Last checked at 
17 Jan 2012 12:26
Investec Structured Products Calculus VCT plc
Interim Management Statement 17 January 2012
Investec Structured Products Calculus VCT plc ("the Company") announces its Interim Management Statement for the period from 1 September 2011 to 30 November 2011. 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 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 total number of ordinary and C shares in issue at 30 November
2011 was 4,738,463 and 1,931,095 respectively. The total number of the voting
rights in the Company was 6,669,558. · The unaudited net asset value ("NAV") per ordinary share as at 30
November 2011 was 93.66 pence. Taking in to account dividends paid to date, the
year to date total return at the period end was (3.12) per cent.
· The unaudited NAV per C share as at 30 November 2011 was 92.93 pence.
No dividends have been paid to date to the holders of C shares.
Since 30 November 2011 the unaudited NAV per ordinary share (including currentperiod revenue) has risen to 95.11 pence as at 31 December 2011. The unauditedNAV per C share (including current period revenue) has risen to 93.38 pence.
Investment in Structured Products
As at 30 November 2011, the following investments had been made in StructuredProducts. The Structured Products will achieve their target return subject tothe 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 Indexfalls more than 50 per cent. any time during the investment term and fails tofully recover at maturity such that the Final Index Level is below the InitialIndex Level.
At 10 January 2012 the FTSE 100 was 5696.70. Since the Half Year, the FTSE 100 has climbed and now sits above many of the products' strike levels. As a consequence of this, the values of these Structured Products have increased considerably and the value of the portfolio has increased in line.
Over the past three months the volatility has dropped off, which has negativelyaffected valuations. 5 year swap rates have also decreased, which has also hada negative impact on the valuations of the Structured Products' portfolio. Thestrong performance on the FTSE 100 has, however, had the largest impact on thecurrent value of the portfolio, increasing its value over the last quarter.Ordinary Share Fund: FTSE 100 % of Initial Investable Strike Index Notional Purchase Maturity
Return/ Capital at Application Issuer Date Level Investment Price Date Risk (CAR) Money Royal Bank of 05/05/2010 5,341.93 £275,000 £0.96 12/05/2015 162.5% if FTSE 100 5.83% Scotland plc higher*; CAR if FTSE 100 falls more than 50% Investec Bank 14/05/2010 5,262.85 £500,000 £0.98 19/11/2015 185% if FTSE 100 10.81% plc higher*; CAR if FTSE 100 falls more than 50% Abbey National 25/05/2010 4,940.68 £350,000 £0.99 18/11/2015 185% if FTSE 100 7.65% Treasury higher*; CAR if FTSE Services plc 100 falls more than 50% Nomura Bank 28/05/2010 5,188.43 £350,000 £0.98 20/02/2013 137% if FTSE 100 7.58% International higher*; CAR if FTSE 100 falls more than 50% Morgan Stanley 10/06/2010 5,132.50 £500,000 £1.00 17/12/2012 134% if FTSE 100 11.04% higher*; CAR if FTSE 100 falls more than 50% HSBC Bank plc 01/07/2010 4,805.75 £500,000 £1.00 06/07/2012 125.1% if FTSE 100 11.04% higher*; CAR if FTSE 100 falls more than 50% The Royal Bank 18/03/2011 5,718.13 £50,000 £1.00 20/03/2017 Autocallable 10.5% 1.10% of Scotland p.a.; CAR if FTSE 100 plc falls more than 50% Abbey National 03/08/2011 5,584.51 £50,000 £1.00 05/02/2014 126% if FTSE 100* 1.10% Treasury higher; CAR if falls Services more than 50% C Share Fund: FTSE 100 % of Initial Investable Strike Index Notional Purchase Maturity Return/ Capital at Application Issuer Date Level Investment Price Date Risk (CAR) Money Investec Bank 05/08/2011 5,246.99 £450,000 £1.00 10/03/2017 182% if FTSE 100* 24.70%plc higher; CAR if FTSE 100 falls more than 50% The Royal Bank 18/03/2011 5,718.13 £200,000 £1.00 20/03/2017 Autocallable 10.5% 10.98%of Scotland p.a.; CAR if FTSE plc 100 falls more than 50% Abbey National 03/08/2011 5,584.51 £200,000 £1.00 05/02/2014 126% if FTSE 100* 10.98%Treasury higher; CAR if falls Services 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 total amount invested in Structured Products in the Ordinary Share Fund asat 30 November 2011 was £2,542,980, representing 56.16 per cent. of net fundsraised.
The total amount invested in Structured Products in the C Share Fund as at 30 November 2011 was £850,000, representing 46.66 per cent. of net funds raised.
Venture Capital Investments
The Venture Capital Investments at 30 November 2011 are shown below.
Ordinary Share Fund Sector Cost Valuation % of total portfolio Terrain Energy Limited Ordinary equity £100,000 £107,141 Energy Loan stock £200,000 £200,000 7.1% Total £300,000 £307,141 Lime Technology Limited Ordinary equity Low carbon £57,386 £9,605 building Loan stock material £250,000 £250,000 6.0% Total £307,386 £259,605 MicroEnergy Generation Services Limited Alternative Ordinary equity energy £150,000 £150,000 Loan stock £150,000 £150,000 7.0% Total £300,000 £300,000 Heritage House Media Limited Ordinary equity Digital £13,333 £13,333 Media Loan stock £111,754 £111,754 2.9% Total £125,087 £125,087 Investec SPV Limited Holding Ordinary equity company £1,834 £1,834 0.04% Total £1,834 £1,834 C Share Fund % of total Sector Cost Valuation portfolio Terrain Energy Limited Ordinary equity £45,000 £45,000 Energy Loan stock £45,000 £45,000 5.3% Total £90,000 £90,000 Heritage House Media Limited Ordinary equity Digital £6,667 £6,667 media Loan stock £55,877 £55,877 3.7% Total £62,544 £62,544 Investec SPV Limited Holding Ordinary equity company £917 £917 0.05% Total £917 £917
Investment during the period
During the three months ended 30 November 2011, the Company invested £3,072 inconverting warrants in Lime Technology Limited to 1,880 shares on behalf of
theOrdinary Share Fund.
The Company also invested £13,333 and £6,667 in equity in Heritage House MediaLimited and £111,754 and £55,877 loan stock on behalf of the Ordinary ShareFund and C Share Fund respectively during the period. Heritage House providesservices to the domestic and inbound tourism industry with particular emphasison the heritage sector. Key brands are Hudson's, Visit Britain and OpenBritain.
The Company also invested £1,834 and £917 on behalf of the Ordinary Share Fund and C Share Fund respectively to acquire 100% of the shares in Investec SPV Limited. Investec SPV Limited owns shares and securities in Heritage House Group which were purchased from Foresight 2 VCT plc and Foresight 3 VCT plc.
Performance of Qualifying Investments portfolio during the period
This quarter saw a significant fall in values across the quoted markets whichhas inevitably impacted portfolio valuations. However your Company's QualifyingInvestments portfolio valuation has stood up well comparatively. Events after the period end
Since 30 November 2011, 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
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