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RNS Number : 7088G
Harewood Structured Investment PCC
04 February 2010
Harewood Structured Investment PCC Limited (the "Company")
PRELIMINARY ANNOUNCEMENT OF ANNUAL RESULTS
The directors announce the statement of results for the year ended 31 October
2009 as follows:
ABOUT THE COMPANY
Harewood Structured Investment PCC Limited, a closed-ended protected cell
investment company, was incorporated in Guernsey with limited liability on 27
January 2005 when two Ordinary Shares were issued for administrative reasons and
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 to applicants pursuant to the initial placing and
offer for subscription of such shares at an issue price of GBP1 each.
On 6 July 2006 a further 5,000,000 EGAA Shares were allotted to applicants
pursuant to an offer for subscription of such Shares at an Application Price of
127.13 pence each. The EGAA Shares have a defined investment life to 24 March
2011, whereupon they will be subject to compulsory redemption.
On 28 June 2005, 12,501,195 BNP Paribas FTSE Summit Preference Shares ("FSM
Shares") of the BNP Paribas FTSE Summit cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such shares at an
issue price of GBP1 each. On 6 July 2006 a further 8,000,000 FSM Shares were
allotted to applicants pursuant to an offer for subscription of such Shares at
an Application Price of 121.84 pence each. On 14 March 2007 a further
20,000,000 FSM Shares were allotted to applicants pursuant to an offer for
subscription of such Shares at an Application Price of 129.25 pence each. The
FSM Shares have a defined investment life to 4 July 2011 whereupon they will be
subject to compulsory redemption.
On 28 June 2005, 7,001,999 BNP Paribas Energy - Base Metals Secure Growth
Preference Shares ("EBM Shares") of the BNP Paribas Energy - Base Metals Secure
Growth cell were allotted to applicants pursuant to the initial placing and
offer for subscription of such EBM Shares at an issue price of GBP1 each. On 25
November 2005 a further 700,000 EBM Shares were allotted to applicants pursuant
to a placing of such EBM Shares at a Placing Price of 106.54 pence each. The
EBM Shares have a defined investment life to 5 July 2010 whereupon they will be
subject to compulsory redemption.
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 to
applicants pursuant to the initial placing and offer for subscription of UKHI
Shares at an issue price of GBP1 each. On 26 May 2006 a further 30,000,000 UKHI
Shares were allotted to applicants pursuant to an offer for subscription of such
UKHI Shares at an Application Price of 102.47 pence each and on 28 September
2006 a further 50,000,000 UKHI Shares were allotted to applicants pursuant to an
offer for subscription of such UKHI Shares at an Application Price of 104.00
pence each and on 4 June 2007 a further 15,000,000 UKHI Shares were allotted to
applicants pursuant to an offer for subscription of such UKHI Shares at an
Application Price of 109.60 pence each. The UKHI Shares have a defined
investment life to 8 December 2011 whereupon they will be subject to compulsory
redemption.
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 to applicants pursuant to the initial placing and offer for
subscription of such EBM2 Shares at an issue price of GBP1 each. On 6 July 2006
a further 5,000,000 EBM2 Shares were allotted to applicants pursuant to an offer
for subscription of such EBM2 Shares at an Application 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 to applicants
pursuant to the initial placing and offer for subscription of such ES Shares 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 to
applicants pursuant to the initial placing and offer for subscription of such
BAP Shares at an issue price of GBP1 each. On 23 January 2007 a further
15,000,000 BAP Shares were allotted to applicants pursuant to an offer for
subscription of such BAP Shares at an Application 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 to
applicants pursuant to the initial placing and offer for subscription of such
Class A Shares at an issue price of GBP1 each. On 4 June 2007 a further
15,000,000 Class A USHI Shares were allotted to applicants pursuant to an offer
for subscription of such Class A USHI Shares at an Application 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 to applicants
pursuant to the initial placing and offer for subscription of such Class B USHI
Shares at an issue price of $1 each. On 4 June 2007 a further 15,000,000 Class B
USHI Shares were allotted to applicants pursuant to an offer for subscription of
such Class B USHI Shares at an Application Price of 105.89 cents each. The Class
B USHI Shares have a defined investment life to 26 November 2012, whereupon they
will be subject to compulsory redemption.
On 21 June 2007 45,375,520 Class A Sterling Hedged Euro High Income Preference
Shares ("Class A EUHI Shares") of the Euro High Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class A EUHI Shares at an issue price of GBP1 each. The Class A EUHI Shares
have a defined investment life to 1 July 2013, whereupon they will be subject to
compulsory redemption.
On 21 June 2007 10,261,000 Class B Unhedged Euro High Income Preference Shares
("Class B EUHI Shares") of the Euro High Income cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such Class B
Shares at an issue price of EUR1 each. The Class B EUHI Shares have a defined
investment life to 1 July 2013, whereupon they will be subject to compulsory
redemption.
On 21 June 2007 37,225,896 BNP Paribas Agrinvest Preference Shares ("Agrinvest
Shares") of the BNP Paribas Agrinvest cell were allotted to applicants pursuant
to the initial placing and offer for subscription of such Agrinvest Shares at an
issue price of GBP1.00 each. The Agrinvest Shares have a defined investment life
to 29 June 2013, whereupon they will be subject to compulsory redemption.
On 25 October 2007 21,229,013 Hedge Elite Preference Shares ("Hedge Elite
Shares") of the Hedge Elite cell were allotted to applicants pursuant to the
initial placing and offer for subscription of such Hedge Elite Shares at an
issue price of GBP1.00 each. The Hedge Elite Shares had a defined investment
life to 28 October 2013, whereupon they were intended to be subject to
compulsory redemption.
As it was agreed by the Board of directors that it was no longer in the best
interests of the Company, Hedge Elite or the holder of the Hedge Elite
Preference Shares for the Company on behalf of Hedge Elite to continue to pursue
its stated investment objective for Hedge Elite, all Hedge Elite Preference
Shares were redeemed on 19 October 2009 and Hedge Elite was subsequently
dissolved.
On 12 March 2008 30,125,000 Enhanced Property Recovery Preference Shares (the
"EPR Shares") of the Enhanced Property Recovery cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such EPR Shares at
an issue price of GBP1.00 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 (the "EBMC
Shares") of the Energy - Base Metals (3) cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such EBMC Shares
at an issue price of GBP1.00 each. On 5 September 2008 a further 15,000,000
EBMC Shares were allotted to applicants pursuant to an offer for subscription of
such EBMC Shares at an Application Price of 100.03 pence each. The EBMC Shares
have a defined investment life to 12 June 2014, whereupon they will be subject
to compulsory redemption.
On 10 July 2008 72,500 BNP Paribas Agribusiness Preference Shares (the "AGRI
Shares") of the BNP Paribas Agribusiness cell were allotted to applicants
pursuant to the initial placing and offer for subscription of such AGRI Shares
at an issue price of HUF 10,000 each. The AGRI Shares have a defined investment
life to 11 February 2011, whereupon they will be subject to compulsory
redemption.
On 18 March 2009 24,999,346 Class A Sterling Hedged Enhanced Income Preference
Shares ("Class A EIF Shares") of the Enhanced Income cell were allotted to
applicants pursuant to the initial placing and offer for subscription of such
Class A EIF Shares at an issue price of GBP1 each. On 8 October 2009 a further
15,000,000 Class A EIF Shares were allotted to applicants pursuant to an offer
for subscription of such Class A EIF Shares at an Application Price of 117.86
pence each. The Class A EIF Shares have a defined investment life to April
2108, whereupon they will be subject to compulsory redemption.
On 29 May 2009 25,526,009 Class A Sterling Hedged COMAC Preference Shares ("COM
Shares") of the BNP Paribas COMAC cell were allotted to applicants pursuant to
the initial placing and offer for subscription of such COM Shares at an issue
price of GBP1 each. The COM Shares have a defined investment life to June 2108,
whereupon they will be subject to compulsory redemption.
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 to
applicants pursuant to the initial placing and offer for subscription of such
Class A USEI Shares at an issue price of GBP1 each. The Class A USEI Shares have
a defined investment life to July 2029, whereupon they will be subject to
compulsory redemption.
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 to
applicants pursuant to the initial placing and offer for subscription of such
Class B USEI Shares at an issue price of $1 each. On 8 October 2009 a further
20,000,000 Class B USEI Shares were allotted to applicants pursuant to an offer
for subscription of such Class B USEI Shares at an Application Price of 109.64
cents each. The Class B USEI Shares have a defined investment life to July
2029, whereupon they will be subject to compulsory redemption.
On 23 September 2009 49,015,722 UK Enhanced Income Preference Shares ("UKEI
Shares") of the UK Enhanced Income cell were allotted to applicants pursuant to
the initial placing and offer for subscription of such UKEI Shares at an issue
price of GBP1 each. The UKEI Shares have a defined investment life to September
2029, whereupon they will be subject to compulsory redemption.
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 and the AGRI Shares, all shares in issue are
listed on the Channel Islands Stock Exchange. The AGRI Shares are listed on the
Budapest Stock Exchange and the two Ordinary Shares are not listed.
The Company is managed by its Board of directors who have appointed Harewood
Asset Management SAS of Paris, France as the Company's external investment
manager of all cells other than BNP Paribas Agribusiness. Administrative and
secretarial support is provided by Anson Fund Managers Limited in Guernsey. BNP
Paribas SA acts as Distributor and Investment Counterparty to the Cells.
Directors and Principal Advisors
John Le Prevost- Director
John Le Prevost is British and resident in Guernsey. He is a director and
controlling shareholder of Anson Group Limited, the holding company of Anson
Fund Managers Limited, the Company's Administrator and Secretary, and of Anson
Registrars Limited, the Company's registrar, paying agent and receiving agent.
Mr Le Prevost has over 30 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 Structuring for Institutional
Markets of the Global Marketing Group of BNP Paribas SA. He has also held roles
in finance, derivatives and funds at Gen Re Securities, Guaranty City, AXA
Investment Managers and BFT (Credit Agricole).
Youri Siegel - Director
Mr Siegel is French and a resident of France. As well as being a director of the
Company, he is currently in charge of fund structuring within the Global
Structuring Group of BNP Paribas. He has also held similar roles at Société
Generale and JPMorgan.
Peter Atkinson - Director
Peter Atkinson is British and resident in Guernsey. He is an Advocate of the
Royal Court of Guernsey and an English Solicitor. Admitted to the Guernsey Bar
in 1980, he was the Senior Partner of Collas Day Advocates for 14 years. He
specialised in corporate and fiduciary work and has been and continues to act as
a non-executive director of companies within the financial services sector
including companies listed on the London and Channel Islands Stock Exchanges. He
is a former Chairman of the Guernsey Bar and is the chairman of Anson Group
Limited.
BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 31
October, 2009, the Group had an equity market capitalisation of EUR60.94 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, 2008, the
Group had audited consolidated assets of EUR2,075.5 billion and audited
shareholders' equity (Group share including income for the 2008 fiscal year) of
EUR53.2 billion. Audited net income, before taxes, non-recurring items and
amortization of goodwill, for the year ended 31 December, 2008 was EUR3.9 billion.
Audited net income, Group share, for the year ended December 31, 2008 was EUR3.02
billion.
The Investment Manager was organised as a French Société par Actions Simplifiée,
which is a form of limited liability company with simplified legal obligations.
The purpose of the Investment Manager is the creation and management of
investment funds on behalf of their investors as outlined in the activity
program approved by the Autorité des Marchés Financiers on 11 August, 2004. The
Investment Manager may also provide investment advisory services. The
Investment Manager is wholly-owned by BNP Paribas SA. The Investment Manager is
regulated by the Autorité des Marchés Financiers under the Reglement Général de
l'Autorité des Marchés Financiers.
Following the acquisition of Parcadia Asset Management, a company incorporated
in Luxembourg, Harewood Asset Management now manages numerous investment funds
domiciled in France, Luxembourg, the Cayman Islands and Guernsey. As of 31
October 2009, Harewood Asset Management was responsible for the management of EUR5
billion across 100 funds.
INVESTMENT OBJECTIVE AND POLICY
Enhanced Global Asset Allocation (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") is 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 are
met. The investment return of the Shares is 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
paragraphs.
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 FTSE Summit (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") is 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 are met.
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 at redemption, on behalf of the Cell, an amount equalling
the funds available for payment of the investment return described in the
preceding paragraph.
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 Energy - Base Metals Secure Growth (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Energy - Base Metals Secure Growth 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 five 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 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 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 Supplemental Memorandum, a copy of which is available
from the Administrator and from the Distributor.
BNP Paribas UK High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas UK High Income Preference Shares (herein the "Shares"), which were
issued after the end of the financial period on 9 December 2005, is to provide
shareholders with a stable stream of quarterly dividend distributions based on
the dividend income of a notional portfolio of shares selected from the FTSE 100
Index, supplemented by premiums for notional call options written on those
shares. In addition, a purchase of portfolio insurance in the form of a put
option linked to the FTSE 100 Index, with a term and maturity matching the term
of the shares, aims to reduce the risk of capital loss.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at each subsequent issue of Shares
were invested in an Index Derivative Contract (the "Contract") with BNP Paribas,
the Investment Counterparty. Under the terms of the Contract the Company
contracted to receive on each dividend payment date an amount initially equal to
1.875 pence per Share, which will be applied by the Company in funding payments
of dividends to shareholders and at redemption an amount equal to the net asset
value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas Energy - Base Metals (2) (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Energy - Base Metals (2) Preference Shares (herein the "Shares") is to
provide shareholders with a geared exposure to any increase in the prices of a
notional portfolio of certain energy-related and base metal commodities (the
"Commodity Portfolio") over a six year period. The investment return of the
Shares is not subject to the risk of foreign exchange movements save to the
extent that the value of the commodities comprised in the Commodity Portfolio,
which are priced in US Dollars, may be affected by fluctuations in value of the
US Dollar.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas European Shield (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas European Shield Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate in the performance of the
leading 50 stocks traded on various European stock exchanges through the Dow
Jones Euro STOXX50 Index (the "Index") with the benefit of a geared return in
respect of such performance (not exceeding 71.25 pence per Share), provided
certain conditions are met, but subject to the risk, in other circumstances, of
the aggregate amount payable being limited to the capital component of 100 pence
per Share or a lesser amount linked to the performance of the Index.
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 (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.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
US High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the US High
Income Preference Shares (herein the "Shares"), which were issued on 26 October
2006, is to provide shareholders with a stable stream of quarterly dividend
distributions based on the dividend income of a notional portfolio of shares
selected from the S&P 100 Index, supplemented by premiums for notional call
options written on those shares. In addition, a purchase of portfolio insurance
in the form of a put option linked to the S&P 100 Index, with a term and
maturity matching the term of the shares, aims to reduce the risk of capital
loss.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the gross proceeds at launch and at the subsequent issue of Shares
were invested in an Index Derivative Contract (the "Contract") with BNP Paribas,
the Investment Counterparty. Under the terms of the Contract the Company
contracted to receive on each dividend payment date an amount equal to 1.875
pence or cents per Share, which will be applied by the Company in funding the
payment of dividends to shareholders, and at redemption an amount equal to the
net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Euro High Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Euro High
Income Preference Shares (herein the "Shares") is to provide shareholders with a
stable stream of quarterly dividend distributions based on the dividend income
of a notional portfolio of shares in Eurozone companies selected from the Dow
Jones Euro STOXX 50 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 Dow Jones Euro STOXX 50 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 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 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.
BNP Paribas Agrinvest Preference (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Agrinvest Shares (herein the "Shares") is to provide shareholders with
the opportunity to participate in the performance of exchange-traded commodities
futures comprised in the DCI Agriculture BNP Paribas Enhanced Excess Return
Index (the "Index"). The Index is designed to provide a broad yet liquid
representation of large, mid and small commodity futures inside the Organisation
for Economic Cooperation and Development (OECD). The Index consists of 23
components within the agriculture sector. The Index is also subject to a forward
curve roll optimisation process through the addition of a quantitative
enhancement algorithm.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Hedge Elite (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Hedge
Elite Preference Shares (herein the "Shares") was to provide shareholders with a
return on capital linked to the performance of a notional dynamic basket,
comprising participations in 10 hedge funds selected by BNP Paribas in
accordance with specific criteria, a cash facility, foreign exchange contracts
and a zero coupon bond, with the benefit of a profit lock-in mechanism and a
Redemption Amount payable at scheduled maturity of not less than 90 pence per
Share.
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.
As it was agreed by the Board of directors that it was no longer in the best
interests of the Company, Hedge Elite or the holder of the Hedge Elite
Preference Shares for the Company on behalf of Hedge Elite to continue to pursue
its stated investment objective for Hedge Elite, all Hedge Elite Shares were
redeemed on 19 October 2009 and Hedge Elite was subsequently dissolved.
Enhanced Property Recovery (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced
Property Recovery Preference Shares (herein the "Shares") is to provide
shareholders with the opportunity to participate in the performance of shares
traded on various European stock exchanges through the FTSE EPRA Europe Real
Estate Index (the "Index"). The Index is an index designed to track the
performance of listed real estate companies in the Europe. The Final Redemption
Amount will be determined principally by reference to two values - the first
(defined as the "Initial Index Level") being the level of the Index determined
on 13 March 2008, the second (defined as the "Final Index Level") being the
arithmetic average of the levels of the Index on 13 monthly averaging dates from
and including 13 March 2013 to and including the Maturity Date.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
Energy - Base Metals (3) (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Energy -
Base Metals (3) Preference Shares (herein the "Shares") is to provide
shareholders with a geared exposure to any increase in the prices of a notional
portfolio of certain energy related and base metal commodities (the "Commodity
Portfolio") over a six-year period. The Commodity Portfolio is a notional
portfolio of commodities comprising 30% crude oil, 20% aluminium, 20% copper,
15% nickel and 15% zinc. The investment return of the Shares is not subject to
the risk of foreign exchange movements save to the extent that the value of the
commodities comprised in the notional portfolio, which are priced in US dollars,
may be affected by the fluctuations in value of the US dollar.
In accordance with the Company's investment objective for the Cell in respect of
the Shares, the net proceeds at launch were invested in an Index Derivative
Contract (the "Contract") with BNP Paribas, the Investment Counterparty. Under
the terms of the Contract the Company contracted to receive at redemption, on
behalf of the Cell, an amount equalling the funds available for payment of the
investment return.
Full details of the calculation of the investment return, the Contract and
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
BNP Paribas Agribusiness (herein the "Cell")
The investment objective of the Company for the Cell in respect of the BNP
Paribas Agribusiness Preference Shares (herein the "Shares") is 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 will be applied by the Company in funding the payment of any
dividend due to shareholders, and at redemption an amount equalling HUF 10,000
per share to finance the payment of the redemption proceeds due to shareholders.
The Dividend amount in respect of each BNP Paribas Agribusiness Preference Share
will be payable in the lawful currency of the Republic of Hungary and will be
determined by reference to the closing level of the Index determined on or about
11 July 2008 (defined herein as the "Initial Index Level") and the performance
of the Index calculated as of each of seven consecutive monthly observation
dates (defined as "Observation Dates" and scheduled to fall respectively in July
2010, August 2010, September 2010, October 2010, November 2010, December 2010
and January 2011) as (a) the closing level of the Index on such Observation
Date, divided by the Initial Index Level minus (b) 1.
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 Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Enhanced
Income Preference Shares (herein the "Shares") is to provide shareholders with a
stable stream of quarterly dividend distributions (with a targeted dividend
yield of approximately 8% per annum, subject to increase and decrease in certain
circumstances) and return on capital, such investment objective being intended
to be achieved by reference to an investment strategy linked to the total return
performance of the Dow Jones Euro STOXX 50 Index (herein the "Index") and
notional short-term call options written on the Index.
In accordance with the Company's investment objective for the Cell, the gross
proceeds at launch were invested in an index derivative contract (the
"Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract
the Company contracted to receive on each dividend payment date an amount
initially equal to 2 pence per Share, which will be applied by the Company in
funding the payment of dividends to shareholders and at redemption an amount
equal to the net asset value of the underlying portfolio.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements are disclosed in the Cell's Summary and Securities Note,
a copy of which is available from the Administrator and from the Distributor.
BNP Paribas COMAC (herein the "Cell")
The investment objective of the Company for the Cell in respect of the Class A
Sterling Hedged COMAC Preference Shares (herein the "Shares") is to provide
shareholders with exposure to the performance of an actively managed long short
arbitrage strategy (the "Strategy") based on a portfolio of 25 commodities
through the BNP PARIBAS COMAC Long-Short Total Return Net of Fees Index (the
"Index"). The Index is denominated in US Dollars and is designed to track the
performance of an actively managed portfolio of 25 commodities selected from the
energy, metals and agricultural sectors, the respective weightings of which are
determined in accordance with an investment strategy based on recommendations
provided by the asset managers which, from time to time, provides the scores
used in the determination of the weightings of the different commodities
comprising the Index, and a rules-based proprietary methodology designed by BNP
Paribas (the "Index Methodology"). The Strategy is also linked to notional
currency hedging intended to provide a level of protection against changes in
the Sterling / US Dollar exchange rate.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch were invested in an index derivative contract (the
"Contract") with BNP Paribas, the Counterparty. Under the terms of the Contract
the Company contracted to receive at redemption, on behalf of the Cell, an
amount equalling the funds available for payment of the investment return.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
US Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the US
Enhanced Income Preference Shares (herein the "Shares") is to provide
shareholders with a stable stream of quarterly dividend distributions (with a
targeted dividend yield of approximately 8% per annum, subject to increase and
decrease in certain circumstances) and return on capital, such investment
objective being intended to be achieved by reference to an investment strategy
linked to the total return performance of the Standard and Poor's 500 Index and
notional short-term call options written on such index.
In accordance with the Company's investment objective for the Cell, the net
proceeds at launch and at the subsequent issue of Shares were invested in an
index derivative contract (the "Contract") with BNP Paribas, the Counterparty.
Under the terms of the Contract the Company contracted to receive on each
dividend payment date an amount initially equal to 2 pence or cents per Share,
which will be applied by the Company in funding the payment of dividends to
shareholders, and at redemption an amount equal to the net asset value of the
underlying portfolio.
Full details of the calculation of the investment return, the Contract and the
collateral arrangements in favour of the Company for the account of the Cell are
disclosed in the Cell's Summary and Securities Note, a copy of which is
available from the Administrator and from the Distributor.
UK Enhanced Income (herein the "Cell")
The investment objective of the Company for the Cell in respect of the UK
Enhanced Income Preference Shares (herein the "Shares") is to provide
shareholders with a stable stream of quarterly dividend distributions (with a
targeted dividend yield of approximately 8% per annum, subject to increase and
decrease in certain circumstances) and return on capital, such investment
objective being intended to be achieved by reference to an investment strategy
linked to the total return performance of the FTSE 100(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.
NET ASSET VALUES
As at 30 October 2009, being the latest valuation date prior to the accounting
reference date, the calculated net asset value of a share of each cell in
existence at that date was as follows:-
+------------------------------------------+-------------+-----------+
| | As at | As at |
| | 30 Oct 2009 | 31 Oct |
| | | 2008 |
| | | |
+------------------------------------------+-------------+-----------+
| Enhanced Global Asset Allocation | 135.90 | 128.33 |
| ("EGAA") | pence | pence |
| | | |
+------------------------------------------+-------------+-----------+
| BNP Paribas FTSE Summit ("FTSE S") | 128.66 | 123.41 |
| | pence | pence |
+------------------------------------------+-------------+-----------+
| BNP Paribas Energy - Base Metals Secure | 272.70 | 186.22 |
| Growth ("EBSMG") | pence | pence |
| | | |
+------------------------------------------+-------------+-----------+
| BNP Paribas UK High Income ("UK HI") | 68.98 pence | 84.14 |
| | | pence |
+------------------------------------------+-------------+-----------+
| BNP Paribas Energy - Base Metals (2) | 159.26 | 118.57 |
| ("EBM (2)") | pence | pence |
| | | |
+------------------------------------------+-------------+-----------+
| BNP Paribas European Shield ("ES") | 87.93 pence | 79.06 |
| | | pence |
+------------------------------------------+-------------+-----------+
| BNP Paribas Absolute Progression ("Abs | 118.01 | 114.53 |
| Pro") | pence | pence |
| | | |
+------------------------------------------+-------------+-----------+
| US High Income - Class A ("US HI A") | 74.01 pence | 94.51 |
| | | pence |
| | | |
+------------------------------------------+-------------+-----------+
| US High Income - Class B ("US HI B") | 76.31 US$ | 93.30 US$ |
| | cents | cents |
| | | |
+------------------------------------------+-------------+-----------+
| Euro High Income - Class A ("Euro HI A") | 53.51 pence | 64.40 |
| | | pence |
| | | |
+------------------------------------------+-------------+-----------+
| Euro High Income - Class B ("Euro HI B") | 53.15 Euro | 62.06 |
| | cents | Euro |
| | | cents |
| | | |
+------------------------------------------+-------------+-----------+
| BNP Paribas Agrinvest ("Agrinvest") | 102.39 | 94.20 |
| | pence | pence |
+------------------------------------------+-------------+-----------+
| Hedge Elite ("Hedge Elite") | - | 80.79 |
| | | pence |
+------------------------------------------+-------------+-----------+
| Enhanced Property Recovery ("EHPR") | 67.18 pence | 57.99 |
| | | pence |
+------------------------------------------+-------------+-----------+
| Energy - Base Metals (3) ("EMB (3)") | 104.68 | 87.58 |
| | pence | pence |
+------------------------------------------+-------------+-----------+
| BNP Paribas Agribusiness | 9,479 HUF | 9,120 HUF |
| ("Agribusiness") | | |
| | | |
+------------------------------------------+-------------+-----------+
| Enhanced Income - Class A ("EIF") | 113.85 | - |
| | pence | |
+------------------------------------------+-------------+-----------+
| BNP Paribas COMAC ("COM") | 78.39 pence | - |
| | | |
+------------------------------------------+-------------+-----------+
| US Enhanced Income - Class A ("US EI A") | 105.74 | - |
| | pence | |
+------------------------------------------+-------------+-----------+
| US Enhanced Income - Class B ("US EI B") | 105.73 US$ | - |
| | cents | |
+------------------------------------------+-------------+-----------+
| UK Enhanced Income ("UKEI") | 101.69 | - |
| | pence | |
+------------------------------------------+-------------+-----------+
MANAGEMENT REPORT
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 below and is
incorporated here by reference.
Details of all related party transactions are given in note 7 to the financial
statements. There were no material related party transactions which took place
in the financial year.
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(d) 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.
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 Peter Atkinson
Director Director
4 February 2010
INVESTMENT MANAGER'S REPORT
On the invitation of the Directors of the Company, the following commentary is
provided by Harewood Asset Management, SAS, the Investment Manager. Their
commentary is provided as a source of useful information for shareholders of the
Company but is not attributable to the Company.
Listing: Channel Islands Stock Exchange
Launch date: 18 March 2005
Issue price at launch: 100 pence per share
NAV at launch: 96.50 pence per share (before Investment Counterparty fees of 3.5
pence per share)
Maturity date: 17 March 2011
ISIN: GB00B02FJD84
SEDOL: B02FJD8
Epic Code: EGA
Enhanced Global Asset Allocation ("EGA") offers exposure over 6 years to the
FTSE100, DJEuroStoxx50, S&P500 and Nikkei 225 (the "Indexes"). There are two
principal features: the first is that growth becomes protected in each Index
when it reaches 15%, 30% and 45% above its launch level (this is tested
quarterly). The second feature involves the allocation of 40% of the return to
the best-performing index at maturity (or protected level if higher), 30% to the
next best (or protected level if higher), 20% to the next (or protected level if
higher) and 10% to the worst (or protected level if higher).
The levels of the Indexes recorded at launch and as of 30 October 2009, and the
thresholds at which performance can become protected are set out in the table
below. The Indexes are observed on the following dates each year (or the next
business day if applicable): 18 March, 18 June, 18 September and 18 December.
+--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+
| Index | Level | Value |Change | Next | 15% | 30% | 45% | Min |
| Name | at | as at | |observation | lock-in | lock-in | lock-in | return |
| | start | 30-Oct-09 | | date for | level | level | level |locked-in |
| | | | | lock-ins | | | | |
+--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+
| Euro | 3,053.54 | 2,743.50 |-10.2% | 18-Dec-09 | 3,511.57 | 3,969.60 | 4,427.63 | 45% |
| Stoxx | | | | | | | | |
| 50 | | | | | | | | |
+--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+
| FTSE | 4,923.30 | 5,044.55 | 2.5% | 18-Dec-09 | 5,661.80 | 6,400.29 | 7,138.79 | 30% |
| 100 | | | | | | | | |
+--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+
|Nikkei | 11,879.81 | 10,034.74 |-15.5% | 18-Dec-09 | 13,661.78 | 15,443.75 | 17,225.72 | 45% |
| 225 | | | | | | | | |
+--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+
| S&P | 1,189.65 | 1,036.19 |-12.9% | 18-Dec-09 | 1,368.10 | 1,546.55 | 1,724.99 | 15% |
| 500 | | | | | | | | |
+--------+---------------------+---------------------+--------+-------------+----------------+----------------+----------------+-----------+
Source for Index Price Information: Bloomberg
Between launch on 18 March 2005 and close on 30 October 2009 (the last business
day prior to the balance sheet date) the NAV had risen by 40.83% (based on an
initial NAV of 96.50 pence). Over the same period, the MSCI World Total Return
index (which we regard as an appropriate benchmark) had fallen by 1.73%, the
FTSE 100 had fallen by 2.5%, the S&P 500 had fallen by 12.9%, the Euro Stoxx 50
had fallen by 10.2% and the Nikkei had also fallen by 15.5.%.
Prior to the balance sheet date the indexes were observed on 18 September 2009
with respect to the thresholds at which lock-ins occur. The Nikkei 225 and the
DJ EuroStoxx have locked in a minimum return of 45%, the FTSE 100 index has
locked in a minimum return of 30% and the S & P 500 Index has locked in a
minimum of 15%. As a result, if all the indices were to fall to zero on the
maturity date, the minimum redemption value would now be 139.0 pence per share.
Listing: Channel Islands Stock Exchange
Launch date: 30 June 2005
Issue price: 100 pence
NAV at launch: 100 pence
Maturity date: 29 June 2011
ISIN: GB00B0B8FC95
SEDOL: B0B8FC9
Epic Code: FSM
BNP Paribas FTSE Summit ("FSM") is a six-year investment that pays the return of
the highest observed performance of the FTSE 100 Index (the "Index") over that
period, irrespective of the level of the index at maturity. The closing price
of the Index is observed on the 29th (whichever is earlier, or the next business
day if exchanges are closed). If the index ever falls by 50% from its initial
level at any time then 100 pence is returned at maturity.
The level of the Index recorded at launch and as of 30 October 2009, the highest
level of the index observed to date on an Index observation date, and the Index
level which, if breached at any time, results in the return of 100 pence per
share, are set out in the table below.
+-------+---------+-----------+--------+-------------+----------+-----------+
|Index | Value | Value |Change | Next | Highest | Minimum |
| name | at | as of | |observation | FTSE |protected |
| | start |30-Oct-09 | | date | closing | return |
| | | | | | level | |
| | | | | |recorded | |
+-------+---------+-----------+--------+-------------+----------+-----------+
| FTSE |5,113.2 | 5,044.6 |-1.34% | 29-Dec-09 | 6,706.0 | 131.15% |
| 100 | | | | | | |
|Index | | | | | | |
+-------+---------+-----------+--------+-------------+----------+-----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 30 October 2009 the NAV had risen by
29.7%, ahead of the 1.5% decrease in the FTSE and ahead of the 15.8% increase in
the FTSE 100 Total Return index.
As at the balance sheet date fifty two Index measurement dates had occurred
since launch. The highest closing level of the Index was recorded on 29th
October 2007 (6,706.0). This represents a protected minimum return to investors
of 131.15p on their shares.
BNP Paribas Energy-Base Metals Secure Growth
Listing: Channel Islands Stock Exchange
Launch date: 30 June 2005
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: June 29, 2010
ISIN: GB00B0B8H459
SEDOL: B0B8H45
Epic Code: EBM
BNP Paribas Energy-Base Metals Secure Growth ("EBM") is a five-year investment
offering 340% 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 30
October 2009 are set out in the table below.
+-----------------+----------+------------+----------+---------+
| Commodity name |Value at | Value as | Change | Weight |
| | Start | of | | |
| | | 30-Oct-09 | | |
+-----------------+----------+------------+----------+---------+
| Aluminium | 1716.00 | 1,903.00 | 10.9% | 20.0% |
+-----------------+----------+------------+----------+---------+
| Copper | 3597.00 | 6,575.00 | 82.8% | 20.0% |
+-----------------+----------+------------+----------+---------+
| Nickel |14700.00 | 18,465.00 | 25.6% | 15.0% |
+-----------------+----------+------------+----------+---------+
| West Texas | 56.50 | 77.00 | 36.3% | 30.0% |
| Intermediate | | | | |
+-----------------+----------+------------+----------+---------+
| Zinc | 1223.00 | 2,195.00 | 79.5% | 15.0% |
+-----------------+----------+------------+----------+---------+
Source for Commodity values Information: Bloomberg
Between launch on 30 June 2005 and close on 30 October 2009 the NAV had risen by
172%. Over this period the DJ UBS Commodities Total Return Index had fallen by
14%. The principle factors underlying EBM's performance are the NAV's
sensitivity to the direction of commodity spot and forward prices and high
sensitivity to changes in the volatility of forward commodity prices.
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Stock | Strike | Current |Performance | Option | Share |Weighting |
| | price | price | at | strike |portfolio | at |
| | at | at | 30-Oct-09 | price |weighting |30-Oct-09 |
| |8-Sept-09 |30-Oct-09 | | |at Strike | |
| | | | | | Date | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Astrazeneca | 2,755.00 | 2,742.00 | -0.5% |2,869.31 | 5.2% | 5.1% |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Glaxosmithkline | 1,180.00 | 1,250.00 | 5.9% |1,226.01 | 6.6% | 6.8% |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BHP | 1,665.50 | 1,643.50 | -1.3% |1,698.34 | 5.5% | 5.2% |
| Billiton | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Rio | 2,552.00 | 2,693.00 | 5.5% |2,594.71 | 5.5% | 5.6% |
| Tinto | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BP PLC | 543.00 | 572.30 | 5.4% | 555.83 | 6.7% | 6.9% |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Royal | 1,685.00 | 1,760.00 | 4.5% |1,706.34 | 6.8% | 6.8% |
| Dutch | | | | | | |
| Shell | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Tesco | 376.60 | 407.35 | 8.2% | 387.61 | 5.3% | 5.5% |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Unilever | 1,650.00 | 1,829.00 | 10.8% |1,703.42 | 4.0% | 4.3% |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Vodafone | 136.80 | 134.55 | -1.6% | 138.65 | 6.7% | 6.4% |
| Group | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| British | 1,910.00 | 1,943.00 | 1.7% |1,977.59 | 5.2% | 5.1% |
| American | | | | | | |
| Tobacco | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| National | 588.50 | 606.50 | 3.1% | 608.49 | 4.0% | 4.0% |
| Grid Plc | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| HSBC | 654.30 | 673.70 | 3.0% | 691.13 | 6.6% | 6.5% |
| Holdings | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Scottish | 1,124.00 | 1,079.00 | -4.0% |1,161.73 | 4.0% | 3.7% |
| & | | | | | | |
| Southern | | | | | | |
| Energy | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Diageo | 970.50 | 996.00 | 2.6% | 998.37 | 5.3% | 5.3% |
| Plc | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Anglo | 2,036.50 | 2,215.00 | 8.8% |2,109.50 | 5.4% | 5.6% |
| American | | | | | | |
| Plc | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Man | 271.10 | 310.00 | 14.3% | 284.31 | 2.7% | 3.0% |
| Group | | | | | | |
| Plc | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BAE | 322.60 | 314.50 | -2.5% | 336.53 | 3.9% | 3.7% |
| Systems | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BG | 1,055.00 | 1,055.00 | 0.0% |1,059.77 | 5.5% | 5.3% |
| Group | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Reckitt | 2,920.00 | 3,035.00 | 3.9% |3,005.48 | 4.0% | 4.0% |
| Bensicker | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| United | 455.70 | 440.50 | -3.3% | 475.91 | 1.3% | 1.2% |
| Utilities | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| FTSE | 4,405.22 | 5,044.55 | 14.51% | | | |
| 100 | | | | | | |
| Index | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Weighted | | | 3.27% | | | |
| Basket | | | | | | |
| Performance | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 9 December 2005 and close on 30 October 2009 the NAV had
fallen by 31.01% (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 and 5 November 2009.
+------------------+----------+-----------+----------+---------+
| Commodity name |Value at | Value as | Change | Weight |
| | Start | of | | |
| | |30-Oct-09 | | |
+------------------+----------+-----------+----------+---------+
| Aluminium | 2,457 | 1,903.00 | -22.5% | 20.0% |
+------------------+----------+-----------+----------+---------+
| Copper | 5,220 | 6,575.00 | 25.2% | 20.0% |
+------------------+----------+-----------+----------+---------+
| Nickel | 15,055 |18,465.00 | 30.4% | 15.0% |
+------------------+----------+-----------+----------+---------+
| West Texas | 64 | 77.00 | 20.5% | 30.0% |
| Intermediate | | | | |
+------------------+----------+-----------+----------+---------+
| Zinc | 2,543 | 2,195.00 | -26.7% | 15.0% |
+------------------+----------+-----------+----------+---------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and close on 30 October 2009 the NAV had risen
by 59.3%. Over this period the DJ UBS Commodities Excess Return Index had
fallen by 18.9%.
+--------+---------+-----------+--------+---------+---------+----------+
| Index |Initial | Value |Change | 85% | 50% | Lowest |
| name | Level | as of | |Barrier |Barrier |observed |
| | |30-Oct-09 | | Level | Level | Index |
| | | | | | | Level |
+--------+---------+-----------+--------+---------+---------+----------+
| DJ | 3865.4 | 2743.5 |-29.0% | 3285.6 | 1932.7 | 1810.0 |
| Euro | | | | | | |
| Stoxx | | | | | | |
| 50 | | | | | | |
+--------+---------+-----------+--------+---------+---------+----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on April 27 2006 and close on 30 October 2009 the NAV has fallen
by 12.1% versus a 28.6.% decline in the Eurostoxx 50 Index.
The level of the Index recorded at launch and as of 30 October 2009 is set out
in the table below.
+----------------+------------+-------------+-------------+-----------------+
| DJGT | Share | Current | % change |Out-performance |
| Components | Price | Value at | | |
| | at | 30 Oct 09 | | |
| | Launch | | | |
+----------------+------------+-------------+-------------+-----------------+
| Abbot Labs | 46.21 | 50.57 | 9.44% | 27.88% |
+----------------+------------+-------------+-------------+-----------------+
| Altria Group | 18.30 | 18.11 | -1.04% | 17.41% |
+----------------+------------+-------------+-------------+-----------------+
| AT&T Inc | 27.30 | 25.67 | -5.97% | 12.47% |
+----------------+------------+-------------+-------------+-----------------+
| BP Group | 625.00 | 572.30 | -8.43% | 10.01% |
+----------------+------------+-------------+-------------+-----------------+
| Chevron Texaco | 65.32 | 76.54 | 17.18% | 35.62% |
| Corp | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Cisco Systems | 17.88 | 22.85 | 27.80% | 46.24% |
+----------------+------------+-------------+-------------+-----------------+
| Coca Cola | 43.84 | 53.31 | 21.60% | 40.05% |
+----------------+------------+-------------+-------------+-----------------+
| Exxon Mobil | 64.25 | 71.67 | 11.55% | 29.99% |
| Corp | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Glaxo | 1,493.00 | 1,250.00 | -16.28% | 2.17% |
| Smithkline | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Google Corp. | 407.35 | 536.12 | 31.61% | 50.06% |
+----------------+------------+-------------+-------------+-----------------+
| Hewlett | 31.80 | 47.46 | 49.25% | 67.69% |
| packard | | | | |
+----------------+------------+-------------+-------------+-----------------+
| IBM | 75.48 | 120.61 | 59.79% | 78.24% |
+----------------+------------+-------------+-------------+-----------------+
| Intel Corp | 17.15 | 19.11 | 11.43% | 29.87% |
+----------------+------------+-------------+-------------+-----------------+
| Johnson & | 61.37 | 59.05 | -3.78% | 14.66% |
| Johnson | | | | |
+----------------+------------+-------------+-------------+-----------------+
| JP Morgan | 42.98 | 41.77 | -2.82% | 15.63% |
| Chase | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Merck | 37.30 | 30.93 | -17.08% | 1.37% |
+----------------+------------+-------------+-------------+-----------------+
| Microsoft | 22.85 | 27.73 | 21.36% | 39.80% |
+----------------+------------+-------------+-------------+-----------------+
| Nestle | 39.15 | 47.82 | 22.15% | 40.59% |
+----------------+------------+-------------+-------------+-----------------+
| Pepsi Cola | 62.48 | 60.55 | -3.09% | 15.36% |
+----------------+------------+-------------+-------------+-----------------+
| Procter & | 56.61 | 58.00 | 2.46% | 20.90% |
| Gamble | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Samsung |598,000.00 |723,000.00 | 20.90% | 39.35% |
| Electronics | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Siemens | 64.43 | 61.47 | -4.59% | 13.85% |
+----------------+------------+-------------+-------------+-----------------+
| Telefonica | 13.04 | 19.03 | 45.94% | 64.38% |
+----------------+------------+-------------+-------------+-----------------+
| Verizon | 30.94 | 29.59 | -4.35% | 14.09% |
+----------------+------------+-------------+-------------+-----------------+
| Vodafone | 113.40 | 134.55 | 18.65% | 37.10% |
+----------------+------------+-------------+-------------+-----------------+
| Wal-Mart | 44.29 | 49.68 | 12.17% | 30.61% |
| Stores | | | | |
+----------------+------------+-------------+-------------+-----------------+
| DJGT Index | 202.23 | 164.93 | -18.44% | |
+----------------+------------+-------------+-------------+-----------------+
| | | | | |
+----------------+------------+-------------+-------------+-----------------+
| Portfolio | | | | 30.6% |
| Average | | | | |
+----------------+------------+-------------+-------------+-----------------+
Source for Share Price Information: Bloomberg
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Stock | Strike | Current |Performance |Option | Class | Class |
| | Price | price | at |strike | A - | A - |
| | at | at | 30-Oct-09 | price | Share |Weighting |
| |24-Aug-09 |30-Oct-09 | | | Portfolio | at |
| | | | | | weighting |30-Oct-09 |
| | | | | | at Strike | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Altria | 18.33 | 18.11 | -1.20% | 19.45 | 1,145,698 | 2.6% |
| Group | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| AT&T | 26.14 | 25.67 | -1.80% | 28.15 | 2,864,238 | 6.6% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Bank | 17.35 | 14.58 | -15.97% | 20.21 | 2,291,397 | 5.8% |
| of | | | | | | |
| America | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Chevron | 70.76 | 76.54 | 8.17% | 76.78 | 2,291,350 | 5.4% |
| Corp | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Exelon | 51.19 | 46.96 | -8.26% | 55.89 | 1,145,683 | 2.7% |
| Corp. | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Exxon | 71.30 | 71.67 | 0.52% | 77.01 | 2,864,264 | 6.7% |
| Mobil | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| General | 14.20 | 14.26 | 0.42% | 15.99 | 2,290,971 | 5.6% |
| Electric | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| IBM | 119.32 | 120.61 | 1.08% |128.64 | 2,864,277 | 6.7% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Intel | 18.76 | 19.11 | 1.87% | 20.66 | 2,291,384 | 5.4% |
| Corporation | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Johnson | 61.28 | 59.05 | -3.64% | 64.81 | 2,864,227 | 6.5% |
| and | | | | | | |
| Johnson | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| JP | 43.01 | 41.77 | -2.88% | 48.29 | 2,864,251 | 6.9% |
| Morgan | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| McDonalds | 55.91 | 58.61 | 4.83% | 59.47 | 1,718,562 | 3.9% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Microsoft | 24.64 | 27.73 | 12.54% | 26.88 | 2,864,228 | 6.7% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Monsanto | 83.71 | 67.18 | -19.75% | 93.11 | 1,145,739 | 2.7% |
| Co. | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Pfizer | 16.73 | 17.03 | 1.79% | 18.22 | 2,291,408 | 5.4% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Phillip | 47.43 | 47.36 | -0.15% | 51.12 | 2,291,391 | 5.3% |
| Morris | | | | | | |
| International | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Procter&Gamble | 53.34 | 58.00 | 8.74% | 56.88 | 2,864,251 | 6.6% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| United | 59.30 | 61.45 | 3.63% | 64.80 | 1,718,514 | 4.0% |
| Technologies | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| UPS | 53.52 | 53.68 | 0.30% | 58.28 | 1,718,527 | 4.0% |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Walt | 26.80 | 27.37 | 2.13% | 29.50 | 1,718,550 | 4.1% |
| Disney | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Wells | 27.32 | 27.52 | 0.73% | 15.60 | 2,291,383 | 5.7% |
| Fargo | | | | | | |
| & Co | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| S&P | 413.54 | 482.31 | 16.63% | | | |
| 100 | | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
| Weighted Basket | | 0.43% | | | |
| Performance | | | | | |
+----------------+-----------+-----------+-------------+--------+----------------------------------------------------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 30 October 2009 the Total Return
Performance was -2.7% and -0.4% 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 19.4% 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 and 22 October 2009.
Euro High Income Preference Shares ("EUHS" for Class A and "EUHE" 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 in Eurozone companies selected from the Dow Jones Euro STOXX
50 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 Dow Jones Euro STOXX 50 Index, with a term and maturity
matching the term of the Shares, aims to reduce the risk of capital loss.
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| Stock | Strike | Current |Performance |Option | Class | Class |
| | Price | price | at |Strike | A - | A - |
| | at | at | 30-Oct-09 | Price | Share |Weighting |
| |23-Sep-09 |30-Oct-09 | | |portfolio | at |
| | | | | |weighting |30-Oct-09 |
| | | | | |at Strike | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| ALLIANZ | 83.13 | 77.99 | -6.18% | 87.87 | 4.97% | 5.06% |
| SE | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| AEGON | 5.64 | 4.88 | -13.43% | 5.92 | 5.00% | 4.69% |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| ALSTOM | 50.35 | 47.325 | -6.01% | 52.87 | 5.01% | 5.10% |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| AXA SA | 17.23 | 16.6251 | -3.51% | 18.09 | 5.00% | 5.23% |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| ARCELORMITTAL | 26.47 | 22.98 | -13.18% | 27.79 | 5.00% | 4.71% |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| CREDIT | 13.75 | 13.105 | -4.69% | 14.44 | 5.00% | 5.17% |
| AGRICOLE | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| DAIMLER | 33.06 | 33.08 | 0.06% | 34.71 | 5.00% | 5.43% |
| AG | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| DEUTSCHE | 51.28 | 48.9 | -4.64% | 54.03 | 4.99% | 5.16% |
| BANK | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| DEUTSCHE | 58.47 | 55.29 | -5.44% | 61.38 | 5.00% | 5.13% |
| BOERSE | | | | | | |
| AG | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| DEUTSCHE | 9.30 | 9.255 | -0.48% | 9.77 | 5.00% | 5.40% |
| TELEKOM | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| FORTIS | 2.92 | 2.952 | 1.27% | 3.07 | 5.00% | 5.48% |
| BANK | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| GDF | 31.27 | 28.51 | -8.83% | 32.83 | 5.00% | 4.95% |
| SUEZ | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| ING | 11.32 | 6.86 | -39.38% | 11.89 | 5.00% | 3.29% |
| GROEP | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| NOKIA | 10.73 | 8.63 | -19.57% | 11.27 | 5.00% | 4.36% |
| AB OY | | | | | | |
| A | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| RENAULT | 31.95 | 30.6 | -4.23% | 33.55 | 5.00% | 5.19% |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| SAINT | 34.92 | 33.305 | -4.61% | 36.67 | 5.01% | 5.18% |
| GOBAIN | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| SCHNEIDER | 71.37 | 71.01 | -0.50% | 74.94 | 5.00% | 5.39% |
| ELECTRIC | | | | | | |
| SA | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| UNICREDIT | 2.55 | 2.29 | -10.28% | 2.69 | 4.99% | 4.85% |
| SPA | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| VINCI | 40.03 | 35.63 | -10.99% | 42.03 | 5.00% | 4.83% |
| SA | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| VOLKSWAGEN | 110.20 | 110.05 | -0.14% |116.03 | 4.99% | 5.40% |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| DJ | 2887.24 | 2743.5 | -4.98% | | | |
| Eurostoxx | | | | | | |
| 50 | | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
| Weighted Basket | | -7.74% | | | |
| Performance | | | | | |
+---------------+-----------+-----------+-------------+--------+-----------+-----------+
Source for Share Price Information: Bloomberg
BNP Paribas Agrinvest Shares (herein the "Shares") is a six-year investment
aiming to provide shareholders with the opportunity to participate in the
performance of exchange-traded commodities futures comprised in the DCI
Agriculture BNP Paribas Enhanced Excess Return Index (the "Index"). The Index is
designed to provide a broad yet liquid representation of large, mid and small
commodity futures inside the Organisation for Economic Cooperation and
Development (OECD). 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.
+-------------+----------+-----------+---------+
| Commodity | Value | Value | Change |
| name | at | as of | |
| | Start |30-Oct-09 | |
+-------------+----------+-----------+---------+
| DCI |1,053.0 | 884.6 |-15.99% |
| Agriculture | | | |
| BNP Paribas | | | |
| Enhanced | | | |
| Excess | | | |
| Return | | | |
+-------------+----------+-----------+---------+
Source for Index Price Information: Bloomberg
Between launch on 22 June 2007 and close on 31 October 2008 the NAV had
increased by 2.4%. Over this period the S&P GSCI Agri&Livestock ER Index had
fallen by 26.0%.
The investment objective of the Company for Hedge Elite was to provide
shareholders with a return on capital linked to the performance of a notional
dynamic basket, comprising participations in 10 hedge funds selected by BNP
Paribas in accordance with specific criteria, a cash facility, foreign exchange
contracts and a zero coupon bond, with the benefit of a profit lock-in mechanism
and a Redemption Amount payable at scheduled maturity of not less than 90 pence
per Share.
Investment Performance and Termination
As it was agreed by the Board of directors that it was no longer in the best
interests of the Company, Hedge Elite or the holder of the Hedge Elite
Preference Shares for the Company on behalf of Hedge Elite to continue to pursue
its stated investment objective for Hedge Elite, all Hedge Elite Preference
Shares were redeemed on 19 October 2009 at 78.86 pence each and Hedge Elite was
subsequently dissolved. As the Hedge Elite Preference Shares were redeemed
prior to the scheduled Redemption Date, the minimum Redemption Amount of 90
pence per share was not applicable.
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 Overview
The Enhanced Property Recovery Fund allows investors to benefit from a possible
recovery in the listed property market with an enhanced market timing mechanism.
At maturity, if the FTSE EPRA European Index (Bloomberg code: EPRA Index) (the
"Index") finishes above its initial level, the fund will pay the greater of
either 170% or the enhanced performance of the index. If the Index closes below
the initial level, the Fund will track the Index.
Investment Performance
Between launch on 13 March 2008 and close on 30 October 2009 the NAV had fallen
by 32.8%. Over this period the EPRA Index had fallen by 36.8%. 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 its lowest
observation in October 2008 and a new low of 1,263.19, which was significantly
lower than the previous level from July 2008. The enhanced market timing
mechanism of this Fund means that if the Index was to recover to maturity, this
figure would be used as the reference for which to calculate final performance.
BNP Paribas Energy-Base Metals (3)
Listing: Channel Islands Stock Exchange
Launch date: 5 June 2008
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 5 June 2014
ISIN: GG00B2R9LW24
SEDOL: B39TP47
Epic Code: EBMC
Investment Objective
BNP Paribas Energy-Base Metals 3 ("EBMC") is a six-year investment offering 175%
of the upside of the spot prices of a portfolio of commodities. The portfolio
comprises West Texas Intermediate Oil (30%), Natural Gas (20%), Aluminium
(12.5%), Copper (12.5%), Nickel (12.5%) and Zinc (12.5%). If the portfolio
performance is negative over six years, 100 pence is returned at maturity.
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
October 30, 2009 are set out in the table below.
+------------------+----------+------------+---------+---------+
| Commodity name |Value at | Value as | Change | Weight |
| | Start | of | | |
| | | 30-Oct-09 | | |
+------------------+----------+------------+---------+---------+
| Aluminium | 2858.5 | 1,903 | -33.4% | 12.5% |
+------------------+----------+------------+---------+---------+
| Copper | 8006 | 6,575 | -17.9% | 12.5% |
+------------------+----------+------------+---------+---------+
| Nickel | 22000 | 18,465 | -16.1% | 12.5% |
+------------------+----------+------------+---------+---------+
| West Texas | 122.3 | 77 | -37.0% | 30.0% |
| Intermediate | | | | |
+------------------+----------+------------+---------+---------+
| Zinc | 1948.5 | 2,195 | 12.7% | 12.5% |
+------------------+----------+------------+---------+---------+
| Natural Gas | 12.379 | 5.045 | -59.2% | 20.0% |
+------------------+----------+------------+---------+---------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 5 June 2008 and close on 30 October 2009 the NAV had risen by
4.7%. Over this period the DJ AIG Commodities Excess Return Index had fallen by
39.4%.
ISIN:GG00B39FV703
SEDOL: B39FVH0
Investment Overview
The BNP Paribas Agribusiness Cell is a 2.5 year investment which aims to provide
shareholders with the opportunity to participate, through a dividend payable on
the Shares, 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).
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: B4W90V3
Class B ISIN: GG00B4W90W42
Class B SEDOL: B4W90W4
Investment Overview
The investment objective of the Cell is to provide Shareholders with a stable
stream of quarterly dividend distributions (with a targeted dividend yield of
approximately 8% per annum, subject to increase and decrease in certain
circumstances) and return on capital based on an investment strategy linked to
the performance of the Dow Jones Euro STOXX 50 Index (the "Index") and notional
call options written on the Index (the "Strategy"). Dividend distributions on
the Enhanced Income Preference Shares will be denominated and paid in GBP in
respect of the Class A Shares and in EUR in respect of the Class B Shares.
There are currently no Class B Shares in issue.
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 Overview
The investment objective of the Cell is to provide shareholders with exposure to
the performance of an actively managed long short arbitrage strategy based on a
portfolio of 25 commodities through the BNP PARIBAS COMAC Long-Short Total
Return Net of Fees Index (the "Index"). The Index is denominated in USD and is
designed to track the performance of an actively managed portfolio of 25
commodities selected from the energy, metals and agricultural sectors, the
respective weightings of which are determined in accordance with an investment
strategy based on recommendations provided by the COMAC Adviser and a
rules-based proprietary methodology designed by BNP Paribas (the "Index
Methodology")
Investment Performance Between launch on 1 June 2009 and close on 30 October
2009 the NAV of Class A had fallen by 21.61%. Over this period the DJ UBS
Commodity Index had increased by 2.10%. There are currently no Class B Shares
in issue.
Investment Overview
Between launch on 16 July 2009 and close on 30 October 2009 the NAV Total Return
Performance was 7.9% and 7.9% 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 10.8% over that period.
The directors declared interim dividends of 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 28 October 2009.
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 Overview
STATEMENT OF OPERATIONS
for the year ended 31 October 2009
+-------------------------------------+-------+--------------+---------------+
| | | Year | Year to |
| | | to | |
+-------------------------------------+-------+--------------+---------------+
| | | 31 Oct | 31 Oct |
| | | 2009 | 2008 |
+-------------------------------------+-------+--------------+---------------+
| | | Total | Total |
+-------------------------------------+-------+--------------+---------------+
| |Notes | GBP | GBP |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Net movement in unrealised loss on | | | |
| financial assets | | | |
+-------------------------------------+-------+--------------+---------------+
| at fair value through profit or | 3 | (4,776,187) | (136,407,505) |
| loss | | | |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Realised loss on financial assets | 8 | (4,487,813) | - |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Amortisation of debt issue costs | | (49,585) | (49,721) |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Income from financial assets at | 1h | | |
| fair value through profit | | | |
+-------------------------------------+-------+--------------+---------------+
| or loss | | 29,671,803 | 23,793,522 |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Finance costs - distributions to | | | |
| holders of Preference | | | |
+-------------------------------------+-------+--------------+---------------+
| Shares | 1l | (29,671,803) | (23,793,522) |
+-------------------------------------+-------+--------------+---------------+
| Decrease in net assets attributable | | | |
| to Preference | | | |
+-------------------------------------+-------+--------------+---------------+
| shareholders from operations | | (9,313,585) | 136,457,226 |
+-------------------------------------+-------+--------------+---------------+
In arriving at the results for the financial period, all amounts above relate to
continuing operations. There are no recognised gains or losses for the year
other than those disclosed above.
NET ASSET STATEMENT
as at 31 October 2009
+-------------------------------------+-------+-------------+-------------+
| | | Year | Year |
| | | to | to |
+-------------------------------------+-------+-------------+-------------+
| | | 31 Oct | 31 Oct |
| | | 2009 | 2008 |
+-------------------------------------+-------+-------------+-------------+
| | | Total | Total |
+-------------------------------------+-------+-------------+-------------+
| |Notes | GBP | GBP |
+-------------------------------------+-------+-------------+-------------+
| | | | |
+-------------------------------------+-------+-------------+-------------+
| ASSETS | | | |
+-------------------------------------+-------+-------------+-------------+
| NON CURRENT ASSETS | | | |
+-------------------------------------+-------+-------------+-------------+
| Financial assets at fair value | | 796,571,889 | 627,147,449 |
| through profit or loss | | | |
+-------------------------------------+-------+-------------+-------------+
| | | | |
+-------------------------------------+-------+-------------+-------------+
| CURRENT ASSETS | | | |
+-------------------------------------+-------+-------------+-------------+
| Cash at bank | 1g | - | - |
+-------------------------------------+-------+-------------+-------------+
| Investment income receivable | 1h | 4,063,256 | - |
+-------------------------------------+-------+-------------+-------------+
| Prepaid debt issue costs | | 68,196 | 117,781 |
+-------------------------------------+-------+-------------+-------------+
| | | 4,131,452 | 117,781 |
+-------------------------------------+-------+-------------+-------------+
| | | | |
+-------------------------------------+-------+-------------+-------------+
| LIABILITIES | | | |
+-------------------------------------+-------+-------------+-------------+
| CURRENT LIABILITIES | | | |
+-------------------------------------+-------+-------------+-------------+
| Dividends payable | 1l | 4,063,256 | - |
+-------------------------------------+-------+-------------+-------------+
| | | 4,063,256 | - |
+-------------------------------------+-------+-------------+-------------+
| NET ASSETS ATTRIBUTABLE TO HOLDERS | | | |
| OF | | | |
+-------------------------------------+-------+-------------+-------------+
| PREFERENCE SHARES | 3 | 796,640,085 | 627,265,230 |
+-------------------------------------+-------+-------------+-------------+
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
for the year ended 31 October 2009
+-------------------------------------+-------+--------------+---------------+
| | | Year | Year to |
| | | to | |
+-------------------------------------+-------+--------------+---------------+
| | | 31 Oct | 31 Oct |
| | | 2009 | 2008 |
+-------------------------------------+-------+--------------+---------------+
| | | Total | Total |
+-------------------------------------+-------+--------------+---------------+
| |Notes | GBP | GBP |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Opening balance | | 627,265,230 | 660,921,690 |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Proceeds from issue of Preference | | 194,555,055 | 94,210,444 |
| Shares | | | |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Redemption of shares | 8 | (16,741,200) | - |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Net loss for the year attributable | | | |
| to holders of | | | |
+-------------------------------------+-------+--------------+---------------+
| Preference Shares | | (9,313,585) | (136,457,226) |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Exchange gains on financial assets | | | |
| at fair value through | | | |
+-------------------------------------+-------+--------------+---------------+
| profit or loss | | 874,585 | 8,590,322 |
+-------------------------------------+-------+--------------+---------------+
| | | | |
+-------------------------------------+-------+--------------+---------------+
| Balance as at 31 October 2009 | | 796,640,085 | 627,265,230 |
+-------------------------------------+-------+--------------+---------------+
STATEMENT OF CASH FLOWS
for the year ended 31 October 2009
+-------------------------------------+-------+---------------+---------------+
| | | Year to | Year to |
+-------------------------------------+-------+---------------+---------------+
| | | 31 Oct | 31 Oct |
| | | 2009 | 2008 |
+-------------------------------------+-------+---------------+---------------+
| | | Total | Total |
+-------------------------------------+-------+---------------+---------------+
| |Notes | GBP | GBP |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| Operating activities | | | |
+-------------------------------------+-------+---------------+---------------+
| Net loss for the year attributable | | | |
| to holders of | | | |
+-------------------------------------+-------+---------------+---------------+
| Preference Shares | | (9,313,585) | (136,457,226) |
+-------------------------------------+-------+---------------+---------------+
| Add: Distributions to holders of | | 25,608,547 | 23,793,522 |
| Preference Shares | | | |
+-------------------------------------+-------+---------------+---------------+
| Add: Movement in realised and | | | |
| unrealised loss on | | | |
+-------------------------------------+-------+---------------+---------------+
| Investments | | 9,264,000 | 136,407,505 |
+-------------------------------------+-------+---------------+---------------+
| Movement in debtors and creditors | | 49,585 | 49,721 |
| during the year | | | |
+-------------------------------------+-------+---------------+---------------+
| Net cash inflow from operating | | 25,608,547 | 23,793,522 |
| activities | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| Investing activities | | | |
+-------------------------------------+-------+---------------+---------------+
| Redemption of financial assets | 8 | 16,741,200 | - |
+-------------------------------------+-------+---------------+---------------+
| Purchase of financial assets | | (194,555,055) | (94,210,444) |
+-------------------------------------+-------+---------------+---------------+
| Net cash outflow from investing | | (177,813,855) | (94,210,444) |
| activities | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| Financing activities | | | |
+-------------------------------------+-------+---------------+---------------+
| Distribution to holders of | 8 | (16,741,200) | - |
| Preference Shares redeemed | | | |
+-------------------------------------+-------+---------------+---------------+
| Proceeds from issue of Preference | | 194,555,055 | 94,210,444 |
| Shares | | | |
+-------------------------------------+-------+---------------+---------------+
| Distributions to holders of | | (25,608,547) | (23,793,522) |
| Preference Shares | | | |
+-------------------------------------+-------+---------------+---------------+
| Net cash inflow from financing | | 152,205,308 | 70,416,922 |
| activities | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| Increase / (decrease) in cash and | | - | - |
| cash equivalents | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| | | | |
+-------------------------------------+-------+---------------+---------------+
| Cash and cash equivalents at | | - | - |
| beginning of year | | | |
+-------------------------------------+-------+---------------+---------------+
| Increase / (decrease) in cash and | | - | - |
| cash equivalents | | | |
+-------------------------------------+-------+---------------+---------------+
| Cash and cash equivalents at end of | | - | - |
| year | | | |
+-------------------------------------+-------+---------------+---------------+
Notes to the Financial Statements
for the year ended 31 October 2009
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") which comprise standards and
interpretations approved by the International Accounting Standards Board, and
International Accounting Standards and Standing Interpretations Committee
approved by the International Accounting Standards Committee that remain in
effect and applicable Guernsey law. 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.
The financial statements for the year to 31 December 2009 have been prepared on
an aggregated basis. In previous periods the financial statements have been
shown on a cell by cell basis. The directors are of the opinion that this change
provides users of the financial statements with a more concise report regarding
the performance of the Company.
As at the date of these financial statements, the following standards,
amendments and interpretations, which have not been applied in these financial
statements, were in issue but not yet effective:
IFRS 7 (revised March 2009) Financial Instruments: Disclosures effective for
periods beginning on or after 1 January 2009.
IAS 1 (revised 2007) Presentation of Financial Statements effective for periods
beginning on or after 1 January 2009.
IAS 39 (revised July 2008) Financial Instruments: Recognition and measurement
effective for periods beginning on or after 1 July 2009.
The directors believe that the adoption of these standards, amendments and
interpretations in future periods will have no material impact on the financial
statements.
(b) Functional and presentational currency
Items included in the Company's financial statements are measured using the
currency of the primary economic environment in which it operates (the
"functional currency"). This is pounds sterling, which reflects the Company's
primary activity of investing in sterling-denominated derivative transactions.
The Company has adopted pounds sterling as its presentational 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. Only one cell is
not listed on the Channel Islands Stock Exchange, that being BNP Paribas
Agribusiness, which is listed on the Budapest Stock Exchange. Whilst
shareholders of this cell are not exposed to movements in the HUF / Sterling
Exchange rate, the reported value of this cell in the financial statements is
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 income
statement. Translation differences on non-monetary financial assets and
liabilities such as equities at fair value through profit or loss are recognised
in the income statement within the fair value net gain or loss.
(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.
(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 ( "EGAA") the Initial Cell Expenses incurred (as
defined in EGAA's Supplemental Memorandum) amounted to GBP297,509. Because the
Preference Shares in EGAA are redeemable on or around 17 March 2011, they are
required to be classified as debt instruments under IAS 32. Consequently, issue
costs are required to be amortised over the life of the instrument.
(g) Cash and cash equivalents
At the date of the net asset statement cash or cash equivalents comprise cash at
bank. 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 and therefore the Company holds nil balances in its bank
accounts as at year end.
(h) Income recognition
Dividend income is recognised in the Statement of Operations 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 derivative 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 Operations.
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 net loss of the Company for the year of
GBP9,313,585 (2008: GBP136,457,226 net loss) and on 692,255,806 (2008:
644,918,096) 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 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 Operations when they are declared by the Board of directors. The
distribution on these redeemable shares is recognised in the Statement of
Operations as a finance cost.
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 derivative financial instruments
The Company holds derivatives which are tailored to meet the Company's
respective needs for each cell. As the investments are not traded in an active
market, the fair value of such instruments is determined by using valuation
techniques. The fair value is calculated weekly and as at each month end by the
Counterparty. As at the balance sheet 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 balance sheet 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 and correlations require
management to make estimates. Changes in assumptions about these factors could
affect the reported fair value of financial instruments.
3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
+-------------------------------------+------+--------------+---------------+
| | | Year | Year to |
| | | to | |
+-------------------------------------+------+--------------+---------------+
| | | 31 Oct | 31 Oct |
| | | 2009 | 2008 |
+-------------------------------------+------+--------------+---------------+
| | | Total | Total |
+-------------------------------------+------+--------------+---------------+
| | | GBP | GBP |
+-------------------------------------+------+--------------+---------------+
| | | | |
+-------------------------------------+------+--------------+---------------+
| Opening portfolio cost | | 676,274,235 | 582,063,791 |
+-------------------------------------+------+--------------+---------------+
| Opening unrealised (loss) / gain on | | (55,333,776) | 81,123,450 |
| valuation | | | |
+-------------------------------------+------+--------------+---------------+
| Opening exchange gains / (losses) | | | |
| on currency | | | |
+-------------------------------------+------+--------------+---------------+
| Balances | | 6,324,771 | (2,265,551) |
+-------------------------------------+------+--------------+---------------+
| | | | |
+-------------------------------------+------+--------------+---------------+
| Opening valuation | | 627,265,230 | 660,921,690 |
+-------------------------------------+------+--------------+---------------+
| | | | |
+-------------------------------------+------+--------------+---------------+
| Purchase at cost | | 194,555,055 | 94,210,444 |
+-------------------------------------+------+--------------+---------------+
| Proceeds of sales of financial | | (16,741,200) | - |
| assets | | | |
+-------------------------------------+------+--------------+---------------+
| Unrealised loss for the year | | (4,825,772) | (136,457,226) |
+-------------------------------------+------+--------------+---------------+
| Realised loss for the year | | (4,487,813) | - |
+-------------------------------------+------+--------------+---------------+
| Exchange gains on currency balances | | 874,585 | 8,590,322 |
+-------------------------------------+------+--------------+---------------+
| | | | |
+-------------------------------------+------+--------------+---------------+
| Closing valuation | | 796,640,085 | 627,265,230 |
+-------------------------------------+------+--------------+---------------+
| | | | |
+-------------------------------------+------+--------------+---------------+
| Closing portfolio cost | | 854,088,090 | 676,274,235 |
+-------------------------------------+------+--------------+---------------+
| Closing unrealised loss | | (64,647,361) | (55,333,776) |
+-------------------------------------+------+--------------+---------------+
| Closing exchange gains on currency | | 7,199,356 | 6,324,771 |
| balances | | | |
+-------------------------------------+------+--------------+---------------+
| | | | |
+-------------------------------------+------+--------------+---------------+
| Closing valuation | | 796,640,085 | 627,265,230 |
+-------------------------------------+------+--------------+---------------+
4 SHARE CAPITAL
+-------------------------------------+-----------+--------+
| Authorised | SHARES | GBP |
+-------------------------------------+-----------+--------+
| Preference shares of no par value | Unlimited | - |
| each | | |
+-------------------------------------+-----------+--------+
| Ordinary shares of no par value | 2 | - |
| each | | |
+-------------------------------------+-----------+--------+
| | 2 | - |
+-------------------------------------+-----------+--------+
+--------------+-------------+---------------+-------------+-------------+
| Allotted, | | | | Shares |
| called-up | Shares | Preference | Preference | issued as |
| and fully | issued as | Shares | Shares | at 31 Oct |
| paid | at | Redeemed | Issued | 2009 |
| Preference | 1 Nov 2008 | | | |
| Shares | | | | |
+--------------+-------------+---------------+-------------+-------------+
| | | | | |
+--------------+-------------+---------------+-------------+-------------+
| 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 | 47,225,896 | - | - | 47,225,896 |
| Agrinvest | | | | |
+--------------+-------------+---------------+-------------+-------------+
| Cell Euro HI | 45,375,520 | - | - | 45,375,520 |
| A | | | | |
+--------------+-------------+---------------+-------------+-------------+
| Cell Euro HI | 10,261,000 | - | - | 10,261,000 |
| B | | | | |
+--------------+-------------+---------------+-------------+-------------+
| Cell Hedge | 21,229,013 | (21,229,013)* | - | - |
| Elite | | | | |
+--------------+-------------+---------------+-------------+-------------+
| 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 | 2 | - | - | 2 |
| Shares | | | | |
+--------------+-------------+---------------+-------------+-------------+
| | | | | |
+--------------+-------------+---------------+-------------+-------------+
| TOTAL | 692,255,808 | (21,229,013) | 208,120,282 | 879,147,077 |
+--------------+-------------+---------------+-------------+-------------+
* See Note 8
+--------------+-------------+------------+------------+-------------+
| Allotted, | | | | Shares |
| called-up | Shares |Preference |Preference | issued as |
| and fully | issued as | Shares | Shares | at 31 Oct |
| paid | at 1 Nov | Redeemed | Issued | 2008 |
| Preference | 2007 | | | |
| Shares | | | | |
+--------------+-------------+------------+------------+-------------+
| | | | | |
+--------------+-------------+------------+------------+-------------+
| 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 | 37,225,896 | - | 10,000,000 | 47,225,896 |
| Agrinvest | | | | |
+--------------+-------------+------------+------------+-------------+
| Cell Euro HI | 45,375,520 | - | - | 45,375,520 |
| A | | | | |
+--------------+-------------+------------+------------+-------------+
| Cell Euro HI | 10,261,000 | - | - | 10,261,000 |
| B | | | | |
+--------------+-------------+------------+------------+-------------+
| Cell Hedge | 21,229,013 | - | - | 21,229,013 |
| Elite | | | | |
+--------------+-------------+------------+------------+-------------+
| Cell EPR | - | - | 30,125,000 | 30,125,000 |
+--------------+-------------+------------+------------+-------------+
| Cell EBM (3) | - | - | 49,587,600 | 49,587,600 |
+--------------+-------------+------------+------------+-------------+
| Cell Agribus | - | - | 72,500 | 72,500 |
+--------------+-------------+------------+------------+-------------+
| | | | | |
+--------------+-------------+------------+------------+-------------+
| Ordinary | 2 | - | - | 2 |
| Shares | | | | |
+--------------+-------------+------------+------------+-------------+
| | | | | |
+--------------+-------------+------------+------------+-------------+
| TOTAL | 602,470,708 | - | 89,785,100 | 692,255,808 |
+--------------+-------------+------------+------------+-------------+
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 Enhanced Global Asset Allocation Preference Shares, BNP Paribas FTSE
Summit Preference Shares, BNP Paribas Energy - Base Metals Secure Growth
Preference Shares, 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, Class A Sterling Hedged Euro High Income Preference Shares, Class B
Unhedged Euro High Income Preference Shares, Class A Sterling Hedged Enhanced
Income Preference Shares, Class A Sterling Hedged US Enhanced Income Preference
Shares, Class B US Dollar Unhedged US 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 | Preference | Preference | Share |
| Preference | premium as | Shares | Shares | premium |
| Shares | at 1 Nov | Redeemed | Issued | as at 31 |
| | 2008 | | | Oct 2009 |
+-----------------+-------------+---------------+-------------+-------------+
| | 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 Hedge | 21,229,013 | (21,229,013)* | - | - |
| Elite | | | | |
+-----------------+-------------+---------------+-------------+-------------+
| 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 | 676,571,744 | (21,229,013) | 194,555,055 | 849,897,786 |
+-----------------+-------------+---------------+-------------+-------------+
* See Note 8
+------------------+-------------+------------+------------+-------------+
| Share Premium | Share |Preference |Preference | Share |
| Preference | premium as | Shares | Shares | premium |
| Shares | at 1 Nov | Redeemed | Issued | as at 31 |
| | 2007 | | | Oct 2008 |
+------------------+-------------+------------+------------+-------------+
| | 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 | 37,225,896 | - | 12,291,000 | 49,516,896 |
+------------------+-------------+------------+------------+-------------+
| Cell Euro HI A | 45,375,520 | - | - | 45,375,520 |
+------------------+-------------+------------+------------+-------------+
| Cell Euro HI B | 6,895,958 | - | - | 6,895,958 |
+------------------+-------------+------------+------------+-------------+
| Cell Hedge Elite | 21,229,013 | - | - | 21,229,013 |
+------------------+-------------+------------+------------+-------------+
| 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 |
+------------------+-------------+------------+------------+-------------+
| | | | | |
+------------------+-------------+------------+------------+-------------+
| TOTAL | 582,361,300 | - | 94,210,444 | 676,571,744 |
+------------------+-------------+------------+------------+-------------+
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
The Company's activities expose it to a variety of financial risk: market risk
(including interest rate risk and market price risk), credit risk, liquidity
risk, capital risk and foreign exchange risk.
The Company's overall risk management programme focuses on the unpredictability
of financial markets and seeks to minimise potential adverse effects on the
Company's financial performance. The Company uses derivative financial
instruments to moderate certain risk exposures.
(a) Interest Rate Risk
The Company is not directly exposed to cash flow interest rate risk. However,
the Company is exposed to fair value 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.
(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.
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 a
derivative 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 October 2009 had been 10 per cent higher, 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 in net assets
attributable to holders of Cell Shares on the Redemption Date would have been as
stated below, arising due to the increase in the fair value of the financial
assets at fair value through profit or loss.
If market prices as at 31 October 2009 had been 10 per cent 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 in net assets
attributable to holders of preference shares on the Redemption Date would have
been as stated below, arising due to the decrease in the fair value of the
financial assets at fair value through profit or loss.
+------------+------------+------------+--------------+--------------+
| | Increase in net | Decrease in net |
| | assets | assets |
+------------+-------------------------+-----------------------------+
| | attributable to | attributable to |
| | holders of | holders of |
+------------+-------------------------+-----------------------------+
| | preference shares | preference shares |
+------------+-------------------------+-----------------------------+
| | | |
+------------+-------------------------+-----------------------------+
| | Year | Year | Year | Year ended |
| | ended | ended | ended | |
+------------+------------+------------+--------------+--------------+
| | 31 Oct | 31 Oct | 31 Oct | 31 Oct |
| | 2009 | 2008 | 2009 | 2008 |
+------------+------------+------------+--------------+--------------+
| | | | | |
+------------+------------+------------+--------------+--------------+
| Cell | GBP | GBP | GBP | GBP |
+------------+------------+------------+--------------+--------------+
| | | | | |
+------------+------------+------------+--------------+--------------+
| Cell EGAA | 49,816 | 241,790 | (50,085) | (241,249) |
+------------+------------+------------+--------------+--------------+
| Cell FTSE | 639,513 | 1,322,769 | (640,324) | (1,323,579) |
| S | | | | |
+------------+------------+------------+--------------+--------------+
| Cell EBMSG | 2,634,161 | 2,243,207 | (2,634,006) | (2,243,978) |
+------------+------------+------------+--------------+--------------+
| Cell UK HI | 9,904,452 | 6,232,413 | (9,907,284) | (6,229,580) |
+------------+------------+------------+--------------+--------------+
| Cell EBM | 6,305,541 | 3,733,655 | (6,306,842) | (3,730,405) |
| (2) | | | | |
+------------+------------+------------+--------------+--------------+
| Cell ES | 2,720,500 | 1,891,750 | (2,719,500) | (1,890,250) |
+------------+------------+------------+--------------+--------------+
| Cell Abs | 593,270 | 3,044,630 | (2,372,309) | (3,043,095) |
| Pro | | | | |
+------------+------------+------------+--------------+--------------+
| Cell US HI | 6,916,755 | 8,322,299 | (6,916,755) | (8,322,299) |
| A | | | | |
+------------+------------+------------+--------------+--------------+
| Cell US HI | 2,739,718 | 1,657,437 | (2,737,601) | (1,659,614) |
| B | | | | |
+------------+------------+------------+--------------+--------------+
| Cell | 2,518,557 | 2,363,656 | (2,515,724) | (2,364,600) |
| Agrinvest | | | | |
+------------+------------+------------+--------------+--------------+
| Cell Euro | 2,358,620 | 19,966 | (2,392,197) | (16,335) |
| HI A | | | | |
+------------+------------+------------+--------------+--------------+
| Cell Euro | 486,323 | 53,728 | (486,508) | (53,565) |
| HI B | | | | |
+------------+------------+------------+--------------+--------------+
| Cell Hedge | - | 370,021 | - | (368,748) |
| Elite | | | | |
+------------+------------+------------+--------------+--------------+
| Cell EPR | 3,247,174 | 2,392,527 | (3,247,776) | (2,389,515) |
+------------+------------+------------+--------------+--------------+
| Cell EBM | 2,396,569 | 1,538,703 | (2,393,594) | (1,539,695) |
| (3) | | | | |
+------------+------------+------------+--------------+--------------+
| Cell | 62,834 | 442,304 | (62,834) | (468,560) |
| Agribus | | | | |
+------------+------------+------------+--------------+--------------+
| Cell COMAC | 2,516,099 | - | (2,517,630) | - |
+------------+------------+------------+--------------+--------------+
| Cell US EI | 4,526,027 | - | (4,524,088) | - |
| A | | | | |
+------------+------------+------------+--------------+--------------+
| Cell US EI | 2,580,069 | - | (2,578,985) | - |
| B | | | | |
+------------+------------+------------+--------------+--------------+
| Cell UK EI | 4,406,513 | - | (4,406,514) | - |
+------------+------------+------------+--------------+--------------+
| Cell EI | 3,366,745 | - | (3,369,145) | - |
+------------+------------+------------+--------------+--------------+
| | | | | |
+------------+------------+------------+--------------+--------------+
| | | | | |
| | 60,969,256 | 35,870,855 | (62,779,701) | (35,885,067) |
+------------+------------+------------+--------------+--------------+
(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 BNP Paribas and the
Company acting for and on behalf of each cell, BNP Paribas 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"), BNP Paribas 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 BNP Paribas
under the swap confirmation, the Company will be entitled to enforce its
security over the collateral.
In respect of all cells other than BNP Paribas Agribusiness, 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 Credit Support Amount
in respect of BNP Paribas Agribusiness is 100% of the net asset value of BNP
Paribas Agribusiness,
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 date of the net asset statement is therefore considered to be
the valuation of the investments at this date, being GBP796,571,889.
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. 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.
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 Board monitors, but cannot actively control, liquidity risk.
(e) Capital Risk
The Company has an unlimited life but the 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 BNP Paribas.
Potential losses to shareholders are mitigated by 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:
+-----------------------------------+-------------+
| | GBP |
+-----------------------------------+-------------+
| | |
+-----------------------------------+-------------+
| Euro | 4,878,010 |
+-----------------------------------+-------------+
| US Dollar | 56,058,908 |
+-----------------------------------+-------------+
| Hungarian Forint | 2,239,095 |
+-----------------------------------+-------------+
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 is 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.
(g) Valuation
(i) The notional amounts of the derivative instruments are as follows:
+-----------------------------------+-------------+
| Enhanced Global Asset Allocation | GBP |
| | 13,500,255 |
+-----------------------------------+-------------+
| BNP Paribas FTSE Summit | GBP |
| | 40,501,195 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | GBP |
| Secure Growth | 7,701,999 |
+-----------------------------------+-------------+
| BNP Paribas UK High Income | GBP |
| | 141,613,549 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | GBP |
| (2) | 32,506,140 |
+-----------------------------------+-------------+
| 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 |
+-----------------------------------+-------------+
| Euro High Income - Class A | GBP |
| | 45,375,520 |
+-----------------------------------+-------------+
| Euro High Income - Class B | EUR |
| | 10,261,000 |
+-----------------------------------+-------------+
| Enhanced Property Recovery | GBP |
| | 30,125,000 |
+-----------------------------------+-------------+
| Energy - Base Metals (3) | GBP |
| | 49,587,600 |
+-----------------------------------+-------------+
| BNP Paribas Agribusiness | HUF 72,500 |
+-----------------------------------+-------------+
| 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 derivative instruments are as follows:
+-----------------------------------+-------------+
| Enhanced Global Asset Allocation | 17 March |
| | 2011 |
+-----------------------------------+-------------+
| BNP Paribas FTSE Summit | 29 June |
| | 2011 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | 29 June |
| Secure Growth | 2011 |
+-----------------------------------+-------------+
| BNP Paribas UK High Income | 8 December |
| | 2011 |
+-----------------------------------+-------------+
| BNP Paribas Energy - Base Metals | 22 March |
| (2) | 2012 |
+-----------------------------------+-------------+
| 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 |
+-----------------------------------+-------------+
| Euro High Income - Class A | 24 June |
| | 2013 |
+-----------------------------------+-------------+
| Euro High Income - Class B | 24 June |
| | 2013 |
+-----------------------------------+-------------+
| Enhanced Property Recovery | 13 March |
| | 2014 |
+-----------------------------------+-------------+
| Energy - Base Metals (3) | 5 June 2014 |
+-----------------------------------+-------------+
| BNP Paribas Agribusiness | 10 January |
| | 2011 |
+-----------------------------------+-------------+
| Enhanced Income | c. 30 April |
| | 2108 |
+-----------------------------------+-------------+
| 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 |
+-----------------------------------+-------------+
*The maturity date of the Enhanced Income cell will be the 26th business day
after the final ex dividend date. As the business days in April 2108 cannot yet
be determined, an approximate date is disclosed.
(iii) Early Settlement Options relating to the derivative contracts
Each contract entered into between BNP Paribas and the Company acting for and on
behalf of each cell has been entered into upon terms which allow such contract
to be terminated, inter alia, in the following circumstances:
(a) by the Company if BNP Paribas 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 BNP Paribas 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 BNP Paribas 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 BNP Paribas, 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 Credit Support Amount (as set out in note 6(c) above) or other
circumstances constituting an event of default with respect to BNP Paribas
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 BNP Paribas. In
such circumstances, the Company will re-invest the proceeds of realisation of
the collateral or distribute the same to shareholders.
(h) Periodic Returns on Principal and Timings of Payments
BNP Paribas UK High Income
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the BNP Paribas UK High Income cell, BNP Paribas
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 shares), 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 - Class A
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the US High Income cell in respect of Class A, BNP
Paribas 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 - Class B
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the US High Income cell in respect of Class B, BNP
Paribas 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, BNP Paribas 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.
Euro High Income - Class A
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the Euro High Income cell in respect of Class A, BNP
Paribas pays to the Company for the account of the Euro 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 Euro 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 Euro 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 Euro High Income Preference Share.
Euro High Income - Class B
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the Euro High Income cell in respect of Class B, BNP
Paribas pays to the Company for the account of the Euro High Income cell
quarterly a Euro amount equal to 1.875% of the notional amount of the Swap
Confirmation, equivalent to 1.875 cents per Class B Unhedged Euro 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
2.0624% of the notional amount of the Swap Confirmation, equivalent to 2.0625
cents per Class B Unhedged Euro 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 Euro High Income Preference Share.
BNP Paribas Agribusiness Cell
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the BNP Paribas Agribusiness cell, BNP Paribas will
pay to the Company for the account of the BNP Paribas Agribusiness cell five
business days before the dividend date, that being on or about 9 February 2011.
The dividend amount will be determined by reference to the closing level of the
BNP Paribas Global Agribusiness Excess Return Index (the "Index") determined on
or about 11 July 2008 (the "Initial Index Level") and the performance of the
Index calculated as of each of seven consecutive monthly observation dates. If
the arithmetic average performance of the Index on the seven observation dates
is equal to or less than zero, the dividend amount will be zero. If the
arithmetic average performance of the Index on the seven observation dates is
greater than zero, the dividend amount will be an amount in Hungarian Forints
equal to (a) HUF10,000 multiplied by (b) the product of (i)( the Participation
Factor (being 100% and (ii) such arithmetic average performance of the Index.
Enhanced Income
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the Enhanced Income cell, BNP Paribas 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 BNP Paribas and the Company
acting for and on behalf of the UK Enhanced Income cell, BNP Paribas 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.
US Enhanced Income - Class A
Under the terms of the Swap Confirmation between BNP Paribas and the Company
acting for and on behalf of the US Enhanced Income cell in respect of Class A,
BNP Paribas 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 BNP Paribas and the Company
acting for and on behalf of the US Enhanced Income cell in respect of Class B,
BNP Paribas 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 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
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.
(i) Collateral Arrangements
Under the terms of credit support deeds entered into between BNP Paribas and the
Company acting for and on behalf of each cell, BNP Paribas 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 at 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), BNP Paribas will provide additional
collateral to increase the aggregate value to at least applicable Credit Support
Amount. Where there is an event of default in respect of BNP Paribas under the
swap confirmation, the Company will be entitled to enforce its security over the
collateral.
The collateral held against all derivative instruments as at 31 October 2009 is
detailed below:
+------------+------------+-------------+
| | Year | Year |
| | ended | ended |
+------------+------------+-------------+
| | 31 Oct | 31 Oct |
| | 2009 | 2008 |
+------------+------------+-------------+
| | | |
+------------+------------+-------------+
| Cell | GBP | GBP |
+------------+------------+-------------+
| | | |
+------------+------------+-------------+
| Cell EGAA | 6,916,495 | 17,614,362 |
+------------+------------+-------------+
| Cell FTSE | 8,757,644 | 48,904,601 |
| S | | |
+------------+------------+-------------+
| Cell EBMSG | 3,832,721 | 13,949,834 |
+------------+------------+-------------+
| Cell UK HI | 26,410,783 | 116,492,331 |
+------------+------------+-------------+
| Cell EBM | 8,196,050 | 39,629,654 |
| (2) | | |
+------------+------------+-------------+
| Cell ES | 7,178,798 | 18,902,419 |
+------------+------------+-------------+
| Cell Abs | 15,762,681 | 91,564,787 |
| Pro | | |
+------------+------------+-------------+
| Cell US HI | 45,812,877 | 119,160,332 |
| | | |
+------------+------------+-------------+
| Cell | 21,268,699 | 43,990,342 |
| Agrinvest | | |
+------------+------------+-------------+
| Cell Euro | 4,954,795 | 34,927,165 |
| HI | | |
+------------+------------+-------------+
| Cell Hedge | - | 18,212,462 |
| Elite | | |
+------------+------------+-------------+
| Cell EPR | 13,404,525 | 15,519,245 |
+------------+------------+-------------+
| Cell EBM | 18,010,161 | 49,053,401 |
| (3) | | |
+------------+------------+-------------+
| Cell | 3,085,963 | 2,560,647 |
| Agribus | | |
+------------+------------+-------------+
| Cell COMAC | 11,645,744 | - |
+------------+------------+-------------+
| Cell US EI | 45,067,271 | - |
| | | |
+------------+------------+-------------+
| Cell UK EI | 1,374,050 | - |
+------------+------------+-------------+
| Cell EI | 27,472,475 | - |
+------------+------------+-------------+
As detailed in note 7, during the year BNP Paribas Arbitrage SNC, an affiliate
of BNP Paribas, significantly increased its holding of preference shares in each
of the cells. The effect of these increases was to reduce the amount of
collateral required, as BNP Paribas is only required to post collateral in an
amount calculated by reference to the value of shares in the relevant cell held
by third parties as set out at note 6(c) above.
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, the Investment Manager's fees in respect of Class B of
Euro High Income are paid in Euros and the Investment Manager's fees in respect
of BNP Paribas Agribusiness are paid in Hungarian Forints.
All expense 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 BNP Paribas specifying the portion of the derivative
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.
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 (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(e)
above).
Quarterly payments to the Company for the account of the Euro High Income cell
in respect of Class B are made in Euros.
Dividends paid by the Company to holders of Class B Unhedged Euro High Income
Preference Shares are paid in Euros.
Payments to the Company for the account of the BNP Paribas Agribusiness cell are
made in Hungarian Forints.
Dividends paid by the Company to holders of BNP Paribas Agribusiness Preference
Shares are paid in Hungarian Forints.
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 GBP281,445 (2008: GBP223,090) in respect of its
administration of the Company of which GBP27,327 (2008: GBP19,562) was
outstanding at the year end and the Registrar charged fees of GBP56,064 (2008:
GBP76,449) in respect of registration services on behalf of the Company of which
GBP3,528 (2008: GBP4,378) was outstanding at the year end.
Anson Group Limited is the ultimate controlling party of Anson Fund Managers
Limited and Anson Registrars Limited, John R Le Prevost and Peter Atkinson are
directors of Anson Group Limited.
Harewood Asset Management SAS, the Investment Manager, 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 GBP691,002
(2008: GBP616,038), of which GBPNil (2008: GBPNil) was outstanding at the year
end.
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 | | 31 Oct | |
| | 2009 | | 2008 | |
+-------------------------+-------------+-----------+-------------+------------+
| | Shares | % of | Shares | % of total |
| | | total | | shares |
| | | shares | | |
+-------------------------+-------------+-----------+-------------+------------+
| | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| Enhanced Global Asset | 9,834,455 | 72.85% | 6,318,826 | 46.81% |
| Allocation | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas FTSE Summit | 37,706,666 | 93.10% | 32,051,373 | 79.14% |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas Energy - | | | | |
| Base Metals | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| Secure Growth | 7,132,473 | 92.61% | 6,986,515 | 90.71% |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas UK High | 102,157,816 | 72.14% | 30,489,250 | 21.53% |
| Income | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas Energy - | | | | |
| Base Metals | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| (2) | 31,280,354 | 96.23% | 30,246,461 | 93.05% |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas European | 20,072,414 | 80.29% | 101,128,739 | 40.51% |
| Shield | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas Absolute | 71,184,880 | 92.75% | 32,783,853 | 42.72% |
| Progression | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| US High Income - Class | 52,161,572 | 56.41% | 24,103,108 | 26.07% |
| A | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| US High Income - Class | 46,159,495 | 79.13% | 12,022,700 | 20.61% |
| B | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas Agrinvest | 31,226,277 | 66.12% | 27,489,964 | 58.21% |
+-------------------------+-------------+-----------+-------------+------------+
| Euro High Income - | 43,643,993 | 96.21% | 34,857,365 | 76.82% |
| Class A | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| Euro High Income - | 9,095,212 | 88.64% | 7,457,109 | 72.67% |
| Class B | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| Hedge Elite | - | 0.00% | 19,787,087 | 93.21% |
+-------------------------+-------------+-----------+-------------+------------+
| Enhanced Property | 14,020,594 | 46.54% | 13,158,560 | 43.68% |
| Recovery | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| Energy - Base Metals | 37,289,818 | 75.20% | 16,881,247 | 34.04% |
| (3) | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas | - | - | - | - |
| Agribusiness | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| Enhanced Income | 20,704,734 | 51.76% | - | - |
+-------------------------+-------------+-----------+-------------+------------+
| BNP Paribas COMAC | 13,467,175 | 52.76% | - | - |
+-------------------------+-------------+-----------+-------------+------------+
| US Enhanced Income - | 30,468,910 | 62.82% | - | - |
| Class A | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| US Enhanced Income - | 19.252,738 | 42.71% | - | - |
| Class B | | | | |
+-------------------------+-------------+-----------+-------------+------------+
| UK Enhanced Income | 34,953,181 | 71.31% | - | - |
+-------------------------+-------------+-----------+-------------+------------+
On 19 October 2009 all Hedge Elite Preference Shares were compulsorily redeemed
and Hedge Elite was subsequently dissolved. All Hedge Elite Preference Shares
were beneficially held by BNP Paribas Arbitrage SNC.
+-------------------------+-----------+-----------+----------+
| ONGOING EXPENSES | Year | Year | |
| | ended | ended | |
+-------------------------+-----------+-----------+----------+
| | 31 Oct | 31 Oct | |
| | 2009 | 2008 | |
+-------------------------+-----------+-----------+----------+
| | TOTAL | TOTAL | |
+-------------------------+-----------+-----------+----------+
| | GBP | GBP | |
+-------------------------+-----------+-----------+----------+
| | | | |
+-------------------------+-----------+-----------+----------+
| Administration fees | 281,445 | 223,090 | |
+-------------------------+-----------+-----------+----------+
| Directors' remuneration | 25,600 | 22,600 | |
+-------------------------+-----------+-----------+----------+
| Registration fees | 56,064 | 76,449 | |
+-------------------------+-----------+-----------+----------+
| Custody fees | 519,066 | 313,936 | |
+-------------------------+-----------+-----------+----------+
| Investment management | 691,002 | 616,036 | |
| fees | | | |
+-------------------------+-----------+-----------+----------+
| Audit fees | 43,500 | 80,595 | |
+-------------------------+-----------+-----------+----------+
| Annual fees | 204,810 | (3,517) | |
+-------------------------+-----------+-----------+----------+
| Other operating | 47,560 | 65,226 | |
| expenses | | | |
+-------------------------+-----------+-----------+----------+
| | | | |
+-------------------------+-----------+-----------+----------+
| | 1,869,047 | 1,394,415 | |
+-------------------------+-----------+-----------+----------+
All expenses are accounted for on an accruals basis and are borne by BNP Paribas
SA.
8 HEDGE ELITE
During the year it was agreed by the Board of directors that it was no longer in
the best interests of the Company, Hedge Elite or the holder of Hedge Elite
Preference Shares for the Company to continue to pursue its stated investment
objective for Hedge Elite, so that it was resolved compulsorily to redeem all
Hedge Elite Preference Shares in issue.
The redemption value per Hedge Elite Preference Share was 78.86 pence, resulting
in redemption proceeds and distributions to the holder of Hedge Elite Preference
Shares of GBP16,741,200. The net realised loss on this redemption was
GBP4,487,813.
9 ULTIMATE CONTROLLING PARTY
The ultimate controlling party is BNP Paribas Arbitrage SNC as holder of the two
Ordinary Shares in issue.
10 EVENTS AFTER THE BALANCE SHEET DATE
There were no material events after the balance sheet date.
SCHEDULE OF INVESTMENTS
as at 31 October 2009
+-+--------------------------+-+-----------+---------------+----------------+------+
| | | as at 31 October 2009 |
+-+----------------------------+---------------------------------------------------+
| | NOMINAL | VALUATION | TOTAL NET | |
| | | | ASSETS | |
+----------------------------+-------------+---------------+----------------+------+
| | | GBP | % | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| Enhanced Global Asset | | | | |
| Allocation | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 18,346,981 | 2.30% | |
| Derivative Contract | 13,500,255 | | | |
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas FTSE Summit | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 52,109,243 | 6.54% | |
| Derivative Contract | 40,501,195 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Energy - Base | | | | |
| Metals | | | | |
+----------------------------+-------------+---------------+----------------+------+
| Secure Growth | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 21,004,044 | 2.64% | |
| Derivative Contract | 7,701,999 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas UK High Income | | | | |
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 97,693,523 | 12.26% | |
| Derivative Contract | 141,613,549 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Energy - Base | | | | |
| Metals (2) | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 51,769,929 | 6.50% | |
| Derivative Contract | 32,506,140 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas European | | | | |
| Shield | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 21,984,500 | 2.76% | |
| Derivative Contract | 25,000,000 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Absolute | | | | |
| Progression | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 90,578,311 | 11.37% | |
| Derivative Contract | 76,748,923 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| US High Income - Class A | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 68,437,037 | 8.59% | |
| Derivative Contract | 92,469,987 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| US High Income - Class B | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | USD | 27,073,356 | 3.40% | |
| Derivative Contract | 58,337,229 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Agrinvest | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 48,357,901 | 6.07% | |
| Derivative Contract | 47,225,896 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| Euro High Income - Class A | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | GBP | 24,281,348 | 3.05% | |
| Derivative Cell | 45,375,520 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | |
+----------------------------+-------------+---------------+----------------+------+
| Euro High Income - Class B | | | | |
+----------------------------+-------------+---------------+----------------+------+
| BNP Paribas Index | EUR | 4,878,010 | 0.61% | |
| Derivative Contract | 10,261,000 | | | |
+----------------------------+-------------+---------------+----------------+------+
| | | | | | | |
+-+--------------------------+-+-----------+---------------+----------------+------+
+--------------------------+------------+-------------+---------------+----+
| | as at 31 October 2009 |
+--------------------------+-----------------------------------------------+
| | NOMINAL | VALUATION | TOTAL NET | |
| | | | ASSETS | |
+--------------------------+------------+-------------+---------------+----+
| | | GBP | % | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| Enhanced Property | | | | |
| Recovery | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 20,238,276 | 2.54% | |
| Derivative Contract | 30,125,000 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| Energy - Base Metals (3) | | | | |
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 51,911,771 | 6.52% | |
| Derivative Contract | 49,587,600 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Agribusiness | | | | |
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | HUF 72,500 | 2,239,095 | 0.28% | |
| Derivative Contract | | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| Enhanced Income | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 45,540,455 | 5.72% | |
| Derivative Contract | 39,999,346 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| UK Enhanced Income | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 49,844,088 | 6.26% | |
| Derivative Contract | 49,015,722 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas COMAC | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 20,010,604 | 2.51% | |
| Derivative Contract | 25,526,009 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| US Enhanced Income - | | | | |
| Class A | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 51,287,865 | 6.44% | |
| Derivative Contract | 48,500,080 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| US Enhanced Income - | | | | |
| Class B | | | | |
+--------------------------+------------+-------------+---------------+----+
| BNP Paribas Index | USD | 28,985,552 | 3.64% | |
| Derivative Contract | 45,079,125 | | | |
+--------------------------+------------+-------------+---------------+----+
| | | | | |
+--------------------------+------------+-------------+---------------+----+
| TOTAL | | 796,571,889 | 81.15% | |
+--------------------------+------------+-------------+---------------+----+
SCHEDULE OF INVESTMENTS
as at 31 October 2008
+--------------------------+-------------+-------------+---------------+----+
| | as at 31 October 2008 |
+--------------------------+------------------------------------------------+
| | NOMINAL | VALUATION | TOTAL NET | |
| | | | ASSETS | |
+--------------------------+-------------+-------------+---------------+----+
| | | GBP | % | |
+--------------------------+-------------+-------------+---------------+----+
| Enhanced Global Asset | | | | |
| Allocation | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 17,325,957 | 2.76% | |
| Derivative Contract | 13,500,255 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas FTSE Summit | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 49,982,930 | 7.97% | |
| Derivative Contract | 40,501,195 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Energy - | | | | |
| Base Metals | | | | |
+--------------------------+-------------+-------------+---------------+----+
| Secure Growth | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 14,343,048 | 2.29% | |
| Derivative Contract | 7,701,999 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas UK High | | | | |
| Income | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 119,166,385 | 19.00% | |
| Derivative Contract | 141,613,549 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Energy - | | | | |
| Base Metals (2) | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 38,544,156 | 6.14% | |
| Derivative Contract | 32,506,140 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas European | | | | |
| Shield | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 19,766,750 | 3.15% | |
| Derivative Contract | 25,000,000 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Absolute | | | | |
| Progression | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 87,907,449 | 14.01% | |
| Derivative Contract | 76,748,923 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| US High Income - Class A | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 87,393,385 | 13.93% | |
| Derivative Contract | 92,469,987 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| US High Income - Class B | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | USD | 33,861,142 | 5.40% | |
| Derivative Contract | 58,337,229 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Agrinvest | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 44,487,266 | 7.09% | |
| Derivative Contract | 47,225,896 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| Euro High Income - Class | | | | |
| A | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | GBP | 29,224,557 | 4.66% | |
| Derivative Cell | 45,375,520 | | | |
+--------------------------+-------------+-------------+---------------+----+
| | | | | |
+--------------------------+-------------+-------------+---------------+----+
| Euro High Income - Class | | | | |
| B | | | | |
+--------------------------+-------------+-------------+---------------+----+
| BNP Paribas Index | EUR | 5,045,124 | 0.80% | |
| Derivative Contract | 10,261,000 | | | |
+--------------------------+-------------+-------------+---------------+----+
+--------------------------+-------------+------------+---------------+----+
| | as at 31 October 2008 |
+--------------------------+-----------------------------------------------+
| | NOMINAL | VALUATION | TOTAL NET | |
| | | | ASSETS | |
+--------------------------+-------------+------------+---------------+----+
| | | GBP | % | |
+--------------------------+-------------+------------+---------------+----+
| Hedge Elite | | | | |
+--------------------------+-------------+------------+---------------+----+
| BNP Paribas Index | GBP | 17,152,406 | 2.73% | |
| Derivative Contract | 21,229,013 | | | |
+--------------------------+-------------+------------+---------------+----+
| | | | | |
+--------------------------+-------------+------------+---------------+----+
| Enhanced Property | | | | |
| Recovery | | | | |
+--------------------------+-------------+------------+---------------+----+
| BNP Paribas Index | GBP | 17,470,994 | 2.79% | |
| Derivative Contract | 30,125,000 | | | |
+--------------------------+-------------+------------+---------------+----+
| | | | | |
+--------------------------+-------------+------------+---------------+----+
| Energy - Base Metals (3) | | | | |
| | | | | |
+--------------------------+-------------+------------+---------------+----+
| BNP Paribas Index | GBP | 43,429,316 | 6.92% | |
| Derivative Contract | 49,587,600 | | | |
+--------------------------+-------------+------------+---------------+----+
| | | | | |
+--------------------------+-------------+------------+---------------+----+
| BNP Paribas Agribusiness | | | | |
| Cell | | | | |
+--------------------------+-------------+------------+---------------+----+
| BNP Paribas Index | HUF | 2,046,584 | 0.33% | |
| Derivative Contract | 725,000,000 | | | |
+--------------------------+-------------+------------+---------------+----+
| | | | | |
+--------------------------+-------------+------------+---------------+----+
| TOTAL | | 627,17,449 | 99.97% | |
+--------------------------+-------------+------------+---------------+----+
A pdf version of the annual financial report will shortly be posted on the
Company's web-site at http://www.harewoodsolutions.co.uk/press.aspx and a
further announcement will be made once the annual financial report is available
to be downloaded.
For further information contact:
BNP Paribas
Tel: 0207 595 8056 or E-mail: harewood_solutions@bnpparibas.com
Anson Fund Managers Limited
Secretary
Tel: Guernsey 01481 722260
4 February 2010
END OF ANNOUNCEMENT
E&OE - in transmission
This information is provided by RNS
The company news service from the London Stock Exchange
END
FR KKQDNPBKDOBK
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