INVESTEC STRUCTURED PRODUCTS CALCULUS VCT PLC
INTERIM MANAGEMENT STATEMENT
19 July 2013
Investec Structured Products Calculus VCT plc ("the Company") announces its
Interim Management Statement for the period from 1 March 2013 to 30 June 2013.
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 30 June 2013
was 98.53 pence. Taking into account dividends paid to date, the year to
date total return at the period end was 109.03 pence.
* The unaudited NAV per C share as at 30 June 2013 was 92.46 pence. Taking
into account dividends paid to date, the year to date total return at the
period end was 96.96 pence.
* At the Annual General Meeting held on 2 July 2013, 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 24 July 2013.
The total returns are stated before the inclusion of VCT tax reliefs which are
intended to mitigate the higher risk of investing in smaller companies and the
constraints imposed by VCT legislation. The income tax reliefs applicable at
the time of subscription were 30 per cent. VCT dividends are tax free.
INVESTMENT IN STRUCTURED PRODUCTS
In line with the Company's strategy set out in the original offer documents, a
large percentage of the initial cash raised has been used to build a portfolio
of Structured Products. The portfolio of Structured Products was constructed
with different issuers and differing maturity periods to minimise risk and
create a diversified portfolio.
The portfolio of Structured Products is now beginning to reach full term for
many of the products, and the portfolio as a whole is performing well. Part of
the portfolio has matured and several of the investments have now reached full
term, including the HSBC investment and the RBS Autocallable, paying a 25.1 per
cent. and 10.5 per cent. return respectively. We sold the Morgan Stanley
product on 31 October 2012, at a price of 132.24 per cent., which resulted in a
positive return of £161,200 on the original £500,000 investment. The small
Abbey Structured Product holding in the ordinary share portfolio was sold on 21
June 2013 at 119 per cent, resulting in a return of £9,500 on the original
£50,000 investment. Both these products were sold early to release cash flow to
purchase Qualifying Investments and pay expenses.
The strong performance of the FTSE 100 has supported valuations in the
Structured Products portfolio, and the FTSE 100 has increased to sit
comfortably above all of the product's strike levels. As at 28 June 2013 the
FTSE 100 was 6,215.47. Over the past three months, swap rates have increased
very slightly along with market volatility though still low when looking at
mid-term highs. Values of the Structured Product portfolio look strong with the
highest strike value at 5,341.93 in the ordinary share portfolio and 5,584.51
in the C share portfolio.
No new investments were made in Structured Products during the period.
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. As at 30 June 2013, the following investments had been made in
Structured Products:
Ordinary Share Fund:
Issuer Strike FTSE 100 Notional Purchase Valuation Maturity Return/
Date Initial Investment Price as at 30 Date/ Capital at
Index June 2013 Date Sold Risk (CAR)
Level
The Royal 05/05/ 5,341.93 £275,000 £0.96 £1.4004 12/05/2015 162.5% if FTSE
Bank of 2010 100 higher*;
Scotland CAR if FTSE
plc 100 falls more
than 50%
Investec 14/05/ 5,262.85 £500,000 £0.98 £1.4734 19/11/2015 185% if FTSE
Bank plc 2010 100 higher*;
CAR if FTSE
100 falls more
than 50%
Abbey 25/05/ 4,940.68 £350,000 £0.99 £1.5789 18/11/2015 185% if FTSE
National 2010 100 higher*;
Treasury CAR if FTSE
Services 100 falls more
than 50%
Matured/sold
HSBC Bank 01/07/ 4,805.75 £500,000 £1.00 Returned 06/07/2012 125.1% if FTSE
plc 2010 £1.2510 100 higher*;
CAR if FTSE 100
falls more than
50%
The Royal 18/03/ 5,718.13 £50,000 £1.00 Returned 19/03/2012 Autocallable
Bank of 2011 £1.1050 10.5% p.a.;
Scotland CAR if FTSE
plc 100 falls more
than 50%
Nomura Bank 28/05/ 5,188.43 £350,000 £0.98 Sold at 30/03/2012 137% if FTSE
International 2010 £1.2625 100 higher*;
CAR if FTSE
100 falls more
than 50%
Morgan 10/06/ 5,132.50 £500,000 £1.00 Sold at 31/10/2012 134% if FTSE
Stanley 2010 £1.3224 100 higher*;
International CAR if FTSE
100 falls more
than 50%
Abbey 03/08/ 5,584.51 £50,000 £1.00 Sold at 21/06/2013 126% if FTSE
National 2011 £1.1900 100 higher*;
Treasury CAR if falls
Services more than 50%
C Share Fund:
Issuer Strike FTSE 100 Notional Purchase Valuation Maturity Return/
Date Initial Investment Price as at 30 Date/ Capital at
Index June 2013 Date Risk (CAR)
Level Sold
Investec 05/08/ 5,246.99 £328,000 £1.00 £1.3620 10/03/2017 182% if FTSE
Bank plc 2011 100 higher*;
CAR if FTSE
100 falls more
than 50%
Abbey 03/08/ 5,584.51 £200,000 £1.00 £1.1985 05/02/2014 126% if FTSE
National 2011 100 higher*;
Treasury CAR if FTSE 100
Services falls more
than 50%
Matured
The Royal 18/03/ 5,718.13 £200,000 £1.00 Returned 19/03/2012 Autocallable
Bank of 2011 £1.1050 10.5% p.a.;
Scotland CAR if FTSE
plc 100 falls more
than 50%
Nomura Bank 28/05/ 5,188.43 £350,000 £1.2625 Returned 20/02/2013 137% if FTSE
International 2010 £1.3700 100 higher*;
CAR if FTSE
100 falls more
than 50%
* The Final Index Level is calculated using 'averaging', meaning that theaverage 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 theaveraging period differs for each plan). The use of averaging
to calculate thereturn can reduce adverse effects of a falling market or sudden market falls
shortly before maturity. Equally, it can reduce the benefits of an increasingmarket or sudden
market rises shortly before maturity.
The total valuation of the amount invested in Structured Products in the Ordinary Share Fund as
at 30 June 2013 was £1,674,421.
The total valuation of the amount invested in Structured Products in the CShare Fund as at
30 June 2013 was £686,423.
VENTURE CAPITAL INVESTMENTS
A £50,000 investment was made in Benito's Hat, a Mexican-themed fast casual restaurant business
with four sites in central London. The investment has been made on behalf of the C Share Fund.
This investment will fund the roll-out of restaurant openings to reach new customers across
London and the UK.
The Company also made a £50,000 investment in Horizon Discovery Limited on behalf of the C Share
Fund. Cambridge-based Horizon is a translational genomics company developing and supplying
patient-relevant drug discovery and diagnostic research tools. Horizon has developed GENESIS™,
a proprietary genome-editing platform, as well as a range of Genomic Reference Standards
('Reagents') which are standardised synthetic DNA extractions from tumour biopsies. It is in the
process of developing genomic cell-based testing kits ('Cell Line Kits'), which can be used by
clients to perform medical testing on certain genomic cell lines.
During the period, the Company made a follow-on investment in secure payments company, Secure
Electrans Limited, through long-term loan stock. £12,000 was invested on behalf of the Ordinary
Share Fund and £25,000 on behalf of the C Share Fund.
In April, Terrain Energy Limited redeemed £12,000 of its loan stock.
The Venture Capital Investments at 30 June 2013 are shown below.
ORDINARY SHARE FUND
Sector Cost Valuation % of total
portfolio
Terrain Energy Limited Energy
Ordinary equity £100,000 £113,000
Loan stock £188,000 £188,000
Total £288,000 £301,000 6.53%
Lime Technology Limited Low carbon
building
material
Ordinary equity £57,386 £7,684
Loan stock £250,000 £250,000
Total £307,386 £257,684 5.59%
MicroEnergy Generation Alternative
Services Limited energy
Ordinary equity £150,000 £150,000
Loan stock £150,000 £150,000
Total £300,000 £300,000 6.51%
Heritage House Media Digital
Limited media
Ordinary equity £22,065 £0
Loan stock £76,827 £0
Deferred shares £26,196 £0
Total £125,088 £0 0.00%
Human Race Group Limited Sports
Ordinary equity £100,000 £100,000
Loan stock £200,000 £200,000
Total £300,000 £300,000 6.51%
Secure Electrans Limited E-commerce
security
Ordinary equity £100,000 £100,000
Loan stock £12,000 £12,000
Total £112,000 £112,000 2.43%
Metropolitan Safe Safe depositary
Custody Services Limited services
Ordinary equity £90,000 £102,548
Loan stock £100,000 £100,000
Total £190,000 £202,548 4.40%
Brigantes Energy Limited Energy
Ordinary equity £125,000 £139,750
Total £125,000 £139,750 3.03%
Corfe Energy Limited Energy
Ordinary equity £75,000 £96,300
Total £75,000 £96,300 2.09%
Dryden Human Capital Human
Group Limited Resources
Ordinary equity £100,035 £229,414
Total £100,035 £229,414 4.98%
AnTech Limited Oil
services
Ordinary equity £120,000 £120,000
Loan stock £150,000 £150,000
Total £270,000 £270,000 5.86%
Hampshire Cosmetics Cosmetics
Limited
Ordinary equity £100,000 £100,000
Loan stock £150,000 £150,000
Total £250,000 £250,000 5.43%
Tollan Energy Limited Energy
Ordinary equity £150,000 £150,000
Loan stock £210,000 £210,000
Total £360,000 £360,000 7.81%
Venn Life Sciences Clinical
Holdings plc research
Ordinary equity £120,033 £112,028
Total £120,033 £112,028 2.43%
C SHARE FUND
Sector Cost Valuation % of total
portfolio
Terrain Energy Limited Energy
Ordinary equity £45,000 £47,460
Loan stock £45,000 £45,000
Total £90,000 £92,460 6.71%
Heritage House Media Digital
Limited media
Ordinary equity £11,033 £0
Loan stock £38,413 £0
Deferred shares £13,098 £0
Total £62,544 £0 0.00%
Human Race Group Limited Sports
Ordinary equity £50,000 £50,000
Loan stock £100,000 £100,000
Total £150,000 £150,000 10.89%
Secure Electrans Limited E-commerce
security
Ordinary equity £50,000 £50,000
Loan stock £25,000 £25,000
Total £75,000 £75,000 5.45%
Metropolitan Safe Safe
Custody Services Limited depositary
services
Ordinary equity £40,000 £45,577
Loan stock £50,000 £50,000
Total £90,000 £95,577 6.94%
Horizon Discovery Biotechnology
Limited
Ordinary equity £50,000 £50,000
Total £50,000 £50,000 3.63%
Benito's Hat (Pico's Leisure
Limited)
Ordinary equity £50,004 £50,004
Total £50,004 £50,004 3.63%
Venn Life Sciences Clinical
Holdings plc research
Ordinary equity £80,000 £74,667
Total £80,000 £74,667 5.42%
Events after the period end
Other than as described in the paragraphs above the Board is not aware of any
events during the period from 30 June 2013 to the date of this Statement which
would have a material impact on the financial position of the Company.
For further information, please contact:
Gary Dale (Investec Structured Products) 020 7597 4065
John Glencross (Calculus Capital
Limited) 020 7493 4940