for the period ended 30 April 2012
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 period are outlined below:
(a) Fair value of derivative financial instruments
The Company holds investments which are tailored to meet the
Company's respective needs for each cell. 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 Counterparty. As
at the reporting date, an independent check of the valuations of
the investments is performed by Future Value Consultants Limited
(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 reporting 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 Calculation
Agent.
Models use observable data, to the extent practicable. However,
areas such as credit risk (both own and counterparty),
volatilities, capital risk and correlations require management to
make estimates. Changes in assumptions about these factors could
affect the reported fair value of financial instruments.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2012
3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF PREFERENCE SHARES
Period
to Year to
30 Apr
2012 31 Oct 2011
Total Total
GBP GBP
Opening portfolio cost 725,661,033 789,581,018
Opening unrealised loss on valuation (125,369,115) (46,362,181)
Opening exchange gains on currency
balances 6,569,892 6,349,870
Opening valuation 606,861,780 749,568,707
Proceeds of sales of financial assets (134,953,399) (74,385,318)
Unrealised gain / (loss) for the
period / year 51,460,702 (79,006,934
Realised (loss) / gains on investments (66,294,290) 10,465,333
Exchange (losses) / gains on currency
balances (967,114) 219,992
Closing valuation 456,107,679 606,861,780
============== ==============
Closing portfolio cost 524,413,344 725,661,033
Closing unrealised loss (73,908,413) (125,369,115)
Closing exchange gains on currency
balances 5,602,748 6,569,862
Closing valuation 456,107,679 606,861,780
============== ==============
IFRS 7 requires fair value measurements to be disclosed by the
source of inputs, using the following three-level hierarchy:
* Quoted prices (unadjusted) in active markets for identical
assets or liabilities (Level 1)
* Inputs other than quoted prices included in Level 1 that are
observable for the asset or liability, either directly (as prices)
or indirectly (derived from prices) (Level 2).
* Inputs for the asset or liability that are not based on
observable market data (unobservable inputs) (Level 3).
The financial assets held by the Company have been classified as
Level 2. This is in accordance with the fair value hierarchy.
There have been no transfers between Level 2 and Level 3 of the
fair value hierarchy during the period under review.
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2012
4 SHARE CAPITAL
Authorised SHARES GBP
Preference shares of no par value
each Unlimited -
Ordinary shares of no par value each 2 -
---------- ----
2 -
========== ====
Shares issued
Allotted, called-up as at Shares issued
and fully paid 1 November Preference Preference as at 30 April
Preference Shares 2011 Shares Redeemed Shares Issued 2012
Cell Agribus - - - -
Cell EGAA - - - -
Cell FTSE S - - - -
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 47,225,896 - - 47,225,896
Cell EPR 30,125,000 - - 30,125,000
Cell EBM (3) 49,587,600 - - 49,587,600
Cell COMAC 25,526,009 - - 25,526,009
Cell USEI A 48,500,080 - - 48,500,080
Cell USEI B 45,079,125 - - 45,079,125
Cell UK EI 49,015,722 - - 49,015,722
Cell EI 39,999,346 - - 39,999,346
Ordinary Shares 2 - - 2
------------------- ----------------- --------------- ----------------
TOTAL 761,734,608 (199,119,689) - 562,614,919
=================== ================= =============== ================
*See Note 8
Harewood Structured Investment PCC Limited (the "Company")
Notes to the Financial Statements (continued)
for the period ended 30 April 2012
4 SHARE CAPITAL (continued)
Shares issued
Allotted, called-up as at Shares issued
and fully paid 1 November Preference Preference as at 31 October
Preference Shares 2010 Shares Redeemed Shares Issued 2011
Cell Agribus 72,500 (72,500) - -
Cell EGAA 13,500,255 (13,500,255) - -
Cell FTSE S 40,501,195 (40,501,195) - -
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 47,225,896 - - 47,225,896
Cell EPR 30,125,000 - - 30,125,000
Cell EBM (3) 49,587,600 - - 49,587,600
Cell COMAC 25,526,009 - - 25,526,009
Cell USEI A 48,500,080 - - 48,500,080
Cell USEI B 45,079,125 - - 45,079,125
Cell UK EI 49,015,722 - - 49,015,722
Cell EI 39,999,346 - - 39,999,346
-
Ordinary Shares 2 - - 2
-------------- ----------------- --------------- ------------------
TOTAL 815,808,558 (54,073,950) - 761,734,608
============== ================= =============== ==================
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