Comptoir Grp Regulatory News (COM)

Harewood Structured Investment PCC Limited

Half-yearly Financial Report for the

period ended 30 April 2012 (Unaudited)

Harewood Structured Investment PCC Limited (the "Company")

CONTENTS

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY

Harewood Structured Investment PCC Limited, a closed-ended protected cell investment company, was incorporated in Guernsey with limited liability on 27 January 2005 when two Ordinary Shares were issued for administrative purposes. The Company commenced business on 18 March 2005.

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.

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 had a defined investment life to 28 March 2012 whereupon they were compulsorily redeemed.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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 had a defined investment life to 3 May 2012 whereupon they were compulsorily redeemed.

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 a price of £1 each. On 4 June 2007 a further 15,000,000 Class A USHI Shares were allotted and issued at a 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 a price of $1 each. On 4 June 2007 a further 15,000,000 Class B USHI Shares were allotted and issued at a 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.

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 to applicants pursuant to the initial placing and offer for subscription of such EPR Shares at an issue price of £1 each.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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 (the "EBMC Shares") of the Energy - Base Metals (3) cell were allotted to applicants pursuant to the initial placing and offer for subscription of such EBMC Shares at an issue price of £1 each. On 5 September 2008 a further 15,000,000 EBMC Shares were allotted to applicants pursuant to an offer for subscription of such EBMC Shares at an Application 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 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 a 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 24th business day following the relevant record date. As the business days in 2108 cannot yet be accurately determined, an approximate date is disclosed.

On 29 May 2009 25,526,009 Class A Sterling Hedged COMAC Preference Shares ("COM Shares") of the BNP Paribas COMAC cell were allotted to applicants pursuant to the initial placing and offer for subscription of such COM Shares at an issue price of £1 each.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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 100 pence 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 a price of 100 cents each. On 8 October 2009 a further 20,000,000 Class B USEI Shares were allotted and issued at a 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 to applicants pursuant to the initial placing and offer for subscription of such UKEI Shares 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 8 November 2029.

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 shares in issue are listed on the Channel Islands Stock Exchange. The two Ordinary Shares are not listed.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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 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).

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. He has also held similar roles at Société Generale and JPMorgan.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

The 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 share of the Company.

BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 30 April 2012, the Group had an equity market capitalisation of €42.94 billion. 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 western United States of America.

The Group has offices in more than 85 countries. At 31 December 2011, the Group had consolidated assets of €1,998.15bn of audited shareholders' equity (Group share including income for the 2011 fiscal year) of €74.6bn. Audited net income, before taxes, non re-occurring items and amortisation of goodwill, for the year ended 31 December 2011 was €13.02bn. Audited net income, Group share, for the year ended 31 December 2011 was €7.84bn.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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.

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 1 April 2012 THEAM was responsible for (or mandated for) the investment of €42.2 billion over 860 funds.

BNP 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.

Harewood Structured Investment PCC Limited (the "Company")

ABOUT THE COMPANY (continued)

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 holder 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 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 

BNP Paribas UK High Income (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 on 9 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.

In accordance with their defined investment life, all Shares were compulsorily redeemed on 18 December 2011.Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT OBJECTIVE AND POLICY (continued)

BNP Paribas Energy - Base Metals (2) (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.

In accordance with their defined investment life, all Shares were compulsorily redeemed on 28 March 2012.

BNP Paribas European Shield (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® Index (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.

In accordance with their defined investment life, all Shares were compulsorily redeemed on 3 May 2012.

BNP Paribas Absolute Progression (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.

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.

US High Income (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 26 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 (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.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT OBJECTIVE AND POLICY (continued)

Enhanced Property Recovery (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 European Public Real Estate Index (the "Index"). The Index is an index designed to track the performance of listed real estate companies in the 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.

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)

Energy - Base Metals (3) (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)

Enhanced Income (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.

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.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT OBJECTIVE AND POLICY (continued)

BNP Paribas COMAC (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.

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 Investment PCC Limited (the "Company")

INVESTMENT OBJECTIVE AND POLICY (continued)

US Enhanced Income (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.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT OBJECTIVE AND POLICY (continued)

UK Enhanced Income (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, 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 Investment PCC Limited (the "Company")

NET ASSET VALUES

As at 30 April 2012, being the latest valuation date prior to the accounting reference date, the calculated net asset value of a share of each cell in existence at that date was as follows:-

Harewood Structured Investment PCC Limited (the "Company")

INTERIM MANAGEMENT REPORT

For the period from 1 November 2011 to 30 April 2012

A description of important events for each cell and the Company which have occurred during the reporting period and their impact on the performance of the Company as shown in the financial statements is given in the Investment Manager's Report on pages 23 to 38 and is incorporated here by reference. A description of the principal risks and uncertainties facing the Company is given in note 6 to the financial statements and is incorporated here by reference. The principal risks and uncertainties facing the Company to the end of its financial year are considered to be the same as those which applied in the first six months of the financial year.

There were no material related party transactions which took place in the first six months of the financial year.

This half-yearly financial report has not been audited nor reviewed by auditors pursuant to the Auditing Practices Board guidance on Review of Interim Financial Information.

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. An indication of important events that have occurred during the first six months of the financial year and their impact on the financial statements;

b. A description of the principal risks and uncertainties for the remaining six months of the financial year;

c. Confirmation that there were no material related party transactions in the first six months of the current financial year that have materially affected the financial position or the performance of the Company during that period; and

d. Changes in the related parties transactions described in the Company's last annual financial report that could have a material effect on the financial position or performance of the Company in the first six months of the current financial year.

John R Le Prevost Trevor Hunt

Director Director

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 European Shield

Listing: Channel Islands Stock Exchange

Launch date: 28 April 2006

Issue price at launch: 100 pence

NAV immediately following launch: 100.00 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 15p per share.

The level of the Index recorded at launch and as of 30 April 2012, together with 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.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Source for Index Price Information: Bloomberg

Investment Performance

Between launch on 28 April 2006 and maturity on the 26 April 2012 the NAV had decreased by 24.9% vs -39.9% for the DJ Euro Stoxx 50 Index.

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") was a six-year investment offering 230% of the upside of the spot prices of a portfolio of commodities. The portfolio comprised West Texas Intermediate Oil (30%), Aluminium (20%), Copper (20%), Nickel (15%) and Zinc (15%). If the portfolio performance was negative over six years, 100 pence is returned at maturity.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Investment Performance

Between launch on 23 March 2006 and maturity on 22 March 2012 the Basket had risen by 28.97% offering a final payout of 166.63%.

BNP Paribas Absolute Progression

Listing: Channel Islands Stock Exchange

Launch date: 20 July 2006

Issue price at launch: 100 pence

NAV immediately following launch: 100.00 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 30 April 2012 is set out in the table below.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Source for Share Price Information: Bloomberg

As of 30 April 2012, the NAV had risen by 27.5% since launch compared with the HFR Hedge Fund Universe Index, which had decreased by 4.31% over that period. The average out-performance has been 35.01%.

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. 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) the 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 (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 between 21 February 2012 and 30 April 2012 are set out in the table below.

Source for Share Price Information: Bloomberg

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Source for Share Price Information: Bloomberg

Investment Performance

Between launch on 26 October 2006 and close on 30 April 2012 the respective NAVs for class A and B were down by 21.4% and 16.3% TR (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 had increased by 12.3% over that period. The directors declared interim dividends of 1.875 pence per Class A Sterling Hedged US High Income Preference Share according to the following schedule:

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

The same schedule applies to Class B Unhedged US High Income Preference Shares.

BNP Paribas Agrinvest

Listing: Channel Islands Stock Exchange

Launch date: 21 June 2007

Issue price at launch: 100 pence

NAV immediately following launch: 100.00 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).

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

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.

Source for Index Price Information: Bloomberg

Investment Performance

Between launch on 21 June 2007 and close on 30 April 2012 the NAV had increased by 15.4%. Over this period the S&P GSCI Agriculture & Livestock ER Index had decreased by 13%.

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: 13 March 2014

ISIN: GG00B2PWW869

SEDOL: B2PWW86

Investment Overview

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.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Investment Performance

Between launch on 13 March 2008 and close on 30 April 2012 the NAV had fallen by 35.74%. Over this period the EPRA Index had fallen by 35.1%. The Fund's performance is driven primarily by sensitivity of the NAV to movements in the underlying Index, which is nearly one for one. The Fund recorded its lowest observation of 760.83 on the 13 March 2009. 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.

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.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

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 30 April 2012 are set out in the table below.

Source for commodity values information: Bloomberg

Investment Performance

Between launch on 5 June 2008 and close on 30 Apr 2012 the NAV had increased by 1.29% whereas the DJ AIG Commodities Excess Return Index had fallen by -35.1%.

Class A Sterling Hedged Enhanced Income Preference Shares and Class B Unhedged Enhanced Income Preference Shares

Listing: Channel Islands Stock Exchange

Launch date: 19 March 2009

Issue price at launch: 101 pence

NAV immediately following launch: 100 pence

Maturity date: 19 March 2018

Class A ISIN: GG00B4W90V35

Class A SEDOL: B4W90V3

Class B ISIN: GG00B4W90W42

Class B SEDOL: B4W90W4

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Investment Overview

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.

Investment Performance

Between launch on 19 March 2009 and close on 30 April 2012 the NAV has risen by 13.2% TR. Over this period the DJ EuroStoxx TR Index had risen by 26.4%. The directors declared interim dividends as follows:

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

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: 1 June 2029

Class A ISIN: GG00B3VGTS89

Class A SEDOL: B3VGTS8

Class B ISIN: GG00B3VM1S01

Class B SEDOL: B3VM1S

Investment Overview

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 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 30 April 2012 the NAV of Class A had fallen by 31.34%. Over this period the DJ-UBS Commodity TR Index had decreased by 1.72% There are currently no Class B Shares in issue.

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

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: 16 July 2029

Class A ISIN: GG00B4409G28

Class A SEDOL: B4409G2

Class B ISIN: GG00B4409P19

Class B SEDOL: B4409P1

Investment Overview

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 30 April 2012 the NAVs had increased by 34.2% TR and 34.6% TR respectively for class A and class B (based on an initial NAV of 100 pence for both Share classes) compared with the S&P TR performance (+57.4%). The directors declared interim dividends for both Share classes as follows:

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

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: 24 September 2029

ISIN: GG00B3YF5842

SEDOL: B3YF584

Investment Overview

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.

Investment Performance

Between launch on 24 September 2009 and close on 30 April 2012 the NAV had increased by 13.1% TR. Over this period the FTSE 100 Total Return Index had increased by 23.4%. The directors declared interim dividends as follows:

Harewood Structured Investment PCC Limited (the "Company")

INVESTMENT MANAGER'S REPORT (continued)

Harewood Structured Investment PCC Limited (the "Company")

STATEMENT OF COMPREHENSIVE INCOME

for the period ended 30 April 2012

In arriving at the results for the financial period, all amounts above relate to continuing operations. There are no recognised gains or losses for the period other than those disclosed above.

The notes on pages 43 to 67 form an integral part of these financial statements.

Harewood Structured Investment PCC Limited (the "Company")

STATEMENT OF FINANCIAL POSITION

as at 30 April 2012

The financial statements were approved by the Board of directors on June 2012 and are signed on its behalf by:

John R Le Prevost Trevor Hunt

Director Director

The notes on pages 43 to 67 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 period ended 30 April 2012

The notes on pages 43 to 67 form an integral part of these financial statements.

Harewood Structured Investment PCC Limited (the "Company")

STATEMENT OF CASH FLOWS

for the period ended 30 April 2012

The notes on pages 43 to 67 form an integral part of these financial statements.Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements

for the period ended 30 April 2012

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:

No new Standards or Interpretations have been adopted in the current period.

The following Standards or Interpretations have been issued by the IASB but not yet adopted by the Company.

IFRS 7 Financial Instruments: Disclosures - Amendments relating to the offsetting of assets and liabilities effective for annual periods beginning on or after 1 January 2013 and interim periods within those periods.

IFRS 7 Financial Instruments: Disclosures - Deferral of mandatory effective date of IFRS 9 and amendments to transition disclosures effective for annual periods beginning on or after 1 January 2015.

IFRS 9 Financial Instruments:  Deferral of mandatory effective date of IFRS 9 and amendments to transition disclosures effective for annual periods beginning on or after 1 January 2015.

IFRS 13 Fair value measurement - Original issue 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 32 Financial Instruments: Presentation - Amendments relating to the offsetting of assets and liabilities effective for annual periods beginning on or after 1 January 2014.

The directors have considered the above and are of the opinion that the above Standards and Interpretations are not expected to have an 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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

(b) Recognition of expenses and related income

In prior periods, expenses borne by BNP Paribas SA on behalf of the Company and income received in order to pay Company expenses had not been included in the Statement of Comprehensive Income. Additionally the cash at bank relating to the excess of income received from BNP Paribas SA over expenses paid out had not been included in the Statement of Financial Position. The expenses were instead detailed in note 7 Related Party Transactions.

The directors are of the opinion that the expenses, income and cash reserve detailed above should be included in the financial statements of the Company, as this more accurately represents the position of the Company. In light of this change, the expenses and income have been detailed in the Statement of Comprehensive Income and the cash reserve built up by the excess of income over expenses has been allocated to the holders of Management shares in the Statement of Financial position.

The directors do not feel that restatement of the prior period is required due to the amount being immaterial and it not meeting the definition of a prior period adjustment under IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors. The cash reserve brought forward from previous periods is therefore included in income received from the Counterparty in relation to operating expenses.

Pursuant to the terms of an Engagement Letter between the Company and BNP Paribas SA, all expenses are borne by BNP Paribas SA, therefore any cash at bank relating to the excess of income is due to BNP Paribas SA as holder of the Management shares of the Company and is not due to the holders of Preference Shares.

(c) 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 derivative 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.

(d) 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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

(e) 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.

(f) Expenses

All expenses are accounted for on an accruals basis and accounted for in the Statement of Comprehensive Income. As described in note 1 (b) 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 period under review are shown in detail in note 7 to the financial statements.

(g) Debt issue costs

Pursuant to the placing and offer for subscription of Shares in the Enhanced Global Asset Allocation Cell ("EGAA") the Initial Cell Expenses incurred (as defined in EGAA'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.

(h) Cash and cash equivalents

At the reporting date cash and cash equivalents comprise cash at bank. As detailed in note 1(b), all expenses of the Company are borne by BNP Paribas SA, with income being received from BNP Paribas SA for the payment of Company expenses. Any excess of income received from BNP Paribas SA for payment of expenses is accounted for separately as this is due to the holder of Management shares.

All income received to Preference Shares is distributed to shareholders in the relevant cells as dividends.

(i) 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.

Income received from BNP Paribas SA is recognised in the Statement of Comprehensive Income on an accruals basis.

(j) 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 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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

(j) Financial assets at fair value through profit or loss (continued)

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.

(k) 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 period of £14,404,903 (Apr 2011: £9,966,760 gain) and on 648,829,338 (Apr 2011: 812,570,070) shares, being the weighted average number of shares in issue during the period. There were no dilutive instruments in issue during the period.

(l) Trade date accounting

All "regular way" purchases 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 of financial assets that require delivery of the asset within the time frame generally established by the regulation or convention in the market place.

(m) 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 finance cost.

(n) 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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

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 period are outlined below:

(a) Fair value of derivative 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. As at the 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 affect the reported fair value of financial instruments.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES

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 period under review.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

4 SHARE CAPITAL

*See Note 8

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

4 SHARE CAPITAL (continued)

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 Absolute Progression Preference Shares, BNP Paribas Agrinvest Preference Shares, Enhanced Property Recovery Preference Shares, Energy-Base Metals (3) Preference Shares and BNP Paribas COMAC, ("Cell shares") shall not be entitled to receive and shall not participate in any dividend or other distributions of the Company.

Holders of Class A Sterling Hedged US High Income Preference Shares, Class B Unhedged US High Income Preference Shares, 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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

4 SHARE CAPITAL (continued)

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.

Harewood Structured Investment PCC Limited (the "Company")

Notes to the Financial Statements (continued)

for the period ended 30 April 2012

5 SHARE PREMIUM