Last checked at 22 Feb 2012 17:30
Harewood Structured Investment PCC Limited
Annual Financial Report for the
year ended 31 October 2011
Harewood Structured Investment PCC Limited (the "Company")
CONTENTS
About the Company
| 3 - 10 |
Investment Objective and Policy
| 11 - 21 |
Net Asset Values
| 22 |
Management Report
| 23 - 24 |
Report of the Directors
| 25 - 33 |
Investment Manager's Report
| 34 - 49 |
Independent Auditors' Report
| 50 - 51 |
Statement of Comprehensive Income
| 52 |
Statement of Financial Position
| 53 |
Statement of Changes in Net Assets Attributable to Holders of Preference Shares
| 54 |
Statement of Cash Flows
| 55 |
Notes to the Financial Statements
| 56 - 78 |
Schedule of Investments
| 79 - 82
|
Directors and Service Providers
| 83 |
Shareholder Information | 84 |
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY
Harewood Structured Investment PCC Limited, a closed-ended protected cell investment company, was incorporated with limited liability in Guernsey on 27 January 2005 when two Ordinary Shares were issued for administrative purposes.
The Company commenced business on 18 March 2005 when 8,500,255 Enhanced Global Asset Allocation Preference Shares ("EGAA Shares") of the Enhanced Global Asset Allocation cell were allotted and issued at an issue price of £1 each. On 6 July 2006 a further 5,000,000 EGAA Shares were allotted and issued at an issue price of 127.13 pence each. The EGAA Shares had a defined investment life to 24 March 2011 whereupon they were compulsorily redeemed.
On 28 June 2005, 12,501,195 BNP Paribas FTSE Summit Preference Shares ("FSM Shares") of the BNP Paribas FTSE Summit cell were allotted and issued at an issue price of £1 each. On 6 July 2006 a further 8,000,000 FSM Shares were allotted and issued at an issue price of 121.84 pence each. On 14 March 2007 a further 20,000,000 FSM Shares were allotted and issued at an issue price of 129.25 pence each. The FSM Shares had a defined investment life to 4 July 2011 whereupon they were compulsorily redeemed.
On 7 December 2005, 46,613,549 BNP Paribas UK High Income Preference Shares ("UKHI Shares") of the BNP Paribas UK High Income cell were allotted and issued at an issue price of £1 each. On 26 May 2006 a further 30,000,000 UKHI Shares were allotted and issued at an issue price of 102.47 pence each and on 28 September 2006 a further 50,000,000 shares were allotted and issued at an issue price of 104.00 pence each and on 4 June 2007 a further 15,000,000 UKHI Shares were allotted and issued at an issue price of 109.60 pence each. The UKHI Shares had a defined investment life to 8 December 2011 whereupon they were compulsorily redeemed.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
On 22 March 2006, 27,506,140 BNP Paribas Energy - Base Metals (2) Preference Shares ("EBM2 Shares") of the BNP Paribas Energy - Base Metals (2) cell were allotted and issued at an issue price of £1 each. On 6 July 2006 a further 5,000,000 EBM2 Shares were allotted and issued at an issue price of 110.44 pence each. The EMB2 Shares have a defined investment life to 28 March 2012 whereupon they will be subject to compulsory redemption.
On 20 April 2006, 25,000,000 BNP Paribas European Shield Preference Shares ("ES Shares") of the BNP Paribas European Shield cell were allotted and issued at an issue price of £1 each. The ES Shares have a defined investment life to 3 May 2012 whereupon they will be subject to compulsory redemption.
On 19 July 2006, 61,748,923 BNP Paribas Absolute Progression Preference Shares ("BAP Shares") of the BNP Paribas Absolute Progression cell were allotted and issued at an issue price of £1 each. On 23 January 2007 a further 15,000,000 BAP Shares were allotted and issued at an issue price of 108.484 pence each. The BAP Shares have a defined investment life to 26 July 2012 whereupon they will be subject to compulsory redemption.
On 25 October 2006, 77,469,987 Class A Sterling Hedged US High Income Preference Shares ("Class A USHI Shares") of the US High Income cell were allotted and issued at an issue price of £1 each. On 4 June 2007 a further 15,000,000 Class A USHI Shares were allotted and issued at an issue price of 105.65 pence each. The Class A USHI Shares have a defined investment life to 26 November 2012 whereupon they will be subject to compulsory redemption.
On 25 October 2006, 43,337,229 Class B Unhedged US High Income Preference Shares ("Class B USHI Shares") of the US High Income cell were allotted and issued at an issue price of $1 each. On 4 June 2007 a further 15,000,000 Class B USHI Shares were allotted and issued at an issue price of 105.89 cents each. The Class B USHI Shares have a defined investment life to 26 November 2012 whereupon they will be subject to compulsory redemption.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
On 21 June 2007, 37,225,896 BNP Paribas Agrinvest Preference Shares ("Agrinvest Shares") of the BNP Paribas Agrinvest cell were allotted and issued at an issue price of£1 each. The Agrinvest Shares have a defined investment life to 29 June 2013 whereupon they will be subject to compulsory redemption.
On 12 March 2008, 30,125,000 Enhanced Property Recovery Preference Shares (the "EPR Shares") of the Enhanced Property Recovery cell were allotted and issued at an issue price of £1 each. The EPR Shares have a defined investment life to 20 March 2014 whereupon they will be subject to compulsory redemption.
On 4 June 2008, 34,587,600 Energy - Base Metals (3) Preference Shares ("EBMC Shares") of the Energy - Base Metals (3) cell were allotted and issued at an issue price of £1.00 each. On 5 September 2008 a further 15,000,000 EBMC Shares were allotted and issued at an issue price of 100.03 pence each. The EBMC Shares have a defined investment life to 12 June 2014 whereupon they will be subject to compulsory redemption.
On 10 July 2008, 72,500 BNP Paribas Agribusiness Preference Shares ("AGRI Shares") of the BNP Paribas Agribusiness cell were allotted and issued at an issue price of HUF 10,000 each. The AGRI Shares had a defined investment life to 11 February 2011 whereupon they were compulsorily redeemed.
On 18 March 2009, 24,999,346 Class A Sterling Hedged Enhanced Income Preference Shares ("Class A EIF Shares") of the Enhanced Income cell were allotted and issued at an issue price of £1 each. On 8 October 2009 a further 15,000,000 Class A EIF Shares were allotted and issued at an issue price of 117.86 pence each. The Class A EIF Shares have a defined investment life to 19 March 2108 whereupon they will be subject to compulsory redemption on circa 10 May 2108. *
\* The maturity date of the Class A EIF Shares will be the twenty-fourth business day following the relevant record date. As the business days in 2108 cannot yet be accurately determined, an approximate date is disclosed.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
On 29 May 2009, 25,526,009 Class A Sterling Hedged COMAC Preference Shares ("COM Shares") of the BNP Paribas COMAC cell were allotted and issued at an issue price of £1 each. The COM Shares have a defined investment life to 1 June 2029 whereupon they will be subject to compulsory redemption on the fifth business day following 1 June 2029.
On 15 July 2009, 48,500,080 Class A Sterling Hedged US Enhanced Income Preference Shares ("Class A USEI Shares") of the US Enhanced Income cell were allotted and issued at an issue price of £1 each. The Class A USEI Shares have a defined investment life to 16 July 2029 whereupon they will be subject to compulsory redemption on circa *1 September 2029.
On 14 July 2009, 25,079,125 Class B Unhedged US Enhanced Income Preference Shares ("Class B USEI Shares") of the US Enhanced Income cell were allotted and issued at an issue price of $1 each. On 8 October 2009 a further 20,000,000 Class B USEI Shares were allotted and issued at an issue price of 109.64 cents each. The Class B USEI Shares have a defined investment life to 16 July 2029 whereupon they will be subject to compulsory redemption on circa *1 September 2029.
\* The maturity date of the Class A USEI Shares and Class B USEI Shares will be the twenty-fourth business day following the relevant record date. As the business days in 2029 cannot yet be accurately determined, an approximate date is disclosed.
On 23 September 2009, 49,015,722 UK Enhanced Income Preference Shares ("UKEI Shares") of the UK Enhanced Income cell were allotted and issued at an issue price of £1 each. The UKEI Shares have a defined investment life to 24 September 2029 whereupon they will be subject to compulsory redemption on circa 8 November 2029.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
The Company has an unlimited life but the shares of each cell have a defined investment term as set out above. Holders of the Ordinary Shares have the right to receive notice of and to vote at all meetings of shareholders.
Other than the two Ordinary Shares all other shares in issue are listed on the Channel Islands Stock Exchange. The AGRI Shares were until 10 January 2011 listed on the Budapest Stock Exchange. The two Ordinary Shares are not listed.
The Company is managed by its Board of directors who have appointed THEAM of Paris, France as the Company's external investment manager of all cells other than BNP Paribas Agribusiness. Administrative and secretarial support is provided by Anson Fund Managers Limited in Guernsey. BNP Paribas SA acts as Distributor and Investment Counterparty to all the cells.
Directors and Principal Advisors
John Le Prevost - Director
John Le Prevost is British and resident in Guernsey. He is a director and controlling shareholder of Anson Group Limited, the holding company of Anson Fund Managers Limited, the Company's Administrator and Secretary, and of Anson Registrars Limited, the Company's registrar, paying agent and receiving agent. Mr Le Prevost has over thirty years experience in investment and offshore trusts during which time he was Managing Director of County NatWest Investment Management (Channel Islands), Royal Bank of Canada's mutual fund company in Guernsey and Republic National Bank of New York's international trust company. He is a trustee of the Guernsey Sailing Trust, a director of a number of companies associated with Anson Group Limited's business as well as a non-executive director of many listed investment companies.
Francois-Xavier Foucault - Director
Francois-Xavier Foucault is French and resident in France. As well as being a director of the Company, he is currently Head of Transforming Projects, Quality Control and Regulatory affairs for BNP Paribas SA. He has also held roles in finance, derivatives and funds at Gen Re Securities, Guaranty City, AXA Investment Managers and BFT (Credit Agricole).
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
Youri Siegel - Director
Youri Siegel is French and was resident of France until 1 September 2011 when he moved to take up residence in the United Kingdom. As well as being a director of the Company, he is currently the Co-Head of Regulatory Structuring within the Global Structuring Group of BNP Paribas. Mr Siegel has also held similar roles at Société Generale and JPMorgan.
Trevor Hunt - Director
Trevor Hunt is British and is resident in Jersey. He has extensive experience in the offshore financial services sector. Mr Hunt worked for HSBC for over 30 years in various senior management positions, in particular within the open-ended and closed-ended offshore funds industry. Mr Hunt retired from HSBC in 2003 and spent six years as a director of Capita Financial Administrators (Jersey) Limited and of other Capita entities before leaving in 2009 to join BNP Paribas Securities Services in a senior management role. On 30 September 2011 Mr Hunt left BNP Paribas in order to focus on providing non-executive directorship services to a number of Channel Islands funds and fund management companies. Mr Hunt is regulated by the Jersey Financial Services Commission for the provision of services as a non-executive director. Mr Hunt is also a member of the Jersey Association of Directors and Officers.
On 28 November 2011, Trevor Hunt was appointed as a director of the Company for an unspecified term of office.
On 20 October 2011 Peter Atkinson resigned as a director of the Company.
BNP Paribas SA - Investment Counterparty and DistributorThe Investment Counterparty and Distributor in respect of all the cells of the Company is BNP Paribas SA. The duty of the Investment Counterparty, in respect of each individual cell, is that of the issuer of debt securities or other financial instruments or the provider of a derivative contract or other financial instrument. The duties of the Distributor includes, inter alia, the preparation of literature to promote the Company and relevant cell within the United Kingdom and to ensure it complies with the applicable UK requirements and other applicable laws and regulatory requirements, promoting within the United Kingdom investment in the shares of the Company and researching, evaluating and identifying marketing opportunities for promoting investments in the shares of the Company.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 31 October 2011 the Group had an equity market capitalisation of €39.67 billion (source: Reuters). The Group is a leading European provider of corporate and investment banking products and services and a leading provider of private banking and asset management products and services throughout the world. It provides retail banking and financial services to over 20 million individual customers throughout the world, in particular in Europe and the western United States of America.
The Group has offices in more than 85 countries. At 31 December 2010 the Group had audited consolidated assets of €1,998.15 billion and audited shareholders' equity (Group share including income for the 2010 fiscal year) of €74.6 billion. Audited net income, before taxes, non-recurring items and amortization of goodwill, for the year ended 31 December 2010 was €13.02 billion. Audited net income, Group share, for the year ended 31 December 2009 was €7.84 billion.
THEAM - Investment Manager
The Investment Manager in respect of all cells of the Company, with the exception of Agribusiness, is THEAM. As a result of a joint project between BNP Paribas CIB and BNP Paribas Investment Partners, combining the Sigma Teams from BNP Asset Management with Harewood Asset Management SAS, Harewood Asset Management SAS was renamed THEAM on 31 March 2011. The role of the Investment Manager includes, inter alia, the making of investment decisions on behalf of the Company in respect of the assets of the relevant cell and monitoring the investments which are attributable to that cell. BNP Paribas Agribusiness could not appoint an investment manager. The Investment Manager is organised as a French Société Actions Simplifiée, which is a form of limited liability company with simplified legal obligations. The purpose of the Investment Manager is the creation and management of investment funds on behalf of their investors. The Investment Manager may also provide investment advisory services. The Investment Manager is a wholly owned subsidiary of BNP Paribas Investment Partners. The Investment Manager is regulated by the Autorité des marchés financiers under the French law. As of 30 June 2011 THEAM was responsible for (or mandated for) the investment of €48 billion over 970 funds.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
BNP Paribas Securities Services, Luxembourg Branch - CustodianBNP Paribas Securities Services, Luxembourg Branch have been appointed by the Company as custodian of the assets of the Company. The Custodian will, amongst carrying out other duties, be responsible for holding assets for the Company and presenting the same for redemption and receiving the proceeds of such redemptions for and on behalf of the Company for the account of the relevant cell for onward payment to Shareholders upon applicable redemption. The Custodian also holds custody over the collateral accounts of each cell, as described on page 32.
The Custodian is the Luxembourg Branch of BNP Paribas Securities Services, a fully licensed bank incorporated under French law as a société anonyme (public limited company). BNP Paribas Securities Services, Luxembourg Branch was created on 28 March 2002 and registered with the Luxembourg Trade and Companies' register under the number of B86.862. As a branch of a French bank, BNP Paribas Securities Services, Luxembourg Branch is supervised by the Comité des Etablissements de Crédit et des Enterprises d'Investissement (which depends on the French Central Bank, the Banque de France). It has also been authorised by the Commission de Surveillance du Secteur Financier, the Luxembourg Commission for the Supervision of the Financial Sector to act as a credit institution under the terms of article 30 of the Luxembourg law of 5 April 1993 on the Financial Sector, as amended from time to time.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY
Enhanced Global Asset Allocation Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced Global Asset Allocation Preference Shares (herein the "Shares") was to provide shareholders with the opportunity to participate in the performance of global equity markets through four stock market Indices, being the FTSE 100, the Dow Jones EuroStoxx 50, the Standard & Poor's Composite 500 and the Nikkei 225, using an efficient asset allocation process, and with the possibility of benefiting from minimum returns for each index provided certain conditions were met. The investment return of the Shares was not subject to the risk of foreign exchange movements.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive, on behalf of the Cell, an amount equalling the funds available for payment of the investment return described in the preceding paragraph.
In accordance with their defined investment life, all Shares were compulsorily redeemed on 24 March 2011.
BNP Paribas FTSE Summit Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas FTSE Summit Preference Shares (herein the "Shares") was to provide shareholders with the opportunity to participate in the performance of the UK equity market through the FTSE 100 Index (the "Index") with the benefit of a minimum redemption amount equal to the principal amount (100 pence) per Share, and with the possibility of benefiting from the highest level of the Index over the six year investment period as determined at monthly intervals provided certain conditions were met.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive, on behalf of the Cell, an amount equalling the funds available for payment of the investment return described in the preceding paragraph.
In accordance with their defined investment life, all Shares were compulsorily redeemed on 6 July 2011.
BNP Paribas UK High Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas UK High Income Preference Shares (herein the "Shares"), which were issued after the end of the financial period on 7 December 2005, is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the FTSE 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the FTSE 100 Index, with a term and maturity matching the term of the shares, aims to reduce the risk of capital loss.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at each subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 1.875 pence per Share, which will be applied by the Company in funding payments of dividends to shareholders and at redemption an amount equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with their defined investment life, all Shares were compulsorily redeemed on 15 December 2011.
BNP Paribas Energy - Base Metals (2) Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas Energy - Base Metals (2) Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy-related and base metal commodities (the "Commodity Portfolio") over a six year period. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the Commodity Portfolio, which are priced in US Dollars, may be affected by fluctuations in value of the US Dollar.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
BNP Paribas European Shield Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas European Shield Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of the leading 50 stocks traded on various European stock exchanges through the Dow Jones Euro STOXX50(the "Index") with the benefit of a geared return in respect of such performance (not exceeding 71.25 pence per Share), provided certain conditions are met, but subject to the risk, in other circumstances, of the aggregate amount payable being limited to the capital component of 100 pence per
Share or a lesser amount linked to the performance of the Index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
BNP Paribas Absolute Progression Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas Absolute Progression Preference Shares (herein the "Shares") is to provide shareholders with an investment offering a return based on the divergence between stock prices of very large global companies. The Redemption Amount cannot be less than the capital amount of 100 pence per Share, and the return is linked to the performance, determined on an annual basis by reference to initial values determined on the Strike Date, being 20 July 2006, of a portfolio of shares selected annually from the 50 Shares comprising the Dow Jones Global Titans 50 Index (the "Index"), being shares which have outperformed the Index. Each year, the excess (if any) of the average annualised performance of the Shares comprising such portfolio above a benchmark level of 5% accrues to holders' Shares and an amount per Share equal to 100 pence multiplied by such accrual is paid to holders of Shares on the Redemption Date, being 26 July 2012. The objective of the Index is to represent multi-national companies whose stocks are traded on major exchanges of countries covered by the Dow Jones Global Indices benchmark family.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's
Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
US High Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the US High Income Preference Shares (herein the "Shares"), which were issued on 25 October 2006, is to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the S&P 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the S&P 100 Index, with a term and maturity matching the term of the shares, aims to reduce the risk of capital loss.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the gross proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount equal to 1.875 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
BNP Paribas Agrinvest Preference Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas Agrinvest Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of exchange-traded commodities futures comprised in the DCI® Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is designed to provide a broad yet liquid representation of large, mid and small commodity futures inside the Organisation for Economic Cooperation and Development (OECD). The Index consists of 23 components within the agriculture sector. The Index is also subject to a forward curve roll optimisation process through the addition of a quantitative enhancement algorithm.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
Enhanced Property Recovery Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced Property Recovery Preference Shares (herein the "Shares") is to provide shareholders with the opportunity to participate in the performance of shares traded on various European stock exchanges through the FTSE EPRA Europe Real Estate Index (the "Index"). The Index is an index designed to track the performance of listed real estate companies in Europe. The Final Redemption Amount will be determined principally by reference to two values - the first (defined as the "Initial Index Level") being the level of the Index determined on 13 March 2008, the second (defined as the "Final Index Level") being the arithmetic average of the levels of the Index on 13 monthly averaging dates from and including 13 March 2013 to and including the Maturity Date.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
Energy - Base Metals (3) Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Energy - Base Metals (3) Preference Shares (herein the "Shares") is to provide shareholders with a geared exposure to any increase in the prices of a notional portfolio of certain energy related and base metal commodities (the "Commodity Portfolio") over a six-year period. The Commodity Portfolio is a notional portfolio of commodities comprising 30% crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc. The investment return of the Shares is not subject to the risk of foreign exchange movements save to the extent that the value of the commodities comprised in the notional portfolio, which are priced in US dollars, may be affected by the fluctuations in value of the US dollar.
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
BNP Paribas Agribusiness Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP Paribas Agribusiness Preference Shares (herein the "Shares") was to provide shareholders with the opportunity to participate, through a dividend payable on the Shares (the "Dividend Amount"), in the performance of shares of companies whose revenues are linked to the agribusiness industry through the BNP Paribas Global Agribusiness Excess Return Index (Reuters code: BNPIGAER Index) (the "Index").
In accordance with the Company's investment objective for the Cell in respect of the Shares, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract")
with BNP Paribas, the Investment Counterparty. Under the terms of the Contract the Company contracted to receive in respect of the dividend payment date an amount equal to the dividend amount due to shareholders, which was applied by the Company in funding the payment of any dividend due to shareholders, and a redemption amount equalling HUF 10,000 per share to finance the payment of the redemption proceeds due to shareholders.
All of these returns were received by holders of the Shares and they were, in accordance with their defined life, compulsorily redeemed on 11 February 2011.
Enhanced Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the Dow Jones Euro STOXX 50® Index (herein the "Index") and notional short-term call options written on the Index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
In accordance with the Company's investment objective for the Cell, the gross proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the
Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence per Share, which will be applied by the Company in funding the payment of dividends to shareholders and at redemption an amount equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and the collateral arrangements are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
BNP Paribas COMAC Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Class A Sterling Hedged COMAC Preference Shares (herein the "Shares") is to provide shareholders with exposure to the performance of an actively managed long short arbitrage strategy (the "Strategy") based on a portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the "Index").
The Index is denominated in US Dollars and is designed to track the performance of an actively managed portfolio of 25 commodities selected from the energy, metals and agricultural sectors, the respective weightings of which are determined in accordance with an investment strategy based on recommendations provided by the asset managers which, from time to time, provides the scores used in the determination of the weightings of the different commodities comprising the Index, and a rules-based proprietary methodology designed by BNP Paribas (the "Index Methodology"). The Strategy is also linked to notional currency hedging intended to provide a level of protection against changes in the Sterling / US Dollar exchange rate.
In accordance with the Company's investment objective for the Cell, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive at redemption, on behalf of the Cell, an amount equalling the funds available for payment of the investment return.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
US Enhanced Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the US Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the Standard and Poor's 500®Index and notional short-term call options written on such index.
In accordance with the Company's investment objective for the Cell, the net proceeds at launch and at the subsequent issue of Shares were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the
Company contracted to receive on each dividend payment date an amount initially equal to 2 pence or cents per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
UK Enhanced Income Cell (herein the "Cell")
The investment objective of the Company for the Cell in respect of the UK Enhanced Income Preference Shares (herein the "Shares") is to provide shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital,
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT OBJECTIVE AND POLICY (continued)
such investment objective being intended to be achieved by reference to an investment strategy linked to the total return performance of the FTSE 100™Index and notional short-term call options written on such index.
In accordance with the Company's investment objective for the Cell, the net proceeds at launch were invested in an Index Derivative Contract (the "Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract the Company contracted to receive on each dividend payment date an amount initially equal to 2 pence per Share, which will be applied by the Company in funding the payment of dividends to shareholders, and at redemption an amount equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and the collateral arrangements in favour of the Company for the account of the Cell are disclosed in the Cell's Summary and Securities Note, a copy of which is available from the Administrator and from the Distributor.
Harewood Structured Investments PCC Limited (the "Company")
NET ASSET VALUES
As at 31 October 2011, the accounting reference date, the calculated net asset value of a share of each cell in existence at that date was as follows:-
As at 31 Oct 2011
| As at 29 Oct 2010
| |
Enhanced Global Asset Allocation ("EGAA")
| - | 137.56 pence |
BNP Paribas FTSE Summit ("FSM")
| - | 129.75 pence |
BNP Paribas UK High Income ("UK HI")
| 45.73 pence | 56.52 pence |
BNP Paribas Energy - Base Metals (2) ("EBM (2)")
| 159.50 pence | 176.14 pence |
BNP Paribas European Shield ("ES")
| 74.35 pence | 92.27 pence |
BNP Paribas Absolute Progression ("BAP")
| 125.08 pence | 123.66 pence |
US High Income - Class A ("US HI A")
| 51.82 pence | 66.33 pence |
US High Income - Class B ("US HI B") | 55.32 US$ cents | 69.71 US$ cents
|
BNP Paribas Agrinvest ("Agrinvest")
| 121.90 pence | 126.24 pence |
Enhanced Property Recovery ("EPR")
| 65.07 pence | 79.37 pence |
Energy - Base Metals (3) ("EBMC")
| 106.30 pence | 110.85 pence |
BNP Paribas Agribusiness ("AGRI")
| - | 10,886 HUF |
Enhanced Income - Class A ("EIF")
| 93.08 pence | 108.88 pence |
BNP Paribas COMAC ("COM")
| 65.83 pence | 84.75 pence |
US Enhanced Income - Class A ("US EI A")
| 102.27 pence | 105.57 pence |
US Enhanced Income - Class B ("US EI B")
| 102.17 US$ cents | 105.83 US$ cents |
UK Enhanced Income ("UKEI")
| 92.86 pence | 100.52 pence |
Harewood Structured Investment PCC Limited (the "Company")
MANAGEMENT REPORT
For the year ended 31 October 2011
A description of important events which have occurred during the financial year, their impact on the performance of the Company as shown in the financial statements and a description of the principal risks and uncertainties facing the Company is given in the Investment Manager's Report on pages 34 to 49 and is incorporated here by reference.
Details of related party transactions are given in note 7 to the financial statements. Details of material related party transactions are referred to on page 27.
Going Concern
The performance of the investments held by the Company for the account of each of its cells over the year and the outlook for the future are described in the Investment Manager's Report. The Company's financial position, its cash flows and liquidity position are set out in the financial statements and the Company's financial risk management objectives and policies are set out at note 6 to the financial statements.
As disclosed in note 6 to the financial statements, the only financial commitments of the Company are its ongoing operating expenses and obligations to shareholders on the redemption of their shares of a cell. BNP Paribas has agreed to reimburse the Company for or, on behalf of the Company, pay in full all of its ongoing operating expenses. On the redemption of shares of a cell the holders of such shares shall only be entitled to the net asset value of such shares, which will be calculated by reference to the proceeds received under the relevant contract entered into between the Company acting on behalf of the relevant cell and BNP Paribas on the maturity or early termination of that contract.
After making enquiries, the directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future.
Harewood Structured Investment PCC Limited (the "Company")
MANAGEMENT REPORT (continued)
Responsibility Statement
The Board of directors jointly and severally confirm that, to the best of their knowledge:
(a) the financial statements, prepared in accordance with International Financial Reporting Standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and
(b) This Management Report includes or incorporates by reference 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.
John R Le Prevost Trevor Hunt
Director Director
22 February 2012
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS
The directors present their report and financial statements for the year ended 31 October 2011.
Principal Activity
The Company is a Guernsey incorporated closed-ended protected cell investment company. The shares of each cell are listed on the Channel Islands Stock Exchange. The shares of BNP Paribas Agribusiness were until 10 January 2011 listed on the Budapest Stock Exchange.
Investment Objective and Investment Policy
The investment objective and policy of each cell in the Company is summarised on pages 34 to 49. Full details of each cell's investment objective and policy are set out in the relevant Supplemental Memorandum or Summary and Securities Note, copies of which for live cells are available from the Administrator and the Distributor upon request.
Shareholder Information
The Company announces the confirmed net asset value of a share in BNP Paribas UK High Income, BNP Paribas European Shield, BNP Paribas Absolute Progression, US High Income, BNP Paribas Agrinvest, Enhanced Property Recovery, BNP Paribas Energy - Base Metals (3), Enhanced Income, BNP Paribas COMAC, US Enhanced Income and UK Enhanced Income to the Channel Islands Stock Exchange and to a regulatory information service on a daily basis.
Until the redemption of FTSE Summit on 4 July 2011 the Company announced the net asset value of a share in FTSE Summit to the Channel Islands Stock Exchange and to a regulatory information service on a daily basis.
The Company announced the confirmed net asset value of a share in BNP Paribas Agribusiness to the Budapest Stock Exchange on a daily basis until its delisting on 10 January 2011.
The Company also announces the net asset value of a share in BNP Paribas Energy - Base Metals (2) to the Channel Islands Stock Exchange and to a regulatory information service on a weekly basis and as at each month end.
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
Until the redemption of Enhanced Global Asset Allocation on 20 March 2011 the Company announced the net asset value of a share in Enhanced Global Asset Allocation to the Channel Islands Stock Exchange and to a regulatory information service on a weekly basis and as at each month end.
Shares of all cells are listed on the Channel Islands Stock Exchange and could be dealt indirectly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of such shares could be settled through CREST.
The Company's register of shareholders is maintained by Anson Registrars Limited in Guernsey and they can be contacted on +44 (0) 1481 711301.
Results
The results for the year are set out in the Statement of Comprehensive Income on page 52.
Substantial Interests
Other than by BNP Arbitrage SNC, the Company has not been notified by any shareholder of a substantial interest in the shares of any cell of the Company as at 31 October 2011. BNP Paribas Arbitrage SNC is the beneficial owner of the two Ordinary Shares in issue, those being the only class of shares entitled to receive notice of general meetings of the Company and to attend and vote thereat. The shares are registered in the names of Anson Fund Managers Limited and Anson Custody Limited as nominees for BNP Paribas Arbitrage SNC.
BNP Paribas Arbitrage SNC also holds Preference Shares in each of the Company's cells and details of its shareholdings are shown in Note 7 to the financial statements.
Directors
All directors as shown on page 83 either held office throughout the year, at the end of the year or at the date of signature of these financial statements. The directors have no beneficial interest in the Company. The Company does not have a Chairman and, as all of the directors are non-executive, there is no chief executive.
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
Related Party Transactions
Anson Fund Managers Limited is the Administrator and Secretary of the Company and Anson Registrars Limited is the Registrar, Transfer Agent and Paying Agent of the Company. John R Le Prevost is a director of Anson Fund Managers Limited and Anson Registrars Limited. Anson Group Limited is the ultimate controlling party of Anson Fund Managers Limited and Anson Registrars Limited.
BNP Paribas Arbitrage SNC, a wholly owned subsidiary of BNP Paribas SA, holds Preference Shares in each of the Company's cells, details of its shareholdings are shown in Note 7 to the financial statements, and is therefore entitled to receive dividend payments, where applicable, and redemption proceeds on the maturity of the cells.
Francois-Xavier Foucault and Youri Siegel are both employees of BNP Paribas SA, the Investment Counterparty and Distributor. The Investment Manager, THEAM, is wholly owned by BNP Paribas SA.
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
Statement of Directors' Responsibilities
The directors are required to prepare financial statements for each financial year which give a true and fair view in accordance with applicable Guernsey Law and International Financial Reporting Standards, of the state of affairs of the Company as at the end of the financial period and of the gain or loss for that period. In preparing those financial statements, the directors are required to:
·; select suitable accounting policies and apply them consistently;
·; make judgements and estimates that are reasonable and prudent;
·; state whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the financial statements; and
·; prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.
The directors confirm that they have complied with the above requirements in preparing the financial statements.
The directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the financial statements have been properly prepared in accordance with The Companies (Guernsey) Law, 2008 and the principal documents. They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.
So far as each of the directors are aware, there is no relevant audit information of which the Company's auditors are unaware and each director has taken all the steps that he should have taken as a director in order to make himself aware of any relevant audit information and
to establish that the Company's auditors are aware of that information.
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
Corporate Governance Statement
The Company is an authorised entity under the Authorised Closed Ended Investment Scheme Rules 2008 and is regulated by the GFSC with shares of its cells listed on theChannel Islands Stock Exchange.
With effect from 11 July 2008, being the date of admission to listing of the Company's BNP Paribas Agribusiness Preference Shares to the Product List of and to trading on the Budapest Stock Exchange, the Company was required to comply with the UK Financial Services Authority's Disclosure Rules and Transparency Rules DTR 3, 4, 5 and 6 and with the Regulations for Listing, Continued Trading and Disclosure and to consider the Corporate Governance Recommendations of the Budapest Stock Exchange Company Limited by Shares. In addition, with effect from 1 November 2008 the Company was required to comply with the UK Financial Services Authority's Transparency Rules DTR7 and in accordance with the requirements of DTR7, the Board of directors had resolved voluntarily to apply the UK Corporate Governance Code published by the Financial Reporting Council (the "Code").
These particular responsibilities ceased to apply when these shares were delisted on 10 January 2011. As a result, the Company was not in the year under review required to comply with the requirements of the code, the provisions of the UK Financial Services Authority's Transparency Rules DTR 3, 4, 5, 6 and 7 or the Regulations for Listing, Continued Trading and Disclosure or to consider the Corporate Governance Recommendations of the Budapest Stock Exchange Company Limited by Shares.
The Board is responsible for investment of the Company's assets for and on behalf of each cell and for monitoring the performance of the investments held by the Company for the account of each cell. The Board is also responsible for declarations of dividends out of the assets of individual cells where applicable. As all of the directors are non-executive, the day-to-day administration of the Company's affairs has been delegated to third-party service providers, including the Investment Manager, the Administrator and Secretary, the Registrar and the Custodian. Their appointment and performance of their duties remains subject to the overall supervision of the Board.
The Board meets at least four times a year to consider the business and affairs of the Company for the previous quarter. Between these quarterly meetings the Board meets to
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
consider specific matters of a transactional nature and there is regular contact with the Secretary. During the year under review the Board or committees thereof met 35 times.
The directors are kept fully informed of investment and financial controls and other matters that are relevant to the business of the Company and should be brought to the attention of the directors. The directors also have access, where necessary in the furtherance of their duties, to professional advice at the expense of the Company.
The Board has a breadth of experience relevant to the Company, and, whilst no separate nomination committee has been established, the directors believe that any changes to the Board's composition can be managed without undue disruption. With any new director appointment to the Board, consideration will be given as to whether an induction process is appropriate. The performance of the Board and each director is reviewed annually by the Board and all directors are subject by rotation to re-election at the Company's general meetings held pursuant to section 199 of The Companies (Guernsey) Law, 2008.
Audit Committee
An Audit Committee has been established consisting of all four directors, of whom Messrs Hunt and Le Prevost are considered to be independent. Notwithstanding that Mr Le Prevost is a director of both Anson Fund Managers Limited and Anson Registrars Limited, he is considered to be independent, as he performs no executive functions on behalf of those service providers in respect of the Company. Mr Hunt is considered independent as he is not
connected to any of the service providers to the Company.
The Audit Committee has regard to the Guidance on Audit Committees published by the Financial Reporting Council in 2010. The Audit Committee examines the effectiveness of the Company's internal control systems, the annual and half-yearly reports and financial statements, the auditors' remuneration and engagement, as well as the auditors' independence and any non-audit services provided by them. The Audit Committee receives information from the Secretary's compliance department and the external auditors.
In addition, as the investments held by the Company on behalf of its cells are not traded in an active market, the fair value of such instruments is determined by using valuation
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
techniques. The fair value is calculated weekly and as at each month end by the Counterparty. As at the date of the net asset statement, an independent check of the valuations of the investments is performed by Future Value Consultants Limited (the "Calculation Agent"), an independent third party, using a variety of methods and making assumptions that are based on market conditions existing at the date of the net asset statement. Valuation techniques used include the use of comparable recent arm's length transactions (where available), discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants. These techniques are periodically reviewed by experienced personnel at the Calculation Agent.
The Audit Committee meets at least twice annually, being before the Board meets to consider the Company's half-yearly and annual financial reports. The Audit Committee operates within clearly defined terms of reference and provides a forum through which the Company's external auditors report to the Board. The terms of reference of the Audit Committee are available upon request of the Secretary.
There is no internal audit function. As all of the directors are non-executive and all of the Company's management and administration functions have been delegated to independent third parties, the Audit Committee considers that there is no need for the Company to have an internal audit function. However, this matter is reviewed periodically.
Dividend Committees
The Company has established Dividend Committees consisting of any one director or their alternate for the purpose of declaring dividends payable out of each of BNP Paribas UK High Income, US High Income, Enhanced Income, US Enhanced Income and UK Enhanced Income. As all dividends declared by these cells are required to be declared and paid according to a fixed timetable and calculated in accordance with a prescribed formula specified in each of these cells' Summaries and Securities Notes, no discretion is afforded to the Board as to the level or timing of any dividends declared and paid.
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
Directors' Remuneration
The directors' remuneration is not expected to exceed £30,000 in aggregate for all directors for this reporting year of the Company. Actual fees paid during the year ended 31 October 2011 did exceed this amount, due to a change of the Directors remuneration
policy that was made effective retrospectively. The pro-rated amount of Directors' fees for the reporting year did not exceed £30,000.
Francois-Xavier Foucault and Youri Siegel have waived their right to remuneration by the Company in relation to their incumbencies as directors of the Company. As the directors' remuneration is not borne by the Company, it is not considered necessary to establish a separate remuneration committee.
Internal Controls
The Board is responsible for the Company's system of internal control and for reviewing its effectiveness. The Board confirms that there is an ongoing process for identifying, evaluating and managing the significant risks faced by the Company. This process has been in place for the year under review and up to the date of approval of this Annual Financial Report and is reviewed by the Board periodically.
The internal control systems are designed to meet the Company's particular needs and the risks to which it is exposed. Accordingly, the internal control systems are designed to manage rather than eliminate the risk of failure to achieve business objectives and by their nature can only provide reasonable and not absolute assurance against misstatement and loss.
Collateral Arrangements
In accordance with the investment objectives and the contracts entered into between the Company, on behalf of each cell, and the Counterparty, as described in relevant cells Securities Note (the "Contract"), BNP Paribas is required to provide collateral to meets its obligations under each contract in the form of AAA rated government bonds to the designated collateral accounts held in favour of the Company acting on behalf of each cell, such collateral being valued on a weekly basis.
Harewood Structured Investment PCC Limited (the "Company")
REPORT OF THE DIRECTORS (continued)
The amount of collateral which BNP Paribas is required to post in favour of each cell for the tenor of the Contract, is to the value of 100% of the indirect exposure of all holders of preference shares in the relevant cell (other than BNP Paribas Arbitrage SNC) to the credit risk of BNP Paribas plus an additional 10% of the relevant cell's total exposure to the credit risk of BNP Paribas (up to a maximum of 100% of such total exposure). Should a default occur, the Company is able to enforce its rights under the restructuring deed between BNP Arbitrage SNC and BNP Paribas and the Company.
BNP Paribas Arbitrage SNC has waived its rights to pari passu payment with other holders of preference shares of all redemption amounts, where there is a default by BNP Paribas under the relevant swap contract, thereby subordinating its rights in favour of all other holders of preference shares (on default by BNP Paribas).
Dialogue with Shareholders
The directors are always available to enter into dialogue with shareholders and the Company believes such communications to be important. BNP Paribas meets regularly with the Company's major shareholders and reports at least quarterly to the Board of directors on those shareholders' views about the Company and any issues or concerns they might have. BNP Paribas can also be contacted by shareholders both by telephone and e-mail, their contact details being shown at the end of this annual financial report.
Going Concern
After making enquiries and given the nature of the Company and its investments, the directors are satisfied that it is appropriate to continue to adopt the going concern basis in preparing the financial statements, and, after due consideration, the directors consider that the Company is able to continue in the foreseeable future.
By order of the Board
John R Le Prevost Trevor P Hunt
Director Director
22 February 2012
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT
On the invitation of the Directors of the Company, the following commentary is provided by THEAM, the Investment Manager. Their commentary is provided as a source of useful information for shareholders of the Company but is not directly attributable to the Company.
BNP Paribas UK High Income
Listing: Channel Islands Stock Exchange
Launch date: 9 December 2005
Issue price at launch: 100 pence
NAV immediately following launch: 98.75 pence
Maturity date: 8 December 2011
ISIN: GB00B0N4CX50
SEDOL: B0N4CX50
Epic Code: UKH
Investment Objective
BNP Paribas UK High Income ("UKH") is a six-year investment aiming to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the FTSE 100 Index, supplemented by premiums for notional call options written on those shares. In addition, a purchase of portfolio insurance in the form of a put option linked to the FTSE 100 Index, with a term and maturity matching the term of the Shares, aims to reduce the risk of capital loss.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas UK High Income launched on 9 December 2005 with an initial NAV of 98.75 pence. On this date (a) the portfolio of shares was selected and purchased (b) the corresponding 3-month call options were sold with an average strike price of 105.5% of the value of the shares (c) the portfolio insurance was acquired. This takes the form of a six-year put option on the FTSE 100 with a strike level of 5,517.4.
The name and weighting of each selected share and its performance between 8 September 2011 (representing the most recent rebalancing of the portfolio) and 31 October 2011 are set out in the table below.
Stock | Current price at 31-Oct-11 | Strike Price at 08-Sep-11 | Performance at 31-Oct-11 | Option strike price | Share portfolio weighting at Strike Date | Weighting at 31-Oct-11 |
ARM HOLDINGS PLC | 584.5 | 590 | -0.93% | 607.05 | 5.06% | 4.16% |
ASTRAZENECA PLC | 2986 | 2856.5 | 4.53% | 326.7 | 9.31% | 8.78% |
AVIVA PLC | 340.8 | 320.8 | 6.23% | 2,894.78 | 2.09% | 4.46% |
BAE SYSTEMS PLC | 276.6 | 277.5 | -0.32% | 281.47 | 10.76% | 4.19% |
BRITISH LAND CO PLC | 510.5 | 521 | -2.02% | 529.7 | 2.87% | 2.06% |
BRITISH SKY BROADCASTING GROUP | 704 | 669 | 5.23% | 675.49 | 4.46% | 4.42% |
CARNIVAL PLC | 2283 | 1974 | 15.65% | 2,005.58 | 0.76% | 2.43% |
COMPASS GROUP PLC | 566 | 554.5 | 2.07% | 561.15 | 8.08% | 6.43% |
EURASIAN NATURAL RESOURCES | 658 | 659.5 | -0.23% | 233.27 | 6.52% | 2.10% |
INMARSAT PLC | 469.2 | 472 | -0.59% | 672.49 | 2.26% | 6.96% |
IMPERIAL TOBACCO GROUP PLC | 2274 | 2060 | 10.39% | 2,085.75 | 2.17% | 4.16% |
SAINSBURY (J) | 299.1 | 296 | 1.05% | 481.53 | 3.16% | 4.24% |
KAZAKHMYS PLC | 927.5 | 1076 | -13.80% | 1,103.33 | 1.39% | 1.81% |
MAN GROUP PLC | 149.9 | 229.1 | -34.57% | 326.63 | 4.64% | 1.37% |
MARKS AND SPENCER | 321.9 | 321.9 | 0.00% | 3,342.04 | 1.36% | 2.10% |
RECKITT BENCKISER GROUP PLC | 3198 | 3292 | -2.86% | 2,110.85 | 3.58% | 6.12% |
ROYAL DUTCH SHELL PLC-A SHS | 2206 | 2060 | 7.09% | 116.08 | 13.04% | 11.26% |
RSA INSURANCE GROUP PLC | 111.7 | 114.5 | -2.45% | 299.46 | 10.09% | 2.05% |
SMITH&NEPHEW ASSOCIATION | 570.5 | 605.5 | -5.78% | 614.8 | 4.94% | 3.96% |
SSE PLC | 1344 | 1289 | 4.27% | 1,300.99 | 3.47% | 6.57% |
Source for Share Price Information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 9 December 2005 and close on 31 October 2011 the Total Return Performance had fallen by 12.4% (based on the initial NAV of 100 pence). The directors declared interim dividends of 1.875 pence per share on 8 November 2007, 7 February 2008, 8 May 2008, 7 August 2008, 6 November 2008, 5 February 2009, 7 May 2009, 6 August 2009, 5 November 2009, 7 February 2010, 11 May 2010, 11 August 2010, 10 November 2010, 8 February 2011, 10 May 2011 and 11 August 2011.
The UKH shares were redeemed at a price of 43.7931 pence per share on 15 December 2011.
BNP Paribas Energy-Base Metals (2)
Listing: Channel Islands Stock Exchange
Launch date: 23 March 2006
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 22 March 2012
ISIN: GB00B0ZNS989
SEDOL: B0ZNS98
Epic Code: EBMB
Investment Objective
BNP Paribas Energy-Base Metals 2 ("EBMB") is a six-year investment offering 230% of the upside of the spot prices of a portfolio of commodities. The portfolio comprises West Texas Intermediate Oil (30%), Aluminium (20%), Copper (20%), Nickel (15%) and Zinc (15%). If the portfolio performance is negative over six years, 100 pence is returned at maturity. The name and weighting of each commodity, the spot prices of each commodity recorded at launch (the nearest futures price in the case of oil) and as of 31 October 2011 are set out in the table below.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Commodity name | Value at Start | Value as of 31-Oct-11 | Change | Weight |
Aluminium | 2,457.00 | 2,187.00 | -11% | 20.0% |
Copper | 5,220.00 | 7,900.50 | 51.4% | 20.0% |
Nickel | 15,055.00 | 19,225.00 | 27.7% | 15.0% |
West Texas Intermediate | 63.91 | 93.19 | 45.8% | 30.0% |
Zinc | 2,543.00 | 1,918.50 | -24.6% | 15.0% |
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and 31 October 2011 the Total Return Performance had risen by 59.9%. Over this period the DJ UBS Commodities Excess Return Index had fallen by 8.1%.
BNP Paribas European Shield
Listing: Channel Islands Stock Exchange
Launch date: 28 April 2006
Issue price at launch: 100 pence
NAV immediately following launch: 100 pence
Maturity date: 26 April 2012
ISIN: GB00B12GMC87
SEDOL: B12GMC8
Investment Objective
The BNP Paribas European Shield is a six-year fund returning 171.25p per share at maturity provided that, at maturity, the DJ Euro Stoxx 50 Index is at or above its initial level of 3,865.42. This is equivalent to an annualised return of 8.5% on the application price of 105p. The redemption value per share is reduced linearly from 171.25p to 100p per share as the index falls from 100% to 85% of its initial level. The redemption value per share of 100p is protected unless the index falls by 50% from its initial level at any point over the six year life. If downside is triggered and the index fails to recover to 85% of the initial level, investors will participate in index tracking plus 15 pence per share.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The level of the Index recorded at launch and as at 31 October 2011, the level of the Index at maturity required to return a redemption value per share of 171.25 pence, the Index level which, if breached at any time, results in the potential loss of capital and the lowest observed level of the Index to date are set out in the table below.
Index Name | Initial Level | Value as of 31-Oct-11 | Change | 85% Barrier Level | 50% Barrier Level | Lowest observed Index Level |
DJ Euro Stoxx 50 | 3865.4 | 2385.2 | -38.3% | 3285.6 | 1932.7 | 1810.0 |
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on April 27 2006 and close on 31 October 2011 the NAV has fallen by 25.6% versus a 37.9% decline in the Eurostoxx 50 Index.
BNP Paribas Absolute Progression
Listing: Channel Islands Stock Exchange
Launch date: 20 July 2006
Issue price at launch: 100 pence
NAV immediately following launch: 100 pence
Maturity date: 19 July 2012
ISIN: GB00B17WK500
SEDOL: B17WK500
Investment Objective
This 6-year maturity fund produces absolute returns based on the divergence, rather than the direction, of stock performance. The fund focuses on the share components of the Dow Jones Global Titans Index, an index that includes the world's 50 largest multinational companies. On each anniversary of launch the fund's portfolio is, retrospectively, made up of the shares that have beaten the index over the previous year in equal weightings. The fund's return for each year equals the amount by which this portfolio's annualised performance beats the index less a hurdle rate of 5%.
The level of the Index recorded at launch and as of 31 October 2011 is set out in the table.Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
DJGT Components | Strike Price | Current price at 30-October-11 | % change | Out-performance |
Abbot Labs | 46.21 | 53.87 | 16.58% | 29.90% |
Apple | 453.846 | 404.78 | -10.81% | 2.51% |
AT&T Inc | 27.3 | 29.31 | 7.36% | 20.68% |
Chevron Texaco Corp | 65.32 | 105.05 | 60.82% | 74.15% |
Cisco Systems | 17.88 | 18.53 | 3.64% | 16.96% |
Coca Cola | 43.84 | 68.32 | 55.84% | 69.16% |
CONOCOPHILIPPS | 64.43 | 69.65 | 8.10% | 21.42% |
Exxon Mobil Corp | 64.25 | 78.09 | 21.54% | 34.86% |
Glaxo Smithkline | 1493 | 1400 | -6.23% | 7.09% |
IBM | 75.48 | 184.63 | 144.61% | 157.93% |
Intel Corp | 17.15 | 24.54 | 43.09% | 56.41% |
Johnson & Johnson | 61.37 | 64.39 | 4.92% | 18.24% |
Merck | 37.3 | 34.5 | -7.51% | 5.81% |
Microsoft | 22.85 | 26.63 | 16.54% | 29.86% |
Nestle | 39.15 | 50.9 | 30.01% | 43.33% |
Pepsi Cola | 62.48 | 62.95 | 0.75% | 14.07% |
Phillip Morris | 41.05 | 69.87 | 70.21% | 83.53% |
Procter & Gamble | 56.61 | 63.99 | 13.04% | 26.36% |
Royal Dutch Shell | 26.54 | 25.63 | -3.43% | 9.89% |
Samsung Electronics | 598000 | 968000 | 61.87% | 75.19% |
Siemens | 64.43 | 76.22 | 18.30% | 31.62% |
Telefonica | 13.04 | 15.38 | 17.94% | 31.27% |
Verizon | 30.9369 | 36.98 | 19.53% | 32.86% |
Vodafone | 113.39785 | 172.85 | 52.43% | 65.75% |
Wal-Mart Stores | 44.29 | 56.72 | 28.07% | 41.39% |
Portfolio average | 40.01% | |||
Annualised Since Launch | 6.58% | |||
Hurdle rate | 5.00% | |||
Lock in Year 5 | 1.77% | |||
Lock in Year 4 | 2.46% | |||
Lock in Year 3 | 3.48% | |||
Lock in Year 2 | 5.92% | |||
Lock in Year 1 | 13.25% | |||
26.88% | ||||
Source for Share Price Information: Bloomberg
As of 31 October 2011, the NAV had risen by 25.1% since inception. The average out-performance had been 40.01%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Class A Sterling Hedged US High Income Preference Shares and Class B Unhedged US High Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 26 October 2006
Issue price at launch: 100 pence
NAV immediately following launch: 99 pence class A & $0.99 class B
Maturity date: 19 November 2012
Class A ISIN: GG00B1FP4W69
Class A SEDOL: B1FP4W6
Class B ISIN: GG00B1FP4X76
Class B SEDOL: B1FP4X7
Investment Objective
BNP Paribas US High Income ("USH" for Class A and "USHD" for Class B) is a six-year investment aiming to provide shareholders with a stable stream of quarterly dividend distributions based on the dividend income of a notional portfolio of shares selected from the S&P 100 Index, supplemented by premiums for notional call options written on those shares. This selection of shares is rebalanced on a quarterly basis. In addition, a purchase of portfolio insurance in the form of a put option linked to the S&P 100 Index, with a term and maturity matching the term of the Shares, aims to reduce the risk of capital loss.
BNP Paribas US High Income launched on 26 October 2006 with an initial NAV of 99 pence ($0.99 for class B). On this date (a) a portfolio of shares was selected and purchased (b) the corresponding 3-month call options were sold with an average strike price of 104.3% of the value of the shares and (c) the portfolio insurance was acquired. This takes the form of a six-year put option on the S&P 100 with a strike level of 645.42.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
The name and weighting of each selected share and its performance as of 31 October 2011 are set out in the table below.
Stock | Strike Price at 23-Aug-2011 | Current price at 31-Oct-11 | Performance at 31-Oct-11 | Option strike price | Weighting at Strike Date | Weighting at 31-Oct-11 |
AT&T INC | 29.31 | 28.45 | 3.02% | 28.45 | 5.06% | 4.75% |
CHEVRON CORP | 105.05 | 93.3 | 12.59% | 93.3 | 6.33% | 6.44% |
CITIGROUP INC | 31.59 | 26.06 | 21.22% | 26.06 | 3.80% | 4.15% |
COMCAST CORP | 25.01 | 25.62 | -2.38% | 19.78 | 3.80% | 4.07% |
DU PONT (E.I.) DE NEMOURS | 48.07 | 43.82 | 9.70% | 43.82 | 2.53% | 2.52% |
ENTERGY CORP | 69.17 | 61.63 | 12.23% | 61.63 | 1.27% | 1.30% |
EXXON MOBIL CORPORATION | 78.09 | 70.18 | 11.27% | 70.18 | 6.33% | 6.38% |
GENERAL ELECTRIC CO. | 16.71 | 15.11 | 10.59% | 15.11 | 5.06% | 5.09% |
GOLDMAN SACHS GROUP INC | 109.55 | 106.51 | 2.85% | 106.51 | 3.80% | 3.40% |
INTEL CORP | 24.54 | 19.38 | 26.63% | 19.38 | 5.06% | 5.83% |
INTL BUSINESS MACHINES CORP | 184.63 | 158.98 | 16.13% | 158.98 | 6.33% | 6.70% |
JOHNSON & JOHNSON | 64.39 | 63.29 | 1.74% | 63.29 | 6.33% | 5.87% |
JPMORGAN CHASE & CO | 34.76 | 33.41 | 4.04% | 33.41 | 5.06% | 4.76% |
MCDONALD'S CORPORATION | 92.85 | 87.76 | 5.80% | 87.76 | 3.80% | 3.68% |
MICROSOFT CORP | 26.63 | 23.98 | 11.05% | 23.98 | 6.33% | 6.41% |
PFIZER INC | 19.26 | 17.68 | 8.94% | 17.68 | 5.06% | 5.01% |
PHILIP MORRIS INTERNAT | 69.87 | 68.72 | 1.67% | 68.72 | 5.06% | 4.68% |
PROCTER & GAMBLE CO | 63.99 | 61.71 | 3.69% | 61.71 | 5.06% | 4.80% |
UNITED PARCEL SERVICE -CL B | 70.24 | 62 | 13.29% | 62 | 3.80% | 3.92% |
UNITED TECHNOLOGIES CORP | 77.98 | 67.68 | 15.22% | 67.68 | 3.80% | 3.99% |
WALMART | 52.19 | 56.72 | 8.68% | 52.19 | 6.33% | 6.26% |
S&P 100 | 508.67 | 563.37 | 10.75% | |||
Weighted Basket Performance | 9.72% |
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 31 October 2011 the Total Return Performance was -10.2% and -6.6% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the S&P TR Performance, which declined -1.6% over that period. The directors declared interim dividends of 1.875 pence per Class A Sterling Hedged US High Income Preference Share and 1.875 cents per Class B Unhedged US High Income Preference Share on 17 January 2008, 17 April 2008, 17 July 2008, 23 October 2008, 22 January 2009, 23 April 2009, 23 July 2009, 22 October 2009, 21 January 2010, 17 April 2010, 21 October 2010, 21 January
2011, 19 April 2011, 22 July 2011 and 20 October 2011.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas Agrinvest
Listing: Channel Islands Stock Exchange
Launch date: 21 June 2007
Issue price at launch: 100 pence
NAV immediately following launch: 100 pence
Maturity date: 29 May 2013
ISIN: GB00B1YKCX92
SEDOL: B1YKCX9
Investment Objective
BNP Paribas Agrinvest Shares (herein the "Shares") is a six-year investment aiming to provide shareholders with the opportunity to participate in the performance of exchange-traded commodities futures comprised in the DCI® Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is designed to provide a broad yet liquid representation of large, mid and small commodity futures inside the Organisation for Economic Cooperation and Development (OECD). The Index consists of 23 components within the agriculture sector. The Index is also subject to a forward curve roll optimisation process through the addition of a quantitative enhancement algorithm.
Investment Performance
Between launch on 22 June 2007 and close on 31 October 2011 the NAV had increased by 21.9%. Over this period the S&P GSCI Agri & Livestock ER Index had fallen by 9% and DJ UBS Commodity ER had fallen by 13.9%.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Enhanced Property Recovery
Listing: Channel Islands Stock Exchange
Launch date: 13 March 2008
Issue price at launch: 100 pence
NAV immediately following launch: 100 pence
Maturity date: March 13, 2014
ISIN: GG00B2PWW869
SEDOL: B2PWW86
Investment Objective
The Enhanced Property Recovery Fund allows investors to benefit from a possible recovery in the listed property market with an enhanced market timing mechanism. At maturity, if the FTSE EPRA European Index (Bloomberg code: EPRA Index) (the "Index") finishes above its initial level, the fund will pay the greater of either 170% or the enhanced performance of the index. If the Index closes below the initial level, the Fund will track the Index.
Investment Performance
Between launch on 13 March 2008 and close on 31 October 2011 the NAV had fallen by 34.9%. Over this period the EPRA Index had decreased by 34.3%. The Fund performance is driven primarily by sensitivity of the NAV to movements in the underlying Index, which is nearly one for one. The Fund recorded itslowest observation in March 2009 at 760.83. The enhanced market timing mechanism of this Fund means that if the Index was to recover to maturity, this figure would be used as the reference for which to calculate final performance.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
BNP Paribas Energy-Base Metals (3)
Listing: Channel Islands Stock Exchange
Launch date: 5 June 2008
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 5 June 2014
ISIN: GG00B2R9LW24
SEDOL: B39TP47
Epic Code: EBMC
Investment Objective
BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year investment offering 175% of the upside of the spot prices of a portfolio of commodities. The portfolio comprises West Texas Intermediate Oil (30%), Natural Gas (20%), Aluminium (12.5%), Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio performance is negative over six years, 100 pence is returned at maturity.
The name and weighting of each commodity, the spot prices of each commodity recorded at launch (the nearest futures price in the case of oil) and as of 31 October 2011 are set out in the table below.
Commodity name | Value at Start | Value as of 31-Oct-11 | Change | Weight |
Aluminium | 2858.5 | 2187 | -23.5% | 12.5% |
Copper | 8006 | 7900.5 | -1.3% | 12.5% |
Nickel | 22000 | 19225 | -12.6% | 12.5% |
West Texas Intermediate | 122.3 | 93.19 | -23.8% | 30.0% |
Zinc | 1948.5 | 1918.5 | -1.5% | 12.5% |
Natural Gas | 12.379 | 3.934 | -68.2% | 20.0% |
Source for commodity values information: Bloomberg
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 5 June 2008 and close on 31 October 2011 the NAV had risen by 6.1%. Over this period the DJ AIG Commodities Excess Return Index had fallen by 31.3%.
Class A Sterling Hedged Enhanced Income Preference Shares and Class B Unhedged Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: March 19 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: March 2108
Class A ISIN: GG00B4W90V35
Class A SEDOL: B65H881
Class B ISIN: GG00B4W90W+42
Class B SEDOL: B4W90W4
Investment Objective
The investment objective of the cell is to provide Shareholders with a stable stream of quarterly dividend distributions (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital based on an investment strategy linked to the performance of the Dow Jones Euro STOXX 50® Index (the "Index") and notional call options written on the Index (the "Strategy"). Dividend distributions on the Enhanced Income Preference Shares will be denominated and paid in GBP in respect of the Class A Shares and in EUR in respect of the Class B Shares. There are currently no Class B Shares in issue.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 19 March 2009 and close on 31 October 2011 the Total Return Performance had risen by 13.9%. Over this period the DJ EuroStoxx TR Index had increased by 28.7%. The directors declared interim dividends of 2.00 pence per Class A Share on 24 June 2009, of 2.30 pence per Class A Share on 23 September 2009, 2.40
pence per Class A Share on 23 December 2009, 2.30 pence per Class A Share on 24 March 2010, 2.00 pence per Class A Share on 23 June 2010, 2.00 pence per Class A Share on 22 September 2010, 2.00 pence per Class A Share on 22 December 2010, 2.00 pence per Class A Share on 23 March 2011, 2.00 pence per Class A Share on 23 June 2011 and 1.80 pence per Class A Share on 23 September 2011.
Class A Sterling Hedged COMAC Preference Shares and Class B US Dollar Unhedged COMAC Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 1 June 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: June 2029
Class A ISIN: GG00B3VGTS89
Class A SEDOL: B3VGTS8
Class B ISIN: GG00B3VM1S01
Class B SEDOL: B3VM1S
Investment Objective
The investment objective of the cell is to provide shareholders with exposure to the performance of an actively managed long short arbitrage strategy based on a portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the "Index"). The Index is denominated in USD and is designed to track the performance of an actively managed portfolio of 25 commodities selected from the energy, metals and agricultural sectors, the respective weightings of which are determined in accordance with an investment strategy based on recommendations provided by the
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
COMAC Adviser and a rules-based proprietary methodology designed by BNP Paribas (the "Index Methodology").
Investment Performance
Between launch on 1 June 2009 and close on 31 October 2011 the NAV of Class A had fallen by 34.16%. There are currently no Class B Shares in issue.
Class A Sterling Hedged US Enhanced Income Preference Shares and Class B Unhedged US Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 16 July 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence class A & 100 cents class B
Maturity date: July 2029
Class A ISIN: GG00B4409G28
Class A SEDOL: B4409G2
Class B ISIN: GG00B4409P19
Class B SEDOL: B4409P1
Investment Objective
The cell's investment objective is to provide Shareholders with a stable stream of quarterly dividends (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy (the "Strategy") linked to the total return performance of the Standard and Poor's 500® Index (the "Index") and notional short-term call options written on such index.
Investment Performance
Between launch on 16 July 2009 and close on 31 October 2011 the NAV Total Return Performance was 21.6% and 21.5% respectively for class A and class B (based on an initial NAV of 100 pence and 100 cents respectively for class A and class B) compared with the S&P TR Performance, which increased 39.6% over that period. The directors declared interim dividends of 2.00 pence per Class A Sterling Hedged US Enhanced Income
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Preference Share and 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 21 July 2010, 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 20 October 2010, 2.20 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.20 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 20 January 2011, 2.20 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.20 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 20 April 2011, 2.20 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.20 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 20 July 2011 and 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share and 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share on 19 October 2011.
UK Enhanced Income
Listing: Channel Islands Stock Exchange
Launch date: 24 September 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: September 2029
ISIN: GG00B3YF5842
SEDOL: B3YF584
Investment Objective
The cell's investment objective is to provide Shareholders with a stable stream of quarterly dividends (with a targeted dividend yield of approximately 8% per annum, subject to increase and decrease in certain circumstances) and return on capital, such investment objective being intended to be achieved by reference to an investment strategy (the "Strategy") linked to the total return performance of the FTSE 100™ Index (the "Index") and notional short-term call options written on such index.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Investment Performance
Between launch on 24 September 2009 and close on 31 October 2011 the Total Return Performance had increased by 8.8%. Over this period the FTSE 100 Total Return Index had risen by 16.9%. The directors declared an interim dividend of 2.00 pence per UK Enhanced Income Preference Share on 30 June 2010, 2.00 pence per UK Enhanced Income Preference Share on 30 September 2010, 2.00 pence per UK Enhanced Income Preference Share on 30 December 2010, 2.00 pence per UK Enhanced Income Preference Share on 30 March 2011, 2.00 pence per UK Enhanced Income Preference Share on 30 June 2011 and 1.90 pence per UK Enhanced Income Preference Share on 30 September 2011.
Harewood Structured Investment PCC Limited (the "Company")
INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF HAREWOOD STRUCTURED INVESTMENT PCC LIMITED
Report on the Financial Statements
We have audited the accompanying financial statements of Harewood Structured Investment PCC Limited ("the Company") which comprise the Statement of Financial Position as of 31 October 2011 and the Statement of Comprehensive Income, the Statement of Changes in Net Assets Attributable to Holders of Preference Shares and the Statement of Cash Flows for the year then ended and a summary of significant accounting policies and other explanatory information.
Directors' Responsibility for the Financial Statements
The directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards and with the requirements of Guernsey law. The directors are also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
Auditors' Responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing. Those Standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditors' judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the directors, as well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements give a true and fair view of the financial position of the Company as of 31 October 2011, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards and have been properly prepared in accordance with the requirements of The Companies (Guernsey) Law, 2008.
Report on other Legal and Regulatory Requirements
We read the other information contained in the Annual Report and consider the implications for our report if we become aware of any apparent misstatements or material inconsistencies with the financial statements. The other information comprises the following reports: About the Company, Investment Objective and Policy, Net Asset Values, Management Report, Report of the Directors, Investment Manager's Report, Schedule of Investments, Directors and Service Providers and Shareholder Information.
Harewood Structured Investment PCC Limited (the "Company")
INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF HAREWOOD STRUCTURED INVESTMENT PCC LIMITED (continued)
In our opinion the information given in the Report of the Directors is consistent with the financial statements.
This report, including the opinion, has been prepared for and only for the Company's members as a body in accordance with Section 262 of The Companies (Guernsey) Law, 2008 and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.
PricewaterhouseCoopers CI LLP
Chartered Accountants
Guernsey, Channel Islands
2012
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF COMPREHENSIVE INCOME
for the year ended 31 October 2011
Year to | Year to | |||
31 Oct 2011 | 31 Oct 2010 | |||
Total | Total | |||
Notes | GBP | GBP | ||
Net movement in unrealised (losses) / gains on | ||||
on investments | (78,988,323) | 13,846,952 | ||
Realised gains / (losses) on investments | 3,8 | 10,465,333 | (16,452,795) | |
Realised exchange gains on currency balances | 2,583 | - | ||
Amortisation of debt issue costs | (18,611) | (49,585) | ||
Income from financial assets at fair value through profit | ||||
or loss | 34,110,254 | 37,526,039 | ||
Finance costs - distributions to holders of Preference | ||||
Shares | (34,110,254) | (37,526,039) | ||
Decrease in net assets attributable to Preference | ||||
shareholders from operations | (68,539,018) | (2,655,428) | ||
Other Comprehensive Income:
Unrealised foreign exchange gains / (losses) | 219,992 | (849,486) | ||
Total Comprehensive Income | (68,319,026) | (3,504,914) | ||
Pence | Pence | |||
Loss per Share | 1j | (8.63) | (0.31) |
There are no recognised gains or losses for the year other than those disclosed above.
The notes on pages 56 to 82 form an integral part of these financial statements.Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF FINANCIAL POSITION
as at 31 October 2011
Year to | Year to | |||
| 31 Oct 2011 | 31 Oct 2010 | ||
| Total | Total | ||
| Notes | GBP | GBP | |
ASSETS | ||||
NON CURRENT ASSETS | ||||
Financial assets at fair value through profit or loss | 606,861,780 | 749,550,096 | ||
CURRENT ASSETS | ||||
Cash and cash equivalents | 1g | 2,583 | - | |
Investment income receivable | 1h | 4,882,397 | 4,927,881 | |
Prepaid debt issue costs | - | 18,611 | ||
4,884,980 | 4,946,492 | |||
LIABILITIES | ||||
CURRENT LIABILITIES | ||||
Dividends payable | 1l | 4,882,397 | 4,927,881 | |
4,882,397 | 4,927,881 | |||
NET ASSETS ATTRIBUTABLE TO HOLDERS OF | ||||
PREFERENCE SHARES | 3 | 606,864,363 | 749,568,707 |
The financial statements were approved by the Board of directors and authorised for issue on 2012 and are signed on its behalf by:
Director Director
The notes on pages 56 to 82 form an integral part of these financial statements.Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
for the year ended 31 October 2011
Year to | Year to | |||
31 Oct 2011 | 31 Oct 2010 | |||
Total | Total | |||
Notes | GBP | GBP | ||
Opening balance | 749,568,707 | 796,640,085 | ||
Redemption of shares | 3 | (74,385,318) | (43,566,464) | |
Net loss for the year attributable to holders of | ||||
Preference Shares | (68,539,018) | (2,655,428) | ||
Unrealised foreign exchange gains / (losses) | 3 | 219,992 | (849,486) | |
Balance as at 31 October | 606,864,363 | 749,568,707 |
The notes on pages 56 to 82 form an integral part of these financial statements.Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF CASH FLOWS
for the year ended 31 October 2011
Year to | Year to | ||
31 Oct 2011 | 31 Oct 2010 | ||
Total | Total | ||
GBP | GBP | ||
Operating activities | |||
Net loss for the year attributable to holders of Preference | |||
Shares | (68,539,018) | (2,655,428) | |
Distributions to holders of Preference Shares | 34,155,738 | 36,661,414 | |
Movement in realised and unrealised loss on investments | 68,522,990 | 2,605,843 | |
Movement in debtors and creditors during the year | 18,611 | 49,585 | |
Redemption of financial assets | 74,385,318 | 43,566,464 | |
Net cash inflow from operating activities | 108,543,639 | 80,227,878 | |
Financing activities | |||
Distributions to holders of Preference Shares redeemed | (74,385,318) | (43,566,464) | |
Distributions to holders of Preference Shares | (34,155,738) | (36,661,414) | |
Net cash outflow from financing activities | (108,541,056) | (80,227,878) | |
Increase in cash and cash equivalents | 2,583 | - | |
Cash and cash equivalents at beginning of year | - | - | |
Increase in cash and cash equivalents | 2,583 | - | |
Cash and cash equivalents at end of year | 2,583 | - |
The notes on pages 56 to 82 form an integral part of these financial statements.Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The principal accounting policies adopted by the Company and applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all periods presented, unless otherwise stated in the following text.
(a) Basis of preparation
The financial statements have been prepared in conformity with International Financial Reporting Standards ("IFRS"). The financial statements have been prepared under the historical cost convention as modified for the measurement at fair value of financial instruments held at fair value through profit or loss.
The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates. It also requires the Board of directors to exercise judgement in the process of applying the Company's accounting policies. The areas involving a high degree of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are disclosed in Note 2.
Changes in accounting policy and disclosures:
The following Standards or Interpretations have been adopted in the current year. Their adoption has not had any impact on the amounts reported in these financial statements and is not expected to have any impact on future financial periods:
IAS 1 Presentation of Financial Statements (annual amendments)
IAS 7 Statement of Cash Flows (annual amendments)
IAS 39 Financial Instruments: Recognition and Measurements (annual amendments)
The following Standards or Interpretations have been issued by the IASB but not yet adopted by the Company:
IFRS 7 Financial Instruments: Disclosures- amendments enhancing disclosures about transfers of financial assets, effective for annual periods beginning on or after 1 July 2011.
IFRS 9 Financial Instruments: Classification and Measurement- replacement of IAS 39 incorporating new requirements on accounting for financial liabilities and impairment of financial assets measured at amortised cost, effective for annual periods beginning on or after 1 January 2013.
IFRS 13 Fair Value Measurement- establishes a single framework for measuring fair value where that is required by other Standards. The Standard applies to both financial and non-financial items measured at fair value, effective for annual periods beginning on or after 1 January 2013.
IAS 1 Presentation of Financial Statements- amendments to revise the way other comprehensive income is presented, effective for annual periods beginning on or after 1 July 2012.
IAS 24 Related Party Disclosures- revised definition of related parties, effective for annual periods beginning on or after 1 January 2011.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(a) Basis of preparation (continued)
The directors have considered the above and are of the opinion that the above Standards and Interpretations are not expected to have a material impact on the Company's financial statements except for the presentation of additional disclosures and changes to the presentation of components of the financial statements. These items will be applied in the first financial period for which they are required.
(b) Functional and presentation currency
Items included in the Company's financial statements are measured using the currency of the primary economic environment in which it operates (the "functional currency"). This is pounds sterling, which reflects the Company's primary activity of investing in sterling-denominated investment transactions. The Company has adopted pounds sterling as its presentation currency as the Company is listed on the Channel Islands Stock Exchange and the majority of its registered shareholders are domiciled in the United Kingdom. Up until the maturity of the cell BNP Paribas Agribusiness in February 2011, there was only one cell which was not listed on the Channel Islands Stock Exchange, instead being listed on the Budapest Stock Exchange. Whilst shareholders of this cell were not exposed to movements in the HUF / Sterling Exchange rate, the previously reported value of this cell in the financial statements was exposed to such movements, as the aggregated financial statements are prepared in the functional currency.
(c) Transactions and balances
Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at period-end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the Statement of Comprehensive Income. Translation differences on non-monetary financial assets and liabilities such as equities at fair value through profit or loss are recognised in the Statement of Comprehensive Income within net movement in unrealised gains / (losses) on investments.
(d) Taxation
The Company has been granted exemption from Guernsey Income Tax under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989, and is charged an annual fee of £600. Dividend income is recognised on a gross basis, including withholding tax, if any.
(e) Expenses
All expenses are accounted for on an accruals basis. All expenses are borne by BNP Paribas SA pursuant to the terms of an Engagement Letter between the Company and BNP Paribas SA. The ongoing expenses for the year under review are detailed in note 7 to the financial statements.
(f) Debt issue costs
Pursuant to the placing and offer for subscription of Shares in the Enhanced Global Asset Allocation cell (the "Cell") the Initial Cell Expenses incurred (as defined in the Cell's Supplemental Memorandum) amounted to £297,509. Because the Preference Shares in EGAA were redeemable on 17 March 2011, they were required to be classified as debt instruments under IAS 32. Consequently, issue costs were required to be amortised over the life of the instrument.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(g) Cash and cash equivalents
At the reporting date cash or cash equivalents comprise cash at bank, which belongs to the Company. As detailed in note 7, all expenses of the Company are borne by BNP Paribas SA. All income received is distributed to shareholders in the relevant cells as dividends.
(h) Income recognition
Dividend income is recognised in the Statement of Comprehensive Income when the relevant cell's right to receive the dividend has been established, normally being the ex-dividend date. Dividend income is recognised on a gross basis, including withholding tax, if any.
(i) Financial assets at fair value through profit or loss
All investments and financial instruments are classified as "at fair value through profit or loss". Investments are initially recognised at cost, being the fair value of the consideration given, including transaction costs associated with the investment. After initial recognition, investments are measured at fair value, with unrealised gains and losses on investments and impairment of investments being recognised in the Statement of Comprehensive Income.
The Company seeks to achieve the investment objective of each cell by entering into a contract with BNP Paribas (referred to herein as the "Counterparty"). Each contract is substantially in the form of an ISDA Master Agreement as supplemented by a transaction confirmation.
In respect of each contract, within BNP Paribas Group (the "Group"), the Market and Liquidity Risk department is responsible for the day-to-day risk monitoring and contributes to the control of the economic fair value of the Group's trading books. This risk function department is separate and independent from the Trading and Sales departments.
The Market and Liquidity Risk department reviews the consistency of the non-observable market parameters by comparing and reconciling on a monthly basis several external data sources, including Bloomberg, Reuters, Markit/Totem and 10X.
This department is also responsible for the validation and control of any valuation models.
(j) Loss per share
The loss per share is based on the decrease in net assets attributable to Preference shareholders from operations of the Company for the year of £68,539,018 (2010: £2,655,428 net loss) and on 794,266,929 (2010: 857,671,534) shares, being the weighted average number of shares in issue during the year. There were no dilutive instruments in issue during the year.
(k) Trade date accounting
All "regular way" purchase and sales of financial assets are recognised on the "trade date" i.e. the date that the entity commits to purchase or sell the asset. Regular way purchases or sales are purchases or sales of financial assets that require delivery of the asset within the time frame generally established by the regulation or convention in the market place.
(l) Distributions payable to holders of redeemable shares
Proposed distributions to holders of redeemable shares are recognised in the Statement of Comprehensive Income when they are declared by the Board of directors. The distribution on these redeemable shares is recognised in the Statement of Comprehensive Income as a finance cost.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)
(m) Going concern
After making enquiries, the directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. The directors believe the Company is well placed to manage its business risks successfully despite the current economic climate. Accordingly, the directors have adopted the going concern basis in preparing the financial information
2 CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS
Management make critical accounting estimates and judgements concerning the future. The resulting accounting estimates will, by definition, seldom equal the related actual results. The estimates and assumptions that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the financial year are outlined below:
(a) Fair value of financial instruments
The Company holds investments which are tailored to meet the Company's respective needs for each cell. As the investments are not traded in an active market, the fair value of such instruments is determined by using valuation techniques. The fair value is calculated weekly and as at each month end by the Counterparty. At each reporting date, an independent check of the valuations of the investments is performed by Future Value Consultants Limited (the "Calculation Agent"), an independent third party. The Calculation Agent uses a variety of methods and makes assumptions that are based on market conditions existing at the reporting date. Valuation techniques used include the use of comparable recent arm's length transactions (where available), discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants. These techniques are periodically reviewed by experienced personnel at the Calculation Agent.
Models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilities, capital risk and correlations require management to make estimates. Changes in assumptions about these factors could materially affect the reported fair value of financial instruments.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
Year to | Year to |
| ||||
31 Oct 2011 | 31 Oct 2010 |
| ||||
Total | Total |
| ||||
GBP | GBP |
| ||||
| ||||||
Opening portfolio cost | 789,581,018 | 849,600,277 |
| |||
Opening unrealised losses on valuation | (46,362,181) | (60,159,548) |
| |||
Opening exchange gains on currency balances | 6,349,870 | 7,199,356 |
| |||
| ||||||
Opening valuation | 749,568,707 | 796,640,085 |
| |||
| ||||||
Proceeds from sales of financial assets | (74,385,318) | (43,566,464) |
| |||
Unrealised (loss) / gain for the year | (79,006,934) | 13,797,367 |
| |||
Realised gains / (losses) on investments for the year | 10,465,333 | (16,452,795) |
| |||
Realised exchange gains on currency balances | 2,583 | - |
| |||
Exchange gains / (losses) on currency balances | 219,992 | (849,486) |
| |||
Closing valuation | 606,864,363 | 749,568,707 | ||||
Closing portfolio cost | 725,663,616 | 789,581,018 | ||||
Closing unrealised loss | (125,369,115) | (46,362,181) | ||||
Closing exchange gains on currency balances | 6,569,862 | 6,349,870 | ||||
Closing valuation | 606,864,363 | 749,568,707 | ||||
IFRS 7 requires fair value measurements to be disclosed by the source of inputs, using the following three-level hierarchy:
·; Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1)
·; Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices) (Level 2)
·; Inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3)
The financial assets held by the Company have been classified as Level 2. This is in accordance with the fair value hierarchy.
There have been no transfers between Level 2 and Level 3 of the fair value hierarchy during the year under review.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
4 SHARE CAPITAL
Authorised | SHARES | GBP |
Preference shares of no par value each | Unlimited | - |
Ordinary shares of no par value each | 2 | - |
2 | - |
Allotted, called-up and fully paid Preference Shares | Shares issued as at 1 November 2010 |
Shares Redeemed |
Shares Issued | Shares issued as at 31 October 2011 | ||||||
Cell EGAA | 13,500,255 | (13,500,255) | * | - | - | |||||
Cell FTSE S | 40,501,195 | (40,501,195) | * | - | - | |||||
Cell EBMSG | - | - | - | - | ||||||
Cell UK HI | 141,613,549 | - | - | 141,613,549 | ||||||
Cell EBM (2) | 32,506,140 | - | - | 32,506,140 | ||||||
Cell ES | 25,000,000 | - | - | 25,000,000 | ||||||
Cell Abs Pro | 76,748,923 | - | - | 76,748,923 | ||||||
Cell US HI A | 92,469,987 | - | - | 92,469,987 | ||||||
Cell US HI B | 58,337,229 | - | - | 58,337,229 | ||||||
Cell Agrinvest | 47,225,896 | - | - | 47,225,896 | ||||||
Cell Euro HI A | - | - | - | - | ||||||
Cell Euro HI B | - | - | - | - | ||||||
Cell EPR | 30,125,000 | - | - | 30,125,000 | ||||||
Cell EBM (3) | 49,587,600 | - | - | 49,587,600 | ||||||
Cell Agribus | 72,500 | (72,500) | * | - | - | |||||
Cell EI | 39,999,346 | - | - | 39,999,346 | ||||||
Cell UK EI | 49,015,722 | - | - | 49,015,722 | ||||||
Cell COMAC | 25,526,009 | - | - | 25,526,009 | ||||||
Cell USEI A | 48,500,080 | - | - | 48,500,080 | ||||||
Cell USEI B | 45,079,125 | - | - | 45,079,125 | ||||||
Ordinary Shares | 2 | - | - | 2 | ||||||
TOTAL | 815,808,558 | (54,073,950) | - | 761,734,608 | ||||||
* See Note 8
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
4 SHARE CAPITAL (continued)
Allotted, called-up and fully paid Preference Shares | Shares issued as at 1 November 2009 |
Shares Redeemed |
Shares Issued | Shares issued as at 31 October 2010 | |||
Cell EGAA | 13,500,255 | - | - | 13,500,255 | |||
Cell FTSE S | 40,501,195 | - | - | 40,501,195 | |||
Cell EBMSG | 7,701,999 | (7,701,999) | - | - | |||
Cell UK HI | 141,613,549 | - | - | 141,613,549 | |||
Cell EBM (2) | 32,506,140 | - | - | 32,506,140 | |||
Cell ES | 25,000,000 | - | - | 25,000,000 | |||
Cell Abs Pro | 76,748,923 | - | - | 76,748,923 | |||
Cell US HI A | 92,469,987 | - | - | 92,469,987 | |||
Cell US HI B | 58,337,229 | - | - | 58,337,229 | |||
Cell Agrinvest | 47,225,896 | - | - | 47,225,896 | |||
Cell Euro HI A | 45,375,520 | (45,375,520) | - | - | |||
Cell Euro HI B | 10,261,000 | (10,261,000) | - | - | |||
Cell EPR | 30,125,000 | - | - | 30,125,000 | |||
Cell EBM (3) | 49,587,600 | - | - | 49,587,600 | |||
Cell Agribus | 72,500 | - | - | 72,500 | |||
Cell EI | 39,999,346 | - | - | 39,999,346 | |||
Cell UK EI | 49,015,722 | - | - | 49,015,722 | |||
Cell COMAC | 25,526,009 | - | - | 25,526,009 | |||
Cell USEI A | 48,500,080 | - | - | 48,500,080 | |||
Cell USEI B | 45,079,125 | - | - | 45,079,125 | |||
Ordinary Shares | 2 | - | - | 2 | |||
TOTAL | 879,147,077 | (63,338,519) | - | 815,808,558 |
Holders of Ordinary Shares shall not be entitled to receive and shall not participate in any dividends or other distributions out of the profits of the Company. Holders of Ordinary Shares shall be entitled to receive notice of and to attend and vote at general meetings. The Ordinary Shares are not redeemable and comprise the Company's non-cellular assets.
Holders of BNP Paribas Energy - Base Metals (2) Preference Shares, BNP Paribas European Shield Preference Shares, BNP Paribas Absolute Progression Preference Shares, BNP Paribas Agrinvest Preference Shares, Enhanced Property Recovery Preference Shares, Energy - Base Metals (3) Preference Shares and BNP Paribas COMAC Shares ("Cell Shares") shall not be entitled to receive and shall not participate in any dividends or other distributions of the Company.
Holders of BNP Paribas UK High Income Preference Shares, Class A Sterling Hedged US High Income Preference Shares, Class B Unhedged US High Income Preference Shares,
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
4 SHARE CAPITAL (continued)
Class A Sterling Hedged US Enhanced Income Preference Shares, Class B US Dollar Unhedged US Enhanced Income Preference Shares, Enhanced Income Preference Shares and UK Enhanced Income Preference Shares ("Cell Shares") shall be entitled to receive any dividends or other distributions out of the profits of their respective cells only, but not out of the non-cellular assets of the Company.
On their respective redemption dates the holders of Cell Shares shall be entitled to receive per Cell Share held an amount equal to the net asset value per Cell Share. As disclosed in the Supplemental Memorandum or Summary and Securities Note for each cell, the Cell Shares of each cell will be compulsorily redeemed by the Company on their respective redemption dates.
Holders of Cell Shares shall not be entitled to receive notice of or to attend or vote at any general meeting of the Company.
5 SHARE PREMIUM
Share Premium- Preference Shares | Share premium as at 1 November 2010 |
Shares Redeemed |
Shares Issued | Share premium as at 31 October 2011 | ||||||
GBP | GBP | GBP | GBP | |||||||
Cell EGAA | 14,656,755 | (14,656,755) | * | - | - | |||||
Cell FTSE S | 47,058,395 | (47,058,395) | * | - | - | |||||
Cell EBMSG | - | - | - | - | ||||||
Cell UK HI | 143,419,549 | - | - | 143,419,549 | ||||||
Cell EBM (2) | 32,828,140 | - | - | 32,828,140 | ||||||
Cell ES | 25,000,000 | - | - | 25,000,000 | ||||||
Cell Abs Pro | 77,271,523 | - | - | 77,271,523 | ||||||
Cell US HI A | 92,942,487 | - | - | 92,942,487 | ||||||
Cell US HI B | 30,710,285 | - | - | 30,710,285 | ||||||
Cell Agrinvest | 49,516,896 | - | - | 49,516,896 | ||||||
Cell Euro HI A | - | - | - | - | ||||||
Cell Euro HI B | - | - | - | - | ||||||
Cell EPR | 30,125,000 | - | - | 30,125,000 | ||||||
Cell EBM (3) | 49,292,100 | - | - | 49,292,100 | ||||||
Cell Agribus | 2,502,344 | (2,502,344) | * | - | - | |||||
Cell EI | 42,548,346 | - | - | 42,548,346 | ||||||
Cell UK EI | 49,015,722 | - | - | 49,015,722 | ||||||
Cell COMAC | 25,526,009 | - | - | 25,526,009 | ||||||
Cell USEI A | 48,500,080 | - | - | 48,500,080 | ||||||
Cell USEI B | 28,964,898 | - | - | 28,964,898 | ||||||
TOTAL | 789,878,529 | (64,217,494) | - | 725,661,035 | ||||||
* See Note 8
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
5 SHARE PREMIUM (continued)
Share Premium- Preference Shares | Share premium as at 1 November 2009 |
Shares Redeemed |
Shares Issued | Share premium as at 31 October 2010 | |||
GBP | GBP | GBP | GBP | ||||
Cell EGAA | 14,656,755 | - | - | 14,656,755 | |||
Cell FTSE S | 47,058,395 | - | - | 47,058,395 | |||
Cell EBMSG | 7,747,779 | (7,747,779) | - | - | |||
Cell UK HI | 143,419,549 | - | - | 143,419,549 | |||
Cell EBM (2) | 32,828,140 | - | - | 32,828,140 | |||
Cell ES | 25,000,000 | - | - | 25,000,000 | |||
Cell Abs Pro | 77,271,523 | - | - | 77,271,523 | |||
Cell US HI A | 92,942,487 | - | - | 92,942,487 | |||
Cell US HI B | 30,710,285 | - | - | 30,710,285 | |||
Cell Agrinvest | 49,516,896 | - | - | 49,516,896 | |||
Cell Euro HI A | 45,375,520 | (45,375,520) | - | - | |||
Cell Euro HI B | 6,895,958 | (6,895,958) | - | - | |||
Cell EPR | 30,125,000 | - | - | 30,125,000 | |||
Cell EBM (3) | 49,292,100 | - | - | 49,292,100 | |||
Cell Agribus | 2,502,344 | - | - | 2,502,344 | |||
Cell EI | 42,548,346 | - | - | 42,548,346 | |||
Cell UK EI | 49,015,722 | - | - | 49,015,722 | |||
Cell COMAC | 25,526,009 | - | - | 25,526,009 | |||
Cell USEI A | 48,500,080 | - | - | 48,500,080 | |||
Cell USEI B | 28,964,898 | - | - | 28,964,898 | |||
TOTAL | 849,897,786 | (60,019,257) | - | 789,878,529 |
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The Company's activities expose it to a variety of financial risks: market risk (including interest rate risk and market price risk), credit risk, liquidity risk and foreign exchange risk.
The Company's overall risk management program focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Company's financial performance. The Company uses financial instruments to moderate certain risk exposures.
(a) Interest Rate Risk
The Company is not directly exposed to cash flow interest rate risk. Changes in interest rates may affect the performance of the swap contracts in which each cell is invested. The Board and the Investment Manager monitor, but cannot control, interest rate risk.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(b) Market Price Risk
Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the Company might suffer through holding market positions in the face of price movements. The Investment Manager actively monitors market prices and reports to the Board as to the appropriateness of the prices used for valuation purposes. On a periodic basis independent valuations of the Company's investments are obtained from the Calculation Agent. A list of investments held by the Company is shown in the Schedule of Investments on pages 79 to 82.
The Investment Manager also monitors on a monthly basis the market price risk of each cell's underlying financial assets and liabilities using statistical measures, such as Delta. Delta is the percentage change in price of an investment in relation to a 1% change in the price of the underlying security, index or rate. As there is no secondary market for the Company's investments, the Board cannot directly monitor nor control market price risk.
Price sensitivity
If market prices as at 31 Oct 2011 / 2010 had been 10 per cent higher / lower, and assuming these values were to remain unchanged through to the end of the life of the cells, with all other variables held constant, the increase / decrease in net assets attributable to holders of Cell Shares on the Redemption Date would have been as stated below, arising due to the increase / decrease in the fair value of the financial assets at fair value through profit or loss.
Increase in net assets attributable to holders of Preference Shares | Decrease in net assets attributable to holders of Preference Shares | ||||||
Year ended 31 October 2011 | Year ended 31 October 2010 | Year ended 31 October 2011 | Year ended 31 October 2010 | ||||
Cell | GBP | GBP | GBP | GBP | |||
Cell EGAA | - | 1,857,095 | (1,857,095) | ||||
Cell FTSE S | - | 5,255,395 | (5,255,395) | ||||
Cell UK HI | 6,475,988 | 8,005,272 | (6,475,988) | (8,005,272) | |||
Cell EBM (2) | 5,184,729 | 5,725,729 | (5,184,729) | (5,725,729) | |||
Cell ES | 1,858,825 | 2,306,775 | (1,858,825) | (2,306,775) | |||
Cell Abs Pro | 9,600,216 | 9,490,772 | (9,600,216) | (9,490,772) | |||
Cell US HI A | 4,791,795 | 6,134,089 | (4,791,795) | (6,134,089) | |||
Cell US HI B | 2,006,037 | 2,535,798 | (2,006,037) | (2,535,798) | |||
Cell Agrinvest | 5,757,262 | 5,962,080 | (5,757,262) | (5,962,080) | |||
Cell EPR | 1,960,505 | 2,391,021 | (1,960,505) | (2,391,021) | |||
Cell EBM (3) | 5,271,509 | 5,497,133 | (5,271,509) | (5,497,133) | |||
Cell Agribus | - | 252,681 | - | (252,681) | |||
Cell COMAC | 1,680,530 | 2,163,534 | (1,680,530) | (2,163,534) | |||
Cell US EI A | 4,960,346 | 5,120,153 | (4,960,346) | (5,120,153) | |||
Cell US EI B | 2,863,093 | 2,974,799 | (2,863,093) | (2,974,799) | |||
Cell UK EI | 4,551,845 | 4,927,355 | (4,551,845) | (4,927,355) | |||
Cell EI | 3,723,499 | 4,355,329 | (3,723,499) | (4,355,329) | |||
60,686,179 | 74,955,010 | (60,686,179) | (74,955,010) | ||||
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(c) Credit Risk
Credit risk is the risk that an issuer or counterparty will be unable or unwilling to meet a commitment that it has entered into with the Company. At the date of this report the Counterparty was rated AA- by Standard & Poor's for credit purposes.
Investors should be aware that repayment by the Company at the relevant redemption date of the redemption proceeds due to shareholders will only be performed if the Counterparty satisfies its obligations under the relevant contract to repay to the Company any amount due. Under the terms of the Credit Support Deeds between the Company and the Counterparty, the Counterparty is required to deliver varying amounts of collateral to an escrow account held in favour of the Company.
Under the terms of credit support deeds entered into between the Counterparty and the Company acting for and on behalf of each cell, the Counterparty is required to post collateral in the form of AAA rated government bonds in favour of the Company acting for and on behalf of each cell, such collateral being valued on a weekly basis and, if the value of the collateral is less than the value calculated as specified below (the "Credit Support Amount"), the Counterparty will provide additional collateral to increase the aggregate value to at least the Credit Support Amount. Where there is an event of default in respect of the Counterparty under the swap confirmation, the Company will be entitled to enforce against the Counterparty its security over the collateral.
Due to the collateral being monitored on a weekly basis (as detailed above), there is a risk due to timing that the amount posted to collateral will be less than the Credit Support Amount.
The Credit Support Amount is the lesser of (a) 100% of the net asset value of the relevant cell and (b) the total of the Applicable Percentage of such net asset value plus 10% of such net asset value (where the "Applicable Percentage" is calculated so as to reflect the percentage of shares in the relevant cell held at the relevant time by shareholders other than BNP Paribas Arbitrage SNC).
The most significant concentration of credit risk for the Company is that the Counterparty will be unable to satisfy its obligations under the relevant contract to repay to the Company any amount due. The maximum credit risk exposure at the reporting date is therefore considered to be the total valuation of the investments at this date, being £606,861,780.
The Investment Manager and Administrator monitor collateral posted on a weekly basis and report to the Board quarterly on the Counterparty's compliance with the relevant Credit Support Deeds. The Investment Manager and Administrator have also undertaken to report to the Board immediately if there is a breach of compliance with the terms of the relevant Credit Support Deeds.
The Board monitors, but cannot control, credit risk.
(d) Liquidity Risk
Liquidity risk is the risk that the Company will encounter difficulty in realising assets or otherwise raising funds to meet financial commitments and obligations to shareholders on redemption of their shares of a cell. The only financial commitments of the Company are to meet ongoing expenses and these are met out of monies provided to the Company's Administrator by BNP Paribas SA.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(d) Liquidity Risk (continued)
There is a further liquidity risk in respect of the redemption of shares, the dates of which are set out in note 6(g) (ii).
As the investments are not traded in an active market, the Company may not be able to liquidate quickly its investments in these instruments at an amount close to their fair value to meet its liquidity requirements or to respond to specific events such as deterioration in the credit worthiness of the Counterparty.
The table below details the residual contractual maturities of the financial liabilities:
At 31 Oct 2011 | 1-3 months | 3-12 months | Over 1 year | Total | |||
GBP | GBP | GBP | GBP | ||||
Net assets attributable to holders of Preference Shares |
64,762,459 |
166,437,701 |
375,664,203 |
606,864,363 |
At 31 Oct 2010 | 1-3 months | 3-12 months | Over 1 year | Total | |||
GBP | GBP | GBP | GBP | ||||
Net assets attributable to holders of Preference Shares |
2,545,416 |
71,124,897 |
675,898,394 |
749,568,707 |
The table below details the expected liquidity of assets held:
At 31 Oct 2011 | 1-3 months | 3-12 months | Over 1 year | Total | |||
GBP | GBP | GBP | GBP | ||||
Net assets |
64,762,459 |
166,437,701 |
375,664,203 |
606,864,363 |
At 31 Oct 2010 | 1-3 months | 3-12 months | Over 1 year | Total | |||
GBP | GBP | GBP | GBP | ||||
Net assets |
2,545,416 |
71,124,897 |
675,898,394 |
749,568,707 |
The Board monitors, but cannot actively control, liquidity risk.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(e) Capital Risk Management
The Company has an unlimited life but the Protected Cell Shares for each cell have a fixed redemption date.
The Board of directors believes the current capital structure to be sufficient in meeting the capital requirements of the Company.
All expenses are borne by BNP Paribas SA and redemption proceeds are limited to the amounts received, if any, on the maturity or early termination of the relevant investment contract between the Company and the Counterparty.
Potential losses to shareholders are mitigated by the returns stipulated in the swap agreement with the Counterparty as described in note 6 (h) and the collateral arrangements which are set out in note 6(i).
(f) Foreign Exchange Risk
The carrying amounts of the Company's foreign currency denominated financial assets at the reporting date are as follows:
Year ended | Year ended | ||
31 October 2011 | 31 October 2010 | ||
GBP | GBP | ||
US Dollar | 48,691,298 | 55,105,977 | |
Hungarian Forint | - | 2,526,805 |
As subscription, redemption and dividend payments in respect of all cells other than US High Income are made in the same functional currency, none of the cells other than US High Income are exposed to foreign exchange risk. Subscription and redemption payments in respect of Class B US High Income are made in US Dollars, but dividends are paid in the Sterling equivalent of a fixed US Dollar amount, unless the relevant shareholder elects to receive their dividends in US Dollars. As the currency in which these dividends are paid is selected at the option of the shareholder and may be paid in the functional currency, the directors do not consider that the Company acting on behalf of US High Income is exposed to material foreign exchange risk.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(g) Valuation
(i) The notional amounts of the financial instruments are as follows:
BNP Paribas UK High Income | GBP 141,613,549 |
BNP Paribas Energy - Base Metals (2) | GBP 32,506,140 |
BNP Paribas European Shield | GBP 25,000,000 |
BNP Paribas Absolute Progression | GBP 76,748,923 |
US High Income Cell - Class A | GBP 92,469,987 |
US High Income Cell - Class B | USD 58,337,229 |
BNP Paribas Agrinvest | GBP 47,225,896 |
Enhanced Property Recovery | GBP 30,125,000 |
Energy - Base Metals (3) | GBP 49,587,600 |
Enhanced Income | GBP 39,999,346 |
UK Enhanced Income | GBP 49,015,722 |
BNP Paribas COMAC | GBP 25,526,009 |
US Enhanced Income - Class A | GBP 48,500,080 |
US Enhanced Income - Class B | USD 45,079,125 |
(ii) The maturity dates of the financial instruments are as follows:
BNP Paribas UK High Income | 8 December 2011 |
BNP Paribas Energy - Base Metals (2) | 22 March 2012 |
BNP Paribas European Shield | 26 April 2012 |
BNP Paribas Absolute Progression | 26 July 2012 |
US High Income Cell - Class A | 19 November 2012 |
US High Income Cell - Class B | 19 November 2012 |
BNP Paribas Agrinvest | 22 June 2013 |
Enhanced Property Recovery | 13 March 2014 |
Energy - Base Metals (3) | 5 June 2014 |
UK Enhanced Income | 24 September 2029 |
BNP Paribas COMAC | 8 June 2029 |
US Enhanced Income - Class A | 16 July 2029 |
US Enhanced Income - Class B | 16 July 2029 |
Enhanced Income | *c. 30 April 2108 |
\* The maturity date of the Enhanced Income cell will be the 26th business day after the final ex dividend date. As the business days in April 2108 cannot yet be determined, an approximate date is disclosed.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(g) Valuation (continued)
(iii) Early Settlement Options relating to the investment contracts
Each contract entered into between the Counterparty and the Company acting for and on behalf of each cell have been entered into upon terms which allow such contracts to be terminated, inter alia, in the following circumstances:
(a) by the Company if the Counterparty fails to make a payment under the relevant contract (subject to a grace period of three local business days) or makes a representation which is incorrect or misleading in any material respect or fails to comply with its related obligations;
(b) by the Counterparty if the Company fails to make a payment it is required to pay under the relevant contract (subject to the grace period mentioned above); and
(c) by either the Counterparty or the Company if the other party is dissolved, becomes insolvent or is unable to pay its debts as they become due or on the occurrence of an illegality or the imposition on payments under the Contract of a withholding which the Company or the Counterparty, as the case may be, is unable to gross-up.
It is anticipated that, on early termination of a Contract, a termination payment would become due to the Company equal to the aggregate net asset value of the relevant Contract at the date of such termination. The directors may reinvest such proceeds as they see fit in investments which in the opinion of the directors replicate as nearly as practicable the investment characteristics of the contract so terminated and so that the proceeds are invested, as nearly as practicable, in accordance with the Company's stated investment objective for the relevant cell.
Even if recovered by the Company, any early redemption amount in respect of the shares of the relevant cell may result in a lower return than would have been the case if the contract had continued and been performed up to its maturity date.
In the event that the directors determine that the investment characteristics of the Contract cannot be replicated then the directors will notify Shareholders of the relevant cell of such circumstances, the relevant early redemption amount and the relevant early redemption date.
If the Counterparty fails to top up the collateral such that it is equal to at least the Specified Percentage (as set out in note 6(i) below) or other circumstances constituting an event of default with respect to the Counterparty occur, the Company will be entitled to enforce its security over the collateral as well as to pursue any other remedies it may have against the Counterparty. In such circumstances, the Company will re-invest the proceeds of realisation of the collateral or distribute the same to Shareholders.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments
BNP Paribas UK High Income Cell
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the BNP Paribas UK High Income cell, the Counterparty pays to the Company for the account of the BNP Paribas UK High Income cell quarterly a Sterling amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 pence per BNP Paribas UK High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 pence per BNP Paribas UK High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 pence per BNP Paribas UK High Income Preference Share.
US High Income Cell - Class A
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US High Income cell in respect of Class A, the Counterparty pays to the Company for the account of the US High Income cell quarterly a Sterling amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 pence per Class A Sterling Hedged US High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 pence per Class A Sterling Hedged US High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 pence per Class A Sterling Hedged US High Income Preference Share.
US High Income Cell - Class B
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US High Income cell in respect of Class B, the Counterparty pays to the Company for the account of the US High Income cell quarterly the Sterling equivalent of an amount equal to 1.875% of the notional amount of the Swap Confirmation, equivalent to 1.875 cents per Class B Unhedged US High Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 cents per share), future payments will increase to 2.0625% of the notional amount of the Swap Confirmation, equivalent to 2.0625 cents per Class B Unhedged US High Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.09375%, equivalent to 0.09375 cents per Class B Unhedged US High Income Preference Share. Where holders of Class B Unhedged US High Income Preference Shares have elected to receive their quarterly dividends in US Dollars, the Counterparty pays at the request of the Company in US Dollars such proportion of the quarterly payment as is required to enable the Company to finance the quarterly dividends payable in US Dollars and the balance in Sterling.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments(continued)
Enhanced Income
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the Enhanced Income cell, the Counterparty will pay to the Company for the account of the Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per Class A Sterling Hedged Enhanced Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling Hedged Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged Enhanced Income Preference Share.
UK Enhanced Income
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of BNP Paribas UK Enhanced Income cell, the Counterparty will pay to the Company for the account of the UK Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per UK Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per UK Enhanced Income Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per UK Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per UK Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per UK Enhanced Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(h) Periodic Returns on Principal and Timings of Payments(continued)
US Enhanced Income - Class A
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US Enhanced Income cell in respect of Class A, the Counterparty will pay to the Company for the account of the US Enhanced Income cell quarterly a Sterling amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 pence per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 pence per BNP Paribas US Enhanced Income Class A Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 pence per Class A Sterling Hedged US Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 pence per Class A Sterling Hedged US Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 pence per Class A Sterling Hedged US Enhanced Income Preference Share.
US Enhanced Income - Class B
Under the terms of the Swap Confirmation between the Counterparty and the Company acting for and on behalf of the US Enhanced Income cell in respect of Class B, the Counterparty will pay to the Company for the account of the US Enhanced Income cell quarterly a US Dollar amount equal to 2.00% of the notional amount of the Swap Confirmation, equivalent to 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share, provided that if the underlying portfolio net asset value reaches 110% of the initial underlying portfolio net asset value (equivalent to a net asset value of 110 cents per share), future payments will increase to 2.20% of the notional amount of the Swap Confirmation, equivalent to 2.20 cents per BNP Paribas US Enhanced Income Class B Preference Share. For each subsequent 5 per cent increase in the underlying portfolio net asset value, subsequent quarterly payments will increase by 0.1%, equivalent to 0.1 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently decreases after having increased to 110% or more of the initial underlying portfolio net asset value, but has not decreased to less than 100% of the initial underlying portfolio net asset value, subsequent quarterly payments will reduce to 2.00 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share. If the underlying portfolio net asset value has fallen below 100 per cent. and below a lower percentage which is an integral multiple of 5 per cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying portfolio net asset value, subsequent dividend payments will be adjusted to be the product of 2.00% and the relevant percentage threshold level and 100 cents per Class B US Dollar Unhedged US Enhanced Income Preference Share.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(i) Collateral Arrangements
Under the terms of credit support deeds entered into between the Counterparty and the Company acting for and on behalf of each cell, the Counterparty is required to post collateral in the form of AAA rated government bonds in favour of the Company acting for and on behalf of each cell, such collateral being valued on a weekly basis and, if the value of the collateral is less than the Credit Support Amount (as set out in note 6(c) above), the Counterparty will provide additional collateral to increase the aggregate value to at least the applicable Credit Support Amount. Where there is an event of default in respect of the Counterparty under the swap confirmation, the Company will be entitled to enforce its security over the collateral. The collateral is delivered to an escrow account, held by BNP Paribas Securities Services as custodian, in favour of the Company.
The collateral held against all financial instruments as at 31 October 2011 is detailed below:
Cell | Year ended | Year ended | |
31 October 2011 | 31 October 2010 | ||
GBP | GBP | ||
EGAA | - | 6,071,634 | |
FTSE S | - | 6,546,572 | |
UK HI | 10,112,173 | 9,644,704 | |
EBM (2) | 6,284,675 | 7,927,159 | |
ES | 3,790,597 | 5,279,994 | |
Abs Pro | 12,861,034 | 15,313,761 | |
US HI | 13,171,624 | 23,366,452 | |
Agrinvest | 10,830,717 | 16,016,399 | |
EPR | 10,422,194 | 12,993,972 | |
EBM (3) | 14,664,023 | 16,432,104 | |
Agribus | - | 2,289,575 | |
COMAC | 2,720,430 | 3,383,428 | |
US EI | 39,297,838 | 52,444,168 | |
UK EI | 19,609,645 | 24,026,325 | |
EI | 12,561977 | 24,635,481 |
(j) Finance Costs and Expenses
All payments by the Company are made in Sterling, except that the Investment Manager's fees in respect of Class B of US High Income and US Enhanced Income are paid in US Dollars.
All expenses are met out of monies provided by BNP Paribas.
Quarterly payments to the Company for the account of the US High Income cell in respect of Class B are made in Sterling, except that if the Company so elects by notice in writing to the Counterparty specifying the portion of the investment contract in respect of which the Company wishes to receive payment in US Dollars, such payment is paid in part, in US Dollars in an amount equal to the product of (a) the number of Units so specified, (b) USD 1.00 and (c) the underlying dividend rate (as explained further at note 6(h) above) and (2) as to the balance in Sterling in an amount equal to the product of (x) the remaining number of Units, (y) the Sterling Amount which could be purchased with USD 1.00 at the applicable Forward Rate and (z) the underlying dividend rate) as explained further at note 6(h) above). Such election will be made to satisfy elections from holders of Class B Unhedged US High Income Preference Shares to receive their dividends in US Dollars.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)
(j) Finance Costs and Expenses (continued)
Dividends paid by the Company to holders of Class B Unhedged US High Income Preference Shares are paid in Sterling except that, where holders of such shares have elected to receive their dividends in US Dollars, such dividends will be paid in US Dollars in an amount equal to the product of (a) the number of Class B Unhedged US High Income Preference Shares in respect of which such election is made, (b) USD 1.00 and (c) the underlying dividend rate (as explained further at note 6(h) above).
Payments to the Company for the account of the US Enhanced Income cell in respect of Class B are made in US Dollars.
Dividends paid by the Company to holders of Class B US Dollar Unhedged US Enhanced Income Preference Shares are paid in US Dollars.
7 RELATED PARTY TRANSACTIONS
Anson Fund Managers Limited is the Administrator and Secretary of the Company and Anson Registrars Limited is the Registrar of the Company. John R Le Prevost is a director of both these companies. During the year under review, the Administrator charged fees of £239,486 (2010: £276,416) in respect of its administration of the Company of which £17,771 (2010: £21,529) was outstanding at the year end and the Registrar charged fees of £37,421 (2010: £45,354) in respect of registration services on behalf of the Company of which £1,259 (2010: £1,777) was outstanding at the year end.
Anson Group Limited ("AGL") is the ultimate controlling party of Anson Fund Managers Limited and Anson Registrars Limited. John R Le Prevost and Peter Atkinson are directors of AGL. John R Le Prevost is also the controlling shareholder of AGL. Peter Atkinson resigned as a director of the Company on 20 October 2011.
THEAM (previously named Harewood Asset Management SAS), and BNP Paribas Arbitrage SNC, the Company's ultimate controlling party, are both members of the BNP Paribas Group.
During the year under review the Investment Manager charged fees of £817,123 (2010: £847,865), of which £Nil (2010: £Nil) was outstanding at the year end.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
7 RELATED PARTY TRANSACTIONS (continued)
As described elsewhere in the financial statements, BNP Paribas, a member of the BNP Paribas Group, was appointed as Distributor of Preference Shares in all the cells and is also the Counterparty to the Index Derivative Contracts entered into by the Company on behalf of all cells. All these transactions and arrangements have been entered into on an arms length basis. At the end of the year BNP Paribas Group and its subsidiaries held the following shares in issue:
As at | As at | ||||||
31 Oct 2011 | 31 Oct 2010 | ||||||
Shares | % of total shares | Shares | % of total shares | ||||
Enhanced Global Asset Allocation | - | - | 11,178,440 | 82.80% | |||
BNP Paribas FTSE Summit | - | - | 39,392,983 | 97.26% | |||
BNP Paribas UK High Income | 134,021,882 | 94.64% | 125,179,108 | 88.39% | |||
BNP Paribas Energy - Base Metals (2) | 31,736,309 | 97.63% | 31,377,701 | 96.53% | |||
BNP Paribas European Shield | 22,692,027 | 90.77% | 22,594,225 | 90.38% | |||
BNP Paribas Absolute Progression | 74,351,196 | 96.88% | 72,185,875 | 94.05% | |||
US High Income Class A Sterling Hedged Preference Shares |
83,662,674 |
90.48% |
77,183,830 |
83.47% | |||
US High Income Class B Unhedged Preference Shares | 55,266,836 | 94.74% |
49,415,612 |
84.71% | |||
BNP Paribas Agrinvest | 43,688,878 | 92.51% | 38,701,110 | 81.95% | |||
BNP Paribas Agribusiness | - | - | - | 0.00% | |||
BNP Paribas Enhanced Property Recovery | 17,841,850 | 59.23% | 16,734,691 | 55.55% | |||
BNP Paribas Energy - Base Metals (3) | 41,540,153 | 83.77% | 39,698,184 | 80.06% | |||
BNP Paribas Enhanced Income | 30,394,824 | 75.99% | 20,867,863 | 52.17% | |||
BNP COMAC | 24,431,594 | 95.71% | 24,163,327 | 94.66% | |||
US Enhanced Income Class A | 31,783,523 | 65.53% | 24,427,760 | 50.37% | |||
US Enhanced Income Class B | 23,606,527 | 52.37% | 16,441,138 | 36.47% | |||
UK Enhanced Income | 32,754,741 | 66.82% | 29,835,981 | 60.87% |
As detailed in Note 8 on 11 February 2011 all BNP Paribas Agribusiness Preference Shares were compulsorily redeemed and BNP Paribas Global Agribusiness was subsequently dissolved.
On 18 March 2011 all Enhanced Global Asset Allocation Preference Shares were compulsorily redeemed and Enhanced Global Asset Allocation was subsequently dissolved.
On 6 July 2011 all FTSE Summit Preference Shares were compulsorily redeemed and FTSE Summit was subsequently dissolved.
The Counterparty, which is part of the BNP Paribas Group, is required to post collateral in favour of the Company acting for and on behalf of each cell. Details of the collateral arrangements and amount held against each financial instrument is detailed in Note 6(i)
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
7 RELATED PARTY TRANSACTIONS (continued)
ONGOING EXPENSES | Year ended | Year ended | |
31 Oct 2011 | 31 Oct 2010 | ||
TOTAL | TOTAL | ||
GBP | GBP | ||
Administration fees | 239,486 | 276,416 | |
Directors' remuneration | 32,781 | 19,200 | |
Registration fees | 37,421 | 45,354 | |
Custody fees | 150,492 | 172,687 | |
Asset management fees | 817,123 | 847,865 | |
Tax fees | 30,650 | 15,750 | |
Audit fees | 53,050 | 43,000 | |
Annual fees | 41,407 | 28,995 | |
Other operating expenses | 14,937 | 20,077 | |
1,417,347 | 1,469,344 |
All expenses are accounted for on an accruals basis and are borne by BNP Paribas SA.
8 REDEMPTION OF SHARES
During the year the Enhanced Global Asset Allocation cell, BNP Paribas Agribusiness cell and FTSE Summit cell all reached their respective redemption dates. Therefore all Enhanced Global Asset Allocation Preference Shares, BNP Paribas Agribusiness Preference Shares and FTSE Summit Preference Shares in issue were compulsorily redeemed.
The redemption value per Enhanced Global Asset Allocation Preference Share was 139 pence, resulting in redemption proceeds and distributions to the holders of Enhanced Global Asset Allocation Preference Shares of £18,765,354. The net realised gain on this redemption was £4,406,108.
The BNP Paribas Agribusiness Preference Shares were delisted from the Budapest Stock Exchange, and a dividend payment of HUF 105,062,446 (HUF 1,449.37 per Share) was paid to holders of BNP Paribas Agribusiness Preference Shares.
The redemption value per BNP Paribas Agribusiness Preference Share was HUF 10,000 per Share, there was no realised gain or loss on this redemption.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements
for the year ended 31 October 2011 (continued)
8 REDEMPTION OF SHARES (continued)
The redemption value per FTSE Summit Preference Share was 131.15 pence, resulting in redemption proceeds and distributions to the holders of FTSE Summit Preference Shares of £53,117,620. The net realised gain on this redemption was £6,059,225.
9 ULTIMATE CONTROLLING PARTY
The ultimate controlling party is BNP Paribas Arbitrage SNC as holder of the two Ordinary Shares in issue.
10 SUBSEQUENT EVENTS
On 28 November 2011 Trevor Hunt was appointed as a director of the Company.
On 8 December 2011 BNP Paribas UK High Income cell reached its respective redemption date. Therefore all BNP Paribas UK High Income Preference Shares in issue were compulsorily redeemed.
The redemption value per BNP Paribas UK High Income Preference Share was 43.7931 pence, resulting in redemption proceeds and distributions to the holders of BNP Paribas UK High Income Preference Shares of £62,016,963.13. The net realised loss on this redemption was £81,402,585.
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS
as at 31 October 2011
as at 31 October 2011 | |||||
NOMINAL | VALUATION | TOTAL NET ASSETS | |||
GBP | % | ||||
Enhanced Global Asset Allocation | |||||
BNP Paribas Index Derivative Contract | - | - | 0.00% | ||
BNP Paribas FTSE Summit | |||||
BNP Paribas Index Derivative Contract | - | - | 0.00% | ||
BNP Paribas UK High Income | |||||
BNP Paribas Index Derivative Contract | GBP 141,613,549 | 64,759,876 | 10.66% | ||
BNP Paribas Energy - Base Metals (2) | |||||
BNP Paribas Index Derivative Contract | GBP 32,506,140 | 51,847,293 | 8.54% | ||
BNP Paribas European Shield | |||||
BNP Paribas Index Derivative Contract | GBP 25,000,000 | 18,588,250 | 3.06% | ||
BNP Paribas Absolute Progression | |||||
BNP Paribas Index Derivative Contract | GBP 76,748,923 | 96,002,158 | 15.81% | ||
US High Income - Class A | |||||
BNP Paribas Index Derivative Contract | GBP 92,469,987 | 47,917,947 | 7.90% | ||
US High Income - Class B | |||||
BNP Paribas Index Derivative Contract | USD 58,337,229 | 20,060,373 | 3.31% | ||
BNP Paribas Agrinvest | |||||
BNP Paribas Index Derivative Contract | GBP 47,225,896 | 57,572,618 | 9.49% | ||
Enhanced Property Recovery | |||||
BNP Paribas Index Derivative Contract | GBP 30,125,000 | 19,605,049 | 3.23% | ||
Energy - Base Metals (3) | |||||
BNP Paribas Index Derivative Contract | GBP 49,587,600 | 52,715,090 | 8.69% | ||
BNP Paribas Agribusiness | |||||
BNP Paribas Index Derivative Contract | - | - | 0.00% | ||
Enhanced Income | |||||
BNP Paribas Index Derivative Contract | GBP 39,999,346 | 37,234,991 | 6.14% | ||
UK Enhanced Income Cell | |||||
BNP Paribas Index Derivative Contract | GBP 49,015,722 | 45,518,450 | 7.50% | ||
BNP Paribas COMAC | |||||
BNP Paribas Index Derivative Contract | GBP 25,526,009 | 16,805,303 | 2.77% | ||
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS (continued)
as at 31 October 2011
as at 31 October 2011 | |||||
NOMINAL | VALUATION | TOTAL NET ASSETS | |||
GBP | % | ||||
US Enhanced Income - Class A | |||||
Sterling hedged | |||||
BNP Paribas Index Derivative Contract | GBP 48,500,080 | 49,603,457 | 8.17% | ||
US Enhanced Income - Class B | |||||
US Dollar unhedged | |||||
BNP Paribas Index Derivative Contract | USD 45,079,125 | 28,630,925 | 4.72% | ||
TOTAL | 606,861,780 | 100.00% |
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS
as at 31 October 2010
as at 31 October 2010 | |||||
NOMINAL | VALUATION | TOTAL NET ASSETS | |||
GBP | % | ||||
Enhanced Global Asset Allocation | |||||
BNP Paribas Index Derivative Contract | GBP 13,500,255 | 18,570,951 | 2.48% | ||
BNP Paribas FTSE Summit | |||||
BNP Paribas Index Derivative Contract | GBP 40,501,195 | 52,553,946 | 7.01% | ||
BNP Paribas Energy - Base Metals | |||||
Secure Growth | |||||
BNP Paribas Index Derivative Contract | - | - | 0.00% | ||
BNP Paribas UK High Income | |||||
BNP Paribas Index Derivative Contract | GBP 141,613,549 | 80,052,723 | 10.68% | ||
BNP Paribas Energy - Base Metals (2) | |||||
BNP Paribas Index Derivative Contract | GBP 32,506,140 | 57,257,290 | 7.64% | ||
BNP Paribas European Shield | |||||
BNP Paribas Index Derivative Contract | GBP 25,000,000 | 23,067,750 | 3.08% | ||
BNP Paribas Absolute Progression | |||||
BNP Paribas Index Derivative Contract | GBP 76,748,923 | 94,907,718 | 12.66% | ||
US High Income - Class A | |||||
BNP Paribas Index Derivative Contract | GBP 92,469,987 | 61,340,891 | 8.18% | ||
US High Income - Class B | |||||
BNP Paribas Index Derivative Contract | USD 58,337,229 | 25,357,984 | 3.38% | ||
BNP Paribas Agrinvest | |||||
BNP Paribas Index Derivative Contract | GBP 47,225,896 | 59,620,805 | 7.95% | ||
Euro High Income - Class A | |||||
BNP Paribas Index Derivative Cell | - | - | 0.00% | ||
Euro High Income - Class B | |||||
BNP Paribas Index Derivative Contract | - | - | 0.00% | ||
Enhanced Property Recovery | |||||
BNP Paribas Index Derivative Contract | GBP 30,125,000 | 23,910,212 | 3.19% | ||
Energy - Base Metals (3) | |||||
BNP Paribas Index Derivative Contract | GBP 49,587,600 | 54,971,326 | 7.33% | ||
BNP Paribas Agribusiness | |||||
BNP Paribas Index Derivative Contract | HUF 72,500 | 2,526,805 | 0.34% | ||
Enhanced Income | |||||
BNP Paribas Index Derivative Contract | GBP 39,999,346 | 43,553,288 | 5.81% | ||
Harewood Structured Investment PCC Limited (the "Company")
SCHEDULE OF INVESTMENTS (continued)
as at 31 October 2010
as at 31 October 2010 | |||||
NOMINAL | VALUATION | TOTAL NET ASSETS | |||
GBP | % | ||||
UK Enhanced Income Cell | |||||
BNP Paribas Index Derivative Contract | GBP 49,015,722 | 49,273,545 | 6.57% | ||
BNP Paribas COMAC | |||||
BNP Paribas Index Derivative Contract | GBP 25,526,009 | 21,635,335 | 2.89% | ||
US Enhanced Income - Class A | |||||
Sterling hedged | |||||
BNP Paribas Index Derivative Contract | GBP 48,500,080 | 51,201,534 | 6.83% | ||
US Enhanced Income - Class B | |||||
US Dollar unhedged | |||||
BNP Paribas Index Derivative Contract | USD 45,079,125 | 29,747,993 | 3.97% | ||
TOTAL | 749,550,096 | 100.00% | |||
Harewood Structured Investment PCC Limited (the "Company")
DIRECTORS AND SERVICE PROVIDERS
Directors Trevor Hunt (appointed 28 November 2011) Peter John Granville Atkinson (resigned 20 October 2011) Francois-Xavier Foucault John Reginald Le Prevost Youri Siegel
| Investment Manager THEAM 1 Boulevard Haussmann 75009-Paris France |
Administrator and Secretary Anson Fund Managers Limited PO Box 405 Anson Place Mill Court La Charroterie St. Peter Port Guernsey GY1 3GF
| Solicitors to the Company (English Law) Clifford Chance LLP 10 Upper Bank Street London E14 5JJ England
|
Independent Auditors PricewaterhouseCoopers CI LLP Royal Bank Place 1 Glategny Esplanade St. Peter Port Guernsey GY1 4ND
| Advocates to the Company (Guernsey Law) Mourant Ozannes 1 Le Marchant Street St. Peter Port Guernsey GY1 4HP
|
| Custodian BNP Paribas Securities Services, Luxembourg Branch 33, Rue de Gasperich Howald-Hesperange L-2085 Luxembourg | Registrar, Transfer Agent & Paying Agent Anson Registrars Limited PO Box 426 Anson Place Mill Court La Charroterie St Peter Port Guernsey GY1 3WX
|
Investment Counterparty BNP Paribas 10 Harewood Avenue London NW1 6AA England | Registered Office Anson Place Mill Court La Charroterie St Peter Port Guernsey GY1 1EJ
|
Harewood Structured Investment PCC Limited (the "Company")
SHAREHOLDER INFORMATION
Shares of all cells are listed on the Channel Islands Stock Exchange and may be dealt in directly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of such shares may be settled through CREST. Announcements to holders of such shares and daily market closing prices are available on Bloomberg, Reuters and the Channel Islands Stock Exchange's web-site.
Further information relating to such shares is available from BNP Paribas, telephone 44 (0)207 595 8442 or e-mail HAREWOOD_SOLUTIONS@bnpparibas.com, and from Anson Fund Managers Limited, telephone 44 (0)1481 722260 or e-mail: reception@anson-group.com.
The Interim Financial Report for the period ended 30 April 2012 is intended to be made public in June 2012 and sent to shareholders as soon as possible thereafter.
REGISTRAR ENQUIRIES
The Company's registrar is Anson Registrars Limited in Guernsey and they can be contacted on telephone 44 (0)1481 711301.