Interim Management Statement

Investec Structured Products Calculus VCT plc

 

Interim Management Statement

 

17 January 2012

 

Investec Structured Products Calculus VCT plc ("the Company") announces its
Interim Management Statement for the period from 1 September 2011 to 30
November 2011. This Statement also includes relevant financial information
between the end of the period to the date of this Statement.

 

The Company is a tax efficient listed company which aims to achieve a regular
tax free dividend stream together with capital growth for private investors.
The Company brings together Investec Structured Product's award winning
expertise in structured products and Calculus Capital's award winning expertise
in venture capital.

 

Headlines

 

·         The total number of ordinary and C shares in issue at 30 November
          2011 was 4,738,463 and 1,931,095 respectively. The total number of the voting
          rights in the Company was 6,669,558.

 

·         The unaudited net asset value ("NAV") per ordinary share as at 30
          November 2011 was 93.66 pence. Taking in to account dividends paid to date, the
          year to date total return at the period end was (3.12) per cent.

 

·         The unaudited NAV per C share as at 30 November 2011 was 92.93 pence.
          No dividends have been paid to date to the holders of C shares.

 

Since 30 November 2011 the unaudited NAV per ordinary share (including current
period revenue) has risen to 95.11 pence as at 31 December 2011. The unaudited
NAV per C share (including current period revenue) has risen to 93.38 pence.

 

Investment in Structured Products

 

As at 30 November 2011, the following investments had been made in Structured
Products. The Structured Products will achieve their target return subject to
the Final Index Level of the FTSE 100 being higher than the Initial Index Level
*. The capital is at risk on a one-for-one basis ("CAR") if the FTSE 100 Index
falls more than 50 per cent. any time during the investment term and fails to
fully recover at maturity such that the Final Index Level is below the Initial
Index Level.

 

At 10 January 2012 the FTSE 100 was 5696.70. Since the Half Year, the FTSE 100
has climbed and now sits above many of the products' strike levels. As a
consequence of this, the values of these Structured Products have increased
considerably and the value of the portfolio has increased in line.

 

Over the past three months the volatility has dropped off, which has negatively
affected valuations. 5 year swap rates have also decreased, which has also had
a negative impact on the valuations of the Structured Products' portfolio. The
strong performance on the FTSE 100 has, however, had the largest impact on the
current value of the portfolio, increasing its value over the last quarter.


Ordinary Share Fund:

 

                          FTSE 100                                                              % of        
                          Initial                                                               Investable  
               Strike     Index      Notional     Purchase   Maturity     Return/ Capital at    Application 
Issuer         Date       Level      Investment   Price      Date         Risk (CAR)            Money       
                                                                                                            
                                                                                                            
                                                                                                            
Royal Bank of  05/05/2010 5,341.93   £275,000     £0.96      12/05/2015   162.5% if FTSE 100    5.83%       
Scotland plc                                                              higher*; CAR if FTSE              
                                                                          100 falls more than               
                                                                          50%                               
                                                                                                            
Investec Bank  14/05/2010 5,262.85   £500,000     £0.98      19/11/2015   185% if FTSE 100      10.81%      
plc                                                                       higher*; CAR if FTSE              
                                                                          100 falls more than               
                                                                          50%                               
                                                                                                            
Abbey National 25/05/2010 4,940.68   £350,000     £0.99      18/11/2015   185% if FTSE 100      7.65%       
Treasury                                                                  higher*; CAR if FTSE              
Services plc                                                              100 falls more than               
                                                                          50%                               
                                                                                                            
                                                                                                            
Nomura Bank    28/05/2010 5,188.43   £350,000     £0.98      20/02/2013   137% if FTSE 100      7.58%       
International                                                             higher*; CAR if FTSE              
                                                                          100 falls more than               
                                                                          50%                               
                                                                                                            
Morgan Stanley 10/06/2010 5,132.50   £500,000     £1.00      17/12/2012   134% if FTSE 100      11.04%      
                                                                          higher*; CAR if FTSE              
                                                                          100 falls more than               
                                                                          50%                               
                                                                                                            
HSBC Bank plc  01/07/2010 4,805.75   £500,000     £1.00      06/07/2012   125.1% if FTSE 100    11.04%      
                                                                          higher*; CAR if FTSE              
                                                                          100 falls more than               
                                                                          50%                               
                                                                                                            
The Royal Bank 18/03/2011 5,718.13   £50,000      £1.00      20/03/2017   Autocallable 10.5%    1.10%       
of Scotland                                                               p.a.; CAR if FTSE 100             
plc                                                                       falls more than 50%               
                                                                                                            
Abbey National 03/08/2011 5,584.51   £50,000      £1.00      05/02/2014   126% if FTSE 100*     1.10%       
Treasury                                                                  higher; CAR if falls              
Services                                                                  more than 50%                     
                                                                                                            

 

 

 

 

 

 

 

C Share Fund:

 

 

                          FTSE 100                                                             % of        
                          Initial                                                              Investable  
               Strike     Index      Notional     Purchase   Maturity     Return/ Capital at   Application 
Issuer         Date       Level      Investment   Price      Date         Risk (CAR)           Money       
                                                                                                           
                                                                                                           
                                                                                                           
Investec Bank  05/08/2011 5,246.99       £450,000      £1.00 10/03/2017   182% if FTSE 100*          24.70%
plc                                                                       higher; CAR if FTSE              
                                                                          100 falls more than              
                                                                          50%                              
                                                                                                           
The Royal Bank 18/03/2011 5,718.13       £200,000      £1.00 20/03/2017   Autocallable 10.5%         10.98%
of Scotland                                                               p.a.; CAR if FTSE                
plc                                                                       100 falls more than              
                                                                          50%                              
                                                                                                           
Abbey National 03/08/2011 5,584.51       £200,000      £1.00 05/02/2014   126% if FTSE 100*          10.98%
Treasury                                                                  higher; CAR if falls             
Services                                                                  more than 50%                    
                                                                                                           

 

*The Final Index Level is calculated using 'averaging', meaning that the
average of the closing levels of the FTSE 100 is taken on each Business Day
over the last 2-6 months of the Structured Product plan term (the length of the
averaging period differs for each plan). The use of averaging to calculate the
return can reduce adverse effects of a falling market or sudden market falls
shortly before maturity. Equally, it can reduce the benefits of an increasing
market or sudden market rises shortly before maturity.


 

 

The total amount invested in Structured Products in the Ordinary Share Fund as
at 30 November 2011 was £2,542,980, representing 56.16 per cent. of net funds
raised.

 

The total amount invested in Structured Products in the C Share Fund as at 30
November 2011 was £850,000, representing 46.66 per cent. of net funds raised.

 

 

Venture Capital Investments

 

The Venture Capital Investments at 30 November 2011 are shown below.

 

Ordinary Share Fund      Sector       Cost         Valuation    % of total        
                                                                portfolio         
                                                                                  
Terrain Energy Limited                                                            
                                                                                  
Ordinary equity                       £100,000     £107,141                       
                         Energy                                                   
Loan stock                            £200,000     £200,000     7.1%              
                                                                                  
Total                                 £300,000     £307,141                       
                                                                                  
Lime Technology Limited                                                           
                                                                                  
Ordinary equity          Low carbon   £57,386      £9,605                         
                         building                                                 
Loan stock               material     £250,000     £250,000     6.0%              
                                                                                  
Total                                 £307,386     £259,605                       
                                                                                  
MicroEnergy Generation                                                            
Services Limited                                                                  
                                                                                  
                                                                                  
                         Alternative                                              
Ordinary equity          energy       £150,000     £150,000                       
                                                                                  
Loan stock                            £150,000     £150,000     7.0%              
                                                                                  
Total                                 £300,000     £300,000                       
                                                                                  
Heritage House Media                                                              
Limited                                                                           
                                                                                  
Ordinary equity          Digital      £13,333      £13,333                        
                         Media                                                    
Loan stock                            £111,754     £111,754     2.9%              
                                                                                  
Total                                 £125,087     £125,087                       
                                                                                  
Investec SPV Limited                                                              
                         Holding                                                  
Ordinary equity          company      £1,834       £1,834                         
                                                                0.04%             
Total                                 £1,834       £1,834                         
                                                                                  

 

 

C Share Fund                                                    % of total        
                         Sector       Cost         Valuation    portfolio         
                                                                                  
                                                                                  
Terrain Energy Limited                                                            
                                                                                  
Ordinary equity                       £45,000      £45,000                        
                         Energy                                                   
Loan stock                            £45,000      £45,000      5.3%              
                                                                                  
Total                                 £90,000      £90,000                        
                                                                                  
Heritage House Media                                                              
Limited                                                                           
                                                                                  
Ordinary equity          Digital      £6,667       £6,667                         
                         media                                                    
Loan stock                            £55,877      £55,877      3.7%              
                                                                                  
Total                                 £62,544      £62,544                        
                                                                                  
Investec SPV Limited                                                              
                         Holding                                                  
Ordinary equity          company      £917         £917                           
                                                                0.05%             
Total                                 £917         £917                           
                                                                                  

 

 

Investment during the period

 

During the three months ended 30 November 2011, the Company invested £3,072 in
converting warrants in Lime Technology Limited to 1,880 shares on behalf of the
Ordinary Share Fund.

 

The Company also invested £13,333 and £6,667 in equity in Heritage House Media
Limited and £111,754 and £55,877 loan stock on behalf of the Ordinary Share
Fund and C Share Fund respectively during the period. Heritage House provides
services to the domestic and inbound tourism industry with particular emphasis
on the heritage sector.  Key brands are Hudson's, Visit Britain and Open
Britain.

 

The Company also invested £1,834 and £917 on behalf of the Ordinary Share Fund
and C Share Fund respectively to acquire 100% of the shares in Investec SPV
Limited. Investec SPV Limited owns shares and securities in Heritage House
Group which were purchased from Foresight 2 VCT plc and Foresight 3 VCT plc.

 

Performance of Qualifying Investments portfolio during the period

 

This quarter saw a significant fall in values across the quoted markets which
has inevitably impacted portfolio valuations. However your Company's Qualifying
Investments portfolio valuation has stood up well comparatively.

 

Events after the period end

 

Since 30 November 2011, the Company has made no further Venture Capital
Investments.

 

 

For further information, please contact:

 

Gary Dale (Investec Structured Products)       020 7597 4065

John Glencross (Calculus Capital Limited)      020 7493 4940