Interim Management Statement
January 17 2012 - 7:27AM
UK Regulatory
TIDMISP
Investec Structured Products Calculus VCT plc
Interim Management Statement
17 January 2012
Investec Structured Products Calculus VCT plc ("the Company") announces its
Interim Management Statement for the period from 1 September 2011 to 30
November 2011. This Statement also includes relevant financial information
between the end of the period to the date of this Statement.
The Company is a tax efficient listed company which aims to achieve a regular
tax free dividend stream together with capital growth for private investors.
The Company brings together Investec Structured Product's award winning
expertise in structured products and Calculus Capital's award winning expertise
in venture capital.
Headlines
· The total number of ordinary and C shares in issue at 30 November
2011 was 4,738,463 and 1,931,095 respectively. The total number of the voting
rights in the Company was 6,669,558.
· The unaudited net asset value ("NAV") per ordinary share as at 30
November 2011 was 93.66 pence. Taking in to account dividends paid to date, the
year to date total return at the period end was (3.12) per cent.
· The unaudited NAV per C share as at 30 November 2011 was 92.93 pence.
No dividends have been paid to date to the holders of C shares.
Since 30 November 2011 the unaudited NAV per ordinary share (including current
period revenue) has risen to 95.11 pence as at 31 December 2011. The unaudited
NAV per C share (including current period revenue) has risen to 93.38 pence.
Investment in Structured Products
As at 30 November 2011, the following investments had been made in Structured
Products. The Structured Products will achieve their target return subject to
the Final Index Level of the FTSE 100 being higher than the Initial Index Level
*. The capital is at risk on a one-for-one basis ("CAR") if the FTSE 100 Index
falls more than 50 per cent. any time during the investment term and fails to
fully recover at maturity such that the Final Index Level is below the Initial
Index Level.
At 10 January 2012 the FTSE 100 was 5696.70. Since the Half Year, the FTSE 100
has climbed and now sits above many of the products' strike levels. As a
consequence of this, the values of these Structured Products have increased
considerably and the value of the portfolio has increased in line.
Over the past three months the volatility has dropped off, which has negatively
affected valuations. 5 year swap rates have also decreased, which has also had
a negative impact on the valuations of the Structured Products' portfolio. The
strong performance on the FTSE 100 has, however, had the largest impact on the
current value of the portfolio, increasing its value over the last quarter.
Ordinary Share Fund:
FTSE 100 % of
Initial Investable
Strike Index Notional Purchase Maturity Return/ Capital at Application
Issuer Date Level Investment Price Date Risk (CAR) Money
Royal Bank of 05/05/2010 5,341.93 GBP275,000 GBP0.96 12/05/2015 162.5% if FTSE 100 5.83%
Scotland plc higher*; CAR if FTSE
100 falls more than
50%
Investec Bank 14/05/2010 5,262.85 GBP500,000 GBP0.98 19/11/2015 185% if FTSE 100 10.81%
plc higher*; CAR if FTSE
100 falls more than
50%
Abbey National 25/05/2010 4,940.68 GBP350,000 GBP0.99 18/11/2015 185% if FTSE 100 7.65%
Treasury higher*; CAR if FTSE
Services plc 100 falls more than
50%
Nomura Bank 28/05/2010 5,188.43 GBP350,000 GBP0.98 20/02/2013 137% if FTSE 100 7.58%
International higher*; CAR if FTSE
100 falls more than
50%
Morgan Stanley 10/06/2010 5,132.50 GBP500,000 GBP1.00 17/12/2012 134% if FTSE 100 11.04%
higher*; CAR if FTSE
100 falls more than
50%
HSBC Bank plc 01/07/2010 4,805.75 GBP500,000 GBP1.00 06/07/2012 125.1% if FTSE 100 11.04%
higher*; CAR if FTSE
100 falls more than
50%
The Royal Bank 18/03/2011 5,718.13 GBP50,000 GBP1.00 20/03/2017 Autocallable 10.5% 1.10%
of Scotland p.a.; CAR if FTSE 100
plc falls more than 50%
Abbey National 03/08/2011 5,584.51 GBP50,000 GBP1.00 05/02/2014 126% if FTSE 100* 1.10%
Treasury higher; CAR if falls
Services more than 50%
C Share Fund:
FTSE 100 % of
Initial Investable
Strike Index Notional Purchase Maturity Return/ Capital at Application
Issuer Date Level Investment Price Date Risk (CAR) Money
Investec Bank 05/08/2011 5,246.99 GBP450,000 GBP1.00 10/03/2017 182% if FTSE 100* 24.70%
plc higher; CAR if FTSE
100 falls more than
50%
The Royal Bank 18/03/2011 5,718.13 GBP200,000 GBP1.00 20/03/2017 Autocallable 10.5% 10.98%
of Scotland p.a.; CAR if FTSE
plc 100 falls more than
50%
Abbey National 03/08/2011 5,584.51 GBP200,000 GBP1.00 05/02/2014 126% if FTSE 100* 10.98%
Treasury higher; CAR if falls
Services more than 50%
*The Final Index Level is calculated using 'averaging', meaning that the
average of the closing levels of the FTSE 100 is taken on each Business Day
over the last 2-6 months of the Structured Product plan term (the length of the
averaging period differs for each plan). The use of averaging to calculate the
return can reduce adverse effects of a falling market or sudden market falls
shortly before maturity. Equally, it can reduce the benefits of an increasing
market or sudden market rises shortly before maturity.
The total amount invested in Structured Products in the Ordinary Share Fund as
at 30 November 2011 was GBP2,542,980, representing 56.16 per cent. of net funds
raised.
The total amount invested in Structured Products in the C Share Fund as at 30
November 2011 was GBP850,000, representing 46.66 per cent. of net funds raised.
Venture Capital Investments
The Venture Capital Investments at 30 November 2011 are shown below.
Ordinary Share Fund Sector Cost Valuation % of total
portfolio
Terrain Energy Limited
Ordinary equity GBP100,000 GBP107,141
Energy
Loan stock GBP200,000 GBP200,000 7.1%
Total GBP300,000 GBP307,141
Lime Technology Limited
Ordinary equity Low carbon GBP57,386 GBP9,605
building
Loan stock material GBP250,000 GBP250,000 6.0%
Total GBP307,386 GBP259,605
MicroEnergy Generation
Services Limited
Alternative
Ordinary equity energy GBP150,000 GBP150,000
Loan stock GBP150,000 GBP150,000 7.0%
Total GBP300,000 GBP300,000
Heritage House Media
Limited
Ordinary equity Digital GBP13,333 GBP13,333
Media
Loan stock GBP111,754 GBP111,754 2.9%
Total GBP125,087 GBP125,087
Investec SPV Limited
Holding
Ordinary equity company GBP1,834 GBP1,834
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