Calculus Vct Regulatory News (CLC)

INVESTEC STRUCTURED PRODUCTS CALCULUS VCT PLC INTERIM MANAGEMENT STATEMENT 1 July 2014 Investec Structured Products Calculus VCT plc ("the Company") announces itsInterim Management Statement for the period from 1 March 2014 to 31 May 2014.This Statement also includes relevant financial information between the end ofthe period to the date of this Statement. The Company is a tax efficient listed company which aims to achieve a regulartax free dividend stream together with capital growth for private investors.The Company brings together Investec Structured Product's award winningexpertise in Structured Products and Calculus Capital's award winning expertisein venture capital. HEADLINES * The unaudited net asset value ("NAV") per ordinary share as at 31 May 2014 was 95.59 pence. Taking into account dividends paid to date, the year to date total return at the period end was 111.34 pence. * The unaudited NAV per C share as at 31 May 2014 was 93.52 pence. Taking into account dividends paid to date, the year to date total return at the period end was 102.52 pence. * At the Annual General Meeting held on 1 July 2014, 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 24 July 2014. The total returns are stated before the inclusion of VCT tax reliefs which areintended to mitigate the higher risk of investing in smaller companies and theconstraints imposed by VCT legislation. The income tax reliefs applicable atthe time of subscription were 30 per cent. VCT dividends are tax free. INVESTMENT IN STRUCTURED PRODUCTS In line with the Company's strategy set out in the original offer documents,part of the initial cash raised has been used to build a portfolio ofStructured Products. The portfolio of Structured Products was constructed withdifferent issuers and differing maturity periods to minimise risk and create adiversified portfolio. The majority of this portfolio has now reached full termand paid a positive return, with all products which have reached full termpaying their maximum return. The recent changes are listed below. There have been no significant changes to either the Ordinary or C Shareportfolios in the past few months. The next maturity in the Ordinary shareportfolio is May 2015. There is now one product in the C share portfolio left which is due to maturein 2017; the strike of this is 5,246.99. The continued strong performance of the FTSE 100 has supported valuations inthe Structured Products portfolio. The FTSE 100 has remained far above all ofthe product's strike levels. As at 31 May 2014, the FTSE 100 was 6,844.51. Overthe past three months, swap rates have increased slightly and volatility hasremained low, mainly due to improvements in the UK economy as a whole. No new investments were made in Structured Products during the period. The Structured Products will achieve their target return subject to the FinalIndex Level of the FTSE 100 being higher than the Initial Index Level. Thecapital is at risk on a one-for-one basis ("CAR") if the FTSE 100 Index fallsmore than 50 per cent any time during the investment term and fails to fullyrecover at maturity such that the Final Index Level is below the Initial IndexLevel. As at 31 May 2014, the following investments had been made in StructuredProducts: Ordinary Share Fund: Issuer Strike FTSE 100 Notional Purchase Price Maturity Return/ Date Initial Investment Price as at Date/ Capital at Index 31 May Date Risk (CAR) Level 2014 Sold The 05/05/ 5,341.93 £275,000 £0.96 £1.5827 12/05/ 162.5% ifRoyal 2010 2015 FTSE 100Bank of higher*;Scotland CAR if FTSEplc 100 falls more than 50% Investec 14/05/ 5,262.85 £500,000 £0.98 £1.7418 19/11/ 185% ifBank plc 2010 2015 FTSE 100 higher*; CAR if FTSE 100 falls more than 50% Abbey 25/05/ 4,940.68 £350,000 £0.99 £1.7670 18/11/ 185% ifNational 2010 2015 FTSE 100Treasury higher*;Services CAR if FTSE 100 falls more than 50% Matured/sold HSBC Bank 01/07/ 4,805.75 £500,000 £1.00 Returned 06/07/ 125.1% ifplc 2010 £1.2510 2012 FTSE 100 higher*; CAR if FTSE 100 falls more than 50% The Royal 18/03/ 5,718.13 £50,000 £1.00 Returned 19/03/ AutocallableBank of 2011 £1.1050 2012 10.5% p.a.;Scotland CAR if FTSEplc 100 falls more than 50% Nomura 28/05/ 5,188.43 £350,000 £0.98 Sold at 30/03/ 137% if FTSEBank 2010 £1.2625 2012 100 higher*;International CAR if FTSE 100 falls more than 50% Morgan 10/06/ 5,132.50 £500,000 £1.00 Sold at 31/10/ 134% if FTSEStanley 2010 £1.3224 2012 100 higher*;International CAR if FTSE 100 falls more than 50% Abbey 03/08/ 5,584.51 £50,000 £1.00 Sold at 21/06/ 126% if FTSENational 2011 £1.1900 2013 100 higher*;Treasury CAR if FTSE 100Services falls more than 50% C Share Fund: Issuer Strike FTSE 100 Notional Purchase Price Maturity Return/ Date Initial Investment Price as at Date/ Capital at Index 31 May Date Risk (CAR) Level 2014 Sold Investec 05/08/ 5,246.99 £328,000 £1.00 £1.5710 10/03/ 182% ifBank plc 2011 2017 FTSE 100 higher*; CAR if FTSE 100 falls more than 50% Matured The Royal 18/03 5,718.13 £200,000 £1.00 Returned 19/03/ AutocallableBank of /2011 £1.1050 2012 10.5% p.a.;Scotland plc CAR if FTSE 100 falls more than 50% Nomura Bank 28/05 5,188.43 £350,000 £1.2625 Returned 20/02/ 137% if FTSEInternational /2010 £1.3700 2013 100 higher*;** CAR if FTSE 100 falls more than 50% Abbey 03/08 5,584.51 £200,000 £1.00 Returned 05/02/ 126% if FTSENational /2011 £1.2600 2014 100 higher*;Treasury CAR if FTSE 100Services falls more than 50% * The Final Index Level is calculated using `averaging', meaning that theaverage of the closing levels of the FTSE 100 is taken on each Business Dayover the last 2-6 months of the Structured Product plan term (the length of theaveraging period differs for each plan). The use of averaging to calculate thereturn can reduce adverse effects of a falling market or sudden market fallsshortly before maturity. Equally, it can reduce the benefits of an increasingmarket or sudden market rises shortly before maturity. ** The Nomura Structured Product was sold prior to maturity with a return oninitial investment of 28.8 per cent. This was sold to the C Share Fund. The total valuation of the amount invested in Structured Products in theOrdinary Share Fund as at 31 May 2014 was £1,924,603. The total valuation of the amount invested in Structured Products in the CShare Fund as at 31 May 2014 was £515,286. VENTURE CAPITAL INVESTMENTS Calculus Capital manages the portfolio of VCT Qualifying Investments made bythe Company. No new Venture Capital Investments were made during the period. The Company continues to meet its requirement for the combined Ordinary and Cshare portfolios to be at least 70 per cent. invested in QualifyingInvestments. The Venture Capital Investments at 31 May 2014 are shown below. ORDINARY SHARE FUND Sector Cost Valuation % of total portfolio Terrain Energy Limited Energy Ordinary equity £100,000 £164,060 Total £100,000 £164,060 3.68% Lime Technology Limited Low carbon buildingOrdinary equity material £57,386 £7,684 Loan stock £250,000 £250,000 Total £307,386 £257,684 5.78% MicroEnergy Generation AlternativeServices Limited energy Ordinary equity £150,000 £138,000 Total £150,000 £138,000 3.10% Heritage House Media DigitalLimited Media Ordinary equity £22,065 £0 Loan stock £76,827 £0 Deferred shares £26,196 £0 Total £125,088 £0 0.00% Human Race Group SportsLimited Ordinary equity £100,000 £86,793 Loan stock £200,000 £200,000 Total £300,000 £286,793 6.44% Secure Electrans E-commerceLimited security Ordinary equity £100,000 £0 Loan stock £12,000 £12,000 Total £112,000 £12,000 0.27% Metropolitan Safe SafeCustody Services depositoryLimited services Ordinary equity £90,000 £129,609 Loan stock £100,000 £100,000 Total £190,000 £229,609 5.16% Brigantes Energy EnergyLimited Ordinary equity £125,000 £320,000 Total £125,000 £320,000 7.19% Corfe Energy Limited Energy Ordinary equity £75,000 £137,250 Total £75,000 £137,250 3.08% Dryden Human Capital HumanGroup Limited Resources Ordinary equity £100,035 £14,005 Total £100,035 £14,005 0.31% AnTech Limited Oil servicesOrdinary equity £120,000 £105,155 Loan stock £150,000 £150,000 Total £270,000 £255,155 5.73% Hampshire Cosmetics CosmeticsLimited Ordinary equity £100,000 £126,718 Loan stock £150,000 £150,000 Total £250,000 £276,718 6.22% Tollan Energy Limited Energy Ordinary equity £150,000 £150,000 Loan stock £210,000 £210,000 Total £360,000 £360,000 8.09% Venn Life Sciences ClinicalHoldings plc research Ordinary equity £120,033 £76,019 Total £120,033 £76,019 1.71% C SHARE FUND Sector Cost Valuation % of total portfolio Terrain Energy Limited Energy Ordinary equity £49,999 £76,164 Loan stock £45,000 £45,000 Total £94,999 £121,164 7.14% Heritage House Media DigitalLimited media Ordinary equity £11,033 £0 Loan stock £38,413 £0 Deferred shares £13,098 £0 Total £62,544 £0 0.00% Human Race Group Limited Sports Ordinary equity £50,000 £43,396 Loan stock £100,000 £100,000 Total £150,000 £150,000 8.45% Secure Electrans Limited E-commerce securityOrdinary equity £50,000 £0 Loan stock £25,000 £25,000 Total £75,000 £25,000 1.47% Metropolitan Safe SafeCustody Services Limited depository servicesOrdinary equity £40,000 £57,604 Loan stock £50,000 £50,000 Total £90,000 £107,604 6.34% Horizon Discovery BiotechnologyLimited Ordinary equity £50,022 £93,415 Total £50,022 £93,415 5.50% Pico's Limited Leisure Ordinary equity £50,013 £64,367 Total £50,013 £64,367 3.79% Venn Life Sciences ClinicalHoldings plc research Ordinary equity £80,000 £50,667 Total £80,000 £50,667 2.98% Quai Administration BusinessServices Limited Services Ordinary equity £150,158 £150,158 Total £150,158 £150,158 8.85% Scancell Holdings Plc Biotech Ordinary equity £100,038 £146,700 Total £100,038 £146,700 8.64% The One Place Capital TechnologyLimited (MoneyDashboard) Ordinary equity £127,000 £127,000 Total £127,000 £127,000 7.48% Hampshire Cosmetics CosmeticsLimited Ordinary equity £50,000 £51,553 Loan stock £100,000 £100,000 Total £150,000 £151,553 8.93% Events after the period end Since the period end, Tollan Energy has redeemed £210,000 of its loan stockfrom the Ordinary shares portfolio. The proceeds will be used towards payingthe dividend in July. Other than as described in the paragraphs above the Board is not aware of anyevents during the period from 31 May 2014 to the date of this Statement whichwould have a material impact on the financial position of the Company. For further information, please contact: Gary Dale (Investec Structured Products) 020 7597 4065

John Glencross (Calculus Capital Limited) 020 7493 4940