Cavendish Square Funding Public Limited Company2020/08/04 · Bessborough House 17 Cavendish Square London EC4N 7HE United Kingdom Cavendish Square Funding Public Limited Company

Cavendish Square Funding Public Limited Company

Directors' report and audited financial statements

For the financial year ended 31 January 2020

Registered number 409234

Cavendish Square Funding Public Limited Company

ContentsPage (s)

Directors and other information 1

Directors' report 2 - 5

Statement of directors' responsibilities 6

Independent auditors' report 7 - 11

Profit and loss account 12

Balance sheet 13

Statement of changes in equity 14

Statement of cash flows 15

Reconciliation of net cash flow to movement in net debt 15

Notes to the financial statements 16 - 26

Cavendish Square Funding Public Limited Company Page 1

Directors and other information

Directors Jonathan Law (British)Thomas Geary (Irish)

Company Secretary Apex IFS Limited2nd Floor, Block 5Irish Life CentreAbbey Street LowerDublin 1Ireland

Registered Office (As from 9 March 2020) (Up to 9 March 2020)2nd Floor, Block 5 2 Grand Canal SquareIrish Life Centre Grand Canal HarbourAbbey Street Lower Dublin 2Dublin 1 IrelandIreland

Banker

Custodian,Paying Agent & Banker

Trustee

Independent Auditor

Solicitors

Collateral Manager

Apex Corporate Trustees (UK) Limited6th Floor, 125 Wood StreetLondon EC2V 7ANUnited Kingdom

AIBAshford HouseTara StreetDublin 2Ireland

Mazars (Appointed on 10 January 2020)Chartered Accountants and Statutory Audit FirmHarcourt Centre, Block 3Harcourt RoadDublin 2Ireland

Bank of New York 1 Canada SquareLondon E14 5ALUnited Kingdom

A&L Goodbody SolicitorsIFSCNorth Wall Quay Dublin 1Ireland

AE Global Investments Solutions LimitedBessborough House 17 Cavendish SquareLondon EC4N 7HEUnited Kingdom


Directors' report

Principal activities and business review

Credit events

Future developments

Results and dividends for the financial year

Going concern

Principal risks and uncertainties

Directors and secretary

Jonathan LawThomas Geary

The Secretary of the Company is Apex IFS Limited.

Directors, secretary and their interests

Shares and shareholders

The names of the Directors who were in office at any time during the financial year ended 31 January 2020 are set out below. Except wherenoted, they served for the entire financial year.

The Directors and Secretary, who held office on 1 February 2019 and 31 January 2020, had no beneficial interests in the Company which isrequired by the Companies Act 2014 to be recorded in the register of interests or disclosed in the Directors report. Except for theAdministration agreement entered into by the Company with Apex IFS Limited as from the same date, there were no contracts of anysignificance in relation to the business of the Company in which the Directors had any interest, as defined in Section 309 of the CompaniesAct 2014, at any time during the financial year. Directors fees of EUR 10,000 (2019: EUR 10,000) were paid during the financial year. Furtherinformation is set out in note 17 to the financial statements.

The authorised share capital of the Company is EUR 40,000 which has been fully issued but partly paid. The principal shareholders in theCompany are Apex Financial Services (Trustees) Limited (39,994 shares), Forbit Corporate Director 4 Limited (1 share), Forbit CorporateDirector 3 Limited (1 share), Apex Financial Services (Nominees 1) Limited (1 share), Apex Financial Services (Nominees 2) Limited (1share), Apex Financial Services (Nominees 3) Limited (1 share) and Apex Financial Services (Foundations) Limited (1 share).

Key performance indicators are used to measure and monitor the performance of the Company. The fair value of the financial assets at 31January 2020 is EUR 53,648,779 (2019 restated: EUR 61,796,282). One note matured in February 2010 and the Class A1 Tranche N waspartially repaid EUR 10,146,390 during the financial year (2019: EUR 15,706,464). The remaining Notes are due to mature in 2055. Thetransaction has performed as expected during the financial year end and as at financial year end. The profit for the financial year was EUR Nilin accordance with the profit participating note agreement in place (2019 restated: EUR Nil).

There have been no credit events during the financial year under review (2019: Nil).

The Directors confirm that they have a reasonable expectation that the Company has adequate resources to continue in operational existencefor the foreseeable future and that the financial statements have been properly prepared on a going concern basis.

The Company is subject to various risks. The key risks facing the Company and the manner in which these risks have been dealt with aredisclosed in the financial risk management which is note 15 to the financial statements.

The directors (the "Directors") present their report and the audited financial statements of Cavendish Square Funding Public Limited Company(the "Company") for the financial year ended 31 January 2020.

The principal activity of the Company is to raise funds through the issuance of notes (the "Notes") and a revolving credit facility. These fundshave been invested in a portfolio of financial assets comprising of prime and subprime RMBS and other structured securities mainly inEurope. The cashflows derived from the collateral portfolio are used to fund the payments due to noteholders.

The Notes are listed on the Euronext Dublin.

The Directors expect that the present level of activity will be sustained for the foreseeable future. The Collateral Manager will continue toensure proper management of the current portfolio of financial assets of the Company.

The trading results for the financial year are set out in the profit and loss account on page 12. The Directors do not propose to declare adividend (2019: EUR Nil).


Research and development costsThe Company did not incur any research and development costs during the financial year (2019: EUR Nil).

Corporate Governance StatementIntroduction

Financial Reporting Process

Risk Assessment

- The Administrator has a review procedure in place to ensure errors and omissions in the financial statements are identified and corrected.- Regular training on accounting rules and recommendations is provided to the accountants employed by the Administrator.- Accounting bulletins, issued by the Administrator, are distributed to all accountants employed by the Administrator.

Control Activities

Monitoring

Capital Structure

Directors' report (continued)

During the financial year ended 31 January 2020, the Company has been in compliance with both the Companies Act 2014 and the ListingRules of the Euronext Dublin. The Company does not apply additional requirements in addition to those required by the above. Each of theservice providers engaged by the Company is subject to their own corporate governance requirements.

The Board of Directors (the "Board”) is responsible for establishing and maintaining adequate internal control and risk management systemsof the Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of failure toachieve the Company’s financial reporting objectives and can only provide reasonable and not absolute assurance against materialmisstatement or loss.

The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financialreporting process. These include appointing Apex IFS Limited (the "Administrator"), to maintain the accounting records of the Companyindependently of the Collateral Manager, the Custodian and the Trustee. The Administrator is contractually obliged to maintain adequateaccounting records as required by the Corporate Administration agreement. To that end the Administrator performs reconciliations of itsrecords to those of the Trustee and the Custodian. The Administrator is also contractually obliged to prepare for review and approval by theBoard the annual report including financial statements intended to give a true and fair view.

The Board evaluates and discusses significant accounting and reporting issues as the need arises. From time to time, the Board also examinesand evaluates the Administrator’s financial accounting and reporting routines and monitors and evaluates the external auditors’ performance,qualifications and independence. The Administrator has operating responsibility for internal control in relation to the financial reportingprocess and the Administrator’s report to the Board.

The Board is responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring theprocesses are in place for the timely identification of internal and external matters with a potential effect on financial reporting. The Board hasalso put in place processes to identify changes in accounting rules and recommendations and to ensure that these changes are accuratelyreflected in the Company’s financial statements. More specifically:

The Administrator maintains control structures to manage the risks which the Board judges to be significant for internal control over financialreporting. These control structures include appropriate division of responsibilities and specific control activities aimed at detecting orpreventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements and the relatednotes in the Company’s annual report.

The Board has an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified andmeasures recommended by the independent auditor.

Given the operations performed by the Administrator, the Board has concluded that there is currently no need for the Company to have aseparate internal audit function in order for the board to perform effective monitoring and oversight of the internal control and riskmanagement systems of the Company in relation to the financial reporting process.

The principal shareholders in the Company are Apex Financial Services (Trustees) Limited (39,994 shares), Forbit Corporate Director 4Limited (1 share), Forbit Corporate Director 3 Limited (1 share), Apex Financial Services (Nominees 1) Limited (1 share), Apex FinancialServices (Nominees 2) Limited (1 share), Apex Financial Services (Nominees 3) Limited (1 share) and Apex Financial Services (Foundations)Limited (1 share). Other than that, no person has a significant direct or indirect holding of securities in the Company. No person has anyspecial rights of control over the Company’s share capital. The Board confirm that AIBworthytrust Limited (the "Share Trustee") have enteredinto a Share Trust agreement whereby they have agreed not to exercise their voting rights. With regard to the appointment and replacement ofdirectors, the Company is governed by the Constitution, Irish Statute comprising the Companies Act 2014 and the Listing Rules of theEuronext Dublin. The Constitution may be amended by special resolution of the shareholders.


Corporate Governance Statement (continued)Powers of Directors

Accounting records

Political donations

Subsequent eventsSubsequent events have been disclosed in note 20 to the financial statements.

Statement on relevant audit information

x

x

Directors' compliance statementThe Directors confirm that:x

x

x

x the arrangements and structures in place were reviewed during the financial year.

Audit committee

Given the contractual obligations of the Administrator and the limited recourse nature of the securities issued by the Company, the Directorshave concluded that there is currently no need for the Company to have a separate audit committee in order for the Directors to performeffective monitoring and oversight of the internal control and risk management systems of the Company in relation to the financial reportingprocess. Accordingly, the Company has availed itself of the exemption under paragraph 10(c) of the Section 1551 of the Companies Act 2014.

The Directors believe that they have complied with requirements of Sections 281 to 285 of the Companies Act 2014 with regards to keepingadequate accounting records by employing accounting personnel with appropriate experience and expertise and by providing services to thefinancial function. The accounting records of the Company are maintained at 2nd Floor, Block 5, Irish Life Centre, Abbey Street Lower,Dublin 1, Ireland.

they acknowledge that they are responsible for securing the Company's compliance with its relevant obligations and have, to the bestof their knowledge, complied with its relevant obligations as defined in Section 225 of the Companies Act 2014;they have drawn up a compliance policy statement setting out the Company's policies (that, in the directors' opinion, are appropriate tothe Company) respecting compliance by the Company with its relevant obligations;relevant arrangements and structures have been put in place that provide a reasonable assurance of compliance in all material respectsby the Company with its relevant obligations, which arrangements and structures may, if the Directors so decide, include reliance onthe advice of one or more than one person employed by the Company or retained by it under a contract for services, being a personwho appears to the directors to have the requisite knowledge and experience to advise the Company on compliance with its relevantobligations; and

Each of the persons who are Directors at the time when this Directors’ report is approved has confirmed that:so far as each Director is aware, there is no relevant audit information of which the Company’s auditors are unaware; and he or she has taken all the steps that he or she ought to have taken as a Director to make himself or herself aware of any relevant auditinformation, and to establish that the company’s auditors are aware of that information.

The Board is responsible for managing the business affairs of the Company in accordance with the Articles of Association. The Directors maydelegate certain functions to the Administrator and other parties, subject to the supervision and direction by the Directors. The Directors havedelegated the day to day administration of the Company to the Administrator.

Directors' report (continued)

Under Section 1551 (10)(c) of the Companies Act 2014, the Company is exempt from the requirement to establish an audit committee as theCompany acts as an issuer of asset backed securities. The Directors have availed of this exemption for the preparation of the financialstatements.

The Electoral Act, 1997 (as amended by the Electoral Amendment Political Funding Act, 2012) requires companies to disclose all politicaldonations over EUR 200 (2019: EUR 200) in aggregate made during a financial year. The Directors confirm that no such donations have beenmade by the Company during the financial year to 31 January 2020.

24 July 2020


• select suitable accounting policies and then apply them consistently;• make judgments and estimates that are reasonable and prudent;••

The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets,liabilities, financial position and profit or loss of the Company and enable them to ensure that its financial statements comply with theCompanies Act 2014. They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of theCompany and to prevent and detect fraud and other irregularities. The directors are also responsible for preparing a Directors’ Report thatcomplies with the requirements of the Companies Act 2014.

In preparing those financial statements, the Directors are required to:

state whether they have been prepared in accordance with FRS102; andprepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue inbusiness.

The Directors are responsible for preparing the Directors' Report and financial statements in accordance with applicable law and the FinancialReporting Standard applicable in the UK and Republic of Ireland issued by the Financial Reporting Council ("FRS 102").

Under Company law, the Directors must not approve the financial statements unless they give a true and fair view of the assets, liabilities andfinancial position of the Company as at the financial year end date and of the profit or loss of the Company for that financial year andotherwise comply with the Companies Act 2014.

Statement of Directors' responsibilities

_______________________________________________________________________________________

INDEPENDENT AUDITORS’ REPORT TO THE

MEMBERS OF CAVENDISH SQUARE FUNDING PUBLIC LIMITED COMPANY

Report on the audit of the financial statements

Opinion

We have audited the financial statements of Cavendish Square Funding Public Limited Company (‘the Company’) for the year ended 31 January 2020, which comprise the profit and loss account, the balance sheet, the statement of changes in equity, the statement of cash flows and the related notes to the financial statements, including the summary of significant accounting policies. The financial reporting framework that has been applied in their preparation is the Companies Act 2014 and FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”.

In our opinion, the financial statements:• give a true and fair view of the assets, liabilities and financial position of the Company as at 31 January 2020 and of

its profit for the year then ended;• have been properly prepared in accordance with FRS 102 “The Financial Reporting Standard applicable in the

UK and Republic of Ireland”; and• have been properly prepared in accordance with the requirements of the Companies Act 2014.

Basis for opinion

We conducted our audit in accordance with (ISAs (Ireland) and applicable law. Our responsibilities under those standards are further described in the Auditor's Responsibilities for the Audit of the Financial Statements section of our report.

We are independent of the Company in accordance with ethical requirements that are relevant to our audit of financial statements in Ireland, including the Ethical Standard as applied to public interest entities issued by the Irish Auditing and Accounting Supervisory Authority (IAASA), and we have fulfilled our other ethical responsibilities in accordance with these requirements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Conclusions relating to going concern

We have nothing to report in respect of the following matters in relation to which ISAs (Ireland) require us to report to you where:

• the Directors’ use of the going concern basis of accounting in the preparation of the financial statements is notappropriate; or

• the Directors have not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the Company’s ability to continue to adopt the going concern basis of accounting for aperiod of at least twelve months from the date when the financial statements are authorised for issue.

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Key audit matters

Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud). The matters, described below, had the greatest impact on our audit strategy, the allocation of resources in the audit and directing the efforts of the engagement team. This was addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and therefore we do not provide a separate opinion on this matter.

Key audit matter How our audit addressed this key audit matter

Valuation of financial instruments at fair value

Cavendish Square Funding Plc’s financial position depends on, to a significant degree, the valuation of financial instruments measured at FVTPL. The Company’s financial instruments at fair value are the Company’s investments portfolio and its notes issued. Any error in the valuation of a financial instrument can have a significant impact on the financial statements.

Accordingly, ensuring the appropriate valuation of these financial instruments measured at FVTPL is considered a significant risk and key audit matter.

- Obtained an understanding of the valuationmethodologies;

- Reviewed the fair value methodologies applied bythe Company and assess the underlying assumptions for reasonableness and compliance with fair value measurement principles;

- Performed an independent recalculation of the fairvalue of the Company’s notes issued based on thevaluation methodology applied;

- Obtained supporting documentation from theCollateral Manager supporting the fair value of the Company’s assets and challenge critical assumptions;

- Performed independent re-pricing on theCompany’s financial assets at fair value; and

- Assessed of the appropriateness of the relateddisclosures in the financial statements.

Based on the procedures performed we consider the valuation of the Company’s financial instruments at fair value to be reasonable.

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Our application of materiality

The scope of our audit was influenced by our application of materiality. We set certain quantitative thresholds for materiality. These, together with qualitative considerations, helped us to determine the scope of our audit and the nature,timing and extent of our audit procedures on the individual financial statement line items and disclosures and in evaluatingthe effect of misstatements, both individually and on the financial statements as a whole. Based on our professional judgement, we determined materiality for the financial statements as a whole as follows:

Overall materiality €565,070

How we determined it 1% of total assets

Rationale for benchmark applied

Reporting threshold

An overview of the scope of our audit

In determining our materiality, we considered those financial metrics which we believed to be relevant and concluded that ‘total assets’ was the most relevant benchmark. We applied this benchmark because in our view this is the metric against which the recurring performance of the Company is commonly measured by its stakeholders.

We agreed with the Board of Directors that we would report to them misstatements identified during our audit in excess of €16,952 as well as misstatements below that amount that, in our opinion, warranted reporting for qualitative reasons.

We tailored the scope of our audit to ensure that we performed sufficient work to be able to give an opinion on the financial statements as a whole, taking into account the Company’s accounting processes and controls, and the industry in which it operates. In establishing the overall approach to our audit, we assessed the risk of material misstatement, taking intoaccount the nature, likelihood and potential magnitude of any misstatement. We used the outputs of our risk assessment,our understanding of the Company, and also considered qualitative factors in order to ensure that we obtained sufficient coverage across all financial statement line items.

Other information

The Directors are responsible for other information. This other information comprises of information included in the annual report other than the financial statements and our auditors’ report thereon. Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether this other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact.

We have nothing to report in this regard.

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Corporate governance statement

In addition, we report, in relation to information given in the Corporate Governance Statement that:

• based on knowledge and understanding of the company and its environment obtained in the course of our audit, nomaterial misstatements in the information identified above have come to our attention;

• based on the work undertaken in the course of our audit, in our opiniono The description of the main features of the internal control and risk management systems in relation to the

process for preparing the financial statements, and information relating to voting rights and other matters required by the European Communities (Takeover Bids Directive 2004/25/EC) Regulations 2006 and specified by the Companies Act 2014 for our consideration, are consistent with the financial statements andhave been prepared in accordance with the Companies Act 2014, and;

o The Corporate Governance Statement contains the information required by the Companies Act 2014.

Opinions on other matters prescribed by the Companies Act 2014

Based solely on the work undertaken in the course of the audit, we report that:

• in our opinion, the information given in the Directors’ Report is consistent with the financial statements; and• in our opinion, the Directors’ Report has been prepared in accordance with the Companies Act 2014.

We have obtained all the information and explanations which we consider necessary for the purposes of our audit. In our opinion, the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited and the financial statements are in agreement with the accounting records.

Matters on which we are required to report by exception

Based on the knowledge and understanding of the Company and its environment obtained during the course of the audit, we have not identified any material misstatements in the Directors’ Report.

The Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of Directors’ remuneration and transactions required by Sections 305 to 312 of the Act are not made. We have nothing to report in this regard.

Respective responsibilities

Responsibilities of Directors for the financial statements

As explained more fully in the Statement of Directors’ Responsibilities set out on page 5, the Directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view, and for such internal controls as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Directors are responsible for assessing the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accountingunless the Directors either intends to liquidate the Company or to cease operations, or has no realistic alternative but to doso.

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Auditors’ responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion.

Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

A further description of our responsibilities for the audit of the financial statements is located on the IAASA’s website at:http://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8a98202dc9c3a/Description of auditors responsibilities for audit.pdf.

This description forms part of our Auditors’ Report.

Other matters which we are required to address

We were appointed by the Board of Directors on 16 January 2020 to audit the financial statements for the year ended 31 January 2020 and subsequent financial periods. The period of total uninterrupted engagement including previous renewals and reappointments of the firm as auditors of Cavendish Square Funding Public Limited Company is 1 year, covering the year ending 31 January 2020.

The non-audit services prohibited by IAASA’s Ethical Standard is located athttps://www.iaasa.ie/getmedia/cc2cfaa6-ed87-4a1c-927a-af34c217b5b9/Ethical-Standard-for-Auditors-Ireland-

2016_1. No non-audit services prohibited by the standard were performed during the period under review.

Our opinion is consistent with our report to the Board of Directors we are required to provide in accordance with ISA (Ireland) 260.

The purpose of our audit work and to whom we owe our responsibilities

Our report is made solely to the Company’s members, as a body, in accordance with Section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

__________________________Patrick Gorryfor and on behalf of MazarsChartered Accountants & Statutory Audit FirmHarcourt Centre,Block 3,Harcourt Road,Dublin 2.

Date: 30 July 2020

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http://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8a98202dc9c3a/Description

https://www.iaasa.ie/getmedia/cc2cfaa6-ed87-4a1c-927a-af34c217b5b9/Ethical-Standard-for-Auditors-Ireland-2016_1

https://www.iaasa.ie/getmedia/cc2cfaa6-ed87-4a1c-927a-af34c217b5b9/Ethical-Standard-for-Auditors-Ireland-2016_1


Profit and loss accountFor the financial year ended 31 January 2020

31-Jan-20 31-Jan-19Notes EUR EUR

Interest receivable and similar income 4 628,504 843,674Interest payable and similar charges 5 (409,294) 27,506

219,210 871,180

Fair value gain/(loss) on financial assets 8 3,779,074 (1,277,921)Fair value (loss)/gain on financial liabilities 11 (3,779,074) 2,049,197Fair value loss on derivatives - (771,276)Administrative expenses 6 (219,210) (175,992)Revaluation loss - (703,381)Foreign exchange gain - 8,193

Profit on ordinary activities before taxation - -

Tax on profit on ordinary activities 7 - -

- -

*Refer to note 19 for details on restatement

Financial year ended

Restated*Financial year

ended

Net interest income

Profit for the financial year

There was no other comprehensive income for the financial year ended 31 January 2020 (2019 restated: Nil). Therefore, no separate statementof other comprehensive income has been presented. All of the above profits are in respect of continuing operations.

The notes on pages 16 to 26 form an integral part of the financial statements.

24 July 2020

24 July 2020


Statement of changes in equityFor the financial year ended 31 January 2020 Restated*

Total

EUR EUR EUR40,000 375 40,375

- - -40,000 375 40,375

40,000 375 40,375

- - -40,000 375 40,375

*Refer to note 19 for details on restatement


Called up share capital

Profit and loss account

Balance as at 1 February 2018

Profit for the financial yearBalance as at 31 January 2019

Balance as at 1 February 2019

Profit for the financial yearBalance as at 31 January 2020


Statement of cash flowsFor the financial year ended 31 January 2020

31-Jan-20 31-Jan-19Notes EUR EUR14(a) 64,864 (39,297)

- -

8 11,926,577 10,689,98411,926,577 10,689,984

11 (10,146,390) (15,706,464)(10,146,390) (15,706,464)

14(b) 1,845,051 (5,055,777)

Restated*

31-Jan-20 31-Jan-19EUR EUR

Increase/(decrease) in cash 14(b) 1,845,051 (5,055,778)6,367,316 10,424,455

Movement in net debt during the financial year 8,212,367 5,368,677(59,433,013) (64,801,690)

Net debt at the end of the financial year (51,220,646) (59,433,013)



Net Cash inflow/(outflow) from operating activities

Taxation paid

Cash flows from investing activitiesDisposal of financial assets

Reconciliation of net cash flow to movement in net debt as at 31 January 2020Financial year

endedFinancial year

ended

Decrease in total debt


Net cash from investing activities

Cash flows from financing activitiesRedemption of notes

Increase/(decrease) in cash

Net debt at the beginning of the financial year

Net cash used in financing activities


Notes to the financial statementsFor the financial year ended 31 January 2020

1 General information

The Notes are listed on the Euronext Dublin.

2 Basis of preparation (a) Statement of compliance

Restatement of prior year financial statements

(b) Basis of measurement

• Financial assets designated as at fair value through profit or loss; and• Financial liabilities designated as at fair value through profit or loss.

(c) Functional and presentation currency

(d) Critical accounting estimates and judgements in applying accounting policies

In accordance with FRS 102, the Company has opted to apply the recognition and measurement requirements of IAS 39Financial Instruments: Recognition and Measurement to its financial instruments that fall in scope of Sections 11 and 12 of FRS102. In addition, the presentation and disclosure requirements of FRS 102 have been applied as required by that latter standard.

The majority of the Company’s financial instruments are classified in categories that require measurement at fair value throughprofit or loss ("FVTPL"), with the basis for arriving at this position being set out below.

The financial statements have been prepared on the historical cost basis except for the following items which are measured at fairvalue through the profit or loss:

The financial statements are presented in Euro (''EUR'') which is the Company’s reporting currency. The notes has been issued inEUR. Therefore, the Directors of the Company believe that EUR most faithfully represents the economic effects of theunderlying transactions, events and conditions.

These financial statements have been prepared on a going concern basis as described in the Directors' report. Based upon theCompany's financial position, the Directors are satisfied that the going concern basis of accounting is appropriate, for theforeseeable future.

The Company makes estimates and assumptions that affect the reported amounts of the financial assets and liabilities. The keyarea of estimate and judgement for the Company is determining the fair value of financial assets and liabilities. The fair value offinancial assets at FVTPL that are actively traded in organised financial markets is determined by reference to quoted market bidprices at the close of business on the balance sheet date. For financial assets at FVTPL where there is no active market, fair valueis determined using valuation techniques. Such techniques may include using recent arm’s length market transactions; referenceto the current value of another instrument that is substantially the same; discounted cash flow analysis or other valuation models.

The principal activity of the Company is to raise funds through the issuance of Notes. These funds have been invested in a portfolio offinancial assets comprising of prime and subprime RMBS and other structured securities mainly in Europe. The cashflows derivedfrom the collateral portfolio are used to fund the payments due to noteholders.

During the financial year, the Company restated the fair value of the financial assets and liabilities in the comparative financialstatements and have highlighted these in note 19 to the financial statements. Such restatements have a Nil impact on thepreviously reported profit/loss or total comprehensive income or the reported equity as detailed in note 19. The restatements havebeen made to correct prior year errors and improve the overall presentation of the financial statements. Refer to note 19 fordetails on the restatement.

The financial reporting framework that has been applied in their preparation is the Companies Act 2014 and Financial ReportingStandard 102 “The Financial Reporting Standard applicable in the UK and the Republic of Ireland” (“FRS 102”) as issued by theFinancial Reporting Council in August 2014.

The accounting policies set out below have been applied in preparing the financial statements for the financial year ended 31January 2020 and the comparative information presented in these financial statements are for the financial year ended 31 January2019.


Notes to the financial statementsFor the financial year ended 31 January 2020

2 Basis of preparation (continued)(d) Critical accounting estimates and judgements in applying accounting policies (continued)

3 Significant accounting policies(a) Taxation

(b) Deferred tax

(c) Cash and cash equivalents

(d) Foreign currency transactions

Timing differences are temporary differences between profits as computed for tax purposes and profits as stated in the financialstatements which arise because certain items of income and expenditure in the financial statements are dealt with in differentfinancial years for tax purposes.

Deferred tax is measured at the tax rates that are expected to apply in the years in which the timing differences are expected toreverse based on tax rates and laws that have been enacted or substantively enacted by the balance sheet date. Deferred tax is notdiscounted.

Foreign currency transactions are translated into the functional currency using the spot exchange rates at the dates of thetransactions. At the end of each financial year foreign currency monetary items are translated to EUR using the closing rate. Non-monetary items measured at historical cost are translated using the exchange rate at the date of the transaction and non-monetaryitems measured at fair value are measured using the exchange rate when fair value was determined. Foreign exchange gains andlosses resulting from the settlement of transactions and from the translation at exchange rates at the end of the financial year ofmonetary assets and liabilities denominated in foreign currencies are recognised in the profit and loss account. Foreign exchangegains and losses that relate to borrowings and cash and cash equivalents are presented in the profit and loss account within‘interest receivable and similar income’ or ‘interest payable and similar charges’ as appropriate. All other foreign exchange gainsand losses are presented in the profit and loss account within ‘foreign exchange gain/loss’.

Cash and cash equivalents include cash held at bank, which are subject to insignificant risk of changes in their value, and areused by the Company in the management of its short term commitments.

There are no restrictions on cash and cash equivalents.

Cash and cash equivalents are carried at amortised cost in the balance sheet.

The financial liabilities at FVTPL are determined using the fair values of the financial assets in the portfolio in accordance withthe terms and conditions of the Notes issued as documented in the prospectus.

Corporation tax is provided on taxable profits at the current rates applicable to the Company's activities.

Deferred tax is provided on all timing differences that have originated but not reversed at the balance sheet date wheretransactions or events that result in an obligation to pay more tax in the future or a right to pay less tax in the future haveoccurred at the balance sheet date.

Valuation techniques incorporate assumptions about factors that other market participants would use in their valuations,including interest rate yield curves, exchange rates, volatilities, and prepayment and default rates. If there are additional factorsthat are not incorporated within the valuation model but would be considered by market participants, further fair valueadjustments are applied to model calculated fair values. These fair value adjustments include adjustments for bid-offer spread,model uncertainty, credit risk and model limitation. Where a financial instrument has a quoted price in an active market and it ispart of a portfolio, the fair value of the portfolio is calculated as the product of the number of units and quoted price.


Notes to the financial statements (continued)For the financial year ended 31 January 2020

3 Significant accounting policies (continued)(e) Interest income and expenses

(f) Financial assets

(g) Financial liabilities

(h) Offsetting financial instrument

(i) Share capital

Financial liabilities are initially recognised at fair value, being their issue proceeds (fair value of consideration received) net oftransaction costs incurred and subsequently measured at fair value or at amortised cost. Debt securities issued by the Companyare subsequently measured at fair value through profit or loss on the basis that it eliminates or significantly reduces ameasurement or recognition inconsistency, "an accounting mismatch", that would otherwise arise from measuring assets orliabilities or recognising the gains and losses on them on a different basis.

Whilst this accounting treatment is in accordance with IAS 39, Financial Instruments: Recognition and Measurement, theCompanies Act 2014 paragraph 38 does not permit financial liabilities to be valued at fair value unless it is permitted by IFRSand appropriate disclosure is made. The Directors consider that the adoption of the IAS 39 option to fair value liabilities isrequired in order to give a true and fair view of the financial performance of the company.

Given the economic structure of the transaction the fair value of financial liabilities is derived from the fair value at the financialassets.

Financial assets and liabilities are offset and the net amount presented in the balance sheet when, and only when, the Companyhas a legal right to set off the amounts and intends either to settle on a net basis or to realise the asset and settle the liabilitysimultaneously. Income and expenses are presented on a net basis only when permitted by the accounting standards, or for gainsand losses arising from a group of similar transactions.

Share capital is issued in EUR. Dividends are recognised as a liability in the financial period in which they are approved.

Financial assets at fair value through profit or loss are subsequently carried at fair value. Gains and losses arising from changesin the fair value of the financial assets are included in the profit and loss account in the period in which they arise.

The fair values of quoted investments in active markets are based on current bid prices. If the market for a financial asset is notactive (and for unlisted securities), the Company establishes fair value by using valuation techniques. These include the use ofrecent arm's length transactions, discounted cash flow analysis, option pricing models and other valuation techniques commonlyused by market participants. For financial instruments that trade infrequently and have little price transparency, fair value is lessobjective, and requires varying degrees of judgement depending on liquidity, concentration, uncertainty of market factors,pricing assumptions and other risks affecting the specific instrument. The hierarchy used is grouped by three different levels.Level 1 which is quoted prices in active markets for identical assets or liabilities. Level 2 which is inputs other than quotedprices included within Level 1 that are observable for the asset or liability, either directly or indirectly and level 3 which is inputsfor the asset or liability that are not based on observable market data.

Interest income and expense are recognised in the profit and loss account.

The effective interest method is a method of calculating the amortised cost of a financial asset or a financial liability and ofallocating the interest income or interest expenses over the relevant period. The effective interest rate is the rate that exactlydiscounts estimated future cash payments or receipts through the expected life of the financial instrument or, when appropriate, ashorter period to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate,the company estimates cash flows considering all contractual terms of the financial instrument (for example, prepaymentoptions) but does not consider future credit losses. The calculation includes all fees and points paid or received between partiesto the contact that are an integral part of the effective interest rate, transaction costs and all other premiums or discounts.

The Company initially recognises its financial assets at fair value or at amortised cost. It classifies its financial assets as financialassets at fair value through profit or loss. Management determines the classification of its investments at initial recognition.Purchases and sales of financial assets are recognised on trade-date - the date on which the company commits to purchase or sellthe asset. Financial assets are derecognised when the rights to receive cash flows from the financial assets have expired or wherethe Company has transferred substantially all risks and rewards of ownership.



3 Significant accounting policies (continued)(j) Debtors

(k)

4


Interest income on financial assets 628,504 843,674628,504 843,674

5


Interest payable on Notes issued 409,294 (27,506)409,294 (27,506)

6


Administrative expenses 219,210 175,992

Included in administrative expenses are:

Collateral management fees 59,041 25,547Directors' remuneration 10,000 7,000

Auditors' remuneration (excluding VAT and including expenses):- audit of individual accounts 20,000 7,995- other assurance services - -- tax compliance services 2,750 -- other non-audit services - -Total Auditors' remuneration 22,750 7,995

The Company has no employees (2019: Nil). Accounting and other services have been outsourced.

7


Current Tax:

Irish corporation tax on profit for the financial year - -

Profit on ordinary activities before tax - -

Profit on ordinary activities multiplied by the average rate of Irish corporation tax for the financial year of 12.5% - -

Tax on profit on ordinary activities Financial year ended


The Company will continue to be actively taxed at 25% in accordance with Section 110 of the Taxes Consolidated Act 1997.

Interest payable and similar charges Financial year ended


Administrative expenses Financial year ended


Interest receivable and similar income Financial year ended


Debtors do not carry any interest, are short-term in nature and have been reviewed for any evidence of impairment. Debtors areaccounted at amortised cost.

CreditorsCreditors are accounted at amortised cost.



7


Effect of:Section 110 of the Taxes Consolidation Act, 1997 - -Under accrual of prior financial year taxation - -Current tax charge for the financial year - -

8 Restated*31-Jan-20 31-Jan-19

EUR EURBalance at the beginning of the financial year 61,796,282 67,128,167Disposals (11,926,577) (10,689,984)Revaluation loss - (703,381)Foreign exchange gain - 8,193Fair value movement 3,779,074 6,053,287Balance at the end of the financial year 53,648,779 61,796,282

9 31-Jan-20 31-Jan-19EUR EUR

Accrued interest receivable 102,712 247,219Issuer fee income receivable 500 500Share capital receivable 31,995 31,995Prepayments 8,137 176

143,344 279,890


Notes accrued interest payable (2,463,924) (2,547,973)Operational expenses payable (67,178) (54,811)

(2,531,102) (2,602,784)

11 Creditors: (Amounts falling due after more than one financial year) Restated*31-Jan-20 31-Jan-19

EUR EURFinancial liabilities at fair value through profit and loss 53,935,489 60,302,805

Financial liabilities at fair value through profit and loss:Balance as at the beginning of the financial year 60,302,805 70,727,260Redemptions (10,146,390) (15,706,464)Fair value movement 3,779,074 5,282,009Balance as at the end of the financial year 53,935,489 60,302,805

Debtors

Creditors: (Amounts falling due within one financial year)

Financial assets at fair value through profit or loss

The Company is a qualifying company within the meaning of Section 110 of the Taxes Consolidation Act, 1997. As such the profitsare chargeable to corporation tax under Case III of Schedule D at a rate of 25% but are computed in accordance with the provisionsapplicable to Case I of Schedule D. The Company had no taxable profits for the financial year and thus had no corporation tax charge(2019: Nil).

Tax on profit on ordinary activities (continued) Financial year ended





Authorised:40,000 Ordinary shares of EUR 1 40,000 40,000

Ordinary Shares of EUR 1 each (paid up to 25%):39,993 EUR 1 Ordinary shares 9,998 9,998

Ordinary Shares of EUR 1 each (unpaid up to 75%):39,993 EUR 1 Ordinary shares 29,995 29,995

Ordinary Shares of EUR 1 each fully paid up:7 EUR 1 Ordinary shares 7 7

40,000 40,000

13 Reconciliation of movement in shareholders' funds Restated*31-Jan-20 31-Jan-19

EUR EUROpening equity shareholders' funds 40,375 40,375Issue of share capital - -Profit for the financial year - -Closing equity shareholders' funds 40,375 40,375

14(a) Reconciliation of operating profit to operating cash flows 31-Jan-20 31-Jan-19EUR EUR

Operating profit - -Decrease/(increase) in debtors 136,546 (111,199)Decrease in creditors (falling due within one financial year) (71,682) (623,286)Foreign currency revaluation on financial assets - 695,188Net cash inflow/(outflow) from operating activities 64,864 (39,297)

14(b)

EUR EUR EUR EURCash at Bank 869,792 1,845,051 - 2,714,843Debt due after one financial year (60,302,805) 6,367,316 - (53,935,489)

(59,433,013) 8,212,367 - (51,220,646)

Restated*

31 January 2019EUR EUR EUR EUR

Cash at Bank 5,925,570 (5,055,778) - 869,792Debt due after one financial year (70,727,260) 15,706,464 (5,282,009) (60,302,805)

(64,801,690) 10,650,686 (5,282,009) (59,433,013)

At the beginning of the

financial year

Cash Flow Other Non-Cash Changes

At the end of the financial year

31 January 2020

At the beginning of the

financial year

Cash Flow Other Non-Cash Changes

At the end of the financial year

Share capital

Analysis of changes in net debt



15 Financial risk management

Risk management frameworkThe Directors have overall responsibility for the establishment and oversight of the Company’s risk management framework.

The Company has exposure to the following risks from its use of financial instruments:(a) Interest risk;(b) Currency risk;(c) Liquidity and cash flow risk; and(d) Credit risk.

(a) Interest risk

Interest on the Notes is payable quarterly in arrears at the following rates for the Notes:

Class of Notes Currency Nominal Value Class A2 EUR 6,297,377 Class B EUR 9,300,000 Class C EUR 9,000,000

EUR 13,800,000 38,397,377

31 January 2019 Class of Notes Currency Nominal Value Class A2 EUR 16,443,768 Class B EUR 9,300,000 Class C EUR 9,000,000

EUR 13,800,000 48,543,768

Sensitivity analysisNo sensitivity analysis is presented on the basis that the risk is ultimately passed on to the Noteholders due to the limitedrecourse nature of the Notes issued.

Interest rate per annumEURIBOR+0.55%EURIBOR+0.85%EURIBOR+1.85%

Subordinated Notes Based on remaining funds

EURIBOR+0.55%EURIBOR+0.85%EURIBOR+1.85%

Subordinated Notes Based on remaining funds

The Company's financial instruments include cash at bank, financial assets, Notes issued and other accruals that arise directly from itsoperations.

The Company’s activities are exposed to a variety of financial risks: interest rate risk, currency risk, credit risk and liquidity risk. TheCompany’s overall risk management programme focuses on unpredictability of financial markets and seeks to minimise potentialadverse effects on the financial performance of the Company.

It is, and has been throughout the period under review, the Company's policy that no trading in financial instruments shall beundertaken.

Funds raised by issuing Notes by the Company at floating interest rate are invested in floating interest rate financial assets.

31 January 2020 Interest rate per annum

The Company’s risk management policies are established to identify and analyse the risks faced by the Company, to set appropriaterisk limits and controls, and to monitor risks and adherence to limits. Risk management policies and systems are reviewed regularly toreflect changes in market conditions and the Company’s activities.

The risk profile of the Company is such that interest, currency, liquidity and other risks of the financial assets are borne fully by theholders of Notes issued.

This note presents information about the Company’s exposure to each of the above risks, the Company’s objectives, policies andprocesses for measuring and managing risk.



15 Financial risk management (continued)(b) Currency risk

EURAssetsFinancial assets at fair value through profit or loss 53,648,779Cash at bank 2,714,843Other debtors 143,344Total 56,506,966

LiabilitiesNotes in issue 53,935,489Other Liabilities 2,531,102Total 56,466,591

Net GAP 40,375

31 January 2019 RestatedEUR

AssetsFinancial assets at fair value through profit or loss 61,796,282Cash at bank 869,792Other debtors 279,890Total 62,945,964

LiabilitiesNotes in issue 60,302,805Other Liabilities 2,602,784Total 62,905,589

Net GAP 40,375

Sensitivity analysisNo sensitivity analysis is presented on the basis that the financial assets and financial liabilities are denominated in EUR.

The Notes issued by the Company are denominated in EUR and primarily invested in EUR denominated assets eliminatingcurrency risk. 31 January 2020



15 Financial risk management (continued)

(c) Liquidity and cash flow risk

EUR EUR EUR EUR2020Notes in issue - - 38,397,377 38,397,377Interest on Notes 228,182 737,789 5,539,225 6,505,196Other Liabilities 67,178 - - 67,178Total 295,360 737,789 43,936,602 44,969,751

EUR EUR EUR EUR2019Notes in issue - - 48,543,768 48,543,768Interest on Notes 173,420 917,997 7,121,543 8,212,960Other Liabilities 54,811 - - 54,811Total 228,231 917,997 55,665,311 56,811,539

Notes

Sensitivity analysis

(d) Credit risk

No sensitivity analysis is presented on the basis that the risk is ultimately passed on to the Noteholders due to the limitedrecourse nature of the Notes issued.

The ability of the Company to meet its obligations under the Notes and loan facility is dependent on the receipt of interest fromfinancial assets.

The undiscounted cash flows of all the financial liabilities by remaining contracted maturity at 31 January 2020 and 31 January2019 are as follows:

Interest payable on Notes have been calculated using the assumption that the financial year end Euribor/Libor rate would remainunchanged in the future.

The credit risk management includes the ongoing monitoring and measurement of the credit quality of all financial assets. Thecredit rating for the Company’s bankers, The Bank of New York is AA- (S&P), AA1 (Moody’s), AA+ (Fitch), and the creditratings for AIB is BBB- (S&P), Baa2 (Moody’s), BBB (Fitch).

Less than 1 year

1 year to 5 years

Over 5 years Total

Less than 1 year

1 year to 5 years

Over 5 years Total



15 Financial risk management (continued)(d) Credit risk (continued) Restated

2020Financial assets listed by credit rating:AAA - - 4,340,119 4,047,705AA+ 2,158,044 1,981,732 554,336 544,234AA 1,558,840 1,496,863 291,080 293,877AA- 524,421 277,437 99,566 97,212A+ 3,303,574 3,215,856 1,108,126 1,152,365A 5,608,654 5,135,512 4,116,967 3,989,384A- 1,108,126 1,141,450 3,000,000 2,923,500BBB+ 1,807,397 1,724,618 8,806,658 8,025,587BBB - - 8,130,921 6,716,531BBB- 5,057,268 4,579,260 3,225,148 3,012,263BB+ 6,541,441 5,936,289 6,199,898 5,417,222BB 5,137,925 4,588,291 5,163,643 4,718,321BB- 3,000,000 2,940,000 4,819,011 4,240,478B+ 4,696,392 3,553,117 - -B 776,653 765,498 5,093,619 4,584,024B- 4,823,875 4,378,162 3,360,022 3,016,139CCC+ - - 849,712 730,022CCC 3,000,000 1,528,511 3,945,994 2,496,858CCC- 2,212,475 765,416 1,229,273 553,173CC 3,566,381 3,376,858 13,612,231 2,964,565C 500,000 421,663 4,200,000 660,078D 20,812,231 5,566,768 5,000,000 930,039NA 2,386,805 275,478 3,360,756 682,706

78,580,502 53,648,779 90,507,080 61,796,283

(e) Fair value hierarchy• Level 1 - quoted prices (unadjusted) in active markets for identical assets or liabilities;

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

See note 1 for valuation techniques used to value financial statements.

Level 1 Level 2 Level 3 TotalEUR EUR EUR EUR

2020Securities - - 53,648,779 53,648,779Notes - - (53,935,489) (53,935,489)Total - - (286,710) (286,710)

2019Securities - - 61,796,282 61,796,282Notes - - (60,302,805) (60,302,805)Total - - 1,493,477 1,493,477

• Level 2 - inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (i.e.as prices) or indirectly (i.e. derived from prices); and

The following tables show the analysis of financial assets and liabilities designated at fair value through profit or loss allocatingthese to the three Levels as at 31 January 2020 and as at 31 January 2019:

Fair values as at 31 January

Principal value as at 31

January 2019

Fair values as at 31 January 2019

The maximum credit exposure of financial assets held is EUR 53,648,779 (2019 restated: EUR 61,796,283).

Principal value as at 31

January 2020



16 Company status

17 Related party transactions

18 Capital management

19 Prior year adjustments

Previously Restatementpresented in retained Restated

earnings31-Jan-2019 31-Jan-2019 31-Jan-2019

Statement of financial positionFinancial assets at fair value through profit or loss 54,465,077 7,331,205 61,796,282Creditors: (Amounts falling due after more than one financial year) (52,971,600) (7,331,205) (60,302,805)

20 Subsequent eventsImpact of COVID 19

There were no other significant items post financial year end.

21 CommitmentsThe Company has no commitments or contingencies at 31 January 2020 (2019: Nil).

22 Approval of financial statements

The authorised share capital of the Company is EUR 40,000 which has been fully issued but partly paid. The principal shareholders inthe Company are Apex Financial Services (Trustees) Limited (39,994 shares), Forbit Corporate Director 4 Limited (1 share), ForbitCorporate Director 3 Limited (1 share), Apex Financial Services (Nominees 1) Limited (1 share), Apex Financial Services (Nominees2) Limited (1 share), Apex Financial Services (Nominees 3) Limited (1 share) and Apex Financial Services (Foundations) Limited (1share).

Directors fees of EUR 10,000 (2019: EUR 10,000) were paid during the financial year. Directors fees to the value of EUR 8,137(2019: EUR 176) were prepaid at financial year end.

The Board of Directors approved these financial statements on ...................................................

The Company views the share capital as its capital. The Company is a special purpose vehicle set up to issue debt for the purpose ofmaking investments as defined under the programme memorandum. Share capital of EUR 40,000 was issued in line with IrishCompany Law and is not used for financing the investment activities of the Company. The Company is not subject to any otherexternally imposed capital requirements.

In prior year, there were eight assets which were valued at Nil value. However, the collateral manager reassessed the prices andconcluded that these assets were traded and need to be valued at 31 January 2019 and 2020. The financial statements as at 31 January2019, have therefore been restated to reflect these amendments. Restatement have been made in the Statement of financial positionwith an impact on retained earnings as detailed below.

Since the beginning of the coronavirus outbreak in January 2020, the coronavirus has spread across the world, causing ongoingdisruption to businesses and economic activity worldwide. Global markets have reacted sharply to this pandemic, with concernsregarding the economic impact this may have on a global scale. At 30 June 2020, it has been noted that the valuations of the financialassets were not significantly impacted by the Covid 19. However, the Board of Directors will continue to monitor the impact on theCompany’s activities.

The Company is a bankruptcy remote special purpose vehicle. The results of the Company are not consolidated into the financialstatements of any group companies.

Ultimately, the prior year adjustment had a nil impact on the retained earnings as the adjustment had an equal and opposite effect onthe fair value loss on financial assets and on the fair value gain on financial liabilities in the prior period comparatives.

24 July 2020.

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Cavendish Square Funding Public Limited Company2020/08/04 · Bessborough House 17 Cavendish Square London EC4N 7HE United Kingdom Cavendish Square Funding Public Limited Company