Investec Structured Interim Management Statement
July 17 2012 - 12:12PM
UK Regulatory
TIDMISP
INVESTEC STRUCTURED PRODUCTS CALCULUS VCT PLC
INTERIM MANAGEMENT STATEMENT
17 July 2012
Investec Structured Products Calculus VCT plc ("the Company") announces its
Interim Management Statement for the period from 1 March 2012 to 31 May 2012.
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 unaudited net asset value ("NAV") per ordinary share as at 31 May 2012
was 92.52 pence. Taking into account dividends paid to date, the year to
date total return at the period end was (2.5) per cent.
* The unaudited NAV per C share as at 31 May 2012 was 89.05 pence. No
dividends have been paid to date to the holders of C shares.
* At the Annual General Meeting held earlier, shareholders approved the
payment of dividends of 5.25 pence per ordinary share and 4.5 pence per C
share. These dividends will be paid on 31 July 2012.
Since 31 May 2012 the unaudited NAV per ordinary share (including current
period revenue) has risen to 94.89 pence as at 30 June 2012. The unaudited NAV
per C share (including current period revenue) has risen to 91.74 pence.
INVESTMENT IN STRUCTURED PRODUCTS
As at 31 May 2012, 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 4 July 2012 the FTSE 100 was 5684.47. Since the year end, the FTSE 100 has
fallen, although due to low strike levels still sits above all of the products'
strike levels.
Over the past three months market volatility has declined, 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
valuations are benefiting from the FTSE 100 still being above strike levels.
The HSBC product matured on 06/07/2012 paying the maximum return of 25.1 per
cent on GBP500,000 to give a GBP625,500 net return.
Ordinary Share Fund:
Issuer Strike FTSE 100 Notional Purchase Maturity Return/ Capital
Date Initial Investment Price Date at Risk (CAR)
Index
Level
Royal Bank 05/05/ 5,341.93 GBP275,000 GBP0.96 12/05/2015 162.5% if FTSE
of Scotland 2010 100 higher*; CAR
plc if FTSE 100 falls
more than 50%
Investec 14/05/ 5,262.85 GBP500,000 GBP0.98 19/11/2015 185% if FTSE 100
Bank plc 2010 higher*; CAR if
FTSE 100 falls
more than 50%
Abbey 25/05/ 4,940.68 GBP350,000 GBP0.99 18/11/2015 185% if FTSE 100
National 2010 higher*; CAR if
Treasury FTSE 100 falls
Services more than 50%
plc
Morgan 10/06/ 5,132.50 GBP500,000 GBP1.00 17/12/2012 134% if FTSE 100
Stanley 2010 higher*; CAR if
FTSE 100 falls
more than 50%
Abbey 03/08/ 5,584.51 GBP50,000 GBP1.00 05/02/2014 126% if FTSE 100*
National 2011 higher; CAR if
Treasury falls more than
Services 50%
Matured
HSBC Bank 01/07/ 4,805.75 GBP500,000 GBP1.00 06/07/2012 125.1% if FTSE
plc 2010 100 higher*; CAR
if FTSE 100 falls
more than 50%
The Royal 18/03/ 5,718.13 GBP50,000 GBP1.00 20/03/2017 Autocallable
Bank of 2011 10.5% p.a.; CAR
Scotland if FTSE 100 falls
plc more than 50%
C Share Fund:
Issuer Strike FTSE 100 Notional Purchase Maturity Return/ Capital
Date Initial Investment Price Date at Risk (CAR)
Index
Level
Investec Bank 05/08/ 5,246.99 GBP450,000 GBP1.00 10/03/2017 182% if FTSE 100*
plc 2011 higher; CAR if
FTSE 100 falls
more than 50%
Abbey 03/08/ 5,584.51 GBP200,000 GBP1.00 05/02/2014 126% if FTSE 100*
National 2011 higher; CAR if
Treasury falls more than
Services 50%
Nomura Bank 28/05/ 5,188.43 GBP350,000 GBP1.2625 20/02/2013 137% if FTSE 100
International 2010 higher*; CAR if
FTSE 100 falls
more than 50%
Matured
The Royal 18/03/ 5,718.13 GBP200,000 GBP1.00 20/03/2017 Autocallable
Bank of 2011 10.5% p.a.; CAR
Scotland if FTSE 100 falls
plc 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 31 May 2012 was GBP2,149,980, representing 47.48 per cent. of net funds
raised.
The total amount invested in Structured Products in the C Share Fund as at 31
May 2012 was GBP993,000, representing 54.51 per cent. of net funds raised.
VENTURE CAPITAL INVESTMENTS
During the quarter to 31 May 2012, the Company invested GBP175,000 and GBP75,000 on
behalf of the Ordinary and C Share Funds, respectively in Participate Sport
Limited. Participate, now renamed Human Race Group Limited, is the UK's largest
and most diversified provider of mass participation sports events and delivers
over 55 events to over 100,000 participants of all ages and abilities. As
agreed at the time of the original investment, a further GBP125,000 and GBP75,000
will be invested as loan stock shortly on behalf of the Ordinary and C Share
Funds, respectively. A full provision was made against the investment in
Heritage House after the company was placed into administration following a
decision by the Clydesdale bank to withdraw the company's overdraft facility.
The Venture Capital Investments at 31 May 2012 are shown below.
Ordinary Share Fund Sector Cost Valuation % of total
portfolio
Terrain Energy Limited Energy
Ordinary equity GBP100,000 GBP113,000 7.6%
Loan stock GBP200,000 GBP200,000
Total GBP300,000 GBP313,000
Lime Technology Limited Low carbon
building
material
Ordinary equity GBP57,386 GBP29,660 6.79%
Loan stock GBP250,000 GBP250,000
Total GBP307,386 GBP279,660
MicroEnergy Generation Alternative
Services Limited energy
Ordinary equity GBP150,000 GBP150,000 7.28%
Loan stock GBP150,000 GBP150,000
Total GBP300,000 GBP300,000
Heritage House Media Digital Media
Limited
Ordinary equity GBP22,065 GBP0 0.00%
Loan stock GBP76,827 GBP0
Deferred shares GBP26,196 GBP0
Total GBP125,088 GBP0
Participate Sport Sports
Limited
Ordinary equity GBP100,000 GBP100,000
Loan stock GBP75,000 GBP75,000
Total GBP175,000 GBP175,000 4.25%
Secure Electrans Limited
Ordinary equity GBP100,000 GBP100,000
Total GBP100,000 GBP100,000 2.43%
Viscount Safe Custody Safe
Services Limited depository
services
Ordinary equity GBP90,000 GBP90,000
Loan stock GBP100,000 GBP100,000
Total GBP190,000 GBP190,000 4.61%
C Share Fund Sector Cost Valuation % of total
portfolio
Terrain Energy Limited Energy
Ordinary equity GBP45,000 GBP47,460 5.9%
Loan stock GBP45,000 GBP45,000
Total GBP90,000 GBP92,460
Heritage House Media Digital
Limited media
Ordinary equity GBP11,033 GBP0 0.00%
Loan stock GBP38,413 GBP0
Deferred shares GBP13,098 GBP0
Total GBP62,544 GBP0
Participate Sport Sports
Limited
Ordinary equity GBP50,000 GBP50,000
Loan stock GBP25,000 GBP25,000
Total GBP75,000 GBP75,000 4.77%
Secure Electrans Limited
Ordinary equity GBP50,000 GBP50,000
Total GBP50,000 GBP50,000 3.18%
Viscount Safe Custody Safe
Services Limited depository
services
Ordinary equity GBP40,000 GBP40,000
Loan stock GBP50,000 GBP50,000
Total GBP90,000 GBP90,000 5.73%
Events after the period end
Since 31 May 2012, the Company has made no further Venture Capital Investments.
For further information, please contact:
Gary Dale (Investec Structured Products) 020 7597 4065
John Glencross (Calculus Capital Limited) 020 7493 4940
END
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