Half-yearly Report

Investec Structured Products Calculus VCT plc Half Yearly Report for the six months ended 31 August 2012 INVESTMENT OBJECTIVE Investment Objective The Company's principal objectives for investors are to: * invest in a portfolio of Venture Capital Investments and Structured Products that will provide investment returns sufficient to allow the Company to maximise annual dividends and pay an interim return either by way of a special dividend or cash offer for shares on or before an interim return date; * generate sufficient returns from a portfolio of Venture Capital Investments that will provide attractive long-term returns within a tax efficient vehicle beyond an interim return date; * review the appropriate level of dividends annually to take account of investment returns achieved and future prospects; and * maintain VCT status to enable qualifying investors to retain their income tax relief of up to 30 per cent. on the initial investment and receive tax-free dividends and capital growth. FINANCIAL REVIEW Ordinary Share Fund 6 Months to Year to 6 Months to 31 August 29 February 31 August 2012 2012 2011 Total return Total return £27,000 (£80,000) (£133,000) Total return per ordinary share 0.6p (1.7)p (2.8)p Revenue Net loss after tax (£27,000) (£71,000) (£37,000) Revenue return per ordinary (0.6)p (1.5)p (0.8)p share As at 31 As at 29 As at 31 August February August 2012 2012 2011 Assets Net assets £4,280,000 £4,501,000 £4,450,000 Net asset value ("NAV") per 90.3p 95.0p 93.9p ordinary share Mid market quotation Ordinary shares 92.5p 97.5p 99.5p Premium to NAV 2.4% 2.6% 6.0% C Share Fund 6 Months to 11 Months to 5 Months to 31 August 29 February 31 August 2012 2012 2011* Total return Total return (£1,000) (£33,000) (£16,000) Total return per C share (0.1)p (1.7)p (0.8)p Revenue Net loss after tax (£18,000) (£45,000) (£21,000) Revenue return per C share (1.0)p (2.3)p (1.1)p As at 31 As at 29 As at 31 August February August 2012 2012 2011 Assets Net assets £1,700,000 £1,788,000 £1,806,000 NAV per C share 88.0p 92.6p 93.5p Mid market quotation C shares 90.0p 94.0p 94.0p Premium to NAV 2.3% 1.5% 0.5% * The C shares were issued in three tranches, on 1 April 2011, 5 April 2011 and 4 May 2011. INTERIM MANAGEMENT REPORT Performance Summary The net asset value per ordinary share was 90.3 pence as at 31 August 2012 compared to 95.0 pence as at 29 February 2012. This is after paying 5.25 pence dividends in July 2011 and July 2012 bringing the total return per ordinary share to 100.8 pence. The net asset value per C share was 88.0 pence as at 31 August 2012 compared to 92.6 pence as at 29 February 2012. This is after paying a 4.5 pence dividend in July 2012, bringing the total return per C share to 92.5 pence. We are encouraged by the Company's performance to date and believe the portfolio is well positioned to make further progress in the second half of the year. Venture Capital Investments Portfolio developments Calculus Capital Limited ("Calculus Capital") manages the VCT's portfolio of qualifying investments. It is intended, over a three year period, to invest approximately 75 per cent. of the Company's funds in a diversified portfolio of unquoted qualifying companies. In general, we prefer to take stakes of sufficient size to enable us to play a more influential role in helping the companies develop. Investments may be by way of a combination of loan stock and/or preference shares as well as equity. This provides income for the VCT to help pay regular dividends and provides a measure of risk mitigation. The Ordinary Share Fund and the C Share Fund are managed separately although they both have the same investment remit and, therefore, both have very similar portfolios. As at 31 August 2012, eight qualifying investments were held by the Ordinary Share Fund: Terrain Energy Limited ("Terrain"), Lime Technology Limited ("Lime"), MicroEnergy Generation Services Limited ("MicroEnergy"), Human Race Group Limited ("Human Race"), Secure Electrans Limited ("Secure"), Metropolitan (formerly Viscount) Safe Custody Services Limited ("Metropolitan"), Brigantes Energy Limited ("Brigantes") and Corfe Energy Limited ("Corfe"). Brigantes and Corfe were originally each set up to acquire oil and gas assets spun out from InfraStrata plc. The C Share Fund currently has four qualifying investments: Terrain, Human Race, Metropolitan and Secure. Terrain Energy Limited Terrain continues to make good progress, and the fair value of the investment has increased to reflect this. Terrain currently has interests in six petroleum licences: Keddington, Kirklington, Dukes Wood, Kelham Hills, Burton on the Wolds and Larne in Northern Ireland in which Terrain has a 10 per cent. interest. The main prospect is a conventional gas play thought to be a geological extension of the Morecambe Bay gas field. A 2D seismic survey of 399 line kilometres has been completed and a number of structural leads have been identified. Terrain also has a 10 per cent. interest in a Nautical Petroleum operated application in the 27th licensing round. The Company has 3.5 per cent. of the equity in Terrain. Other funds managed by Calculus Capital have invested in Terrain and have combined voting rights of 19.3 per cent. Lime Technology Limited Lime is a developer of sustainable, low carbon building materials. Whilst the construction industry contracted in 2011, the 'green' sector showed a modest upward trend. The price of the original investment in 2010 has been written down. Trading was hit by the very bad winter in 2010/11 which effectively stopped all construction activity in the UK for about three months. To avoid this problem in the future, Lime accelerated its shift to supplying precast panels. During this time Calculus Capital also initiated certain management changes. Having completed a contract for the new Marks and Spencer superstore at Cheshire Oaks in 2011, Lime has recently completed its largest contract to date to build the archives for the London Science Museum. MicroEnergy Generation Services Limited MicroEnergy has been set up to generate electricity from renewable micro-generation facilities. As at 31 August 2012, MicroEnergy had 71 turbines installed and this has now increased to 84. The portfolio will provide MicroEnergy with sufficient scale to mitigate against poor short-term performance at any particular site. The revenues from the fleet of installed turbines come from two sources, both of which are inflation protected, being directly linked to RPI. Firstly there is the Government backed feed-in tariff paid by the electricity suppliers for every kilowatt of electricity generated which is guaranteed for twenty years. Secondly there is the export tariff for any surplus electricity not used by the site owner that is exported to the grid. The Company has 5.1 per cent. of the equity in MicroEnergy. Other funds managed by Calculus Capital have invested in MicroEnergy and have combined voting rights of 5.8 per cent. Brigantes Energy Limited Brigantes is an oil and gas exploration and production company with interests in licences in the East Midlands and Northern Ireland. Brigantes owns 40 per cent. of the PL1/10 licence in Northern Ireland which covers 663 square kilometres with permitted development rights for drilling an exploration well. In September 2011, Brigantes acquired a 5 per cent. interest in UK Onshore Petroleum Exploration and Development Licence ("PEDL") 070 from Egdon Resources Avington Limited. PEDL070 includes the Avington oilfield, near Winchester, which has continued to produce oil from the Great Oolite (Bath Stone) at an average gross rate of 75 barrels per day since the well was drilled. Corfe Energy Limited Corfe has interests in two licences: a 5 per cent. interest in Avington oilfield in Hampshire and a 12.5 per cent. interest in Burton on the Wolds in the East Midlands. In February 2012, Corfe entered into a 2:1 farm-in to earn a 12.5 per cent. equity interest in PEDL201 located in Nottinghamshire and Leicestershire from Egdon Resources U.K. Limited and Celtique Energie Petroleum Limited. Corfe is entitled to a 12 per cent. interest in certain onshore licences located at Portland, Dorset awarded to InfraStrata under the 26th Offshore Licensing Round. Human Race Group Limited In April 2012, the Company invested in Participate Sport Limited ("Participate"), a company that owns and operates mass participation sports events including running, cycling, swimming and triathlon. The investment was made to support the acquisition of Human Race. The merger creates the UK's largest and most diverse mass participation sports events company. The combined group owns and delivers over 55 events in triathlon, cycling, running, duathlon, aquathlon and open water swimming for over 100,000 participants of all abilities and ages. Participate's objective is to be a leader in the ownership and delivery of mass participation sports events internationally. The mass participation industry has grown strongly over the past decade and its rapid growth has been relatively unaffected by the recent economic recession. Participate has subsequently changed its name to Human Race Group Limited. The Company has 3.0 per cent. of the equity in Human Race. Other funds managed by Calculus Capital have invested in Human Race and have combined voting rights of 36.2 per cent. Secure Electrans Limited Secure was founded in 2000 and has developed internationally patented systems that provide solutions to card payment fraud, a market place that is ready for high growth. Chip and pin has significantly reduced retail credit card fraud much of which has moved to 'card not present' transactions on devices such as home computers, mobile phones and other similar payment devices. Secure's systems provide two factor verification (chip and pin) for card not present transactions and has patents that allow an even higher level of verification (three factor verification) for card not present transactions (chip, pin and geolocation). A pilot roll out involving leading companies in the payments industry is planned to commence shortly. Metropolitan (formerly Viscount) Safe Custody Services Limited In February 2012 the Company invested £280,000 in Metropolitan, a holding company for Metropolitan Safe Deposits Limited that provides safe custody services in the central London area. Metropolitan is one of the oldest established brand names in the safe custody sector in London. Traditionally this service has been provided by banks but high street banks are fast withdrawing from such physical banking services, providing opportunities for independent operators. Metropolitan is well placed to take advantage of these opportunities. Metropolitan recently acquired the assets of the London Safe Deposit Company and is launching a gold service to acquire, transport, store and sell gold on behalf of high net worth customers later in the autumn. The Company has 3.2 per cent. of the equity in Metropolitan. Other funds managed by Calculus Capital have invested in Metropolitan and have combined voting rights of 38.9 per cent. Developments since the period end There have not been any significant developments in the venture capital portfolio since the period end. Structured Products Portfolio In line with the Company's strategy set out in the original offer documents, a large percentage of the initial cash raised has been used to build a portfolio of Structured Products. The portfolio of Structured Products has been constructed with different issuers and differing maturity periods to minimise risk and create a diversified portfolio. In the Ordinary Share Fund, the HSBC investment has matured, paying 25.1 per cent. The RBS Autocallable matured in both the Ordinary Share and C Share Funds, paying a 10.5 per cent. return. The FTSE 100 Initial Index levels for the remaining investments range from 4,940.68 to 5,584.51. The Morgan Stanley Product is the next product due to reach maturity. This will mature on 17 December 2012 and the potential return is 134 per cent. of £500,000, which would total £670,000. The strike is 5,132.50 and the FTSE 100, at 5,805.05 as at 25 October 2012, is sitting comfortably higher. The original intention was to borrow in order to provide cash flow for Qualifying Investments pending maturity of some of the portfolio of Structured Products. After consideration of the relative costs involved at the time, the Board decided to sell the Nomura Structured Product early rather than raise funds by borrowing. The Managers raised £441,875 for Qualifying Investments in the Ordinary Share Fund by selling the Nomura Structured Product in March at its fair market value to the C Share Fund. The price at which this was sold gave a healthy return to the Ordinary Share Fund and should allow the C Share Fund to gain a better return in nine months than could be had by investing in a primary issue with similar risk. The cash flow improves for the Company as a whole, as returns have been captured earlier than expected. The starting level of the FTSE 100 for the Nomura Structured Product was 5,188.43. As long as the Final Index Level is above this level when it matures on 20 February 2013, the product will yield the maximum payoff. Over the past three months swap rates have remained low, market volatility has declined further and the FTSE 100 has increased to sit comfortably above all of the products' strike levels. The market environment remains poor, but the FTSE 100 has performed well since the original investments in the Structured Products portfolio. As at 31 August 2012, 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. Ordinary Share Fund Structured Products Portfolio as at 31 August 2012 FTSE 100 Valuation Initial Price as at as at Return/Capital Strike Maturity Index Notional Purchase 31 August 31 August at Risk Issuer Date Date Level Investment Price Cost 2012 2012 ("CAR") The Royal 05/05/2010 12/05/2015 5,341.93 £275,000 £0.96 £264,000 £1.1851 £325,903 162.5% if FTSE Bank of 100* higher; CAR Scotland if FTSE 100 plc falls more than 50% Investec 14/05/2010 19/11/2015 5,262.85 £500,000 £0.98 £489,550 £1.2377 £618,850 185% if FTSE Bank plc 100* higher; CAR if FTSE 100 falls more than 50% Abbey 25/05/2010 18/11/2015 4,940.68 £350,000 £0.99 £346,430 £1.3638 £477,330 185% if FTSE National 100* higher; CAR Treasury if FTSE 100 Services falls more than 50% Morgan 10/06/2010 17/12/2012 5,132.50 £500,000 £1.00 £500,000 £1.2850 £642,500 134% if FTSE Stanley 100* higher; CAR International if FTSE 100 falls more than 50% Abbey 03/08/2011 05/02/2014 5,584.51 £50,000 £1.00 £50,000 £1.0613 £53,065 126% if FTSE National 100* higher; CAR Treasury if falls more Services than 50% Matured/Sold FTSE 100 Initial Valuation Index Price as at as at Return/Capital Strike Maturity Level at Notional Purchase Maturity/ Maturity/ at Risk Issuer Date Date Maturity Investment Price Cost Sale Sale ("CAR") HSBC 01/07/2010 06/07/2012 4,805.75 £500,000 £1.00 £500,000 £1.2510 £625,500 125.1% if FTSE Bank 100* higher; CAR plc if FTSE 100 falls more than 50% The Royal 18/03/2011 19/03/2012 5,718.13 £50,000 £1.00 £50,000 £1.1050 £55,250 Autocallable Bank of 10.5% p.a.; CAR Scotland if FTSE 100 plc falls more than 50% Nomura 28/05/2010 20/02/2013 5,188.43 £350,000 £0.98 £343,000 £1.2625 £441,875 137% if FTSE Bank 100* higher; CAR International if FTSE 100 ** falls more than 50% The total current valuation of the amount invested in Structured Products in the Ordinary Share Fund as at 31 August 2012 was £2,117,648. C Share Fund Structured Products Portfolio as at 31 August 2012 FTSE 100 Price Valuation Initial as at as at Return/Capital Strike Maturity Index Notional Purchase 31 August 31 August at Risk Issuer Date Date Level Investment Price Cost 2012 2012 ("CAR") Investec 05/08/2011 10/03/2017 5,246.99 £328,000 £1.00 £328,000 £1.1546 £378,707 182% if FTSE 100* Bank higher; CAR if plc FTSE 100 falls more than 50% Abbey 03/08/2011 05/02/2014 5,584.51 £200,000 £1.00 £200,000 £1.0613 £212,260 126% if FTSE 100* National higher; CAR if Treasury falls more than Services 50% Nomura 28/05/2010 20/02/2013 5,188.43 £350,000 £1.2625 £441,875 £1.2958 £453,530 137% if FTSE 100* Bank higher; CAR if International FTSE 100 falls more than 50% Matured FTSE 100 Initial Index Price Valuation Return/Capital Strike Maturity Level Notional Purchase as at as at at Risk Issuer Date Date at Maturity Investment Price Cost Maturity Maturity (CAR) The Royal 18/03/2011 19/03/2012 5,718.13 £200,000 £1.00 £200,000 £1.1050 £221,000 Autocallable Bank of 10.5% p.a.; Scotland CAR if FTSE plc 100 falls more than 50% The total current valuation of the amount invested in Structured Products in the C Share Fund as at 31 August 2012 was £1,044,497. * 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 Nomura Structured Product was sold prior to maturity with a return on initial investment of 28.8 per cent. This was sold to the C Share Fund. Outlook Although conditions remain difficult for the UK economy in 2012, there are signs of improvement for 2013. The companies in the portfolio are positioned to benefit from the upturn. The value of the Structured Products is dependent on the performance of the underlying indices which reflect global economic conditions. Structured Products will represent a decreasing proportion of the portfolio as the Company continues to make Qualifying Investments towards the minimum 70 per cent. target. Calculus Capital Limited Investec Structured Products 30 October 2012 30 October 2012 INVESTMENT PORTFOLIO AS AT 31 AUGUST 2012 - ORDINARY SHARE FUND Sector % Structured Products 53% Unquoted - Qualifying Investments 42% Unquoted - other non-Qualifying Investments 5% 100% Net Assets % Structured Products 50% Unquoted - loan stock 21% Unquoted - ordinary and preference shares 17% Unquoted - other non-Qualifying Investments 5% Net current assets 7% 100% Nature of Book Cost Valuation % of Net % of Company Business £'000 £'000 Assets Portfolio Structured Products Investec Bank plc Banking 490 619 15% 16% The Royal Bank of Scotland plc Banking 264 326 8% 8% Abbey National Treasury Services Banking 396 530 12% 13% Morgan Stanley International Banking 500 643 15% 16% Total Structured 1,650 2,118 50% 53% Products Qualifying Investments Onshore oil and Terrain Energy Limited gas production 300 313 7% 8% Lime Technology Limited Construction 307 266 6% 6% MicroEnergy Generation Services Limited Energy 300 300 7% 8% Brigantes Energy Limited Energy 125 125 3% 3% Corfe Energy Limited Energy 75 75 2% 2% Human Race Group Limited Leisure 300 300 7% 8% Heritage House Media Publishing and Limited* media services 127 - - - E-commerce Secure Electrans Limited security 100 100 2% 2% Metropolitan Safe Safe depository Custody Services Limited services 190 190 4% 5% Total Qualifying Investments 1,824 1,669 38% 42% Other non-Qualifying Investments Fidelity Liquidity Fund Liquidity fund 81 81 2% 2% Goldman Sachs Liquidity Fund Liquidity fund 50 50 1% 1% Scottish Widows Liquidity Fund Liquidity fund 65 65 2% 2% Total Other non-Qualifying Investments 196 196 5% 5% Total investments 3,670 3,983 93% 100% Net current assets less creditors due after one year 297 7% Net assets 4,280 100% * Included in the cost is £1,834 invested in Investec SPV Limited, a wholly owned subsidiary of the Company. INVESTMENT PORTFOLIO AS AT 31 AUGUST 2012 - C SHARE FUND Sector % Structured Products 64% Unquoted - Qualifying Investments 24% Unquoted - other non-Qualifying Investments 12% 100% Net Assets % Structured Products 62% Unquoted - loan stock 11% Unquoted - ordinary and preference shares 11% Unquoted - other non-Qualifying Investments 12% Net current assets 4% 100% Nature of Book Cost Valuation % of Net % of Company Business £'000 £'000 Assets Portfolio Structured Products Investec Bank plc Banking 328 379 22% 23% Abbey National Treasury Services Banking 200 212 13% 13% Nomura Bank International Banking 442 454 27% 28% Total Structured Products 970 1,045 62% 64% Qualifying Investments Terrain Energy Onshore oil and Limited gas production 90 93 5% 6% Human Race Group Limited Leisure 150 150 9% 9% Heritage House Media Publishing and Limited* media services 64 - - - Secure Electrans E-commerce Limited security 50 50 3% 3% Metropolitan Safe Custody Services Safe depository Limited services 90 90 5% 6% Total Qualifying Investments 444 383 22% 24% Other non-Qualifying Investments Fidelity Liquidity Fund Liquidity fund 101 101 6% 6% Goldman Sachs Liquidity Fund Liquidity fund 50 50 3% 3% Scottish Widows Liquidity Fund Liquidity fund 47 47 3% 3% Total Other non-Qualifying Investments 198 198 12% 12% Total investments 1,612 1,626 96% 100% Net current assets less creditors due after one year 74 4% Net assets 1,700 100% * Included in the cost is £917 invested in Investec SPV Limited. PRINCIPAL RISKS The principal risks facing the Company are substantially unchanged since the date of the Annual Report and Accounts for the year ended 29 February 2012 and continue to be as set out in that report. Risks faced by the Company include, but are not limited to, loss of approval as a venture capital trust and other regulatory breaches, risks of making Venture Capital Investments, risks attaching to investment in Structured Products, liquidity/marketability risk, changes in legislation/taxation, engagement of third party advisers, C shares versus ordinary shares, market price risk and credit risk. DIRECTORS' RESPONSIBILITY STATEMENT The Directors confirm that to the best of their knowledge: * the condensed set of financial statements has been prepared in accordance with the Statement on Half Yearly Financial Reports issued by the UK Accounting Standards Board and gives a true and fair view of the assets, liabilities and financial position of the Company; and * this Half Yearly Financial Report includes a fair review of the information required by: a) DTR 4.2.7R of the Disclosure and Transparency Rules, being an indication of important events that have occurred during the first six months of the financial year and their impact on the condensed set of financial statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and b) DTR 4.2.8R of the Disclosure and Transparency Rules, being related party transactions that have taken place in the first six months of the current financial year and that have materially affected the financial position or performance of the Company during that period; and any changes in the related party transactions described in the last Annual Report that could do so. This Half Yearly Financial Report was approved by the Board of Directors on 30 October 2012 and the above responsibility statement was signed on its behalf by Michael O'Higgins, Chairman. CONDENSED INCOME STATEMENT FOR THE PERIOD FROM 1 MARCH 2012 TO 31 AUGUST 2012 (UNAUDITED) 6 Months Ended 6 Months Ended 12 Months Ended 31 August 2012 31 August 2011 29 February 2012* Revenue Capital Revenue Capital Revenue Capital Return Return Total Return Return Total Return Return Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000 Ordinary Share Fund Investment holding (losses)/gains - (159) (159) - (78) (78) - 26 26 Realised gains on investments - 230 230 - - - - - - Income 32 - 32 23 - 23 48 - 48 Investment management fee (5) (17) (22) (6) (18) (24) (12) (35) (47) Other operating expenses (54) - (54) (54) - (54) (107) - (107) (Loss)/profit on ordinary activities before taxation (27) 54 27 (37) (96) (133) (71) (9) (80) Taxation on ordinary activities (note 3) - - - - - - - - - (Loss)/profit on ordinary activities after taxation (27) 54 27 (37) (96) (133) (71) (9) (80) Return per ordinary share - basic (0.6)p 1.2p 0.6p (0.8)p (2.0)p (2.8)p (1.5)p (0.2)p (1.7)p (note 2) 6 Months Ended 5 Months Ended 11 Months Ended 31 August 2012 31 August 2011 29 February 2012* Revenue Capital Revenue Capital Revenue Capital Return Return Total Return Return Total Return Return Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000 C Share Fund Investment holding (losses)/gains - (10) (10) - 11 11 - 24 24 Realised gains on investments - 34 34 - - - - - - Income 6 - 6 3 - 3 7 - 7 Investment management fee (2) (7) (9) (2) (6) (8) (4) (12) (16) Other operating expenses (22) - (22) (22) - (22) (48) - (48) (Loss)/profit on ordinary activities before taxation (18) 17 (1) (21) 5 (16) (45) 12 (33) Taxation on ordinary activities (note 3) - - - - - - - - - (Loss)/profit on ordinary activities after taxation (18) 17 (1) (21) 5 (16) (45) 12 (33) Return per C share - basic (1.0)p 0.9p (0.1)p (1.1)p 0.3p (0.8)p (2.3)p 0.6p (1.7)p (note 2) * These figures are audited. The total columns of these statements represent the Income Statement of the Ordinary Share Fund and the C Share Fund. The supplementary revenue return and capital return columns are both prepared in accordance with the Association of Investment Companies ("AIC") Statement of Recommended Practice ("SORP"). 6 Months Ended 6 Months Ended 12 Months Ended 31 August 2012 31 August 2011 29 February 2012* Revenue Capital Revenue Capital Revenue Capital Return Return Total Return Return Total Return Return Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000 Total Investment holding (losses)/gains - (169) (169) - (67) (67) - 50 50 Realised gains on investments - 264 264 - - - - - - Income 38 - 38 26 - 26 55 - 55 Investment management fee (7) (24) (31) (8) (24) (32) (16) (47) (63) Other operating expenses (76) - (76) (76) - (76) (155) - (155) (Loss)/profit on ordinary activities before taxation (45) 71 26 (58) (91) (149) (116) 3 (113) Taxation on ordinary activities (note 3) - - - - - - - - - (Loss)/profit on ordinary activities after taxation (45) 71 26 (58) (91) (149) (116) 3 (113) Return per ordinary share - basic (0.6)p 1.2p 0.6p (0.8)p (2.0)p (2.8)p (1.5)p (0.2)p (1.7)p (note 2) Return per C share - basic (1.0)p 0.9p (0.1)p (1.1)p 0.3p (0.8)p (2.3)p (0.6)p (1.7)p (note 2) * These figures are audited. The total column of this statement represents the Company's Income Statement. The supplementary revenue return and capital return columns are both prepared in accordance with the AIC SORP. No operations were acquired or discontinued during the period. All items in the above statements derive from continuing operations. There were no recognised gains or losses other than those passing through the Income Statement. The notes form an integral part of these Accounts. CONDENSED RECONCILIATION OF MOVEMENTS IN SHAREHOLDERS' FUNDS FOR THE PERIOD FROM 1 MARCH 2012 TO 31 AUGUST 2012 (UNAUDITED) Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 Ordinary Share Fund For the 6 month period to 31 August 2012 1 March 2012 47 - 4,226 (61) 472 (183) 4,501 IFA trail commission accrual adjustment - - 1 - - - 1 Unrealised net decrease in value of investments - - - - (159) - (159) Gain on disposal of investments - - - 230 - - 230 Management fee allocated to capital - - - (17) - - (17) Revenue return on ordinary activities after tax - - - - - (27) (27) Dividend paid (note 8) - - (249) - - - (249) Closing balance 47 - 3,978 152 313 (210) 4,280 For the 6 month period to 31 August 2011 1 March 2011 47 752 3,729 (26) 446 (112) 4,836 Loss for the period - - - (18) (78) (37) (133) Expenses of share issues - (4) - - - - (4) Dividends paid - - (249) - - - (249) 31 August 2011 47 748 3,480 (44) 368 (149) 4,450 For the year ended 29 February 2012* 1 March 2011 47 752 3,729 (26) 446 (112) 4,836 Cancellation of share premium - (747) 747 - - - - Expenses of share issue - (5) (1) - - - (6) Unrealised net increase in value of investments - - - - 26 - 26 Management fee allocated to capital - - - (35) - - (35) Revenue return on ordinary activities after tax - - - - - (71) (71) Dividend paid - - (249) - - - (249) 29 February 2012 47 - 4,226 (61) 472 (183) 4,501 Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 C Share Fund For the 6 month period to 31 August 2012 1 March 2012 19 - 1,802 (12) 24 (45) 1,788 Unrealised net decrease in value of investments - - - - (10) - (10) Gain on disposal of investments - - - 34 - - 34 Management fee allocated to capital - - - (7) - - (7) Revenue return on ordinary activities after tax - - - - - (18) (18) Dividend paid (note 8) - - (87) - - - (87) Closing balance 19 - 1,715 15 14 (63) 1,700 For the 5 month period to 31 August 2011 1 March 2011 - - - - - - - (Loss)/gain for the period - - - (6) 11 (21) (16) Increase in share capital in issue 19 1,912 - - - - 1,931 Expenses of share issues - (109) - - - - (109) 31 August 2011 19 1,803 - (6) 11 (21) 1,806 For the 11 month period to 29 February 2012* 1 March 2011 - - - - - - - Increase in share capital in issue 19 1,912 - - - - 1,931 Cancellation of share premium - (1,802) 1,802 - - - - Expenses of share issue - (110) - - - - (110) Unrealised net increase in value of investments - - - - 24 - 24 Management fee allocated to capital - - - (12) - - (12) Revenue return on ordinary activities after tax - - - - - (45) (45) 29 February 2012 19 - 1,802 (12) 24 (45) 1,788 Share Capital Capital Share Premium Special Reserve Reserve Revenue Capital Account Reserve Realised Unrealised Reserve Total £'000 £'000 £'000 £'000 £'000 £'000 £'000 Total For the 6 month period to 31 August 2012 1 March 2012 66 - 6,028 (73) 496 (228) 6,289 Share issue expense adjustment - - 1 - - - 1 Unrealised net decrease in value of investments - - - - (169) - (169) Gain on disposal of investments - - - 264 - - 264 Management fee allocated to capital - - - (24) - - (24) Revenue return on ordinary activities after tax - - - - - (45) (45) Dividend paid (note 8) - - (336) - - - (336) Closing balance 66 - 5,693 167 327 (273) 5,980 For the 6 month period to 31 August 2011 1 March 2011 47 752 3,729 (26) 446 (112) 4,836 Loss for the period - - - (24) (67) (58) (149) Increase in share capital in issue 19 1,912 - - - - 1,931 Expenses of share issues - (113) - - - - (113) Dividends paid - - (249) - - - (249) 31 August 2011 66 2,551 3,480 (50) 379 (170) 6,256 For the year ended 29 February 2012* 1 March 2011 47 752 3,729 (26) 446 (112) 4,836 Increase in share capital in issue 19 1,912 - - - - 1,931 Cancellation of share premium - (2,549) 2,549 - - - - Expenses of share issue - (115) (1) - - - (116) Unrealised net increase in value of investments - - - - 50 - 50 Management fee allocated to capital - - - (47) - - (47) Revenue return on ordinary activities after tax - - - - - (116) (116) Dividend paid - - (249) - - - (249) 29 February 2012 66 - 6,028 (73) 496 (228) 6,289 * These figures are audited. The notes form an integral part of these Accounts. CONDENSED BALANCE SHEET AS AT 31 AUGUST 2012 (UNAUDITED) 31 August 31 August 29 February 2012 2011 2012* Note £'000 £'000 £'000 Ordinary Share Fund Fixed assets Investments designated at fair 4 3,983 4,260 4,435 value through profit or loss Current assets Debtors 155 302 119 Cash at bank and on deposit 221 147 28 376 449 147 Creditors: amounts falling due within one year Creditors (67) (141) (66) Due to C Share Fund - (100) - Net current assets 309 208 (66) Non-current liabilities IFA trail commission (12) (18) 81 Total net assets 4,280 4,450 4,501 Capital and reserves Called-up share capital 7 47 47 47 Share premium account - 748 - Special reserve 3,978 3,480 4,226 Capital reserve - realised 152 (44) (61) Capital reserve - unrealised 313 368 472 Revenue reserve (210) (149) (183) Total shareholders' funds 4,280 4,450 4,501 Net asset value per ordinary share 5 90.3p 93.9p 95.0p * These figures are audited. The notes form an integral part of these accounts. 31 August 31 August 29 February 2012 2011 2012* Note £'000 £'000 £'000 C Share Fund Fixed assets Investments designated at fair value through profit or loss 4 1,626 1,684 1,691 Current assets Debtors 73 55 51 Cash at bank and on deposit 60 29 104 133 84 155 Creditors: amounts falling due within one year Creditors (50) (51) (48) Due from Ordinary Share Fund - 100 - Net current assets 83 133 107 Non-current liabilities IFA trail commission (9) (11) (10) Total net assets 1,700 1,806 1,788 Capital and reserves Called-up share capital 7 19 19 19 Share premium account - 1,803 - Special reserve 1,715 - 1,802 Capital reserve - realised 15 (6) (12) Capital reserve - unrealised 14 11 24 Revenue reserve (63) (21) (45) Total shareholders' funds 1,700 1,806 1,788 Net asset value per C share 5 88.0p 93.5p 92.6p * These figures are audited. The notes form an integral part of these accounts. 31 August 31 August 29 February 2012 2011 2012* Note £'000 £'000 £'000 Total Fixed assets Investments designated at fair value through profit or loss 4 5,609 5,944 6,126 Current assets Debtors 228 357 170 Cash at bank and on deposit 281 176 132 509 533 302 Creditors: amounts falling due within one year Creditors (117) (192) (114) Net current assets 392 341 (188) Non-current liabilities IFA trail commission (21) (29) (25) Total net assets 5,980 6,256 6,289 Capital and reserves Called-up share capital 7 66 66 66 Share premium account - 2,551 - Special reserve 5,693 3,480 6,028 Capital reserve - realised 167 (50) (73) Capital reserve - unrealised 327 379 496 Revenue reserve (273) (170) (228) Total shareholders' funds 5,980 6,256 6,289 Net asset value per ordinary share 5 90.3p 93.9p 95.0p Net asset value per C share 5 88.0p 93.5p 92.6p * These figures are audited. The notes form an integral part of these Accounts. CONDENSED CASH FLOW STATEMENT FOR TO THE PERIOD FROM 1 MARCH 2012 TO 31 AUGUST 2012 (UNAUDITED) 6 Months 6 Months 12 Months Ended Ended Ended 31 August 31 August 29 February 2012 2011 2012* Note £'000 £'000 £'000 Ordinary Share Fund Operating activities Investment income received 36 10 24 Deposit interest received - 2 2 Investment management fees (22) (23) (46) Other cash payments (95) (64) (104) Cash expended from operations 6 (81) (75) (124) Cash flow from investing activities Purchase of investments (600) (455) (775) Sale of investments 1,123 605 855 Net cash flow from investing activities 523 150 80 Net cash flow before financing activities 442 75 (44) Cash flow from financing activities Expenses of share issues - (5) (5) Net cash flow from financing activities - (5) (5) Equity dividend paid 8 (249) (249) (249) Increase/(decrease) in cash at bank and on deposit 193 (179) (298) 6 Months 5 Months 11 Months Ended Ended Ended 31 August 31 August 29 February 2012 2011 2012* Note £'000 £'000 £'000 C Share Fund Operating activities Investment income received 3 1 4 Investment management fees (9) - (12) Other cash payments (40) (155) (79) Cash expended from operations 6 (46) (154) (87) Cash flow from investing activities Purchase of investments (642) (1,673) (2,594) Sale of investments 731 - 928 Net cash flow from investing activities 89 (1,673) (1,666) Net cash flow before financing activities 43 (1,827) (1,753) Cash flow from financing activities Shares issued - 1,931 1,931 Expenses of share issue - (75) (74) Net cash flow from financing activities - 1,856 1,857 Equity dividend paid 8 (87) - - (Decrease)/increase in cash at bank and on deposit (44) 29 104 6 Months 6 Months 12 Months Ended Ended Ended 31 August 31 August 29 February 2012 2011 2012* Note £'000 £'000 £'000 Total Operating activities Investment income received 39 11 28 Deposit interest received - 2 2 Investment management fees (31) (23) (58) Other cash payments (135) (219) (183) Cash expended from operations 6 (127) (229) (211) Cash flow from investing activities Purchase of investments (1,242) (2,128) (3,369) Sale of investments 1,854 605 1,783 Net cash flow from investing activities 612 (1,523) (1,586) Net cash flow before financing activities 485 (1,752) (1,797) Cash flow from financing activities Shares issued - 1,931 1,931 Expenses of share issues - (80) (79) Net cash flow from financing activities - 1,851 1,852 Equity dividend paid 8 (336) (249) (249) Increase/(decrease) in cash at bank and on deposit 149 (150) (194) * These figures are audited. The notes form an integral part of these Accounts. CONDENSED NOTES TO THE ACCOUNTS 1. Nature of Financial Information Basis of accounting These Accounts have been prepared under the historical cost convention, except for the valuation of financial assets at fair value through profit or loss, in accordance with UK Generally Accepted Accounting Practice ("UK GAAP"). These Accounts cover the six month period ended 31 August 2012. In determining the analysis of total income and expenses as between capital return and revenue return, the Directors have followed the guidance contained in the AIC SORP, as revised in 2009, and on the assumption that the Company maintains VCT status. The Accounts are prepared on the basis of the accounting policies set out in the Annual Report and Accounts for the year ended 29 February 2012. The financial information contained in this report does not constitute full statutory accounts as defined in Section 434 of the Companies Act 2006. The financial information for the six months to 31 August 2012 and the period to 31 August 2011 has not been audited or reviewed by the Company's Auditors pursuant to the Auditing Practices Board guidance on such reviews. The information for the year ended 29 February 2012 has been extracted from the latest published Annual Report and Accounts, which have been filed with the Registrar of Companies. The report of the Auditors on those Accounts contained no qualification or statement under Section 498(2) or (3) of the Companies Act 2006. Going concern After making enquiries, and having reviewed the portfolio, balance sheet and projected income and expenditure for the next twelve months, the Directors have a reasonable expectation that the Company has adequate resources to continue in operation for the foreseeable future. The Directors have therefore adopted the going concern basis in preparing these Accounts. 2. Return per Share 6 Months Ended Period Ended 12 Months Ended 31 August 2012 31 August 2011 29 February 2012 Revenue Capital Total Revenue Capital Total Revenue Capital Total pence pence pence pence pence pence pence pence pence Return per ordinary (0.6) 1.2 0.6 (0.8) (2.0) (2.8) (1.5) (0.2) (1.7) share Return per C share (1.0) 0.9 (0.1) (1.1) 0.3 (0.8) (2.3) 0.6 (1.7) Ordinary shares Revenue return per ordinary share is based on the net revenue loss on ordinary activities after taxation of £27,000 (31 August 2011: £37,000; 29 February 2012: £71,000) and on 4,738,463 ordinary shares (31 August 2011: 4,738,463; 29 February 2012: 4,738,463), being the weighted average number of ordinary shares in issue during the period. Capital return per ordinary share is based on the net capital gain for the period of £54,000 (31 August 2011: £96,000 loss; 29 February 2012: £9,000 loss) and on 4,738,463 ordinary shares (31 August 2011: 4,738,463; 29 February 2012: 4,738,463), being the weighted average number of ordinary shares in issue during the period. Total return per ordinary share is based on the net gain on ordinary activities for the period of £27,000 (31 August 2011: £133,000 loss; 29 February 2012: £80,000 loss) and on 4,738,463 ordinary shares (31 August 2011: 4,738,463; 29 February 2012: 4,738,463), being the weighted average number of ordinary shares in issue during the period. C shares Revenue return per C share is based on the net revenue loss on ordinary activities after taxation of £18,000 (31 August 2011: £21,000; 29 February 2012: £45,000) and on 1,931,095 C shares (31 August 2011: 1,904,924; 29 February 2012: 1,919,142) , being the weighted average number of C shares in issue during the period. Capital return per C share is based on the net capital gain for the period of £17,000 (31 August 2011: £5,000; 29 February 2012: £12,000) and on 1,931,095 C shares (31 August 2011: 1,904,924; 29 February 2012: 1,919,142), being the weighted average number of C shares in issue during the period. Total return per C share is based on the total loss for the period of £1,000 (31 August 2011: £16,000; 29 February 2012 £33,000) and on 1,931,095 C shares (31 August 2011: 1,904,924; 29 February 2012: 1,919,142), being the weighted average number of C shares in issue during the period. 3. Taxation on Ordinary Activities The estimated effective tax rate at the year end is 0 per cent. for both share funds. This remains unchanged from the prior period. 4. Investments at Fair Value through Profit or Loss 31 August 31 August 29 February 2012 2011 2012 £'000 £'000 £'000 Ordinary Share Fund Investment portfolio summary Investments in Structured Products 2,118 2,928 3,156 Unquoted investments 1,669 887 1,083 Other investments 196 445 196 3,983 4,260 4,435 C Share Fund Investment portfolio summary Investments in Structured Products 1,045 861 935 Unquoted investments 383 90 183 Other investments 198 733 573 1,626 1,684 1,691 Total Investment portfolio summary Investments in Structured Products 3,163 3,789 4,091 Unquoted investments 2,052 977 1,266 Other investments 394 1,178 769 5,609 5,944 6,126 5. Net Asset Value per Share 31 August 31 August 29 February 2012 2011 2012 pence pence pence Net asset value per ordinary share 90.3 93.9 95.0 Net asset value per C share 88.0 93.5 92.6 The basic net asset value per ordinary share is based on net assets of £4,280,000 (31 August 2011: £4,450,000; 29 February 2012: £4,501,000) and on 4,738,463 ordinary shares (31 August 2011: 4,738,463; 29 February 2012: 4,738,463), being the number of ordinary shares in issue at the period end. The basic net asset value per C share is based on net assets of £1,700,000 (31 August 2011: £1,806,000; 29 February 2012: £1,788,000) and on 1,931,095 C shares (31 August 2011: 1,931,095; 29 February 2012: 1,931,095), being the number of C shares in issue at the period end. 6. Reconciliation of Net Profit/(Loss) before Tax to Cash Expended from Operating Activities 31 August 31 August 29 February 2012 2011 2012 £'000 £'000 £'000 Ordinary Share Fund Profit/(loss) on ordinary activities 27 (133) (80) before taxation (Gains)/losses on investments (71) 78 (26) Interfund receipt - (2) - Income reinvested - - (1) (Increase)/decrease in debtors (36) (85) 95 (Decrease)/increase in creditors (1) 67 (112) Cash expended from operating activities (81) (75) (124) C Share Fund Loss on ordinary activities before (1) (16) (33) taxation Gains on investments (24) (11) (24) Interfund payment - 2 -Income reinvested (1) - (1) Increase in debtors (22) (155) (51) Increase in creditors 2 26 22 Cash expended from operating activities (46) (154) (87) Total Profit/(loss) on ordinary activities 26 (149) (113) before taxation (Gains)/losses on investments (95) 67 (50) Income reinvested (1) - (2) (Increase)/decrease in debtors (58) (140) 44 Increase/(decrease) in creditors 1 (7) (90) Cash expended from operating activities (127) (229) (211) 7. Called-up Share Capital 31 August 2012 Number £'000 Ordinary shares of 1p each 4,738,463 47 C shares of 1p each 1,931,095 19 8. Dividends For the year to 29 February 2012 the Ordinary Share Fund declared a final dividend of 5.25p per ordinary share on 4,738,463 shares amounting to £248,769. The dividend was paid on 31 July 2012 to ordinary shareholders on the register at 15 June 2012. For the year to 29 February 2012 the C Share Fund declared a final dividend of 4.5p per C share on 1,931,095 shares amounting to £86,899. The dividend was paid on 31 July 2012 to C shareholders on the register at 15 June 2012. 9. Related Party Transactions Investec Structured Products is a related party in respect of its appointment as an Investment Manager to the Company and is entitled to a performance incentive fee. Investec Structured Products will receive an arrangement fee of 0.75 per cent. of the amount invested in each Structured Product. This arrangement fee shall be paid to Investec Structured Products by the issuer of the relevant Structured Product. No arrangement fee will be paid to Investec Structured Products in respect of any decision to invest in Investec-issued Structured Products. Investec Structured Products has agreed not to earn an annual management fee from the Company. As at 31 August 2012, £nil (31 August 2011: £81,000; 29 February 2012: £nil) was payable to Investec Structured Products in relation to the initial fee of 5 per cent. of the gross funds raised pursuant to the original ordinary share offer. £22,000 (31 August 2011: £22,000; 29 February 2012: £22,000) was payable to Investec Structured Products in relation to the initial fee of 5 per cent. of the gross funds raised pursuant to the C share offer. In addition, £121,000 (31 August 2011: £230,000; 29 February 2012: £81,000) was owed to the Ordinary Share Fund by Investec Structured Products as claw back of costs in excess of the agreed expenses cap of 3 per cent. £68,000 (31 August 2011: £33,000; 29 February 2012: £49,000) was owed to the C Share Fund. Calculus Capital is regarded as a related party in respect of its appointment as an Investment Manager to the Company. For the period ended 31 August 2012, fees of £31,000 (31 August 2011: £32,000; 29 February 2012: £63,000) were payable to Calculus Capital, of which £15,000 (31 August 2011: £20,000; 29 February 2012: £15,000) was outstanding (£11,000 by the Ordinary Share Fund and £4,000 by the C Share Fund) as at 31 August 2012. Calculus Capital is also entitled to a performance incentive fee. John Glencross is considered to be a related party due to his position as Chief Executive and a director of Calculus Capital, one of the Company's Investment Managers. He does not receive any remuneration from the Company. He is a director of Terrain Energy Limited, Lime Technology Limited and Human Race Group Limited, companies in which the Company has invested. Calculus Capital receives a fee from Terrain Energy Limited for the provision of John Glencross as a director, as well as an annual monitoring fee which also covers the provision of certain administrative support services. In the period ended 31 August 2012, the amount paid to Calculus Capital which was attributable to the investment made by the Company was £1,441 (31 August 2011: £4,200; 29 February 2012: £3,542) (excluding VAT). An annual fee is payable from Lime Technology Limited for the provision of John Glencross as a director, as well as an annual monitoring fee. In the period ended 31 August 2012, the amount payable to Calculus Capital which was attributable to the investment made by the Company was £1,228 (31 August 2011: £2,400; 29 February 2012: £3,865) (excluding VAT). Calculus Capital receives an annual monitoring fee from MicroEnergy Generation Services Limited for the provision of a Calculus Capital employee as a director, which also covers the provision of certain administrative support services. In the period ended 31 August 2012, the amount paid to Calculus Capital which was attributable to the investment made by the Company was £1,286 (31 August 2011: £nil; 29 February 2012: £2,833) (excluding VAT). In the period ended 31 August 2012, Calculus Capital received an arrangement fee of £7,500 (31 August 2011: £nil; 29 February 2012: £nil) as a result of the Company's investment in Secure Electrans Limited. In the period ended 31 August 2012, Calculus Capital received an arrangement fee of £13,500 (31 August 2011: £nil; 29 February 2012 £nil) as a result of the Company's investment in Human Race Group Limited. Calculus Capital also receives an annual fee from Human Race Group Limited for the provision of a Calculus Capital employee as a director, as well as an annual monitoring fee. In the period ended 31 August 2012, the amount paid to Calculus Capital which was attributable to the investment made by the Company was £514 (31 August 2011: £nil; 29 February 2012: £nil) (excluding VAT). Calculus Capital also receives an annual fee from Metropolitan Safe Custody Services Limited for the provision of a Calculus Capital employee as a director, as well as an annual monitoring fee. In the period ended 31 August 2012, the amount paid to Calculus Capital which was attributable to the investment made by the Company was £1,182 (31 August 2011: £nil; 29 February 2012: £220) (excluding VAT). COMPANY INFORMATION Directors Fund Administrator and Michael O'Higgins (Chairman) Company Secretary Kate Cornish-Bowden Capita Sinclair Henderson John Glencross (Trading as Capita Financial Steven Meeks Group - Specialist Fund Services) Beaufort House 51 New North Road Exeter EX4 4EP Registered Office Beaufort House Auditors 51 New North Road Grant Thornton UK LLP Exeter EX4 4EP 30 Finsbury Square Telephone: 01392 477 500 London EC2P 2YU Company Number Solicitors 07142153 Martineau No. 1 Colmore Square Structured Products Investment Birmingham B4 6AA Manager Investec Structured Products Sponsor and Broker 2 Gresham Street Nplus1 Singer Advisory LLP London EC2V 7QP One Hanover Street Telephone: 020 7597 4000 London W1S 1YZ Website: www.investecstructuredproducts.com Registrars Venture Capital Investments Manager Capita Registrars Calculus Capital Limited The Registry 104 Park Street 34 Beckenham Road London W1K 6NF Beckenham Telephone: 020 7493 4940 Kent BR3 4TU Website: www.calculuscapital.com Telephone: 0871 644 0300 (Calls cost 10p per minute plus network extras. Lines are open Monday to Friday 8.30 am to 5.30 pm). A copy of the Investec Structured Products Calculus VCT plc Half Yearly Report for the six months ended 31 August 2012 can be found on the following websites: www.calculuscapital.com and www.investecstructuredproducts.com. For further information, please contact: Investment Manager to the Structured Products Portfolio Investec Structured Products Gary Dale Telephone: 020 7597 4065 Investment Manager to the Venture Capital Portfolio Calculus Capital Limited Susan McDonald Telephone: 020 7493 4940 National Storage Mechanism A copy of the 2012 Half Yearly Report will be submitted shortly to the National Storage Mechanism ("NSM") and will be available for inspection at the NSM, which is situated at: www.hemscott.com/nsm.do. Neither the contents of the Company's website nor the contents of any website accessible from hyperlinks on this announcement (or any other website) are incorporated into, or form part of, this announcement.

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