TIDMAVT TIDMEHPR TIDMEBMC TIDMCOM
RNS Number : 9370X
Harewood Structured Investment PCC
22 February 2012
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 GBP1 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 GBP1 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 GBP1 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
GBP1 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 GBP1 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 GBP1
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 GBP1
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 GBP1 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 GBP1
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 GBP1.00 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 GBP1
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 GBP1 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 GBP1
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 GBP1 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 Societe 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 Distributor
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 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 EUR39.67 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 EUR1,998.15
billion and audited shareholders' equity (Group share including
income for the 2010 fiscal year) of EUR74.6 billion. Audited net
income, before taxes, non-recurring items and amortization of
goodwill, for the year ended 31 December 2010 was EUR13.02 billion.
Audited net income, Group share, for the year ended 31 December
2009 was EUR7.84 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 Societe Actions
Simplifiee, 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 Autorite des marches financiers under
the French law. As of 30 June 2011 THEAM was responsible for (or
mandated for) the investment of EUR48 billion over 970 funds.
Harewood Structured Investment PCC Limited (the "Company")
ABOUT THE COMPANY (continued)
BNP Paribas Securities Services, Luxembourg Branch -
Custodian
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, 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
societe 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 Comite
des Etablissements de Credit 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(R) 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(R) 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(R)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(TM)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 As at
31 Oct 2011 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) 159.50 pence 176.14 pence
("EBM (2)")
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 102.27 pence 105.57 pence
A")
US Enhanced Income - Class B ("US EI 102.17 US$ 105.83 US$
B") cents 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 the Channel 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 GBP30,000
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
GBP30,000.
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 Strike Performance Option Share Weighting
price Price at 31-Oct-11 strike portfolio at 31-Oct-11
at 31-Oct-11 at 08-Sep-11 price weighting
at Strike
Date
------------------------- ------------- ------------- ------------- -------- ---------- -------------
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 Value as Change Weight
Start of 31-Oct-11
------------------------- ---------- -------------- ------- -------
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 Value Change 85% Barrier 50% Barrier Lowest
Level as of Level Level observed
31-Oct-11 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 % change Out-performance
at 30-October-11
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.
Strike Price Current price Performance at Option strike Weighting at Weighting at
Stock at 23-Aug-2011 at 31-Oct-11 31-Oct-11 price Strike Date 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(R) 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.
Value at Value as of
Commodity name Start 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(R) 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(R) 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(TM) 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 GBP600. 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 GBP297,509. 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 GBP68,539,018 (2010: GBP2,655,428 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 -
========== ====
Shares issued
Allotted, called-up as at Shares issued
and fully paid 1 November Shares as at 31 October
Preference Shares 2010 Shares Redeemed Issued 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)
Shares issued
Allotted, called-up as at Shares issued
and fully paid 1 November as at 31 October
Preference Shares 2009 Shares Redeemed Shares Issued 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 Share premium
as at as at
Share Premium- 1 November 31 October
Preference Shares 2010 Shares Redeemed Shares Issued 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 Share premium
as at as at
Share Premium- 1 November 31 October
Preference Shares 2009 Shares Redeemed Shares Issued 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 Decrease in net assets
attributable to holders attributable to holders
of Preference Shares of Preference Shares
Year ended Year ended Year ended Year ended
31 October 31 October 31 October 31 October
2011 2010 2011 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 GBP606,861,780.
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 31 October
2011 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 GBP 32,506,140
(2)
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 22 March 2012
(2)
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
26(th) 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 31 October
2011 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
GBP239,486 (2010: GBP276,416) in respect of its administration of
the Company of which GBP17,771 (2010: GBP21,529) was outstanding at
the year end and the Registrar charged fees of GBP37,421 (2010:
GBP45,354) in respect of registration services on behalf of the
Company of which GBP1,259 (2010: GBP1,777) 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 GBP817,123 (2010: GBP847,865), of which GBPNil (2010: GBPNil)
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 % of total
shares 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 GBP18,765,354. The net realised
gain on this redemption was GBP4,406,108.
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 GBP53,117,620. The net
realised gain on this redemption was GBP6,059,225.
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 GBP62,016,963.13. The net realised loss on
this redemption was GBP81,402,585.
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 Investment Manager
Trevor Hunt (appointed 28 November THEAM
2011) 1 Boulevard Haussmann
Peter John Granville Atkinson 75009-Paris
(resigned 20 October 2011) France
Francois-Xavier Foucault
John Reginald Le Prevost
Youri Siegel
------------------------------------ -----------------------------------
Administrator and Secretary Solicitors to the Company (English
Anson Fund Managers Limited Law)
PO Box 405 Clifford Chance LLP
Anson Place 10 Upper Bank Street
Mill Court London E14 5JJ
La Charroterie England
St. Peter Port
Guernsey GY1 3GF
------------------------------------ -----------------------------------
Independent Auditors Advocates to the Company (Guernsey
PricewaterhouseCoopers CI LLP Law)
Royal Bank Place Mourant Ozannes
1 Glategny Esplanade 1 Le Marchant Street
St. Peter Port St. Peter Port
Guernsey GY1 4ND Guernsey GY1 4HP
------------------------------------ -----------------------------------
Custodian Registrar, Transfer Agent &
BNP Paribas Securities Services, Paying Agent
Luxembourg Branch Anson Registrars Limited
33, Rue de Gasperich PO Box 426
Howald-Hesperange Anson Place
L-2085 Luxembourg Mill Court
La Charroterie
St Peter Port
Guernsey GY1 3WX
------------------------------------ -----------------------------------
Investment Counterparty Registered Office
BNP Paribas Anson Place
10 Harewood Avenue Mill Court
London NW1 6AA La Charroterie
England 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.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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