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17 Jul 2012 17:11
INVESTEC STRUCTURED PRODUCTS CALCULUS VCT PLC
INTERIM MANAGEMENT STATEMENT
17 July 2012
Investec Structured Products Calculus VCT plc ("the Company") announces its Interim Management Statement for the period from 1 March 2012 to 31 May 2012. This Statement also includes relevant financial information between the end of the period to the date of this Statement.
The Company is a tax efficient listed company which aims to achieve a regular tax free dividend stream together with capital growth for private investors. The Company brings together Investec Structured Product's award winning expertise in structured products and Calculus Capital's award winning expertise in venture capital.
HEADLINES
* The unaudited net asset value ("NAV") per ordinary share as at 31 May 2012 was 92.52 pence. Taking into account dividends paid to date, the year to date total return at the period end was (2.5) per cent. * The unaudited NAV per C share as at 31 May 2012 was 89.05 pence. No dividends have been paid to date to the holders of C shares. * At the Annual General Meeting held earlier, shareholders approved the payment of dividends of 5.25 pence per ordinary share and 4.5 pence per C share. These dividends will be paid on 31 July 2012.
Since 31 May 2012 the unaudited NAV per ordinary share (including current period revenue) has risen to 94.89 pence as at 30 June 2012. The unaudited NAV per C share (including current period revenue) has risen to 91.74 pence.
INVESTMENT IN STRUCTURED PRODUCTS
As at 31 May 2012, the following investments had been made in Structured Products. The Structured Products will achieve their target return subject to the Final Index Level of the FTSE 100 being higher than the Initial Index Level *. The capital is at risk on a one-for-one basis ("CAR") if the FTSE 100 Index falls more than 50 per cent any time during the investment term and fails to fully recover at maturity such that the Final Index Level is below the Initial Index Level.
At 4 July 2012 the FTSE 100 was 5684.47. Since the year end, the FTSE 100 has fallen, although due to low strike levels still sits above all of the products' strike levels.
Over the past three months market volatility has declined, which has negatively affected valuations. 5 year swap rates have also decreased, which has also had a negative impact on the valuations of the Structured Products portfolio. The valuations are benefiting from the FTSE 100 still being above strike levels.
The HSBC product matured on 06/07/2012 paying the maximum return of 25.1 per cent on £500,000 to give a £625,500 net return.
Ordinary Share Fund:
Issuer Strike FTSE 100 Notional Purchase Maturity Return/ Capital Date Initial Investment Price Date at Risk (CAR) Index Level Royal Bank 05/05/ 5,341.93 £275,000 £0.96 12/05/2015 162.5% if FTSE of Scotland 2010 100 higher*; CAR plc if FTSE 100 falls more than 50% Investec 14/05/ 5,262.85 £500,000 £0.98 19/11/2015 185% if FTSE 100 Bank plc 2010 higher*; CAR if FTSE 100 falls more than 50% Abbey 25/05/ 4,940.68 £350,000 £0.99 18/11/2015 185% if FTSE 100 National 2010 higher*; CAR if Treasury FTSE 100 falls Services more than 50% plc Morgan 10/06/ 5,132.50 £500,000 £1.00 17/12/2012 134% if FTSE 100 Stanley 2010 higher*; CAR if FTSE 100 falls more than 50% Abbey 03/08/ 5,584.51 £50,000 £1.00 05/02/2014 126% if FTSE 100*National 2011 higher; CAR if Treasury falls more than Services 50% MaturedHSBC Bank 01/07/ 4,805.75 £500,000 £1.00 06/07/2012 125.1% if FTSE plc 2010 100 higher*; CAR if FTSE 100 falls more than 50% The Royal 18/03/ 5,718.13 £50,000 £1.00 20/03/2017 Autocallable Bank of 2011 10.5% p.a.; CAR Scotland if FTSE 100 fallsplc more than 50% C Share Fund:Issuer Strike FTSE 100 Notional Purchase Maturity Return/ Capital Date Initial Investment Price Date at Risk (CAR) Index Level Investec Bank 05/08/ 5,246.99 £450,000 £1.00 10/03/2017 182% if FTSE 100*plc 2011 higher; CAR if FTSE 100 falls more than 50% Abbey 03/08/ 5,584.51 £200,000 £1.00 05/02/2014 126% if FTSE 100*National 2011 higher; CAR if Treasury falls more than Services 50% Nomura Bank 28/05/ 5,188.43 £350,000 £1.2625 20/02/2013 137% if FTSE 100 International 2010 higher*; CAR if FTSE 100 falls more than 50% MaturedThe Royal 18/03/ 5,718.13 £200,000 £1.00 20/03/2017 Autocallable Bank of 2011 10.5% p.a.; CAR Scotland if FTSE 100 fallsplc more than 50%
\* The Final Index Level is calculated using `averaging', meaning that the average of the closing levels of the FTSE 100 is taken on each Business Day over the last 2-6 months of the Structured Product plan term (the length of the averaging period differs for each plan). The use of averaging to calculate the return can reduce adverse effects of a falling market or sudden market falls shortly before maturity. Equally, it can reduce the benefits of an increasing market or sudden market rises shortly before maturity.
The total amount invested in Structured Products in the Ordinary Share Fund as at 31 May 2012 was £2,149,980, representing 47.48 per cent. of net funds raised.
The total amount invested in Structured Products in the C Share Fund as at 31 May 2012 was £993,000, representing 54.51 per cent. of net funds raised.
VENTURE CAPITAL INVESTMENTS
During the quarter to 31 May 2012, the Company invested £175,000 and £75,000 on behalf of the Ordinary and C Share Funds, respectively in Participate Sport Limited. Participate, now renamed Human Race Group Limited, is the UK's largest and most diversified provider of mass participation sports events and delivers over 55 events to over 100,000 participants of all ages and abilities. As agreed at the time of the original investment, a further £125,000 and £75,000 will be invested as loan stock shortly on behalf of the Ordinary and C Share Funds, respectively. A full provision was made against the investment in Heritage House after the company was placed into administration following a decision by the Clydesdale bank to withdraw the company's overdraft facility.
The Venture Capital Investments at 31 May 2012 are shown below.
Ordinary Share Fund Sector Cost Valuation % of total
portfolio Terrain Energy Limited Energy Ordinary equity £100,000 £113,000 7.6% Loan stock £200,000 £200,000 Total £300,000 £313,000 Lime Technology Limited Low carbon building material Ordinary equity £57,386 £29,660 6.79% Loan stock £250,000 £250,000 Total £307,386 £279,660 MicroEnergy Generation Alternative Services Limited energy Ordinary equity £150,000 £150,000 7.28% Loan stock £150,000 £150,000 Total £300,000 £300,000 Heritage House Media Digital Media Limited Ordinary equity £22,065 £0 0.00% Loan stock £76,827 £0 Deferred shares £26,196 £0 Total £125,088 £0 Participate Sport Sports Limited Ordinary equity £100,000 £100,000 Loan stock £75,000 £75,000 Total £175,000 £175,000 4.25% Secure Electrans Limited Ordinary equity £100,000 £100,000 Total £100,000 £100,000 2.43% Viscount Safe Custody Safe Services Limited depository services Ordinary equity £90,000 £90,000 Loan stock £100,000 £100,000 Total £190,000 £190,000 4.61% C Share Fund Sector Cost Valuation % of total portfolio Terrain Energy Limited Energy Ordinary equity £45,000 £47,460 5.9% Loan stock £45,000 £45,000 Total £90,000 £92,460 Heritage House Media Digital Limited media Ordinary equity £11,033 £0 0.00% Loan stock £38,413 £0 Deferred shares £13,098 £0 Total £62,544 £0 Participate Sport Sports Limited Ordinary equity £50,000 £50,000 Loan stock £25,000 £25,000 Total £75,000 £75,000 4.77% Secure Electrans Limited Ordinary equity £50,000 £50,000 Total £50,000 £50,000 3.18% Viscount Safe Custody Safe Services Limited depository services Ordinary equity £40,000 £40,000 Loan stock £50,000 £50,000 Total £90,000 £90,000 5.73% Events after the period end
Since 31 May 2012, the Company has made no further Venture Capital Investments.
For further information, please contact:
Gary Dale (Investec Structured Products) 020 7597 4065
John Glencross (Calculus Capital Limited) 020 7493 4940
XLON