Calculus Vct Regulatory News (CLC)

INVESTEC STRUCTURED PRODUCTS CALCULUS VCT PLC INTERIM MANAGEMENT STATEMENT 19 July 2013 Investec Structured Products Calculus VCT plc ("the Company") announces itsInterim Management Statement for the period from 1 March 2013 to 30 June 2013.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 30 June 2013 was 98.53 pence. Taking into account dividends paid to date, the year to date total return at the period end was 109.03 pence. * The unaudited NAV per C share as at 30 June 2013 was 92.46 pence. Taking into account dividends paid to date, the year to date total return at the period end was 96.96 pence. * At the Annual General Meeting held on 2 July 2013, 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 2013. 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, alarge percentage of the initial cash raised has been used to build a portfolioof Structured Products. The portfolio of Structured Products was constructedwith different issuers and differing maturity periods to minimise risk andcreate a diversified portfolio. The portfolio of Structured Products is now beginning to reach full term formany of the products, and the portfolio as a whole is performing well. Part ofthe portfolio has matured and several of the investments have now reached fullterm, including the HSBC investment and the RBS Autocallable, paying a 25.1 percent. and 10.5 per cent. return respectively. We sold the Morgan Stanleyproduct on 31 October 2012, at a price of 132.24 per cent., which resulted in apositive return of £161,200 on the original £500,000 investment. The smallAbbey Structured Product holding in the ordinary share portfolio was sold on 21June 2013 at 119 per cent, resulting in a return of £9,500 on the original£50,000 investment. Both these products were sold early to release cash flow topurchase Qualifying Investments and pay expenses. The strong performance of the FTSE 100 has supported valuations in theStructured Products portfolio, and the FTSE 100 has increased to sitcomfortably above all of the product's strike levels. As at 28 June 2013 theFTSE 100 was 6,215.47. Over the past three months, swap rates have increasedvery slightly along with market volatility though still low when looking atmid-term highs. Values of the Structured Product portfolio look strong with thehighest strike value at 5,341.93 in the ordinary share portfolio and 5,584.51in the C share portfolio. 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 30 June 2013, the following investments had been made inStructured Products: Ordinary Share Fund: Issuer Strike FTSE 100 Notional Purchase Valuation Maturity Return/ Date Initial Investment Price as at 30 Date/ Capital at Index June 2013 Date Sold Risk (CAR) Level The Royal 05/05/ 5,341.93 £275,000 £0.96 £1.4004 12/05/2015 162.5% if FTSEBank of 2010 100 higher*;Scotland CAR if FTSEplc 100 falls more than 50% Investec 14/05/ 5,262.85 £500,000 £0.98 £1.4734 19/11/2015 185% if FTSEBank plc 2010 100 higher*; CAR if FTSE 100 falls more than 50% Abbey 25/05/ 4,940.68 £350,000 £0.99 £1.5789 18/11/2015 185% if FTSENational 2010 100 higher*;Treasury CAR if FTSEServices 100 falls more than 50% Matured/sold HSBC Bank 01/07/ 4,805.75 £500,000 £1.00 Returned 06/07/2012 125.1% if FTSEplc 2010 £1.2510 100 higher*; CAR if FTSE 100 falls more than 50% The Royal 18/03/ 5,718.13 £50,000 £1.00 Returned 19/03/2012 AutocallableBank of 2011 £1.1050 10.5% p.a.;Scotland CAR if FTSEplc 100 falls more than 50% Nomura Bank 28/05/ 5,188.43 £350,000 £0.98 Sold at 30/03/2012 137% if FTSEInternational 2010 £1.2625 100 higher*; CAR if FTSE 100 falls more than 50% Morgan 10/06/ 5,132.50 £500,000 £1.00 Sold at 31/10/2012 134% if FTSEStanley 2010 £1.3224 100 higher*;International CAR if FTSE 100 falls more than 50% Abbey 03/08/ 5,584.51 £50,000 £1.00 Sold at 21/06/2013 126% if FTSENational 2011 £1.1900 100 higher*;Treasury CAR if fallsServices more than 50% C Share Fund: Issuer Strike FTSE 100 Notional Purchase Valuation Maturity Return/ Date Initial Investment Price as at 30 Date/ Capital at Index June 2013 Date Risk (CAR) Level Sold Investec 05/08/ 5,246.99 £328,000 £1.00 £1.3620 10/03/2017 182% if FTSEBank plc 2011 100 higher*; CAR if FTSE 100 falls more than 50% Abbey 03/08/ 5,584.51 £200,000 £1.00 £1.1985 05/02/2014 126% if FTSENational 2011 100 higher*;Treasury CAR if FTSE 100Services falls more than 50% Matured The Royal 18/03/ 5,718.13 £200,000 £1.00 Returned 19/03/2012 AutocallableBank of 2011 £1.1050 10.5% p.a.;Scotland CAR if FTSEplc 100 falls more than 50% Nomura Bank 28/05/ 5,188.43 £350,000 £1.2625 Returned 20/02/2013 137% if FTSEInternational 2010 £1.3700 100 higher*; CAR if FTSE 100 falls more than 50% * The Final Index Level is calculated using 'averaging', meaning that theaverage of the closinglevels of the FTSE 100 is taken on each Business Day over the last 2-6 months of the StructuredProduct plan term (the length of theaveraging period differs for each plan). The use of averagingto 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 suddenmarket rises shortly before maturity. The total valuation of the amount invested in Structured Products in the Ordinary Share Fund asat 30 June 2013 was £1,674,421. The total valuation of the amount invested in Structured Products in the CShare Fund as at30 June 2013 was £686,423. VENTURE CAPITAL INVESTMENTS A £50,000 investment was made in Benito's Hat, a Mexican-themed fast casual restaurant businesswith four sites in central London. The investment has been made on behalf of the C Share Fund.This investment will fund the roll-out of restaurant openings to reach new customers acrossLondon and the UK. The Company also made a £50,000 investment in Horizon Discovery Limited on behalf of the C ShareFund. Cambridge-based Horizon is a translational genomics company developing and supplyingpatient-relevant drug discovery and diagnostic research tools. Horizon has developed GENESIS™,a proprietary genome-editing platform, as well as a range of Genomic Reference Standards('Reagents') which are standardised synthetic DNA extractions from tumour biopsies. It is in theprocess of developing genomic cell-based testing kits ('Cell Line Kits'), which can be used byclients to perform medical testing on certain genomic cell lines. During the period, the Company made a follow-on investment in secure payments company, SecureElectrans Limited, through long-term loan stock. £12,000 was invested on behalf of the OrdinaryShare Fund and £25,000 on behalf of the C Share Fund. In April, Terrain Energy Limited redeemed £12,000 of its loan stock. The Venture Capital Investments at 30 June 2013 are shown below. ORDINARY SHARE FUND Sector Cost Valuation % of total portfolio Terrain Energy Limited Energy Ordinary equity £100,000 £113,000 Loan stock £188,000 £188,000 Total £288,000 £301,000 6.53% Lime Technology Limited Low carbon building materialOrdinary equity £57,386 £7,684 Loan stock £250,000 £250,000 Total £307,386 £257,684 5.59% MicroEnergy Generation AlternativeServices Limited energy Ordinary equity £150,000 £150,000 Loan stock £150,000 £150,000 Total £300,000 £300,000 6.51% 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 Limited Sports Ordinary equity £100,000 £100,000 Loan stock £200,000 £200,000 Total £300,000 £300,000 6.51% Secure Electrans Limited E-commerce securityOrdinary equity £100,000 £100,000 Loan stock £12,000 £12,000 Total £112,000 £112,000 2.43% Metropolitan Safe Safe depositaryCustody Services Limited services Ordinary equity £90,000 £102,548 Loan stock £100,000 £100,000 Total £190,000 £202,548 4.40% Brigantes Energy Limited Energy Ordinary equity £125,000 £139,750 Total £125,000 £139,750 3.03% Corfe Energy Limited Energy Ordinary equity £75,000 £96,300 Total £75,000 £96,300 2.09% Dryden Human Capital HumanGroup Limited Resources Ordinary equity £100,035 £229,414 Total £100,035 £229,414 4.98% AnTech Limited Oil servicesOrdinary equity £120,000 £120,000 Loan stock £150,000 £150,000 Total £270,000 £270,000 5.86% Hampshire Cosmetics CosmeticsLimited Ordinary equity £100,000 £100,000 Loan stock £150,000 £150,000 Total £250,000 £250,000 5.43% Tollan Energy Limited Energy Ordinary equity £150,000 £150,000 Loan stock £210,000 £210,000 Total £360,000 £360,000 7.81% Venn Life Sciences ClinicalHoldings plc research Ordinary equity £120,033 £112,028 Total £120,033 £112,028 2.43% C SHARE FUND Sector Cost Valuation % of total portfolio Terrain Energy Limited Energy Ordinary equity £45,000 £47,460 Loan stock £45,000 £45,000 Total £90,000 £92,460 6.71% 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 £50,000 Loan stock £100,000 £100,000 Total £150,000 £150,000 10.89% Secure Electrans Limited E-commerce securityOrdinary equity £50,000 £50,000 Loan stock £25,000 £25,000 Total £75,000 £75,000 5.45% Metropolitan Safe SafeCustody Services Limited depositary servicesOrdinary equity £40,000 £45,577 Loan stock £50,000 £50,000 Total £90,000 £95,577 6.94% Horizon Discovery BiotechnologyLimited Ordinary equity £50,000 £50,000 Total £50,000 £50,000 3.63% Benito's Hat (Pico's LeisureLimited) Ordinary equity £50,004 £50,004 Total £50,004 £50,004 3.63% Venn Life Sciences ClinicalHoldings plc research Ordinary equity £80,000 £74,667 Total £80,000 £74,667 5.42% Events after the period end Other than as described in the paragraphs above the Board is not aware of anyevents during the period from 30 June 2013 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