euromax v abs plc - rns-pdf.londonstockexchange.com · germany solicitor matheson 70 sir john...

Euromax V ABS Plc

Directors' report and audited financial statements

For the financial year ended 31 December 2019

Registered Number 428540

DocuSign Envelope ID: F25001F3-4CA4-4E6B-8107-222C0D6D942B

Euromax V ABS Plc

Contents Page (s)

Directors and other information 1

Directors' report 2-6

Statement of Directors' responsibilities 7

Independent auditor's report 8-14

Statement of comprehensive income 15

Statement of financial position 16

Statement of changes in equity 17

Statement of cash flows 18

Notes to the financial statements 19-37


Euromax V ABS Plc Page 1

Directors and other information

Directors John DunleavyFergus O'Donnell

Registered office Block AGeorge's Quay PlazaGeorge's QuayDublin 2 D02 E440Ireland

Administrator & Vistra Alternative Investments (Ireland) LimitedCompany Secretary Block A

George's Quay PlazaGeorge's QuayDublin 2 D02 E440Ireland

Trustee Deutsche Trustee Company LimitedWinchester House1 Great Winchester StreetLondon EC2N 2DBUnited Kingdom

Independent Auditor Grant ThorntonChartered Accountants & Statutory Audit Firm13-18 City QuayDublin 2 D02 ED70Ireland

Account Bank, Custodian Deutsche Bank AG, London Branchand Collateral Administrator Winchester House

1 Great Winchester StreetLondon EC2N 2DBUnited Kingdom

Banker Deutsche Bank AG LondonWinchester House1 Great Winchester StreetLondon EC2N 2DBUnited Kingdom

Collateral Manager Collineo Asset Management GmbHPortfolio ManagementBrinkhoffstrasse 444137 DortmundGermany

Solicitor Matheson70 Sir John Rogerson's Quay Dublin 2 D02 R296Ireland

Swap Counterparty HSBC Bank Plc8 Canada SquareLondon E14 5HQUnited Kingdom



Directors' reportThe Board of Directors (the "Directors") present the annual report and audited financial statements of Euromax V ABS Plc (the “Company”) forthe financial year ended 31 December 2019.

Principal activitiesThe Company is a public limited liability company, incorporated under the laws of Ireland on 23 October 2006. The Company is a SpecialPurpose Vehicle (or "SPV") and has been established to acquire a portfolio of collateral debt assets forming part of the mortgaged property by theissuance and selling of notes (the "Notes"). The Company has entered into various legal agreements to cover these activities.

The Company had initially issued the following series on or about 30 November 2006 (the "Closing Date"):€4,500,000 Class X Notes due 2013€210,000,000 Class A1 Floating Rate Notes due 2095€20,000,000 Class A2 Floating Rate Notes due 2095 €18,000,000 Class A3 Floating Rate Notes due 2095€21,500,000 Class A4 Deferrable Floating Rate Notes due 2095€22,000,000 Class B1 Deferrable Floating Rate Notes due 2095€5,000,000 Class B2 Deferrable Floating Rate Notes due 2095€6,500,000 Class C Subordinated Notes due 2095€5,000,000 Class D1 Combination Notes due 2095€7,500,000 Class D2 Combination Notes due 2095

The Subordinated Notes will not bear a stated rate of interest. The Subordinated Notes will only receive payments of interest if and to the extentthat there are interest proceeds or principal proceeds distributable to the Noteholders of the Subordinated Notes in accordance with the priority ofpayments.

The proceeds of the Notes initially issued at closing date have been used to (a) make an initial deposit of €47,400 to the Expense Account, (b)pay certain fees and expenses payable by the Company on the closing date, (c) purchase the initial portfolio, and (d) deposit the remainingproceeds in the Initial Proceeds Account which is applied by the Investment board (acting on behalf of the Company based upon the proposals ofthe Collateral Manager) in acquiring Collateral Debt Assets or Eligible Investments.

The €5,000,000 Class D1 Combination Notes is comprised of two components: €3,800,000 aggregate principal amount of Class A4 Notes and€1,200,000 aggregate principal amount of Subordinated Notes. The €7,500,000 Class D2 Combination Notes is composed of two components:€5,800,000 aggregate principal amount of Class A4 Notes and €1,700,000 aggregate principal amount of Class B2 Notes. The principal amountoutstanding of each of the components comprising each of the combination notes is included in (and is not in addition to) the respective principalamount outstanding of the relevant class of notes to which such component relates. The Notes are listed on the Euronext Dublin.

Interest proceeds and principal proceeds will be applied in or towards the payment of interest in respect of, and principal of, the debt securitiesissued and all other amounts payable by the Issuer in accordance with the relevant priorities of payment.

For so long as any of the Class A1 Notes, the Class A2 Notes or the Class A3 Notes remain outstanding, the Issuer shall, and shall only be obligedto, pay any interest amount payable in respect of the Class A4, B1 and B2 Notes to the extent that there are interest proceeds available forpayment thereof in accordance with the relevant priorities of payment. An amount of interest equal to any such amount which has not been paidon any payment date shall be deferred.

To mitigate the risk associated with the portfolio, the Company has entered into a Master Agreement, subject to the laws of the Federal Republicof Germany, with HSBC Bank Plc, the initial Hedge Counterparty. The Company currently has no active hedge in place.

Business reviewDuring the financial year:• The Company made a profit after tax of €750 (2018: €750);• Net gain from investment securities amounted to €4,281,030 (2018: €2,562,214); • Net loss on debt securities issued amounted to €3,894,171 (2018: €2,208,419); and• There were no credit events that affected the Company (2018: no credit events).



Directors' report (continued)

Issuer Security ID Default date Maturity date Principal BalanceCarrying value

as at Carrying value

as at 31-Dec-19 31-Dec-19 31-Dec-18

€ € €27-Mar-13 18-Jul-13 3,605,952 361 361

XS0244896394 10-Dec-12 31-Jan-19 2,022,022 42,057 40,440

XS0276274635 27-Oct-19 7,736,844 116,052 27,388 XS0250001293 19-May-10 25-Oct-36 1,500,000 750 750 XS0250000998 19-May-10 25-Oct-36 1,000,000 500 500

XS0291368313 10-Dec-10 27-Oct-20 3,923,706 392 48,850 XS0260130975 31-May-13 31-May-15 3,716,560 372 372 XS0257592575 20-Jun-14 25-May-57 2,000,000 620 620 XS0305746215 22-Oct-14 04-Feb-20 2,038,852 2,002,104 11,825 XS0252733208 11-Jun-14 22-Apr-16 2,510,475 251 251 XS0276936019 18-Aug-15 25-Feb-58 4,900,000 490 490 XS0304912891 22-Oct-17 2,318,555 232 232 XS0262565004 02-Aug-17 27-Jul-17 2,265,054 227 227

39,538,020 2,164,408 132,306

The response to the impact of COVID-19 is set out in the Principal risks and uncertainties section on next page.

Tiden B1Deco 7- Pan Europe 2 PlcDeco 10-Pan Europe 4 PlcCB Mezzcap 2006-1CB Mezzcap 2006-1Deco 14-Pan Europe 5 B.V.

As at 31 December 2019:• The fair value of the Company’s total indebtedness was €31,636,129 (2018: €41,058,002).• As at 31 December 2019, the Company had the following Classes of Notes in issue:• €2,764,090 Class A1 Floating Rate Notes due 2095• €20,000,000 Class A2 Floating Rate Notes due 2095 • €18,000,000 Class A3 Floating Rate Notes due 2095• €21,500,000 Class A4 Deferrable Floating Rate Notes due 2095• €22,000,000 Class B1 Deferrable Floating Rate Notes due 2095• €5,000,000 Class B2 Deferrable Floating Rate Notes due 2095• €6,500,000 Class C Subordinated Notes due 2095• €4,921,116 Class D1 Subordinated Notes due 2095• €7,499,948 Class D2 Subordinated Notes due 2095

Business review (continued)

The nominal balances for Class A2, Class A3, Class A4, Class B1, Class B2, Class C, Class D1 and Class D2 Notes were same as prior year,except for Class A1 Notes with an outstanding balance of €16,150,306 in prior financial year.

• The Company’s following assets were in default:

EMC 4E-MAC DE 2006-1Taurus 2007-1Windermere VIIE-MAC DE 2006-IITMAN 7 F

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

The Directors have concluded that the impact of the COVID-19 does not represent a material uncertainty in relation to the Company’s ability tocontinue as a going concern through the date of the issuance of these financial statement as they have closely monitored the evolution of thispandemic, including how it affected the economy and the general population.

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

DECO 9

The Directors are considering the impact of the above defaults, which are limited to the principal amount invested and they have been writtendown to the carrying value so that the Company's current exposure is €2,164,408 (2018: €132,306). Potential impact on the noteholders can belower interest received or lower principal recovery of the amount invested.

Going ConcernThe Company's financial statements for the financial year ended 31 December 2019 have been prepared on a going concern basis.




Changes in Directors, secretary and registered office

The Company was incorporated with the purpose of engaging in those activities outlined in the preceding paragraphs. All management andadministration functions are outsourced to VAIIL (or the "Administrator") and management of the Company's assets to Collineo AssetManagement GmbH (the "Collateral Manager").

Subsequent events

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

Operational riskOperational 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, markets and liquidity issues such as those arising from legal and regulatoryrequirements and generally accepted standards to corporate behaviour. Operational risks arise from all of the Company’s operations.

The spread of the COVID-19 outbreak has caused severe disruptions in the Irish and global economy and financial markets and could potentiallycreate widespread business continuity issues of an unknown magnitude and duration. Many countries, including Ireland, have reacted byinstituting quarantines, mandating business and school closures and restricting travel. Many experts predict that the outbreak will trigger a periodof 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 continueto monitor the market 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 natureof the securities issued 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 to petition for insolvency proceedings against the Company in the event that the underlying assets are insufficient torepay the principal amount of the debt securities issued.

The Company is subject to various risks. The main risk associated with the Company’s financial instruments are set out in Note 16 of thefinancial statements. The Directors are aware of the Brexit risk and are assessing the impact it may have on the Company.

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

Results and dividends for the financial yearThe results for the financial year are set out on page 15. No dividends are recommended by the Directors (2018: € Nil).

Financial Reporting Process The Directors are 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 theCompany’s financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss.

The Directors have established processes regarding internal control and risk management systems to ensure its effective oversight of the financialreporting process. These include appointing the Administrator, VAIIL, to maintain the accounting records of the Company independently ofDeutsche Bank AG, London Branch (the "Custodian"). The Administrator is contractually obliged to maintain proper books and records asrequired by the Corporate Administration agreement. To that end the Administrator performs reconciliations of its records to those of theCustodian. The Administrator is also contractually obliged to prepare for review and approval by the Directors the annual report includingfinancial statements intended to give a true and fair view.

There were no changes in Directors, secretary and registered office during the financial year under review or since the financial year end as listedon page 1.

Directors, secretary and their interestsJohn Dunleavy and Fergus O'Donnell are Directors of the Company as at 31 December 2019. The Directors and secretary who held office on 31December 2019 did not hold any shares in the Company at that date, or during the financial year. Except for the Administration agreemententered into by the Company with Vistra Alternative Investments (Ireland) Limited ("VAIIL"), there were no contracts of any significance inrelation to the business of the Company in which the Directors had any interest, as defined in the Companies Act 2014, as amended (the "Act"),at any time during the financial year. The Directors are also employees of Vistra Alternative Investments (Ireland) Limited ("VAIIL"). Section305A(1)(a) of the Act requires disclosure that VAIIL received €1,000 (2018: €2,000) 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 requireddisclosures arising under Sections 305 and 306 of the Act.

Principal risks and uncertaintiesRisk Management FrameworkThe Directors have overall responsibility for the establishment and oversight of the Company’s risk management framework.

Post financial year end events are disclosed in Note 22 of the financial statements.

Corporate Governance StatementIntroductionThe Company is subject to and complies with Irish Statute comprising the Act and also complies with the Listing rules of the Euronext Dublin.The Company does not apply additional requirements in addition to those required by the above. Each of the service providers engaged by theCompany is subject to their own corporate governance requirements.




Political donationsThe Company did not make any political donations during the financial year (2018: € Nil).

Research and development costsResearch and development costs amounted to € Nil during the financial year (2018: € Nil).

Corporate Governance Statement (continued)Financial Reporting Process (continued)

More specifically;-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.

Powers of DirectorsThe Directors are responsible for managing the business affairs of the Company in accordance with the Constitution. The Directors may delegatecertain functions to the Administrator and other parties, subject to the supervision and direction by the Directors. The Directors have delegatedthe day to day administration of the Company to the Administrator.

The Articles of Association provide that the Directors may exercise all the powers of the Company to borrow money, to mortgage or charge itsundertaking property of any part thereof and may delegate these powers.

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 onbehalf of the transferee. The transferor shall be deemed to remain the holder of the share until the name of the transferee entered on the registerin respect thereof. The Directors, in their absolute discretion and without assigning any reason therefore, may decline to register any transfer ofshare. If the Directors refuse to register a transfer, they shall, within two months after the date on which the transfer was lodged with theCompany, send to the transferee notice of the refusal.

The Directors evaluate and discuss significant accounting and reporting issues as the need arises. From time to time, the Directors also examineand evaluate the Administrator’s financial accounting and reporting routines and monitor and evaluate the external auditors’ performance,qualifications and independence. The Administrator has operating responsibility for internal control in relation to the financial reporting processand the Administrator’s report to the Directors.

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

There are no restrictions on voting rights.

With regard to the appointment and replacement of Directors, the Company is governed by its Constitution, Irish Statute comprising the Act. TheConstitution itself may be amended by special resolution of the shareholders.

The Company does not have any agreements that take effect, alter or terminate upon a change of control of the Company following a bid. TheCompany also does not have any agreements between itself and the Directors or employees providing for compensation for loss of office oremployment that occurs because of a bid.

The Takeover Bids Directive is not applicable as Euromax V ABS Plc does not have transferable securities carrying voting rights listed on aregulated market.

Control ActivitiesThe Administrator is contractually obliged to design and maintain control structures to manage the risks which the Directors judge to besignificant for internal control over financial reporting. These control structures include appropriate division of responsibilities and specificcontrol activities aimed at detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in thefinancial statements and the related notes in the Company’s annual report.

MonitoringThe Directors have an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified andmeasures recommended by the independent auditors.

Given the contractual obligations on the Administrator, the Directors have concluded that there is currently no need for the Company to have aseparate internal audit function in order to perform effective monitoring and oversight of the internal control and risk management systems of theCompany in relation to the financial reporting process.

Capital StructureNo person has a significant direct or indirect holding of securities in the Company.

No individual, including any individual Director has any special rights of control over the Company’s share capital, including issuance or buyingback of the Company’s shares. However, collectively as a Board, the Directors of the Company have authority to issue or buy back shares of theCompany.




Audit committee

Signed on behalf of the Board of Directors by:

John Dunleavy Fergus O'DonnellDirector Director

Date:

Accounting recordsThe Directors believe that they have complied with the requirements of Sections 281 to 285 of the Act with regard to the keeping of accountingrecords by employing accounting personnel with the appropriate expertise and by providing adequate resources to the financial function. Theaccounting records of the Company are maintained at Block A, George’s Quay Plaza, George's Quay, Dublin 2, Ireland.

Statement on relevant audit informationEach of the persons who is a Director at the date of approval of this report confirms that:• so far as the Director is aware, there is no relevant audit information of which the Company’s auditors are unaware; and• the Directors have taken all steps that he/she ought to have taken as a Director in order to make himself or herself aware of any relevantinformation and to establish that the Company’s auditors are aware of this information.

Directors’ Compliance Statement

The Directors confirm that:

(a) they acknowledge that they are responsible for securing the Company's compliance with its relevant obligations and have, to the best of theirknowledge, complied with its relevant obligations as defined in section 225 of the Act;

(b) they have drawn up a compliance policy statement setting out the Company's policies (that, in the Directors' opinion, are appropriate to theCompany) respecting compliance by the Company with its relevant obligations;

(c) relevant arrangements and structures have been put in place that provide a reasonable assurance of compliance in all material respects by theCompany with its relevant obligations, which arrangements and structures may, if the Directors so decide, include reliance on the advice of oneor more than one person employed by the Company or retained by it under a contract for services, being a person who appears to the Directors tohave the requisite knowledge and experience to advise the Company on compliance with its relevant obligations; and

(d) the arrangements and structures in place, are reviewed on an annual basis.

Independent AuditorGrant Thornton, Chartered Accountants and Statutory Audit Firm have signified their willingness to continue in office in accordance withSection 383 (2) of the Act for the financial year.

Under Section 1551 (1) of the Act, all public-interest entities are required to establish an audit committee, subject to certain exemptions. Section167 of the Act also requires the Directors of Public Listed Company's (or "PLC’s") or large companies (as such term is defined in the Act) toestablish an audit committee or to state the reasons for not establishing such a committee.

Given the contractual obligations of the Administrator and the limited recourse nature of the securities issued by the Company, the Directorshave concluded that there is currently no need for the Company to have a separate audit committee in order for the Directors to perform effectivemonitoring and oversight of the internal control and risk management systems of the Company in relation to the financial reporting process andthe monitoring of the statutory audit and the independence of the statutory auditors. Accordingly, the Company has availed itself of theexemption under Section 1551(11)(c) of the Act not to establish an audit committee.


Jul-07-2020


• select suitable accounting policies for the Company financial statements and then apply them consistently;• make judgements and estimates that are reasonable and prudent; •

•

On behalf of the Board


Date:

Irish company law requires the Directors to prepare financial statements for each financial year. Under the law, the Directors have elected toprepare the financial statements in accordance with International Financial Reporting Standards ("IFRS") as adopted by the European Union("EU") (“relevant financial reporting framework”). Under company law, the Directors must not approve the financial statements unless they aresatisfied that they give a true and fair view of the assets, liabilities and financial position of the Company as at the financial year end date and ofthe profit or loss of the Company for the financial year and otherwise comply with the Act.

International Accounting Standard 1 ‘Presentation of Financial Statements’, requires that financial statements present fairly for each financialyear the Company’s financial position, financial performance and cash flows. This requires the faithful representation of the effects oftransactions, other events and conditions in accordance with the definitions and recognition criteria for assets, liabilities, income and expenses setout in the International Accounting Standards Board’s ‘Framework for the Preparation and Presentation of Financial Statements’. In virtually allcircumstances, a fair presentation will be achieved by compliance with all applicable IFRS.

state whether the financial statements have been prepared in accordance with the applicable accounting standards, identify those standards,and note the effect and the reasons for any material departure from those standards; and prepare 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 the Act and the applicableregulations.

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

The Directors are responsible for ensuring that the Company keeps or causes to be kept adequate accounting records which correctly explain andrecord the transactions of the Company, enable at any time the assets, liabilities, financial position and profit or loss of the Company to bedetermined with reasonable accuracy, enable them to ensure that the financial statements and Directors’ report comply with the Act and theListing Rules of the Euronext Dublin and enable the financial statements to be audited. They are also responsible for safeguarding the assets ofthe Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

Statement of Directors' responsibilities


Jul-07-2020

Independent auditor’s report to the members of Euromax V ABS Public Limited Company

8

Report on the audit of the financial statements

Opinion

We have audited the financial statements of Euromax V ABS Public Limited Company (or the “Company”) which comprise the Statement of comprehensive income, Statement of financial position, Statement of changes in equity, Statement of cash flows for the financial year ended 31 December 2019 and the related notes to the financial statements, including the summary of significant accounting policies. The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and International Financial Reporting Standards (or “IFRS”) as adopted by the European Union. In our opinion, the Company’s financial statements:

give a true and fair view in accordance with IFRS as adopted by the European Union of the assets, liabilities and the financial position of the Company as at 31 December 2019 and of its financial performance and cash flows for the financial year then ended; and

have been properly prepared in accordance with the requirements of the Companies Act 2014.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (Ireland) (or “ISAs (Ireland)”) and applicable law. Our responsibilities under those standards are further described in the ‘Responsibilities of the auditor for the audit of the financial statements’ section of our report. We are independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, namely the Irish Auditing and Accounting Supervisory Authority (or “IAASA”) Ethical Standard concerning the integrity, objectivity and independence of the auditor and the ethical pronouncements established by Chartered Accountants Ireland, applied as determined to be appropriate in the circumstances of the Company. We have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Conclusions relating to going concern

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

us to report to you where:

the Board of Directors’ (or the “Directors”) use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or

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

Independent auditor’s report to the members of Euromax V ABS Public Limited Company (continued)

9

Key audit matters

Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current financial period and include the most significant assessed risks of material misstatement (whether or not due to fraud) we identified, including those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit, and the directing of efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and therefore we do not provide a separate opinion on these matters. Overall audit strategy We designed our audit by determining materiality and assessing the risks of material misstatement in the financial statements. In particular, we looked at where the Directors made subjective judgements, for example in respect of significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain. As in all of our audits we also addressed the risk of management override of internal controls, including evaluating whether there was evidence of potential bias by the Directors that represented a risk of material misstatement due to fraud. Based on our considerations as set out below, our areas of focus included:

Existence and valuation of financial assets;

Existence and valuation of financial liabilities; and

Completeness and accuracy of interest income on financial assets. How we tailored our audit scope

The Company is a bankruptcy remote special purpose vehicle, with listed debt. The Directors control the affairs of the Company and they are responsible for the overall investment policy which is determined by them. We tailored the scope of our audit taking into account the types of investments within the Company, the involvement of the third parties, the accounting processes and controls, and the industry in which the Company operates. The Directors have delegated certain responsibilities to the Administrator including maintenance of the accounting records. The financial statements, which remain the responsibility of the Directors, are prepared on their behalf by the Administrator. The Company has appointed a Custodian to act as custodian of the Company’s assets. In establishing the overall approach to our audit, we assessed the risk of material misstatement to the Company, taking into account the likelihood and potential magnitude of any misstatement. As part of our risk assessment, we considered the Company’s interaction with the Administrator, and we assessed the control environment in place at the Administrator.


10

Materiality and audit approach

The scope of our audit is influenced by our application of materiality. We set certain quantitative thresholds for materiality. These, together with qualitative considerations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures and to evaluate the effect of misstatements, both individually and on the financial statements as a whole. Based on our professional judgement, we determined materiality for the Company as follows: 2% of Total Assets as at 31 December 2019. Total Assets was considered the most appropriate benchmark on which to base our materiality based on the activities of the Company.

Key audit matters (continued)

Materiality and audit approach (continued) We agreed with the Board of Directors that we would report to them misstatements identified during our audit above 5% of materiality as well as misstatements below that amount that, in our view, warranted reporting for qualitative reasons. Significant matters identified

The risks of material misstatement that had the greater effect on our audit, including the allocation of our resources and effort, are set out below as significant matters, together with an explanation of how we tailored our audit to address these specific areas in order to provide an opinion on the financial statements. This is not a complete list of all risks identified by our audit.

Significant matter

identified

Our audit response

Financial assets – existence and valuation (Notes 3, 9 and 16)

There is a risk that the financial assets held by the Company do not exist or that the balance included in the Statement of financial position of the company at 31 December 2019 is not valued in line with IFRS as adopted by the European Union. The following audit work has been performed to address the risks:

Obtained an understanding of the processes in place in relation to the valuation of the Company’s financial assets by conducting a walkthrough of these processes;

Obtained direct independent confirmation of the existence of the financial assets from the Company’s Custodian and agreed the amounts held to the accounting records;

Re-performed the assigned valuation of each instrument using independent pricing sources where applicable and ensured the pricing policy was in line with IFRS; and

Challenged the assumptions and methodology used to value level 3 securities which were held by the Company.

Our planned audit procedures were completed without material exceptions.


11

Key audit matters (continued)

Significant matters identified (continued)

Financial liabilities – existence and valuation (Notes 3, 12 and 16)

There is a risk that the financial liabilities held by the Company do not exist or that the balance included in the Statement of financial position of the company at 31 December 2019 is not valued in line with IFRS as adopted by the European Union. The following audit work has been performed to address the risks:

Obtained an understanding of the processes in place in relation to the valuation of the Company’s financial liabilities by conducting a walkthrough of these processes;

Obtained direct independent confirmation of the existence of the financial liabilities from the Company’s Custodian and agreed the amounts held to the accounting records; and

Recalculated the assigned valuation of each instrument using independent pricing sources for the underlying assets and ensured the pricing policy was in line with IFRS.


Interest income from financial assets – completeness and accuracy (Notes 3 and 4)

There is a risk that interest income from financial assets was not correctly calculated in line with the prospectus of the underlying asset. The following audit work has been performed to address the risk:

Recalculated a sample of interest income in line with accounting policies; and

Traced a sample of interest income back to bank statements.


Other information

Other information comprises information included in the annual report, including the Directors’ report, other than the financial statements and our auditor’s report thereon. The Directors are responsible for the other information. Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify such material inconsistencies in the financial statements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.


12

Matters on which we are required to report by the Companies Act 2014 We have obtained all the information and explanations which we consider necessary for the

purposes of our audit:

In our opinion, the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited;

The financial statements are in agreement with the accounting records; and

In our opinion, the information given in the Directors’ report is consistent with the financial statements. Based solely on the work undertaken in the course of the audit, in our opinion, the Directors’ Report has been prepared in accordance with the requirements of the Companies Act 2014.

Matters on which we are required to report by exception

Based on our knowledge and understanding of the Company and its environment obtained during the course of the audit, we have not identified material misstatements in the Directors’ report. Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of Directors’ remuneration and transactions specified by section 305 to 312 of the Companies Act 2014 have not been made. We have no exceptions to report arising from this responsibility.

Corporate governance statement

In our opinion, based on the work undertaken in the course of our audit of the financial statements, the description of the main features of the internal controls and risk management systems in relation to the financial reporting process included in the Corporate Governance Statement, is consistent with the financial statements and has been prepared in accordance with section 1373(2)(c) of the Companies Act 2014. Based on our knowledge and understanding of the Company and its environment obtained in the course of our audit of the financial statements, we have not identified material misstatements in the description of the main features of the internal controls and risk management systems in relation to the financial reporting process included in the Corporate Governance Statement.

Responsibilities of those charged with governance for the financial statements As explained more fully in the Directors’ responsibilities statement, the Directors are responsible for the preparation of the financial statements in accordance with IFRS as adopted by the European Union, and for such internal controls as they determine necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Directors are responsible for assessing the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Directors either intend to liquidate the Company or to cease operations, or has no realistic alternative but to do so. Those charged with governance are responsible for overseeing the Company’s financial reporting process.


13

Responsibilities of the auditor for the audit of the financial statements

The auditor’s objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes their opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with ISAs Ireland, the auditor will exercise professional judgment and maintain professional scepticism throughout the audit. The auditor will also:

Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for their opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;

Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control;

Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Directors;

Conclude on the appropriateness of the Director’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Company’s ability to continue as a going concern. If they conclude that a material uncertainty exists, they are required to draw attention in the auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify their opinion. Their conclusions are based on the audit evidence obtained up to the date of the auditor’s report. However, future events or conditions may cause the Company to cease to continue as a going concern; and

Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a matter that achieves a true and fair view.

The auditor communicates with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that may be identified during the audit. The auditor also provides those charged with governance with a statement that they have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on their independence, and where applicable, related safeguards. From the matters communicated with those charged with governance, the auditor determines those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. These matters are described in the auditor’s report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, the auditor determines that a matter should not be communicated in the report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication.


14

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

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

Report on other legal and regulatory requirement

We were appointed by the Directors on 18 July 2018. The period of total uninterrupted engagement including previous renewals and reappointments of the firm is 3 years. We are responsible for obtaining reasonable assurance that the financial statements taken as a whole are free from material misstatement, whether caused by fraud or error. Owing to the inherent limitations of an audit, there is an unavoidable risk that material misstatements (including fraud risk) of the financial statements may not be detected, even though the audit is properly planned and performed in accordance with the ISAs (Ireland). Our audit approach is a risk-based approach and is explained more fully in the ‘responsibilities of the auditor for the audit of the financial statements’ section of our report.

The non-audit services prohibited by the IAASA’s Ethical Standard were not provided to the Company and we remain independent of the Company in conducting our audit.

John Glennon For and on behalf of Grant Thornton Chartered Accountants & Statutory Audit Firm 13 – 18 City Quay Dublin 2 Ireland Date: 7 July 2020


Statement of comprehensive incomefor the financial year ended 31 December 2019

NoteFinancial

year endedFinancial

year ended31-Dec-19 31-Dec-18

€ €

4 4,281,030 2,562,214

5 (3,894,171) (2,208,419) 386,859 353,795

Other income 6 1,000 1,000 Other expenses 7 (386,859) (353,795)

1,000 1,000

Taxation 8 (250) (250)

750 750

Other comprehensive income - -

Total comprehensive income for the financial year 750 750

Net gain from investment securities at fair value through profit and loss

Net loss on debt securities issued designated at fair value through profit and loss

Profit before income tax

Profit for the financial year

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

The notes on pages 19 to 37 form an integral part of these financial statements.



Statement of financial positionas at 31 December 2019

Financial year ended


ASSETS 31-Dec-19 31-Dec-18Note € €

Cash and cash equivalents 11 151,105 162,181 9 31,394,817 40,772,687

Other receivables 10 137,869 170,046

Total assets 31,683,791 41,104,914

LIABILITIES AND EQUITY

LIABILITIES12 26,842,843 36,361,595

Other payables 13 4,793,286 4,696,407

Total liabilities 31,636,129 41,058,002

EQUITYShare capital 14 38,100 38,100 Retained earnings 9,562 8,812

Total equity 47,662 46,912

TOTAL LIABILITIES AND EQUITY 31,683,791 41,104,914

Signed on behalf of the Board of Directors by:


Date:

Investment securities at fair value through profit or loss

Debt securities issued designated at fair value through profit or loss



Jul-07-2020


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

Share capital Retained earnings

Total

€ € €

Balance at 1 January 2019 38,100 8,812 46,912

Profit for the financial year - 750 750 Other comprehensive income - - -

Total comprehensive income - 750 750

38,100 9,562 47,662

Balance at 1 January 2018 38,100 8,062 46,162

Profit for the financial year - 750 750 Other comprehensive income - - -

Total comprehensive income - 750 750

Balance at 31 December 2018 38,100 8,812 46,912

Balance at 31 December 2019




Statement of cash flowsfor the financial year ended 31 December 2019



Note 31-Dec-19 31-Dec-18€ €

Cash flows from operating activitiesProfit before income tax 1,000 1,000 Adjustments for:Interest income for the financial year 4 (656,332) (522,184) Interest expense for the financial year 5 26,707 29,910

4 & 9 (3,624,698) (2,040,030) 5 & 12 3,867,464 2,178,509

Movement in working capitalIncrease in other receivables (1,490) (1,912) Increase in other payables 99,397 72,187 Taxation paid - (250)

Net cash outflows from operating activities (287,952) (282,770)

Cash flows from investing activitiesInterest received during the financial year 689,998 546,281 Proceeds from disposals of investment securities 9 13,002,568 1,254,877 Net cash inflows from investing activities 13,692,566 1,801,158

Cash flows from financing activitiesInterest paid during the financial year (29,474) (29,301) Redemption of debt securities 12 (13,386,216) (1,547,415) Net cash outflows from financing activities (13,415,690) (1,576,716)

Net decrease in cash and cash equivalents (11,076) (58,328)

Cash and cash equivalents at start of the financial year 162,181 220,509

Cash and cash equivalents at end of the financial year 11 151,105 162,181

Net gain on investment securities at fair value through profit or lossNet loss on debt securities issued designated at fair value through profit or loss



Euromax V ABS Plc Page 19Notes to the financial statementsfor the financial year ended 31 December 2019

1

2

(i) Standards effective for annual periods beginning on or after 1 January 2019:

(ii) Standards not yet effective, but available for early adoption

Effective date*1 January 2020*1 January 2020*1 January 2020*

1 January 2022**

The Directors have set out below both the upcoming EU endorsed and un-endorsed accounting standards, amendments or interpretations.

Amendments to IFRS 9: Prepayment Features with Negative CompensationIFRIC 23: Uncertainty over Income Tax Treatments

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

1 January 20191 January 20191 January 20191 January 20191 January 20191 January 2019

Effective date*

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 IFRS 3: Business Combinations

** Not yet endorsed by EU.

(b) New standards, amendments and interpretations

The Company has no direct employees.

(a) Statement of complianceThe financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as adopted by the EuropeanUnion. The accounting policies set below have been applied in preparing the financial statements for the financial year ended 31 December 2019.The comparatives presented in these financial statements are for the financial year ended 31 December 2018. These financial statements havebeen prepared on a going concern basis as described in the Directors' report.

Class A4, Class B1 and Class B2 Deferrable Floating Rate NotesThe Company shall pay interest on the Class A4, Class B1 and Class B2 Notes only to the extent that there are sufficient funds available forpayment in accordance to the priorities of payment. Any interest which has not been paid on any payment date shall be deferred.

The Company does not have any subsidiaries and these financial statements represent only the financial performance and position of Euromax VABS Plc, as an individual entity for the financial year under review.

The registered office of the Company is situated at VAIIL, Block A, George's Quay Plaza, George's Quay, Dublin 2, Ireland.

Basis of preparation

Standards/interpretationsIFRS 16: Leases

Amendments to IAS 28: Long-term Interests in Associates and Joint VenturesAmendments to IAS 19: Plan Amendment, Curtailment or Settlement Annual Improvements to IFRS Standards 2015–2017 Cycle

The response to the impact of COVID-19 is set out in the Principal risks and uncertainties section of the Director’s report. The Directors have areasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, theDirectors continue to adopt the going concern basis in preparing these financial statements.

The Company had initially issued the following series on the closing date: - €4,500,000 Class X Notes due 2013 - €210,000,000 Class A1 Floating Rate Notes due 2095 - €20,000,000 Class A2 Floating Rate Notes due 2095 - €18,000,000 Class A3 Floating Rate Notes due 2095 - €21,500,000 Class A4 Deferrable Floating Rate Notes due 2095 - €22,000,000 Class B1 Deferrable Floating Rate Notes due 2095 - €5,000,000 Class B2 Deferrable Floating Rate Notes due 2095 - €6,500,000 Class C Subordinated Notes due 2095 - €5,000,000 Class D1 Combination Notes due 2095 - €7,500,000 Class D2 Combination Notes due 2095

The €5,000,000 Class D1 Combination Notes is comprised of two components: €3,800,000 aggregate principal amount of Class A4 Notes and€1,200,000 aggregate principal amount of Subordinated Notes. The €7,500,000 Class D2 Combination Notes is composed of two components:€5,800,000 aggregate principal amount of Class A4 Notes and €1,700,000 aggregate principal amount of Class B2 Notes. The principal amountoutstanding of each of the components comprising each of the combination notes is included in (and is not in addition to) the respective principalamount outstanding of the relevant class of notes to which such component relates.

The Notes are listed on the main securities market of the Euronext Dublin.

General information

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

Amendment to IFRS 16 Leases Covid 19-Related Rent Concessions 1 June 2020**1 January 2021**IFRS 17 Insurance Contracts

Amendments to IAS 16 Property, Plant and EquipmentAmendments to IAS 37 Provisions, Contingent Liabilities and Contingent Assets as well as Annual ImprovementsAmendments to IAS 1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current

1 January 2022**1 January 2022**1 January 2023**



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

2

(ii) Standards not yet effective, but available for early adoption (continued)

• •

•

The determination of fair value for financial assets and liabilities for which there is no observable market price requires the use of valuationtechniques as described in Note 16 to the financial statements. For financial instruments that trade infrequently and have little price transparency,fair value is less objective, and requires varying degrees of judgement depending on liquidity, concentration, uncertainty of market factors,pricing assumptions and other risks affecting the specific instrument.

Critical accounting judgements in applying the Company’s accounting policiesThe Company’s accounting policy on fair value measurements is discussed under Note 3(a) “Fair value measurement principles”. Criticalaccounting judgements made in applying the Company’s accounting policies in relation to valuation of financial instruments is as follows:

Valuation of financial instruments

(e) Functional and presentation currency

(f) Changes in accounting policiesThere were no changes in accounting policies which had a financial impact on the Company’s financial statements during the financial year.

The methods used to determine fair values are discussed in part (d) below and Note 3.

(d) Use of estimates and judgements

These financial statements are presented in Euro (€) which is the Company’s functional currency. Functional currency is the currency of theprimary economic environment in which the entity operates. The issued share capital of the Company is denominated in Euro as well as debtsecurities issued and investment securities are primarily in Euro. The Directors of the Company believe that Euro most faithfully represents theeconomic effects of the underlying transactions, events and conditions.

The preparation of financial statements in conformity with IFRSs requires management to make judgements, estimates and assumptions thataffect the application of policies and reported amounts of assets and liabilities, income and expenses. The estimates and associated assumptionsare based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which formthe basis of making the judgements about carrying values of assets and liabilities that are not readily apparent from other sources. Actual resultsmay differ from these estimates. The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimatesare recognised in the period in which the estimate is revised if the revision affects only that period or in the period of the revision and futureperiods if the revision affects both current and future periods affected.

Information about significant areas of estimation and critical judgements in applying accounting policies that have the more significant effect onthe amounts recognised in the financial statements and disclosures in Note 16 under ’Fair values’ and further information is provided below also.

Key sources of estimation uncertaintyDetermining fair values

(c) Basis of measurementThe financial statements have been prepared on the historical cost basis except for the following:• Investment securities at fair value through profit or loss; and• Debt securities issued designated at fair value through profit or loss are measured at fair value.

Assumptions and estimation uncertaintiesInformation about assumptions and estimation uncertainties that have a significant risk of resulting in a material adjustment to the carryingamounts of assets and liabilities within the year ended 31 December 2019 is included in Note 16 and relates to the determination of fair value offinancial instruments with significant unobservable inputs.

The Company measures fair values using the following hierarchy of methods:

Level 1: Quoted market price in an active market for an identical instrument.Level 2: Valuation techniques based on observable inputs. This category includes instruments valued using: quoted market prices in activemarkets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other valuationtechniques where all significant inputs are directly or indirectly observable from market data.Level 3: Valuation techniques using significant unobservable inputs. This category includes all instruments where the valuation techniqueincludes inputs not based on observable data and the unobservable inputs could have a significant effect on the instrument’s valuation. Thiscategory includes instruments that are valued based on quoted prices for similar instruments where significant unobservable adjustments orassumptions are required to reflect differences between the instruments.

Basis of preparation (continued)

(b) New standards, amendments and interpretations (continued)

The Directors have considered the new standards, amendments and interpretations as detailed in the above table and does not plan to adopt thesestandards early. The application of all of these standards, amendments or interpretations will be considered in detail in advance of a confirmedeffective date by the Company.

The Company has not adopted any other new standards or interpretations that are not mandatory. The Directors anticipate that the adoption ofthose standards or interpretations will have no material impact on the financial statements of the Company in the period of initial application.




3

Investment securities

OffsettingFinancial assets and financial liabilities are offset and the net amount presented in the Statement of financial position when, and only when, theCompany has a legal right to offset the amounts and intends either to settle on a net basis or to realise the asset and settle the liabilitysimultaneously. Income and expenses are presented on a net basis only when permitted by the accounting standards, or for gains and lossesarising from a group of similar transactions.

Subsequent MeasurementAfter initial measurement, the Company measures financial instruments which are classified as at fair value through profit or loss at their fairvalue. Subsequent changes in the fair value of financial instruments at fair value through profit or loss are recognised in the Statement ofcomprehensive income.

Designation at fair value through profit or loss upon initial recognitionOn initial recognition, the Company has financial assets and financial liabilities at fair value through profit or loss when either:•The assets or liabilities are managed, evaluated and reported internally on a fair value basis;•The designation eliminates or significantly reduces an accounting mismatch which would otherwise arise; or•The asset or liability contains an embedded derivative that significantly modifies the cash flows that would otherwise be required under thecontract.

Financial assets and financial liabilities that are not categorised as at fair value through profit or loss are subsequently measured at amortisedcost.

DerecognitionThe Company derecognises a financial asset when the contractual rights to the cash flows from the asset expire, or it transfers the rights toreceive the contractual cash flows on the financial asset in a transaction in which substantially all the risks and rewards of ownership of thefinancial asset are transferred. Any interest in transferred financial assets that is created or retained by the Company is recognised as a separateasset or liability.

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

All investment securities held by the Company are at fair value through profit and loss at initial recognition when they eliminate or significantlyreduce an accounting mismatch or are managed on a fair value basis.

Debt securities issuedThe debt securities issued are initially measured at fair value and are designated as liabilities at fair value through profit or loss when they eithereliminate or significantly reduce an accounting mismatch.

Recognition and measurementThe Company initially recognises all financial assets and financial liabilities on the trade date at which the Company becomes a party to thecontractual provisions of the instruments. Purchases and sales of financial assets and financial liabilities are recognised using trade dateaccounting. From trade date, any gains and losses arising from changes in fair value of the financial assets or financial liabilities at fair valuethrough profit or loss are recorded in the Statement of comprehensive income.

Significant accounting policies

The Company has measured all the financial assets mandatorily at fair value through profit or loss and has designated all the financial liabilitiesof the Company at fair value through profit or loss as stated above.

(a) Financial instruments The financial instruments held by the Company include the following:- Investment securities at fair value through profit or loss; and- Debt securities issued designated at fair value through profit or loss.

ClassificationA financial asset or financial liability at fair value through profit or loss is a financial asset or liability that is classified as held-for-trading ordesignated as at fair value through profit or loss upon initial recognition.




3

(a) Financial instruments (continued)

Tax expense is recognised in the Statement of comprehensive income except to the extent that it relates to items recognised directly in equity, inwhich case it is recognised in equity consistent with the accounting for the item to which it is related.

Current tax is the expected tax payable on the taxable income for the financial year, using tax rates applicable to the Company’s activitiesenacted or substantively enacted at the reporting date, and any adjustments to tax payable in respect of previous financial years.

A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will be available against which the asset can beutilised. Deferred tax assets are reviewed at each reporting date and are reduced to the extent that it is no longer probable that the related taxbenefit will be realised.

(d) Other income and expensesAll other income and expenses are accounted for on an accrual basis.

(e) Foreign currency transaction

The results and financial position of the entity are expressed in Euro which is the functional currency of the Company. Transactions in currenciesother than Euro are recorded at an average rate. At each reporting date, monetary items and non-monetary assets and liabilities that are fairvalued and are dominated in foreign currencies are retranslated at the rate prevailing on the reporting date. Gains and losses arising onretranslation are included in net profit or loss for the financial year where investments are classified at fair value through profit or loss.

(f) Taxation

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

(b) Net gain from investment securities Net gain from investment securities at fair value through profit or loss relates to investments and includes all realised and unrealised fair valuechanges, coupon income and foreign exchange differences.

(c) Net loss on debt securities issuedNet loss on debt securities issued designated at fair value through profit or loss relates to debt securities issued and includes all realised andunrealised fair value changes, coupon expense and foreign exchange differences.

These include financial assets and financial liabilities that are not held for trading, including investment securities and the Notes issued. Thesefinancial instruments are designated on the basis that their fair value can be reliably measured and their performance has been evaluated on a fairvalue basis in accordance with the risk management and/or investment strategy and in order to mitigate against any accounting mismatch arisingon derivatives.

Fair value measurement principles

The determination of fair values of financial assets and financial liabilities is based on quoted market prices or dealer price quotations forfinancial instruments traded in active markets. Where the fair values of financial assets and financial liabilities cannot be derived from activemarkets, they are determined using a variety of valuation techniques such as net present value techniques, the discounted cash flow method,comparison to similar instruments for which market observable prices exist and valuation models. The fair values of the financial assets at fairvalue through profit or loss are estimated by the Directors as advised by the Collateral Manager. The Collateral Manager uses quotations fromspecialist pricing vendors who may use their own valuation techniques, including use of recent arm’s length market transactions, reference tocurrent fair value of another instrument that is substantially the same, discounted cash flow techniques or any other valuation techniques thatprovide a reliable estimate of prices obtained in actual market transactions. Where prices are not available from the Collateral Manager, pricesare obtained based on unobservable inputs obtained from a comparable approach based on a sample portfolio of collaterals for which valuationwas obtained from brokers using selected characteristics of the collaterals.

Fair value estimates are made at a specific point in time, based on market conditions and information about the financial instruments. Theseestimates are subjective in nature and involve uncertainties and matters of significant judgement, therefore cannot be determined with precision.

Due to the limited recourse nature of the Notes, issued by the Company, the fair value of the Notes are determined by reference to the fair valueof the associated financial asset at fair value through profit or loss. Any further change in the fair value of financial assets will have a lower orequal but opposite impact on the fair value of financial liabilities.

Designation at fair value through profit or loss upon initial recognition (continued)

Significant accounting policies (continued)




3

4 Net gain from investment securities Financial year ended


31-Dec-19 31-Dec-18€ €

Coupon income 656,332 522,184 Net gain on investment securities at fair value through profit or loss 3,624,698 2,040,030

4,281,030 2,562,214

5 Net loss on debt securities issued Financial year ended


31-Dec-19 31-Dec-18€ €

Coupon expense (26,707) (29,910) Net loss on debt securities issued designated fair value through profit or loss (3,867,464) (2,178,509)

(3,894,171) (2,208,419)

6 Financial year ended


31-Dec-19 31-Dec-18€ €

Corporate benefit 1,000 1,000

7 Other expenses Financial year ended


31-Dec-19 31-Dec-18€ €

Professional fees (136,743) (91,040) Other expenses (21,205) (18,605) Audit fees (12,950) (12,950) Taxation fees (3,347) (3,347) Trustee fees (7,513) (6,695) Collateral management and administration fees (205,101) (221,158)

(386,859) (353,795)

Collateral Management feesSenior Collateral Management Fee is the fee payable to the Collateral Manager pursuant to the Collateral Management Agreement equal to0.10% per annum of the daily average aggregate principal balance of all the collateral debt obligations during the due period preceding thePayment Date.

Subordinated Collateral Management Fee is the fee payable to the Collateral Manager pursuant to the Collateral Management Agreementequal to 0.20% per annum of the daily average aggregate principal balance of all the collateral debt obligations during the due periodpreceding the Payment Date.

(h) Other receivablesOther receivables do not carry any interest and are short-term in nature and are accordingly stated at their nominal value as reduced byappropriate allowances for estimated irrecoverable amounts.

(i) Other payables

Other payables are not interest-bearing and are stated at their nominal value.

Other income

(g) Cash and cash equivalents

Cash and cash equivalents includes cash in hand, deposits held at call with banks, other short-term highly liquid investments with originalmaturities of less than three months, which are subject to insignificant risk of changes in their fair value, and are used by the Company in themanagement of its short term commitments. There are no restrictions on cash and cash equivalents.

Cash and cash equivalents are carried at amortised cost in the Statement of financial position.

Significant accounting policies (continued)




7 Other expenses (continued)Financial

year endedFinancial


Auditor's remuneration (Excluding VAT): € €- Audit of individual account (12,950) (12,950) - Tax compliance (3,347) (3,347)

(16,297) (16,297)

Directors fees

8 Taxation Financial year ended


31-Dec-19 31-Dec-18€ €

Profit before income tax 1,000 1,000

Current tax at standard rate of 12.5% (125) (125) Effect of:Income taxed at higher rates (125) (125)

Current tax charge (250) (250)

9 Investment securities Financial year ended


31-Dec-19 31-Dec-18

€ €

At fair value through profit or loss 31,394,817 40,772,687



Movement in investment securities 31-Dec-19 31-Dec-18€ €

At beginning of the financial year 40,772,687 39,987,534 Disposals during the financial year (13,002,568) (1,254,877) Net fair value change on investment securities 3,624,698 2,040,030

At end of the financial year 31,394,817 40,772,687



Maturity analysis 31-Dec-19 31-Dec-18

€ €Within 1 year 2,162,049 69,271 More than 1 year and less than 2 years - 60,675 More than 2 years and less than 5 years - - More than 5 years 29,232,768 40,642,741

31,394,817 40,772,687

Pursuant to Section 305A(1)(a) of the Act, requires disclosure that VAIIL received €1,000 (2018: €2,000) per Director included in theadministration fees as consideration for the making available of individuals to act as Directors of the Company. The terms of the corporateservices agreement in place between the Company and VAIIL provide for a single fee for the provision of corporate administration servicesincluding the making available of individuals to act as Directors of the Company. As a result, the allocation of fees between the differentservices provided is a subjective and approximate calculation. The individuals acting as Directors do not (and will not), in their personalcapacity or any other capacity, receive any fee for acting or having acted as Directors of the Company. For the avoidance of doubt,notwithstanding that the Directors of the Company are employees of VAIIL, they each do not receive any remuneration for acting asDirectors of the Company. The Company has no employees and services required are contracted from third parties.

The Company is charged corporation tax at the rate of 25% (2018: 25%). The Company will continue to be actively taxed at 25% inaccordance with Section 110 of the Taxes Consolidation Act, 1997.

Deferred taxAny temporary differences arising on the assets will be offset by a corresponding difference in the liabilities. Therefore the Company doesnot have any deferred tax expense/income.




9 Investment securities (continued)

Refer to Note 16 for credit risk disclosures relating to investment securities.



10 Other receivables 31-Dec-19 31-Dec-18€ €

Corporate benefit receivable 7,500 6,500 Prepaid fees 3,227 2,737

127,142 160,809

137,869 170,046 All other receivables are current.



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

Cash at bank 151,105 162,181

12 Debt securities issuedFinancial

year endedFinancial


€ €Designated at fair value through profit and loss 26,842,843 36,361,595

Movement in debt securities issued 31-Dec-19 31-Dec-18€ €

At beginning of the financial year 36,361,595 35,730,501 Cash transactionsRedemptions during the financial year (13,386,216) (1,547,415) Non-Cash transactionsNet fair value change on debt securities issued 3,867,464 2,178,509 At end of the financial year 26,842,843 36,361,595



Maturity analysis 31-Dec-19 31-Dec-18

€ €

Within 1 year 665,268 946,879 More than 1 year and less than 2 years - -

More than 2 years and less than 5 years - -

More than 5 years 26,177,575 35,414,716 26,842,843 36,361,595

The Company maintains deposit accounts with Deutsche Bank AG London €151,105 (2018: €162,181).

The debt securities were issued on the Euronext Dublin as part of a structured deal to raise finance for the Company. The Company’sobligations under the debt securities issued are secured by investment securities purchased as per Note 9. The investors’ recourse of eachClass of Notes is limited to the portfolio of assets. In the event that accumulated losses prove not to be recoverable during the life of theCompany, then this will reduce the obligation to the holders of the debt securities by an equivalent amount.

Debt securities issued are designated at fair value through profit or loss when they either eliminate or significantly reduce an accountingmismatch.

Financial assets are at fair value through profit or loss upon initial recognition. The carrying value of the assets represents the maximumexposure to credit risk. The credit risk is eventually transferred to the holders of the debt securities due to the limited recourse nature of thedebt securities issued.

Interest receivable on investment securities




12 Debt securities issued (continued)



The following Notes were in issue: 31-Dec-19 31-Dec-18Nominal Nominal

Description Interest rate € €€210,000,000 Class A1 Floating Rate Notes due 2095 3M Euribor + 0.26% 2,764,090 16,150,306 €20,000,000 Class A2 Floating Rate Notes due 2095 3M Euribor + 0.34% 20,000,000 20,000,000 €18,000,000 Class A3 Floating Rate Notes due 2095 3M Euribor + 0.47% 18,000,000 18,000,000 €21,500,000 Class A4 Deferrable Floating Rate Notes due 2095 3M Euribor + 0.75% 21,500,000 21,500,000 €22,000,000 Class B1 Deferrable Floating Rate Notes due 2095 3M Euribor + 2% 22,000,000 22,000,000 €5,000,000 Class B2 Deferrable Floating Rate Notes due 2095 3M Euribor + 4.4% 5,000,000 5,000,000 €6,500,000 Class C Subordinated Notes due 2095 Not stated 6,500,000 6,500,000 €5,000,000 Class D1 Combination Notes due 2095 3M Euribor + 1.5% 4,921,116 4,921,116 €7,500,000 Class D2 Combination Notes due 2095 3M Euribor + 1.58% 7,499,948 7,499,948

108,185,154 121,571,370



13 Other payables 31-Dec-19 31-Dec-18€ €

Accrued expenses* 4,791,036 4,691,452 Corporate tax payable 500 438 Interest payable on debt securities issued 1,750 4,517

4,793,286 4,696,407

The Subordinated Notes will not bear a stated rate of interest. The Subordinated Notes will only receive payments of interest if and to theextent there are interest proceeds or principal proceeds distributable to the Noteholders of the Subordinated Notes in accordance with thepriority of payments.

All changes in fair value of the debt securities issued during the financial year have been attributable to market risk as changes due to creditrisk only is not possible to precisely estimate. Refer to Note 16 for further details.

*Accrued expenses include an accrual for collateral management fees amounting to €4,727,129 (2018: €4,624,435). Those fees were notpaid out because of insufficient funds to flow through the waterfall to the fees, hence, these fees will be deferred and payable on theavailablility of fund basis on future payment dates.

All other payables are current.

Interest proceeds and principal proceeds were applied in or towards the payment of interest in respect of and principal of, the debt securitiesissued and all other amounts payable by the Issuer in accordance with the relevant Priorities of Payment. During the financial year,€13,386,216 (2018: €1,547,415) of Class A1 Notes was redeemed on the interest payment dates.

Pursuant to the Prospectus, for so long as any of the Class A1 Notes, Class A2 Notes or Class A3 Notes remains outstanding, the Issuer shall,and shall only be obliged to, pay any interest amount payable in respect of the Class A4, B1 and B2 Notes to the extent that there are interestproceeds available for payment thereof in accordance with the relevant priorities of payment. An amount of interest equal to any suchamount which has not been paid on any payment date shall be deferred. Furthermore according to the priority of payments of the TrustAgreement, firstly proceeds available will be used for the redemption of Class A1 Notes before the payment of any accrued or deferredinterest to Class A2 Notes. Then the proceeds will be used on the redemption of Class A2 Notes before the payments of any accrued ordeferred interest on Class A3 Notes. After that, the proceeds will be used on the redemption of Class A3 Notes before paying any accrued ordeferred interest on Class A4 Notes which will occur before the proceeds being used for the redemption of Class B1 Notes. The proceedswill be then used for the payment of accrued interest or deferred interest on Class B1 Notes before same being used for the redemption ofClass B2 Notes. Then, the proceeds will be used on the redemption of Class B2 Notes before paying any accrued or deferred interest on ClassC Subordinated Notes which will occur before the proceeds being used for the redemption of Class D1 Subordinated Notes. Finally theproceeds will be used on the redemption of the Class D2 Subordinated Notes. Interest amounting to €88,511 (2018: €105,653), €369,389(2018: €425,888) and €205,619 (2018: €235,459) has been deferred during the financial year for Class A4, Class B1 and Class B2,respectively. As at 31 December 2019, the total interest accrued amounted to €13,007,562 (2018: €12,266,939) which consists of €Nil (2018:€667), €1,750 (2018: €3,850), €2,631,816 (2018: €2,533,005), €6,808,620 (2018: €6,331,208), and €3,565,366 (2018: €3,222,848) for ClassA2, Class A3, Class A4, Class B1, and Class B2 respectively.

The contractual amounts of the debt securities issued were €81,342,311 (2018: €85,209,775) higher than the fair value of notes at financialyear end. The debt securities are fair valued as limited recourse.


Euromax V ABS Plc Page 27Notes to the financial statements (continued)for the financial year ended 31 December 2019



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

Authorised1,000,000 shares of €1 each 1,000,000 1,000,000

Issued and paid38,100 shares of €1 each 38,100 38,100

15 Accounting classification and fair values of financial assets and financial liabilities

Amortised cost

At fair value through profit or

loss

Carrying value

€ € €AssetsCash and cash equivalents 151,105 - 151,105 Investment securities - 31,394,817 31,394,817 Other receivables 137,869 - 137,869

288,974 31,394,817 31,683,791 LiabilitiesDebt securities designated at fair value through profit or loss - 26,842,843 26,842,843 Other payables 4,793,286 - 4,793,286

4,793,286 26,842,843 31,636,129

Amortised cost

At fair value through profit or

loss

Carrying value

€ € €AssetsCash and cash equivalents 162,181 - 162,181 Investment securities - 40,772,687 40,772,687 Other receivables 170,046 - 170,046

332,227 40,772,687 41,104,914

LiabilitiesDebt securities designated at fair value through profit or loss - 36,361,595 36,361,595 Other payables 4,696,407 - 4,696,407

4,696,407 36,361,595 41,058,002

16 Financial risk management

General information

Credit risk

The Company is a public limited liability company, incorporated under the laws of Ireland on 23 October 2006. The Company is a SPV andhas been established to acquire mortgaged property by the issuance and selling of the Notes.

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,and arises principally from the Company’s credit linked assets. The Company’s principal financial assets are investment securities, cash andcash equivalents and other receivables which represent the Company’s maximum exposure to credit risk.

The note presents information about the Company’s exposure to each of the above risks, the Company’s objectives, policies and processesfor measuring and managing risk and the Company’s management of capital.

31-Dec-19

31-Dec-18

Risk management framework The Directors have the overall responsibilities for the establishment and oversight of the Company’s risk management framework.The Company has exposure to the following risks from its use of financial instruments:• Credit risk;• Market risk; and• Liquidity risk.

Registered Shareholder Services No. 1, Registered Shareholder Services No. 2 and Registered Shareholder Services No. 3 held 12,702 (2018:12,702), 12,699 (2018: 12,699) and 12,699 (2018: 12,669) shares respectively at financial year ended 31 December 2019.




16 Financial risk management (continued)Credit risk (continued)



31-Dec-19 31-Dec-18€ €

Cash and cash equivalents 151,105 162,181 Investment securities at fair value through profit or loss 31,394,817 40,772,687 Other receivables 137,869 170,046

31,683,791 41,104,914

Bank account held with 31-Dec-19 31-Dec-18Deutsche bank AG, London Branch BBB+ A-

Credit quality of investment securities



31-Dec-19 31-Dec-18Rating* % %

- 8.70%2.18% 45.71%

29.52% - 7.50% - 3.24% 11.26%

32.19% 12.95%- 7.36%- 4.35%

8.74% - - 1.88%

9.74% 7.48%6.38% 0.22%0.51% 0.09%

100.00% 100.00%

*The % of credit ratings are based on the FV of the investments at each credit rating.

NR**

**No rating.

BBB+CCCD

The Collateral Manager monitors the performance of the financial assets irrespective of the credit ratings assigned by the rating agency. Thecredit ratings for the investment securities have changed from prior year but there has been no impact on the financial statements for thefinancial year ended 31 December 2019.

BBBB-BBBBBB-

AAA-B

The credit quality of investment securities can be assessed to external credit ratings from rating agency (S&P) as follows:

AA+

The carrying amount of financial assets represents the maximum credit exposure. The maximum exposure to the credit risk at the reportingdate was as follows:

Cash and cash equivalentsThe Company’s cash and cash equivalents of €151,105 as at 31 December 2019 (2018: €162,181) represents its maximum credit exposure onthese assets. The cash and cash equivalents are held with the following banks, which are rated by Standard and Poor’s as:

Ratings

lnvestment in the Notes of any Class involves a degree of risk arising from fluctuations in the amount and timing of receipt of the principaland interest on the investment securities by or on behalf of the lssuer and the amounts of the claims of creditors of the lssuer ranking inpriority to the holders of each Class of the Notes. The Company limits its exposure to credit risk by investing in a diverse portfolio ofsecurities and thus spreading its investment exposure over a large number of counterparties that have a credit rating defined in thedocumentation of the relevant agreement. The risk of default on these assets is ultimately borne by the noteholders in accordance with theirrespective agreements.

The credit ratings of Deustche Bank AG has changed since prior year from A- to BBB+ but there has been no impact on the financialstatements for the financial year ended 31 December 2019.




16 Financial risk management (continued)

Credit risk (continued)

At the reporting date, the geographic split of the investment securities was as follows:Financial

year endedFinancial


Country % %Netherlands 26.75% 22.07%Germany 0.52% 0.30%United Kingdom 36.83% 28.85%Italy 29.52% 45.71%Pan-European 6.38% 0.03%Portugal - 3.04%

100.00% 100.00%

Concentration risk



31-Dec-19 31-Dec-18% %

CMBS Diversified (Conduit and CTL) 6.88% 0.32%RMBS A 31.00% 49.95%RMBS B&C, HELs, HELOCs, and Tax Lien 62.12% 49.73%

100.00% 100.00%

Issuer Security ID Default date Maturity date Principal BalanceCarrying value

as at Carrying value

as at Financial

year endedFinancial

year endedFinancial

year ended31-Dec-19 31-Dec-19 31-Dec-18

€ € €27-Mar-13 18-Jul-13 3,605,952 361 361

XS0244896394 10-Dec-12 31-Jan-19 2,022,022 42,057 40,440

XS0276274635 27-Oct-19 7,736,844 116,052 27,388 XS0250001293 19-May-10 25-Oct-36 1,500,000 750 750 XS0250000998 19-May-10 25-Oct-36 1,000,000 500 500

XS0291368313 10-Dec-10 27-Oct-20 3,923,706 392 48,850 XS0260130975 31-May-13 31-May-15 3,716,560 372 372 XS0257592575 20-Jun-14 25-May-57 2,000,000 620 620 XS0305746215 22-Oct-14 04-Feb-20 2,038,852 2,002,104 11,825 XS0252733208 11-Jun-14 22-Apr-16 2,510,475 251 251 XS0276936019 18-Aug-15 25-Feb-58 4,900,000 490 490 XS0304912891 22-Oct-17 2,318,555 232 232 XS0262565004 02-Aug-17 27-Jul-17 2,265,054 227 227

39,538,020 2,164,408 132,306

The fair value of the defaulted asset was €2,164,408 (2018: €132,306) at the financial year ended 31 December 2019.

TMAN 7 FDECO 9

As per the prospectus of the Company, the collateral quality tests are used, amongst others, as the criteria for purchasing collateral debtobligations. They must be satisfied after giving effect to the purchase of any collateral debt obligation after the target date or if not satisfiedprior to such purchase, the relevant thresholds and amounts calculated pursuant thereto must be maintained or improved after giving effect tosuch purchase.

Deco 14-Pan Europe 5 B.V.EMC 4E-MAC DE 2006-1Taurus 2007-1Windermere VIIE-MAC DE 2006-II

Tiden B1Deco 7- Pan Europe 2 PlcDeco 10-Pan Europe 4 PlcCB Mezzcap 2006-1CB Mezzcap 2006-1

Concentration risk is the risk of loss due to overdependence on a single entity or industry. At the reporting date, the Company’s financialassets were concentrated in the following types:

• The Company’s following assets are in default:





Concentration risk (continued)

Other receivables

Market risk

(i) Interest rate risk

Fixed rate

Floating rate

Non-interest bearing Total

€ € € €Investment securities - 31,394,817 - 31,394,817 Other receivables - - 137,869 137,869 Cash and cash equivalents - 151,105 - 151,105 Debt securities issued - (26,842,843) - (26,842,843) Other payables - - (4,793,286) (4,793,286)

Net exposure - 4,703,079 (4,655,417) 47,662

Fixed rate Floating rateNon-interest

bearing Total€ € € €

Investment securities - 40,772,687 - 40,772,687 Other receivables - - 170,046 170,046 Cash and cash equivalents - 162,181 - 162,181 Debt securities issued - (36,361,595) - (36,361,595) Other payables - - (4,696,407) (4,696,407)

Net exposure - 4,573,273 (4,526,361) 46,912

Sensitivity analysis

The breach or failure of the tests will cause the Collateral Manager to manage the portfolio assets in a prudent fashion which is inaccordance with the Collateral Management Agreement. The Collateral Manager continues to monitor the portfolio with regards to thesetests and takes the action required under the deal documents.

Other receivables mainly include interest receivable from financial assets held by the Company at the financial year end. The credit ratingand concentration of these investment securities at the reporting date are disclosed above.

(ii) Currency riskCurrency risk is the risk which arises due to the assets and liabilities of the Company held in foreign currencies, which will be affected byfluctuations in foreign exchange rates. All of its assets and liabilities of the Company are denominated in EUR, its functional currency. Ittherefore has no exposure to currency risk.

31-Dec-19

31-Dec-18

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

At 31 December 2019 and 31 December 2018, the Company had exposure to floating rate notes as per the amounts indicated above.

For the financial year ended 31 December 2019, if interest rates had been 100 basis points higher and all other variables were held constant,the interest income on the non-defaulted financial assets with principal balance of €31,780,994 (2018: €44,783,563) which excludesdefaulted financial assets with principal balance of €39,538,020 (2018: €39,538,018) would have increased by €317,810 (2018: €447,836)and would subsequently be distributed to the noteholders through interest and or principal. There is no impact on the equity or profit and lossof the Company.

Market risk is the risk that changes in market prices, such as foreign exchange rates, interest rates and equity prices will affect theCompany’s income or its value of its holdings of financial instruments. The noteholders are exposed to the market risk of the assets portfolio.

The objective of market risk management is to manage and control market risk exposure within acceptable parameters while optimising thereturn on risks.

Market risk embodies the potential for both gains and losses and includes interest rate risk, currency risk and price risk.

The interest rate profile of the Company’s financial instruments as at financial year ended 31 December 2019 and 2018 was as follows:

Interest rate risk is the risk that the fair value of future cash flows of a financial instrument will fluctuate because of changes in the marketinterest rates. There may be a timing mismatch between payments of interest on the Notes and payments of interest on the investmentsecurities and, in the case of floating rate investment securities, the rates at which they bear interest may adjust more or less frequently, andon different dates and based on different indices than the interest rate of the Notes.





Market risk (continued)(iii) Price risk

Sensitivity analysis

Liquidity risk

Carrying amount

Gross contractual cash

flows < 1 year 1 - 5 years > 5 years€ € € € €

(26,842,843) (145,011,212) (639,850) (2,559,400) (141,811,962) Other payables (4,793,286) (4,793,286) (4,793,286) - -

(31,636,129) (149,804,498) (5,433,136) (2,559,400) (141,811,962)

Carrying amount

Gross contractual cash

flows < 1 year 2 - 5 years > 5 years€ € € € €

(36,361,595) (188,116,106) (853,350) (3,413,400) (183,849,356) Other payables (4,696,407) (4,696,407) (4,696,407) - -

(41,058,002) (192,812,513) (5,549,757) (3,413,400) (183,849,356)

The maturity profile is based on the maturity of the debt securities which are due in 2095. However the actual maturity is expected to beearlier.

The Company’s obligation to the noteholders is limited to the net proceeds upon realisation of the financial assets. Should the net proceedsbe insufficient to make all payments due in respect of a particular series of Notes, the other receivables of the Company will not be availablefor payment and the deficit is instead borne by the noteholders according to the established priorities.

The maturity profile of financial liabilities as at 31 December 2019 and 2018 was as follows:

31-Dec-19

Debt securities issued

31-Dec-18


Fair valuesThe Company’s investment securities and debt securities issued are carried at fair value on the Statement of financial position. Usually thefair value of the financial instruments can be reliably determined within a reasonable range of estimates. The carrying amounts of all theCompany’s financial assets and financial liabilities at the Statement of financial position date approximate their fair values.

Other price risk may include risks such as equity price risk, commodity price risk, prepayment risk (i.e. the risk that one party to a financialasset will incur a financial loss because the other party repays earlier or later than expected) and residual value risk.

Any changes in the prices of the financial assets at fair value through profit or loss would not have any effect on the equity or net profit orloss of the Company as any fair value fluctuations in prices are ultimately borne by the Noteholders. As at 31 December 2019, theNoteholders’ exposure to other price risk relates to the value of financial assets amounting to €31,394,817 (2018: €40,772,687).

An increase of 1% in the market prices of the financial assets with all other variables held constant at the reporting date would result in anincrease of €313,948 (2018: €407,727) in the fair value of the Notes issued. A decrease of 1% in the market prices of the financial assets atthe reporting date would result in an equivalent decrease in the fair values of the Notes.

Liquidity risk is the risk that the Company will encounter difficulties in meeting obligations arising from its financial liabilities that aresettled by delivering cash or another financial asset, or that such obligation will have to be settled in a manner disadvantageous to theCompany. The Company’s approach is to ensure, as far as possible that it will always have sufficient liquidity to meet its liabilities whendue, under both normal and stressed conditions, without incurring acceptable losses or risking damage to the Company’s reputation.

Price risk is the risk that the fair value of future cash flows of a financial instrument will fluctuate because of changes in market prices (otherthan those arising from interest rate risk or currency risk) whether those changes are caused by factors specific to the individual financialinstrument or its issuer, or factors affecting all similar financial instruments traded in the market.





Fair values (continued)

Determining fair values

Valuation of financial instruments

•

•

•

Level 2 – Valuation techniques based on observable inputs, either directly (i.e as prices) or indirectly (i.e derived by prices). This categoryincludes instruments valued using: quoted market prices in active markets for similar instruments; quoted prices for similar instruments inmarkets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observablefrom market data.

The determination of fair value for financial assets and liabilities for which there is no observable market price requires the use of valuationtechniques as described in accounting policy 3(a) under the sub heading “Fair value measurement principles”. For financial instruments thattrade infrequently and have little price transparency, fair value is less objective, and requires varying degrees of judgement depending onliquidity, concentration, uncertainty of market factors, pricing assumptions and other risks affecting the specific instrument.

Level 3 – Valuation techniques using significant unobservable inputs. This category includes all instruments where the valuationtechnique includes inputs not based on observable data and the unobservable inputs could have a significant effect on the instrument’svaluation. This category includes instruments that are valued based on quoted prices for similar instruments where significantunobservable adjustments or assumptions are required to reflect differences between the instruments.

Fair value measurement principlesThe determination of fair values of financial assets and financial liabilities is based on quoted market prices or dealer price quotations forfinancial instruments traded in active markets. Where the fair values of financial assets and financial liabilities cannot be derived from activemarkets, they are determined using a variety of valuation techniques such as net present value techniques, the discounted cash flow method,comparison to similar instruments for which market observable prices exist and valuation models. The fair values of the financial assets atfair value through profit or loss are estimated by the Directors as advised by the Collateral Manager. The Collateral Manager uses quotationsfrom specialist pricing vendors who may use their own valuation techniques, including use of recent arm’s length market transactions,reference to current fair value of another instrument that is substantially the same, discounted cash flow techniques or any other valuationtechniques that provide a reliable estimate of prices obtained in actual market transactions. Where prices are not available from theCollateral Manager prices are obtained based on unobservable inputs obtained from a comparable approach based on a sample portfolio ofcollaterals for which valuation was obtained from brokers using selected characteristics of the collaterals (average pricing).

Fair values of financial assets and financial liabilities that are traded in active markets, level 1, are based on quoted market prices or dealerprice quotations. For all other financial instruments the Company determines fair values using valuation techniques.

Level 2 prices use widely recognised valuation models for determining the fair value of common and more simple financial instruments suchas interest rate and currency swaps that use only observable market data and require little management judgement and estimation.Observable prices and model inputs are usually available in the market for listed debt and equity securities, exchange traded derivatives andsimple over the counter derivatives, e.g. interest rate swaps. Availability of observable market prices and model inputs reduces the need formanagement judgement and estimation and also reduces the uncertainty associated with determination of fair values. Availability ofobservable market prices and inputs varies depending on the products and markets and is prone to changes based on specific events andgeneral conditions in the financial markets. Fair values of financial assets at Level 2 are based on available market prices from Bloomberg.

For more complex level 3 instruments proprietary valuation models are used which usually are developed from recognised valuation models.Some or all of the significant inputs into these models may not be observable in the market, and are derived from market prices or rates orare estimated based on assumptions. Valuation models that employ significant unobservable inputs require a higher degree of managementjudgement and estimation in the determination of fair value. Management judgement and estimation are usually required for selection of theappropriate valuation model to be used, determination of expected future cash flows on the financial instrument being valued, determinationof probability of counterparty default and selection of appropriate discount rates. Average pricing method also falls under level 3 whereby anaverage of similar assets with similar ratings are selected in the valuation model.

The Company’s accounting policy on fair value measurements is discussed under Note 3(a) under the sub heading “Fair value measurementprinciples”. Critical accounting judgements made in applying the Company’s accounting policies in relation to valuation of financialinstruments are as follows:

The Company measures fair values using the following hierarchy of methods:

Level 1 – Quoted market price (unadjusted) in an active market for an identical instrument.






Determining fair values

Level 1 Level 2 Level 3 Total Fair Value€ € € €

Financial AssetsInvestment securitiesCorporate Bond - 16,964,612 14,429,844 31,394,456Term Loan - - 361 361

- 16,964,612 14,430,205 31,394,817Financial Liabilities

Debt securities issued - - (26,842,843) (26,842,843)

- - (26,842,843) (26,842,843)

Level 1 Level 2 Level 3 Total Fair Value€ € € €

Financial AssetsInvestment securitiesCorporate Bond - 36,179,506 4,592,820 40,772,326Term Loan - - 361 361

- 36,179,506 4,593,181 40,772,687

Financial LiabilitiesDebt securities issued - - (36,361,595) (36,361,595)

- - (36,361,595) (36,361,595)

Assets measured at fair value based on Level 3



31-Dec-19 31-Dec-18€ €

Opening balance 4,593,181 5,883,578 Transfers from level 2 8,866,900 4,409,297 Transfer to Level 2 - (5,879,879) Net fair value change on investment securities 970,124 180,185

Closing balance 14,430,205 4,593,181

Liabilities measured at Fair Value based on Level 3



31-Dec-19 31-Dec-18€ €

Opening balance (36,361,595) (35,730,501)Redemptions during the financial year 13,386,216 1,547,415 Net fair value change on debt securities issued (3,867,464) (2,178,509) Closing balance (26,842,843) (36,361,595)

During the financial year, investment securities were transferred from Level 2 as they have been priced using unobservable inputs in 2019which was not the case in 2018.

At the reporting date, the carrying amounts of investment securities which fair values were determined directly, in full or in part, by reference to published price quotations and determined using valuation techniques are disclosed below.

31-Dec-19

Information on the change in fair value attributable to a change in credit rating of the debt securities is not available.

31-Dec-18

Financial assets at fair value through profit or loss

Investment securities

Financial liabilities designated at fair value through profit or loss


The determination of fair value for financial assets and liabilities for which there is no observable market price requires the use of valuationtechniques as described in accounting policy 3(a) under the sub heading “Fair value measurement principles”.

During the prior financial year, investment securities were transferred to Level 2 as they had been priced using observable inputs in 2018.There were no securities transferred to level 2 in 2019.


Euromax V ABS PlcPage 34




Fair Value at31-Dec-19

€Financial assets 14,386,215 Broker quotesFinancial assets 43,990 Discounted cash flows

14,430,205

Fair Value at31-Dec-18

€Financial assets 4,591,250 Broker quotesFinancial assets 1,931 Discounted cash flows

4,593,181



31-Dec-19 31-Dec-18€ €

Investment securities 970,124 180,185 Debt securities issued (3,867,464) -

(2,897,340) 180,185

Level 1 Level 2 Level 3 TotalFinancial Assets € € € €Cash and cash equivalents - 151,105 - 151,105

- 137,869 - 137,869- 288,974 - 288,974

Financial LiabilitiesOther payables - 4,793,286 - 4,793,286

- 4,793,286 - 4,793,286

Limited number of quotes

Financial instruments Principal Valuation Techniques Significantunobservable inputs

Limited number of quotes

The following table summarises the valuation methodology and significant unobservable inputs utilised for the Company’s valuation ofinvestments that are categorised within level 3 of the fair value hierarchy as of 31 December 2019 and 2018.

Financial instruments Principal Valuation Techniques Significantunobservable inputs

Discount rate (10%)

The following table analyses within the fair value hierarchy the Company’s assets and liabilities not measured at fair value at 31 December2019 and 2018 but for which fair value is disclosed.

Discount rate (10%)

Level 3 classification based on liquidity and pricing sources.

Although the Directors believe that their estimates of fair value are appropriate, the use of different methodologies or assumptions could leadto different measurements of fair value as fair value estimates are made at a specific point in time, based on market conditions andinformation about the financial instrument. These estimates are subjective in nature and involve uncertainties and matters of significantjudgement e.g. interest rates, volatility, credit spreads, probability of defaults, estimates, cashflows etc and therefore, cannot be determinedwith precision. The valuation of the Company’s Level 3 assets was based on unobservable inputs obtained from a comparable approachbased on a sample portfolio of collaterals for which valuation was obtained from brokers using selected characteristics of the collaterals.Other financial assets were valued at the lower of market price obtained from the Collateral Manager and an independent pricing provider.

Sensitivity analysisAny changes in the prices of the financial assets under Level 3 held by the Company would not have any effect on the Statement of changesin equity or Statement of comprehensive income of the Company as any fair value fluctuations in the asset will correspond to the oppositefair value movement in the liabilities and is borne by noteholders.

An increase of 10% in the market prices of the financial assets under level 3 with all other variables held constant at the reporting date wouldresult in an increase of €1,443,021 (2018: €459,318) in the fair values of the Notes issued. A decrease of 10% in the market prices of thefinancial assets under level 3 at the reporting date would result in an equivalent decrease in the fair values of the Notes issued.

The total amount of credit risk fair value movement estimated using a valuation technique based on significant unobservable data that wasrecognised in the Statement of comprehensive income for the financial year is as follows:

Changes in debt is due to changes in investments and no impact on equity or profit and loss.

As the debt securities issued by the Company are limited recourse obligations and the future cash flows for the debt securities depend on thefuture cash flows of the investment securities at fair value through profit or loss and after considering cash flows for other liabilities.Therefore, the fair value of debt securities designated at fair value through profit or loss is the residual value of the fair value of investmentsecurities at fair value through profit or loss and net current assets or liabilities.

31-Dec-19

Other receivables






Level 1 Level 2 Level 3 Total€ € € €

Financial AssetsCash and cash equivalents - 162,181 - 162,181Other receivables - 170,046 - 170,046

- 332,227 - 332,227Financial LiabilitiesOther payables - 4,696,407 - 4,696,407

- 4,696,407 - 4,696,407

17 Charges

18 Ownership of the Company

19 Transactions with related parties

20 Capital disclosures

Collineo Asset Management GmbH (the “Collateral Manager”) acts as collateral manager for the portfolio and has purchased the portfolio ofloans and synthetic securities on behalf of the Company. During the financial year, an amount of €81,290 (2018: €87,388) was paid toCollineo Asset Management GmbH as a collateral management fee.

As at 31 December 2019, an amount of €4,727,129 (2018: €4,645,756) was payable to Collineo Asset Management GmbH as collateralmanagement fee.

The above transactions, carried out with related parties, have been made on an arm’s length basis.

The Directors have considered the issue as to who is the controlling party of the Company. It has determined that the control of the day-to-day activities of the Company rests with the Directors.

During the financial year, the Company incurred a fee at commercial rates relating to administration services provided by VAIIL. In theopinion of the Directors, the Company has no key management personnel other than the Directors. 'The Administrator provides corporateadministration services to the Company at commercial rates. 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: €2,000) per Director included in theadministration fees as consideration for the making available of individuals to act as Directors of the Company. Other than this, there wereno further required disclosures arising under Sections 305 and 306 of the Act.

The Company views the share capital as its capital. The Company is a SPV set up to issue debt for the purpose of making investments asdefined under the programme memorandum and in each of the Series memorandum agreements. Share capital of €38,100 was issued in linewith Irish Company Law and is not used for financing the investment activities of the Company. The Company is not subject to any otherexternally imposed capital requirements.

VAIIL provides corporate administration services to the Company at €28,000 (2018: €28,000) as included in professional fees from note 7.No amount was payable for corporate administration services as at the year end (2018: €Nil).

The principal shareholders of the Company are Registered Shareholder Services No. 3 Company Limited by Guarantee, RegisteredShareholder Services No. 2 Company Limited by Guarantee, each holding 12,699 shares and Registered Shareholder Services No. 1Company Limited by Guarantee holding 12,702 shares. All shares are held on trust for charity.

31-Dec-18

As security for the Notes and pursuant to the security documents, the Company has pledged to the Trustee, all of its rights, interest and titleto the underlying investment securities.




21 Involvement with unconsolidated structured entities

Type of structured entity Nature and Purpose Interest held by the SPVCDO/CLO Investment in CDOs/CLOs

CMBS Investment in CMBS

Real Estate Investment in Real Estate

RMBS Investment in RMBS

Type

31-Dec-2019amount of debt

outstanding Eur

Number ofinvestments

CDO/CLO Securitisation/SPV 2,500,000 2 1,250 CMBS Securitisation/SPV 30,138,019 9 2,162,049 RMBS Securitisation/SPV 38,680,995 13 29,231,518

Type

31-Dec-2018amount of debt

outstanding Eur

Number ofinvestments

CDO/CLO Securitisation/SPV 22,200,000 2 1,250 CMBS Securitisation/SPV 160,356,809 10 5,407,889 Real Estate Securitisation/SPV 31,590,455 1 3,000,506 RMBS Securitisation/SPV 478,547,912 15 32,363,041

The SPVs invested in are set up to invest in the ResidentialMortgage Receivables as defined under their respectiveprogramme memorandums and are exposed to the risk of theperformance of the pool of receivables.

The Company has no contractual arrangements nor commitments or intentions to provide financial or other assistance to the unconsolidatedstructured entities.

The below table summarises the Company's interest in unconsolidated structured entities included in the investment securities at fair valuethrough profit or loss as at 31 December 2019 and 31 December 2018:

31-Dec-2019Carrying amount included in 'Financial assets at fair value

through profit or loss' Eur

31-Dec-2018Carrying amount included in 'Financial assets at fair value

through profit or loss'Eur

The Company has maximum exposure to the risk associated with the carrying value of the above investment. If the investment is deemedworthless, the Company will not receive anything. The Company bears no risk as the noteholders bear all the risk. Refer to note 16 for detailson credit risk.

The SPVs invested in are set up to invest in the Collateral DebtAssets as defined under their respective programmememorandums. CDOs generally are limited recourse obligationsof the issuer thereof payable solely from the collateral debtsecurities of such issuer and are exposed to the risk of theunderlying collateral debt assets' market performance.

The SPVs invested in are set up to invest in the EuropeanCommercial Mortgages as defined under their respectiveprogramme memorandums and are exposed to the risk of theunderlying mortgage portfolio and commercial property marketperformance.

The SPVs invested in are set up to invest in the CommercialReal Estate Loans as defined under their respective programmememorandums and are exposed to the risk of the underlying realestate market performance.




22 Subsequent events

Class of Notes

A 1,451,870

23 Segment reporting

The Company’s interest revenue from continuing operations by geographical location is detailed below:31-Dec-19 31-Dec-18

€ €Germany 178,285 26,869 Netherlands 347,034 342,883 United Kingdom 76,068 77,008 Italy 58,757 78,833 Other* (3,812) (3,409)

656,332 522,184 *Other consists of Pan European and Portugal.

24 Approval of financial statementsThe Directors approved these financial statements

As at the date of signing these financial statements, the defaulted assets at financial year end were still in default. Taurus CMBS 2007-1 Ltdhas been been fully repaid. There was partial redemption of the Class A notes as per below table.

An operating segment is a component of an entity that engages in business activities from which it may earn revenues and incur expenses(including revenues and expenses relating to transactions with other components of the same entity). The Company’s business involves therepackaging of mortgaged property and other debt instruments, on behalf of investors, which are bought in the market and subsequentlysecuritised to avail of potential market opportunities and risk return asymmetries. The Company has only one business unit and alladministrating and operating functions are carried out and reviewed by the Administrator and Company Secretary, VAIIL.

The Company's principal activity is to invest in financial instruments which are the revenue generating segment of the Company. The ChiefOperating Decision Maker (CODM) of the operating segment are the Directors. The Company is a SPV whose principal activities are theissuance of Notes and acquisition of Mortgaged Property. The CODM does not consider each underlying investment security as a separatesegment, rather they look at the structure as a whole. Based on that fact, the Directors confirm that there is only one segment.

The credit quality, the geographic split and concentration risk of the investment securities are disclosed in note 16 of the financialstatements. The income generated from investment securities is disclosed in note 4 of the financial statements.

Other than disclosed above, there were no other significant events between the Statement of financial position date and the date of signing ofthe financial statements, affecting the Company, which require adjustment to or disclosure in the financial statements.

Redemption€

The spread of the COVID-19 outbreak has caused severe disruptions in the Irish and global economy and financial markets and couldpotentially create widespread business continuity issues of an unknown magnitude and duration. Many countries, including Ireland, havereacted by instituting quarantines, mandating business and school closures and restricting travel. Many experts predict that the outbreak willtrigger 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 willcontinue to monitor the market 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 recoursenature of the securities issued by the Company limit the investor’s recourse only up to the underlying net assets of that particular debtsecurities issued. The investors have no right to petition for insolvency proceedings against the Company in the event that the underlyingassets are insufficient to repay the principal amount of the debt securities issued.

At the date of approval of these financial statements, the market value of the total investment portfolio has decreased by circa €1.6m (5%).

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


euromax v abs plc - rns-pdf.londonstockexchange.com · germany solicitor matheson 70 sir john...

Documents