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 April 2012 are set out in the table
below.
Commodity name Value at Start Value as of 30-Apr-12 Change Weight
Aluminium 2858.5 2058 -28% 12.5%
Copper 8006 8529.5 6.5% 12.5%
Nickel 22000 17835 -18.9% 12.5%
West Texas Intermediate 122.3 104.87 -14.3% 30%
Zinc 1948.5 2039.5 4.7% 12.5%
Natural Gas 12.379 2.285 -81.5% 20%
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 5 June 2008 and close on 30 Apr 2012 the NAV
had increased by 1.29% whereas the DJ AIG Commodities Excess Return
Index had fallen by -35.1%.
Class A Sterling Hedged Enhanced Income Preference Shares and
Class B Unhedged Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 19 March 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: 19 March 2018
Class A ISIN: GG00B4W90V35
Class A SEDOL: B4W90V3
Class B ISIN: GG00B4W90W42
Class B SEDOL: B4W90W4
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
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(R) 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.
Investment Performance
Between launch on 19 March 2009 and close on 30 April 2012 the
NAV has risen by 13.2% TR. Over this period the DJ EuroStoxx TR
Index had risen by 26.4%. The directors declared interim dividends
as follows:
Announcement Ex-Dividend Pay Date Dividend
24-Jun-09 01-Jul-09 31-Jul-09 2.00%
23-Sep-09 30-Sep-09 30-Oct-09 2.30%
22-Dec-09 30-Dec-09 01-Feb-10 2.40%
24-Mar-10 31-Mar-10 30-Apr-10 2.30%
23-Jun-10 30-Jun-10 30-Jul-10 2.00%
22-Sep-10 29-Sep-10 29-Oct-10 2.00%
22-Dec-10 29-Dec-10 28-Jan-11 2.00%
23-Mar-11 30-Mar-11 29-Apr-11 2.00%
23-Jun-11 29-Jun-11 01-Jul-11 2.00%
30-Sep
22-Sep-11 28-Sep-11 11 1.80%
20-Dec-11 28-Dec-11 30-Dec11 1.90%
23-Mar-12 28-Mar-12 30-Mar-12 2.00%
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Class A Sterling Hedged COMAC Preference Shares and Class B US
Dollar Unhedged COMAC Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 1 June 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence
Maturity date: 1 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 April 2012 the NAV
of Class A had fallen by 31.34%. Over this period the DJ-UBS
Commodity TR Index had decreased by 1.72% There are currently no
Class B Shares in issue.
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Class A Sterling Hedged US Enhanced Income Preference Shares and
Class B Unhedged US Enhanced Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 16 July 2009
Issue price at launch: 101 pence
NAV immediately following launch: 100 pence class A & 100
cents class B
Maturity date: 16 July 2029
Class A ISIN: GG00B4409G28
Class A SEDOL: B4409G2
Class B ISIN: GG00B4409P19
Class B SEDOL: B4409P1
Investment Overview
The Cell's investment objective is to provide Shareholders with
a stable stream of quarterly dividends (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 (the "Strategy") linked to the total return
performance of the Standard and Poor's 500(R) Index (the "Index")
and notional short-term call options written on such index.
Investment Performance
Between launch on 16 July 2009 and close on 30 April 2012 the
NAVs had increased by 34.2% TR and 34.6% TR respectively for class
A and class B (based on an initial NAV of 100 pence for both Share
classes) compared with the S&P TR performance (+57.4%). The
directors declared interim dividends for both Share classes as
follows:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Announcement Ex-Dividend Pay Date Dividend
23-Oct-09 28-Oct-09 27-Nov-09 2.20%
20-Jan-10 27-Jan-10 26-Feb-10 2.30%
21-Apr-10 28-Apr-10 28-May-10 2.30%
21-Jul-10 28-Jul-10 27-Aug-10 2.00%
20-Oct-10 27-Oct-10 26-Nov-10 2.00%
20-Jan-11 26-Jan-11 25-Feb-11 2.20%
20-Apr-11 27-Apr-11 27-May-11 2.20%
20-Jul-11 27-Jul-11 26-Aug-11 2.20%
19-Oct-11 26-Oct-11 25-Nov-11 2.00%
18-Jan-12 25-Jan-12 24-Feb-12 2.00%
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: 24 September 2029
ISIN: GG00B3YF5842
SEDOL: B3YF584
Investment Overview
The Cell's investment objective is to provide Shareholders with
a stable stream of quarterly dividends (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 (the "Strategy") linked to the total return
performance of the FTSE 100(TM) Index (the "Index") and notional
short-term call options written on such index.
Investment Performance
Between launch on 24 September 2009 and close on 30 April 2012
the NAV had increased by 13.1% TR. Over this period the FTSE 100
Total Return Index had increased by 23.4%. The directors declared
interim dividends as follows:
Harewood Structured Investment PCC Limited (the "Company")
INVESTMENT MANAGER'S REPORT (continued)
Announcement Ex-Dividend Pay Date Dividend
30-Dec-09 06-Jan-10 05-Feb-10 2.00%
31-Mar-10 14-Apr-10 07-May-10 2.00%
24-Jun-10 07-Jul-10 06-Aug-10 2.00%
24-Sep-10 06-Oct-10 05-Nov-10 2.00%
24-Dec-10 05-Jan-11 04-Feb-11 2.00%
24-Mar-11 06-Apr-11 06-May-11 2.00%
24-Jun-11 06-Jul-11 05-Aug-11 2.00%
24-Sep-11 05-Oct-11 04-Nov-11 1.90%
04-Jan-12 11-Jan-12 10-Feb-12 1.90%
Harewood Structured Investment PCC Limited (the "Company")
STATEMENT OF COMPREHENSIVE INCOME
for the period ended 30 April 2012
Period
to Period to
30 Apr
2012 30 Apr 2011
Total Total
Notes GBP GBP
Net movement in unrealised gains
on investments 8 51,460,702 5,576,652
Operating expenses 1b,7 (531,275) -
Income received from Counterparty
in relation to
operating expenses 1b 964,592 -
Realised (loss) / gains on investments (66,294,290) 4,406,108
Realised exchange (losses )/ gains
on currency balances (4,632) 2,611
Amortisation of debt issue costs 1g - (18,611)
Income from financial assets at fair
value through profit
or loss 14,022,790 17,339,247
Finance costs - distributions to
holders of Preference
Shares 1m (14,022,790) (17,339,247)
(Decrease) / increase in net assets
attributable to Preference shareholders
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