resent street finance limited - london stock exchange2016/09/30 · regent street finance limited...

RESENT STREET FINANCE LIMITED

Directors' report and audited financial statementsfor the year ended 31 December 2015

Bedell Trust Company LimitedPO Box 75, 26 New StreetSt. Helier, JerseyChannel Islands, JE4 8PP

Regent Street Finance LimitedContents

31 December 2015

Directors' report

Independent auditor's report

Audited statement of comprehensive income

Audited statement of financial position

Audited statement of changes in equity

Audited statement of cash flows

Audited notes to the financial statements

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Regent Street Finance LimitedDirectors' report

39 December 2015

The directors present their report together with the audited financial statements of Regent Street Finance Limited (the'Company') for the year ended 31 December 2015.

Incorporation

The Company was incorporated as a public company in Jersey, Channel Islands on 12 February 2007.

Principal activities

The Company was formed for the purpose of participating in a synthetic credit default swap transaction (the'Transaction') arranged by KBC Bank N.V. (formerly KBC Financial Products Brussels N.V., prior to a merger whichtook place on 03 May 2004). The Company raised monies pursuant to the issuance of class A1, A2, B, C, D, E, F, Gand H floating rate credit-linked notes (together, the 'Notes'), which are or were listed on the Irish Stock Exchange.The total principal amount of the Notes raised was €688,550,000 divided into €93,550,000 class Al Notes,€120,000,000 class A2 Notes, €112,500,000 class B Notes, €105,000,000 class C Notes, €82,500,000 class D Notes,€67,500,000 class E Notes, €40,000,000 class F Notes, €37,500,000 class G Notes and €30,Q00,000 class H Notes.The Notes are or were subordinated in payment of principal and interest in accordance with the order of seniority.Any amounts by which the adjusted principal balance of the Notes is to be reduced without payment to the noteholdersis in accordance with the reverse order of seniority.

The Company invested the proceeds of the Notes in a guaranteed investment contract arrangement (a 'GIC' andhereafter referred to as the'Amounts due under the Investment Agreement) pursuant to a guaranteed investment onthe Amounts due under the Investment Agreement (the 'Investment Agreement) entered into between the Companyand KBC Investments Hong Kong Limited (the 'Eligible GIC Provider'). All income received on the Amounts dueunder the Investment Agreement is paid to the Company by the Eligible GIC Provider. Upon the maturity or earlyredemption of the Notes, the Eligible GIC Provider would deliver to the Company the purchase price of €688,550,000or such proportion of the Amounts due under the Investment Agreement to match the Notes to be redeemed.

On 28 February 2007 the Company also entered into a credit default swap arrangement (the 'Swap') with KBCInvestments Cayman V, Ltd, (the 'Swap Counterparty') pursuant to the terms of which the Company has, in return fora fee, taken on the mezzanine level credit and market risk of a diversified reference portfolio (the'Portfolio') which is upto €3,000,000,000 in size. The Company has the mezzanine level credit risk for a maximum amount of €688,550,000above the first loss tranche of €22,500,000. The Swap Agreement was amended in January 2012 to allow auctions toquantify losses in the Portfolio following the occurrences of credit events ('Credit Events') with respect to corporateobligations.

On 7 April 2009 the Company requested the repayment of the Amounts due under the Investment Agreement by theEligible GIC Provider, pursuant to a repayment notice. The GIC was terminated with effect from 7 April 2009 and theCompany entered into a new GIC with KBC Bank N.V. Subsequent to 7 April 2009, any reference to the GIC orEligible GIC Provider implies the new GIC and KBC Bank N.V., respectively. The funds realised and re-investedcontinue to be referred to as the Amounts due underthe Investment Agreement.

As security for its obligations, the Company has charged the Amounts due under the Investment Agreement to BNYCorporate Trustee Services Limited as trustee (the 'Security Trustee') for the secured parties (those transactionalcreditors to whom security is to be provided under the security trust deed (the 'Security. Trust Deed')). The SecurityTrustee has also been appointed as trustee on behalf of the noteholders pursuant to a note trust deed and holds thebenefit of certain covenants made by the Company in relation to the repayment of principal and interest on the Noteson trust for the noteholders:

Byway of protecting the Gompany from the risks of the Transaction arising from the Company's exposure to the SwapCounterparty .under the Swap, the Transaction documents contain limited recourse and bankruptcy remoteness(non-petition) provisions pursuant to which each party recognises the limited financial resources of the Company andthe intended bankruptcy remoteness of the Company. The Amounts due under the Investment Agreement aresecured byway of support for the Company's exposure under the Swap and thereafter its obligations under the Notes.

Certain of the Company's day to day obligations and powers in respect of the Transaction are performed on its behalfby KBC Bank N.V. as administrator pursuant to an administration and cash management agreement, Functionsperformed by the Irish paying agent were provided by JP Morgan entities prior to January 2412 when they werenovated to Bank of New York Mellon-entities.

Due to market conditions credit events have occurred during the life of the Transaction giving rise to credit settlementevents resulting in a partial redemption of notes in issue and a corresponding reduction in the GIC. Current notes inissue are detailed in Note 10.

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31 December 2015

Directors

The directors of the Company, who served during the year and subsequently, are:

Shane Michael HollywoodAriel Pinel

Secretary

The secretary of the Company during the year and subsequently is:

Bedell Secretaries Limited

Results and dividends

The results for the year are shown in the statement of comprehensive income.

The directors have paid a final dividend during 2015 of £750 (€960) in respect of the financial year ended 31December 2014, being the 2014 Transaction fee (2014: £750 (€899) in respect of the financial year ended 31December 2013, being the.~013 Transaction fee).

The directors recommend the payment of a final dividend in the sum of £750 (€1,017) irr respect of the financial yearended 31 December 2015, being the 2015 Transaction fee (2014: £750 (€960) in respect of the financial year ended31 December 2014, being the 2014 Transaction fee).

Independent auditor

Ernst &Young LLP have previously been appointed as auditor. It is the intention for Ernst &Young LLP to resign asauditors and for PricewaterhouseCoopers to be appointed as auditors to the Company.

Going concern

The optional termination date was Apri12012, following which time and on any subsequent payment date, the SwapCounterparty have the right to terminate the Transaction.

In April 2017 the Company will redeem the remaining Amounts due under the Investment Agreement in accordancewith the scheduled amortisation commencement date, and use the proceeds to repay, any notes remaining in April2017. As the purpose for which the Company was incorporated will no longer exist it will be the intention of thedirectors to proceed with the dissolution of the Company within the next twelve months. The financial statements havetherefore been prepared on a break up basis. As the Company is solvent and will be dissolved under ordinarycircumstances the directors do not feel that any material adjustments arose as a result of ceasing to apply the goingconcern basis. The financial statements do not include any costs relating to the dissolution of the Company as thesecosts will be met by KBC Bank N.V.

Post statement of financial position events

Credit Events occurred in she Portfolio during the current and prior years in the form of bankruptcy credit events,restructuring credit events`ABS ratings downgrade credit events, and permanent reduction of capital credit events.Credit Events for the following corporate obligations and asset backed securities had a settlement date on or after 1January 2016:

Bankruptcy credit events:

• Peabody Energy Corporation €6,230,000

• Portugal Telecom International Finance B.V.

Credit protection valuations have been verified by an independent verification agent in respect of the Credit Eventclaims and settlements made under the Swap. The payment of Credit Event claims during and after the year resultedin the reduction of the Amounts due under the Investment Agreement and an equal reduction to the principal amountsdue to the noteholders.

On 28 June 2016 the Company gave notice of the intention to transfer the obligations of the Eligible GIC Provider fromKBC Bank N.V. to KBC Bank N.V. London Branch with effect from a date no earlier than 30 calendar days from thedate of the notice.

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31 December 2015

Following the expiration of the 30 calendar day notice period, the Company entered into a Deed of Assumption on 15August 2016, pursuant to which the obligations of the Eligible GIG Provider were transferred from KBC Bank N.V. toKBC Bank N.V. London Branch with effect from 15 August 2016. The credit ratings that apply to KBC Bank N.V, alsoapply to KBC Bank N.V. London Branch.

Statement of directors' responsibilities with regard to the financial statements

The directors are required by the Companies (Jersey) Law 1991, as amended, to prepare financial statements foreach financial year which give a true and fair view of the state of affairs of the Company as at the end of the financialyear and of the profit or loss for that period. In preparing these financial statements, the directors are required to:

• select suitable accounting policies and then apply them consistently;

• make judgements and estimates that are reasonable and appropriate;

• state whether applicable accounting standards have been followed, subject-to any material departuresdisclosed and explained in the financial statements; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that theCompany will continue in business.

The directors are responsible for keeping accounting records that are su~cient to show and explain the Company'stransactions. These records must disclose with reasonable accuracy at any time the financial position of theCompany and to enable the directors to ensure that any financial statements prepared comply with the Companies(Jersey) Law 1991, as amended. They are also responsible for safeguarding the assets of the Company and hencefor taking reasonable steps for the prevention and detection of fraud, error and non-compliance with law andregulations.

By order of the board

~L~

Secretary -Bedell -Secretaries Limited

2' 7 SEP 2016Date

Registered office

26 New StreetSt HelierJerseyJE2 3RA

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EYBuilding a betterworking world

INDEPENDENT AUDITQR'S REPORTTO THE MEMBERS OF REGENT STREET FINANCE LIMITED

We have audited the financial statements of Regent Street Finance Limited for the year ended 31December 2Q15 which comprise the Statement of comprehensive income, the Statement of financialposition, Statement of changes in equity, Statement of cash flows and the related notes 1 to 18. Thefinancial reporting framework that has been applied in their preparation is applicable law andInternational Financial Reporting Standards. The financial statements have been prepared on a break-upas detailed in note 2.

This report is made solely to the company's members, as a body, in accordance with Article 113A of theCompanies (Jersey) Law 1991. Our audit work has been undertaken so that we might state to theCompany's members those matters we are required to state to them in an auditor's report and for noother purpose. To the fullest extent permitted by law, we do not accept or assume responsibility toanyone other than the company and the company's members as a body, for our audit work, for thisreport, ar for the opinions we have formed.

Respective responsibilities of directors and auditorsAs explained more fully in the Statement of directors' responsibilities set out on page 4, the directors areresponsible for the preparation of the financial statements and for being satisfied that they give a trueand fair view. Our responsibility is to audit and express an opinion on the financial statements inaccordance with applicable law and International Standards on Auditing (UK and Ireland). Thosestandards require us tp comply with the Auditing Practices Board's Ethical Standards for Auditors.

Scope of the audit of the financial statementsAn audit involves obtaining evidence about the amounts and disclosures in the financial statementssufficient to give reasonable assurance that the financial statements are free from materialmisstatement, whether caused by fraud or error. This includes an assessment of: whether theaccounting policies are appropriate to the Company's circumstances and have been consistently appliedand adequately disclosed; the reasonableness of significant accounting estimates made by the directors;and the overall presentation of the financial statements. In addition, we read all the financial and non-financial information in the Directors' Report to identify material inconsistencies with the audited financialstatements and to identify any information that is apparently materially incorrect based on, or materiallyinconsistent with, the knowledge acquired by us in the course of performing the audit. If we becomeaware of any apparent material misstatements or inconsistencies we consider the implications for ourreport.

Opinion on financial statementsIn our opinion the financial statements:► give a true and fair view of the state of the company's affairs as at 31 December 2015 and of its

results for the year then ended;► have been properly prepared in accordance with International Financial Reporting Standards; and► have been prepared in accordance with the requirements of the Companies (Jersey) Law 1991.

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EYBuilding a betterworking world

INDEPENDENT AUDITOR'S REPORTTO THE MEMBERS OF REGENT STREET FINANCE LIMITED (continued)

Matters on which we are required to report by exceptionWe have nothing to report in respect of the following matters where the Companies (Jersey) Law 1991requires us to report to you if, in our opinion:► proper accounting records have not been kept, or proper returns adequate for our audit have not

been received from branches not visited by us; or► the financial statements are not in agreement with the accounting records and returns; or► we have not received all the information and explanations we require for our audit.

David Robert John Moore, ACAfor and on behalf of Ernst &Young LLPJersey, Channel IslandsDate:~i September 2016

"̀ 1

Regent Street Finance LimitedAudited statement of comprehensive income

31 December 2015

IncomeMovement in fair value of the Swapthrough profit or lossSwap premiumInvestment incomeBank interestTransaction fee

ExpensesMovement in fair value of the Notesthrough profit or lossInvestment expenseInterest payable on the NotesOperating expenses

Total comprehensive income forthe year

2015 2014Notes € € € €

1,032,336 45,106,3124 2,438,054 2,408,1995 91,480 837,605

1,376 9754 1,017 960

3,564,263 48,354,051

1,032,336 45,106,3125 54,040 -

2,361,729 3,161,896115.141 $4.883

(3.563,246) (48.353.091 Z

1.017 960.

The Company has no other items of income or expense for the year and accordingly the profit for the year representstotal comprehensive income.

The notes on pages 11 to 27 are an integral part of these financial statements.-7-

Regent Street Finance LimitedAudited statement of financial position

31 December 2Q15

2015 2014Notes € €

AssetsCurrent assetsAmounts due under the InvestmentAgreement 6 367,756,027 367,756,027Trade and other receivables 7 40,092 70,539Cash and cash equivalents 8 7.164.667 1,152.857

Total assets 368.960,786 368.979.423

Equity and liabilitiesEquity attributable to owners of theCompanyCalled up share capital 9 3 3Retained earnings 1.017 960

Total equity 1.020 963

LiabilitiesCurrent liabilitiesSwap at fair value through profit or loss 34,804,464 35,836,800Notes at fair value through profit orloss 10 332,410,289 331,377,953Trade and other payables 11 1.745.013 1.763.707

Total liabilities 368.959,766 368.97$,460

Total equity and liabilities 368.960.786 368.979.423

The financial statemen on pages 7 to 27 were approved by the board of directors and authorised for issueon Z 7 y, /sc/ 2016, and signed on its behalf by:

~ ~

Director - Ariel Pinel

~~ l

Director -Shane ho lywoo~~.1

The notes on pages 11 to 27 are an integral part of these financial statements.-$-

Regent Street Finance LimitedAudited statement of changes inequity

31 December 2015

Balance at 1 January 2014

Profit for the year

Total comprehensive income for the year ended 31 December 2014

Transactions with owners:Equity dividend paid

Balance at 31 December 2014

Balance at 1 January 2075

Profit for the year

Called up.share Retainedcapital earnings Total

€ € €

3 899 902

'•~ '~

960 960

(8991 x$99)

3 960 963

Called upshare Retainedcapital earnings Total

@ € €

3 960 963

1.017 1,p17

Total comprehensive income for the year ended 31 December 2015 1,017 1,017

Transactions with owners:Equity dividend paid - (9601 (9601

Balance at 31 December 2015 3 1.017 1.020

The notes on pages 11 to 27 are an integral part of these financial statements.-9-

Regent Street Finance LimitedAudited statement of cash flows

31 December 2015

2015 2014Notes € €

Net cash used in operatingactivities 12 (121,010) (77.387)

Cash flows generated frominvesting activitiesSwap premium 2,456,639 2,401,636Investment income 161,813 961,773Investment expense (14,097) -Bankinterest 1,431 1.002

Net cash flows generated frominvesting activities 2,605.786 3.364,411

Cash flows used in financingactivitiesInterest payable on the Notes (2,472,006) (3,286,065)Equity dividend (9601 (899)

Net cash flows used in financingactivities (2.472.966) (3.2$6.964,2

Net decrease in cash and cashequivalents 11,810 (60)Cash and cash equivalents at 1January 8 1.152.857 1.152.797

Cash and cash equivalents at 31December 8 1.164.667 1.152.857

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Regent Street Finance LimitedAudited notes to the financial statements

31 December 2015

1 General information

The Company is a public company incorporated in Jersey, Channel Islands. The principal activities of the Companyare described in the directors' report.

2 Accounting policies

Statement of compliance

The financial statements for the year ended 31 December 2015 on pages 7 to 27 have been prepared in accordancewith the International Financial Reporting Standards ('IFRS').

Basis of measurement

The financial statements are prepared in accordance with accounting principles generally accepted in the island ofJersey, incorporating IFRS and have been prepared under the historical cost convention, except for the revaluation ofcertain financial instruments.

These financial statements are presented in Euro ('€'), which is the Company's functional and reporting currency.

A summary of the more important policies in dealing with items that are considered material to the Company areshown below:

Going concern

The optional termination date was April 2012, following which time and on any subsequent payment date, the SwapCounterparty have the right to terminate the Transaction.

In April 2017 the Company will redeem the remaining Amounts due under the Investment Agreement and use theproceeds to repay, any notes remaining in April 2017. As the purpose for which the Company was incorporated will nolonger exist it will be the intention of the directors to proceed with the dissolution of the Company within the next twelvemonths. The financial statements have therefore been prepared on a break up basis. As the Company is solvent andwill be dissolved under ordinary circumstances the directors do not feel that any material adjustments arose as a resultof ceasing to apply the going concern basis. The financial statements do not include any costs relating to thedissolution of the Company as these costs will be met by KBC Bank N.V.

Adoption of new and revised standards

At the date of authorisation of these financial statements, there are no new accounting standards and interpretationsthat are effective for the first time for the financial year beginning on 1 January 2015 that have a significant impactupon the financial statements of the Company.

Standards and interpretations in issue not yet adopted

The directors have reviewed and considered all other standards, amendments and interpretations issued but not yet

effective as at the date the financial statements are authorised for issue. In the opinion of the directors the other

standards, amendments and interpretations issued but not yet effective are not expected to be adopted due to theanticipated dissolution of the Company.

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31 December 2015

2 Accounting policies (continued)

Critical accounting judgements and key sources of estimation uncertainty

The preparation of these financial statements requires the directors to make estimates and assumptions that affect thereported amounts of revenues, expenses, assets, liabilities and the disclosure of contingent liabilities as at thestatement of financial position date. The estimates and associated assumptions are based on historical experienceand other factors that are considered to be relevant. Actual results may differ from these estimates.

In the event such estimates and assumptions which are based on the best judgement of the directors as at thestatement of financial position date deviate from the actual circumstances in the future, the original estimates andassumptions will be modified as appropriate in the year or period in which the circumstances change,

The estimates and underlying assumptions are reviewed on an ongoing basis. Revision to accounting estimateswere recognised in the period in which the estimate is revised if the revision affects only that period, or in the period ofthe revision and future periods if the revision affects both current and future periods.

The assumptions made in calculating the fair value and the models used are detailed in note 13(d).

There are no other significant assumptions made concerning the future or other sources of estimation uncertainty thathave been identified as giving rise to a significant risk of causing material adjustment to the carrying amount of assetsand liabilities within the next financial year.

Foreign exchange

Transactions in foreign currencies were recorded at the rate of exchange ruling at the date of transaction.

Monetary assets and liabilities denominated in foreign currencies were revalued at the rate of exchange ruling at thestatement of financial position date.

Foreign exchange gains and losses were included in the statement of comprehensive income for the period.

Financial instruments

In pursuing its objectives as a special purpose bankruptcy remote financing vehicle, the Company holds, held or hasissued a number of financial instruments. These comprise:

• Amounts due under the Investment Agreement;

• trade and other receivables;

• Notes;

• Swap; and

• trade and other payables.

All financial instruments are initially recorded at cost, which corresponds with the fair value of such instruments.Subsequently, with the exception of trade and other receivables and trade and other payables, which are measured attheir recoverable amount, they are re-measured at fair value in accordance with the guidance provided in IFRS 13 andestablished industry practices for the determination of fair values. Any gain or loss resulting from changes in fair valueis included in the statement of comprehensive income in the period in which they arise. Trade and other receivablesand trade and other payables are recorded at their recoverable amount.

The Swap is a derivative financial instrument which is classified as held for trading under IAS 39. This instrument istherefore measured at fair value through profit or loss. The Notes issued by the Company and the Amounts due underthe Investment Agreement have also been measured at fair value through profit or loss as it eliminates a measurementinconsistency, an accounting mismatch, that would otherwise arise from measuring the derivatives at fair valuethrough profit and loss and the related Notes and the Amounts due under the Investment Agreement at theirrecoverable amount.

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31 December 2015


Recognition and derecognition of financial assets and liabilities

The Company initially recognises financial assets and liabilities on the date they originated. Purchases and sales offinancial assets are recognised on the date on which the Company commits to purchase or sell the asset. All otherfinancial assets and liabilities (including assets and liabilities designated at fair value through profit or loss) are initiallyrecognised on the date on which the Company becomes a party to the contractual provisions of the instrument.

Financial assets are derecognised when the right to receive cash flows from the assets has expired or when theCompany has transferred its contractual right to receive the cash flows of the financial assets and substantially all therisks and rewards of ownership have been transferred. Financial liabilities are derecognised when they areextinguished, that is when the obligation is discharged, cancelled or expires.

Fair value

The determination of fair values for financial assets and liabilities for which there is no observable market pricerequires the use of valuation techniques as described below.

For financial instruments that trade infrequently and have little price transparency, fair value is less objective andrequires varying degrees of judgment depending on liquidity, concentration, uncertainty of market factors, pricingassumptions and other risk factors affecting each financial instrument.

For complex financial instruments the Company uses proprietary models which are developed from recognisedvaluation models. Some or all of the significant inputs into these models may not be market observable and arederived from market prices or rates or are estimates based on assumptions.

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31 December 2015


Cash and cash equivalents

Cash and cash equivalents comprise cash on hand, demand deposits with banks and other financial institutions.

Interest payable on the Notes

Interest payable on the Notes is accounted for using the effective interest basis in accordance with IAS 39.

Revenue recognition

Investment income received on the Amounts due under the Investment Agreement will accrue on a daily basis on theoutstanding balance of invested funds during the period from the effective date up to but excluding the terminationdate of the GIG, at the GIC interest rate which equates to EURIBOR. Such interest shall be paid to the Company inarrears on each payment date in immediately available same day funds. Each amount payable pursuant to clause3.1 interest on the invested funds of the Investment Agreement shall be calculated by the Eligible GIC Provider andnotified to the Company by the administrator prior to the first day of each relevant interest period. The administratorshall notify the Eligible GIC Provider, as soon as reasonably practical after notification thereof from the agent bank, of:

the EURIBOR rate for each interest period; and

the first and last day of each interest period.

Swap premium is receivable under the Swap from the Swap Counterparty in return for the Company taking on themezzanine level credit and market risk of the Portfolio. The Company receives a Swap premium which will equal thedifference befinreen the investment income (excluding the Transaction fee) and expenses and all other operatingexpenses of the Company.

Investment income and Swap premium are recognised on an effective interest basis.

The annual Transaction fee receivable is recognised on an accruals basis and is due to the Company in accordancewith the Transaction documentation on the anniversary of the .close of the Transaction.

Dividends

Under International Accounting Standard 10 Events after the Reporting Period ('IAS 10'), proposed dividends are notconsidered to be a liability until the dividends are approved and declared by the directors of a company for interimdividends or the shareholders of a company, at the annual general meeting, for final dividends.

SCE


31 December 2015

3 Taxation

The Company is registered in Jersey, Channel Islands as an income tax paying company. The general rate ofincome tax for companies resident in Jersey (such as the Company) is 0% for the current year of assessment (2014:0%).

4 Swap premium and Transaction fee

2015 2014€ €

Swap premiumTransaction fee

2,438,054 2,408,1991.017 960

2.439,071 2.409.159

The Company entered into the Swap with the Swap Counterparty pursuant to the terms of which the Company has, inreturn for the Swap premium, taken on the meuanine level credit and market risk of the Portfolio. The Portfolio is upto €3,000,000,000 in size. The Swap Counterparty originally retained the first loss tranche of €22,500,000.

5 Investment income and expense

2015 2014€ €

Investment incomeInvestment expense

91,480 837,605(54.040)

Investment income is received on the Amounts due under the Investment Agreement held with the Eligible GIGProvider and is received on each quarterly payment date pursuant to the terms of the Investment Agreement,

calculated on the basis of EURIBOR. Due to a negative EURIBOR for part of the year, an investment expense was

incurred. There is no premium or discount on the Amounts due under the Investment Agreement therefore the

EURIBOR rate will equal the effective interest rate.

6 Amounts due under the Investment Agreement

2015 2014€ €

Amounts due under the Investment Agreement 367.756.027 367.756.027

The. Amounts due under the Investment Agreement comprise the sum of all amounts deposited with or transferred to

the Eligible GIC Provider at the direction of the Eligible GIC Provider less all amounts withdrawn from such

arrangement, other than payments of investment income.

The Company has pledged the Amounts due under the Investment Agreement to the Security Trustee to secure the

trustee claims under the Security Trust Deed. The trustee claims entitled the Security Trustee to demand that all

present and future obligations under the Notes are fulfilled.

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31 December 2015

6 Amounts due under the Investment Agreement (continued)

On the legal maturity date or such earlier date on which the last outstanding notes are to be redeemed in whole, theEligible GIC Provider shall transfer to the Company the balance of the Amounts due under the Investment Agreementto the Company's principal collections account on such date.

The Amounts due under the Investment Agreement are classified as a current asset in recognition of the SwapCounterparty's option to end the Transaction by terminating the Swap on, or after, any payment date following theoptional termination date which fell in April 2012. The Company has the ability to terminate the GIC at any date tosettle credit events or note repayments. In accordance with scheduled amortisation commencement date, theCompany will repay the notes in April 2017.

7 Trade and other receivables

2015 2014€ €

Accrued Swap premiumAccrued investment incomeAccrued bank interest

8 Cash and cash equivalents

39,941 -- 7Q,333

151 206

40.092 70,539.

2015 2014€ €

Balance as at 1 January

Net decrease in cash and cash equivalents

Balance as at 31 December

9 Called up share capital

1.152.857 1.152.797

11.810 60

1,164.667 1.152.857

2015 2014€ €

Authorised:2 ordinary shares of £1.00 each - at historical cost

Issued and fully paid:2 ordinary shares of £1.00 each - at historical cost

3 3

3 3

There are no other share classes which would dilute the rights of the ordinary members. Amongst other rights asprescribed in the articles of association of the Company, the rights of the ordinary members include:

• the right to attend meetings of members. On a show of hands every member present in person or by proxyshall have one vote and on a poll every member shall have one vote for each share of which the member isa shareholder; and

the right to receive dividends recommended by the directors and approved by the shareholders.

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31 December 2015

10 Notes

The Company issued the following classes of Notes which have a legal maturity date of April 2040 and an optionaltermination date which is exercisable by the Swap Counterparty on, or after, the payment date which fell in April 2012.In accordance with scheduled amortisation commencement date, the Company will repay the notes in April 2017.

Credit protection valuations continue to be verified by an independent verification agent in respect of the Credit Eventclaims and settlements made under the Swap. Therefore, the occurrence of the Credit Event claims resulted in theutilisation of the Amounts due under the Investment Agreement, in part, and impacted upon the principal amounts dueto the noteholders, as follows:

At cost Reduction of At cost At fair value At fair value1 January principal in 31 December 31 December 31 December

2015 the year 2015 2015 2014€ € € € €

Class Al 93,550,000 - 93,550,000 89,951,064 88,862,532Class A2 120,000,000 - 120,000,000 113,689,025 112,334,185Class B 112,500,000 - 112,500,000 100,467,870 99,273,897Class C 41 706 027 41.706.027 28.302.330 30,907,339

367.756.027 367,756.027 332.410.289 331.377.953

The aggregate amount of realised losses were allocated in reverse order of seniority whereby class H suffered thefirst realised loss, then class G, then class F, then class E, then class D and then, in part, class C. The aggregateamount of any future realised losses will be allocated to each class of Note in reverse order of seniority whereby theremaining class C will suffer the next realised loss, then class B, then class A2 and thereafter class Al Notes. Thepayment obligations of the Company under the Notes in respect to interest and principal amounts are secured by theAmounts due under the Investment Agreement.

Issue costs in respect of the Notes have been paid by KBC Bank N.V.

The agent bank is required, as soon as practicable after the interest determination date in relation to each interestperiod, calculate the amount of interest (the 'Interest Amount') payable in respect of each Note for such interestperiod.

The Interest Amount for each Note is calculated by applying the rate of interest applicable to such Note for therelevant interest period to the adjusted principal balance of such Note on the first day of such interest period,multiplying the product by the actual number of days in such interest period divided by 360 and rounding the resultingfigure to the nearest cent (half a cent being rounded upwards).

The interest margin means:

(a) subject to (b) and (c) below, in respect of each class of Notes listed below, the rate and interest margin per annumset out next to such:

Class, rate and interest margin

Class Al - 3 month EURIBOR +0.40%Class A2 - 3 month EURIBOR +0.60%Class B - 3 month EURIBOR +0.75%Class C - 3 month EURIBOR +0.85%

or,

(b) subject to (c) below if the Swap Counterparty has not exercised the Swap termination option by the payment datescheduled to fall in April 2017 (the 'Coupon Step-Up Date') and the termination date has not otherwise occurred, foreach interest period commencing on or after the Coupon Step-Up Date and in respect of each class of Notes listedbelow, the rate and interest margin per annum set out next to such:

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31 December 2015

10 Notes (continued)

Class, rate and interest margin

Class Al - 3 month EURIBOR +0.80%Class A2 - 3 month EURIBOR +1.20%Class B - 3 month EURIBOR +1.50%Class C - 3 month EURIBOR +1.70%

or,

(c) for each interest period commencing on or after the termination date and in respect of each class of Notes, zero.

11 Trade and other payables

2015 2014€ ~

Interest accrued on the NotesInvestment expense creditorSwap premium received in advanceOther creditors

12 Cash flows from operating activities

Reconciliation of operating profit to net cash flows used in operating activities.

541,273 611,60739,943 -

1,137,294 1,118,70826.803 33.393

1.745,013 1,763.708

2015 2014€ €

Profit for the yearSwap premiumInvestment incomeinvestment expenseBank interestInterest payable on the NotesIncrease/(decrease) in trade and other payablesMovement in fair value of the Swap through profit or lassMovement in fair value of the Notes through profit or loss

Cash flows used in operations

13 Financial instruments

1,017 960(2,438,054) (2,408,198)(91,480) (837,605)54,040 -(1,376) (975)

2,361,730 3,161,896(6,887) 6,535

(1,032,336) (45,106,312)1,032.356 45.106.312

(121.0101 (77.387)

In pursuing its objective as acting as an investment issuing entity for the KBC Group, the Company holds, held or hasissued a number of financial instruments. These comprise:

• Amounts due under the Investment Agreement;

• trade and other receivables;

• Notes;

• Swap; and

• trade and other payables.

-18-


31 December 2015

13 Financial instruments (continued)

The Company's activities expose it to a variety of financial risks, including market prices, foreign currency exchangerates and interest rates as well as credit risk and liquidity risk. The Company's overall risk management programmeseeks to minimise potential adverse effects on the financial performance of the Company.

The Company is also exposed to the risk of loss resulting from inadequate or failed processes, people and systems orfrom external events. In order to reduce this risk the Board of Directors of the Company have outsourced certainfunctions to allow the Company to achieve its operational objectives.

A corporate service provider with appropriate expertise was appointed to keep books of account and to provideadequate resources to the financial function. Certain of the Company's day to day obligations and powers in respect ofthe Transaction are performed on its behalf by KBC Bank N.V. as administrator and by the Bank of New York Mellon inits role as paying agent, transfer agent and listing agent.

The directors also perform risk assessments of all legal documents entered into by the Company to ensure that therisks of the Company are mitigated.

The main risks from holding or issuing the Company's financial instruments are detailed below together with thepolicies adopted by the board of directors to manage the risk.

(a) Market risk

The Company's exposure to market risk is comprised of the following risks:

(i) Foreign exchange risk

The Notes issued by the Company are or were denominated in €. The Amounts due under the InvestmentAgreement are represented by funds deposited with the Eligible GIC Provider and are denominated in ~. ThePortfolio contains securities denominated in currencies other than €but the Company only takes on the credit risk andmarket risk of such securities. Any credit or market risk, regardless of currency, which materialises is transferred tothe noteholders. Accordingly, the directors are of the opinion that there is no material currency risk exposure to theCompany.

(ii) Interest rate risk

Amounts due under the Investment Agreement -the Company receives investment income at a rate equal toEURIBOR.

Notes -the Company pays interest on the Notes in accordance with the terms of the Notes as described in note 10.

Swap -the Company receives funds under the Swap (Swap premium), this is calculated as the difference between theinvestment income (excluding the Transaction fee) and expenses comprising interest payable on Notes and all otheroperating expenses of the Company.

Therefore the directors consider that the Company is not exposed to the risk of interest rate fluctuations.

(b) Credit risk

The Company has two types of risk. Firstly there is a risk that the Company will lose title over its deposits held byKBC Bank N.V. and Amounts due under the Investment Agreement. The risk of this is considered remote. The creditrating assigned by Moody's to KBC Bank N.V. was A1. Secondly, there is the risk of a claim being made on theAmounts due under the Investment Agreement as a result of Credit Events in the Portfolio.

The Transaction documents are structured such that the obligations of the Company are limited in recourse and suchdocuments contain bankruptcy remoteness (non-petition) provisions. In the event of Credit Events occurring beforethe redemption of the Notes, the Company will be obliged, subject to certain conditions, to make payments) to theSwap Counterparty in the form of a Credit Event claim.

Pursuant to the Swap, the Swap Counterparty retained the first loss tranche of €22,500,000. The Company has themeuanine level credit risk for a maximum amount of €688,550,000 above the first loss tranche. This obligation ismet by utilising a proportionate amount of the Amounts due under the Investment Agreement. The credit risk istransferred to the noteholders who receive a reduced amount of interest and principal. Accordingly the directors areof the opinion that there is no net credit risk to the Company.

-19-


31 December 2015


(b) Credit risk (continued)

The maximum gross credit risk at the year end was €368,960,786 (2014: €368,979,423).

(c) Liquidity risk

Liquidity risk is the risk that the Company will encounter difficulties in meeting obligations associated with financialliabilities. The transaction documents are structured so that the Company's liquidity is managed through the matchingof cashflows. All amounts due are received on the same day that payments are due to be paid to reduce liquidity risk.In the opinion of the directors the risk of liquidity was further reduced as the Transaction documents were structuredsuch that the obligations of the Company were limited in recourse and the Company had the benefit of bankruptcyremoteness.

The undiscounted contractual cash flows maturity profile of the Company's significant financial liabilities is as follows:

2015 2014€ €

NotesLess than 1 yearBefinreen 1 and 5 yearsMore than 5 years

SwapLess than 1 year.Between 1 and 5 yearsMore than 5 years

Other liabilitiesTrade and other payables -maturity within 1 year

369,879,310 370,335,328

369.879.310 370.335.328

34,$04,464 35,836,800

34,804.464 35.836.80Q

1.163,797 1.152.101

The maturity profile of the Notes in the current and prior year is less than one year in recognition of the optionaltermination date which is on, or after, the payment date which fell in April 2012. Amounts of interest payable on theNotes have been calculated based on a twelve month maturity period notwithstanding the fact that the SwapCounterparty may exercise their option to cause the Transaction to terminate on any payment date prior to the legalmaturity date.

The minimum future liability under the Swap will be €nil and the maximum future liability under the Swap will be in thesum of €367,756,027 (2014: €367,756,027). In the opinion of the directors, the best estimate for the amount thatshall be settled under the Swap equates to the fair value of the Swap as at 31 December 2015. Consequently, asdisclosed in the above maturity analysis the payment of principal on the Notes has been reduced in the reverse orderof seniority with reference to the best estimate of the amount to be settled under the Swap and in accordance with thestructure of the Transaction.

Upon receipt of the valuation of the Credit Event claims within two years of such occurrence, the amount to be settledunder the Swap may differ from the fair value of the Swap. Therefore the amount of interest and principal payable tothe noteholders may differ from the amounts included in the above maturity analysis.

In the event of a Credit Event claim, payment to the Swap Counterparty will occur on the first payment date which fallsfour or more business days after the calculation verification date, as described in the Transaction documentation.The amount to be paid to the Swap Counterparty will be the least of:

the aggregate amount of a Credit Event claim eligible for payment on such date;

the excess of aggregate amount of the Credit Event claim over the first loss tranche on such date; and

-20-


31 December 2015


(c) Liquidity risk (continued)

the meuanine level credit risk of €688,550,000 plus the Cash Reserve Amount less the sum of each CreditEvent claim paid prior to such date.

(d) Fair value estimation

All financial instruments except trade and other receivables and trade and other payables are classified as financialassets at fair value through profit or loss in accordance with the provisions set out in IAS 39. Changes in fair value ofthe financial instruments are included in the statement of comprehensive income in the period in which they occur.

Fair value is not the amount that the Company would receive or pay in a forced transaction, involuntary liquidation ordistress sale. However, fair value reflects the credit quality and liquidity of the financial assets and liabilities measured.The objective of using these valuation techniques is to establish what the transaction price would have been at thebalance sheet date in an arm's length exchange motivated by normal business considerations. Refer to use ofestimates and judgements in the summary of Significant Accounting Policies (Note 2).

IFRS 13 establishes athree-tier hierarchy as a framework for disclosing fair value based on inputs to value theCompany's financial instruments. The hierarchy of inputs is summarized below:

• 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 (i.e.as prices) or indirectly (i.e. derived from prices) (Level 2); and

• inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3)

The fair value of the Notes has been categorised under the IFRS 13 fair value hierarchy as level 3 as a marketquotation is not readily available. Instead the fair value has been determined through the. use of the models belowutilising unobservable inputs.

The fair value of the Notes has been calculated using the Gaussian Copula Mixture model (the 'GGM'). This methodis used to model the distribution of default times of the underlying corporate obligations and asset backed securities inthe Portfolio. The asset default trigger in the GCM is derived from the Swap spreads in the market. By discountingthe cash flows resulting from the default time curves on the underlying assets, a value for a specific tranche of Notes isreached. The GCM models the fair value of the Notes via the following steps:

for each individual underlying asset in the Portfolio, the Swap spread curve in the market is observed and arecovery rate is assumed, consistent with the markets expectations towards the recovery rate. The Swapspreads reflect the markets perception of the creditworthiness of the underlying asset. The Swap spreadcurves and assumed recovery rates are then. translated. into individual survival probability curves. Theprobability curve provides an indication of the probability and timing of default. For example, the probabilitycurve can show that for a certain underlying asset, there is percentage probability that the underlying assetwill not be in default in one year and a percentage probability the underlying asset will not be in default aftertwo years;

given the recovery rate assumption and the survival probability curve for each underlying asset, an immensenumber of scenarios are simulated. The scenarios are randomly generated through a Monte Carlosimulation, consistent with the individual survival probability curves and taking into account base correlationsin the Portfolio;

the Notes comprise different inner tranches and a direct bucket of corporate obligations and asset backedsecurities. The latter can be viewed as one entire inner tranche. The prior two steps are repeated for eachof the inner tranches included in the Notes. The result of immense simulations is a Portfolio loss distributionfor each of the inner tranches;

-21-


31 December 2015


(d) Fair value estimation (continued)

the individual loss distributions for each inner tranche are mapped to market observations. Mechanicallycalibrating a model to a developing market might not result in a rational model and stable parameters.Therefore, a balance is created between the economically plausible model while pricing to the market.Initially the implied loss distribution from the index tranche market is derived then a mapping is createdbetween the market implied loss distribution and the modelled loss distribution; and

• given a set of GCM parameters and a set of calibrated loss distributions for the individual underlying innertranches, the Note tranches can be fair valued. The GCM takes into account the correlation befinreen thedifferent inner tranches, reflecting the overlap in underlying asset pools. The GCM also takes into account'correlation skew'. In a good state of the economy, correlation is less than in a bad state of the economy. Amixture of parameter weights reflects the percentage of time that the economy is in either state.

The fair value of the Swap has been categorised by the IFRS 13 fair value hierarchy as level 3 as a market quotationis not readily available. Instead the fair value of the Swap has been calculated, using the model of the Notes above,as the net present value of future cash flows to maturity. The discount rate used in this model is the weighted coupon.The weighted coupon is calculated as the total of the individual coupons for each class of Notes divided by the notionalbalance for each class of Notes.

There has been a significant cumulative decrease, since issue, in the fair value of the Notes due to Credit Eventsoccurring. Amounts due under the Investment Agreement were realised in payment of the Credit Event claims. Thecumulative fair value of the Swap has significantly decreased in value and accordingly reflects the amounts still dueand payable due to further Credit Events.

The fair value of the Amounts due under the Investment Agreement has been categorised under the IFRS 13 fair valuehierarchy as level 3 as a market quotation is not readily available.

In the opinion of the directors the fair value of Amounts due under the Investment Agreement approximates to the sumof all amounts deposited with or transferred to the Eligible GIC Provider less all amounts withdrawn from sucharrangement, other than payments of investment income.

The Company's financial assets and liabilities have been measured using valuation techniques and assumptions asset out above.

Gost Fair value Fair value2015 2015 2014

€ € @

Financial assetsAmounts due under Investment Agreement 367,756,027 367,756,027 367,756,027Trade and receivables 40,092 40,092 70,539Cash and cash equivalents 1,164,667 1,164,667 1,152,857

Financial liabilitiesSwap - 34,804,464 35,836,800Notes 332,410,289 332,410,289 331,377,953Trade and other payables 1,745,013 1,745,013 1,763,707

-22-


31 December 2Q15



Reconciliation of fair value measurements for the year in the level 3 hierarchy from the beginning balances to tMeclosing balance are as follows:

31 December 2015 81 December 2014GIC GIC

Reconciliation of Level 3 Fair Value Hierarchy € ~

Opening Balance 367,756,027 367,756,027

Partial redemptions - -

Closing Balance 367,756,027 367,756,027

31 December 2015 31 December 2014

Reconciliation of Level 3 Fair Value Hierarchy Notes Notes

€ ~

Opening Balance 331,377,953 286,271,641

Losses recognised in the Profit or Loss 1,032,336 45,106,312

Closing Balance 332,410,289 331,377,953

31 December 2015 31 December 2014

Reconciliation of Level 3 Fair Value Hierarchy Swaps Swaps

€ ~

Opening Balance 35,836,800 80,943,112

Settlement of credit events - -

(Gains) recognised in the Profit or Loss (1,032,336) (45,106,312)

Closing Balance 34,804,464 35,836,800

Whilst the Company's limited recourse Notes are listed on the Irish Stock Exchange, they are not priced, there beingno liquid secondary market for. this type of note. The purchase price of the Company's main financial asset, theAmounts due under the Investment Agreement, is considered to be the fair value of the asset.

Given the limited recourse nature of the Transaction, any differences between fair value and book value of thefinancial instruments would have no net effect on the position of the Company. Furthermore, the holders of theCompany's limited recourse Notes, as sophisticated investors, are aware of the link between their investment and theunderlying assets.

-23-


31 December 2Q15



Fair value is not, therefore, the amount that the Company would receive or pay in a forced transaction, involuntaryliquidation or distress sale. However, fair value reflects the credit quality of the financial assets and liabilitiesmeasured. The objective of using these valuation techniques is to establish what the transaction price would havebeen at the balance sheet date in an arm's length exchange motivated by normal business considerations.

The Amounts due under the Investment Agreement generate the credit support for the Notes and thus the fair value ofthe Notes approximates the combined fair value of the Swap and the Amounts due under the Investment Agreement.

The directors believe that the financial instruments included at cost approximate their fair value as they are short termreceivables/payables.

Spread Change Sensitivity Analysis as at 31 December 2015

The below shows the impact of changes to the credit spread parameters of the Company.

The directors believe that the significant unobservable input relating to the fair values of the Swap and Notes is thecredit spreads of the underlying reference portfolio within the Swap. An analysis has therefore been performed inwhich the corporate credit spreads were moved up (widened) and down (tightened) by 50% as these two sensitivityscenarios are in the directors' opinion the most relevant, given the very short duration to maturity of the Transaction.Spread widening (more risk) impacts negatively on the note values, whereas spread tightening impacts positively onthe note values. The impacts of similar stress factors are however asymmetrical. Lower ranked tranches areimpacted to a greater extent than the higher ranked tranches because lower tranches have the greatest exposure.The tranche thicknesses and corresponding fixed coupon rates progress in anon-linear manner. Similarly, the rate ofchange as a result of spread stress also progresses non-linearly. All spread up scenarios produced valid resultshowever the following note tranches failed in the spread down scenario:

Name TrancheRegent Tranche A-1Regent Tranche A-2Regent Tranche BRegent Tranche C

The results of the tranches which failed on the spread down scenario were implied from the results of similar tranchesin similar types of deals. For those results that were implied, estimated upper and lower bounds are also included.The methodology used when implying results can be found in the table below:

Name Tranche Basis of implied ratioRegent Tranche A-1 Implied from the average of the A-1 note tranches (the highest tranche) of

Hanover Street Finance Limited ("Hanover") and Pembridge SquareFinance Limited ("Pembridge")

Regent Tranche A-2 Implied from the average of~the A-1 note tranches (the highest tranche) ofHanover and Pembridge

Regent Tranche B Implied from the average of the A-2 note tranches (the middle tranche) ofHanover and Pembridge

Regent Tranche C Implied from the average of the B note tranches (the lowest tranche) ofHanover and Pembridge

-24-


39 December 2015



The results of the spread down scenario for the Company were implied from similar note tranches of Pembridge andHanover because of the similar structure of these deals. The deals are of a similar vintage and have experiencedcomparable levels of credit events.

The estimated impact of the spread up and spread down scenarios are shown in the table below:

Fair Value at Spreads Spreads31 December up 50°/Q down

Name Tranche 2015 (million 50%EUR) (million

EUR)

Regent A-1 €89,951,064 (2.3) 2.7

Regent A-2 €113,689,025 (3.2) 3.9

Regent B €100,467,$70 (5.4) 4.8

Regent C €28,302,330 (3.1) 3.8

Any change in the assumptions used in calculating the fair value of the Notes would be passed on to theSwaps. Accordingly the change in value of the Notes would have a materially equal and opposite impact on the valueof the Swaps. Accordingly the Directors are of the opinion that there is no material exposure relating to changes inassumptions for level III inputs that would impact the Company.

(e) Capital management

The Company is a special purpose entity therefore exposure to risk in relation to capital management is notconsidered significant.

14 Derivative financial instruments

The Company enters into derivative financial instruments to allow the noteholders the opportunity to participate in therisks and rewards in relation to the Portfolio whilst allowing the Company to benefit from a Transaction fee and costsof administration being met.

The Company entered into the Swap with the Swap Counterparty pursuant to the terms of which, the Company inreturn for a Swap premium fee, took on the credit and market risk of the Portfolio which is scheduled to terminate inApril 2017. The notes will be repaid to the noteholders unless there are any credit events before this date.

In the event Credit Events in respect of the Portfolio occur on or before a redemption date of the Notes, the Companyis obliged, subject to certain other conditions as set out in the Swap, to make payment of cash settlement amounts tothe Swap Counterparty. The interest and principal balance of the Notes will be reduced accordingly by theproportion of the Cash Reserve Amount and the Amounts due under the Investment Agreement which have beenutilised to make payment of cash settlement amounts to the Swap Counterparty, as per the terms of the Notes.

KBC Bank N.V., as Portfolio manager is permitted to add or delete reference entities in the Portfolio subject to aminimum rating for a reference entity of at least BB+ by Fitch, Bat by Moody's or BB+ by Standard and Poor's. Onissue, the Portfolio size was approximately 2.5 times the nominal amount of the Notes.

As security for its obligation under the Swap, the Company has pledged the Amounts due under the InvestmentAgreement to the Security Trustee.

-25-


31 December 2015

15 Ultimate controlling party

The Company is owned by Bedell Trustees Limited, in its capacity as trustee of the Regent Street Charitable Trust.

The financial statements of the Company are consolidated in the financial statements of KBG Investments CaymanIslands V Ltd, whose financial statements are consolidated in the financial statements of KBC Bank N.V. In theopinion of the directors the ultimate parent company is KBC Group N.V.

16 Related party transactions

The Company was formed for the purpose of participating in the Transaction arranged by KBC Bank N.V. TheCompany raised funds from the issuance of the Notes in the sum of €688,550,000 and the Company entered into anInvestment Agreement with the Eligible GIC Provider whereby the Company invested the proceeds of the Notes at apurchase price of €688,550,000 as the Amounts due under the Investment Agreement. KBC Group N.V. is theultimate controlling party of the Company and the Eligible GIC provider and the swap counterparty. Details oftransactions with the Eligible GIC provider and the swap counterparty are detailed below. All income received on theAmounts due under the Investment Agreement is paid to the Company as investment income.

Upon the maturity or early redemption of the Notes, the Eligible GIC Provider will deliver to the Company thepurchase price of €688,550,000 or such proportion of the Amounts due under the Investment Agreement to match theNotes to be redeemed. For the year ended 31 December 2015 the Company had received investment income in thesum of €147,715 (2014: €961,773) and had received excess investment income in the sum of €39,941 (2014:€70,333) was receivable.

The Company also entered into the Swap with the Swap Counterparty pursuant to the terms of which the Companyhas, in return for a fee, taken on the mezzanine level credit and market risk of the Portfolio which is up to€3,000,000,000 in size. The Swap Counterparty retained the first loss tranche of €22,500,000. The Company hasthe meuanine level credit risk for a maximum amount of €688,554,000 above the first loss tranche. For the yearended 31 December 2015 the Company had received from the Swap Counterparty Swap premium in the sum of€2,456,639 (2014: €2,401,636) and a receivable Swap premium in the sum of €39,941 (2014: €1,645,126).

The directors of the Company are the Company's only key management personnel. Corporate administrationservices are provided to the Company by Bedell Trust Company Limited, including the provision of Companysecretary, Bedell Secretaries Limited and the directors. Shane Michael Hollywood is a director of Bedell TrusteesLimited and Bedell Secretaries Limited and is a partner of Bedell Group. Shane Michael Hollywood and Ariel Pinelare directors of Bedell Trustees Limited and Bedell Secretaries Limited. Shane Michael Hollywood is a partner ofBedell Group. Shane Michael Hollywood is also a director of Bedell Trust Company Limited. The directors' fees areincluded in the fee expense payable to Bedell Trust Company Limited.

Total fees charged by Bedell Trust Company Limited during the year amounted to £21,421 (€29,060) (2014: £19,800(€25,349)). Fees were payable to Bedell Trust Company Limited in the sum of £5,418 (€6,936) as at the year end(2014: £5,418 (€6,936)).

Legal services are provided to the Company by Bedell Cristin, from time to time.

17Dividends

A dividend was paid during the year in the sum of £750 (€960) which equates to £375 0480) per share (2014: £750(€899) which equates to £375 (€450) per share).

A dividend in the sum of £750 (€1,017) is recommended in respect of the financial year ended 31 December 2015which equates to £375 (€508) per share (2014: £750 (€960) equates to £375 (€480) per share).

-26-


37 December 2015

18 Post statement of financial position events

Credit Events occurred in the Portfolio during the current and prior years in the form of bankruptcy credit events,restructuring credit events, ABS ratings downgrade credit events, and permanent reduction of capital credit events.Credit Events for the following corporate obligations and asset backed securities had a settlement date on or after 1January 2016:

Bankruptcy credit events:

• Peabody Energy Corporation X6,230,000

• Portugal Telecom International Finance B.V.

Credit protection valuations have been verified by an independent verification agent in respect of the Credit Eventclaims and settlements made under the Swap. The payment of Credit Event claims during and after the year resulted inthe reduction of the Amounts due under the Investment Agreement and an equal reduction to the principal amounts dueto the noteholders.

On 28 June 2016 the Company gave notice of the intention to transfer the obligations of the Eligible GIC Provider fromKBC Bank N.V. to KBC Bank N.V. London Branch with effect from a date no earlier than 30 calendar days from the dateof the notice.

Following the expiration of the 30 calendar day notice period, the Company entered into a Deed of Assumption on 15August 2016, pursuant to which the obligations of the Eligible GIC Provider were transferred from KBC Bank N.V. toKBC Bank N.V. London Branch with effect from 15 August 2016. The credit ratings that apply to KBC Bank N.V. alsoapply to KBC Bank N.V. London Branch

In April 2017 the Company will redeem the remaining Amounts due under the Investment Agreement and use theproceeds to repay, any notes remaining in April 2017. It is the intention of the directors to proceed with the dissolution ofthe Company within the next twelve months. The financial statements have therefore been prepared on a break upbasis. As the Company is solvent and will be dissolved under ordinary circumstances the directors do not feel that anymaterial adjustments arose as a result of ceasing to apply the going concern basis. The financial statements do notinclude any costs relating to the dissolution of the Company as these costs will be met by KBC Bank N.V.

-27-

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