total net assets 6,289 4,836Capital and reservesCalled-up share capital 66 47Share premium account - 752Special reserve 6,028 3,729Capital reserve - realised (73) (26)Capital reserve - unrealised 496 446Revenue reserve (228) (112) Equity shareholders' funds 6,289 4,836 Net asset value per ordinaryshare - basic 12 95.0p 102.1p Net asset value per C share -basic 12 92.6p

The notes form an integral part of these Accounts.

These Accounts were approved by the Board of Directors and were authorised for issue on

1 June 2012 and were signed on its behalf by:

Michael O'Higgins

Chairman

Registered No. 07142153 England & Wales

CASH FLOW STATEMENT

for the year ended 29 February 2012

Year Ended Period Ended 29 February 28 February 2012 2011 Note £'000 £'000 Ordinary Share Fund Operating activitiesInvestment income received 24 7Deposit interest received 2 6Investment management fees (46) (24)Other cash payments (104) (169)

Cash expended from operations 13 (124) (180)

Cash flow from investing activitiesPurchase of investments (755) (4,042)Sale of investments 855 - Net cash flow from investing 80 (4,042)activities Net cash flow before financing (44) (4,222) Cash flow from financing activitiesRedeemable non-voting shares issued - 50Redemption of redeemable non-voting - (50)sharesShares issued - 4,787Expenses on share issues (5) (239) Net cash flow from financing (5) 4,548activities Equity dividend paid (249) - (Decrease)/increase in cash at bankand on deposit (298) 326 Year Ended 29 February 2012 Note £'000 C Share Fund Operating activitiesInvestment income received 4Investment management fees (12)Other cash payments (79)

Cash expended from operations 13 (87)

Cash flow from investing activitiesPurchase of investments (2,594)Sale of investments 928 Net cash flow from investing (1,666)activities Net cash flow before financing (1,753) Cash flow from financing activitiesShares issued 1,931Expenses on share issues (74) Net cash flow from financing 1,857activities Increase in cash at bank and on 104deposit Year Ended Period Ended 29 February 28 February 2012 2011 Note £'000 £'000 Total Operating activitiesInvestment income received 28 7Deposit interest received 2 6Investment management fees (58) (24)Other cash payments (183) (169) Cash expended from operations 13 (211) (180) Cash flow from investing activitiesPurchase of investments (3,369) (4,042)Sale of investments 1,783 - Net cash outflow from investing (1,586) (4,042)

activities

Net cash outflow before financing (1,797) (4,222) Cash flow from financing activitiesRedeemable non-voting shares issued - 50Redemption of redeemable non-voting - (50)

shares

Shares issued 1,931 4,787Expenses on share issues (79) (239) Net cash inflow from financing 1,852 4,548

activities

Equity dividend paid (249) - (Decrease)/increase in cash at bankand on deposit (194) 326

The notes form an integral part of these Accounts.

NOTES TO THE ACCOUNTS1. Accounting PoliciesBasis of accounting

These Accounts cover the 12 month period 1 March 2011 to 29 February 2012, and have been prepared under the historical cost convention, except for the valuation of financial assets at fair value through profit or loss, in accordance with UK Generally Accepted Accounting Practice ("UK GAAP").

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

The Company has not prepared consolidated accounts and hasaccounted for its subsidiary, Investec SPV, as an investment on the groundsthat its results are immaterial to the Company and control is intended to betemporary because the subsidiary has been acquired and held exclusively with aview to its subsequent disposal in the near future.

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 andVenture Capital Investments that will provide sufficient total returns toallow the Company to pay annual dividends and provide long-term capitalreturns for investors. As a result, all investments held by the Company aredesignated, upon initial recognition, as held at fair value through profit orloss, in accordance with Financial Reporting Standard 26 FinancialInstruments: Recognition and Measurement'. The Company manages and evaluatesthe performance of these investments on a fair value basis in accordance withits investment strategy, and information about the portfolio is providedinternally on this basis to the Board. Fair value is the amount for which anasset can be exchanged between knowledgeable, willing parties in an arm'slength transaction. Investments held at fair value through profit or loss areinitially recognised at cost, being the consideration given and excludingtransaction or other dealing costs associated with the investment, which areexpensed and included in the capital column of the Income Statement.Subsequently, investments are measured at fair value, with gains and losses oninvestments recognised in the Income Statement and allocated to capital. Allpurchases and sales of investments are accounted for on trade date basis.For investments actively traded in organised financial markets,fair value is generally determined by reference to quoted market bid, or last,prices, depending on the convention of the exchange on which the investment isquoted, at the close of business on the Balance Sheet date.

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

Returns are linked to the FTSE 100 Index by way of a fixed returnthat is payable as long as the Final Index Level is no lower than the InitialIndex Level (Final Index Level and Initial Index Level being the closing (oraverage closing) level of the FTSE 100 Index at the end of the relevant IndexCalculation Period (being the relevant period over which the Initial and FinalIndex Levels are determined in accordance with the terms of the StructuredProduct) for a Structured Product). All of the investments in StructuredProducts in respect of the Ordinary Share Fund and C Share Fund (to the extentthat the latter invests in FTSE 100 linked Structured Products) will either becapital protected or capital at risk on a one-to-one basis where the FTSE 100Index falls by more than 50 per cent. and the Final Index Level is below theInitial Index Level. If the FTSE 100 Index does fall by more than 50 per cent.at any time during the investment period and fails to recover at maturity, thecapital will be at risk on a maximum one-to-one basis (i.e. if the FTSE 100Index falls by more than 50 per cent. during the investment period and onmaturity is down 25 per cent., capital within that Structured Product will bereduced by 25 per cent.).

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

Unquoted investments are valued using an appropriate valuation technique so as to establish what the transaction price would have been at the Balance Sheet date. Such investments are valued in accordance with the International Private Equity and Venture Capital Association ("IPEVCA") guidelines. Primary indicators of fair value are derived from earnings multiples, recent arm's length market transactions, net assets or, where appropriate, at cost for recent investments or the discounted cash flow valuation as at the previous reporting date.

Income

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

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

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

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

Expenses

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

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

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

- expenses are charged to the capital column of the IncomeStatement where a connection with the maintenance or enhancement of the valueof the investments can be demonstrated. In this respect management fees havebeen allocated 75 per cent. to the capital column and 25 per cent. to therevenue column of the Income Statement, being in line with the Board'sexpected long-term split of returns, in the form of capital gains and revenuerespectively, from the investment portfolio of the Company; and

- expenses associated with the issue of shares are deducted from the share premium account. Annual IFA trail commission covering a five year period since share allotment has been provided for in the Accounts as, due to the nature of the Company, it is probable that this will be payable. The commission is apportioned between current and non-current liabilities.

Expenses incurred by the Company in excess of the agreed cap,currently 3 per cent. of the gross amount raised from the offer forsubscription of ordinary shares and C shares respectively for the 2009/2010,2010/2011 and 2011/2012 tax years (excluding irrecoverable VAT, annual trailcommission and performance incentive fees), can be clawed back from InvestecStructured Products until the interim return date of the relevant share issue.Any claw back is treated as a credit against the 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 per cent. of the net assets of the respective share fund.

Investec Structured Products, as Investment Manager of the Structured Products portfolio, does not receive any annual management fees from the Company. Investec Structured Products is entitled to an arrangement fee from the providers of Structured Products as detailed in note 16.

The Investment Managers will each receive a performance incentivefee payable in cash of an amount equal to 10 per cent. of dividends anddistributions paid (including the relevant distribution being offered) toholders of ordinary shares over and above 105 pence per ordinary share (thisbeing a 50 per cent. return on an initial net investment of 70 pence perordinary share taking into account upfront income tax relief) provided holdersof ordinary shares have received or been offered an interim return of at least70 pence per share for payment on or before 14 December 2015. Such performanceincentive fees will be paid within 10 business days of the date of payment ofthe relevant dividend or distribution.

For C shares, Investec Structured Products and Calculus Capital will be entitled to performance incentive fees as set out below:

- 10 per cent. of C Shareholder Proceeds in excess of 105p up toand including Proceeds of 115p per C share, such amount to be paid within tenbusiness days of the date of payment of the relevant dividend or distributionpursuant to which a return of 115p per C share is satisfied; and

- 10 per cent. of C Shareholder Proceeds in excess of 115p per C share, such amounts to be paid within ten business days of the date of payment of the relevant dividend or distribution.

Provided in each case that C shareholders have received or been offered the C Share Interim Return of at least 70p per C share on or before 14 March 2017 and at least a further 45p per C share having being received or offered for payment on or before the 14 March 2019.

Capital reserve

The capital return component of the return for the year is taken tothe non-distributable capital reserves within the Reconciliation of Movementsin Shareholders' Funds.Special reserveThe special reserve was created by the cancellation of the OrdinaryShare Fund's share premium account on 20 October 2010. A further cancellationof the share premium account occurred on 23 November 2011 for both theOrdinary Share Fund and C Share Fund. The special reserve is a distributablereserve created to be used by the Company inter alia to write off losses, fundmarket purchases of its own ordinary and C shares, make distributions and/orfor other corporate purposes.The Company was formerly 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 dividendsto shareholders using the special reserve.

Taxation

Deferred tax is recognised in respect of all timing differencesthat have originated but not reversed at the Balance Sheet date wheretransactions or events that result in an obligation to pay more tax in thefuture have occurred at the Balance Sheet date. This is subject to deferredtax assets only being recognised if it is considered more likely than not thatthere will be suitable profits from which the future reversals of theunderlying timing differences can be deducted. Timing differences aredifferences between the Company's taxable profits and its results as stated inthe Accounts.

Deferred tax is measured at the average tax rates that are expected to apply in the periods in which the timing differences are expected to reverse, based on tax rates and laws that have been enacted or substantially enacted by the Balance Sheet date. Deferred tax is measured on a non-discounted basis.

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

Dividends

Dividends to shareholders are accounted for in the period in which they are paid or approved in general meetings. Dividends payable to equity shareholders are recognised in the Reconciliation of Movements in Shareholders' Funds when they are paid, or have been approved by shareholders in the case of a final dividend and become a liability of the Company.

2. Income Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Ordinary Share Fund UK unfranked loan stock interest 44 14Liquidity fund interest 2 -Bank interest 2 6 48 20 Total income comprises:Interest 48 20 48 20 C Share Fund UK unfranked loan stock interest 4Liquidity fund interest 3 7 Total income comprises:Interest 7 7 Total UK unfranked loan stock interest 48 14Liquidity fund interest 5 -Bank interest 2 6 55 20 Total income comprises:Interest 55 20 55 203. Management Fee Year Ended Period Ended 29 February 2012 28 February 2011 Revenue Capital Total Revenue Capital Total £'000 £'000 £'000 £'000 £'000 £'000 Ordinary ShareFund Investmentmanagement fee 12 35 47 9 26 35 C Share Fund Investmentmanagement fee 4 12 16 Total Investmentmanagement fee 16 47 63 9 26 35

No performance fee was paid during the year.

4. Other Expenses Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Ordinary Share Fund Directors' fees 60 73Secretarial and accounting fees 57 60Auditor's remuneration- audit services 17 17- interim review - 11- reporting accountant on launch - 8- reporting accountant on issue of ordinary - 6

shares

- tax services 3 4Other 51 129Clawback of expenses in excess of 3% cap (81) (185) 107 123 C Share Fund Directors' fees 20Secretarial and accounting fees 19Auditor's remuneration- audit services 6- tax services 1Other 51Clawback of expenses in excess of 3% cap (49) 48 Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Total Directors' fees 80 73Secretarial and accounting fees 76 60Auditor's remuneration- audit services 23 17- interim review - 11- reporting accountant on launch - 8- reporting accountant on issue of ordinary - 6

shares

- tax services 4 4Other 102 129Clawback of expenses in excess of 3% cap (130) (185) 155 123

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

5. Taxation Year Ended 29 February 2012 Period Ended 28 February 2011 Revenue Capital Total Revenue Capital Total £'000 £'000 £'000 £'000 £'000 £'000Ordinary Share Fund (Loss)/profit on ordinary activitiesbefore tax (71) (9) (80)

(112) 420 308

Theoretical tax at UK Corporation Taxrate of 26.5% (2011: 28%) (19) (2) (21) (31) 118 87Timing differences: Loss notrecognised, carried forward 19 - 19 31 - 31Effects of non-taxable gains - 2 2 - (118) (118)

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

- - -

C Share Fund

(Loss)/profit on ordinary activitiesbefore tax (45) 12 (33) Theoretical tax at UK Corporation Taxrate of 26.5% (12) 3 (9)Timing differences: Loss notrecognised, carried forward 12 - 12Effects of non-taxable gains - (3) (3)Tax on (loss)/profit for the period - - -

Total

(Loss)/profit on ordinary activitiesbefore tax (116) 3 (113)

(112) 420 308

Theoretical tax at UK Corporation Taxrate of 26.5% (2011: 28%) (31) 1 (30) (31) 118 87Timing differences: Loss notrecognised, carried forward 31 - 31 31 - 31Effects of non-taxable gains - (1) (1) - (118) (118)

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

- - -

At 31 December 2011, the Ordinary Share Fund and C Share Fund had £241,103 (28 February 2011: £136,328) and £57,680 respectively (Company: £298,783 (28 February 2011: £136,328)) of excess management expenses to carry forward against future taxable profits.

The deferred tax asset of £59,070 (28 February 2011: £35,786) and£14,132 for the Ordinary Share Fund and C Share Fund respectively (Company:£73,202 (28 February 2011: £35,786)) has not been recognised due to the factthat it is unlikely the excess management expenses will be set off in theforeseeable future.6. Dividends Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Ordinary Share Fund Declared and paid: 5.25p per ordinary sharein respect of the period ended 28 February2011 (2011: nil) 249 -Proposed final dividend: 5.25p per ordinaryshare in respect of the year ended 29February 2012 249 249

C Share Fund

Proposed final dividend: 4.5p per C share inrespect of the year ended 29 February 2012 87

The proposed dividends are subject to approval by shareholders at the forthcoming Annual General Meeting and have not been included as a liability in these Accounts.

7. Return per Share Year Ended Period Ended 29 February 2012 28 February 2011 Revenue Capital Total Revenue Capital Total pence pence pence pence pence pence Return perordinary share (1.5) (0.2) (1.7) (3.0) 11.3 8.3 Return per C (2.3) 0.6 (1.7)share

Ordinary Share Fund

Revenue return per ordinary share is based on the net revenue loss on ordinary activities after taxation of £71,000 (28 February 2011: £112,000) and on 4,738,463 ordinary shares (28 February 2011: 3,721,530), being the weighted average number of ordinary shares in issue during the year.

Capital return per ordinary share is based on the net capital loss for the year of £9,000 (28 February 2011: gain of £420,000) and on 4,738,463 ordinary shares (28 February 2011: 3,721,530), being the weighted average number of ordinary shares in issue during the year.

Total return per ordinary share is based on the total loss on ordinary activities after taxation of £80,000 (28 February 2011: gain of £308,000) and on 4,738,463 ordinary shares (28 February 2011: 3,721,530), being the weighted average number of ordinary shares in issue during the year.

C Share Fund

Revenue return per C share is based on the net revenue loss onordinary activities after taxation of £45,000 and on 1,919,142 C shares, beingthe weighted average number of C shares in issue since their first allotmentduring the year.

Capital return per C share is based on the net capital gain for the year of £12,000 and on 1,919,142 C shares, being the weighted average number of C shares in issue since their first allotment during the year.

Total return per C share is based on the total loss for the year of £33,000 and on 1,919,142 C shares, being the weighted average number of C shares in issue since their first allotment during the year.

8. Investments Year Ended 29 February 2012 Structured Product Unquoted Other Investments Investments Investments Total £'000 £'000 £'000 £'000 Ordinary Share Fund Opening bookcost 2,443 549 1,050 4,042

Opening unrealised appreciation 439 7 -

446Opening valuation 2,882 556 1,050 4,488 Movements in year:Purchases at cost 100 675 1 776Sales proceeds - - (855) (855)Increase/(decrease) in unrealisedappreciation 174 (148) - 26Movements in year 274 527 (854) (53)Closing valuation 3,156 1,083 196 4,435Closing bookcost 2,543 1,224 196 3,963Closing unrealisedappreciation/(depreciation) 613 (141) - 472 3,156 1,083 196 4,435

Unquoted investments include unquoted shares valued at £nil in the Company's subsidiary, Investec SPV. These shares cost £1,834, resulting in an unrealised loss of £1,834.

C Share Fund Movements in year:Purchases at cost 850 244 1,501 2,595Sales proceeds - - (928) (928)Increase/(decrease) inunrealised appreciation 85 (61) - 24Closing valuation 935 183 573 1,691Closing bookcost 850 244 573 1,667Closing unrealised

appreciation/(depreciation) 85 (61) -

24

935 183 573

1,691

Unquoted investments include unquoted shares valued at £nil in theCompany's subsidiary, Invested SPV. The shares cost £917, resulting in anunrealised loss of £917. Year Ended 29 February 2012 Structured Product Unquoted Other Investments Investments Investments Total £'000 £'000 £'000 £'000 Total Opening bookcost 2,443 549 1,050 4,042Opening unrealised 439 7 - 446appreciationOpening valuation 2,882 556 1,050 4,488 Movements in year:Purchases at cost 950 919 1,502 3,371Sales proceeds - - (1,783) (1,783)Increase/(decrease) inunrealised appreciation 259 (209) - 50Movements in year 1,209 710 (281) 1,638Closing valuation 4,091 1,266 769 6,126Closing bookcost 3,393 1,468 769 5,630Closing unrealisedappreciation/(depreciation) 698 (202) - 496 4,091 1,266 769 6,126

Note 15 provides a detailed analysis of investments held at fair value through profit and loss in accordance with Financial Reporting Standard 29 'Financial Instruments: Disclosures'.

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

Investec SPV was incorporated on 29 November 2011. As at 29 February 2012, Investec SPV had share capital of £2,751 and deficit and net loss of £2,751 (note: this essentially values Investec SPV at £nil).

9. Debtors Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Ordinary Share Fund Prepayments and accrued income 38 29

Clawback of expenses in excess of 3% cap 81 185

119 214

C Share Fund

Prepayments and accrued income 2

Clawback of expenses in excess of 3% cap 49

51

Total

Prepayments and accrued income 40 29

Clawback of expenses in excess of 3% cap 130 185

170 21410. Creditors Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Ordinary Share Fund IFA trail commission 5 4Management fees 11 10Audit fees 14 17Directors' fees 9 13Administration fees 5 10Other creditors 22 122 66 176 C Share Fund IFA trail commission 2Management fees 4Audit fees 6Directors' fees 4Administration fees 2Other creditors 30 48 Total IFA trail commission 7 4Management fees 15 10Audit fees 20 17Directors' fees 13 13Administration fees 7 10Other creditors 52 122 114 17611. Share Capital 29 February 2012 28 February 2011 Number £'000 Number £'000

Ordinary Share Fund

1 March 2011 4,738,463 47 20 - Shares issued in year - - 4,738,443 47

4,738,463 47 4,738,463 47 C Share Fund 1 March 2011 - -

Shares issued in year 1,931,095 19

1,931,095 19

An offer for subscription for C shares of 1p each was launched in January 2011 and the shares were issued in April and May 2011.

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

12. Net Asset Value per Share

29 February 28 February 2012 2011 Ordinary Share Fund

Net asset value per ordinary share 95.0p 102.1p

The basic net asset value per ordinary share is based on net assets (including current period revenue) of £4,501,000 (28 February 2011: £4,836,000) and on 4,738,463 ordinary shares (28 February 2011: 4,738,463), being the number of ordinary shares in issue at the end of the year.

C Share Fund

Net asset value per C share 92.6p

The basic net asset value per C share is based on net assets (including current period revenue) of £1,788,000 and on 1,931,095 C shares, being the number of C shares in issue at the end of the year.

13. Reconciliation of Net Profit before Tax to Cash Expended from OperatingActivities Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Ordinary Share Fund (Loss)/gain on ordinary activities before (80) 308

taxation

Gains on investments (26) (446)Income reinvested (1) -Decrease/(increase) in debtors 95 (214)(Decrease)/increase in creditors (112) 172Cash expended from operating activities (124) (180)The movement in creditors shown above does not agree with themovement shown in the Balance Sheet principally because of the effect of theshort-term liability for trail commission of £5,000 (2011: £4,000) included increditors at the year end, which is not part of operating activities.

C Share Fund

Loss on ordinary activities before taxation (33) Gains on investments

(24)Income reinvested (1)Increase in debtors (51)Increase in creditors 22

Cash expended from operating activities (87)

The movement in creditors shown above does not agree with themovement shown in the Balance Sheet principally because of the effect of theshort-term liability for trail commission of £2,000 included in creditors atthe year end and the short-term liability for share issue expenses of £23,000which are not part of operating activities. Year Ended Period Ended 29 February 28 February 2012 2011 £'000 £'000 Total (Loss)/gain on ordinary activities before (113) 308

taxation

Gains on investments (50) (446)Income reinvested (2) -Decrease/(increase) in debtors 44 (214)(Decrease)/increase in creditors (90) 172Cash expended from operating activities (211) (180)The movement in creditors shown above does not agree with themovement shown in the Balance Sheet principally because of the effect of theshort-term liability for trail commission of £7,000 (2011: £4,000) included increditors at the year end and the short-term liability for share issueexpenses of £23,000 which are not part of operating activities.

14. Financial Commitments

At 29 February 2012 the Company did not have any financial commitments which had not been accrued for.

15. Financial Instruments

The Company's objective is to produce ongoing capital gains and income that will provide investment returns sufficient to maximise annual dividends and to fund a special dividend or cash offer in year 6 sufficient to bring distributions per share to 70p.

In order to qualify as a VCT, at least 70 per cent. of theCompany's investments must be invested in Venture Capital Investments withinapproximately three years of the relevant funds being raised. Thus, there willbe a phased reduction in the Structured Products portfolio and correspondingbuild up in the portfolio of Venture Capital Investments to achieve andmaintain this 70 per cent. threshold along the following lines:Average Exposureper Year Year 1 Year 2 Year 3 Year 4 Year 5 Year 6+

Structured

Products andcash/near cashassets 85% 75% 35% 25% 25% 0% Venture CapitalInvestments 15% 25% 65% 75% 75% 100%As at 29 February 2012, the Company's investment portfoliocomprised 67 per cent. Structured Products and 21 per cent. QualifyingInvestments, by market value. This is split 71 per cent. and 24 per cent. forthe ordinary share portfolio and 55 per cent. and 11 per cent. for the C shareportfolio.

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

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

- Market price risk- Credit risk- Liquidity risk

The Company does not have exposure to foreign currency risk.

With many years experience of managing the risks involved ininvesting in Structured Products and Venture Capital Investments respectively,both the Investec Structured Products team and the Calculus Capital team,together with the Board, have designed the Company's structure and itsinvestment strategy to reduce risk as much as possible. The policies formanaging these risks are summarised below and have been applied throughout

theperiod under review.a) Market price riskStructured Products

The return and valuation of the Company's investments in Structured Products is currently linked to the FTSE 100 Index by way of a fixed return that is payable as long as the Final Index Level is no lower than the Initial Index Level.

All of the current investments in Structured Products will eitherbe capital protected or capital at risk on a one-to-one basis where the FTSE100 Index falls by more than 50 per cent. and the Final Index Level is belowthe Initial Index Level. If the FTSE 100 Index does fall by more than 50 percent. at any time during the investment period and fails to recover atmaturity, the capital will be at risk on a maximum one-to-one basis (Capitalat Risk ("CAR")) (e.g if the FTSE 100 Index falls by more than 50 per cent.during the investment period and on maturity is down 25 per cent., capitalwithin that Structured Product will be reduced by 25 per cent.). The tables inthe Investment Manager's Review (Structured Products) above provides detailsof the Initial Index Level at the date of investment and the maturity date foreach of the Structured Products. As at 29 February 2012, the FTSE 100 Indexclosed at 5,871.5. As at 30 May 2012 being the last practicable date prior tothe publication of these Accounts, the Index had decreased 9.8 per cent. toclose at 5,297.3.

The Final Index Level is calculated using 'averaging', meaning that the average is taken of the closing levels of the FTSE 100 on each Business day over the last two to six months of the Structured Product plan term (the length of the averaging period differs for each plan).

The Investment Manager of the Structured Products portfolio and theBoard review this risk on a regular basis and the use of averaging tocalculate the return can reduce adverse effects of a falling market or suddenmarket falls shortly before maturity. Equally, it can reduce the benefits ofan increasing market or sudden market rises shortly before maturity.As at 29 February 2012, the Company's investments in StructuredProducts were valued at £4,091,000 (Ordinary Share Fund: £3,156,000; C ShareFund: £935,000). A 10 per cent. increase in the level of the FTSE 100 Index at29 February 2012, given that all other variables remained constant, would haveincreased net assets by £234,000 (Ordinary Share Fund: £168,000; C Share Fund:£66,000). A 10 per cent. decrease would have reduced net assets by £358,000(Ordinary Share Fund: £247,000; C Share Fund: £111,000). A 10 per cent.increase would increase the investment management fee due to Calculus Capitalby £2,343 (Ordinary Share Fund: £1,676; C Share Fund: £667); a 10 per cent.decrease would reduce the fee by £3,580 (Ordinary Share Fund: £2,475; C ShareFund: £1,105).

In recent years, the performance of the FTSE 100 Index has been volatile and the Directors consider that an increase or decrease in the aggregate value of investments by 10 per cent. or more is reasonably possible.

Qualifying Investments

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

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

The Company's strategy on the management of investment risk isdriven by the Company's investment objective as outlined above. Investments inunquoted companies, AIM-traded and PLUS Markets-traded companies, by theirnature, involve a higher degree of risk than investments in the main market.Some of that risk can be mitigated by diversifying the portfolio acrossbusiness sectors and asset classes.

Interest is earned on cash balances and money market funds and is linked to the banks' variable deposit rates. The Board does not consider interest rate risk to be material. Interest rates do not materially impact upon the value of the Qualifying Investments. The main risk arising on the loan stock instruments is credit risk. The Company does not have any interest bearing liabilities.

As required by Financial Reporting Standard 29 'FinancialInstruments: Disclosures' (the "Standard") an analysis of financial assets andliabilities, which identifies the risk of the Company's holding of such items,is provided. The Company's financial assets comprise equity, loan stock, cashand debtors. The interest rate profile of the Company's financial assets isgiven in the table below: As at 29 February 2012 As at 28 February 2011 Fair Value Cash Flow Fair Value Cash Flow Interest Interest Interest Interest Rate Rate Rate Rate Risk Risk Risk Risk £'000 £'000 £'000 £'000 Ordinary Share Fund Loan stock 700 - 450 -Money market funds - 196 - 1,050Cash - 28 - 326 700 224 450 1,376 C Share Fund Loan stock 95 -Money market funds - 573Cash - 104 95 677 Total Loan stock 795 - 450 -Money market funds - 769 - 1,050Cash - 132 - 326 795 901 450 1,376

The variable rate is based on the banks' deposit rate, and applies to cash balances held and the money market funds. The benchmark rate which determines the interest payments received on interest bearing cash balances is the Bank of England base rate, which was 0.5 per cent. as at 29 February 2012.

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

b) Credit risk

Structured Products

The failure of a counterparty to discharge its obligations under atransaction could result in the Company suffering a loss. In its role as theInvestment Manager of the Structured Products portfolio and to diversifycounterparty risk, Investec Structured Products will only invest in StructuredProducts issued by approved issuers. In addition, the maximum exposure to anyone counterparty (or underlying counterparty) will be limited to 15 per cent.of the assets of the Company at the time of investment.

Credit risk is the risk that the counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Company. The Investment Manager has in place a monitoring procedure in respect of counterparty risk which is reviewed on an ongoing basis. The carrying amount of financial assets best represents the maximum credit risk exposure at the Balance Sheet date.

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 transactions awaiting settlement. Risk relating to unsettled transactions is considered to be small due to the short settlement period involved and the high credit quality of the brokers used. The Board monitors the quality of service provided by the brokers used to further mitigate this risk.

All the assets of the Company which are traded on AIM or PLUSMarkets are held by Investec Wealth & Investments, the Company's custodian.Bankruptcy or insolvency of the custodian may cause the Company's rights withrespect to securities held by the custodian to be delayed or limited. TheBoard and the Investment Manager monitor the Company's risk by reviewing thecustodian's internal control reports.

As at 29 February 2012, the Company's credit risk exposure, by credit rating of the Structured Product issuer, was as follows:

29 February 2012 28 February 2011Credit Risk Rating(Moody's unless otherwise % of % ofindicated) £'000 Portfolio £'000 Portfolio Ordinary Share Fund A1 518 11.7% - -A2 978 22.1% 577 12.9%Aa2 611 13.8% 580 13.0%Aa3 - - 738 16.5%A - (Standard & Poor's) 437 9.9% 405 9.0%Baa3 612 13.8% 582 13.0% 3,156 71.3% 2,882 64.4% Credit Risk Rating 29 February 2012(Moody's unless otherwise % ofindicated) £'000 Portfolio C Share Fund A1 207 12.2%A2 213 12.6%Aa2 - -Aa3 - -A - (Standard & Poor's) - -Baa3 515 30.5% 935 55.3% 29 February 2012 28 February 2011 Credit Risk Rating(Moody's unless otherwise % of % ofindicated) £'000 Portfolio £'000 Portfolio Total A1 725 11.8% - -A2 1,191 19.4% 577 12.9%Aa2 611 10.0% 580 13.0%Aa3 - - 738 16.5%A - (Standard & Poor's) 437 7.1% 405 9.0%Baa3 1,127 18.4% 582 13.0% 4,091 66.7% 2,882 64.4%c) Liquidity Risk

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

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

Structured Products

If Structured Products are redeemed before the end of the term, theCompany may get back less than the amount originally invested. The value ofthe Structured Products will be determined by the price at which theinvestments can actually be sold on the relevant dealing date. The Board doesnot consider this risk to be significant as the planned investment periods inStructured Products will range from six months to five and a half years andthere is a planned transition from Structured Products to QualifyingInvestments as detailed earlier in this note.There may not be a liquid market in the Structured Products andthere may never be two competitive market makers, making it difficult for theCompany to realise its investment. Risk is increased further where there is asingle market maker who is also the issuer. The Board has sought to mitigatethis risk by only investing in approved issuers of Structured Products, and bylimiting exposure to any one issuer (or underlying issuer).

Qualifying Investments

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

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

Under its Articles of Association, the Company has the ability to borrow a maximum amount equal to 25 per cent. of its gross assets. As at 29 February 2012 the Company had no borrowings.

d) Capital management

The capital structure of the Company consists of cash held andshareholders' equity. Capital is managed to ensure the Company has adequateresources to continue as a going concern, and to maximise the income andcapital return to its shareholders, while maintaining a capital base to allowthe Company to operate effectively in the market place and sustain futuredevelopment of the business. To this end the Company may use gearing toachieve its objectives. The Company's assets and borrowing levels are reviewedregularly by the Board.e) Fair value hierarchy

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

The valuation method used will be the most appropriate valuation methodology for an investment within its market, with regard to the financial health of the investment and the IPEVCA guidelines.

As required by the Standard, an analysis of financial assets andliabilities, which identifies the risk of the Company's holding of such items,is provided. The Standard requires an analysis of investments carried at fairvalue based on the reliability and significance of the information used tomeasure their fair value. In order to provide further information on thevaluation techniques used to measure assets carried at fair value, we havecategorised the measurement basis 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 marketsfor identical assets. An active market is one in which transactions occur withsufficient frequency and volume to provide pricing information on an ongoingbasis. The Company's investments in money market funds are recognised withinthis category.

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

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

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

Inputs to Level 3 fair values are unobservable inputs for the asset. Unobservable inputs may have been used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there 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 market participants would use in pricing the asset. The Company's unquoted equities and loan stock are classified within this category. As explained in note 1, unquoted investments are valued in accordance with the IPEVCA guidelines.

The table below shows movements in the assets measured at fairvalue based on Level 3 valuation techniques for which any significant input isnot based on observable market data. During the year there were no transfersbetween Levels 1, 2 or 3.Ordinary Share Fund Financial Assets at Fair Value through Profit or Loss At 29 February 2012 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000 Structured Products - 3,156 - 3,156Unquoted equity - - 383 383Money market funds 196 - - 196Loan stock - - 700 700 196 3,156 1,083 4,435 Financial Assets at Fair Value through Profit or Loss At 28 February 2011 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000 Structured Products - 2,882 - 2,882Unquoted equity - - 106 106Money market funds 1,050 - - 1,050Loan stock - - 450 450 1,050 2,882 556 4,488C Share Fund Financial Assets at Fair Value through Profit or Loss At 29 February 2012 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000 Structured Products - 935 - 935Unquoted equity - - 88 88Money market funds 573 - - 573Loan stock - - 95 95 573 935 183 1,691Total Financial Assets at Fair Value through Profit or Loss At 29 February 2012 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000 Structured Products - 4,091 - 4,091Unquoted equity - - 471 471Money market funds 769 - - 769Loan stock - - 795 795 769 4,091 1,266 6,126 Financial Assets at Fair Value through Profit or Loss At 28 February 2011 Level 1 Level 2 Level 3 Total £'000 £'000 £'000 £'000 Structured Products - 2,882 - 2,882Unquoted equity - - 106 106Money market funds 1,050 - - 1,050Loan stock - - 450 450 1,050 2,882 556 4,488The Standard requires disclosure, by class of financialinstruments, if the effect of changing one or more inputs to reasonablypossible alternative assumptions would result in a significant change to thefair value measurement. The information used in determination of the fairvalue of Level 3 investments is chosen with reference to the specificunderlying circumstances and position of the investee company. The portfoliohas been reviewed and both downside and upside reasonable possible alternativeassumptions have been identified and applied to the valuation of the unquotedinvestments. Applying the downside alternatives, the value of the unquoted investment portfolio for the Ordinary Share Fund would be £21,601 or 2.0 percent. lower, for the C Share Fund would be £6,211 or 3.4 per cent. lower, and in total it would be £27,812 or 2.2 per cent. lower (2011: £8,928 or 1.6 percent. lower). Using the upside alternatives, the value of the unquotedinvestment portfolio for the Ordinary Share Fund would be increased by £19,581or 1.81 per cent., for the C Share Fund it would be increased by £6,900 or3.78 per cent., and in total it would be increased by £26,481 or 21 per cent.(2011: £8,482 or 1.5 per cent.).

16. Related Party Transactions

Investec Structured Products is a related party in respect of itsappointment as an Investment Manager to the Company and is entitled to aperformance 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 29 February 2012, £22,000 was payable by the C Share Fund(2011: £81,000 by the Ordinary Share Fund) to Investec Structured Products inrelation to the initial fee of 5 per cent. of the gross funds raised pursuantto the original ordinary share offer. In addition, £130,000 (2011: £185,000)was owed by Investec Structured Products as claw back of costs in excess ofthe agreed expenses cap of 3 per cent. (£81,000 to the Ordinary Share Fund and£49,000 to the C Share Fund).Calculus Capital is regarded as a related party in respect of itsappointment as an Investment Manager to the Company. For the year ended 29February 2012, fees of £63,000 (2011: £35,000) were payable to CalculusCapital (£47,000 payable by the Ordinary Share Fund and £16,000 by the C ShareFund), of which £15,000 (2011: £10,000) were outstanding (£11,000 by theOrdinary Share Fund and £4,000 by the C Share Fund) as at 29 February 2012.Calculus Capital is also entitled to a performance incentive fee.

No incentive fee accrued to either Investment Manager during the year (2011: £nil).

John Glencross is considered to be a related party due to hisposition as Chief Executive and a director of Calculus Capital, one of theCompany's Investment Managers. He does not receive any remuneration from theCompany. He is a director of Terrain Energy Limited, Lime Technology Limitedand Participate Sport Limited, companies in which the Company has invested.In the year ended 29 February 2012, Calculus Capital received anarrangement fee of £4,200 (2011: £7,500) as a result of the Company'sinvestment in Terrain Energy Limited. Calculus Capital also receives an annualfee from Terrain Energy Limited for the provision of John Glencross as adirector, as well as an annual monitoring fee which also covers the provisionof certain administrative support services. In the year ended 29 February2012, the amount paid to Calculus Capital which was attributable to theinvestment made by the Company was £3,542 (2011: £2,713) (excluding VAT).In the year ended 29 February 2012, Calculus Capital received noarrangement fee (2011: £8,233) as a result of the Company's investment in LimeTechnology Limited. Calculus Capital receives an annual fee from LimeTechnology Limited for the provision of John Glencross as a director, as wellas an annual monitoring fee. In the year ended 29 February 2012, the amountpaid to Calculus Capital which was attributable to the investment made by theCompany was £3,865 (2011: £1,626) (excluding VAT).

In the year ended 29 February 2012, Calculus Capital received an arrangement fee of £5,629 (2011: £nil) as a result of the Company's investment in Heritage House Media.

In the year ended 29 February 2012, Calculus Capital received anarrangement fee of £9,000 (2011: £nil) as a result of the Company's investmentin MicroEnergy Generation Services Limited. Calculus Capital also receives anannual monitoring fee from MicroEnergy Generation Services Limited, which alsocovers the provision of certain administrative support services. In the yearended 29 February 2012, the amount paid to Calculus Capital which wasattributable to the investment made by the Company was £2,833 (2011: £nil)(excluding VAT).In the year ended 29 February 2012, Calculus Capital received anarrangement fee of £8,400 (2011: £nil) as a result of the Company's investmentin Viscount Safe Custody Services Limited. Calculus Capital also receives anannual fee from Viscount Safe Custody Services Limited for the provision of aCalculus Capital employee as a director, as well as an annual monitoring fee.In the year ended 29 February 2012, the amount paid to Calculus Capital whichwas attributable to the investment made by the Company was £220 (2011: £nil)(excluding VAT).

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

ANNUAL GENERAL MEETING AND SEPARATE CLASS MEETINGS

The Company's Annual General Meeting will be held at the offices ofInvestec Structured Products, 2 Gresham Street, London EC2V 7QP at 11.00 am onTuesday, 17 July 2012. It will be followed by separate class meetings of theholders of ordinary shares and C shares.

For further information, please contact:

Investment Manager to the Structured Products Portfolio

Investec Structured ProductsGary DaleTelephone: 020 7597 4065

Investment Manager to the Venture Capital Portfolio

Calculus Capital LimitedSusan McDonaldTelephone: 020 7493 4940NATIONAL STORAGE MECHANISM

A copy of the Annual Report and Financial Statements will be submitted shortly to the National Storage Mechanism ("NSM") and will be available for inspection at the NSM, which is situated at: www.hemscott.com/nsm.do.

ENDS

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