Where the underlying portfolio net asset value subsequently
decreases after having increased to 110% or more of the initial
underlying portfolio net asset value, but has not decreased to less
than 100% of the initial underlying portfolio net asset value,
subsequent quarterly payments will reduce to 2.00 pence per Class A
Sterling Hedged US Enhanced Income Preference Share. If the
underlying portfolio net asset value has fallen below 100 per cent.
and below a lower percentage which is an integral multiple of 5 per
cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying
portfolio net asset value, subsequent dividend payments will be
adjusted to be the product of 2.00% and the relevant percentage
threshold level and 100 pence per Class A Sterling Hedged US
Enhanced Income Preference Share.
US Enhanced Income - Class B
Under the terms of the Swap Confirmation between the
Counterparty and the Company acting for and on behalf of the US
Enhanced Income cell in respect of Class B, the Counterparty will
pay to the Company for the account of the US Enhanced Income cell
quarterly a US Dollar amount equal to 2.000% 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 pence per share), future payments will increase
to 2.200% of the notional amount of the Swap Confirmation,
equivalent to 2.200 cents per BNP Paribas US Enhanced Income Class
B Preference Share. For each subsequent 5 per cent increase in the
underlying portfolio net asset value, subsequent quarterly payments
will increase by 0.1%, equivalent to 0.1 cents per Class B US
Dollar Unhedged US Enhanced Income Preference Share.
Where the underlying portfolio net asset value subsequently
decreases after having increased to 110% or more of the initial
underlying portfolio net asset value, but has not decreased to less
than 100% of the initial underlying portfolio net asset value,
subsequent quarterly payments will reduce to 2.00 cents per Class B
US Dollar Unhedged US Enhanced Income Preference Share. If the
underlying portfolio net asset value has fallen below 100 per cent.
and below a lower percentage which is an integral multiple of 5 per
cent. i.e. 95%, 90%, 85% (down to 5%) of the initial underlying
portfolio net asset value, subsequent dividend payments will be
adjusted to be the product of 2.00% and the relevant percentage
threshold level and 100 cents per Class B US Dollar Unhedged US
Enhanced Income Preference Share.
(i) Collateral Arrangements
Under the terms of credit support deeds entered into between the
Counterparty and the Company acting for and on behalf of each cell,
the Counterparty is required to post collateral in the form of AAA
rated government bonds in favour of the Company acting for and on
behalf of each cell, such collateral being valued on a weekly basis
and, if the value of the collateral is less than the Credit Support
Amount (as set out in note 6(c) above), the Counterparty will
provide additional collateral to increase the aggregate value to at
least applicable Credit Support Amount. Where there is an event of
default in respect of the Counterparty under the swap confirmation,
the Company will be entitled to enforce its security over the
collateral.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(i) Collateral Arrangements (continued)
The collateral held against all derivative instruments as at 30
April 2011 is detailed below:
Cell Period ended Year ended
31 October
30 April 2011 2010
GBP GBP
EGAA - 6,071,634
FTSE S 7,145,316 6,546,572
UK HI 12,453,818 9,644,704
EBM (2) 10,424,914 7,927,159
ES 5,372,748 5,279,994
Abs Pro 16,550,164 15,313,761
US HI 15,586,266 23,366,452
EPR 13,315,670 12,993,972
EBM (3) 17,504,073 16,432,104
Agribus - 2,289,575
COMAC 4,275,014 3,383,428
US EI 49,461,565 52,444,168
UK EI 24,429,580 24,026,325
EI 16,826,881 24,635,481
(j) Finance Costs and Expenses
All payments by the Company are made in Sterling, except that
the Investment Manager's fees in respect of Class B of US High
Income and US Enhanced Income are paid in US Dollars.
All expenses are met out of monies provided by BNP Paribas.
Quarterly payments to the Company for the account of the US High
Income cell in respect of Class B are made in Sterling, except that
if the Company so elects by notice in writing to the Counterparty
specifying the portion of the 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(h) above).
Payments to the Company for the account of the BNP Paribas
Agribusiness cell were made in Hungarian Forints.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
6 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES
(continued)
(j) Finance Costs and Expenses (continued)
Dividends paid by the Company to holders of BNP Paribas
Agribusiness Preference Shares were 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 period under review, the Administrator charged fees of
GBP127,699 (Apr 2010: GBP141,420) in respect of its administration
of the Company of which GBP19,262 (Apr 2010: GBP22,555) was
outstanding at the period end and the Registrar charged fees of
GBP20,313 (Apr 2010: GBP24,506) in respect of registration services
on behalf of the Company of which GBP1,886 (Apr 2010: GBP3.262) was
outstanding at the period end.
Anson Group Limited is the ultimate controlling party of Anson
Fund Managers Limited and Anson Registrars Limited, John 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 period under review the Investment Manager charged
fees of GBP340,034 (Apr 2010: GBP428,751), of which GBP56,441 (Apr
2010: GBPNil) was outstanding at the period 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 period
BNP Paribas Group and its subsidiaries held the following shares in
issue:
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2011
7 RELATED PARTY TRANSACTIONS (continued)
As at As at
31 Oct
30 Apr 2011 % of total 2010 % of total
Shares shares Shares shares
Enhanced Global Asset
Allocation - - 11,178,440 82.80%
BNP Paribas FTSE 39,730,951 98.10% 39,392,983 97.26%
BNP Paribas UK High
Income 132,554,882 93.60% 125,179,108 88.39%
BNP Paribas Energy -
Base Metals (2) 31,406,285 96.62% 31,377,701 96.53%
BNP Paribas European
Shield 22,643,225 90.57% 22,594,225 90.38%
BNP Paribas Absolute
Progression 72,259,076 94.15% 72,185,875 94.05%
US High Income Class A
Sterling Hedged
Preference Shares 81,124,674 87.73% 77,183,830 83.47%
US High Income Class B
Unhedged Preference
Shares 54,453,836 93.34% 49,415,612 84.71%
BNP Paribas Agrinvest 40,183,183 85.09% 38,701,110 81.95%
BNP Paribas Enhanced
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