Taberna Europe CDO I Plc Directors' report and financial … · Taberna Europe CDO I Plc Page 2 Directors' report Principal activities The Notes are listed on the regulated market

Taberna Europe CDO I Plc Directors' report and financial statements

Financial year ended 31 December 2019

Registered number: 430216

DocuSign Envelope ID: 7D8B90C2-24C7-4E91-BD83-C8D074DC5199

Taberna Europe CDO I Plc

Contents Page

Directors and other information 1

Directors' report 2 - 5

Statement of Directors' responsibilities 6

Independent auditor's report 7 - 13

Statement of financial position 14

Statement of comprehensive income 15

Statement of changes in equity 16

Statement of cash flows 17

Notes to the financial statements 18 - 35


Taberna Europe CDO I Plc Page 1

Directors and other information

Directors John Dunleavy (appointed on 14 April 2020)John Paul Maguire (appointed on 29 April 2019)Adrienne Lonergan (appointed on 29 April 2019 and resigned on 14 April 2020)Ross Burns (resigned on 29 April 2019)Aisling McNicholas (resigned on 29 April 2019)

Registered office Block AGeorge's Quay PlazaGeorge's QuayDublin 2Ireland

Company Secretary / Vistra Alternative Investments (Ireland) LimitedAdministrator Block A

George's Quay PlazaGeorge's QuayDublin 2Ireland

Trustee BNY Corporate Trustee Services LimitedOne Canada SquareLondon E14 5ALUnited Kingdom

Collateral Administrator / The Bank of New York MellonCalculation agent & One Canada SquareCustodian London E14 5AL

United Kingdom

Independent Auditor Ernst & YoungChartered AccountantsErnst & Young BuildingHarcourt StreetDublin 2Ireland

Solicitor Arthur Cox Earlsfort CentreEarlsfort TerraceDublin 2Ireland

Swap counterparties Bank of America, N.A JPMorgan Chase Bank5 Canada Square Collateral OperationsCanary Wharf Floor 3London E14 5AQ 18 Christchurch RoadUnited Kingdom Bournemouth BH1 3BA

United Kingdom

Bankers The Bank of New York Mellon1 Canada SquareLondon E14 5ALUnited Kingdom

As from 20 June 2019Barclays Bank Ireland PlcOne Molesworth Street,Dublin 2,Ireland

Collateral Manager Taberna European Capital Management LLC 110 S. Poplar Street, Suite 101WilmingtonDelaware 19801United States of America



Directors' report

Principal activities

The Notes are listed on the regulated market of Euronext Dublin.

Security

Derivative financial instruments

More details of swap contracts are provided in Note 12.

Review of business and future developments

31-Dec-19 31-Dec-18Class A1 Notes - - Class A2 Notes 63,266,212 84,326,196 Class B Notes 50,990,962 50,990,962 Class C Notes 33,601,356 33,289,129 Class D Notes 39,367,272 38,512,203 Class E Notes 31,159,180 29,950,384 Class F Notes 23,000,000 23,000,000

241,384,982 260,068,874

The Company has no direct employees, and no subsidiaries.

The key performance indicators of the Company during the financial year were as follows:

• The Company made a loss after tax of €3,302,306 (2018: profit after tax of €341,795);• Total amount of notes redeemed during the financial year were €21,059,984 (2018: €7,916,201);

The following facility increases were made to the debt securities by way of capitalisation of interest;- €312,227 Class C notes due 2038 (2018: €309,202)- €855,069 Class D notes due 2038 (2018: €835,054)- €1,208,797 Class E notes due 2038 (2018: €1,159,418)

At the financial year end:The Company’s total indebtedness was €237,966,738 (2018: €256,101,492);

The Company has entered into some hedge agreements, namely interest rate swaps and an interest rate cap with Bank of America, N.A and cross currency swapswith JPMorgan Chase Bank to mitigate risks of currency and interest rate mismatch between the portfolio of assets and the debt securities issued.

The details of the Notes nominal amount at financial year end which are listed on Euronext Dublin are as follows:

Par amount (€)

For the financial year under review, the Company earned interest income on loans and receivables at amortised cost of €2,913,986 (2018: €3,954,956) and incurredother expenses of €486,457 (2018: €464,459). Interest expense and similar charges amounted to €3,086,604 (2018: €2,832,886). Other income, gains and lossesarising from trading activities amounted to net losses of €3,743,999 (2018: €201,884).

- There was a fall in interest income mainly due to the repayment of J&T Finance Group and Cofiroute during the financial year;

The Directors expect that the present level of activity will be sustained for the foreseeable future. The Directors will continue to seek new opportunities for theCompany and will continue to manage the current portfolio of assets of the Company.

The Directors present the annual report and audited financial statements of Taberna Europe CDO I Plc (the “Company”) for the financial year ended 31 December2019.

The Company, is a limited liability company, incorporated in Ireland on 24 November 2006 with Company registration number 430216 and has been established inorder to enter into a transaction with Merrill Lynch International to purchase a portfolio of Collateral obligations (the "portfolio") consisting primarily of CollateralDebt Obligations, Exchanged Equity Securities and Eligible Investments to be managed, on behalf of the Company, by Taberna European Capital Management,LLC (the “Collateral Manager”).

The Company has financed the purchase of the portfolio through the proceeds of the issuance of the Notes: €362,000,000 Class A1 Senior Floating Rate Notes due2038, €90,500,000 Class A2 Senior Floating Rate Notes due 2038, €48,000,000 Class B Senior Deferrable Floating Rate Notes due 2038, €28,500,000 Class CSenior Subordinated Deferrable Floating Rate Notes due 2038, €29,000,000 Class D Senior Subordinated Deferrable Floating Rate Notes due 2038, €19,000,000Class E Senior Subordinated Deferrable Floating Rate Notes due 2038 and €23,000,000 Class F Subordinated Notes due 2038 (together, the “Notes”).

Pursuant to the Trust Deed dated 31 January 2007, the Company has assigned, by way of security, all present and future rights, title and interest and all entitlementsor other benefits relating thereto of the Company in respect of all collaterals in favour of BNY Corporate Trustee Services Limited (the "Trustee") and for the solebenefit of the noteholders (the "Secured Parties").

The Notes issued are limited recourse obligations of the Company and are payable solely from amounts received in respect of the Collateral Debt Obligations,Swap Hedge Agreements and other Collateral securing the Notes as per the terms of the Trust Deed.

- There was an increase in other expenses mainly due to an increase in legal and professional fees during the financial year; - There was an increase in net losses on other income, gains and losses mainly due to an increase in unrealised losses made on derivatives during the financial year.

As at financial year end, the Company had investments in liquidity funds for a total amount of €Nil (2018: €413,317). The amount of €413,317 was repaid duringthe year (2018: additional investment of €383,948).

• During the financial year 2019, a net Expected Credit loss (ECL) provision amounting to €63,344 (2018: €31,523) was made on the assets DevelopmentSecurities (Finance) PLC being €22,290 (2018: €25,380), NH Hotels S.A. being €15,000 (2018: €Nil), Capital Source Finance LLC being €24,512 (2018: €1,010),Lexington Capital Trust 1 being €6,168 (2018: €197) and reversal of ECL on Affine SA being €4,626 (2018: ECL provision of €4,936).

The Directors expect that the rapid spread of the novel coronavirus (“COVID-19”) is likely to weigh at least temporarily on the present level of activity of theCompany. Please refer to Business risks section for a detailed discussion on COVID-19 and its impact on the going concern basis of the Company. Nonetheless, the Directors will continue to seek new opportunities for the Company and will continue to ensure proper management of the current portfolio of assets of theCompany.



Directors' report (continued)

Results and dividends for the financial year

Changes in Directors and secretary and registered office

The names of the persons who served the Company as Directors during the financial year are set out on page 1.

There were no other changes in Directors or secretary during the financial year.

Subsequent events

Directors, secretary and their interests

Transactions involving Directors

Political donations

Accounting records

Business risks

The Electoral Act, 1997 (as amended by the Electoral (Amendment) (Political Funding) Act, 2012) requires companies to disclose all political donations over €200in aggregate made during a financial year. The Directors, on enquiry, have satisfied themselves that no such donations in excess of this amount have been made bythe Company during the financial year ended 31 December 2019 and 2018.

The Directors believe that they have complied with the requirements of Sections 281 to 285 of the Act with regard to the keeping of accounting records bycontracting a service provider with the appropriate expertise and by providing adequate resources to the financial function. The accounting records of the Companyare maintained at Block A, George's Quay Plaza, George's Quay, Dublin 2, Ireland.

The disclosures in relation to the Company’s policies for financial risk management, including market risk, credit risk, operational risk and liquidity risk and thenature of financial instruments used during the financial year to mitigate exposure to these risks are shown in Note 19 to the financial statements.

The UK formally left the EU on 31 January 2020 and is currently in the transition period during which a new free trade agreement will be negotiated with the EU.During this transition period, there will be no changes to the market conditions of the UK. The transition period will end on 31 December 2020 after which the newnegotiated terms and conditions will be enforced. As a consequence, the Directors are closely monitoring the developments and are assessing the impact it mayhave on the Company.

All subsequent events are disclosed in Note 23 to the financial statements.

The secretary who held office at the beginning and end of the financial year did not hold any shares or debentures in the Company during the financial year. Noneof the Directors had any interest in shares or debentures either during or at the beginning or at the end of the financial year in any material contract or arrangementwith the Company. The Directors at the date of this report are listed on page 1. The Directors are also employees of Vistra Alternative Investments (Ireland)Limited ("VAIIL"). Section 305A(1)(a) of the Act requires disclosure that VAIIL received €1,000 (2018: €1,000) per Director included in the administration fees asconsideration for the making available of individuals to act as Directors of the Company. Other than this, there were no further required disclosures arising underSections 305 and 306 of the Act.

There are no contracts of any significance in relation to the business of the Company in which the Directors had any interest, as defined in Section 329 of theCompanies Act 2014 (the "Act") as amended, at any time during the financial year ended 31 December 2019 and 2018. Under the terms of the current CorporateService Agreement, VAIIL (the "Administrator") provides administrative services to the Company.

The results for the financial year are set out on page 15. No dividends are recommended by the Directors for the financial year under review (2018: Nil).

On 29 April 2019, Ross Burns and Aisling McNicholas resigned as Directors of the Company and were replaced by John Paul Maguire and Adrienne Lonergan onthe same date. On 14 April 2020, Adrienne Lonergan resigned as Director of the Company and was replaced by John Dunleavy on the same date.

In December 2019, COVID-19 was reported in Wuhan, China. As the pandemic evolves, it will be expected that many areas may detect imported cases and localtransmission of COVID-19. As of now, COVID-19 has since spread to over 210 countries worldwide and on March 11, 2020 the World Health Organization(‘WHO’) declared COVID-19 a pandemic.

The spread of the COVID-19 outbreak has caused severe disruptions in the Irish and global economy and financial markets and could potentially create widespreadbusiness continuity issues of an unknown magnitude and duration. Many countries, including Ireland, have reacted by instituting quarantines, mandating businessand school closures and restricting travel. Many experts predict that the outbreak will trigger a period of global economic slowdown or a global recession.

The Directors are closely monitoring the potential impact of COVID-19 on the 2020 financial results and cashflows. The Company will continue to monitor themarket for impact and viability on current and future developments.

The Directors considered the impact that COVID-19 may have over the going concern assumption of the Company. The limited recourse nature of the securitiesissued by the Company limit the investor’s recourse only up to the underlying net assets of that particular debt securities issued. The investors have no right topetition for insolvency proceedings against the Company in the event that the underlying assets are insufficient to repay the principal amount of the debt securitiesissued.




Operational risk exposure

Going concern

Shares and shareholders

Annual Corporate Governance StatementIntroduction

Financial Reporting Process

Risk Assessment

Control Activities

Monitoring

Capital Structure

There are no restrictions on voting rights.

The Board evaluates and discusses significant accounting and reporting issues as the need arises. From time to time the Directors also examine and evaluate theAdministrator’s financial accounting and reporting routines and monitors and evaluates the external auditor's performance, qualifications and independence. TheAdministrator has operating responsibility for internal control in relation to the financial reporting process and the Administrator is responsible to the Board in thisrespect.

The Board is responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring the processes are in place forthe timely identification of internal and external matters with a potential effect on financial reporting. The Board has also put in place processes to identifydevelopments in accounting rules and to ensure that these changes are accurately and appropriately reflected in the Company’s financial statements. Morespecifically;

- 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.

The response to the impact of COVID-19 is set out in the Business risks section on page 3.

The Directors have concluded that the impact of the COVID-19 does not represent a material uncertainty in relation to the Company’s ability to continue as a goingconcern through the date of the issuance of these financial statements.

Further details regarding the adoption of the going concern basis, in preparing the financial statements, can be found in the Basis of preparation Note 2(b).

Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company’s processes, personnel and infrastructure,and from external factors other than credit, market and liquidity risks such as those arising from legal and regulatory requirements and generally accepted standardsof corporate behaviour. Operational risks arise from all of the Company’s operations.

The Company was incorporated with the purpose of engaging in those activities outlined in the preceding paragraphs. All management and administrationfunctions are outsourced the Administrator.

Due to the limited recourse nature of the Notes issued by the Company, the Company can continue to operate as a going concern and as such the accounts havebeen prepared on this basis. In the event that there is ultimately insufficient funds to repay the noteholders the remaining debt will be extinguished and the resultingaccounting profit will offset losses incurred to that date. The legal maturity date of the notes issued is 5 February 2038.

The authorised share capital of the Company is €40,000 divided into 40,000 shares of €1 each (the "Shares") which have been issued and fully paid and are directlyor indirectly held by the Share Trustee under the terms of a declaration of trust (the "Declaration of Trust") under which the Share Trustee holds the benefit of theshares on trust for charitable purposes. There are no other rights that pertain to the shares and the shareholders.

The Company is subject to and complies with Irish Statute comprising the Act and the Listing rules of Euronext Dublin. The Company does not apply additionalrequirements in addition to those required by the above. Each of the service providers engaged by the Company is subject to their own corporate governancerequirements. The Notes are listed on the regulated market of Euronext Dublin.

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

The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financial reporting process.These include appointing the Administrator, VAIIL, to maintain the accounting records of the Company independently of Taberna European Capital ManagementLLC (the “Collateral Manager”) and The Bank of New York Mellon (the “Custodian”). The Administrator is contractually obliged to maintain adequate accountingrecords as required by the Corporate Administration agreement. To that end the Administrator performs reconciliations of its records to those of the CollateralManager and the Custodian. The Administrator is also contractually obliged to prepare for review and approval by the Board the annual report including financialstatements that are required to give a true and fair view.

The Company's ability to meet its obligations in respect of the debt securities, its operating and other expenses is wholly dependent upon the performance of theportfolio and the eligible investments. The Directors anticipate that the financial assets will continue to generate enough cash flow on an ongoing basis to meet theCompany's liabilities as they fall due.

The Board regularly reviews the performance of the Administrator with respect to their contractual obligation. Given the contractual obligations on theAdministrator, the Directors have concluded that there is currently no need for the Company to have a separate internal audit function in order for the Directors toperform effective monitoring and oversight of the internal control and risk management systems of the Company in relation to the financial reporting process.

No person has a significant direct or indirect holding of securities in the Company. No person has any special rights of control over the Company’s share capital.

The Administrator is contractually obliged to design and maintain control structures to manage the risks which the Board judges to be significant for internalcontrol over financial reporting. 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 related notes in the Company’sannual report.

The Board has an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measures identified throughits own processes or by other parties including the independent auditor.

Shareholder meetings are held on an annual basis and shareholders have the right to vote on both company issues and on the selection of the Company's Board.




Annual Corporate Governance Statement (continued)

Powers of Directors

Audit committee

Risk and uncertainties

Directors' Compliance Statement

Statement on relevant audit informationEach Director at the date of approval of this report confirms that: • so far as the Directors are aware, there is no relevant audit information of which the Company’s auditor is unaware; and •

Independent auditor

Approved and authorised for issue on behalf of the Board

John Paul Maguire John DunleavyDirector Director

Date:

Under Section 1551 (1) of the Act, all public-interest entities are required to establish an audit committee, subject to certain exemptions. Section 167 of the Actalso requires the Directors of PLC’s or large companies (as such term is defined in the Act) to establish an audit committee or to state the reasons for notestablishing such a committee.

As set out in Section 1551(11)(c) of the Act, a Company issuing asset backed securities may avail itself of an exemption from the requirements to establish an auditcommittee. The sole business of the Company relates to the issuing of asset-backed securities. Given the contractual obligations of the Administrator and thelimited recourse nature of the securities issued by the Company, the Board has concluded that there is currently no need for the Company to have an auditcommittee in order for the Board to perform effective monitoring and oversight of the internal control and risk management systems of the Company in relation tothe financial reporting process and the monitoring of the statutory audit and the independence of the statutory auditors. Further, the Company has availed itself ofthe exemption under Section 1551(11)(c) of the Act not to establish an audit committee.

The Board is responsible for managing the business affairs of the Company in accordance with the Articles of Association. The Directors may delegate certainfunctions to the Administrator and other parties, subject to the supervision and direction by the Directors. The Directors have delegated the day to dayadministration of the Company to the Administrator and management of the Company’s assets to the Collateral Manager.

The Articles of Association provide that the Directors may exercise all the powers of the Company to borrow money, to mortgage or charge its undertaking propertyof any part thereof and may delegate these powers to the Collateral Manager.

The instrument of transfer of any share shall be executed by or on behalf of the transferor and, in cases where the share is not fully paid, by or on behalf of thetransferee. The transferor shall be deemed to remain the holder of the share until the name of the transferee is entered on the register in respect thereof. TheDirectors in their absolute discretion and without assigning any reason therefore may decline to register any transfer of a share. If the Directors refuse to register atransfer they shall, within two months after the date on which the transfer was lodged with the Company, send to the transferee notice of the refusal.

Principal risks and uncertainties facing the Company relates to the valuation of derivatives and financial instruments held by the Company. The financial riskmanagement objectives and policies of the Company and its exposures to price risk, credit risk and liquidity risk are set out in Note 19 to the audited financialstatements.

The Directors confirm that:• they acknowledge that they are responsible for drawing up the Company's compliance policy statement with its relevant obligations and have, to the best of theirknowledge, complied with its relevant obligations as defined in section 225 of the Act; • relevant arrangements and structures have been put in place that provide a reasonable assurance of compliance in all material respects by the Company with itsrelevant obligations, which arrangements and structures may, if the Directors so decide, include reliance on the advice of one or more than one person employed bythe Company or retained by it under a contract for services, being a person who appears to the Directors to have the requisite knowledge and experience to advisethe Company on compliance with its relevant obligations; • the arrangements and structures in place, are reviewed on an annual basis; and

the Directors have taken all steps that he/she ought to have taken as a Director in order to make himself/herself aware of any relevant audit information and toestablish that the Company’s auditor is aware of this information.

In accordance with Section 383 (1) of the Act, Ernst & Young, Chartered Accountants, were appointed on 4 April 2018 and have expressed their willingness tocontinue in office under section 383 (2) of the Act.


Jul-23-2020


Statement of Directors' responsibilities

• • make judgements and estimates that are reasonable and prudent;•

•

• • •

These financial statements comply with the aforementioned requirements.



Date:

Irish Company law requires the Directors to prepare financial statements for each financial year. Under that law, the Directors have elected to prepare the financialstatements in accordance with International Financial Reporting Standards as adopted by the European Union (IFRS).

Under company law, the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the assets, liabilities andfinancial position, of the Company as at the end of the financial year, and the profit or loss of the Company for the financial year, and otherwise comply with theAct.

In preparing these financial statements, the Directors are required to: select suitable accounting policies and then apply them consistently;

state whether the financial statements have been prepared in accordance with applicable accounting standards, identify those standards, and note the effect andreasons for any material departure from those standards; andprepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for preparing the Directors’ report and the financial statements in accordance with Irish law.

The Directors are responsible for keeping or causing to be kept adequate accounting records that are sufficient to:correctly record and explain the transactions of the Company;enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy; andenable the Directors to ensure that the financial statements and Directors' report comply with the Act and the Listing Rules of the Euronext Dublin and enablethose financial statements to be audited.

The Directors are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud andother irregularities.


Jul-23-2020

Page 7

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF TABERNA EUROPE CDO I PLC

Opinion

We have audited the financial statements of Taberna Europe CDO I plc (‘the Company’) for the yearended 31 December 2019, which comprise the Statement of Financial Position, Statement ofComprehensive Income, Statement of Changes in Equity, Statement of Cash Flows and notes to thefinancial statements, including the summary of significant accounting policies set out in Note 3. Thefinancial reporting framework that has been applied in their preparation is Irish Law and InternationalFinancial Reporting Standards (IFRS) as adopted by the European Union as applied in accordance withthe provisions of the Companies Act 2014.

In our opinion the financial statements:

give a true and fair view of the assets, liabilities and financial position of the Company as at31 December 2019 and of its loss for the year then ended;

have been properly prepared in accordance with IFRS as adopted by the European Union; and

have been properly prepared in accordance with the requirements of the Companies Act2014.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs(Ireland)) and applicable law. Our responsibilities under those standards are further described in theAuditor's Responsibilities for the Audit of the Financial Statements section of our report. We areindependent of the Company in accordance with ethical requirements that are relevant to our auditof financial statements in Ireland, including the Ethical Standard as applied to public interest entitiesissued by the Irish Auditing and Accounting Supervisory Authority (IAASA), and we have fulfilled ourother ethical responsibilities in accordance with these requirements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basisfor 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 financialstatements is not appropriate; or

the directors have not disclosed in the financial statements any identified materialuncertainties that may cast significant doubt about the Company’s ability to continue to adoptthe going concern basis of accounting for a period of at least twelve months from the datewhen the financial statements are authorised for issue.

Page 8

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF TABERNA EUROPE CDO I PLC(continued)

Key audit matters

Key audit matters are those matters that, in our professional judgment, were of most significance inour audit of the financial statements of the current period and include the most significant assessedrisks of material misstatement (whether or not due to fraud) that we identified, including those whichhad the greatest effect on: the overall audit strategy, the allocation of resources in the audit; anddirecting the efforts of the engagement team. These matters were addressed in the context of ouraudit of the financial statements as a whole, and in forming our opinion thereon, and we do notprovide a separate opinion on these matters.

Risk Our response to the risk Key observationscommunicated tothe Board ofDirectors

Management override of control overthe impairment of loans andreceivables at amortised cost

Loans and receivables( 2019: €93,432,995)( 2018: €112,931,766)

Interest receivable on loans andreceivables(2019: €467,458)(2018: €518,987)

Impairment loss during the financialyear(2019: €63,344)(2018: Nil)

The audit team has identified a risk ofmanagement override of controls inrelation to the estimates that drive theinputs and assumptions used in theamortised cost and the associatedimpairment of such loans andreceivables. This is primarily as aresult of the use of complexassumptions and judgements used inthe impairment calculation.

Refer to Note 2 (d), 3 (e), 10, 11 and19 of the financial statements.

We performed the following auditprocedures:

We assessed theappropriateness of policiesgoverning the accountingtreatment and impairment ofloans and advances atamortised costs.

We obtained anunderstanding, evaluated andtested the designeffectiveness of key controlsover the impairment of loansand receivables at amortisedcost including appropriategovernance procedures andmanagement review of thecontrol procedures.

We tested the reasonability ofthe inputs into theimpairment calculations.

Our planned auditprocedures werecompleted withoutmaterial exception.

Page 9


Our application of materiality

We apply the concept of materiality in planning and performing the audit, in evaluating the effect ofidentified misstatements on the audit and in forming our audit opinion.

Materiality

The magnitude of an omission or misstatement that, individually or in the aggregate, couldreasonably be expected to influence the economic decisions of the users of the financial statements.Materiality provides a basis for determining the nature and extent of our audit procedures.

We determined materiality for the Company to be €2,246,211 (2018: €1,337,476) which is 2%(2018: 1%) of the Noteholder’s liability (Debt securities issued less Accumulated deficit) of theCompany. We believe that noteholder’s liability provides us with the most appropriate basis formateriality having considered the expectation of users of these financial statements and the overallbusiness environment. We have increased our materiality from 1% in prior year, to 2% in the currentyear. This is based on our prior experience with the entity and familiarity with the Company’soperations and risks.

During the course of our audit, we reassessed initial materiality and concluded that our initialdetermination of materiality was still appropriate.

Performance materiality

The application of materiality at the individual account or balance level. It is set at an amount toreduce to an appropriately low level the probability that the aggregate of uncorrected and undetectedmisstatements exceeds materiality.

On the basis of our risk assessments, together with our assessment of the Company’s overall controlenvironment, our judgement was that performance materiality was 75% (2018: 75%) of our planningmateriality, namely €1,684,658 (2018: €1,003,107). We have set performance materiality at thispercentage based on our knowledge of the entity and the industry, the effectiveness of the controlenvironment, our assessment of the risks associated with the engagement.

Reporting threshold

Reporting threshold is the amount below which identified misstatements are considered as beingclearly trivial.

We agreed with the Board of Directors that we would report to them all uncorrected audit differencesin excess of €112,310 (2018: €66,874), which is set at 5% (2018: 5%) of planning materiality, aswell as differences below that threshold that, in our view, warranted reporting on qualitative grounds.

We evaluate any uncorrected misstatements against both the quantitative measures of materialitydiscussed above and in light of other relevant qualitative considerations in forming our opinion.

Page 10


An overview of the scope of our audit report

Tailoring the scope

Our assessment of audit risk, our evaluation of materiality and our allocation of performancemateriality determine our audit scope for the Company. This enables us to form an opinion on thefinancial statements. We take into account size, risk profile, the organisation of the Company andeffectiveness of controls, including controls and changes in the business environment when assessingthe level of work to be performed.

Other information

The directors are responsible for the other information. The other information comprises theinformation included in the Directors’ Report and Statement of Directors’ Responsibilities. Our opinionon the financial statements does not cover the other information and, except to the extent otherwiseexplicitly 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 otherinformation and, in doing so, consider whether the other information is materially inconsistent withthe financial statements or our knowledge obtained in the audit or otherwise appears to be materiallymisstated. If we identify such material inconsistencies or apparent material misstatements, we arerequired to determine whether there is a material misstatement in the financial statements or amaterial misstatement of the other information. If, based on the work we have performed, weconclude that there is a material misstatement of this other information, we are required to reportthat fact.

We have nothing to report in this regard.

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 financialstatements; and

in our opinion, the directors’ report has been prepared in accordance with the Companies Act2014.

We have obtained all the information and explanations which we consider necessary for the purposesof our audit.

In our opinion the accounting records of the Company were sufficient to permit the financialstatements to be readily and properly audited and the financial statements are in agreement with theaccounting records.

Page 11


Matters on which we are required to report by exception

Based on the knowledge and understanding of the Company and its environment obtained in thecourse of the audit, we have not identified 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 havenothing to report in this regard.

Respective responsibilities

Responsibilities of directors for the financial statements

As explained more fully in the Directors’ responsibilities statement set on page 6, the directors areresponsible for the preparation of the financial statements and for being satisfied that they give atrue and fair view, and for such internal control as they determine is necessary to enable thepreparation of financial statements that are free from material misstatement, whether due to fraudor error.

In preparing the financial statements, the directors are responsible for assessing the parentCompany’s ability to continue as going concerns, disclosing, as applicable, matters related to goingconcern and using the going concern basis of accounting unless management either intends toliquidate the Company or to cease operations, or has no realistic alternative but to do so.

Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a wholeare free from material misstatement, whether due to fraud or error, and to issue an auditor's reportthat includes our opinion. Reasonable assurance is a high level of assurance, but is not a guaranteethat an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatementwhen it exists. Misstatements can arise from fraud or error and are considered material if, individuallyor in the aggregate, they could reasonably be expected to influence the economic decisions of userstaken on the basis of these financial statements.

An 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 consistentlyapplied and adequately disclosed; the reasonableness of significant accounting estimates made bythe directors; and the overall presentation of the financial statements.

The objectives of our audit, in respect to fraud, are; to identify and assess the risks of materialmisstatement of the financial statements due to fraud; to obtain sufficient appropriate audit evidenceregarding the assessed risks of material misstatement due to fraud, through designing andimplementing appropriate responses; and to respond appropriately to fraud or suspected fraudidentified during the audit. However, the primary responsibility for the prevention and detection offraud rests with both those charged with governance of the entity and management.

Page 12


Our approach was as follows:

We obtained an understanding of the legal and regulatory frameworks that are applicable tothe Company and determined that the most significant are in relation to compliance with IrishCompanies Act 2014 and IFRS as adopted by the European Union.

We understood how the Company complies with the framework established by understandingthe entity level controls. The Board has established processes regarding internal control andrisk management systems to ensure its effective oversight of the financial reporting process.The internal control process includes the appointment of the Administrator to maintain theaccounting records of the Company independently of the arranger and the custodian.

We assessed the susceptibility of the Company’s financial statements to materialmisstatement, including how fraud might occur by performing substantive procedures inrelation to the financial statement close process and valuation of financial instruments.

Based on this understanding, we designed our audit procedures to identify non-compliancewith such applicable laws and regulations.

In relation to the key audit matter, Risk of Management override of controls over the impairment ofloans and receivables at amortised cost, further discussion to it is set out in the Key Audit Matterssection of our report.

A further description of our responsibilities for the audit of the financial statements is located onthe IAASA's website at: http://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsiblities_for_audit.pdf.

This description forms part of our auditor's report.

Other matters which we are required to address

We were appointed by the Board of Directors on 15 May 2019 to audit the financial statements forthe year ended 31 December 2017 and subsequent financial periods. The period of totaluninterrupted engagement including previous renewals and reappointments of the firm is 3 years.

The non-audit services prohibited by IAASA’s Ethical Standard were not provided to the Company andwe remain independent of the Company in conducting our audit. Our audit opinion is consistent withthe additional report we have provided to the Board of Directors.

Page 13


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 ofthe Companies Act 2014. 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, or for the opinions we have formed.

Ramakrishnan Ramanathanfor and on behalf ofErnst & Young Chartered Accountants and Statutory Audit Firm

Office: Dublin

Date: 28 July 2020


Statement of financial positionAs at 31 December 2019

ASSETS Note 31-Dec-19 31-Dec-18€ €

Financial assetsCash and cash equivalents 9 155,003 474,641 Restricted cash 15 1,901,594 1,901,594 Trade and other receivables 10 468,039 519,163 Loans and receivables at amortised cost 11 93,432,995 112,931,766 Loans and receivables at fair value through profit or loss 11 - - Deferred tax assets 13 41,875,629 40,774,861 Total assets 137,833,260 156,602,025

EQUITY AND LIABILITIES

EquityShare capital presented as equity 17 40,000 40,000 Accumulated deficit (125,656,169) (122,353,863) Total equity (125,616,169) (122,313,863)

LiabilitiesTrade and other payables 14 4,249,025 3,911,662 Collateral payable 15 1,901,594 1,901,594 Derivative financial instruments 12 19,332,072 17,001,140 Debt securities issued 16 237,966,738 256,101,492 Total liabilities 263,449,429 278,915,888

Total equity and liabilities 137,833,260 156,602,025



Date:

The accompanying notes on pages 18 to 35 form an integral part of these financial statements.


Jul-23-2020


Statement of comprehensive incomefor the financial year ended 31 December 2019

NoteFinancial

Year endedFinancial

Year ended31-Dec-19 31-Dec-18

€ €IncomeInterest and other income 4 2,996,368 4,155,293

Operating expensesInterest expense and similar charges 5 (3,086,604) (2,832,886)

Net operating (expense)/income (90,236) 1,322,407

Net foreign exchange gain 359,304 1,102,144 Other expenses 6 (486,457) (464,459) Net expense from derivatives at fair value 7 (4,122,341) (1,504,365) Provision for impairment 11 (63,344) -

(Loss)/profit before taxation (4,403,074) 455,727

Taxation 8 1,100,768 (113,932)

(Loss)/profit for the financial year (3,302,306) 341,795

Other comprehensive income - -

Total comprehensive (loss)/ income for the financial year (3,302,306) 341,795

All items dealt with in arriving at the result for the financial year ended 31 December 2019 related to continuing operations.




Statement of changes in equityfor the financial year ended 31 December 2019

NoteShare capital

presented as equity Accumulated deficit Total€ € €

Balance at 1 January 2018 40,000 (122,695,658) (122,655,658)

Total comprehensive income for the financial year - 341,795 341,795

Balance at 31 December 2018 17 40,000 (122,353,863) (122,313,863)

Balance at 1 January 2019 40,000 (122,353,863) (122,313,863)

Total comprehensive loss for the financial year (3,302,306) (3,302,306)

Balance at 31 December 2019 17 40,000 (125,656,169) (125,616,169)




Statement of cash flows for the financial year ended 31 December 2019

Financial Year ended

Financial Year ended

Note 31-Dec-19 31-Dec-18€ €

Cash flows from operating activities(Loss)/profit before taxation (4,403,074) 455,727 Adjustment for:Net foreign exchange gain on retranslation of loans and receivables 11 (484,800) (959,210) Net foreign exchange loss/(gain) on retranslation of accrued expenses 125,391 (142,934) Net loss/(gain) on derivative financial instruments 7 2,330,932 (110,662) Accretion of discount 4&11 (79,773) (78,011) Amortisation of premium 4&11 - 6,617 Amortisation of issue costs 5 549,137 318,766 Provision of impairment loss on loans and receivables 11 63,344 - Capitalised interest 16 2,376,093 2,303,674 Decrease in trade and other receivables 10 51,124 132,462 Increase/(decrease) in trade and other payables 14 337,363 (92,040) Net cash generated from operating activities 865,737 1,834,389

Cash flows from investing activitiesProceeds from maturities and redemption of loans and receivables 20,000,000 6,000,000 Net cash generated from investing activities 20,000,000 6,000,000

Cash flows from financing activitiesRedemption of debt securities issued 16 (21,059,984) (7,916,201) Net cash used in financing activities (21,059,984) (7,916,201)

Net decrease in cash and cash equivalents (194,247) (81,812)

Effect of foreign exchange difference (125,391) 142,934 (319,638) 61,122

Cash and cash equivalents at start of the financial year 474,641 413,519

Cash and cash equivalents at end of the financial year 155,003 474,641

Restricted cash 1,901,594 1,901,594

2,056,597 2,376,235

Supplementary cash flow information:Interest received 2,965,515 4,087,594

Interest paid (180,926) (189,780)




Notes to the financial statementsfor the financial year ended 31 December 2019

1 General information

The address of the registered office is Block A, George's Quay Plaza, George's Quay, Dublin 2, Ireland.

The Notes are listed on the regulated market of the Euronext Dublin.

2 Basis of preparation

(a) Statement of compliance

(b) Basis of measurement

(c) New standards, amendments and interpretations

Effective date1 January 20191 January 20191 January 20191 January 20191 January 20191 January 2019

Standards not yet effective, but available for early adoption

Effective date1 January 2020*1 January 2020*1 January 2020*1 June 2020**1 January 2021**1 January 2022*1 January 2022**1 January 2022**1 January 2022**

1 January 2022**

1 January 2022**1 January 2023**N/A

** Not yet endorsed by EU.

Taberna Europe CDO I Plc (the "Company”), is a limited liability company, incorporated and domiciled in Ireland under the Act on 24 November 2006 withCompany registration number 430216 and has been established for the purpose of acquiring certain Eligible Portfolio assets, managing the portfolio, issuingSecurities and engaging in certain related transactions as described in the statutory agreements entered into by the Company.

The Company has financed the purchase of the portfolio through the proceeds of the issuance of the Notes: €362,000,000 Class A1 Senior Floating Rate Notesdue 2038, €90,500,000 Class A2 Senior Floating Rate Notes due 2038, €48,000,000 Class B Senior Deferrable Floating Rate Notes due 2038, €28,500,000Class C Senior Subordinated Deferrable Floating Rate Notes due 2038, €29,000,000 Class D Senior Subordinated Deferrable Floating Rate Notes due 2038,€19,000,000 Class E Senior Subordinated Deferrable Floating Rate Notes due 2038 and €23,000,000 Class F Subordinated Notes due 2038 (together, the“Notes”).

The Company does not have any subsidiaries and these financial statements represent only the financial performance and position of Taberna Europe CDO IPlc, as an individual entity for the period under review.

DescriptionIFRS 16: LeasesIFRIC 23: Uncertainty over Income Tax TreatmentsAmendments to IFRS 9: Prepayment Features with Negative CompensationAmendments to IAS 28: Long-term Interests in Associates and Joint VenturesAmendments to IAS 19: Plan Amendment, Curtailment or Settlement

The financial statements have been prepared in accordance with International Financial Reporting Standards as adopted by the European Union ("IFRS") andthose parts of the Act applicable to companies reporting under IFRS.

The financial statements have been prepared on the going concern basis and under the historical cost convention except for derivative financial instrumentsclassified at fair value through profit or loss and the defaulted loans and receivables that have been mandatorily classified at fair value through profit or loss.Due to the limited recourse nature of the Notes issued by the Company, the Company can continue to operate as a going concern and as such the accounts havebeen prepared on this basis. In the event that there is ultimately insufficient funds to repay the noteholders the remaining debt will be extinguished and theresulting accounting profit will offset losses incurred to that date. The legal maturity date of the notes issued is 5 February 2038.

The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates. It also requires management toexercise its judgement in the process of applying the Company’s accounting policies. The areas involving a higher degree of judgement or complexity, or areaswhere assumptions and estimates are significant to the financial statements are disclosed in Note 2(d).

The following new standards, amendments and interpretations issued became effective as at 1 January 2019:

IFRS 17 Insurance ContractsAmendments to IFRS 3: Business CombinationsAmendments to IAS 16: Property, Plant and Equipment

*Where new requirements are endorsed, the EU effective date is disclosed. For un-endorsed standards and interpretations, the IASB’s effective date is noted.Where any of the upcoming requirements are applicable to the Company, it will apply them from their EU effective date.

The Directors have considered the new standards and amendments as detailed in the above table and does not plan to adopt these standards early. TheDirectors anticipate that the adoption of those standards and amendments will have no material impact on the financial statements of the Company in theperiod of initial application.

Annual Improvements to IFRS Standards 2015–2017 Cycle

None of the above standards, amendments and interpretation had a significant impact on the Company’s financial statements.

DescriptionAmendments to References to Conceptual Framework in IFRS StandardsAmendments to IFRS 9, IAS 39 and IFRS17: Interest Rate Benchmark ReformAmendments to IAS 1 and IAS 8: Definition of Material

Amendments to IAS 37: Provisions, Contingent Liabilities and Contingent Assets as well as Annual Improvements

Amendments to IAS 1 Presentation of Financial Statements: Classification of Liabilities as Current or Non Current

Amendments to IFRS 16: Leases

Annual Improvements to IFRS Standards 2018–2020 Cycle: IFRS 1 First-time Adoption of IFRSs - Subsidiary as a First-time AdopterAnnual Improvements to IFRS Standards 2018–2020 Cycle: IFRS 9 Financial Instruments - Fees in the '10 per cent' Test for Derecognition of Financial LiabilitiesAnnual Improvements to IFRS Standards 2018–2020 Cycle: IAS 41 Agriculture - Taxation in Fair Value Measurements

Annual Improvements to IFRS Standards 2018–2020 Cycle: Illustrative Examples accompanying IFRS 16 Leases - Lease Incentives



Notes to the financial statements (continued)for the financial year ended 31 December 2019

2 Basis of preparation (continued)

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

(i) Fair value of derivatives

(ii) Impairment on loans and receivables

(iii) Deferred tax

3 Significant accounting policies

(a) Interest income and interest expense

(b) Foreign currencies

(c) ExpensesAll expenses are accounted for on an accrual basis of accounting.

(d) Taxation

Deferred tax

The carrying amount of deferred tax assets is reviewed at each reporting date and reduced to the extent that is no longer probable that sufficient taxable profitwill be available to allow all or part of deferred tax asset to be utilised. Unrecognised deferred tax assets are reassessed at each reporting date and recognised tothe extent that it has become probable that the future taxable profit will allow the deferred tax asset to be recovered.

The proposed future gain in the statement of comprehensive income on the future write down of the notes of the Company is considered to be part of the tradeof the Company and therefore these gains are treated as taxable income similar to industry practice. The criteria for recognising deferred tax assets arising fromthe carryforward of unused tax losses and tax credits are the same as the criteria for recognising deferred tax asset arising from deductible temporarydifferences. The deferred tax asset will continue to be assessed and recognised going forward.

Interest income and interest expense are recognised on an effective interest method basis in line with the contractual terms. Interest is accrued on a daily basis.

The Company makes estimates and assumptions that affect the reported amounts of assets and liabilities within the next financial year. Estimates andjudgements are continually evaluated and are based on historical experience and other factors, including expectations of future events that are believed to bereasonable under the circumstances. Actual results may differ from these estimates. Revisions to accounting estimates are recognised in the financial year inwhich the estimate is revised and in any future periods affected.

The fair value of derivatives that are actively traded in organised financial markets is determined by reference to quoted market exit prices at the close ofbusiness on the statement of financial position date. However for derivatives where there is no active market, fair value is provided by the swap counterpartieswho in turn use valuation techniques to determine the fair value of these instruments. The fair value of the derivatives is disclosed in Note 12 to the financialstatements.

Full due diligence is conducted by the Collateral Manager prior to any investments being made by the Company. The Company reviews its loan portfolio toassess whether any impairment has occurred. In determining whether an impairment loss should be recorded in the statement of comprehensive income, theDirectors make judgements as to whether there is any observable data indicating that there is a measurable decrease in the estimated future cash flows from aportfolio of loans. This evidence may include observable data indicating that there has been an adverse change in the payment status of borrowers, paymentdelay, downgrade, credit quality and any information available in the market.

As set out in the basis of preparation and the Company accounting policies, the Company has recognised non-defaulted loans and receivables at amortisedcost. In accordance to IFRS 9, ECL value has been determined for the financial assets as at 31 December 2019 and 31 December 2018 based on inputs such asProbability of Default (PD) and Loss Given Default (LGD) available from Bloomberg.

The following calculations are based on estimates:

Deferred tax assets are recognised for all deductible temporary differences, carry forward of unused tax credits and unused tax losses, to the extent that it isprobable that taxable profit will be available against which the deductible temporary differences, and the carry forward of unused tax credits and unused taxlosses can be utilised.

The carrying amount of deferred tax assets is reviewed at each reporting date and reduced to the extent that is no longer probable that sufficient taxable profitwill be available to allow all or part of deferred tax asset to be utilised. Unrecognised deferred tax assets are reassessed at each reporting date and recognised tothe extent that it has become probable that the future taxable profit will allow the deferred tax asset to be recovered.

These financial statements are presented in Euro (€) which is the Company’s functional currency. The issued share capital of the Company and the debtsecurities issued are denominated in Euro. The Directors of the Company believe that Euro most faithfully represents the economic effects of the underlyingtransactions, events and conditions of the Company.

Transactions in currencies other than Euro are recorded at the rate of exchange prevailing on the dates of the transactions. At each statement of financialposition date, monetary items denominated in foreign currency are translated at the rates prevailing at the statement of financial position date. Foreignexchange gains and losses resulting from the settlement of such transactions and from the translation at financial year-end exchange rates of monetary itemsthat are denominated in foreign currencies are recognised in the statement of comprehensive income in the financial year. Net foreign exchange gains or losseson monetary financial assets and financial liabilities are included in the line item net foreign exchange gain/(loss).

Deferred tax is provided on temporary differences at the reporting date between the tax bases of assets and liabilities and their carrying amount for financialreporting purposes.

The Company is an Irish registered Company and is structured to qualify as a securitisation Company under Section 110 of the Taxes Consolidation Act, 1997.The Company generates minimal net income for Irish corporation tax purposes which is liable to Irish corporation tax at 25%.

The tax expense represents the sum of the current tax and deferred tax. The current tax is based on taxable profit for the financial year as calculated inaccordance with Irish Tax Laws. Taxable profit differs from profit before tax as reported in the statement of comprehensive income because it excludes itemsof income or expense that are not taxable or deductible. Current tax is calculated using tax rates that have been enacted or substantively enacted by thestatement of financial position.




3 Significant accounting policies (continued)

(d) Taxation (continued)

Deferred tax (continued)

(e) Financial instruments The financial instruments held by the Company include the following:• Cash and cash equivalents• Restricted cash• Trade and other receivables• Loan and receivables measured at amortised cost• Loan and receivables measured at fair value through profit or loss• Trade and other payables• Collateral payable• Derivative financial instruments • Debt securities issued

Recognition and initial measurement

Classification of financial assets

Business model assessment

Deferred tax is determined using tax rates (and laws) that have been enacted or substantially enacted by the statement of financial position date and areexpected to apply when the related deferred tax asset is realised or the deferred tax liability is settled.

• it is held within a business model whose objective is to hold assets to collect contractual cash flows; and • its contractual terms give rise on specified dates to cash flows that are solely payments of principal and interest on the principal amount outstanding.

A financial asset/debt investment is measured at fair value through other comprehensive income (FVOCI) if it meets both of the following conditions and isnot designated as at FVTPL: • it is held within a business model whose objective is achieved by both collecting contractual cash flows and selling financial assets; and • its contractual terms give rise on specified dates to cash flows that are solely payments of principal and interest on the principal amount outstanding.

All other financial assets/debt investments are classified as measured a FVTPL. This includes all derivative financial assets and liabilities and loan andreceivables measured at fair value through profit or loss.

Deferred tax assets and deferred tax liabilities are offset if a legally enforceable right exists to set off current tax assets against current tax liabilities and thedeferred taxes relate to the same taxable entity and the same taxation authority.

The Company initially recognises financial assets and financial liabilities on the trade date which is the date on which the Company becomes a party to thecontractual provisions of the instrument. Other financial assets and financial liabilities are recognised on the date on which they are originated. Other financialassets include cash and cash equivalents, restricted cash and trade and other receivables. Other financial liabilties include trade and other payables andcollateral payable.

A financial asset or financial liability is measured initially at fair value plus or minus, for an item not at FVTPL, transaction costs that are directly attributableto its acquisition or issue.

On initial recognition, the Company classifies loans and receivables as measured at amortised cost and derivative financial instruments at FVTPL.

A financial asset is measured at amortised cost if it meets both of the following conditions and is not designated as at FVTPL:

• the frequency, volume and timing of sales of financial assets in prior periods, the reasons for such sales and expectations about future sales activity; and• financial assets that are held for trading or are managed and whose performance is evaluated on a fair value basis are measured at FVTPL.

The Company has determined it has the following business model:• Held-to-collect business model: this includes performing loans and receivables, cash and cash equivalents and trade and other receivables. These financialassets are held to collect contractual cash flows and qualify as solely payments of principal and interest.

On initial recognition, the Company may irrevocably designate a financial asset at FVTPL if doing so eliminates or significantly reduces an accountingmismatch that would otherwise arise.

In making an assessment of the objective of the business model in which a financial asset is held, the Company considers all of the relevant information abouthow the business is managed, including: • the documented investment strategy and the execution of this strategy in practice. This includes whether the investment strategy focuses on earningcontractual interest income, maintaining a particular interest rate profile, matching the duration of the financial assets to the duration of any related liabilitiesor expected cash outflows or realising cash flows through the sale of the assets; • how the performance of the portfolio is evaluated and reported to the Company’s management; • the risks that affect the performance of the business model (and the financial assets held within that business model) and how those risks are managed;• how the arranger is compensated: e.g. whether compensation is based on the fair value of the assets managed or the contractual cash flows collected;





(e) Financial instruments (continued)Assessment whether contractual cash flows are Solely Payments of Principal and Interest ("SPPI")

Financial assets – Subsequent measurement and gains and losses

Financial liabilities – Classification, subsequent measurement and gains and losses

Other financial liabilities at amortised cost:

Mandatorily at Fair value

Fair value through profit or

lossFinancial assets at

amortised cost

Financial liabilities at

amortised cost TotalIn Euro31-Dec-19Cash and cash equivalents - - 155,003 - 155,003 Restricted cash - - 1,901,594 - 1,901,594 Trade and other receivables - - 468,039 - 468,039 Loans and receivables at amortised cost - - 93,432,995 - 93,432,995

- - - - -

- - 95,957,631 - 95,957,631

Trade and other payables - - - 4,249,025 4,249,025 Collateral payable - - - 1,901,594 1,901,594 Derivative financial instruments - 19,332,072 - - 19,332,072 Debt securities issued - - - 237,966,738 237,966,738

- 19,332,072 - 244,117,357 263,449,429

For the purposes of this assessment, ‘principal’ is defined as the fair value of the financial asset on initial recognition. ‘Interest’ is defined as consideration forthe time value of money and for the credit risk associated with the principal amount outstanding during a particular period of time and for other basic lendingrisks and costs (e.g. liquidity risk and administrative costs), as well as a profit margin.

In assessing whether the contractual cash flows are SPPI, the Company considers the contractual terms of the instrument. This includes assessing whether thefinancial asset contains a contractual term that could change the timing or amount of contractual cash flows such that it would not meet this condition. Inmaking this assessment, the Company considers:

The Company has determined that the contractual cash flows of the performing loans and receivables continue to be Solely Payments of Principal and Interestbased on historical and current cashflows received. As such, the performing loans and receivables continue to be measured at amortised cost and have beenvalued at €93,432,995 (2018: €112,931,766) as at 31 December 2019.

However, the Company failed its SPPI test for the defaulted loans and receivables that are fully impaired, as the Collateral Manager does not have specificterms of each loan to be able to perform the SPPI test. As such, the impaired loans and receivables continue to be measured at FVTPL at a value of €Nil as at31 December 2019 (2018: €Nil).

Refer to below table for a reconciliation of line items in the statement of financial position to the categories of financial instruments, as defined by IFRS 9:

Loans and receivables at fair value through profit or loss

Financial assets are not reclassified subsequent to their initial recognition unless the Company were to change its business model for managing financialassets, in which case all affected financial assets would be reclassified on the first day of the first reporting period following the change in the business model.

Other financial assets at amortised cost

● contingent events that would change the amount or timing of cash flows; ● leverage features;● prepayment and extension features;● terms that limit the Company’s claim to cash flows from specified assets (e.g. non-recourse features); and ● features that modify consideration of the time value of money (e.g. periodical reset of interest rates).

A prepayment feature is consistent with the solely payments of principal and interest criterion if the prepayment amount substantially represents unpaidamounts of principal and interest on the principal amount outstanding, which may include reasonable additional compensation for early termination of thecontract. Additionally, for a financial asset acquired at a discount or premium to its contractual par amount, a feature that permits or requires prepayment at anamount that substantially represents the contractual par amount plus accrued (but unpaid) contractual interest (which may also include reasonable additionalcompensation for early termination) is treated as consistent with this criterion if the fair value of the prepayment feature is insignificant at initial recognition.

• This includes trade and other payables, collateral payable and debt securities issued.

These assets are subsequently measured at amortised cost using the effective interest method. The amortised cost is reduced by impairment losses. Interestincome, foreign exchange gains and losses and impairment are recognised in profit or loss. Any gain or loss on derecognition is recognised in profit or loss.

Financial assets at fair value through profit or lossAfter initial measurement, the Company measures financial assets which are classified as at fair value through profit or loss at their fair value. Subsequentchanges in the fair value of financial instruments at fair value through profit or loss are recognised in the statement of comprehensive income.

The defaulted loans and receivables that are fully impaired, continue to be measured at FVTPL as the loans failed the SPPI test on the adoption of IFRS 9. Assuch, the impaired loans and receivables continue to be measured at FVTPL at a value of €Nil (2018: €Nil) as at 31 December 2019.

Financial liabilities are classified as measured at amortised cost or at FVTPL

Financial liabilities are subsequently measured at amortised cost using the effective interest method. Interest expense and foreign exchange gains and lossesare recognised in profit or loss. Any gain or loss on derecognition is also recognised in profit or loss.





(e) Financial instruments (continued)

Mandatorily at Fair value

Fair value through profit or

lossFinancial assets at

amortised cost

Financial liabilities at

amortised cost TotalIn Euro31-Dec-18Cash and cash equivalents - - 474,641 - 474,641 Restricted cash - - 1,901,594 - 1,901,594 Trade and other receivables - - 519,163 - 519,163 Loans and receivables at amortised cost - - 112,931,766 - 112,931,766

- - - - -

- - 115,827,164 - 115,827,164

Trade and other payables - - - 3,911,662 3,911,662 Collateral payable - - - 1,901,594 1,901,594 Derivative financial instruments - 17,001,140 - - 17,001,140 Debt securities issued - - - 256,101,492 256,101,492

- 17,001,140 - 261,914,748 278,915,888

Impairment of financial assets

General concepts within IFRS 9 expected loss approach

Implementation of impairment accounting

ECL framework

Measurement

Loans and receivables at fair value through profit or loss

Under IFRS 9 an entity is required to track and assess changes in credit risk on financial instruments since origination and determine whether the credit risk onthose financial instruments has increased significantly since initial recognition. Under the IFRS 9 ECL model, the change in credit risk should be based on therisk of default and not changes in the amount of ECL which may be expected on a financial instrument. The standard introduces a 3-stage model forimpairment, based on changes in credit risk quality since initial recognition:

Stage 1 – includes financial instruments that have not had a significant increase in credit risk since initial recognition. For these assets, 12-month ECL isrecognised. A 12-month ECL is the expected credit losses that result from default events that are possible within 12 months of the reporting date. It is not theexpected cash shortfalls over the 12-month period but the entire credit loss on an asset weighted by the probability that the loss will occur in the next 12months. Therefore, all financial assets in scope have an impairment provision equal to at least 12-month ECL.Stage 2 – includes financial instruments that have had a significant increase in credit risk since initial recognition but that does not have objective evidence ofimpairment. For these assets, lifetime ECL is recognised, being the expected credit losses that result from all possible default events over the expected life ofthe financial instrument.Stage 3 – includes financial assets that have objective evidence of impairment at the reporting date, i.e. are credit-impaired. For these assets, lifetime ECL isrecognised.

In accordance to IFRS 9, the expected loss accounting model includes the following features:

In order to implement ECL models, the Company has leveraged the systems and data used to originate and underwrite its loans and also developed statisticalmodels tailored to the requirements of IFRS 9.

For all material portfolios, the Company adopts an ECL framework that takes into consideration industry best practice, and reflects a component approachusing PD, EAD and LGD components calibrated for IFRS 9 purposes. Because all financial assets within the scope of the IFRS 9 impairment model areassessed for at least 12-months of expected credit losses, and that underperforming assets attracts full lifetime expected credit losses, loss allowances aregenerally high under IFRS 9. Credit losses are measured as the present value of all cash shortfalls (i.e. the difference between the cash flows due to the entityin accordance with the contract and the cash flows that the Company expects to receive).

● All loans and other assets within scope of the Standard attract a provision equal to at least 12 months expected loss.● The Standard requires the Company to calculate and maintain lifetime inputs, such as lifetime Probability of Default (PD), Loss Given Default (LGD) andExposure at Default (EAD).● The Company is required to conduct its assessment of a change in credit risk relative to the risk at origination of that exposure except for low risk financialassets that follow 12 month ECL (simplified approach).● Where there has been an increase in credit risk since origination that is determined to be significant, a provision for lifetime expected losses is recognised.● Forward looking macroeconomic scenarios are required to be included in the provisioning process and in determining changes in credit risk.● IFRS 9 requires the Company to calculate ECL which considers multiple scenarios and possible outcomes together with their probability of occurrence.





(e) Financial instruments (continued)

Impairment of financial assets (continued)Measurement (continued)

Provision of impairment

Provision of impairment

31-Dec-19 31-Dec-18Stage 1 € €Affine SA 311 4,937 Capital Source Finance LLC 25,521 1,010 Development Securities (Finance) Plc 47,670 25,380 Lexington Capital Trust 1 6,365 196 NH Hotel S.A 15,000 - Total provision of impairment as at 31 December 2019 94,867 31,523

Key drivers of ECL

Definition of default

Assessment of significant increases in credit risk

Forward looking information (FLI)

Derecognition

Derivative financial instruments

As at 31 December 2019, the defaulted loan and receivables which were mandatorily classified at FVTPL, continue to be measured at a value of €Nil (2018:€Nil). As at 31 December 2019, a total provision of impairment amounting to €94,867 (2018: €31,523) was made on the following assets:

The Company has used information available from Bloomberg to determine the calculation of the ECL as at 31 December 2019 and 2018.

The following concepts introduce significant judgement to impairment accounting and will have a significant impact on the level of ECL allowances:● Assessing both 12 month and lifetime ECL;

The Company considers a financial asset to have low credit risk when the credit rating of the counterparty is equivalent to the globally understood definition of‘investment grade’. The Company considers this to be Baa3 or higher per Moody's or BBB- or higher per Standard and Poor's.

Lifetime ECLs are the ECLs that result from all possible default events over the expected life of a financial instrument.

The standard requires that an entity shall compare the risk of a default occurring on the financial instrument as at the reporting date with the risk of a defaultoccurring on the financial instrument as at the date of initial recognition. At each reporting date, to identify a significant increase in credit risk (SICR) inrelation to an exposure since origination, and classification as Stage 2 within the IFRS 9 ECL framework, the Company has relied on the following measures:

1) Delinquency – greater than 30 days past due;2) Forbearance – reported as currently forborne or restructured;3) Risk Grade – accounts that migrate to a risk grade which the Company has specified as being outside its risk appetite for origination, and

● Determining when a significant increase in credit risk has occurred; and● Incorporating forward looking information including forecast macro-economic factors through probability weighted scenarios.

IFRS 9 does not define default but contains a rebuttable presumption that default has occurred when an exposure is greater than 90 days past due.The Company considers a financial asset to be in default when: ● the borrower is unlikely to pay its credit obligations to the Company in full, without recourse by the Company to actions such as realising security (if any isheld); or ● the financial asset is more than 90 days past due.

The gross carrying amount of a financial asset is written off when the Company has no reasonable expectations of recovering a financial asset in its entirety ora portion thereof.

4) Change in remaining lifetime PD – accounts that have a remaining lifetime PD that is in excess of the risk at which the Company seeks to originate risk. Forthe purposes of this assessment, credit risk is based on an instrument’s lifetime PD, not the losses expected to be incurred.

The assessment is performed on a relative basis and is symmetrical in nature, allowing credit risk of financial assets to move back to Stage 1 if the increase incredit risk since origination has reduced and is no longer deemed to be significant.

IFRS 9 requires an unbiased and probability weighted estimate of credit losses by evaluating a range of possible outcomes that incorporates forecasts of futureeconomic conditions. Macro-economic factors and FLI are required to be incorporated into the measurement of ECL as well as the determination of whetherthere has been a significant increase in credit risk since origination.

Measurement of ECLs at each reporting period should reflect reasonable and supportable information.

The requirement to incorporate a range of unbiased future economic scenarios, including macro-economic factors, is a distinctive feature of the ECLaccounting framework which increases both the level of complexity and judgement in the measurement of expected loss. The Company has used informationavailable from Bloomberg and the market to determine the calculation of the ECL as at 31 December 2019 and 31 December 2018.

Derivatives include all derivative assets and liabilities that are categorised as financial assets and financial liabilities at FVTPL, as the Company does notdesignate any derivatives as hedges for hedge accounting purposes as described under IFRS 9. Derivatives are initially recognised at fair value on the date aderivative contract is entered into and are subsequently re measured at their fair value. Interest income or expense on derivatives is included in net swappayable in the statement of comprehensive income. Accrued interest is included in the fair value on the statement of financial position.

The Company derecognises a financial liability when its contractual obligations are discharged, cancelled or expired.





(e) Financial instruments (continued)Derivative financial instruments (continued)

Offsetting

(f) Cash and cash equivalents

Cash and cash equivalents are held at amortised cost.

(g) Other receivables

(h) Other payables

(i) Equity instruments

(j) Collateral payable

(k) Segment reporting

4 Interest and other incomeFinancial

Year endedFinancial


€ €Interest income on loans and receivables at amortised cost 2,913,986 3,954,956 Bank interest 30 472 Accretion of discount on loans and receivables 79,773 78,011 Amortisation of premium - (6,617) Other income 2,579 128,471

2,996,368 4,155,293

5 Interest expense and similar charges Financial

Year endedFinancial


€ €Interest payable on debt securities issued (2,537,467) (2,514,120) Amortisation of issue costs (549,137) (318,766)

(3,086,604) (2,832,886)

The Company is not applying hedge accounting for their derivatives. These derivatives are accounted through profit or loss, with changes in the fair valuerecognised in the period in which they arise in the statement of comprehensive income. Fair values are obtained from valuation techniques, includingdiscounted cash flow models. All derivatives are carried as assets when fair value is positive and as liabilities when fair value is negative. The best evidence ofthe fair value of a derivative at initial recognition is the transaction price (i.e., the fair value of the consideration given or received).

Financial assets and financial liabilities are set off and the net amount presented in the statement of financial position when and only when the Company hasentered into an agreement to set off the amounts and intends either to settle on a net basis or to realise the asset and settle the liability simultaneously. Incomeand expenses are presented on a net basis only when permitted by the accounting standards, or for gains and losses arising from a group of similar transactions.

Cash and cash equivalents includes cash in hand, deposits held with banks, other short term highly liquid investments with original maturities of less thanthree months, which are subject to insignificant risk of changes in their fair value, and are used by the Company in the management of its short termcommitments.

An operating segment is a group of assets and operations engaged in providing products or services that are subject to risks and returns that are different fromthose of other business segments. The Company has only one business unit and all activities are carried out in Ireland. See additional disclosures in Note 25.

Restricted cash includes amounts held on demand with JP Morgan Chase Bank, the swap counterparty, as at 31 December 2019 and is subject to insignificantchanges in fair value. The cash amount cannot be used to pay for the expenses of the Company and is posted upon ratings downgrade of the swap counterparty.The cash balance is held for more than one financial year and will be available for use when the transaction against which it is restricted is settled.

Trade and other receivables do not carry any interest and are short-term in nature and are accordingly stated at cost as reduced by appropriate allowances forestimated irrecoverable amounts, where applicable.

Other payables are not interest bearing and are current in nature.

Equity instruments are classified according to the substance of the contractual arrangements entered into. An equity instrument is any contract that evidences aresidual interest in the assets of the Company after deducting all of its liabilities. Equity instruments are recorded at the proceeds received, net of issue costs.

The cash collateral is restricted cash and belongs to the swap counterparty and is posted upon ratings downgrade of the swap counterparty. Collateral payablewas received as security for open derivative positions held with swap counterparties following credit rating downgrades. Collateral payable is initiallymeasured at fair value, representing proceeds received and is subsequently measured at amortised cost.




6 Other expensesFinancial

Year endedFinancial


€ €Collateral management fees (198,447) (228,838) Legal and professional fees (133,997) (54,107) Portfolio administration fees (89,668) (91,799) Corporate administration fees (28,000) (28,000) VAT 8,643 (8,968) Audit fees (39,825) (37,960) Taxation fees (4,920) (5,289) Bank charges (243) (9,498)

(486,457) (464,459)

Auditor's remuneration comprises fees for:Financial

Year endedFinancial


€ €Statutory audit of financial statements (inclusive of expenses and excluding VAT) 20,000 33,000 Tax advisory fees (excluding VAT) 4,000 4,000

24,000 37,000

7 Net expense from derivatives at fair valueFinancial

Year endedFinancial


€ €Net swap expense (1,791,409) (1,615,027) Net (loss)/gain on derivatives (2,330,932) 110,662

(4,122,341) (1,504,365)

8 Taxation Financial

Year endedFinancial


€ €Deferred tax (credit)/charge (1,100,768) 113,932

(1,100,768) 113,932

FinancialYear ended

FinancialYear ended

31-Dec-19 31-Dec-18€ €

(Loss)/profit before taxation (4,403,074) 455,727 (Loss)/profit before taxation multiplied by the standard rate of Irish corporation tax for the financial year of 12.5% (550,384) 56,966

Effects of :Higher rate tax applicable under Section 110 TCA, 1997 (550,384) 56,966

Tax (credit)/charge for the financial year (1,100,768) 113,932

Deferred tax assets arises from losses carried forward due to fair value movements on derivative financial instruments and impairment losses.

Ross Burns and Aisling McNicholas, who acted as Directors of the Company up to 29 April 2019, were entitled to a remuneration fee of €750 (2018: €3,015)and €750 (2018: €1,485) respectively for their directorship services during the period which is paid out of administration fees.

The tax charge for the financial year is higher than the charge that would result from applying the standard rate of Irish corporation tax to profit on ordinaryactivities. These differences are explained below:

The Company is a qualifying company within the meaning of Section 110 of the Taxes Consolidation Act, 1997. As such, the profits are chargeable tocorporation tax under Case III of Schedule D at a rate of 25% but are computed in accordance with the provisions applicable to Case I of Schedule D.

Section 305A(1)(a) of the Act, requires disclosure that VAIIL received €1,000 (2018: €1,000) per Director included in administration fees as consideration forthe making available of individuals to act as Directors of the Company. The terms of the corporate services agreement in place between the Company andVAIIL provide for a single fee for the provision of corporate administration services including the making available of individuals to act as directors of theCompany. As a result, the allocation of fees between the different services provided is a subjective and approximate calculation. The individuals acting asDirectors do not (and will not), in their personal capacity or any other capacity, receive any fee for acting or having acted as Directors of the Company. For theavoidance of doubt, John Dunleavy, John Paul Maguire and Adrienne Lonergan (up to 14 April 2020), are/were employees of VAIIL, they each do not receiveany remuneration for acting as Directors of the Company. The Company has no employees and services required are contracted from third parties.




9 Cash and cash equivalents 31-Dec-19 31-Dec-18€ €

Cash in hand* - 15,755 Cash at bank 155,003 45,569 Investment in liquidity funds - 413,317

155,003 474,641

All cash balances are current in nature.

10 Trade and other receivables 31-Dec-19 31-Dec-18€ €

Interest receivable on loans and receivables 467,458 518,987 Prepayments - 176 Other receivables 581 -

468,039 519,163 All receivables are current in nature.

11 Loans and receivables 31-Dec-19 31-Dec-18€ €

Loans and receivables at amortised cost 93,432,995 112,931,766 Loans and receivables at fair value through profit or loss - -

At beginning of the financial year 112,931,766 117,901,162 Maturities and redemptions during financial year (20,000,000) (6,000,000) Accretion of discount 79,773 78,011 Amortisation of premium - (6,617) Net impairment loss during the financial year (63,344) - Exchange rate differences 484,800 959,210 At end of financial year 93,432,995 112,931,766

Reconciliation of impairmentOpening balance (31,523) (31,523) Net charge for the financial year (63,344) - Closing balance (94,867) (31,523)

Maturity analysisLess than 1 financial year - - 1-5 financial years - 20,000,000 More than 5 financial years 93,432,995 92,931,766

93,432,995 112,931,766

*On 25 September 2017, the bank account at Bank of Ireland Plc was closed and the cash balance was issued as a bank draft. On 20 June 2019, a new bankaccount was opened with Barclays Bank and the bank draft was transferred to this account.

SecurityPursuant to the Trust Deed dated 31 January 2007, the Company has assigned, by way of security, all present and future rights, title and interest and allentitlements or other benefits relating thereto of the Company in respect of all collaterals in favour of the Trustee and for the sole benefit of the SecuredParties.

The Notes issued are limited recourse obligations of the Company and are payable solely from amounts received in respect of the Collateral Debt Obligations,Swap Hedge Agreements and other Collateral securing the Notes as per the terms of the Trust Deed.

The defaulted loans and receivables that are fully impaired, continue to be measured at FVTPL as the loans failed the SPPI test on the adoption of IFRS 9. Assuch, the impaired loans and receivables continue to be measured at FVTPL at a value of €Nil (2018: €Nil) as at 31 December 2019.

The current ECL provision that has been calculated as a 12 months ECL (Stage 1) amounts to €94,867 (2018: €31,523).

Assets with a nominal value of €89,767,223 (2018: €109,767,223) and carrying value of €93,432,995 (2018: €112,931,766) were neither impaired nor pastdue at the financial year end. These financial assets have passed the business model and the SPPI tests and are held as loans and receivables at amortised costas at 31 December 2019 in accordance with IFRS 9.

Loans and receivables comprise Trust Preferred Securities, CMBS, senior and subordinated debt purchased by the Collateral Manager.

For an asset to be eligible, it must be denominated in Euro, Pound Sterling, Danish Kroner, Norwegian Kroner, Swedish Kroner, Swiss Francs or US Dollars orany other currency in respect of which rating agency confirmation and the Class A1 Noteholder's consent (if the Class A1 Notes are still Outstanding) havebeen received and it is not convertible into or payable in any other currency and if not denominated in Euro, an asset swap transaction is entered into in respectthereof with a notional amount in the relevant currency equal to the aggregate principal amount of such obligation and otherwise complies with therequirements set out in respect of Non-Euro obligations in the Collateral Management Agreement.

In addition, any asset may not, to the best knowledge of the Collateral Manager, be already in default nor have a stated maturity that falls after the statedmaturity of the Notes.




12 Derivative financial instruments

31-Dec-19 Maturity date Notional amount CurrencyFair value

assetsFair value liabilities

€ €Cross currency swap 30/04/2037 26,250,000 USD - 4,023,793 Interest rate cap 30/01/2037 20,000,000 EUR - 15,308,279

- 19,332,072

31-Dec-18 Maturity date Notional amount CurrencyFair value

assetsFair value liabilities

€ €Cross currency swap 30/04/2037 26,250,000 USD - 3,778,830 Interest rate cap 30/01/2037 20,000,000 EUR - 13,222,310

- 17,001,140

During the financial year under review, the Company was a party to the following derivative contracts:

(i) Interest rate cap

(ii) Cross currency swaps

13 Deferred tax assets 31-Dec-19 31-Dec-18€ €

Opening balance 40,774,861 40,888,793 Movement for the financial year* 1,100,768 (113,932) Closing balance 41,875,629 40,774,861

*Refer to more details in Note 8.

The deferred tax assets are comprised of the following: 31-Dec-19 31-Dec-18€ €

Deferred tax on temporary differences* (4,833,018) (4,250,285) Deferred tax on tax losses forward 46,708,647 45,025,146

41,875,629 40,774,861

14 Trade and other payables 31-Dec-19 31-Dec-18€ €

Interest payable on debt securities issued 373,120 392,672 Accrued expenses* 2,848,478 2,566,370 Other payables** 1,027,427 952,620

4,249,025 3,911,662

*Accrued expenses relate to fees payable by the Company as at 31 December 2019 and 31 December 2018.

All payables are current in nature.

15 Collateral payable 31-Dec-19 31-Dec-18€ €

Collateral payable 1,901,594 1,901,594

The table below shows the fair values of derivative financial instruments, recorded as assets or liabilities, together with their notional amounts. The notionalamount, recorded gross, is the amount of a derivative’s underlying asset, reference rate or index and is the basis upon which changes in the value of derivativesare measured. The notional amounts indicate the volume of transactions outstanding at financial year end and are indicative of neither the market risk nor thecredit risk.

The Company entered into an interest rate cap swap agreement with Bank of America, N.A whereby the Company pays 3M Euribor plus a spread rate cappedbetween the range of 0.10% to 1.10%, depending upon the Euribor rates in return to receive floating (three months EUR-EURIBOR-Telerate) on each interestpayment date of the debt securities.

To mitigate against currency exchange rate fluctuations that may arise on assets denominated in a currency other than Euro, the Company has entered intocross-currency interest rate balance guaranteed swap with JP Morgan Chase Bank. Pursuant to terms of the swap agreements, on each interest payment date,the Company will be exchanging an amount of USD assets at a pre determined fixed rate for the Euro equivalent of the assets at the currency swap rate.

As at 31 December 2019, JP Morgan Chase Bank, as swap counterparty, had a cash collateral for the open derivative position of €1,901,594 (2018:€1,901,594), included in the restricted cash balance.

*The deferred tax on temporary differences is calculated on the fair value movements of the derivative financial instruments.

**Other payables include legal and professional fees settled by Taberna European Capital Management LLC on behalf of the Company and is payable by theCompany as at 31 December 2019 and 31 December 2018.

The Company holds cash collateral of €1,901,594 (2018: €1,901,594) which is restricted. The cash collateral belongs to the swap counterparty and is receivedas a security for open derivative positions held with JPMorgan Chase Bank.




16 Debt securities issued 31-Dec-19 31-Dec-18€ €

Notes issued 237,966,738 256,101,492

The notes are listed on Euronext Dublin.31-Dec-19 31-Dec-18

Maturity analysis € €Less than 1 year - - 1-5 years - - More than 5 years 237,966,738 256,101,492

237,966,738 256,101,492

Reconciliation of Notes issued

31-Dec-19 Interest ratesProceeds from issue of Notes Issue costs

Amortisation of issue costs

Additions/ (repayments) Closing balance

€ € € €Class A1 3M EURIBOR+ 0.28% 362,000,000 (10,041,951) 10,041,950 (361,999,999) - Class A2 3M EURIBOR+ 0.38% 90,500,000 (2,510,488) 1,484,426 (27,233,788) 62,240,150 Class B 3M EURIBOR+ 0.60% 48,000,000 (1,331,529) 553,055 2,990,963 50,212,489 Class C 3M EURIBOR+ 1.25% 28,500,000 (790,596) 328,381 5,101,355 33,139,140 Class D 3M EURIBOR+ 2.50% 29,000,000 (804,466) 334,137 10,367,272 38,896,943 Class E 3M EURIBOR+ 4.25% 19,000,000 (527,064) 218,918 12,159,180 30,851,034 Class F RESIDUAL 23,000,000 (638,025) 265,007 - 22,626,982

600,000,000 (16,644,119) 13,225,874 (358,615,017) 237,966,738

31-Dec-18 Interest ratesProceeds from issue of Notes Issue costs

Amortisation of issue costs

Additions/ (repayments) Closing balance

€ € € €Class A1 3M EURIBOR+ 0.28% 362,000,000 (10,041,951) 10,041,950 (361,999,999) - Class A2 3M EURIBOR+ 0.38% 90,500,000 (2,510,488) 1,067,364 (6,173,804) 82,883,072 Class B 3M EURIBOR+ 0.60% 48,000,000 (1,331,529) 510,075 2,990,963 50,169,509 Class C 3M EURIBOR+ 1.25% 28,500,000 (790,596) 302,861 4,789,128 32,801,393 Class D 3M EURIBOR+ 2.50% 29,000,000 (804,466) 308,170 9,512,203 38,015,907 Class E 3M EURIBOR+ 4.25% 19,000,000 (527,064) 201,905 10,950,383 29,625,224 Class F RESIDUAL 23,000,000 (638,025) 244,412 - 22,606,387

600,000,000 (16,644,119) 12,676,737 (339,931,126) 256,101,492

The priority status of the notes ranks in order of Class A1 to Class F, with each class of note being subordinated to the classes above it.

17 Share capital 31-Dec-19 31-Dec-18€ €

Authorised 40,000 shares of €1 each 40,000 40,000

Issued and paid share capital - presented as equity40,000 shares of €1 each 40,000 40,000

18 Ownership of the Company

On 13 May 2019, Ross Burns, Nimisha Shah, Caroline McGonagle, Neasan Cavanagh, Aisling Mellon and Aisling McNicholas transferred one share each toSanne Corporate Administration Services Ireland Limited.

On 10 July 2019, Sanne Corporate Administration Services Ireland Limited transferred all its shares to Vistra Capital Markets (Ireland) Limited, which is nowthe sole shareholder and holds 40,000 shares in the Company.

The Directors have considered the issue as to who is the controlling party of the Company. It has determined that the administration of the day-to-dayactivities of the Company rests with the Board of Directors (the "Board").

The Company does not have any holding and ultimate parent company as its shares are being held in trust for a charity.

All the classes of Notes bears a floating interest rate linked to Euribor except for Class F Notes that will receive interest to the extent that the Company hasavailable funds for the purpose.

The Company has deferred the payment of interest on the Class C, D and E notes during the financial year. This deferred interest has been capitalised and isrecorded under additions in the tables above. The capitalised interest during the financial year amounted to €2,376,093 on Class C, D and E notes (2018:€2,303,674 on Class C, D and E notes).

The contractual maturity of the Notes is 5 February 2038.

The notes in issue are limited recourse and are only repayable from the cash flows generated from the assets. Any losses on the assets are ultimately borne bythe noteholders and not the shareholders.

Total amount of notes redeemed during the financial year was €21,059,984 (2018: €7,916,201).




19 Financial risk management

(a) Strategy in using financial instrumentsIn pursuing its objectives as a special purpose financing vehicle, the Company holds or has issued a number of financial instruments.

These comprise:-Loans and receivables;-Derivatives financial instruments; and-Debt securities issued

The Company is not engaged in any other activities.

Operational risk; Credit risk; Market risk; and Liquidity risk.

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

(b) Operational risk

(c) Credit risk

The Directors do not expect major impact on the Company due to COVID-19.

The maximum exposure to the credit risk as at 31 December 2019 and 2018 was:31-Dec-19 31-Dec-18

€ €Loans and receivables 93,432,995 112,931,766 Cash and cash equivalents 155,003 474,641 Restricted cash 1,901,594 1,901,594 Trade and other receivables 468,039 519,163

95,957,631 115,827,164

Swap counterparty Rating agency Short term Long term Short term Long term31-Dec-19 31-Dec-19 31-Dec-18 31-Dec-18

Standard & Poor A-1 A+ A-1 A+Standard & Poor A-1 A+ A-1 A+

The strategies used by the Company in achieving its objectives regarding the use of its financial assets and financial liabilities were set when the Companyentered into the transactions. The Company has attempted to match the properties of its debt securities to its assets to mitigate significant elements of riskgenerated by mismatches of investment performance against its obligations together with any maturity or interest rate risk.

The risk profile of the Company is such that market, credit, liquidity and other risks of the assets are borne fully by the holders of debt securities issued. TheCompany has exposure to the following risks from its use of financial instruments:

The credit rating of the derivative counterparties as at 31 December 2019 and 2018 are as follows:

JP Morgan Chase Bank Bank of America, N.A

This note presents information about the Company’s exposure to each of the above risks, the Company’s objectives, policies and processes for measuring andmanaging risk and the Company’s management of capital.

Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company’s processes, personnel andinfrastructure, and from external factors other than credit, market and liquidity risks such as those arising from legal and regulatory requirements and generallyaccepted standards of corporate behaviour. Operational risks arise from all of the Company’s operations. All management and administration functions areoutsourced to VAIIL, The Bank of New York Mellon and Taberna European Capital Management LLC as the Administrator, Collateral Administrator andCollateral Manager respectively.

Credit risk is the risk of the financial loss to the Company if a counterparty to a financial instrument fails to meet its contractual obligations or if a referenceentity of a credit default swap defaults, and arises principally from the Company’s credit linked assets and derivatives. The Company's credit risk is principallybased on the collections under its loans and receivables. The effective monitoring and controlling of customer credit risk is a competency of the CollateralManager who has been appointed by the Company. On behalf of the Company, the Collateral manager manages the Company's portfolio of loans andreceivables in an appropriate manner, consistent with industry norms and in accordance with common standards used in the business of managing loans andreceivables.

Details of the credit quality of loans and receivables at the financial year end are set out below. The Company’s bank accounts are held with Bank of NewYork and Barclays Bank Ireland Plc whose credit rating was A+ and A as 31 December 2019 (2018: Aa1 and N/a).

The Company’s maximum exposure to credit risk in the event that counterparties fail to perform their obligations as at 31 December 2019 in relation to eachclass of recognised financial assets, other than derivatives, is the carrying amount of those assets as indicated in the statement of financial position. Withrespect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract orarrangement or if a reference entity of a credit default swap defaults.

In relation to the maximum exposure to credit risk on derivative financial instruments, this exposure is mitigated only partially by cash collateral held by theCompany.




19 Financial risk management (continued)

(c) Credit risk (continued)

Credit quality of loans and receivables

31 December 2019 Nominal value Carrying valueRating agency Rating No of assets CCY € €Standard & Poor BBB 1 EUR 20,000,000 19,974,481 Standard & Poor BBB- 1 USD 23,411,325 22,021,494 Standard & Poor B- 1 EUR 20,000,000 19,952,330 Standard & Poor B 1 EUR 11,500,000 11,499,690

Not rated 9 EUR 149,511,030 19,985,000 224,422,355 93,432,995

31 December 2018 Nominal value Carrying valueRating agency Rating No of assets CCY € €Standard & Poor BBB 1 EUR 20,000,000 19,998,991 Standard & Poor BBB- 1 USD 22,894,200 21,463,090 Standard & Poor B- 1 EUR 20,000,000 19,974,620 Standard & Poor B 1 EUR 20,000,000 20,000,000

Not rated 10 EUR 161,011,030 31,495,065 243,905,230 112,931,766

31 December 2019 Nominal value Carrying valueRating agency Type No of assets CCY € €Standard & Poors CMBS diversified 1 EUR 4,511,030 - Standard & Poors Senior debt 2 EUR 40,000,000 19,952,330 Standard & Poors Subordinated debt 7 EUR 126,500,000 31,484,690 Standard & Poors B Loan 1 EUR 10,000,000 - Standard & Poors Trust preferred 2 EUR/USD 43,411,325 41,995,975

224,422,355 93,432,995

31 December 2018 Nominal value Carrying valueRating agency Type No of assets CCY € €Standard & Poors CMBS diversified 1 EUR 4,511,030 - Standard & Poors Senior debt 2 EUR 40,000,000 19,974,621 Standard & Poors Subordinated debt 8 EUR 146,500,000 51,495,064 Standard & Poors B Loan 1 EUR 10,000,000 - Standard & Poors Trust preferred 2 EUR/USD 42,894,200 41,462,081

243,905,230 112,931,766

(d) Market risk

(i) Price risk

The credit quality of loans and receivables at 31 December 2019 and 2018 can be assessed by reference to external credit ratings from Standard & Poors ratingagency as provided by the Collateral Administrator are as follows:

The notes in issue are limited recourse and are only repayable from the cash flows generated from the assets. Any losses on the assets are ultimately borne bythe noteholders and not the shareholders.

Market risk is the potential adverse change in earnings or the value of net worth arising from movements in interest rates, foreign exchange rates or othermarket prices. Market risk includes three types of risk: currency risk, interest rate risk and price risk.

Price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices, whether caused by factors specific to anindividual investment, its issuer or all factors affecting all instruments traded in the market. The Company does not consider price risk to be a significant riskto the Company as any fluctuation in the value of investment securities held by the Company will be borne by the noteholders.

An increase of 10% in the market prices of derivative financial instruments at the reporting date would result in an equivalent increase amounting to€1,933,207 (2018: €1,700,114) in the fair value of derivative financial instruments of the Company. A decrease of 10% in the market prices of derivativefinancial instruments at the reporting date would result in an equivalent decrease in the fair value of derivative financial instruments of the Company.





(d) Market risk (continued)

(ii) Interest rate risk

31-Dec-19 Weighted Fixed Variable Non-interest bearing TotalAssets Average € € € €Loans and receivables 1.335% - 93,432,995 - 93,432,995 Trade and other receivables NA - - 468,039 468,039 Cash and cash equivalents 0.019% - 155,003 - 155,003 Restricted cash NA - - 1,901,594 1,901,594

- 93,587,998 2,369,633 95,957,631 LiabilitiesTrade and other payables NA - - (4,249,025) (4,249,025) Collateral payable NA - - (1,901,594) (1,901,594) Derivative financial liabilities NA - - (19,332,072) (19,332,072) Debt securities issued 1.051% - (237,966,738) - (237,966,738)

- (237,966,738) (25,482,691) (263,449,429)

31-Dec-18 Weighted Fixed Variable Non-interest bearing TotalAssets Average € € € €Loans and receivables 1.704% 21,463,089 91,468,677 - 112,931,766 Trade and other receivables NA - - 519,163 519,163 Cash and cash equivalents 0.770% - 474,641 - 474,641 Restricted cash NA - - 1,901,594 1,901,594

21,463,089 91,943,318 2,420,757 115,827,164 LiabilitiesTrade and other payables NA - - (3,911,662) (3,911,662) Collateral payable NA - - (1,901,594) (1,901,594) Derivative financial liabilities NA - - (17,001,140) (17,001,140) Debt securities issued 0.965% - (256,101,492) - (256,101,492)

- (256,101,492) (22,814,396) (278,915,888)

Sensitivity analysis

Consequently, the Directors believe the Company is not exposed to material interest rate risk with respect to these investments.

The table below summarises the Company's exposure to interest rate risk. It includes the Company's financial instruments at carrying amounts.

Any remaining interest rate risk associated with the loans and securities purchased by the Company is neutralised by issuing variable rate paying debtsecurities linked to availability of the Company’s cash flows for the purpose.

The sensitivity analysis below has been determined based on the Noteholder's exposure to interest rates for interest bearing assets and liabilities (included inthe interest rate exposure tables above) at the reporting date and the stipulated change taking place at the beginning of the financial year and held constantthroughout the reporting year in the case of instruments that have floating rates.

A 100 basis point increase or decrease represents management's assessment of a reasonably possible change in interest rates.

If interest rates had been 100 basis points higher and all other variables were held constant, the interest expense payable to the noteholders for the financialyear ended 31 December 2019 would have increased by €2,183,850 (2018: €2,370,689) and the resulting loss would have increased. A decrease of 100 basispoints in interest rates, with all the other variables held constant, would result in an equal but opposite effect on the interest expense payable to the noteholdersand ultimately, a decrease in the loss of the Company.

The Company primarily finances its operations through the issue of Notes upon which interest of EURIBOR plus a margin is payable. The majority of theinvestments held by the Company also pay interest on the basis of EURIBOR plus a margin.

The Company has entered into cross currency interest rate swaps to hedge against currency and interest rate risk in respect of investments in foreign currencies.

If interest rates had been 100 basis points higher and all other variables were held constant, interest income for the financial year ended 31 December 2019from financial assets would have increased by €949,113 (2018: €1,143,942) which would subsequently be distributed to the Noteholders in accordance withthe priorities of payment under the transaction waterfall. A decrease of 100 basis points in interest rates, with all the other variables held constant, would resultin an equal but opposite effect on the Noteholders distribution.





(d) Market risk (continued)

The Company's exposure to foreign currency risk as at 31 December 2019 and 2018 was as follows:

31-Dec-19 EURO USD GBP TotalAssets € € € €Loans and receivables 71,411,501 22,021,494 - 93,432,995 Cash and cash equivalents 154,995 8 - 155,003 Restricted cash 1,901,594 - - 1,901,594 Trade and other receivables 321,457 146,582 - 468,039

73,789,547 22,168,084 - 95,957,631

LiabilitiesTrade and other payables (1,833,945) (558,454) (1,856,626) (4,249,025) Collateral payable (1,901,594) - - (1,901,594) Derivative financial liabilities (15,308,279) (4,023,793) - (19,332,072) Debt securities issued (237,966,738) - - (237,966,738)

(257,010,556) (4,582,247) (1,856,626) (263,449,429)

Net exposure (183,221,009) 17,585,837 (1,856,626) (167,491,798)

31-Dec-18 EURO USD GBP TotalAssets € € € €Loans and receivables 91,468,676 21,463,090 - 112,931,766 Cash and cash equivalents 474,633 8 - 474,641 Restricted cash 1,901,594 - - 1,901,594 Trade and other receivables 352,758 166,405 - 519,163

94,197,661 21,629,503 - 115,827,164

LiabilitiesTrade and other payables (1,678,551) (490,791) (1,742,320) (3,911,662) Collateral payable (1,901,594) - - (1,901,594) Derivative financial liabilities (13,222,310) (3,778,830) - (17,001,140) Debt securities issued (256,101,492) - - (256,101,492)

(272,903,947) (4,269,621) (1,742,320) (278,915,888)

Net exposure (178,706,286) 17,359,882 (1,742,320) (163,088,724)

Sensitivity analysis

(e) Liquidity risk

31-Dec-19 Carrying amount

Gross contractual cash

flowsLess than one financial year

Between one to two financial years

Between two to five financial years

More than five financial years

€ € € € € €Debt securities issued (237,966,738) (285,135,054) (2,415,486) (2,415,486) (7,246,457) (273,057,625) Other payables (4,249,025) (4,249,025) (4,249,025) - - - Collateral payable (1,901,594) (1,901,594) (1,901,594) - - - Derivative liabilities (19,332,072) (43,383,921) (2,514,707) (2,514,707) (7,544,120) (30,810,387)

(263,449,429) (334,669,594) (11,080,812) (4,930,193) (14,790,577) (303,868,012)

Liquidity risk is the risk that the Company will not be able to meet its obligations as they fall due. The Company’s obligation to the holders of the debtsecurities is limited to the net proceeds upon realisation of the investment securities. All substantial risks and rewards associated with the investment securitiesare ultimately borne by the noteholders.

There were no liquidity issues experienced by the Company in respect of meeting its obligations to the holders of debt securities during the year.

The contractual undiscounted cash flows of non-derivative financial liabilities and net-settled derivative financial liabilities by remaining contractualmaturities as at 31 December 2019 and 2018 are as follows:

The gross contractual cash flows of the debt securities has been calculated as the total of the interest payable on the notes from the financial year end up totheir maturity dates and the remaining nominal balances of the notes.

(iii) Currency riskThe Company is exposed to movement in exchange rates between EURO, its functional currency and foreign currencies namely USD and GBP.

The Company has entered into a cross currency swap with a notional value of USD 26,250,000 (2018: USD 26,250,000) to economically hedge the currencyrisk on the USD - denominated asset held. As such, the Company has no net exposure to currency risk related to USD - denominated asset.

As stated above, the Company has economically hedged its currency risk by entering into a cross currency swap. At 31 December 2019, had the EURstrengthened against the above currencies by 10% with all other variables held constant, the profit or loss and equity of the Company would have decreased by€1,572,921 (2018: €1,561,756).





(e) Liquidity risk (continued)

31-Dec-18 Carrying amount

Gross contractual cash

flowsLess than one financial year

Between one to two financial years

Between two to five financial years

More than five financial years

€ € € € € €Debt securities issued (256,101,492) (308,314,445) (2,524,317) (2,524,317) (7,572,950) (295,692,861) Other payables (3,911,662) (3,911,662) (3,911,662) - - - Collateral payable (1,901,594) (1,901,594) (1,901,594) - - - Derivative liabilities (17,001,140) (45,103,583) (2,471,251) (2,471,251) (7,413,754) (32,747,327)

(278,915,888) (359,231,284) (10,808,824) (4,995,568) (14,986,704) (328,440,188)

The tables include contractual cash flows calculated based on interest rates and foreign exchange rates in place at the financial year end.

(f) Fair value of financial assets and financial liabilities

Fair value hierarchy

Level 1 – fair values measured using quoted prices (unadjusted) in active markets for identical assets or liabilities;

Level 3 – fair values measured using inputs for the asset or liability that are not based on observable market data (i.e., unobservable inputs).

31-Dec-19 Level 1 Level 2 Level 3 Total fair value€ € € €

Loans and receivables at fair value through profit or lossCMBS diversified - - - - Senior debt - - - - Subordinated debt - - - - B Loan - - - - Derivative financial instruments:Cross currency swap - (4,023,793) - (4,023,793) Interest rate cap - (15,308,279) - (15,308,279)

- (19,332,072) - (19,332,072)


Loans and receivables at fair value through profit or lossCMBS diversified - - - - Senior debt - - - - Subordinated debt - - - - B Loan - - - - Derivative financial instruments:Cross currency swap - (3,778,830) - (3,778,830) Interest rate cap - (13,222,310) - (13,222,310)

- (17,001,140) - (17,001,140)


Loans and receivables at amortised costSenior debt - - 19,952,330 19,952,330 Subordinated debt - - 31,484,690 31,484,690 Trust preferred - - 41,995,975 41,995,975

- - 93,432,995 93,432,995

Debt securities - - 112,310,569 112,310,569 - - 112,310,569 112,310,569

The Company uses the following three-level fair value hierarchy that reflects the significance of the inputs used in measuring fair values and contains thefollowing three levels:

Level 2 – fair values measured using inputs other that quoted prices included within Level 1 that are observable for the asset or liability, either directly (i.e , asprices) or indirectly (i.e., derived from prices) ; and

At the reporting date, the carrying amounts of derivative financial instruments which are held at fair value were determined directly, in full or in part, byreference to published price quotations and determined using valuation techniques such as discounted cashflow models. The carrying amounts are as follows:

Although the Directors believe that their estimates of fair value are appropriate, the use of different methodologies or assumptions could lead to differentmeasurements of fair value as fair value estimates are made at a specific point in time, based on market conditions and information about the financialinstrument. These estimates are subjective in nature and involve uncertainties and matters of significant judgement e.g. interest rates, volatility, credit spreads,probability of defaults, estimates cash flows etc and therefore, cannot be determined with precision.

The following table analyses within the fair value hierarchy the Company's assets and liabilities not measured at fair value at 31 December 2019 and 2018 butfor which fair value is disclosed.





(f) Fair value of financial assets and financial liabilities (continued)


Loans and receivables at amortised costSenior debt - - 19,974,621 19,974,621 Subordinated debt - - 51,495,064 51,495,064 Trust preferred - - 41,462,081 41,462,081

- - 112,931,766 112,931,766

Debt securities - - 133,747,629 133,747,629 - - 133,747,629 133,747,629

20 Charges

The Notes issued by the Company are secured by way of mortgage over the financial assets purchased.

21 Capital risk management

22 Related Parties

23 Subsequent Events

(i)

(ii)Repayment amount

€Class A2 113,258

113,258

24 Changes in liabilities arising from financing activities

1 Jan 2019 Cash Flows Amortisation of issue cost

Capitalised interest 31 Dec 2019

€ € € € €Debt securities issued 256,101,492 (21,059,984) 549,137 2,376,093 237,966,738

256,101,492 (21,059,984) 549,137 2,376,093 237,966,738

1 Jan 2018 Cash Flows Amortisation of issue cost

Capitalised interest 31 Dec 2018

€ € € € €Debt securities issued 261,395,253 (7,916,201) 318,766 2,303,674 256,101,492

261,395,253 (7,916,201) 318,766 2,303,674 256,101,492

The table below shows a reconciliation of the opening and closing balance in the statement of financial position for liabilities arising from financial activitiesfor the year ended 31 December 2019 and 2018.

The Company manages its capital to maximise the return to noteholders through the optimisation of the debt and equity balances. The capital managed by theCompany comprises of ordinary shares outstanding and the Notes issued and outstanding as at the financial year end. The Company is a special purposevehicle set up to issue notes whereby the net proceeds of the Notes were applied by the Company in the acquisition of a diversified portfolio consistingprimarily of structured finance obligations. Share capital of €40,000 was issued in line with Irish Company Law and is not used for financing the investmentactivities of the Company. The Company is not subject to externally imposed capital requirements. There were no changes to the policies and proceduresduring the year with respect to the Company’s approach to its capital management program.

During the financial year, the Company incurred a fee of €28,000 (2018: €28,000) relating to administration services provided by VAIIL. There is an amountpayable of €28,000 at 31 December 2019 (2018: €56,000) relating to administration fees. The Directors' fees of €750 (2018: €3,015) and €750 (2018: €1,485)for Ross Burns and Aisling McNicholas respectively are paid out of the administration expenses. The Directors at the date of this report are listed on page 1.The Directors are also employees of VAIIL. Section 305A(1)(a) of the Act requires disclosure that VAIIL received €1,000 (2018: €1,000) per Directorincluded in the administration fees as consideration for the making available of individuals to act as Directors of the Company. Other than this, there were nofurther required disclosures arising under Sections 305 and 306 of the Act.

On 14 April 2020, Adrienne Lonergan resigned as Director of the Company and was replaced by John Dunleavy.

The following class of notes were repaid post financial year end;

The carrying value of the financial assets are a reasonable approximation of their fair values. The fair value of investment securities-loans and receivables anddebt securities issued have been classified under level 3. The fair value of the investment securities-loans and receivables is based on the recovery rate of thesecurities as provided by the Collateral Manager. The fair value of the debt securities issued was determined as being the fair value of all assets less the fairvalue of all other liabilities of the Company and is measured net of retained losses as the debt securities are limited recourse in nature.

Other financial assets and financial liabilities The carrying value of all other financial assets and financial liabilities (including cash and cash equivalents, trade and other receivables and trade and otherpayables) closely approximates their fair value due to short-term maturities of these financial instruments and are classified as level 2 given that they aremeasured based on observable inputs.

Other than the above events and COVID-19 which was fully discussed in the Business risks section of the Directors' report, there are no other significantevents between statement of financial position date and the date of signing of the financial statements, affecting the Company, which require adjustment to ordisclosure in the financial statements.




25 Segment risk and reporting

31-Dec-19 31-Dec-18€ €

France 404,197 506,722 United States 1,333,249 1,225,932 United Kingdom 616,222 613,808 Spain 259,738 298,433 Czech Republic 300,580 1,310,061

2,913,986 3,954,956

26 Approval of financial statements

The Directors approved these financial statements on .

The Company is structured in a way that the assets and liabilities are managed as a whole and there are no distinct identifiable segments. The reporting, riskmanagement and administration are performed on a collective basis rather than based on segments. The Company’s revenue is generated from loans andreceivables held during the financial year. The Company has no other product or revenue generating source. The Company has no major customer generatingsignificant revenue.

The Chief Operating Decision Maker (CODM) of the operating segment is the Board. The Company is a special purpose vehicle whose principal activities arethe issuance of Notes and acquisition of financial assets. The CODM does not consider each underlying investment security as a separate segment, rather theylook at the structure as a whole. Based on that fact, the Directors confirm that there is only one segment.

The Company’s interest revenue from continuing operations by geographical location is detailed below:


Jul-23-2020

Taberna Europe CDO I Plc Directors' report and financial … · Taberna Europe CDO I Plc Page 2 Directors' report Principal activities The Notes are listed on the regulated market

Documents