TIDMEBMB TIDMERS TIDMBAP TIDMUSH
RNS Number : 8968M
Harewood Structured Investment PCC
05 February 2009
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
2008 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 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 Enhanced Global Asset Allocation Preference
Shares ("EGAA Shares") of the Enhanced Global Asset Allocation Cell 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 of the
BNP Paribas FTSE Summit Cell 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 of the BNP Paribas FTSE Summit
Cell 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 of the BNP Paribas Energy - Base
Metals Secure Growth Cell 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 $1 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 have a defined investment
life to 28 October 2013, whereupon they will be subject to compulsory
redemption.
On 12 March 2008 30,125,000 Enhanced Property Recovery Preference Shares (the
"EPR Shares") of Enhanced Property Recovery 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 Energy - Base Metals (3) 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. 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 BNP Paribas Agribusiness 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.
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 a resident of Guernsey and is a director 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 Soci�t�
Generale and JPMorgan.
Peter Atkinson - Director
Peter Atkinson 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 resides in Guernsey. He is the Chairman of Anson Group Limited.
BNP Paribas SA - Investment Counterparty
BNP Paribas SA is a company in the BNP Paribas Group (the "Group"). As of 31
October, 2008, the Group had an equity market capitalisation of EUR51 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, 2007, the Group
had audited consolidated assets of EUR1,694 billion and audited shareholders'
equity (Group share including income for the 2007 fiscal year) of EUR53.8 billion.
Audited net income, before taxes, non-recurring items and amortization of
goodwill, for the year ended 31 December, 2007 was EUR11.1 billion. Audited net
income, Group share, for the year ended December 31, 2007 was EUR7.8 billion.
Harewood Asset Management SAS - Investment Manager
The Investment Manager was organised as a French Soci�t� par Actions Simplifi�e,
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 Autorit� des March�s 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 Autorit� des March�s Financiers under the Reglement G�n�ral de l'Autorit�
des March�s 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 2008, 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. The key features of the Shares are described below:
- each Index may become subject to a locked-in minimum return of 15%, 30% or
45%, depending on the Index levels attained on any of the scheduled observation
dates;
- the performance of each Index at maturity equals the greater of (a) the
locked-in minimum return (if any) or (b) the final return at the end of the
investment's life (which may be positive or negative);
- the investment return of the Shares comprises 40% of the best Index
performance, 30% of the second-best, 20% of the third-best and 10% of the worst
Index performance, taking into account any locked-in minimum return achieved on
each Index.
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the gross proceeds of the most recently
published net asset value at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are:
- the Shares will be subject to a locked-in return based on the highest
observed closing level of the Index attained as of the scheduled monthly
observation dates;
- the redemption amount of a Share payable at maturity will be the Issue
Price of a Share (that is, 100 pence) plus an amount equal to the return (if
positive) on the Issue Price of a Share implied by the highest observed closing
level of the Index on any scheduled observation date during the life of the
investment.
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. The Contract requires the Investment Counterparty to
deliver collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are as follows:
Subject as provided below, the Shares are designed to pay to shareholders, on
the Redemption Date, a capital payment, comprising a capital amount of 100 pence
per Share and a return on capital equal to 3.4 times any percentage increase in
the value of the Commodity Portfolio during the life of the investment.
* The Commodity Portfolio is a notional portfolio of commodities comprising 30%
crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc.
* If there is a decrease in value of the Commodity Portfolio at maturity, the
Shares are designed to repay the capital amount.
* While the Shares are designed to repay the capital amount of 100 pence per
Share, they are not designed to repay any other amounts, including without
limitation fees, which are paid or incurred by shareholders in connection with
an investment in the Shares.
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. The Contract requires
the Investment Counterparty to deliver collateral to a collateral account held
in favour of the Company. Such collateral is delivered monthly in the form of
AAA rated government bonds in an amount at least equal to 100% of the most
recently published NAV at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the
Shares are as follows:
* Subject to certain conditions, shareholders are entitled to receive quarterly
dividends of 1.875 pence per Share. Shareholders are also entitled to receive,
on the redemption date, being 11 December 2011, a capital payment reflecting the
capital performance of the underlying portfolio.
* The Shares offer exposure to an underlying portfolio comprising a notional
holding of shares ("Selected Shares") issued by 20 companies selected from the
FTSE 100 Index, notional European-style cash settled call options written on
those shares, a notional European-style cash settled put option purchased on the
Index and a notional cash account.
* The Selected Shares are reviewed and rebalanced every three months according to
criteria chosen by BNP Paribas SA. Shareholders are exposed to the capital
returns of, and dividends paid by, the Selected Shares.
* The call options are written every three months and with a maturity of three
months on the Selected Shares. As a result, a proportion of potential growth is
relinquished in return for premiums in respect of the call options.
* The portfolio insurance takes the form of an Index put option bought in respect
of the Index, with a term and maturity matching the term of the Shares. Whilst
there can be no assurance that the performance of the underlying portfolio will
match the performance of the Index, the Index put option will provide a positive
return if the Index has fallen over the life of the Shares.
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. The Contract requires the Investment
Counterparty to deliver collateral to a collateral account held in favour of the
Company. Such collateral is delivered weekly in the form of AAA rated government
bonds in an amount at least equal to the net asset value of the underlying
portfolio at that time. Where there is an event of default in respect of the
Counterparty under the Contract, the Cell will be entitled to enforce its
security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are as follows:
* Subject as provided below, the Shares are designed to pay to shareholders, on
the Redemption Date, a capital payment, comprising a capital amount of 100 pence
per Share and a return on capital equal to 2.3 times any percentage increase in
the value of the Commodity Portfolio during the life of the investment.
* The Commodity Portfolio is a notional portfolio of commodities comprising 30%
crude oil, 20% aluminium, 20% copper, 15% nickel and 15% zinc.
* If there is a decrease in value of the Commodity Portfolio at maturity, the
Shares are designed to repay the capital amount.
* While the Shares are designed to repay the capital amount of 100 pence per
Share, they are not designed to repay any other amounts, including without
limitation fees, which are paid or incurred by shareholders in connection with
an investment in the Shares.
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 105% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return 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.
The key features of the Shares are as follows:
* If the level of the Index at maturity is equal to or greater than 85% of its
initial level, the aggregate amount payable in respect of each Share at maturity
will be equal to (a) the capital component of 100 pence per Share plus (b) an
amount, subject to a maximum of 71.25 pence per Share, equal to the product of
100 pence, 475% and the Index performance in percentage points measure from 85%
of the initial level of the Index (for example, if the level of the Index at
maturity is 100% of the initial level of the Index, this would represent an
index return of plus 15%).
* If the level of the Index at maturity is less than 85% of its initial level, and
if the level of the Index has not at any time during the life of the investment
fallen to 50% or less of its initial level, the aggregate amount payable in
respect of each Share at maturity will be equal to the capital component of 100
pence per Share.
* If the level of the Index at maturity is less than 85% of its initial level, and
if the level of the Index has at any time during the life of the investment
fallen to 50% or less of its initial level, the aggregate amount payable in
respect of each Share at maturity will be equal to the capital component of 100
pence per Share reduced by the performance of the Index in percentage points
measured from 85% of the initial level of the Index (for example, if the level
of the Index at maturity is 80% of the initial level of the Index, this would
represent an Index reduction of 5%), subjection to a minimum of 15 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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered weekly in the form of AAA rated government bonds in an
amount at least equal to 105% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are as follows:
* The Shares offer exposure to the divergence between prices of shares selected
from the Shares comprised in the Dow Jones Global Titans 50 Index, with a
minimum amount of 100 pence per Share payable on redemption at maturity.
* The amount payable on maturity will not be less than the capital amount of 100
pence per Share and will comprise (a) 100 pence per Share plus (b) 100 pence
multiplied by the sum of the annual accruals, these representing a locked-in
return payable on redemption at maturity, which will be determined as of each of
six annual valuation dates
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered weekly in the form of AAA rated government bonds in an
amount at least equal to 105% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are as follows:
* Subject to certain conditions, shareholders are entitled to receive quarterly
dividends of 1.875 pence or cents per Share. Shareholders are also entitled to
receive, on the redemption date, being 19 November 2012, a capital payment
reflecting the capital performance of the underlying portfolio.
* The Shares offer exposure to an underlying portfolio comprising a notional
holding of shares ("Selected Shares") issued by 20 companies selected from the
S&P 100 Index, notional European-style cash settled call options written on
those shares, a notional European-style cash settled put option purchased on the
Index and a notional cash account.
* The Selected Shares are reviewed and rebalanced every three months according to
criteria chosen by BNP Paribas SA. Shareholders are exposed to the capital
returns of, and dividends paid by, the Selected Shares.
* The call options are written every three months and with a maturity of three
months on the Selected Shares. As a result, a proportion of potential growth is
relinquished in return for premiums in respect of the call options.
* The portfolio insurance takes the form of an Index put option bought in respect
of the Index, with a term and maturity matching the term of the Shares. Whilst
there can be no assurance that the performance of the underlying portfolio will
match the performance of the Index, the Index put option will provide a positive
return if the Index has fallen over the life of the Shares.
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 initially
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. The Contract requires
the Investment Counterparty to deliver collateral to a collateral account held
in favour of the Company. Such collateral is delivered monthly in the form of
AAA rated government bonds in an amount at least equal to the net asset value of
the underlying portfolio at that time. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are:
* Subject to conditions, shareholders are entitled to receive, on Dividend Payment
Dates, quarterly Dividends at the rate of 1.875 pence or 1.875 cents per Share.
Shareholders are also entitled to receive, on the Redemption Date, being June
2013, a capital payment reflecting the capital performance of the Underlying
Portfolio.
* The Shares offer exposure to an underlying portfolio comprising a notional
holding of shares selected from the Dow Jones Euro STOXX 50 Index, an index of
50 leading European stocks listed and trading on various stock exchanges of
member states of the European Union, notional European-style cash settled call
options written on those shares, a notional European-style cash settled put
option purchased on the Index and a notional cash account. In the case of the
Class A Euro High Income Preference Shares, the Underlying Portfolio includes
also a notional currency hedge to provide a level of protection against changes
in the Sterling/Euro exchange rate.
* Selected Shares are reviewed and rebalanced every three months according to
criteria described in this document and chosen by BNP Paribas. Shareholders are
exposed to the capital returns of, and dividends paid by, the Selected Shares,
as well as other factors described below.
* The call options are written every three months and with a maturity of three
months on the Selected Shares. As a result, a proportion of potential growth
over the three-month holding period is relinquished in return for premiums in
respect of the Call Options.
The portfolio insurance, a technique intended to reduce the impact of a decline
in equity markets, takes the form of a notional European-style cash settled put
option bought in respect of the Index, with a term and maturity matching the
term of the Shares. While there can be no assurance that the performance of the
underlying portfolio will match the performance of the Index, the Index Put
Option will provide a positive return if the Index has fallen over the life of
the Shares.
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the aggregate net asset value of the notional
underlying portfolios for both Classes. Where there is an event of default in
respect of the Counterparty under the Contract, the Cell will be entitled to
enforce its security over the collateral.
Full details of the calculation of the investment return 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. The key features of the Shares are:
* Subject to conditions, the Shares are designed to pay to shareholders, on the
Redemption Date, being June 2013, a capital payment comprising an amount equal
to the capital component of 100 pence per Share and if the level of the Index at
maturity is greater than its initial level, an amount per share equal to 1.30
times any percentage increase in the performance of the Index during the life of
the Investment.
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return 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") is 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. The key features of the Shares are:
* The Shares offer exposure through an investment contract to the performance of a
dynamic notional basket comprising participations in 10 hedge funds selected by
BNP Paribas, a cash facility, foreign exchange contracts and a zero coupon bond,
with a minimum amount of 90 pence per Share payable on the Redemption Date,
being August 2013.
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return are disclosed in the
Cell's Summary and Securities Note, a copy of which is available from the
Administrator and from the Distributor.
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. The key features
of the share are:
� The Shares offer an exposure through an investment contract to the performance
of the Index over a 6-year period.
� If the Final Index Level equals or exceeds the Initial Index Level, the Final
Redemption Amount will be an amount (not less than 170 pence per Share) equal to
the greater of 170 pence and the amount determined by the Calculation Agent
according to the following formula:
100 pence x (100% + (Final Index Level -A) / Initial Index Level)
where A is the lowest closing level of the Index as observed by the
Calculation Agent on any of 25 monthly observation dates from and including 13
March 2008 to and including 13 March 2010.
� If the Final Index Level is less than the Initial index Level, the Final
Redemption Amount will be an amount (less than the capital component of 100
pence) equal to 100 pence multiplied by the Final Index Level divided by the
Initial Index Level.
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. The Contract requires the Investment Counterparty to deliver
collateral to a collateral account held in favour of the Company. Such
collateral is delivered monthly in the form of AAA rated government bonds in an
amount at least equal to 100% of the most recently published NAV at that time.
Where there is an event of default in respect of the Counterparty under the
Contract, the Cell will be entitled to enforce its security over the collateral.
Full details of the calculation of the investment return 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.
The key features of the Shares are:
*
* If there is a decrease in value of the Commodity Portfolio at maturity, the
Shares are designed to repay the capital amount.
* While the Shares are designed to repay the capital amount of 100 pence per
Share, they are not designed to repay any other amounts, including without
limitation fees, which are paid or incurred by shareholders in connection with
an investment in the Shares.
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. The Contract requires the Investment
Counterparty to deliver collateral to a collateral account held in favour of the
Company. Such collateral is delivered weekly in the form of AAA rated government
bonds in an amount at least equal to 100% of the most recently published NAV at
that time. Where there is an event of default in respect of the Counterparty
under the Contract, the Cell will be entitled to enforce its security over the
collateral.
Full details of the calculation of the investment return 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").
The Dividend Amount in respect of each BNP Paribas Agribusiness Preference Share
will be payable in the lawful currency of the Republic of Hungary ("HUF" or
"Hungarian Forint") 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. If the arithmetic average performance of the Index as of the seven
Observation Dates as so determined:
The key features of the Shares are:
� If the arithmetic average performance of the Index as of the seven Observation
Dates determined as explained above:
is equal to or less than zero, the Dividend Amount will be zero; and
is greater than zero, the Dividend Amount will be an amount in HUF 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.
� The Shares are denominated in Hungarian Forint and have a finite investment
term of two and a half years.
� A single dividend is payable on the Shares linked to the performance of the
Index during the investment term. The Dividend Amount, if greater than zero,
will be payable on or around 9 February 2011.
� The Shares are redeemable at scheduled redemption of HUF10,000 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 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 Contract requires the Investment Counterparty to deliver collateral to a
collateral account held in favour of the Company. Such collateral is delivered
weekly in the form of AAA rated government bonds in an amount at least equal to
100% of the most recently published NAV at that time. Where there is an event
of default in respect of the Counterparty under the Contract, the Cell will be
entitled to enforce its security over the collateral.
Full details of the calculation of the dividend and the investment return 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 31 October 2008, the calculated net asset value of a share of each cell in
existence at that date was as follows:-
+-------------------------------------------------+--+--------------+----------------+
| | | As at | As at |
| | | 31 Oct 2008 | 31 Oct 2007 |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| Enhanced Global Asset Allocation ("EGAA") | | 128.33 pence | 143.61 pence |
| | | pence | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas FTSE Summit ("FTSE S") | | 123.41 pence | 143.81 pence |
| | | pence | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas Energy - Base Metals Secure Growth | | 186.22 pence | 318.54 pence |
| ("EBSMG") | | | |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas UK High Income ("UK HI") | | 84.14 pence | 109.92 pence |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas Energy - Base Metals (2) ("EBM | | 118.57 pence | 145.04 pence |
| (2)") | | | |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas European Shield ("ES") | | 79.06 pence | 109.20 pence |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas Absolute Progression ("Abs Pro") | | 114.53 pence | 113.86 pence |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| US High Income Class A Sterling Hedged US High | | 94.51 pence | 105.80 pence |
| Income Preference Shares ("US HI A") | | | |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| US High Income Class B Unhedged US High Income | | 93.30 US$ | 106.30 US$ |
| Preference Shares ("US HI B") | | cents | cents |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| Euro High Income Class A Sterling Hedged Euro | | 64.40 pence | 98.33 pence |
| High Income Preference Shares ("Euro HI A") | | | |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| Euro High Income Class B Unhedged Euro High | | 62.06 Euro | 97.81 Euro |
| Income Preference Shares ("Euro HI B") | | cents | cents |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas Agrinvest ("Agrinvest") | | 94.20 pence | 107.67 pence |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| Hedge Elite ("Hedge Elite") | | 80.79 pence | 100.00 pence |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| Enhanced Property Recovery ("EHPR") | | 57.99 pence | - |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| Energy - Base Metals (3) ("EMB (3)") | | 87.58 pence | - |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
| BNP Paribas Agribusiness ("Agribusiness") | | 9,120 HUF | - |
| | | | |
+-------------------------------------------------+--+--------------+----------------+
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 and is incorporated here by
reference.
Responsibility Statement
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 Le PrevostPeter Atkinson
Director Director 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.
Enhanced Global Asset Allocation
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
Investment Objective
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 31 October 2008, 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 | 31-Oct-08 | | date for | level | level | level |locked-in |
| | | | | lock-ins | | | | |
+--------+--------------+-------------+--------+-------------+-------------+--------------+--------------+-----------+
| Euro | 3,053.54 | 2,591.76 |-15.1% | 18-Dec-08 | 3,511.57 | 3,969.60 | 4,427.63 | 45% |
| Stoxx | | | | | | | | |
| 50 | | | | | | | | |
+--------+--------------+-------------+--------+-------------+-------------+--------------+--------------+-----------+
| FTSE | 4,923.30 | 4,377.34 | -11.1% | 18-Dec-08 | 5,661.80 | 6,400.29 | 7,138.79 | 30% |
| 100 | | | | | | | | |
+--------+--------------+-------------+--------+-------------+-------------+--------------+--------------+-----------+
|Nikkei | 11,879.81 | 8,576.98 |-27.8% | 18-Dec-08 | 13,661.78 | 15,443.75 | 17,225.72 | 45% |
| 225 | | | | | | | | |
+--------+--------------+-------------+--------+-------------+-------------+--------------+--------------+-----------+
| S&P | 1,189.65 | 968.75 |-18.6% | 18-Dec-08 | 1,368.10 | 1,546.55 | 1,724.99 | 15% |
| 500 | | | | | | | | |
+--------+--------------+-------------+--------+-------------+-------------+--------------+--------------+-----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 18 March 2005 and close on 31 October 2008 (the last business
day prior to the balance sheet date) the NAV had risen by 28.34% (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 18.13%, the
FTSE 100 had fallen by 11.1%, the S&P 500 had fallen by 18.6%, the Euro Stoxx 50
had fallen by 15.1% and the Nikkei had also fallen by 27.8.%.
The highest NAV reached since launch represented a value per share of 144.09
pence and a performance since launch of 49.32% (based on an initial NAV of 96.50
pence). This occurred as of closing on 10 December 2007. The lowest NAV reached
since launch represented a value per share of 94.26 pence and a performance
since launch of -2.32% (based on an initial NAV of 96.50 pence). This occurred
on 29 April 2005.
Prior to the balance sheet date the indexes were observed on 18 September 2008
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.
BNP Paribas FTSE Summit
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
Investment Objective
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 31 October 2008, 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 at | Value as | Change | Next | Highest | Minimum |
| name | start | of | |observation | FTSE | protected |
| | |31-Oct-07 | | date | closing | return |
| | | | | | level | |
| | | | | | recorded | |
+----------+----------+-----------+---------+-------------+------------+------------+
|FTSE 100 | 5,113.2 | 4,377.3 | -14.4% | 29-Nov-08 | 6,706.0 | 131.15% |
+----------+----------+-----------+---------+-------------+------------+------------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 31 October 2008 the NAV had risen by
23.4%, ahead of the 14.4% decline in the FTSE and ahead of the 3.8% decline in
the FTSE 100 Total Return index.
The highest NAV reached since launch represented a value per share of 143.81
pence and a performance since the launch NAV of 43.79%. This occurred as of
closing on 31 October 2007. The lowest NAV was the launch NAV of 100 pence.
As at the balance sheet date fifteen 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
Investment Objective
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 31
October 2008 are set out in the table below.
+---------------------+--------------+---------------+--------------+------------+
| Commodity name | Value at | Value as of | Change | Weight |
| | Start | 31-Oct-08 | | |
+---------------------+--------------+---------------+--------------+------------+
| Aluminium | 1,716 | 1,970.5 | 14.8% | 20.0% |
+---------------------+--------------+---------------+--------------+------------+
| Copper | 3,597 | 3,995 | 11.1% | 20.0% |
+---------------------+--------------+---------------+--------------+------------+
| Nickel | 14,700 | 11,305 | -23.1% | 15.0% |
+---------------------+--------------+---------------+--------------+------------+
| West Texas | 56.50 | 67.81 | 20.0% | 30.0% |
| Intermediate | | | | |
+---------------------+--------------+---------------+--------------+------------+
| Zinc | 1,223 | 1,091. | -10.8% | 15.0% |
+---------------------+--------------+---------------+--------------+------------+
Source for Commodity values Information: Bloomberg
Investment Performance
Between launch on 30 June 2005 and close on 31 October 2008 the NAV had risen by
86%. Over this period the DJ AIG Commodities Total Return Index had risen by
32%. 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.
The highest NAV reached since launch represented a value per share of 415.90
pence and a performance since the launch NAV of 315.90%. This occurred on 11
July 2008. The lowest NAV reached since launch represented a value per share of
96.86 pence and a performance since the launch NAV of -3.1%. This occurred on 18
July 2005.
BNP Paribas UK High Income
Listing: Channel Islands Stock Exchange
Launch date: 9 December 2005
Issue price at launch: 100 pence
NAV immediately following launch: 98.75 pence
Maturity date: 8 December 2011
ISIN: GB00B0N4CX50
SEDOL: B0N4CX50
Epic Code: UKH
Investment Objective
BNP Paribas UK High Income ("UKH") 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 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.
BNP Paribas UK High Income launched on 9 December 2005 with an initial NAV of
98.75 pence. On this date (a) the portfolio of shares was selected and purchased
(b) the corresponding 3-month call options were sold with an average strike
price of 105.5% of the value of the shares (c) the portfolio insurance was
acquired. This takes the form of a six-year put option on the FTSE 100 with a
strike level of 5,517.4.
The name and weighting of each selected share and its performance between 10
September 2007 (representing the most recent rebalancing of the portfolio) and
31 October 2008 are set out in the table below.
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Stock | Strike | Current |Performance | Option | Share |Weighting |
| | price | price | at | strike |portfolio | at |
| | at | at | 31-Oct-08 | price |weighting |31-Oct-08 |
| |5-Sept-08 |31-Oct-08 | | |at Strike | |
| | | | | | Date | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Anglo | 2,397.00 | 1,532.00 | -36.1% |2,958.92 | 5.4% | 4.5% |
| American | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| AstraZeneca | 2,609.00 | 2,630.00 | 0.8% |2,917.31 | 5.5% | 7.3% |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Aviva | 539.00 | 368.00 | -31.7% | 632.54 | 4.2% | 3.7% |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Barclays | 355.00 | 178.90 | -49.6% | 433.85 | 5.5% | 3.6% |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BG | 1,093.00 | 913.00 | -16.5% |1,293.72 | 5.8% | 6.3% |
| Group | | | | | | |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BHP | 1,485.00 | 1,053.00 | -29.1% |1,799.01 | 5.6% | 5.2% |
| Billiton | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BP PLC | 517.00 | 507.25 | -1.9% | 578.96 | 6.9% | 8.9% |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| British | 1,864.00 | 1,700.00 | -8.8% |2,065.26 | 5.6% | 6.7% |
| American | | | | | | |
| Tobacco | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| BT | 175.00 | 115.10 | -34.2% | 200.79 | 4.1% | 3.5% |
| Group | | | | | | |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| GlaxoSmithKline | 1,249.50 | 1,197.00 | -4.2% |1,386.00 | 6.8% | 8.6% |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| HBOS | 307.00 | 99.30 | -67.7% | 384.32 | 4.0% | 1.7% |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Legal | 99.90 | 71.30 | -28.6% | 116.16 | 2.7% | 2.5% |
| & | | | | | | |
| General | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Lloyds | 310.00 | 197.80 | -36.2% | 377.53 | 4.5% | 3.8% |
| TSB | | | | | | |
| Group | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Marks | 260.75 | 219.00 | -16.0% | 319.39 | 1.4% | 1.5% |
| and | | | | | | |
| Spencer | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| National | 691.00 | 703.50 | 1.8% | 764.70 | 4.1% | 5.4% |
| Grid PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Rio | 4,490.00 | 2,864.00 | -36.2% |5,470.36 | 5.4% | 4.5% |
| Tinto | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Royal | 244.50 | 67.50 | -72.4% | 297.52 | 6.0% | 2.2% |
| Bank | | | | | | |
| of | | | | | | |
| Scotland | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Royal | 1,712.00 | 1,659.00 | -3.1% |1,923.58 | 6.7% | 8.6% |
| Dutch | | | | | | |
| Shell | | | | | | |
| B LDN | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Scottish | 1,403.00 | 1,214.00 | -13.5% |1,576.95 | 4.2% | 4.8% |
| & | | | | | | |
| Southern | | | | | | |
| Energy | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Tesco | 384.00 | 339.40 | -11.6% | 442.95 | 5.6% | 6.5% |
| PLC | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| FTSE | 5,446.30 | 4,377 | -19.6% | | | |
| 100 | | | | | | |
| Index | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
| Weighted | | | -23.8% | | | |
| Basket | | | | | | |
| Performance | | | | | | |
+-----------------+-----------+-----------+-------------+----------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 9 December 2005 and close on 31 October 2008 the NAV had
fallen by 15.85% (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 and 6 November 2008.
BNP Paribas Energy-Base Metals (2)
Listing: Channel Islands Stock Exchange
Launch date: 23 March 2006
Issue price at launch: 100 pence
NAV at launch: 100 pence
Maturity date: 22 March 2012
ISIN: GB00B0ZNS989
SEDOL: B0ZNS98
Epic Code: EBMB
Investment Objective
BNP Paribas Energy-Base Metals 2 ("EBMB") is a six-year investment offering 230%
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 October 31, 2008 are set out in the
table below.
+----------------------+--------------+--------------+--------------+------------+
| Commodity name | Value at | Value as of | Change | Weight |
| | Start | 31-Oct-08 | | |
+----------------------+--------------+--------------+--------------+------------+
| Aluminium | 2,457 | 1,970.50 | -19.8% | 20.0% |
+----------------------+--------------+--------------+--------------+------------+
| Copper | 5,220 | 3,995 | -23.5% | 20.0% |
+----------------------+--------------+--------------+--------------+------------+
| Nickel | 15,055 | 11,305 | -24.9% | 15.0% |
+----------------------+--------------+--------------+--------------+------------+
| West Texas | 64 | 67.81 | 6.1% | 30.0% |
| Intermediate | | | | |
+----------------------+--------------+--------------+--------------+------------+
| Zinc | 2,543 | 1,091 | -57.1% | 15.0% |
+----------------------+--------------+--------------+--------------+------------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 23 March 2006 and close on 31 October 2008 the NAV had risen
by 18.58%. Over this period the DJ AIG Commodities Excess Return Index had
fallen by 18.9%.
BNP Paribas European Shield
Listing: Channel Islands Stock Exchange
Launch date: 28 April 2006
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 26 April 2012
ISIN: GB00B12GMC87
SEDOL: B12GMC8
Investment Objective
The BNP Paribas European Shield is a six-year fund returning 171.25p per share
at maturity provided that, at maturity, the DJ Euro Stoxx 50 Index is at or
above its initial level of 3,865.42. This is equivalent to an annualised return
of 8.5% on the application price of 105p. The redemption value per share is
reduced linearly from 171.25p to 100p per share as the index falls from 100% to
85% of its initial level. The redemption value per share of 100p is protected
unless the index falls by 50% from its initial level at any point over the six
year life. If downside is triggered and the index fails to recover to 85% of the
initial level, investors will participate in index tracking plus 15p per share.
The level of the Index recorded at launch and as of 31 October 2008; the level
of the Index at maturity required to return a redemption value per share of
171.25 pence; the Index level which, if breached at any time, results in the
potential loss of capital; and the lowest observed level of the Index to date
are set out in the table below.
+--------+---------+-----------+--------+---------+---------+----------+
| Index |Initial | Value |Change | 85% | 50% | Lowest |
| name | Level | as of | |Barrier |Barrier |observed |
| | |31-Oct-08 | | Level | Level | Index |
| | | | | | | Level |
+--------+---------+-----------+--------+---------+---------+----------+
| DJ | 3839.9 | 2591.8 |-32.5% | 3263.9 | 1920.0 | 2293.1 |
| Euro | | | | | | |
| Stoxx | | | | | | |
| 50 | | | | | | |
+--------+---------+-----------+--------+---------+---------+----------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on April 27 2006 and close on 31 October 2008 the NAV has fallen
by 21% versus a 32.5% decline in the Eurostoxx 50 Index.
BNP Paribas Absolute Progression
Listing: Channel Islands Stock Exchange
Launch date: 20 July 2006
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 19 July 2012
ISIN: GB00B17WK500
SEDOL: B17WK500
Investment Objective
This 6-year maturity fund produces absolute returns based on the divergence,
rather than the direction, of stock performance. The fund focuses on the share
components of the Dow Jones Global Titans Index, an index that includes the
world's 50 largest multinational companies. On each anniversary of launch the
fund's portfolio is, retrospectively, made up of the shares that have beaten the
index over the previous year in equal weightings. The fund's return for each
year equals the amount by which this portfolio's annualised performance beats
the index less a hurdle rate of 5%.
The level of the Index recorded at launch and as of 31 October 2008 is set out
in the table below.
+--------------------+------------+--------------+----------------+-----------------+
| DJGT Components | Share | Current | % change |Out-performance |
| | Price at | Value at 31 | | |
| | Launch | Oct 08 | | |
+--------------------+------------+--------------+----------------+-----------------+
| Nestle | 39.15 | 45.00 | 14.94% | 39.41% |
+--------------------+------------+--------------+----------------+-----------------+
| Novartis | 67.90 | 58.40 | -13.99% | 10.48% |
+--------------------+------------+--------------+----------------+-----------------+
| Roche Holding | 214.90 | 176.80 | -17.73% | 6.74% |
+--------------------+------------+--------------+----------------+-----------------+
| Telefonica | 13.04 | 14.42 | 10.58% | 35.05% |
+--------------------+------------+--------------+----------------+-----------------+
| Nokia - Finland | 15.62 | 12.18 | -22.02% | 2.44% |
+--------------------+------------+--------------+----------------+-----------------+
| Total Fina Elf | 51.00 | 42.82 | -16.05% | 8.42% |
+--------------------+------------+--------------+----------------+-----------------+
| BP Group | 625.00 | 507.25 | -18.84% | 5.63% |
+--------------------+------------+--------------+----------------+-----------------+
| Glaxo Smithkline | 1,493.00 | 1,197.00 | -19.83% | 4.64% |
+--------------------+------------+--------------+----------------+-----------------+
| HSBC | 956.00 | 762.00 | -20.29% | 4.17% |
+--------------------+------------+--------------+----------------+-----------------+
| Vodafone | 113.40 | 119.10 | 5.03% | 29.50% |
+--------------------+------------+--------------+----------------+-----------------+
| ENI | 22.91 | 18.53 | -19.12% | 5.35% |
+--------------------+------------+--------------+----------------+-----------------+
| Samsung |598,000.00 | 535,000.00 | -10.54% | 13.93% |
| Electronics | | | | |
+--------------------+------------+--------------+----------------+-----------------+
| Royal Dutch Shell | 26.54 | 21.62 | -18.54% | 5.93% |
+--------------------+------------+--------------+----------------+-----------------+
| Abbot Labs | 46.21 | 55.15 | 19.35% | 43.81% |
+--------------------+------------+--------------+----------------+-----------------+
| Hewlett packard | 31.80 | 38.28 | 20.38% | 44.84% |
+--------------------+------------+--------------+----------------+-----------------+
| Cisco Systems | 17.88 | 17.77 | -0.62% | 23.85% |
+--------------------+------------+--------------+----------------+-----------------+
| Chevron Texaco | 65.32 | 74.60 | 14.21% | 38.67% |
| Corp | | | | |
+--------------------+------------+--------------+----------------+-----------------+
| IBM | 75.48 | 92.97 | 23.17% | 47.64% |
+--------------------+------------+--------------+----------------+-----------------+
| Intel Corp | 17.15 | 16.00 | -6.71% | 17.76% |
+--------------------+------------+--------------+----------------+-----------------+
| Johnson & Johnson | 61.37 | 61.34 | -0.05% | 24.42% |
+--------------------+------------+--------------+----------------+-----------------+
| JP Morgan Chase | 42.98 | 41.25 | -4.03% | 20.44% |
+--------------------+------------+--------------+----------------+-----------------+
| Coca Cola | 43.84 | 44.06 | 0.50% | 24.97% |
+--------------------+------------+--------------+----------------+-----------------+
| CONOCOPHILIPPS | 64.43 | 52.02 | -19.26% | 5.21% |
+--------------------+------------+--------------+----------------+-----------------+
| Altria Group | 18.30 | 19.19 | 4.86% | 29.33% |
+--------------------+------------+--------------+----------------+-----------------+
| Merck | 37.30 | 30.95 | -17.02% | 7.44% |
+--------------------+------------+--------------+----------------+-----------------+
| Microsoft | 22.85 | 22.33 | -2.28% | 22.19% |
+--------------------+------------+--------------+----------------+-----------------+
| Pepsi Cola | 62.48 | 57.01 | -8.75% | 15.71% |
+--------------------+------------+--------------+----------------+-----------------+
| Procter & Gamble | 56.61 | 64.54 | 14.01% | 38.48% |
+--------------------+------------+--------------+----------------+-----------------+
| AT&T Inc | 27.30 | 26.77 | -1.94% | 22.53% |
+--------------------+------------+--------------+----------------+-----------------+
| Verizon | 30.94 | 29.67 | -4.10% | 20.37% |
+--------------------+------------+--------------+----------------+-----------------+
| Wal-Mart Stores | 44.29 | 55.81 | 26.01% | 50.48% |
+--------------------+------------+--------------+----------------+-----------------+
| BNP Paribas | 70.79 | 56.00 | -20.89% | 3.58% |
+--------------------+------------+--------------+----------------+-----------------+
| Exxon Mobil Corp | 64.25 | 74.12 | 15.36% | 39.83% |
+--------------------+------------+--------------+----------------+-----------------+
| DJGT Index | 202.2 | 152.8 | -24.5% | |
+--------------------+------------+--------------+----------------+-----------------+
| | | | | |
+--------------------+------------+--------------+----------------+-----------------+
| Portfolio Average | | | | 21.6% |
+--------------------+------------+--------------+----------------+-----------------+
Source for Share Price Information: Bloomberg
As of 31 October 2008, the NAV had risen by 14.5% since launch compared with the
HFR Hedge Fund Universe Index, which has fallen by 10.0% over that period. Since
launch, 33 stocks had outperformed the DJGT Index. The average out-performance
had been 21.6%.
Class A Sterling Hedged US High Income Preference Shares and Class B Unhedged US
High Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 26 October 2006
Issue price at launch: 100 pence
NAV immediately following launch: 99 pence class A & $0.99 class B
Maturity date: 19 November 2012
Class A ISIN: GG00B1FP4W69
Class A SEDOL: B1FP4W6
Class B ISIN: GG00B1FP4X76
Class B SEDOL: B1FP4X7
Investment Objective
BNP Paribas US High Income ("USH" for Class A and "USHD" 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 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.
BNP Paribas US High Income launched on 26 October 2006 with an initial NAV of 99
pence ($0.99 for class B). On this date (a) the portfolio of shares was selected
and purchased (b) the corresponding 3-month call options were sold with an
average strike price of 104.3% of the value of the shares (c) the portfolio
insurance was acquired. This takes the form of a six-year put option on the S&P
100 with a strike level of 645.42.
The name and weighting of each selected share and its performance between 18
August 2008 and 31 October 2008 are set out in the table below.
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Stock | Strike | Current |Performance |Option | Class | Class |
| | Price | price | at |strike | A - | A - |
| | at | at | 31-Oct-08 | price | Share |Weighting |
| |18-Aug-08 |31-Oct-08 | | |Portfolio | at |
| | | | | |weighting |31-Oct-08 |
| | | | | |at Strike | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Bank | 29.30 | 24.17 | -17.51% | 36.86 | 4.76% | 4.62% |
| of | | | | | | |
| America | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Citigroup | 17.62 | 13.65 | -22.53% | 21.79 | 3.57% | 3.26% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Chevron | 83.19 | 74.60 | -10.33% | 92.51 | 5.95% | 6.28% |
| Corp | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| EI Du | 44.74 | 32.04 | -28.39% | 49.51 | 2.38% | 2.01% |
| Pont | | | | | | |
| de | | | | | | |
| Nemours | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Exelon | 73.39 | 54.24 | -26.09% | 82.68 | 2.38% | 2.07% |
| Corp | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| General | 29.35 | 19.51 | -33.53% | 32.44 | 5.95% | 4.66% |
| Electrics | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| IBM | 124.59 | 92.97 | -25.38% |136.82 | 4.76% | 4.18% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Intel | 24.01 | 16.03 | -33.23% | 27.29 | 4.76% | 3.74% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| JP | 36.74 | 41.25 | 12.28% | 44.56 | 4.76% | 6.29% |
| Morgan | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| MacDonalds | 63.29 | 57.93 | -8.47% | 69.70 | 3.57% | 3.85% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Merck | 35.71 | 30.95 | -13.33% | 40.03 | 3.57% | 3.64% |
| & Co | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Microsoft | 27.69 | 22.33 | -19.36% | 31.04 | 5.95% | 5.65% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Pfizer | 19.64 | 17.71 | -9.83% | 21.74 | 4.76% | 5.05% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Procter&Gamble | 71.27 | 64.54 | -9.44% | 76.45 | 5.95% | 6.34% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Phillip | 55.01 | 43.47 | -20.98% | 59.99 | 4.76% | 4.43% |
| Morris | | | | | | |
| International | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| AT&T | 31.40 | 26.77 | -14.75% | 34.91 | 5.95% | 5.97% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Time | 15.99 | 10.09 | -36.90% | 18.00 | 3.57% | 2.65% |
| Warner | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| UPS | 65.30 | 52.78 | -19.17% | 72.62 | 3.57% | 3.40% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| United | 65.83 | 54.96 | -16.51% | 73.12 | 3.57% | 3.51% |
| Technologies | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Wells | 28.80 | 34.05 | 18.23% | 35.22 | 3.57% | 4.97% |
| Fargo | | | | | | |
| & Co | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| WalMart | 58.83 | 55.81 | -5.13% | 65.54 | 5.95% | 6.65% |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Exxon | 76.53 | 74.12 | -3.15% | 85.02 | 5.95% | 6.78% |
| Mobil | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| S&P | 589.81 | 464.19 | -21.30% | | | |
| 100 | | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
| Weighted Basket | | -15.02% | | | |
| Performance | | | | | |
+----------------+-----------+-----------+-------------+--------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 26 October 2006 and close on 31 October 2008 the Total Return
Performance was 10.5% and 9.2% 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 Performance, which declined 24.6% 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 and 22 January 2009.
Class A Sterling Hedged Euro High Income Preference Shares and Class B Unhedged
Euro High Income Preference Shares
Listing: Channel Islands Stock Exchange
Launch date: 22 June 2007
Issue price at launch: GBP1 class A & EUR1 class B
NAV immediately following launch: 99 pence Class A and 99 cents class B
Maturity date: 1 July 2013
Class A ISIN: GG00B1YKCQ26
Class A SEDOL: B1YKCQ2
Class B ISIN: GG00B1YKCV78
Class B SEDOL: B1YKCV7
Investment Objective
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.
The name and weighting of each selected share and its performance between 22
September 2008 and 31 October 2008 are set out in the table below.
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Stock | Strike | Current |Performance |Option | Class | Class |
| | Price | price | at |Strike | A - | A - |
| | at | at | 31-Oct-08 | Price | Share |Weighting |
| |22-Sep-08 |31-Oct-08 | | |portfolio | at |
| | | | | |weighting |31-Oct-08 |
| | | | | |at Strike | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Aegon NV | 7.536 | 3.173 | -57.90% | 9.15 | 5.08% | 3.33% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Alcatel | 2.931 | 2.01 | -31.42% | 3.43 | 4.94% | 5.27% |
| Lucent | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Allianz | 98.82 | 59.45 | -39.84% |112.72 | 4.93% | 4.61% |
| SE | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Arcelormittal | 42.54 | 20.055 | -52.86% | 49.17 | 5.15% | 3.77% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| AXA | 23.325 | 14.85 | -36.33% | 26.65 | 4.98% | 4.93% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Banco Bilbao | 11.49 | 8.99 | -21.76% | 12.87 | 5.17% | 6.29% |
| Vizcaya | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Banco | 10.069 | 7.804 | -22.49% | 12.07 | 4.69% | 5.66% |
| Santander | | | | | | |
| S.A. | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| BNP | 66 | 56 | -15.15% | 72.87 | 4.94% | 6.52% |
| Paribas | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Cie De | 39.565 | 30.025 | -24.11% | 44.98 | 5.13% | 6.06% |
| Saint-Gobain | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Credit | 13.91 | 11.235 | -19.23% | 16.28 | 4.79% | 6.02% |
| Agricole | | | | | | |
| S.A. | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Deutsche | 55.15 | 29.95 | -45.69% | 62.81 | 4.92% | 4.15% |
| Bank AG | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Deutsche | 65.95 | 62.3 | -5.53% | 76.79 | 5.20% | 7.64% |
| Boerse | | | | | | |
| AG | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Fortis (Amsterdam) | 7.671 | 0.91 | -88.14% | 9.24 | 4.94% | 0.91% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| ING | 19.25 | 7.235 | -62.42% | 21.81 | 4.85% | 2.83% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Nokia AB | 13.8 | 12.18 | -11.74% | 15.48 | 4.96% | 6.81% |
| OY A | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Renault | 50.3 | 23.86 | -52.56% | 57.39 | 5.24% | 3.86% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Schneider | 65.24 | 46.7 | -28.42% | 72.44 | 5.08% | 5.65% |
| Electric | | | | | | |
| S.A. | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Societe | 64.6 | 42.175 | -34.71% | 73.29 | 4.98% | 5.06% |
| Generale | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Unicredito | 3.494 | 1.888 | -45.96% | 3.93 | 4.94% | 4.15% |
| SPA | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Vinci | 34.205 | 27.99 | -18.17% | 38.26 | 5.09% | 6.48% |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| DJ | 3181.77 | 2591.76 | -18.54% | | | |
| Eurostoxx | | | | | | |
| 50 | | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
| Weighted Basket | | -35.69% | | | |
| Performance | | | | | |
+--------------------+-----------+-----------+-------------+--------+-----------+-----------+
Source for Share Price Information: Bloomberg
Investment Performance
Between launch on 21 June 2007 and close on 31 October 2008 the Total Return
Performance had was -25.6% and -27.9% 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 DJ Eurostoxx TR performance, of -40.1% over that
period. The directors declared interim dividends of 1.875 pence per Class A
Sterling Hedged Euro High Income Preference Share and 1.875 Euro cents per Class
B Unhedged Euro High Income Preference Share on 22 November 2007, 21 February
2008, 21 May 2008, 20 August 2008 and 20 November 2008.
BNP Paribas Agrinvest
Listing: Channel Islands Stock Exchange
Launch date: 21 June 2007
Issue price at launch: 100 pence
NAV immediately following launch: 100.00 pence
Maturity date: 29 May 2013
ISIN: GB00B1YKCX92
SEDOL: B1YKCX9
Investment Objective
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 |31-Oct-08 | |
+-------------+----------+-----------+---------+
| DCI |1,053.0 | 892.8 |-15.21% |
| Agriculture | | | |
| BNP Paribas | | | |
| Enhanced | | | |
| Excess | | | |
| Return | | | |
+-------------+----------+-----------+---------+
Source for Index Price Information: Bloomberg
Investment Performance
Between launch on 22 June 2007 and close on 31 October 2008 the NAV had fallen
by 5.8%. Over this period the S&P GSCI Agri&Livestock ER Index had fallen by
21.4%.
Hedge Elite
Listing: Channel Islands Stock Exchange
Launch date: 26 October 2007
Issue price at launch: 100 pence per share
NAV immediately following launch: 100.00 pence
Maturity date: 28 October, 2013
ISIN: GG00B28CCG11
SEDOL: B28CCG1
Investment Objective
The investment objective of the Company for the Cell is 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. There is no guarantee that the Cell's investment objective will be
achieved.
The investment objective of the Cell will not be varied without the consent of
shareholders.
Investment Performance
Between launch on 26 October 2007 and close on 31 October 2008 the NAV had
fallen by 19.2%. Over this period the HFRX Global Hedge Fund GBP Index had
fallen by 21.0%
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 31 October 2008 the NAV had fallen
by 42.0%. Over this period the EPRA Index had fallen by 40.2%. The Fund
performance is driven primarily by sensitivity of the NAV to movements in the
underlying Index, which is approximately one for one. The Fund recorded its 8th
observation in October and a new low of 1,263.19, which was significantly lower
than the previous level from July. 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 31, 2008 are set out in the table below.
+-----------------------+--------------+---------------+------------+------------+
| Commodity name | Value at | Value as of | Change | Weight |
| | Start | 31-Oct-08 | | |
+-----------------------+--------------+---------------+------------+------------+
| Aluminium | 2858.5 | 1970.5 | -31.1% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| Copper | 8006 | 3995 | -50.1% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| Nickel | 1948.5 | 1091 | -44.0% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| West Texas | 122.3 | 67.81 | -44.6% | 30.0% |
| Intermediate | | | | |
+-----------------------+--------------+---------------+------------+------------+
| Zinc | 22000 | 11305 | -48.6% | 12.5% |
+-----------------------+--------------+---------------+------------+------------+
| Natural Gas | 12.379 | 6.783 | -45.2% | 20.0% |
+-----------------------+--------------+---------------+------------+------------+
Source for commodity values information: Bloomberg
Investment Performance
Between launch on 5 June 2008 and close on 31 October 2008 the NAV had fallen by
12.4%. Over this period the DJ AIG Commodities Excess Return Index had fallen by
39.3%.
BNP Paribas Agribusiness
Listing: Budapest Stock Exchange
Launch date: 11 July 2008
Issue price at launch: HUF 10,000
NAV immediately following launch: HUF 10,000
Maturity date: 10 January 2011
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).
Investment Performance
Between launch on 11 July 2008 and close on 31 October 2008 the NAV had fallen
by 8.8%. Over this period the BNP Paribas Global Agribusiness Excess Return
Index had fallen by 19.41%.
STATEMENT OF OPERATIONS
for the year ended 31 October 2008
+------------------------------------+-------+-------------+-------------+--------------+
| | Notes | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | | S | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Net movement in unrealised (loss) | 3 | (2,062,299) | (8,260,218) | (10,191,208) |
| / gain on investments | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Amortisation of debt issue costs | | (49,721) | - | - |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Income from financial assets at | | - | - | - |
| fair value through profit or loss | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Finance costs - distributions to | | - | - | - |
| holders of Preference Shares | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| (Decrease) / increase in net | | (2,112,020) | (8,260,218) | (10,191,208) |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Weighted average number of shares | | 13,500,255 | 40,501,195 | 7,701,999 |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| | | Pence | Pence | Pence |
+------------------------------------+-------+-------------+-------------+--------------+
| (Loss) / gain per share for | | (15.28) | (20.39) | (132.32) |
| investment purposes | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Adjustment to include amortisation | | (0.37) | - | - |
| of debt issue costs | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| Adjustment to include investment | | - | - | - |
| income | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
| (Loss) / gain per share for the | 1 (j) | (15.64) | (20.39) | (132.32) |
| year | | | | |
+------------------------------------+-------+-------------+-------------+--------------+
+-----------------------------------+-------+--------------+-------------+-------------+
| | Notes | Cell UK HI | Cell | Cell ES |
| | | | EBM(2) | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Net movement in unrealised (loss) | 3 | (36,493,812) | (8,602,099) | (7,532,500) |
| / gain on investments | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Amortisation of debt issue costs | | - | - | - |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Income from financial assets at | | 10,621,016 | - | - |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Finance costs - distributions to | | (10,621,016) | - | - |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| (Decrease) / increase in net | | (36,493,812) | (8,602,099) | (7,532,500) |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Weighted average number of shares | | 141,613,549 | 32,506,140 | 25,000,000 |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+--------------+-------------+-------------+
| (Loss) / gain per share for | | (33.27) | (26.46) | (30.13) |
| investment purposes | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| Adjustment to include investment | | 7.50 | - | - |
| income | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
| (Loss) / gain per share for the | 1 (j) | (25.77) | (26.46) | (30.13) |
| year | | | | |
+-----------------------------------+-------+--------------+-------------+-------------+
+-----------------------------------+-------+------------+--------------+
| | Notes | Cell Abs | Cell US HI |
| | | Pro | A |
+-----------------------------------+-------+------------+--------------+
| | | GBP | GBP |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| Net movement in unrealised (loss) | 3 | 518,823 | (10,439,861) |
| / gain on investments | | | |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| Amortisation of debt issue costs | | - | - |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| Income from financial assets at | | - | 6,935,249 |
| fair value through profit or loss | | | |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| Finance costs - distributions to | | - | (6,935,249) |
| holders of Preference Shares | | | |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| (Decrease) / increase in net | | 518,823 | (10,439,861) |
| assets attributable to Preference | | | |
| shareholders from operations | | | |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| Weighted average number of shares | | 76,748,923 | 92,469,987 |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| | | | |
+-----------------------------------+-------+------------+--------------+
| | | Pence | Pence |
+-----------------------------------+-------+------------+--------------+
| (Loss) / gain per share for | | 0/68 | (18.79) |
| investment purposes | | | |
+-----------------------------------+-------+------------+--------------+
| Adjustment to include | | - | - |
| amortisation of debt issue costs | | | |
+-----------------------------------+-------+------------+--------------+
| Adjustment to include investment | | - | 7.50 |
| income | | | |
+-----------------------------------+-------+------------+--------------+
| (Loss) / gain per share for the | 1 (j) | 0.68 | (11.29) |
| year | | | |
+-----------------------------------+-------+------------+--------------+
+-----------------------------------+-------+-------------+-------------+--------------+
| | Notes | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Net movement in unrealised (loss) | 3 | (4,424,912) | (7,836,345) | (15,395,007) |
| / gain on investments | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Amortisation of debt issue costs | | - | - | - |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Income from financial assets at | | 2,232,391 | - | 3,403,164 |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Finance costs - distributions to | | (2,232,391) | - | (3,403,164) |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| (Decrease) / increase in net | | (4,424,912) | (7,886,345) | (15,395,007) |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Weighted average number of shares | | 58,337,229 | 44,302,399 | 45,375,520 |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+-------------+-------------+--------------+
| (Loss) / gain per share for | | (11.41) | (17.80) | (41.43) |
| investment purposes | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Adjustment to include investment | | 3.83 | - | 7.50 |
| income | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| (Loss) / gain per share for the | 1 (j) | (7.59) | (17.80) | (33.93) |
| year | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
+-----------------------------------+-------+-------------+-------------+--------------+
| | Notes | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | Elite | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Net movement in unrealised (loss) | 3 | (2,848,235) | (4,076,607) | (12,654,006) |
| / gain on investments | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Amortisation of debt issue costs | | - | - | - |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Income from financial assets at | | 601,702 | - | - |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Finance costs - distributions to | | (601,702) | - | - |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| (Decrease) / increase in net | | (2,848,235) | (4,076,607) | (12,654,006) |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Weighted average number of shares | | 10,261,000 | 21,229,013 | 19,095,628 |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+-------------+-------------+--------------+
| (Loss) / gain per share for | | (33.62) | (19.20) | (66.27) |
| investment purposes | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| Adjustment to include investment | | 5.86 | - | - |
| income | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
| (Loss) / gain per share for the | 1 (j) | (27.76) | (19.20) | (66.27) |
| year | | | | |
+-----------------------------------+-------+-------------+-------------+--------------+
+-----------------------------------+-------+-------------+------------+---------------+
| | Notes | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | Agribus* | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Net movement in unrealised (loss) | 3 | (5,862,784) | (196,435) | (136,407,505) |
| / gain on investments | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Amortisation of debt issue costs | | - | - | (49,721) |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Income from financial assets at | | - | - | 23,793,522 |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Finance costs - distributions to | | - | - | (23,793,522) |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| (Decrease) / increase in net | | (5,862,784) | (196,435) | (136,457,226) |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Weighted average number of shares | | 16,252,875 | 22,384 | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| | | Pence | Pence | |
+-----------------------------------+-------+-------------+------------+---------------+
| (Loss) / gain per share for | | (36.07) | (877.57) | |
| investment purposes | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| Adjustment to include investment | | - | - | |
| income | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
| (Loss) / gain per share for the | 1 (j) | (36.07) | (877.57) | |
| year | | | | |
+-----------------------------------+-------+-------------+------------+---------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
In arriving at the results for the financial year, all amounts above relate to
continuing operations.
There are no recognised gains or losses for the year other than those disclosed
above.
STATEMENT OF OPERATIONS
for the year ended 31 October 2007
+-----------------------------------+-------+------------+------------+-------------+
| | Notes | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | | S | |
+-----------------------------------+-------+------------+------------+-------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Net movement in unrealised gain / | 3 | 2,178,131 | 8,195,995 | 9,165,687 |
| (loss) on investments | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Amortisation of debt issue costs | | (49,584) | - | - |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Income from financial assets at | | - | - | - |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Finance costs - distributions to | | - | - | - |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Increase / (decrease) in net | | 2,128,547 | 8,195,995 | 9,165,687 |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Weighted average number of shares | | 13,500,255 | 33,103,935 | 7,701,999 |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+------------+------------+-------------+
| Gain / (loss) per share for | | 16.12 | 24.75 | 119.00 |
| investment purposes | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Adjustment to include | | (0.36) | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Adjustment to include investment | | - | - | - |
| income | | | | |
+-----------------------------------+-------+------------+------------+-------------+
| Gain / (loss) per share for the | 1 (j) | 15.76 | 24.75 | 119.00 |
| year | | | | |
+-----------------------------------+-------+------------+------------+-------------+
+-----------------------------------+-------+-------------+------------+-------------+
| | Notes | Cell UK HI | Cell EBM | Cell ES |
| | | | (2) | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Net movement in unrealised gain / | 3 | 7,322,022 | 12,871,781 | 1,234,250 |
| (loss) on investments | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Amortisation of debt issue costs | | - | - | - |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Income from financial assets at | | 9,777,266 | - | - |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Finance costs - distributions to | | (9,777,266) | - | - |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Increase / (decrease) in net | | 7,322,022 | 12,871,781 | 1,234,250 |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Weighted average number of shares | | 132,695,741 | 32,506,140 | 25,000,000 |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+-------------+------------+-------------+
| Gain / (loss) per share for | | (1.85) | 39.59 | 4.93 |
| investment purposes | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Adjustment to include investment | | 7.37 | - | - |
| income | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
| Gain / (loss) per share for the | 1 (j) | 5.52 | 39.59 | 4.93 |
| year | | | | |
+-----------------------------------+-------+-------------+------------+-------------+
+-----------------------------------+-------+------------+-------------+
| | Notes | Cell Abs | Cell US HI |
| | | Pro | A |
+-----------------------------------+-------+------------+-------------+
| | | GBP | GBP |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| Net movement in unrealised gain / | 3 | 8,554,855 | 5,835,893 |
| (loss) on investments | | | |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| Amortisation of debt issue costs | | - | - |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| Income from financial assets at | | - | 4,357,687 |
| fair value through profit or loss | | | |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| Finance costs - distributions to | | - | (4,357,687) |
| holders of Preference Shares | | | |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| Increase / (decrease) in net | | 8,554,855 | 5,835,893 |
| assets attributable to Preference | | | |
| shareholders from operations | | | |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| Weighted average number of shares | | 73,296,868 | 83,552,179 |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| | | | |
+-----------------------------------+-------+------------+-------------+
| | | Pence | Pence |
+-----------------------------------+-------+------------+-------------+
| Gain / (loss) per share for | | 11.67 | 1.77 |
| investment purposes | | | |
+-----------------------------------+-------+------------+-------------+
| Adjustment to include | | - | - |
| amortisation of debt issue costs | | | |
+-----------------------------------+-------+------------+-------------+
| Adjustment to include investment | | - | 5.21 |
| income | | | |
+-----------------------------------+-------+------------+-------------+
| Gain / (loss) per share for the | 1 (j) | 11.67 | 6.98 |
| year | | | |
+-----------------------------------+-------+------------+-------------+
+-----------------------------------+-------+-------------+------------+--------------+
| | Notes | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Net movement in unrealised gain / | 3 | 2,423,261 | 2,856,715 | (755,956) |
| (loss) on investments | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Amortisation of debt issue costs | | - | - | - |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Income from financial assets at | | 1,229,627 | - | 850,791 |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Finance costs - distributions to | | (1,229,627) | - | (850,791) |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Increase / (decrease) in net | | 2,423,261 | 2,856,715 | (755,956) |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Weighted average number of shares | | 49,419,421 | 37,225,896 | 45,375,520 |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+-------------+------------+--------------+
| Gain / (loss) per share for | | 2.42 | 7.67 | (3.54) |
| investment purposes | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Adjustment to include investment | | 2.48 | - | 1.87 |
| income | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Gain / (loss) per share for the | 1 (j) | 4.90 | 7.67 | (1.67) |
| year | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
+-----------------------------------+-------+------------+------------+--------------+
| | Notes | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | Elite | |
+-----------------------------------+-------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Net movement in unrealised gain / | 3 | (153,547) | - | - |
| (loss) on investments | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Amortisation of debt issue costs | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Income from financial assets at | | 134,010 | - | - |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Finance costs - distributions to | | (134,010) | - | - |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Increase / (decrease) in net | | (153,547) | - | - |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Weighted average number of shares | | 10,261,000 | 21,229,013 | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+------------+------------+--------------+
| Gain / (loss) per share for | | (2.80) | - | - |
| investment purposes | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include | | - | - | - |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include investment | | 1.30 | - | - |
| income | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Gain / (loss) per share for the | 1 (j) | (1.50) | - | - |
| year | | | | |
+-----------------------------------+-------+------------+------------+--------------+
+-----------------------------------+-------+------------+------------+--------------+
| | Notes | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | Agribus* | |
+-----------------------------------+-------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Net movement in unrealised gain / | 3 | - | - | 59,729,087 |
| (loss) on investments | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Amortisation of debt issue costs | | - | - | (49,584) |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Income from financial assets at | | - | - | 16,349,381 |
| fair value through profit or loss | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Finance costs - distributions to | | - | - | (16,349,381) |
| holders of Preference Shares | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Increase / (decrease) in net | | - | - | 59,679,503 |
| assets attributable to Preference | | | | |
| shareholders from operations | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Weighted average number of shares | | - | - | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | Pence | Pence | |
+-----------------------------------+-------+------------+------------+--------------+
| Gain / (loss) per share for | | - | - | |
| investment purposes | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include | | - | - | |
| amortisation of debt issue costs | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include investment | | - | - | |
| income | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Gain / (loss) per share for the | 1 (j) | - | - | |
| year | | | | |
+-----------------------------------+-------+------------+------------+--------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
In arriving at the results for the financial year, 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 2008
+-----------------------------------+-------+------------+------------+--------------+
| | Notes | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | | S | |
+-----------------------------------+-------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+------------+------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Financial assets at fair value | 3 | 17,325,957 | 49,982,930 | 14,343,048 |
| through profit or loss | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| Prepaid debt issue costs | | 117,781 | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | 117,781 | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 17,443,738 | 49,982,930 | 14,343,048 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Shares in issue | 4 | 13,500,255 | 40,501,195 | 7,701,999 |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+------------+------------+--------------+
| NAV per share for investment | | 128.33 | 123.41 | 186.22 |
| purposes | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include expenses on | | 0.87 | - | - |
| an accruals basis | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| NAV per share per the financial | | 129.20 | 123.41 | 186.22 |
| statements | | | | |
+-----------------------------------+-------+------------+------------+--------------+
+-----------------------------------+-------+-------------+------------+--------------+
| | Notes | Cell UK HI | Cell EBM | Cell ES |
| | | | (2) | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+-------------+------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Financial assets at fair value | 3 | 119,166,385 | 38,544,156 | 19,766,750 |
| through profit or loss | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+-------+-------------+------------+--------------+
| Prepaid debt issue costs | | - | - | - |
+-----------------------------------+-------+-------------+------------+--------------+
| | | - | - | - |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 119,166,385 | 38,544,156 | 19,766,750 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Shares in issue | 4 | 141,613,549 | 32,506,140 | 25,000,000 |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+-------------+------------+--------------+
| NAV per share for investment | | 84.14 | 118.57 | 79.06 |
| purposes | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
| NAV per share per the financial | | 84.14 | 118.57 | 79.06 |
| statements | | | | |
+-----------------------------------+-------+-------------+------------+--------------+
+-----------------------------------+-------+------------+------------+
| | Notes | Cell Abs | Cell US HI |
| | | Pro | A |
+-----------------------------------+-------+------------+------------+
| | | GBP | GBP |
+-----------------------------------+-------+------------+------------+
| NON CURRENT ASSETS | | | |
+-----------------------------------+-------+------------+------------+
| Financial assets at fair value | 3 | 87,907,449 | 87,393,385 |
| through profit or loss | | | |
+-----------------------------------+-------+------------+------------+
| | | | |
+-----------------------------------+-------+------------+------------+
| CURRENT ASSETS | | | |
+-----------------------------------+-------+------------+------------+
| Cash at bank | | - | - |
+-----------------------------------+-------+------------+------------+
| Prepaid debt issue costs | | - | - |
+-----------------------------------+-------+------------+------------+
| | | - | - |
+-----------------------------------+-------+------------+------------+
| | | | |
+-----------------------------------+-------+------------+------------+
| NET ASSETS ATTRIBUTABLE TO | | 87,907,449 | 87,393,385 |
| HOLDERS OF PREFERENCE SHARES | | | |
+-----------------------------------+-------+------------+------------+
| | | | |
+-----------------------------------+-------+------------+------------+
| | | | |
+-----------------------------------+-------+------------+------------+
| Shares in issue | 4 | 76,748,923 | 92,469,987 |
+-----------------------------------+-------+------------+------------+
| | | | |
+-----------------------------------+-------+------------+------------+
| | | | |
+-----------------------------------+-------+------------+------------+
| | | Pence | Pence |
+-----------------------------------+-------+------------+------------+
| NAV per share for investment | | 114.53 | 94.51 |
| purposes | | | |
+-----------------------------------+-------+------------+------------+
| Adjustment to include expenses on | | - | - |
| an accruals basis | | | |
+-----------------------------------+-------+------------+------------+
| NAV per share per the financial | | 114.53 | 94.51 |
| statements | | | |
+-----------------------------------+-------+------------+------------+
+-----------------------------------+-------+------------+------------+--------------+
| | Notes | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+------------+------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Financial assets at fair value | 3 | 33,861,142 | 44,487,266 | 29,224,557 |
| through profit or loss | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| Prepaid debt issue costs | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 33,861,142 | 44,487,266 | 29,224,557 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Shares in issue | 4 | 58,337,229 | 47,225,896 | 45,375,520 |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+------------+------------+--------------+
| NAV per share for investment | | 58.04 | 94.20 | 64.40 |
| purposes | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| NAV per share per the financial | | 58.04 | 94.20 | 64.40 |
| statements | | | | |
+-----------------------------------+-------+------------+------------+--------------+
+-----------------------------------+-------+------------+------------+--------------+
| | Notes | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | Elite | |
+-----------------------------------+-------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+-------+------------+------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Financial assets at fair value | 3 | 5,045,124 | 17,152,406 | 17,470,904 |
| through profit or loss | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| Prepaid debt issue costs | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | - | - | - |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 5,045,124 | 17,152,406 | 17,470,994 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Shares in issue | 4 | 10,261,000 | 21,229,013 | 30,125,000 |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+-------+------------+------------+--------------+
| NAV per share for investment | | 49.16 | 80.79 | 57.99 |
| purposes | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+-------+------------+------------+--------------+
| NAV per share per the financial | | 49.16 | 80.79 | 57.99 |
| statements | | | | |
+-----------------------------------+-------+------------+------------+--------------+
+-----------------------------------+--------+------------+------------+--------------+
| | Notes | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | Agribus* | |
+-----------------------------------+--------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+------------+------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Financial assets at fair value | 3 | 43,429,316 | 2,046,584 | 627,147,449 |
| through profit or loss | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+--------+------------+------------+--------------+
| Prepaid debt issue costs | | - | - | 117,781 |
+-----------------------------------+--------+------------+------------+--------------+
| | | - | - | 117,781 |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 43,429,316 | 2,046,584 | 627,265,230 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Shares in issue | 4 | 49,587,600 | 72,500 | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | Pence | Pence | |
+-----------------------------------+--------+------------+------------+--------------+
| NAV per share for investment | | 87.58 | 2,822.87 | |
| purposes | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Adjustment to include expenses on | | - | - | |
| an accruals basis | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| NAV per share per the financial | | 87.58 | 2,822.87 | |
| statements | | | | |
+-----------------------------------+--------+------------+------------+--------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
NET ASSET STATEMENT
as at 31 October 2007
+-----------------------------------+--------+------------+------------+--------------+
| | Notes | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | | S | |
+-----------------------------------+--------+------------+------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+------------+------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Financial assets at fair value | 3 | 19,368,256 | 58,243,148 | 24,534,256 |
| through profit or loss | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+--------+------------+------------+--------------+
| Prepaid debt issue costs | | 167,502 | - | - |
+-----------------------------------+--------+------------+------------+--------------+
| | | 167,502 | - | - |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 19,555,758 | 58,243,148 | 24,534,256 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Shares in issue | 4 | 13,500,255 | 40,501,195 | 7,701,999 |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+--------+------------+------------+--------------+
| NAV per share for investment | | 143.61 | 143.81 | 318.54 |
| purposes | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| Adjustment to include expenses on | | 1.24 | - | - |
| an accruals basis | | | | |
+-----------------------------------+--------+------------+------------+--------------+
| NAV per share per the financial | | 144.85 | 143.81 | 318.54 |
| statements | | | | |
+-----------------------------------+--------+------------+------------+--------------+
+-----------------------------------+--------+-------------+-------------+-------------+
| | Notes | Cell UK HI | Cell EBM | Cell ES |
| | | | (2) | |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+-------------+-------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| Financial assets at fair value | 3 | 155,660,197 | 47,146,256 | 27,299,250 |
| through profit or loss | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| Cash at bank | | - | - | - |
+-----------------------------------+--------+-------------+-------------+-------------+
| Prepaid debt issue costs | | - | - | - |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | - | - | - |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| NET ASSETS ATTRIBUTABLE TO | | 155,660,197 | 47,146,255 | 27,299,250 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| Shares in issue | 4 | 141,613,549 | 32,506,140 | 25,000,000 |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| | | Pence | Pence | Pence |
+-----------------------------------+--------+-------------+-------------+-------------+
| NAV per share for investment | | 109.92 | 145.04 | 109.20 |
| purposes | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
| NAV per share per the financial | | 109.92 | 145.04 | 109.20 |
| statements | | | | |
+-----------------------------------+--------+-------------+-------------+-------------+
+-----------------------------------+--------+------------+-------------+
| | Notes | Cell Abs | Cell US HI |
| | | Pro | A |
+-----------------------------------+--------+------------+-------------+
| | | GBP | GBP |
+-----------------------------------+--------+------------+-------------+
| NON CURRENT ASSETS | | | |
+-----------------------------------+--------+------------+-------------+
| Financial assets at fair value | 3 | 87,388,626 | 97,833,246 |
| through profit or loss | | | |
+-----------------------------------+--------+------------+-------------+
| | | | |
+-----------------------------------+--------+------------+-------------+
| CURRENT ASSETS | | | |
+-----------------------------------+--------+------------+-------------+
| Cash at bank | | - | - |
+-----------------------------------+--------+------------+-------------+
| Prepaid debt issue costs | | - | - |
+-----------------------------------+--------+------------+-------------+
| | | - | - |
+-----------------------------------+--------+------------+-------------+
| | | | |
+-----------------------------------+--------+------------+-------------+
| NET ASSETS ATTRIBUTABLE TO | | 87,388,626 | 97,833,246 |
| HOLDERS OF PREFERENCE SHARES | | | |
+-----------------------------------+--------+------------+-------------+
| | | | |
+-----------------------------------+--------+------------+-------------+
| | | | |
+-----------------------------------+--------+------------+-------------+
| Shares in issue | 4 | 76,748,923 | 92,469,987 |
+-----------------------------------+--------+------------+-------------+
| | | | |
+-----------------------------------+--------+------------+-------------+
| | | | |
+-----------------------------------+--------+------------+-------------+
| | | Pence | Pence |
+-----------------------------------+--------+------------+-------------+
| NAV per share for investment | | 113.86 | 105.80 |
| purposes | | | |
+-----------------------------------+--------+------------+-------------+
| Adjustment to include expenses on | | - | - |
| an accruals basis | | | |
+-----------------------------------+--------+------------+-------------+
| NAV per share per the financial | | 113.86 | 105.80 |
| statements | | | |
+-----------------------------------+--------+------------+-------------+
+-----------------------------------+--------+------------+-------------+--------------+
| | Notes | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+------------+-------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Financial assets at fair value | 3 | 30,338,276 | 40,082,611 | 44,619,564 |
| through profit or loss | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| Prepaid debt issue costs | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 30,338,276 | 40,082,611 | 44,619,564 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Shares in issue | 4 | 58,337,229 | 37,225,896 | 45,375,520 |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+--------+------------+-------------+--------------+
| NAV per share for investment | | 52.01 | 107.67 | 98.33 |
| purposes | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| NAV per share per the financial | | 52.01 | 107.67 | 98.33 |
| statements | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
+-----------------------------------+--------+------------+-------------+--------------+
| | Notes | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | Elite | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+------------+-------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Financial assets at fair value | 3 | 6,991,490 | 21,229,013 | - |
| through profit or loss | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| Prepaid debt issue costs | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | 6,991,490 | 21,229,013 | - |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Shares in issue | 4 | 10,261,000 | 21,229,013 | - |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | Pence | Pence | Pence |
+-----------------------------------+--------+------------+-------------+--------------+
| NAV per share for investment | | 68.14 | 100.00 | - |
| purposes | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| NAV per share per the financial | | 68.14 | 100.00 | - |
| statements | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
+-----------------------------------+--------+------------+-------------+--------------+
| | Notes | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | Agribus* | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+------------+-------------+--------------+
| NON CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Financial assets at fair value | 3 | - | - | 660,754,188 |
| through profit or loss | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| CURRENT ASSETS | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Cash at bank | | - | - | - |
+-----------------------------------+--------+------------+-------------+--------------+
| Prepaid debt issue costs | | - | - | 167,502 |
+-----------------------------------+--------+------------+-------------+--------------+
| | | - | - | 167,502 |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| NET ASSETS ATTRIBUTABLE TO | | - | - | 660,921,690 |
| HOLDERS OF PREFERENCE SHARES | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Shares in issue | 4 | - | - | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| | | Pence | Pence | |
+-----------------------------------+--------+------------+-------------+--------------+
| NAV per share for investment | | - | - | |
| purposes | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| Adjustment to include expenses on | | - | - | - |
| an accruals basis | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
| NAV per share per the financial | | - | - | - |
| statements | | | | |
+-----------------------------------+--------+------------+-------------+--------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE
SHARES
for the year ended 31 October 2008
+-----------------------------------+--------+-------------+--------------+--------------+
| | Notes | Cell EGAA | Cell FTSE S | Cell EBMSG |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Opening balance | | 19,555,758 | 58,243,148 | 24,534,256 |
+-----------------------------------+--------+-------------+--------------+--------------+
| Proceeds from issue of Preference | | - | - | - |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net (loss) / gain for the year | | (2,112,020) | (8,260,218) | (10,191,208) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Exchange gains / (losses) on | | - | - | - |
| currency balances | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Balance as at 31 October 2008 | | 17,443,738 | 49,982,930 | 14,343,048 |
+-----------------------------------+--------+-------------+--------------+--------------+
+-----------------------------------+--------+--------------+--------------+-------------+
| | Notes | Cell UK HI | Cell EBM (2) | Cell ES |
+-----------------------------------+--------+--------------+--------------+-------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+--------------+-------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+-------------+
| Opening balance | | 155,660,197 | 47,146,255 | 27,299,250 |
+-----------------------------------+--------+--------------+--------------+-------------+
| Proceeds from issue of Preference | | - | - | - |
| Shares | | | | |
+-----------------------------------+--------+--------------+--------------+-------------+
| Net (loss) / gain for the year | | (36,493,812) | (8,602,099) | (7,532,500) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+-------------+
| Exchange gains / (losses) on | | - | - | - |
| currency balances | | | | |
+-----------------------------------+--------+--------------+--------------+-------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+-------------+
| Balance as at 31 October 2008 | | 119,166,385 | 38,544,156 | 19,766,750 |
+-----------------------------------+--------+--------------+--------------+-------------+
+-----------------------------------+--------+------------+--------------+
| | Notes | Cell Abs | Cell US HI A |
| | | Pro | |
+-----------------------------------+--------+------------+--------------+
| | | GBP | GBP |
+-----------------------------------+--------+------------+--------------+
| | | | |
+-----------------------------------+--------+------------+--------------+
| Opening balance | | 87,388,626 | 97,833,246 |
+-----------------------------------+--------+------------+--------------+
| Proceeds from issue of Preference | | - | - |
| Shares | | | |
+-----------------------------------+--------+------------+--------------+
| Net (loss) / gain for the year | | 518,823 | (10,439,861) |
| attributable to holders of | | | |
| Preference Shares | | | |
+-----------------------------------+--------+------------+--------------+
| Exchange gains / (losses) on | | - | - |
| currency balances | | | |
+-----------------------------------+--------+------------+--------------+
| | | | |
+-----------------------------------+--------+------------+--------------+
| Balance as at 31 October 2008 | | 87,907,449 | 87,393,385 |
+-----------------------------------+--------+------------+--------------+
+-----------------------------------+--------+-------------+--------------+--------------+
| | Notes | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Opening balance | | 30,338,276 | 40,082,611 | 44,619,564 |
+-----------------------------------+--------+-------------+--------------+--------------+
| Proceeds from issue of Preference | | - | 12,291,000 | - |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net (loss) / gain for the year | | (4,424,912) | (7,886,345) | (15,395,007) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Exchange gains / (losses) on | | 7,947,778 | - | - |
| currency balances | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Balance as at 31 October 2008 | | 33,861,142 | 44,487,266 | 29,224,557 |
+-----------------------------------+--------+-------------+--------------+--------------+
+-----------------------------------+--------+-------------+--------------+--------------+
| | Notes | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | Elite | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Opening balance | | 6,991,490 | 21,229,013 | - |
+-----------------------------------+--------+-------------+--------------+--------------+
| Proceeds from issue of Preference | | - | - | 30,125,000 |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net (loss) / gain for the year | | (2,848,235) | (4,076,607) | (12,654,006) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Exchange gains / (losses) on | | 901,869 | - | - |
| currency balances | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Balance as at 31 October 2008 | | 5,045,124 | 17,152,406 | 17,470,994 |
+-----------------------------------+--------+-------------+--------------+--------------+
+-----------------------------------+--------+-------------+--------------+---------------+
| | Notes | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+--------+-------------+--------------+---------------+
| | | | Agribus* | |
+-----------------------------------+--------+-------------+--------------+---------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+---------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+---------------+
| Opening balance | | - | - | 660,921,690 |
+-----------------------------------+--------+-------------+--------------+---------------+
| Proceeds from issue of Preference | | 49,292,100 | 2,502,344 | 94,210,444 |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+---------------+
| Net (loss) / gain for the year | | (5,862,784) | (196,435) | (136,457,226) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+---------------+
| Exchange gains / (losses) on | | - | (259,325) | 8,590,322 |
| currency balances | | | | |
+-----------------------------------+--------+-------------+--------------+---------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+---------------+
| Balance as at 31 October 2008 | | 43,429,316 | 2,046,584 | 627,265,230 |
+-----------------------------------+--------+-------------+--------------+---------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE
SHARES
for the year ended 31 October 2007
+-----------------------------------+--------+------------+--------------+--------------+
| | Notes | Cell EGAA | Cell FTSE S | Cell EBMSG |
+-----------------------------------+--------+------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+--------------+--------------+
| Opening balance | | 17,427,211 | 24,917,153 | 15,368,569 |
+-----------------------------------+--------+------------+--------------+--------------+
| Proceeds from issue of Preference | | - | 25,130,000 | - |
| Shares | | | | |
+-----------------------------------+--------+------------+--------------+--------------+
| Net gain / (loss) for the year | | 2,128,547 | 8,195,995 | 9,165,687 |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+------------+--------------+--------------+
| Exchange (losses) / gains on | | - | - | - |
| currency balances | | | | |
+-----------------------------------+--------+------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+------------+--------------+--------------+
| Balance as at 31 October 2007 | | 19,555,758 | 58,243,148 | 24,534,256 |
+-----------------------------------+--------+------------+--------------+--------------+
+-----------------------------------+--------+-------------+--------------+--------------+
| | Notes | Cell UK HI | Cell EBM (2) | Cell ES |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Opening balance | | 132,273,175 | 34,274,474 | 26,065,000 |
+-----------------------------------+--------+-------------+--------------+--------------+
| Proceeds from issue of Preference | | 16,065,000 | - | - |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net gain / (loss) for the year | | 7,322,022 | 12,871,781 | 1,234,250 |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Exchange (losses) / gains on | | - | - | - |
| currency balances | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Balance as at 31 October 2007 | | 155,660,197 | 47,146,255 | 27,299,250 |
+-----------------------------------+--------+-------------+--------------+--------------+
+-----------------------------------+--------+------------+--------------+
| | Notes | Cell Abs | Cell US HI A |
| | | Pro | |
+-----------------------------------+--------+------------+--------------+
| | | GBP | GBP |
+-----------------------------------+--------+------------+--------------+
| | | | |
+-----------------------------------+--------+------------+--------------+
| Opening balance | | 63,311,171 | 76,524,853 |
+-----------------------------------+--------+------------+--------------+
| Proceeds from issue of Preference | | 15,522,600 | 15,472,500 |
| Shares | | | |
+-----------------------------------+--------+------------+--------------+
| Net gain / (loss) for the year | | 8,554,855 | 5,835,893 |
| attributable to holders of | | | |
| Preference Shares | | | |
+-----------------------------------+--------+------------+--------------+
| Exchange (losses) / gains on | | - | - |
| currency balances | | | |
+-----------------------------------+--------+------------+--------------+
| | | | |
+-----------------------------------+--------+------------+--------------+
| Balance as at 31 October 2007 | | 87,388,626 | 97,833,246 |
+-----------------------------------+--------+------------+--------------+
+-----------------------------------+--------+-------------+--------------+--------------+
| | Notes | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Opening balance | | 22,441,114 | - | -- |
+-----------------------------------+--------+-------------+--------------+--------------+
| Proceeds from issue of Preference | | 7,789,024 | 37,225,896 | 45,375,520 |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net gain / (loss) for the year | | 2,423,261 | 2,856,715 | (755,956) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Exchange (losses) / gains on | | (2,315,123) | - | - |
| currency balances | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Balance as at 31 October 2007 | | 30,338,276 | 40,082,611 | 44,619,564 |
+-----------------------------------+--------+-------------+--------------+--------------+
+-----------------------------------+--------+-------------+-------------+--------------+
| | Notes | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | Elite | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Opening balance | | - | - | - |
+-----------------------------------+--------+-------------+-------------+--------------+
| Proceeds from issue of Preference | | 6,895,958 | 21,229,013 | - |
| Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net gain / (loss) for the year | | (153,547) | - | - |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Exchange (losses) / gains on | | 249,079 | - | - |
| currency balances | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Balance as at 31 October 2007 | | 6,991,490 | 21,229,013 | - |
+-----------------------------------+--------+-------------+-------------+--------------+
+-----------------------------------+--------+-------------+-------------+--------------+
| | Notes | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | Agribus* | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Opening balance | | - | - | 412,602,720 |
+-----------------------------------+--------+-------------+-------------+--------------+
| Proceeds from issue of Preference | | - | - | 190,705,511 |
| Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net gain / (loss) for the year | | - | - | 59,679,503 |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Exchange (losses) / gains on | | - | - | (2,066,044) |
| currency balances | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Balance as at 31 October 2007 | | - | - | 660,921,690 |
+-----------------------------------+--------+-------------+-------------+--------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
STATEMENT OF CASH FLOWS
for the year ended 31 October 2008
+-----------------------------------+--------+-------------+-------------+--------------+
| | Notes | Cell EGAA | Cell FTSE S | Cell EBMSG |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net (loss) / gain for the year | | (2,112,020) | (8,260,218) | (10,191,208) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Add: Distributions to holders of | | - | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Less: Movement in realised and | | 2,062,299 | 8,260,218 | 10,191,208 |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Movement in debtors and creditors | | 49,721 | - | - |
| during the year | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net cash inflow from operating | | - | - | - |
| activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Purchase of financial assets | | - | - | - |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net cash outflow from investing | | - | - | - |
| activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Proceeds from issue of Preference | | - | - | - |
| Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Distributions to holders of | | - | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net cash inflow / (outflow) from | | - | - | - |
| financing 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 | Cell UK HI | Cell EBM | Cell ES |
| | | | (2) | |
+-----------------------------------+--------+--------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Net (loss) / gain for the year | | (36,493,812) | (8,602,099) | (7,532,500) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Add: Distributions to holders of | | 10,621,016 | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Less: Movement in realised and | | 36,493,812 | 8,602,099 | 7,532,500 |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Movement in debtors and creditors | | - | - | - |
| during the year | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Net cash inflow from operating | | 10,621,016 | - | - |
| activities | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Purchase of financial assets | | - | - | - |
+-----------------------------------+--------+--------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Net cash outflow from investing | | - | - | - |
| activities | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Proceeds from issue of Preference | | - | - | - |
| Shares | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Distributions to holders of | | (10,621,016) | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+-------------+--------------+
| Net cash inflow / (outflow) from | | (10,621,016) | - | - |
| financing 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 | Cell Abs | Cell US HI |
| | | Pro | A |
+-----------------------------------+--------+-------------+--------------+
| | | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+
| | | | |
+-----------------------------------+--------+-------------+--------------+
| Net (loss) / gain for the year | | 518,823 | (10,439,861) |
| attributable to holders of | | | |
| Preference Shares | | | |
+-----------------------------------+--------+-------------+--------------+
| Add: Distributions to holders of | | - | 6,935,249 |
| Preference Shares | | | |
+-----------------------------------+--------+-------------+--------------+
| Less: Movement in realised and | | (518,823) | 10,439,861 |
| unrealised gain / (loss) on | | | |
| investments | | | |
+-----------------------------------+--------+-------------+--------------+
| Movement in debtors and creditors | | - | 6,935,249 |
| during the year | | | |
+-----------------------------------+--------+-------------+--------------+
| | | | |
+-----------------------------------+--------+-------------+--------------+
| Net cash inflow from operating | | - | 6,935,249 |
| activities | | | |
+-----------------------------------+--------+-------------+--------------+
| | | | |
+-----------------------------------+--------+-------------+--------------+
| Investing activities | | | |
+-----------------------------------+--------+-------------+--------------+
| Purchase of financial assets | | - | - |
+-----------------------------------+--------+-------------+--------------+
| | | | |
+-----------------------------------+--------+-------------+--------------+
| Net cash outflow from investing | | - | - |
| activities | | | |
+-----------------------------------+--------+-------------+--------------+
| | | | |
+-----------------------------------+--------+-------------+--------------+
| Financing activities | | | |
+-----------------------------------+--------+-------------+--------------+
| Proceeds from issue of Preference | | - | - |
| Shares | | | |
+-----------------------------------+--------+-------------+--------------+
| Distributions to holders of | | - | (6,935,249) |
| Preference Shares | | | |
+-----------------------------------+--------+-------------+--------------+
| Net cash inflow / (outflow) from | | - | (6,935,249) |
| financing 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 | Cell US HI | Cell | Cell Euro HI |
| | | B | Agrinvest | A |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net (loss) / gain for the year | | (4,424,912) | (7,885,345) | (15,395,007) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Add: Distributions to holders of | | 2,232,391 | - | 3,403,164 |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Less: Movement in realised and | | 4,424,912 | 7,886,345 | 15,395,007 |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Movement in debtors and creditors | | - | - | - |
| during the year | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net cash inflow from operating | | 2,232,391 | - | 3,403,164 |
| activities | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Purchase of financial assets | | - | (12,291,000) | - |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net cash outflow from investing | | - | (12,291,000) | - |
| activities | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Proceeds from issue of Preference | | - | 12,291,000 | - |
| Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Distributions to holders of | | (2,232,391) | - | (3,403,164) |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+--------------+--------------+
| Net cash (outflow) / inflow from | | (2,232,391) | 12,291,000 | (3,403,164) |
| financing 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 | Cell Euro | Cell Hedge | Cell EPR* |
| | | HI B | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | Elite | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net (loss) / gain for the year | | (2,848,235) | (4,076,607) | (12,654,006) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Add: Distributions to holders of | | 601,702 | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Less: Movement in realised and | | 2,848,235 | 4,076,607 | 12,654,006 |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Movement in debtors and creditors | | - | - | - |
| during the year | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net cash inflow from operating | | 601,702 | - | - |
| activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Purchase of financial assets | | - | - | (30,125,000) |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net cash outflow from investing | | - | - | (30,125,000) |
| activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Proceeds from issue of Preference | | - | - | 30,125,000 |
| Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Distributions to holders of | | (601,702) | - | 30,125,000 |
| Preference Shares | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Net cash (outflow) / inflow from | | (601,702) | - | 30.125,000 |
| financing activities | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| Increase / (decrease) in cash and | | - | - | - |
| cash equivalents | | | | |
+-----------------------------------+--------+-------------+-------------+--------------+
| 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 | Cell | Cell | TOTAL |
| | | EBM(3)* | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | Agribus* | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Net (loss) / gain for the year | | (5,862,784) | (196,435) | (136,457,226) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Add: Distributions to holders of | | - | - | 23,793,522 |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Less: Movement in realised and | | 5,862,784 | 196,435 | 136,407,505 |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Movement in debtors and creditors | | - | - | 49,721 |
| during the year | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Net cash inflow from operating | | - | - | 23,793,522 |
| activities | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Purchase of financial assets | | (49,292,100) | (2,502,344) | (94,210,444) |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Net cash outflow from investing | | (49,292,100) | (2,502,344) | (94,210,444) |
| activities | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Proceeds from issue of Preference | | 49,292,100 | 2,502,344 | 94,210,444 |
| Shares | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Distributions to holders of | | - | - | (23,793,522) |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Net cash (outflow) / inflow from | | 49,292,100 | 2,502,344 | 70,416,922 |
| financing activities | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Increase / (decrease) in cash and | | - | - | - |
| cash equivalents | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Cash and cash equivalents | | - | - | - |
| beginning of year | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Increase / (decrease) in cash and | | - | - | - |
| cash equivalents | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
| Cash and cash equivalents at end | | - | - | - |
| of year | | | | |
+-----------------------------------+--------+--------------+-------------+---------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
STATEMENT OF CASH FLOWS
for the year ended 31 October 2007
+-----------------------------------+--------+--------------+--------------+--------------+
| | Notes | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | | S | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net gain / (loss) for the year | | 2,128,547 | 8,195,995 | 9,165,687 |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Add: Distributions to holders of | | - | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Less: Movement in realised and | | (2,178,131) | (8,195,995) | (9,165,687) |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Movement in debtors and creditors | | 49,584 | - | - |
| during the year | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from operating | | - | - | - |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Purchase of financial assets | | - | (25,130,000) | - |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash outflow from investing | | - | (25,130,000) | - |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Proceeds from issue of Preference | | - | 25,130,000 | - |
| Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Distributions to holders of | | - | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from financing | | - | 25,130,000 | - |
| 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 | Cell UK HI | Cell EBM | Cell ES |
| | | | (2) | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net gain / (loss) for the year | | 7,322,022 | 12,871,781 | 1,234,250 |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Add: Distributions to holders of | | 9,777,266 | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Less: Movement in realised and | | (7,322,022) | (12,871,781) | (1,234,250) |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Movement in debtors and creditors | | - | - | - |
| during the year | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from operating | | 9,777,266 | - | - |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Purchase of financial assets | | (16,065,000) | - | - |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash outflow from investing | | (16,065,000) | - | - |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Proceeds from issue of Preference | | 16,065,000 | - | - |
| Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Distributions to holders of | | (9,777,266) | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from financing | | 6,287,734 | - | - |
| 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 | Cell Abs Pro | Cell US HI |
| | | | A |
+-----------------------------------+--------+--------------+--------------+
| | | GBP | GBP |
+-----------------------------------+--------+--------------+--------------+
| | | | |
+-----------------------------------+--------+--------------+--------------+
| Net gain / (loss) for the year | | 8,554,855) | 5,835,893 |
| attributable to holders of | | | |
| Preference Shares | | | |
+-----------------------------------+--------+--------------+--------------+
| Add: Distributions to holders of | | - | 4,357,687 |
| Preference Shares | | | |
+-----------------------------------+--------+--------------+--------------+
| Less: Movement in realised and | | (8,554,855) | (5,835,893) |
| unrealised gain / (loss) on | | | |
| investments | | | |
+-----------------------------------+--------+--------------+--------------+
| Movement in debtors and creditors | | - | - |
| during the year | | | |
+-----------------------------------+--------+--------------+--------------+
| | | | |
+-----------------------------------+--------+--------------+--------------+
| Net cash inflow from operating | | - | 4,357,687 |
| activities | | | |
+-----------------------------------+--------+--------------+--------------+
| | | | |
+-----------------------------------+--------+--------------+--------------+
| Investing activities | | | |
+-----------------------------------+--------+--------------+--------------+
| Purchase of financial assets | | (15,522,600) | (15,472,500) |
+-----------------------------------+--------+--------------+--------------+
| | | | |
+-----------------------------------+--------+--------------+--------------+
| Net cash outflow from investing | | (15,522,600) | (15,472,500) |
| activities | | | |
+-----------------------------------+--------+--------------+--------------+
| | | | |
+-----------------------------------+--------+--------------+--------------+
| Financing activities | | | |
+-----------------------------------+--------+--------------+--------------+
| Proceeds from issue of Preference | | 15,522,600 | 15,472,500 |
| Shares | | | |
+-----------------------------------+--------+--------------+--------------+
| Distributions to holders of | | - | (4,357,687) |
| Preference Shares | | | |
+-----------------------------------+--------+--------------+--------------+
| | | | |
+-----------------------------------+--------+--------------+--------------+
| Net cash inflow from financing | | 15,522,600 | 11,114,813 |
| 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 | Cell US HI B | Cell | Cell Euro HI |
| | | | Agrinvest | A |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net gain / (loss) for the year | | 2,423,261 | 2,856,715 | (755,956) |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Add: Distributions to holders of | | 1,229,627 | - | 850,791 |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Less: Movement in realised and | | (2,423,261) | (2,856,715) | 755,956 |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Movement in debtors and creditors | | - | - | - |
| during the year | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from operating | | 1,229,627 | - | 850,791 |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Purchase of financial assets | | (7,789,024) | (37,225,896) | (45,375,520) |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash outflow from investing | | (7,789,024) | (37,225,896) | (45,375,520) |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Proceeds from issue of Preference | | 7,789,024 | 37,225,896 | 45,375,520 |
| Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Distributions to holders of | | (1,229,627) | - | (850,791) |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from financing | | 6,559,397 | 37,225,896 | 44,524,729 |
| 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 | Cell Euro HI | Cell Hedge | Cell EPR* |
| | | B | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | Elite | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net gain / (loss) for the year | | (153,547) | - | - |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Add: Distributions to holders of | | 134,010 | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Less: Movement in realised and | | 153,547 | - | - |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Movement in debtors and creditors | | - | - | - |
| during the year | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from operating | | 134,010 | - | - |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Purchase of financial assets | | (6,895,958) | (21,229,013) | - |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash outflow from investing | | (6,895,958) | (21,229,013) | - |
| activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Proceeds from issue of Preference | | 6,895,958 | 21,229,013 | - |
| Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Distributions to holders of | | (134,010) | - | - |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| | | | | |
+-----------------------------------+--------+--------------+--------------+--------------+
| Net cash inflow from financing | | 6,761,948 | 21,229,013 | - |
| 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 | Cell EBM(3)* | Cell | TOTAL |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | Agribus* | |
+-----------------------------------+--------+--------------+------------+---------------+
| | | GBP | GBP | GBP |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Net gain / (loss) for the year | | - | - | 56,679,503 |
| attributable to holders of | | | | |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Add: Distributions to holders of | | - | - | 16,349,381 |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Less: Movement in realised and | | - | - | (59,729,087) |
| unrealised gain / (loss) on | | | | |
| investments | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Movement in debtors and creditors | | - | - | 49,584 |
| during the year | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Net cash inflow from operating | | - | - | 16,349,381 |
| activities | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Investing activities | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Purchase of financial assets | | - | - | (190,705,511) |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Net cash outflow from investing | | - | - | (190,705,511) |
| activities | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Financing activities | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Proceeds from issue of Preference | | - | - | 190,705,511 |
| Shares | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Distributions to holders of | | - | - | (16,349,381) |
| Preference Shares | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
| Net cash inflow from financing | | - | - | 174,356,130 |
| 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 | | | | |
+-----------------------------------+--------+--------------+------------+---------------+
*These cells launched during the year ended 31 October 2008, the date of launch
being shown in the Investment Manager's Report.
NOTES TO THE FINANCIAL STATEMENTS
for the year ended 31 October 2008
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 years 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
interpretations 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 or judgement or
complexity, or areas where assumptions and estimates are significant to the
financial statements are disclosed in Note 2.
IFRS7 "Financial Instruments Disclosures" and the amendments to IAS1
"Presentation of Financial Statements" which enhance certain disclosure
requirements around financial instrument risks and capital management have been
adopted in the current period for the first time.
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 1 (amendment), 'First time adoption of IFRS' and IAS 27 (amendment),
'Consolidated and separate financial statements' (effective from 1 January
2009);
IFRS 2 (amendment), 'Share-based payment' (effective from 1 January 2009);
IFRS 3 (revised), 'Business combinations' (effective from 1 July 2009);
IFRS 8, 'Operating segments' (effective from 1 January 2009);
IAS 1 (revised), 'Presentation of financial statements' (effective from 1
January 2009);
IAS 23 (amendment), 'Borrowing costs' (effective from 1 January 2009);
IAS 27 (revised), 'Consolidated and separate financial statements' (effective
from 1 July 2009);
IAS 39 (amendment), 'Financial instruments: recognition and measurement'
(effective from 1 January 2009);
IFRIC 11, 'IFRS 2 - Group and treasury share transactions' (effective from 1
January 2008);
IFRIC 12, 'Service concession arrangements' (effective from 1 January 2008);
IFRIC 13, 'Customer loyalty programmes' (effective from 1 July 2008);
IFRIC 14, 'IAS 19 - The limit on a defined benefit asset, minimum funding
requirements and their interaction' (effective from 1 January 2008);
IFRIC 15, 'Agreements for construction of real estates' (effective from 1
January 2009) and
IFRIC 16, 'Hedges of a net investment in a foreign
operation' (effective from 1 October 2008).
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 presentation 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
majority of its Cells are 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
the BNP Paribas Agribusiness which is listed on the Budapest Stock Exchange.
(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 year-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 under the Income Tax (Exempt Bodies)
(Guernsey) Ordinance, 1989 from Guernsey Income Tax, 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. 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 (the "Cell") the Initial Cell Expenses incurred (as
defined in the Cell's Supplemental Memorandum) amounted to GBP297,509 and these
were previously written off in full against share premium in the Enhanced Global
Asset Allocation Cell. 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 balance sheet date cash or cash equivalents may comprise cash at bank.
(h) Income recognition
Dividend income is recognised in the Statement of Operations when the 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) Gain / (Loss) per share
The gain / (loss) per share is based on the net gain / (loss) for the year as
shown in the table below.
+----------------+--+----------------+--+----------------+---+----------------+
| | | Weighted | | | | |
| | | average | | | | |
+----------------+--+----------------+--+----------------+---+----------------+
| | | number of | | | | Net Gain / |
| | | Shares | | | | (Loss) |
+----------------+--+----------------+--+----------------+---+----------------+
| | | in Issue | | Net Gain / | | per share for |
| | | during | | (Loss) | | the |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell | | the year | | for the year | | year (pence) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EGAA | | 13,500,255 | | (2,112,020) | | (15.64) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell FTSE S | | 40,501,195 | | (8,260,218) | | (20.39) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EBMSG | | 7,701,999 | | (10,191,208) | | (132.32) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell UK HI | | 141,613,549 | | (36,493,812) | | (25.77) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EBM(2) | | 32,506,140 | | (8,602,099) | | (26.46) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell ES | | 25,000,000 | | (7,532,500) | | (30.13) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Abs Pro | | 76,748,923 | | 518,823 | | 0.68 |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell US HI A | | 92,469,987 | | (10,439,861) | | (11.29) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell US HI B | | 58,337,229 | | (4,424,912) | | (7.59) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Agrinvest | | 44,302,399 | | (7,886,345) | | (17.80) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Euro HI A | | 45,375,520 | | (15,395,007) | | (33.93) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Euro HI B | | 10,261,000 | | (2,848,235) | | (27.76) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Hedge | | 21,229,013 | | (4,076,607) | | (19.20) |
| Elite | | | | | | |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EPR | | 19,095,628 | | (12,654,006) | | (66.27) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell EBM(3) | | 16,252,875 | | (5,862,784) | | (36.07) |
+----------------+--+----------------+--+----------------+---+----------------+
| Cell Agribus | | 22,384 | | (196,435) | | (877.57) |
+----------------+--+----------------+--+----------------+---+----------------+
(k) Trade date accounting
All "regular way" purchases 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 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 instrument
The Company holds
derivatives which are tailored to meet the Company's needs. 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 Investment Counterparty. As at the balance sheet
date, an independent check of the valuations of the investments is performed by
Future Value Consultants (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 independent
consultant, Future Value Consultants.
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 FINANCIAL ASSETS
+-------------------------------------------+-------------+-------------+--------------+
| | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | S | |
+-------------------------------------------+-------------+-------------+--------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+--------------+
| Opening portfolio cost as at 1 November | 14,359,246 | 47,058,395 | 7,747,779 |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening unrealised gain / (loss) on | 5,196,512 | 11,184,753 | 16,786,477 |
| valuation as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening exchange (losses) / gains on | - | - | - |
| currency balances as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening valuation as at 1 November 2007 | 19,555,758 | 58,243,148 | 24,534,256 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Purchases at cost | - | - | - |
+-------------------------------------------+-------------+-------------+--------------+
| Unrealised (loss) / gain for the year | (2,112,020) | (8,260,218) | (10,191,208) |
+-------------------------------------------+-------------+-------------+--------------+
| Exchange gains / (losses) on currency | - | - | - |
| balances | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2008 | 17,443,738 | 49,982,930 | 14,343,048 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing portfolio cost as at 31 October | 14,359,246 | 47,058,395 | 7,747,779 |
| 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing unrealised gain / (loss) on | 3,084,492 | 2,924,535 | 6,595,269 |
| valuation as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing exchange gains / (losses) on | - | - | - |
| currency balances as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2008 | 17,443,738 | 49,982,930 | 14,343,048 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
+-------------------------------------------+------------+------------+------------+
| | Cell EGAA | Cell FTSE | Cell EBMSG |
| | | S | |
+-------------------------------------------+------------+------------+------------+
| | GBP | GBP | GBP |
+-------------------------------------------+------------+------------+------------+
| Opening portfolio cost as at 1 November | 14,359,246 | 21,928,395 | 7,747,779 |
| 2006 | | | |
+-------------------------------------------+------------+------------+------------+
| Opening unrealised gain / (loss) on | 3,067,965 | 2,988,758 | 7,620,790 |
| valuation as at 1 November 2006 | | | |
+-------------------------------------------+------------+------------+------------+
| Opening exchange gains / (losses) on | - | - | - |
| currency balances as at 1 November 2006 | | | |
+-------------------------------------------+------------+------------+------------+
| | | | |
+-------------------------------------------+------------+------------+------------+
| Opening valuation as at 1 November 2006 | 17,427,211 | 24,917,153 | 15,368,569 |
+-------------------------------------------+------------+------------+------------+
| | | | |
+-------------------------------------------+------------+------------+------------+
| Purchases at cost | - | 25,130,000 | - |
+-------------------------------------------+------------+------------+------------+
| Unrealised gain / (loss) for the year | 2,128,547 | 8,195,995 | 9,165,687 |
+-------------------------------------------+------------+------------+------------+
| Exchange gains / (losses) on currency | - | - | - |
| balances | | | |
+-------------------------------------------+------------+------------+------------+
| | | | |
+-------------------------------------------+------------+------------+------------+
| Closing valuation as at 31 October 2007 | 19,555,758 | 58,243,148 | 24,534,256 |
+-------------------------------------------+------------+------------+------------+
| | | | |
+-------------------------------------------+------------+------------+------------+
| Closing portfolio cost as at 31 October | 14,359,246 | 47,058,395 | 7,747,779 |
| 2007 | | | |
+-------------------------------------------+------------+------------+------------+
| Closing unrealised gain / (loss) on | 5,196,512 | 11,184,753 | 16,786,477 |
| valuation as at 31 October 2007 | | | |
+-------------------------------------------+------------+------------+------------+
| Closing exchange gains / (losses) on | - | - | - |
| currency balances as at 31 October 2007 | | | |
+-------------------------------------------+------------+------------+------------+
| | | | |
+-------------------------------------------+------------+------------+------------+
| Closing valuation as at 31 October 2007 | 19,555,758 | 58,243,148 | 24,534,256 |
+-------------------------------------------+------------+------------+------------+
+-------------------------------------------+--------------+-------------+-------------+
| | Cell UK HI | Cell EBM | Cell ES |
| | | (2) | |
+-------------------------------------------+--------------+-------------+-------------+
| | GBP | GBP | GBP |
+-------------------------------------------+--------------+-------------+-------------+
| Opening portfolio cost as at 1 November | 143,419,549 | 32,828,140 | 25,000,000 |
| 2007 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Opening unrealised gain / (loss) on | 12,240,648 | 14,318,115 | 2,299,250 |
| valuation as at 1 November 2007 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Opening exchange (losses) / gains on | - | - | - |
| currency balances as at 1 November 2007 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Opening valuation as at 1 November 2007 | 155,660,197 | 47,146,255 | 27,299,250 |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Purchases at cost | - | - | - |
+-------------------------------------------+--------------+-------------+-------------+
| Unrealised (loss) / gain for the year | (36,493,812) | (8,602,099) | (7,532,500) |
+-------------------------------------------+--------------+-------------+-------------+
| Exchange gains / (losses) on currency | - | - | - |
| balances | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing valuation as at 31 October 2008 | 119,166,385 | 38,544,156 | 19,766,750 |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing portfolio cost as at 31 October | 143,419,549 | 32,828,140 | 25,000,000 |
| 2008 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing unrealised gain / (loss) on | (24,253,164) | 5,716,016 | (5,233,250) |
| valuation as at 31 October 2008 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing exchange gains / (losses) on | - | - | - |
| currency balances as at 31 October 2008 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing valuation as at 31 October 2008 | 119,166,385 | 38,544,156 | 19,766,750 |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | Cell UK HI | Cell EBM | Cell ES |
| | | (2) | |
+-------------------------------------------+--------------+-------------+-------------+
| | GBP | GBP | GBP |
+-------------------------------------------+--------------+-------------+-------------+
| Opening portfolio cost as at 1 November | 127,354,549 | 32,828,140 | 25,000,000 |
| 2006 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Opening unrealised gain / (loss) on | 4,918,626 | 1,446,334 | 1,065,000 |
| valuation as at 1 November 2006 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Opening exchange gains / (losses) on | - | - | - |
| currency balances as at 1 November 2006 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Opening valuation as at 1 November 2006 | 132,273,175 | 34,274,474 | 26,065,000 |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Purchases at cost | 16,065,000 | - | - |
+-------------------------------------------+--------------+-------------+-------------+
| Unrealised gain / (loss) for the year | 7,322,022 | 12,871,781 | 1,234,250 |
+-------------------------------------------+--------------+-------------+-------------+
| Exchange gains / (losses) on currency | - | - | - |
| balances | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing valuation as at 31 October 2007 | 155,660,197 | 47,146,255 | 27,299,250 |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing portfolio cost as at 31 October | 143,419,549 | 32,828,140 | 25,000,000 |
| 2007 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing unrealised gain / (loss) on | 12,240,648 | 14,318,115 | 2,299,250 |
| valuation as at 31 October 2007 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing exchange gains / (losses) on | - | - | - |
| currency balances as at 31 October 2007 | | | |
+-------------------------------------------+--------------+-------------+-------------+
| | | | |
+-------------------------------------------+--------------+-------------+-------------+
| Closing valuation as at 31 October 2007 | 155,660,197 | 47,146,255 | 27,299,250 |
+-------------------------------------------+--------------+-------------+-------------+
+-------------------------------------------+------------+--------------+
| | Cell Abs | Cell US HI |
| | Pro | A |
+-------------------------------------------+------------+--------------+
| | GBP | GBP |
+-------------------------------------------+------------+--------------+
| Opening portfolio cost as at 1 November | 77,271,523 | 92,942,487 |
| 2007 | | |
+-------------------------------------------+------------+--------------+
| Opening unrealised gain / (loss) on | 10,117,103 | 4,890,759 |
| valuation as at 1 November 2007 | | |
+-------------------------------------------+------------+--------------+
| Opening exchange (losses) / gains on | - | - |
| currency balances as at 1 November 2007 | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Opening valuation as at 1 November 2007 | 87,388,626 | 97,833,246 |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Purchases at cost | - | - |
+-------------------------------------------+------------+--------------+
| Unrealised (loss) / gain for the year | 518,823 | (10,439,861) |
+-------------------------------------------+------------+--------------+
| Exchange gains / (losses) on currency | - | - |
| balances | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Closing valuation as at 31 October 2008 | 87,907,449 | 87,393,385 |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Closing portfolio cost as at 31 October | 77,271,523 | 92,942,487 |
| 2008 | | |
+-------------------------------------------+------------+--------------+
| Closing unrealised gain / (loss) on | 10,635,926 | (5,549,102) |
| valuation as at 31 October 2008 | | |
+-------------------------------------------+------------+--------------+
| Closing exchange gains / (losses) on | - | - |
| currency balances as at 31 October 2008 | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Closing valuation as at 31 October 2008 | 87,907,449 | 87,393,385 |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| | Cell Abs | Cell US HI |
| | Pro | A |
+-------------------------------------------+------------+--------------+
| | GBP | GBP |
+-------------------------------------------+------------+--------------+
| Opening portfolio cost as at 1 November | 61,748,923 | 77,469,987 |
| 2006 | | |
+-------------------------------------------+------------+--------------+
| Opening unrealised gain / (loss) on | 1,562,248 | (945,134) |
| valuation as at 1 November 2006 | | |
+-------------------------------------------+------------+--------------+
| Opening exchange gains / (losses) on | - | - |
| currency balances as at 1 November 2006 | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Opening valuation as at 1 November 2006 | 63,311,171 | 76,524,853 |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Purchases at cost | 15,522,600 | 15,472,500 |
+-------------------------------------------+------------+--------------+
| Unrealised gain / (loss) for the year | 8,554,855 | 5,835,893 |
+-------------------------------------------+------------+--------------+
| Exchange gains / (losses) on currency | - | - |
| balances | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Closing valuation as at 31 October 2007 | 87,388,626 | 97,833,246 |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Closing portfolio cost as at 31 October | 77,271,523 | 92,942,487 |
| 2007 | | |
+-------------------------------------------+------------+--------------+
| Closing unrealised gain / (loss) on | 10,117,103 | 4,890,759 |
| valuation as at 31 October 2007 | | |
+-------------------------------------------+------------+--------------+
| Closing exchange gains / (losses) on | - | - |
| currency balances as at 31 October 2007 | | |
+-------------------------------------------+------------+--------------+
| | | |
+-------------------------------------------+------------+--------------+
| Closing valuation as at 31 October 2007 | 87,388,626 | 97,833,246 |
+-------------------------------------------+------------+--------------+
+-------------------------------------------+-------------+-------------+--------------+
| | Cell US HI | Cell | Cell Euro |
| | B | Agrinvest | HI A |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+--------------+
| Opening portfolio cost as at 1 November | 30,710,285 | 37,225,896 | 45,375,520 |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening unrealised gain / (loss) on | 2,142,621 | 2,856,715 | (755,956) |
| valuation as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening exchange (losses) / gains on | (2,514,630) | - | - |
| currency balances as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening valuation as at 1 November 2007 | 30,338,276 | 40,082,611 | 44,619,564 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Purchases at cost | - | 12,291,000 | - |
+-------------------------------------------+-------------+-------------+--------------+
| Unrealised (loss) / gain for the year | (4,424,912) | (7,886,345) | (15,395,007) |
+-------------------------------------------+-------------+-------------+--------------+
| Exchange gains / (losses) on currency | 7,947,778 | - | - |
| balances | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2008 | 33,861,142 | 44,487,266 | 29,224,557 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing portfolio cost as at 31 October | 30,710,285 | 49,516,896 | 45,375,520 |
| 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing unrealised gain / (loss) on | (2,282,291) | (5,029,630) | (16,150,963) |
| valuation as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing exchange gains / (losses) on | 5,433,148 | - | - |
| currency balances as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2008 | 33,861,142 | 44,487,266 | 29,224,557 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | Cell US HI | Cell | Cell Euro |
| | B | Agrinvest | HI A |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+--------------+
| Opening portfolio cost as at 1 November | 22,921,261 | - | - |
| 2006 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening unrealised gain / (loss) on | (280,640) | - | - |
| valuation as at 1 November 2006 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening exchange gains / (losses) on | (199,507) | - | - |
| currency balances as at 1 November 2006 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening valuation as at 1 November 2006 | 22,441,114 | - | - |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Purchases at cost | 7,789,024 | 37,225,896 | 45,375,520 |
+-------------------------------------------+-------------+-------------+--------------+
| Unrealised gain / (loss) for the year | 2,423,261 | 2,856,715 | (755,956) |
+-------------------------------------------+-------------+-------------+--------------+
| Exchange gains / (losses) on currency | (2,315,123) | - | - |
| balances | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2007 | 30,338,276 | 40,082,611 | 44,619,564 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing portfolio cost as at 31 October | 30,710,285 | 37,225,896 | 45,375,520 |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing unrealised gain / (loss) on | 2,142,621 | 2,856,715 | (755,956) |
| valuation as at 31 October 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing exchange gains / (losses) on | (2,514,630) | - | - |
| currency balances as at 31 October 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2007 | 30,338,276 | 40,082,611 | 44,619,564 |
+-------------------------------------------+-------------+-------------+--------------+
+-------------------------------------------+-------------+-------------+--------------+
| | Cell Euro | Cell Hedge | Cell EPR* |
| | HI B | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | Elite | |
+-------------------------------------------+-------------+-------------+--------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+--------------+
| Opening portfolio cost as at 1 November | 6,895,958 | 21,229,013 | - |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening unrealised gain / (loss) on | (153,547) | - | - |
| valuation as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening exchange (losses) / gains on | 249,079 | - | - |
| currency balances as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening valuation as at 1 November 2007 | 6,991,490 | 21,229,013 | - |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Purchases at cost | - | - | 30,125,000 |
+-------------------------------------------+-------------+-------------+--------------+
| Unrealised (loss) / gain for the year | (2,848,235) | (4,076,607) | (12,654,006) |
+-------------------------------------------+-------------+-------------+--------------+
| Exchange gains / (losses) on currency | 901,869 | - | - |
| balances | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2008 | 5,045,124 | 17,152,406 | 17,470,994 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing portfolio cost as at 31 October | 6,895,958 | 21,229,013 | 30,125,000 |
| 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing unrealised gain / (loss) on | (3,001,782) | (4,076,607) | (12,654,006) |
| valuation as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing exchange gains / (losses) on | 1,150,948 | - | - |
| currency balances as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2008 | 5,045,124 | 17,152,406 | 17,470,994 |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | Cell Euro | Cell Hedge | Cell EPR* |
| | HI B | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | Elite | |
+-------------------------------------------+-------------+-------------+--------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+--------------+
| Opening portfolio cost as at 1 November | - | - | - |
| 2006 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening unrealised gain / (loss) on | | | |
| valuation | | | |
+-------------------------------------------+-------------+-------------+--------------+
| as at 1 November 2006 | - | - | - |
+-------------------------------------------+-------------+-------------+--------------+
| Opening exchange gains / (losses) on | | | |
+-------------------------------------------+-------------+-------------+--------------+
| currency balances as at 1 November 2006 | - | - | - |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Opening valuation as at 1 November 2006 | - | - | - |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Purchases at cost | 6,895,958 | 21,229,013 | - |
+-------------------------------------------+-------------+-------------+--------------+
| Unrealised gain / (loss) for the year | (153,547) | - | - |
+-------------------------------------------+-------------+-------------+--------------+
| Exchange gains / (losses) on currency | 249,079 | - | - |
| balances | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2007 | 6,991,490 | 21,229,013 | - |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing portfolio cost as at 31 October | 6,895,958 | 21,229,013 | - |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing unrealised gain / (loss) on | (153,547) | - | - |
| valuation as at 31 October 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing exchange gains / (losses) on | 249,079 | - | - |
| currency balances as at 31 October 2007 | | | |
+-------------------------------------------+-------------+-------------+--------------+
| | | | |
+-------------------------------------------+-------------+-------------+--------------+
| Closing valuation as at 31 October 2007 | 6,991,490 | 21,229,013 | - |
+-------------------------------------------+-------------+-------------+--------------+
+-------------------------------------------+-------------+-------------+---------------+
| | Cell | Cell | |
| | EBM(3)* | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | Agribus* | TOTAL |
+-------------------------------------------+-------------+-------------+---------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+---------------+
| Opening portfolio cost as at 1 November | - | - | 582,063,791 |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Opening unrealised gain / (loss) on | - | - | 81,123,450 |
| valuation as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Opening exchange (losses) / gains on | - | - | (2,265,551) |
| currency balances as at 1 November 2007 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Opening valuation as at 1 November 2007 | - | - | 660,921,690 |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Purchases at cost | 49,292,100 | 2,502,344 | 94,210,444 |
+-------------------------------------------+-------------+-------------+---------------+
| Unrealised (loss) / gain for the year | (5,862,784) | (196,435) | (136,457,226) |
+-------------------------------------------+-------------+-------------+---------------+
| Exchange gains / (losses) on currency | - | (259,325) | 8,590,322 |
| balances | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing valuation as at 31 October 2008 | 43,429,316 | 2,046,584 | 627,265,230 |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing portfolio cost as at 31 October | 49,292,100 | 2,502,344 | 676,274,235 |
| 2008 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing unrealised gain / (loss) on | (5,862,784) | (196,435) | (55,333,776) |
| valuation as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing exchange gains / (losses) on | - | (259,325) | 6,324,771 |
| currency balances as at 31 October 2008 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing valuation as at 31 October 2008 | 43,429,316 | 2,046,584 | 627,265,230 |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | Cell | Cell | |
| | EBM(3)* | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | Agribus* | TOTAL |
+-------------------------------------------+-------------+-------------+---------------+
| | GBP | GBP | GBP |
+-------------------------------------------+-------------+-------------+---------------+
| Opening portfolio cost as at 1 November | - | - | 391,358,280 |
| 2006 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Opening unrealised gain / (loss) on | - | - | 21,443,947 |
| valuation as at 1 November 2006 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Opening exchange gains / (losses) on | - | - | (199,507) |
| currency balances as at 1 November 2006 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Opening valuation as at 1 November 2006 | - | - | 412,602,720 |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Purchases at cost | - | - | 190,705,511 |
+-------------------------------------------+-------------+-------------+---------------+
| Unrealised gain / (loss) for the year | - | - | 59,679,503 |
+-------------------------------------------+-------------+-------------+---------------+
| Exchange gains / (losses) on currency | - | - | (2,066,044) |
| balances | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing valuation as at 31 October 2007 | - | - | 660,921,690 |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing portfolio cost as at 31 October | - | - | 582,063,791 |
| 2007 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing unrealised gain / (loss) on | - | - | 81,123,450 |
| valuation as at 31 October 2007 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing exchange gains / (losses) on | - | - | (2,265,551) |
| currency balances as at 31 October 2007 | | | |
+-------------------------------------------+-------------+-------------+---------------+
| | | | |
+-------------------------------------------+-------------+-------------+---------------+
| Closing valuation as at 31 October 2007 | - | - | 660,921,690 |
+-------------------------------------------+-------------+-------------+---------------+
4 SHARE CAPITAL
+---------------------+-----------+--------------+---+--------------+---+--------------+
| Authorised: | | | SHARES | | GBP |
+---------------------------------+--------------+---+--------------+---+--------------+
| Preference shares of no par value each | | Unlimited | | - |
+------------------------------------------------+---+--------------+---+--------------+
| Ordinary shares of no par value | | 2 | | - |
+------------------------------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | 2 | | - |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Allotted, called-up | Shares in | | | | Shares in |
| and | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| fully paid: | issue as at | | Shares | | Issue as at |
+---------------------+--------------------------+---+--------------+---+--------------+
| | 1 November 2007 | | issued | | 31 October |
| | | | | | 2008 |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Preference 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 Agrinvest | 37,225,896 | | 10,000,000 | | 47,225,896 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Euro HI A | 45,375,520 | | - | | 45,375,520 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Euro HI B | 10,261,000 | | - | | 10,261,000 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Hedge Elite | 21,229,013 | | - | | 21,229,013 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EPR | - | | 30,125,000 | | 30,125,000 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell EBM(3) | - | | 49,587,600 | | 49,587,600 |
+---------------------+--------------------------+---+--------------+---+--------------+
| Cell Agribus | - | | 72,500 | | 72,500 |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| Ordinary Shares | 2 | | - | | 2 |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| | | | | | |
+---------------------+--------------------------+---+--------------+---+--------------+
| 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.
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, BNP Paribas Hedge
Elite Preference Shares, BNP Paribas Enhanced Property Recovery Preference
Shares and BNP Paribas Energy - Base Metals (3) Preference Shares ("Cell
shares") shall not be entitled to receive and shall not participate in any
dividends or other distributions of the Company.
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 and BNP Paribas Agribusiness Preference
Shares ("Cell shares") shall be entitled to receive and shall participate in any
dividends or other distributions out of the profits of their respective cells
only, but not the Company.
On their respective redemption dates the holders of Cell shares shall be
entitled to 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 the Preference Shares shall not be entitled to receive notice of or
to attend or vote at any general meeting of the Company.
5 SHARE PREMIUM
+--------------+---------------+---------------+--------------+--------------+
| Protected |Share premium | Protected | Protected | Share |
| Cell | | Cell | Cell | premium |
+--------------+---------------+---------------+--------------+--------------+
| Preference | as at | Preference | Preference | as at |
+--------------+---------------+---------------+--------------+--------------+
| Shares | 1 November | Shares | Shares | 31 October |
| | 2007 | Redeemed | Issued | 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 | 37,225,896 | - | 12,291,000 | 49,516,896 |
| Agrinvest | | | | |
+--------------+---------------+---------------+--------------+--------------+
| Cell Euro HI | 45,375,520 | - | - | 45,375,520 |
| A | | | | |
+--------------+---------------+---------------+--------------+--------------+
| Cell Euro HI | 6,895,958 | - | - | 6,895,958 |
| B | | | | |
+--------------+---------------+---------------+--------------+--------------+
| 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 |
| | | | | |
+--------------+---------------+---------------+--------------+--------------+
| | | | | |
+--------------+---------------+---------------+--------------+--------------+
| | | | | |
+--------------+---------------+---------------+--------------+--------------+
| 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 and liquidity
risk.
The Company's overall risk management program 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
Future Value Consultants, a specialist 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
The following details each Cell's sensitivity to a 10 per cent increase and
decrease in the final market prices of its constituent financial assets and
liabilities. The 10 per cent change rate is deemed by the Board of directors to
be the most appropriate rate to illustrate each Cell's sensitivity to the final
market price.
If market prices as at 31 October 2008 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 the 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 increase in the fair value of financial
assets at fair value through profit or loss.
+---------------------------------+------------------+---+------------------+
| | Increase in net assets attributable to |
| | holders |
+---------------------------------+-----------------------------------------+
| | of preference shares |
+---------------------------------+-----------------------------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| Cell | Year ended | | Year ended |
+---------------------------------+------------------+---+------------------+
| | 31 October 2008 | | 31 October 2007 |
+---------------------------------+------------------+---+------------------+
| | GBP | | GBP |
+---------------------------------+------------------+---+------------------+
| Cell EGAA | 241,790 | | 1,318,435 |
+---------------------------------+------------------+---+------------------+
| Cell FTSE S | 1,322,769 | | 4,555,575 |
+---------------------------------+------------------+---+------------------+
| Cell EBMSG | 2,243,207 | | 3,901,909 |
+---------------------------------+------------------+---+------------------+
| Cell UK HI | 6,232,413 | | 10,353,366 |
+---------------------------------+------------------+---+------------------+
| Cell EBM(2) | 3,733,655 | | 6,115,380 |
+---------------------------------+------------------+---+------------------+
| Cell ES | 1,891,750 | | 1,462,500 |
+---------------------------------+------------------+---+------------------+
| Cell Abs Pro | 3,044,630 | | 2,320,120 |
+---------------------------------+------------------+---+------------------+
| Cell US HI A | 8,322,299 | | 2,126,810 |
+---------------------------------+------------------+---+------------------+
| Cell US HI B | 1,657,437 | | 123,418 |
+---------------------------------+------------------+---+------------------+
| Cell Agrinvest | 2,363,656 | | 2,842,570 |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI A | 19,966 | | 202,375 |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI B | 53,728 | | 32,166 |
+---------------------------------+------------------+---+------------------+
| Cell Hedge Elite | 370,021 | | 2,373,828 |
+---------------------------------+------------------+---+------------------+
| Cell EPR | 2,392,527 | | - |
+---------------------------------+------------------+---+------------------+
| Cell EBM(3) | 1,538,703 | | - |
+---------------------------------+------------------+---+------------------+
| Cell Agribus | 442,304 | | - |
+---------------------------------+------------------+---+------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| | 35,870,854 | | 37,728,453 |
+---------------------------------+------------------+---+------------------+
If market prices as at 31 October 2008 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 the other variables held constant, the decrease 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 financial
assets at fair value through profit or loss.
+---------------------------------+------------------+---+------------------+
| | Decrease in net assets attributable to |
| | holders |
+---------------------------------+-----------------------------------------+
| | of preference shares |
+---------------------------------+-----------------------------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| Cell | Year ended | | Year ended |
+---------------------------------+------------------+---+------------------+
| | 31 October 2008 | | 31 October 2007 |
+---------------------------------+------------------+---+------------------+
| | GBP | | GBP |
+---------------------------------+------------------+---+------------------+
| Cell EGAA | (241,249) | | (1,279,014) |
+---------------------------------+------------------+---+------------------+
| Cell FTSE S | (1,323,579) | | (4,973,546) |
+---------------------------------+------------------+---+------------------+
| Cell EBMSG | (2,243,978) | | (3,902,526) |
+---------------------------------+------------------+---+------------------+
| Cell UK HI | (6,229,580) | | (4,813,445) |
+---------------------------------+------------------+---+------------------+
| Cell EBM(2) | (3,730,405) | | (6,114,080) |
+---------------------------------+------------------+---+------------------+
| Cell ES | (1,890,250) | | (1,461,000) |
+---------------------------------+------------------+---+------------------+
| Cell Abs Pro | (3,043,095) | | (2,324,725) |
+---------------------------------+------------------+---+------------------+
| Cell US HI A | (8,322,299) | | (3,412,142) |
+---------------------------------+------------------+---+------------------+
| Cell US HI B | (1,659,614) | | (1,556,744) |
+---------------------------------+------------------+---+------------------+
| Cell Agrinvest | (2,364,600) | | (2,845,547) |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI A | (16,335) | | (437,420) |
+---------------------------------+------------------+---+------------------+
| Cell Euro HI B | (53,565) | | (68,621) |
+---------------------------------+------------------+---+------------------+
| Cell Hedge Elite | (368,748) | | (2,373,828) |
+---------------------------------+------------------+---+------------------+
| Cell EPR | (2,389,515) | | - |
+---------------------------------+------------------+---+------------------+
| Cell EBM(3) | (1,539,695) | | - |
+---------------------------------+------------------+---+------------------+
| Cell Agribus | (468,560) | | - |
+---------------------------------+------------------+---+------------------+
| | | | |
+---------------------------------+------------------+---+------------------+
| | (35,885,068) | | (35,562,638) |
+---------------------------------+------------------+---+------------------+
(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 issuer 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 Investment Counterparty satisfies its obligations under the
relevant equity swap transaction to repay to the Company any amount due. Under
the terms of Credit Support Deeds between the Company and the Investment
Counterparty, the Investment Counterparty is required to deliver varying amounts
of collateral to an escrow account held in favour of the Company. Further
details of these arrangements are shown in the section "Investment Objective and
Policy".
The most significant concentration of credit risk for the Company is that the
Investment Counterparty will be unable to satisfy its obligations under the
relevant equity swap transaction to repay to the Company and amount due. The
maximum credit risk exposure at the balance sheet date is therefore considered
to be the valuation of the investments at this date, being GBP627,147,449.
The Investment Manager monitors collateral posted on a weekly basis and reports
to the Board quarterly on the Investment Counterparty's compliance with the
relevant Credit Support Deeds. The Investment Manager has 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 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 (f) (ii).
As the investments are not traded in an active market, the company may not be
able to liquidate quickly it's investments in these instruments at an amount
close to their fair value to meet it's liquidity requirements or to respond to
specific events such as deterioration in the credit worthiness of the investment
counterparty.
The Board monitors, but cannot actively control, liquidity risk.
(e) Capital Risk
The Company has an unlimited life but the Protected Cell Guarantee shares for
each cell have a fixed redemption date.
The Board of directors believe 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) Valuation
(i) The notional amounts of the derivative instruments are as follows:
+----------------------------------------------------+---------------+
| Enhanced Global Asset Allocation Cell | GBP |
| | 13,500,255 |
+----------------------------------------------------+---------------+
| BNP Paribas FTSE Summit Cell | GBP |
| | 40,501,195 |
+----------------------------------------------------+---------------+
| BNP Paribas Energy - Base Metals Secure Growth | GBP 7,701,999 |
| Cell | |
+----------------------------------------------------+---------------+
| BNP Paribas UK High Income Cell | GBP |
| | 141,613,549 |
+----------------------------------------------------+---------------+
| BNP Paribas Energy - Base Metals (2) Cell | GBP |
| | 32,506,140 |
+----------------------------------------------------+---------------+
| BNP Paribas European Shield Cell | GBP |
| | 25,000,000 |
+----------------------------------------------------+---------------+
| BNP Paribas Absolute Progression Cell | GBP |
| | 76,748,923 |
+----------------------------------------------------+---------------+
| US High Income Cell - Class A | GBP |
| | 92,469,987 |
+----------------------------------------------------+---------------+
| US High Income Cell - Class B | GBP |
| | 58,337,229 |
+----------------------------------------------------+---------------+
| BNP Paribas Agrinvest Cell | GBP |
| | 47,225,896 |
+----------------------------------------------------+---------------+
| Euro High Income Cell - Class A | GBP |
| | 45,375,520 |
+----------------------------------------------------+---------------+
| Euro High Income Cell - Class B | EUR |
| | 10,261,000 |
+----------------------------------------------------+---------------+
| Hedge Elite Cell | GBP |
| | 21,229,013 |
+----------------------------------------------------+---------------+
| BNP Paribas Enhanced Property Recovery Cell | GBP |
| | 30,125,000 |
+----------------------------------------------------+---------------+
| BNP Paribas Energy - Base Metals (3) Cell | GBP |
| | 49,587,600 |
+----------------------------------------------------+---------------+
| BNP Paribas Agribusiness Cell | HUF |
| | 725,000,000 |
+----------------------------------------------------+---------------+
| | |
+----------------------------------------------------+---------------+
(ii) The maturity dates of the derivative instruments and number of redeemable
shares are as follows:
+----------------------------------------------------+---------------+
| | |
+----------------------------------------------------+---------------+
| Enhanced Global Asset Allocation Cell | 17 March 2011 |
+----------------------------------------------------+---------------+
| BNP Paribas FTSE Summit Cell | 29 June 2011 |
+----------------------------------------------------+---------------+
| BNP Paribas Energy - Base Metals Secure Growth | 29 June 2011 |
| Cell | |
+----------------------------------------------------+---------------+
| BNP Paribas UK High Income Cell | 8 December |
| | 2011 |
+----------------------------------------------------+---------------+
| BNP Paribas Energy - Base Metals (2) Cell | 22 March 2012 |
+----------------------------------------------------+---------------+
| BNP Paribas European Shield Cell | 26 April 2012 |
+----------------------------------------------------+---------------+
| BNP Paribas Absolute Progression Cell | 26 July 2012 |
+----------------------------------------------------+---------------+
| US High Income Cell - Class A | 19 November |
| | 2012 |
+----------------------------------------------------+---------------+
| US High Income Cell - Class B | 19 November |
| | 2012 |
+----------------------------------------------------+---------------+
| BNP Paribas Agrinvest Cell | 22 June 2013 |
+----------------------------------------------------+---------------+
| Euro High Income Cell - Class A | 24 June 2013 |
+----------------------------------------------------+---------------+
| Euro High Income Cell - Class B | 24 June 2013 |
+----------------------------------------------------+---------------+
| Hedge Elite Cell | 23 October |
| | 2013 |
+----------------------------------------------------+---------------+
| BNP Paribas Enhanced Property Recovery Cell | 13 March 2014 |
+----------------------------------------------------+---------------+
| BNP Paribas Energy - Base Metals (3) Cell | 5 June 2014 |
+----------------------------------------------------+---------------+
| BNP Paribas Agribusiness Cell | 10 January |
| | 2011 |
+----------------------------------------------------+---------------+
(iii) Early Settlement Options relating to the derivative contracts:
Each swap confirmation entered into between BNP Paribas and the Company acting
for and on behalf of each cell have been entered into upon terms which allow
such contracts to be terminated, inter alia, in the following circumstances:
(a) by the Company if BNP Paribas fails to make a payment under the Contract
(subject to a grace period of 3 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 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 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 Specified Percentage (as set out in note 6(i) below) 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.
(g) Fair values
The total amount of change in fair value that was recognised in the Statement of
Operations during the year was as follows:
+---------------------------------+------------------+-------------------+
| | Change in fair | Change in fair |
| | value | value |
+---------------------------------+------------------+-------------------+
| | year ended | year ended |
+---------------------------------+------------------+-------------------+
| Cell | 31 Oct 2008 | 31 Oct 2007 |
+---------------------------------+------------------+-------------------+
| | GBP | GBP |
+---------------------------------+------------------+-------------------+
| Cell EGAA | (2,112,020) | 2,128,547 |
+---------------------------------+------------------+-------------------+
| Cell FTSE S | (8,260,218) | 8,195,995 |
+---------------------------------+------------------+-------------------+
| Cell EBMSG | (10,191,208) | 9,165,687 |
+---------------------------------+------------------+-------------------+
| Cell UK HI | (36,493,812) | 7,322,022 |
+---------------------------------+------------------+-------------------+
| Cell EBM(2) | (8,602,099) | 12,871,781 |
+---------------------------------+------------------+-------------------+
| Cell ES | (7,532,500) | 1,234,250 |
+---------------------------------+------------------+-------------------+
| Cell Abs Pro | 518,823 | 8,554,855 |
+---------------------------------+------------------+-------------------+
| Cell US HI A | (10,439,861) | 5,835,893 |
+---------------------------------+------------------+-------------------+
| Cell US HI B | (4,424,912) | 2,423,261 |
+---------------------------------+------------------+-------------------+
| Cell Agrinvest | (7,886,345) | 2,856,715 |
+---------------------------------+------------------+-------------------+
| Cell Euro HI A | (15,395,007) | (755,956) |
+---------------------------------+------------------+-------------------+
| Cell Euro HI B | (2,848,235) | (153,547) |
+---------------------------------+------------------+-------------------+
| Cell Hedge Elite | (4,076,607) | - |
+---------------------------------+------------------+-------------------+
| Cell EPR | (12,654,006) | - |
+---------------------------------+------------------+-------------------+
| Cell EBM(3) | (5,862,784) | - |
+---------------------------------+------------------+-------------------+
| Cell Agribus | (196,435) | - |
+---------------------------------+------------------+-------------------+
| | | |
+---------------------------------+------------------+-------------------+
| TOTAL | (136,457,226) | 59,679,503 |
+---------------------------------+------------------+-------------------+
(h) Periodic Returns on Principal and Timings of Payments
BNP Paribas UK High Income Cell
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 share), 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 cell - 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 cell - 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 cell - 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 cell - 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
2.0625% 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.
(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 least
a monthly basis and, if the value of the collateral is less than the percentage
specified below of the aggregate net asset value of each cell at such time, BNP
Paribas will provide additional collateral to increase the aggregate value to at
least the specified percentage of the aggregate net asset value of each cell.
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 following represents the specified percentage of collateral required and
collateral held against each derivative instrument as at 31 October 2008:
+------------------------------------+------------------+------------------+
| Name of Cell | Specified | Collateral Held |
| | Percentage | (GBP) |
+------------------------------------+------------------+------------------+
| Enhanced Global Asset Allocation | 100% | 17,614,362 |
+------------------------------------+------------------+------------------+
| BNP Paribas FTSE Summit | 100% | 48,904,601 |
+------------------------------------+------------------+------------------+
| BNP Paribas Energy - Base Metals | 100% | 13,949,834 |
| Secure Growth | | |
+------------------------------------+------------------+------------------+
| BNP Paribas UK High Income | 100% | 116,492,331 |
+------------------------------------+------------------+------------------+
| BNP Paribas Energy - Base Metals | 105% | 39,629,654 |
| (2) | | |
+------------------------------------+------------------+------------------+
| BNP Paribas European Shield | 105% | 18,902,419 |
+------------------------------------+------------------+------------------+
| BNP Paribas Absolute Progression | 105% | 91,564,787 |
+------------------------------------+------------------+------------------+
| US High Income | 100% | 119,160,332 |
+------------------------------------+------------------+------------------+
| BNP Paribas Agrinvest | 100% | 43,990,342 |
+------------------------------------+------------------+------------------+
| Euro High Income | 100% | 34,927,165 |
+------------------------------------+------------------+------------------+
| Hedge Elite | 100% | 18,212,462 |
+------------------------------------+------------------+------------------+
| BNP Paribas Enhanced Property | 100% | 15,519,245 |
| Recovery | | |
+------------------------------------+------------------+------------------+
| BNP Paribas Energy - Base Metals | 100% | 49,053,401 |
| (3) | | |
+------------------------------------+------------------+------------------+
| BNP Paribas Agribusiness | 100% | 2,560,647 |
+------------------------------------+------------------+------------------+
(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 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 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 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(h)
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.
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 GBP223,090 (2007: GBP158,085) in respect of its
administration of the Company of which GBP19,562 (2007: GBP17,028) was
outstanding at the year end and the Registrar charged fees of GBP76,449 (2007:
GBP46,428) in respect of registration services on behalf of the Company of which
GBP4,378 (2007: GBP3,875) was outstanding at the year end.
Anson Group Limited is the ultimate controlling party of Anson Fund Managers
Limited and Anson Registrars Limited. Peter Atkinson is a director of Anson
Group Limited.
Harewood Asset Management SAS, the Investment Manager, and BNP Paribas Arbitrage
SNC, the ultimate controlling party, are both members of the BNP Paribas Group.
During the year under review the Investment Manager charged fees of GBP616,036
(2007: GBP277,287), of which GBPNil (2007: 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 2008 | 31 Oct 2007 |
+--------------------------------+-----------------------+----------------------+
| Name of Cell | Shares | % of | Shares | % of |
| | | total | | total |
| | | shares | | shares |
+--------------------------------+------------+----------+------------+---------+
| Enhanced Global Asset | 6,318,826 | 46.81% | 1,058,051 | 7.84% |
| Allocation | | | | |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas FTSE Summit | 32,051,373 | 79.14% | 20,729,688 | 51.18% |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas Energy - Base | 6,986,515 | 90.71% | 4,909,926 | 63.75% |
| Metals Secure Growth | | | | |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas UK High Income | 30,489,250 | 21.53% | 16,227,250 | 11.46% |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas Energy - Base | 30,246,461 | 93.05% | 4,342,460 | 13.36% |
| Metals(2) | | | | |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas European Shield | 10,128,739 | 40.51% | 7,743,339 | 30.97% |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas Absolute | 32,783,853 | 42.72% | 13,884,272 | 18.09% |
| Progression | | | | |
+--------------------------------+------------+----------+------------+---------+
| US High Income Class A | | | | |
| Sterling Hedged US High Income | 24,103,108 | 26.07% | 8,380,623 | 9.06% |
| Preference Shares | | | | |
+--------------------------------+------------+----------+------------+---------+
| US High Income Class B | 12,022,700 | 20.61% | 21,688,700 | 37.18% |
| Unhedged US High Income | | | | |
| Preference Shares | | | | |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas Agrinvest | 27,489,964 | 58.21% | 11,967,333 | 32.15% |
+--------------------------------+------------+----------+------------+---------+
| Euro High Income Class A | 34,857,365 | 76.82% | 5,900,000 | 13.00% |
| Sterling Hedged Euro High | | | | |
| Income Preference Shares | | | | |
+--------------------------------+------------+----------+------------+---------+
| Euro High Income Class B | 7,457,109 | 72.67% | 3,325,000 | 32.40% |
| Unhedged Euro High Income | | | | |
| Preference Shares | | | | |
+--------------------------------+------------+----------+------------+---------+
| Hedge Elite | 19,787,087 | 93.21% | 18,600,000 | 87.62% |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas Enhanced Property | 13,158,560 | 43.68% | - | - |
| Recovery | | | | |
+--------------------------------+------------+----------+------------+---------+
| BNP Paribas Energy - Base | 16,881,247 | 34.04% | - | - |
| Metals (3) | | | | |
+--------------------------------+------------+----------+------------+---------+
ONGOING EXPENSES
+----------------------------------+------------------+------------------+
| | Year ended | Year ended |
+----------------------------------+------------------+------------------+
| | 31 Oct 2008 | 31 Oct 2007 |
+----------------------------------+------------------+------------------+
| | TOTAL | TOTAL |
+----------------------------------+------------------+------------------+
| | GBP | GBP |
+----------------------------------+------------------+------------------+
| | | |
+----------------------------------+------------------+------------------+
| Administration fees | 223,090 | 158,085 |
+----------------------------------+------------------+------------------+
| Directors' remuneration | 22,600 | 18,057 |
+----------------------------------+------------------+------------------+
| Registration fees | 76,449 | 46,428 |
+----------------------------------+------------------+------------------+
| Custody fees | 313,936 | 150,243 |
+----------------------------------+------------------+------------------+
| Asset management fees | 616,036 | 277,287 |
+----------------------------------+------------------+------------------+
| Audit fees | 80,595 | 27,500 |
+----------------------------------+------------------+------------------+
| Annual fees | (3,517) | 35,016 |
+----------------------------------+------------------+------------------+
| Other operating expenses | 65,226 | 11,528 |
+----------------------------------+------------------+------------------+
| | | |
+----------------------------------+------------------+------------------+
| | 1,394,415 | 724,144 |
+----------------------------------+------------------+------------------+
8ULTIMATE CONTROLLING PARTY
The ultimate controlling party is BNP Paribas Arbitrage SNC as holder of the two
Ordinary Shares in issue.
9EVENTS AFTER THE BALANCE SHEET DATE
As at the date of this report, the Board of directors confirm that no material
event has occurred since the balance sheet date.
SCHEDULE OF INVESTMENTS
as at 31 October 2008
+-----------------------------------------+--------------+-------------+-----------+
| | | |TOTAL NET |
+-----------------------------------------+--------------+-------------+-----------+
| | NOMINAL | VALUATION | ASSETS |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | GBP | % |
+-----------------------------------------+--------------+-------------+-----------+
| Enhanced Global Asset Allocation Cell | GBP | 17,325,957 | 2.76% |
| BNP Paribas Index Derivative Contract | 13,500,255 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas FTSE Summit Cell BNP | GBP | 49,982,930 | 7.97% |
| Paribas Index Derivative Contract | 40,501,195 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Energy - Base Metals Secure | GBP | 14,343,048 | 2.29% |
| Growth Cell BNP Paribas Index | 7,701,999 | | |
| Derivative Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas UK High Income Cell BNP | GBP | 119,166,385 | 19.00% |
| Paribas Index Derivative Contract | 141,613,549 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Energy - Base Metals (2) | GBP | 38,544,156 | 6.14% |
| Cell BNP Paribas Index Derivative | 32,506,140 | | |
| Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas European Shield Cell BNP | GBP | 19,766,750 | 3.15% |
| Paribas Index Derivative Contract | 25,000,000 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Absolute Progression Cell | GBP | 87,907,449 | 14.01% |
| BNP Paribas Index Derivative Contract | 76,748,923 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| US High Income Cell - Class A BNP | GBP | 87,393,385 | 13.93% |
| Paribas Index Derivative Contract | 92,469,987 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| US High Income Cell - Class B BNP | USD | 33,861,142 | 5.40% |
| Paribas Index Derivative Contract | 58,337,229 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Agrinvest Cell BNP Paribas | GBP | 44,487,266 | 7.09% |
| Index Derivative Contract | 47,225,896 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| Euro High Income Cell - Class A BNP | GBP | 29,224,557 | 4.66% |
| Paribas Index Derivative Contract | 45,375,520 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| Euro High Income Cell - Class B BNP | EUR | 5,045,124 | 0.80% |
| Paribas Index Derivative Contract | 10,261,000 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| Hedge Elite Cell BNP Paribas Index | GBP | 17,152,406 | 2.73% |
| Derivative Contract | 21,229,013 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Enhanced Property Recovery | GBP | 17,470,994 | 2.79% |
| Cell BNP Paribas Index Derivative | 30,125,000 | | |
| Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Energy - Base Metals (3) | GBP | 43,429,316 | 6.92% |
| Cell BNP Paribas Index Derivative | 49,587,600 | | |
| Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Agribusiness Cell BNP | HUF | 2,046,584 | 0.33% |
| Paribas Index Derivative Contract | 725,000,000 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| TOTAL | | 627,147,449 | 99.97% |
+-----------------------------------------+--------------+-------------+-----------+
SCHEDULE OF INVESTMENTS
as at 31 October 2007
+-----------------------------------------+--------------+-------------+-----------+
| | | |TOTAL NET |
+-----------------------------------------+--------------+-------------+-----------+
| | NOMINAL | VALUATION | ASSETS |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | GBP | % |
+-----------------------------------------+--------------+-------------+-----------+
| Enhanced Global Asset Allocation Cell | GBP | 19,388,256 | 2.93% |
| BNP Paribas Index Derivative Contract | 13,500,255 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas FTSE Summit Cell BNP | GBP | 58,243,148 | 8.81% |
| Paribas Index Derivative Contract | 40,501,195 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Energy - Base Metals Secure | GBP | 24,534,256 | 3.71% |
| Growth Cell BNP Paribas Index | 7,701,999 | | |
| Derivative Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas UK High Income Cell BNP | GBP | 155,660,197 | 23.55% |
| Paribas Index Derivative Contract | 141,613,549 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Energy - Base Metals (2) | GBP | 47,146,255 | 7.13% |
| Cell BNP Paribas Index Derivative | 32,506,140 | | |
| Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas European Shield Cell BNP | GBP | 27,299,250 | 4.13% |
| Paribas Index Derivative Contract | 25,000,000 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Absolute Progression Cell | GBP | 87,388,626 | 13.22% |
| BNP Paribas Index Derivative Contract | 76,748,923 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| US High Income Cell - Class A BNP | GBP | 97,833,246 | 14.80% |
| Paribas Index Derivative Contract | 92,469,987 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| US High Income Cell - Class B BNP | USD | 30,338,276 | 4.59% |
| Paribas Index Derivative Contract | 58,337,229 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Agrinvest Cell BNP Paribas | GBP | 40,082,611 | 6.06% |
| Index Derivative Contract | 37,225,896 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| Euro High Income Cell - Class A BNP | GBP | 44,619,564 | 6.75% |
| Paribas Index Derivative Contract | 45,375,520 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| Euro High Income Cell - Class B BNP | EUR | 6,991,490 | 1.06% |
| Paribas Index Derivative Contract | 10,261,000 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| Hedge Elite Cell BNP Paribas Index | GBP | 21,229,013 | 3.21% |
| Derivative Contract | 21,229,013 | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Enhanced Property Recovery | - | - | - |
| Cell BNP Paribas Index Derivative | | | |
| Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Energy - Base Metals (3) | - | - | - |
| Cell BNP Paribas Index Derivative | | | |
| Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| BNP Paribas Agribusiness Cell BNP | - | - | - |
| Paribas Index Derivative Contract | | | |
+-----------------------------------------+--------------+-------------+-----------+
| | | | |
+-----------------------------------------+--------------+-------------+-----------+
| TOTAL | | 660,754,188 | 99.95% |
+-----------------------------------------+--------------+-------------+-----------+
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 2009
END OF ANNOUNCEMENT
E&OE - in transmission
This information is provided by RNS
The company news service from the London Stock Exchange
END
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