star compass plc

STAR COMPASS PLC

Directors' report and audited financial statements

For the financial year ended 31 March 2020

Registered number 429179

STAR COMPASS PLC

Contents Page (s)

Directors and other information 1 - 2

Directors' report 3 - 7

Directors' responsibilities statement 8

Independent auditor's report to the members of Star Compass Plc 9 - 13

Statement of comprehensive income 14

Statement of financial position 15

Statement of changes in equity 16

Statement of cash flows 17

Notes to the financial statements 18- 50

STAR COMPASS PLCPage 1

Directors and other information

Directors Michael Carroll (Irish)

Niall Vaughan (Irish)

Peter Bissett (Irish)

Registered Office 2nd Floor, Block 5

Irish Life Centre

Abbey Street Lower

Dublin 1

Ireland

Administrator & Apex Corporate Services (Ireland) Limited

Company Secretary 2nd Floor, Block 5

Irish Life Centre

Abbey Street Lower

Dublin 1

Ireland

UBS Europe SE

5, Broadgate

London EC2M 2QS

United Kingdom

UBS AG, London Branch

5, Broadgate

London EC2M 2QS

United Kingdom

Swap Counterparty SF (LUX) SICAV 3

33A Avenue J.F. Kennedy

L-2010 Luxembourg

Custodian European Depositary Bank SA, Dublin Branch

2nd Floor, Block 5

Irish Life Centre

Abbey Street Lower

Dublin 1

Ireland

Trustee Deutsche Trustee Company Limited

Winchester House

1, Great Winchester Street

London EC2M 2DB

United Kingdom

Index Calculation UBS AG, Jersey Branch

Agent & Index Sponsor P.O Box 350

24, Union Street

St Helier

Jersey JE4 8UJ

Issue and Principal Deutsche Bank AG, London Branch

Paying Agent & Banker Winchester House

1, Great Winchester Street

London EC2M 2DB

United Kingdom

Arranger, Placement

Agent, Fund Shares,

Dealing Counterparty,

Swap Counterparty &

Custodian

Arranger &

Calculation Agent


Directors and other information (continued)

Independent Auditor KPMG

Chartered Accountants & Statutory Audit Firm

1 Harbourmaster Place

International Financial Services Centre

Dublin 1

Ireland

Irish Lawyer Matheson

70 Sir John Rogerson’s Quay

Dublin 2

Ireland

Banker Citigroup Centre

33 Canada Square

Canary Wharf

London E14 5LB

United Kingdom


Directors' report

Principal activities and business review

Notes programme

EP Loan programme

Key performance indicators

During the financial year:

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Details of the Notes issued and the EP Loan for each Series are outlined in note 15 and note 21 to the financial statements. The related financial

assets held under each Series are described in note 11 while a description of the swaps entered into has been detailed in note 12 to the financial

statements.

The directors present their annual report and the audited financial statements of Star Compass Plc (the “Company”) for the financial year ended 31

March 2020.

The custody services, provided by Deutsche Bank, Dublin Branch (the ''Initial Custodian'') to the Company, has been transferred to European

Depositary Bank SA, Dublin Branch (the “EDB”) (the new ''Custodian''), who is now the legal operating entity in Ireland to which the business'

personnel currently carrying out the duties and functions of the Initial Custodian have been transferred to.

the Company made a net gain on financial liabilities designated at fair value through profit or loss amounting to USD 154,539,507 (2019: USD

128,632,247); and

the structure performed in accordance with the parameters set out in the multi-issuance programme.

The Company is an SPV and its principal activity is to issue Notes, make investments and enter into derivative contracts to hedge its investments.

The directors confirm that the key performance indicators as disclosed below in the financial statements are those that are used to assess the

performance of the Company.

the Company made a net loss on financial assets at fair value through profit or loss amounting to USD 51,070,481 (2019: USD 280,772,605);

the Company made a net loss on derivative financial instruments amounting to USD 100,886,435 (2019: net gain of USD 156,306,803);

At the reporting date, the Company’s financial liabilities designated at fair value through profit or loss were concentrated in Fund-linked Notes and

the EP Loan.

The Company used the proceeds from each Series of Notes issued to invest in fund shares. During the financial year ended 31 March 2020, the

Company issued Series 72 and Series 73 (2019: Series 71). The Notes issued earn a return at maturity linked to the return of the funds invested into

by the issue proceeds. There were issuances and redemptions on existing Series during the financial year.

All the Notes issued are listed on the Vienna Stock Exchange except Series 1 to 4, which are listed on the Euronext Dublin.

Refer to note 4 to the financial statements for details of how the swaps are valued.

Star Compass Plc is a public limited company incorporated in Ireland on 1 November 2006 and established for the purpose of issuing asset backed

securities. The Company has been established as a special purpose vehicle (the "SPV"). The principal activities of the Company are the

establishment of a secured note programme (the “Programme”) arranged by UBS Europe SE and UBS AG, London Branch (the ''Arrangers'') for

the issuance of up to EUR 20,000,000,000 (or its equivalent in other currencies at the date of issue) aggregate nominal amount of notes (the

“Notes”) in different series (each a “Series”) and a securities lending and borrowing programme ("Threshold II" or "EP Loan programme") also

arranged by UBS Europe SE and UBS AG, London Branch. Given the ring fenced nature of the Notes issued by the Company, the Series are

secured by way of a charge over the collateral purchased by the respective Series and by an assignment of a fixed first charge of the Company’s

rights, title and interest under respective Swap Agreements for the Series. The Charged Assets comprise of investment in funds and hedge funds

(the ''FoHF shares'') and other assets as more particularly specified in the relevant series memorandum (the ''Series Memorandum'') for each Series

in issue.

For each Threshold II Series, the Company entered into a securities lending and borrowing agreement and a contractually linked derivative with SF

(LUX) SICAV 3 (the "Lux Fund”), under which (i) the Lux Fund (as Lender) agreed to lend to the Company (as Borrower) a portfolio of equities,

with the right to sell the EP Investments and (ii) a derivative which swapped the return on the equity portfolio for the return on a specified index,

together the EP liability. Refer to note 15 to the financial statements for details on the EP Loan/Investments and note 12 to the financial statements

for details on the derivative. The Lux Fund is an umbrella fund which is comprised of several specific sub-funds. The Company sold the equities

and the proceeds of the sale were used to purchase fund of hedge fund shares (the “FoHF shares”). At the same time, under each of these Series, the

Company also entered into a Swap Agreement paying the return on the hedge fund shares and receiving the return on the same specified index (the

''Swap Agreement'') with UBS Europe SE, in order to protect its exposure. Refer to note 12 to the financial statements for details on this swap

transactions. The FoHF shares are held as collateral under this Swap Agreement. Refer to note 11 to the financial statements for details on the

investments in the hedge funds. The EP Loan and the derivative swapping the equity return for the return on the specified index are linked

transactions. The return on the FoHF shares is altered by the Swap agreement that swaps the return on the FoHF shares for the return on the

specified index.


Directors' report (continued)

Key performance indicators (continued)

As at 31 March 2020:

• the Company’s total EP loan outstanding was USD 1,351,632,892 (2019: USD 2,503,546,326);

• the Company’s value of fund-linked Notes was USD 422,432,864 (2019: USD 1,056,077,304); and

• the Notes that the Company has in issue in respect of each Series are included in note 15 to the financial statements.

Future developments

Going concern

Results and dividends for the financial year

Operational risk

Business risks and principal uncertainties

Coronavirus disease (COVID-19)

Change in directors, secretary and registered office during the financial year

The Company entered into a swap transaction with the Lux Fund where they receive the return on the equity portfolio and pay the return on a

specified index. The Company also entered into a swap paying the return on the hedge fund shares and receiving the return on the same specified

index with UBS Europe SE, in order to protect its exposure. Refer to note 4 for details on the swaps.

The directors have assessed the recent impact of COVID-19 on the assets under management. The Equity Portfolio has massively underperformed

the dynamic basket which has generated a large marked to market on the Swap between the Company and the Lux Fund due to which the April

2020 Swap were reset. However, the directors are satisfied that the Company has adequate resources to continue its operations for the foreseeable

future. For these reasons, the directors believe that the going concern basis is appropriate.

The Notes in issue are linked to the investments in the funds and are therefore exposed to the performance of the funds. For most of the Notes, any

acquisitions and disposal of the investment in funds and Threshold II investments are mirrored by a corresponding movement in the Notes. For

some Series, the Company redeemed a relevant portion of the investment in funds in order to fund the arranger fees paid to UBS Europe SE or

UBS AG, London Branch. Refer to note 11 to the financial statements for more details on the Series investments.

Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company’s processes, personnel and

infrastructure, and from external factors other than credit, market and liquidity risks such as those arising from legal and regulatory requirements

and generally accepted standards to corporate behaviour.

Operational risks arise from all of the Company’s operations. The Company was incorporated with the purpose of engaging in those activities

outlined in the preceding paragraphs. All management and administration functions are outsourced to Apex Corporate Services (Ireland) Limited.

The main risks facing the Company relates to its financial instruments. These risks facing the Company are outlined in note 21 to the financial

statements.

There were no changes in directors, secretary and registered office during the financial year.

The directors expect that the present level of activity will be sustained for the foreseeable future. The Board of directors (the ''Board'') will continue

to seek new opportunities for the Company and will continue to ensure proper management of the current portfolio of Series of the Company. It is

anticipated that while some Series will redeem or mature, it is also expected that new issuances will be made.

The Company’s financial statements for the financial year ended 31 March 2020 have been prepared on a going concern basis. Each asset and/or

derivative transaction is referenced with a specific Note or EP loan, and any loss derived from the asset and/or derivative transaction will be

ultimately borne by the Noteholders (defined as including lenders under the secured Note Programme and the EP Loan providers). The directors

anticipate that the financial assets will continue to generate enough cash flow on an ongoing basis to meet the Company‘s liabilities as they fall

due. The Notes in issue as at 31 March 2020 have maturities ranging between the financial years 2020 to 2025.

The results for the financial year are set out on page 14. The directors do not recommend the payment of a dividend for the financial year (2019:

Nil).

Since the beginning of the coronavirus outbreak in January 2020, the coronavirus has spread across the world, causing ongoing disruption to

businesses and economic activity worldwide. Global markets have reacted sharply to this pandemic, with concerns regarding the economic impact

this may have on a global scale. The Equity Portfolio has massively underperformed the dynamic basket which has generated a large marked to

market on the Swap between the Company and the Lux Fund due to which the April 2020 Swap were reset. There are no lockups. The FoHF shares

have the ability for gate redemptions or delay redemptions or suspend NAV calculations in the event of large redemptions. This has not happened

till date but it can be done in the event of a future large redemption. However, due to the evolving nature of the pandemic, it is not possible at the

date of issue of these financial statements to estimate its financial impact, if any, on the Company’s activities, and each Series of its Notes in issue,

EP loans and the underlying financial assets in place. The Board continues to monitor the impact on the Company’s activities.



Directors, secretary and their interests

Shares and shareholders

Corporate Governance Statement

Introduction

Financial Reporting Process

Risk Assessment

The Board evaluates and discusses significant accounting and reporting issues as the need arises. From time to time, the Board also examines and

evaluates the Administrator’s financial accounting and reporting routines and monitors and evaluates the external auditor's performance,

qualifications and independence. The Administrator has operating responsibility for internal control in relation to the financial reporting process

and the Administrator’s report to the Board.

Market risk limitations are typically based on individual Series Memorandum of each Series issued where the risk factors are defined. These

include overall limits on portfolio credit quality, a system of individual counterparty credit limits that is used to mitigate concentration risks. These

risk limits are binding and generally set to ensure that any meaningful increase in risk exposures is promptly escalated to more senior levels of

management. The majority of these limits are monitored on a daily basis.

None of the directors and secretary who held office on 1 April 2019 and 31 March 2020 hold any shares in the Company at those dates or during

the financial year. Except for the Administration agreement entered into by the Company with Apex Corporate Services (Ireland) Limited, there

were no contracts of any significance in relation to the business of the Company in which the directors had been party or involved, as defined in

Section 309 of the Companies Act 2014, at any time during the financial year. During the financial year, no fees were paid to the directors for the

services provided. Further information is set out in note 9 and 19 to the financial statements.

The fair value of the financial assets are obtained from the monthly net asset value (the "NAV'') statement of the individual fund as its measure of

fair value of investment in funds. The directors consider the NAV as an appropriate basis for fair value for the financial assets held by the

Company as the financial assets do not have a readily determinable fair value and the NAV of the funds is calculated in a manner consistent with

the measurement principles of investing company accounting, including measurement of the underlying investments at fair value. The derivative

financial assets and liabilities are determined using values obtained from UBS Europe SE in its capacity as Swap Counterparty which has its own

internal controls and risk management processes in place. Refer to notes 4 and 21(d) to the financial statements for more details on the fair value

measurements used.

The Board is responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring the processes

are in place for the timely identification of internal and external matters with a potential effect on financial reporting. The Board has also put in

place processes to identify changes in accounting rules and recommendations and to ensure that these changes are accurately reflected in the

Company’s financial statements. 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;

- Accounting bulletins, issued by the Administrator, are distributed to all accountants employed by the Administrator; and

- The Company's financial statements are prepared by the accountants employed by the Administrator, Apex Corporate Services (Ireland) Limited.

The authorised share capital of the Company is EUR 40,000 (USD 54,684) which has been fully issued and paid. The issued shares are held in

trust by Registered Shareholder Services No. 1 Company Limited by Guarantee, holding 13,336 shares, and Registered Shareholder Services No. 2

Company Limited by Guarantee and Registered Shareholder Services No. 3 Company Limited by Guarantee, holding 13,332 shares each, (the

"Share Trustees") under the terms of a declaration of trust (the "Declaration of Trust“) under which the Share Trustees hold the benefit of the shares

on trust for charitable purposes. The Share Trustees have no beneficial interest in and derive no benefit from their holding of the shares. There are

no other rights that pertain to the shares and the shareholders.

During the financial year ended 31 March 2020, the Company has been in compliance with both the Companies Act 2014 and the Listing rules of

the Euronext Dublin and Vienna Stock Exchange. The Company does not apply additional requirements in addition to those required by the above.

Each of the service providers engaged by the Company is subject to their own corporate governance requirements.

The Board is responsible for establishing and maintaining adequate internal control and risk management systems of the Company in relation to

the financial reporting process. Such systems are designed to manage rather than eliminate the risk of failure to achieve the Company’s financial

reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss.

The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financial

reporting process. These include appointing the Administrator, Apex Corporate Services (Ireland) Limited, to maintain the accounting records of

the Company independently of UBS Europe SE (the "Arranger and Custodian"), UBS AG, London Branch (the 'Arranger''), European Depositary

Bank SA, Dublin Branch (the "Custodian") and Deutsche Trustee Company Limited (the "Trustee"). The Administrator is contractually obliged to

maintain adequate accounting records per S281 to S285 of the Companies Act 2014 and as required by the Corporate Administration agreement.

To that end the Administrator performs reconciliations of its records to those of the Arranger and the Custodian. The Administrator is also

contractually obliged to prepare for review and approval by the Board the semi annual accounts and annual report including financial statements

intended to give a true and fair view of financial position and results for the financial year.



Corporate Governance Statement (continued)

Control Activities

Monitoring

Capital Structure

Powers of directors

Audit committee

Accounting records

Political donations

Subsequent events

Subsequent events have been disclosed in note 26 to the financial statements.

The Company does not have any agreements that take effect, alter or terminate upon a change of control of the Company following a bid. The

Company also does not have any agreements between itself and the directors providing for compensation for loss of office or employment that

occurs because of a bid.

The Board is responsible for managing the business affairs of the Company in accordance with the Constitution. The directors may delegate certain

functions to the Administrator and other parties, subject to the supervision and direction by the directors. The directors have delegated the day to

day administration of the Company to the Administrator.

The directors believe that they have complied with requirements of Section 281 to 285 of the Companies Act 2014 with regards to maintaining

adequate accounting records by utilising accounting personnel employed by the Administrator with appropriate experience, expertise and resources

to their financial function. The accounting records of the Company are maintained at 2nd Floor, Block 5, Irish Life Centre, Abbey Street Lower,

Dublin 1, Ireland.

The Electoral Act, 1997 (as amended by the Electoral Amendment Political Funding Act, 2012) requires companies to disclose all political

donations over EUR 200 in aggregate made during a financial year. The directors, on enquiry, have satisfied themselves that no such donations in

excess of this amount have been made by the Company during the financial year ended 31 March 2020 (2019: EUR Nil).

The Board has an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measures

recommended by the independent auditor.

The Administrator is contractually obliged to design and maintain control structures to manage the risks which the Board judges to be significant

for internal control over financial reporting. These control structures include appropriate division of responsibilities and specific control activities

aimed at detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements

and the related notes in the Company’s annual report.

Under Section 1551 (11)(c) and Section 167 of the Companies Act 2014, the Company is exempt from the requirement to establish an audit

committee as the Company acts as an issuer of asset backed securities. The directors have availed of this exemption for the preparation of the

financial statements.

Given the contractual obligations of the Administrator and the limited recourse nature of the securities issued by the Company, the directors have

concluded that there is currently no need for the Company to have a separate audit committee in order for the directors to perform effective

monitoring and oversight of the internal control and risk management systems of the Company in relation to the financial reporting process.

Accordingly, the Company has availed itself of the exemption under paragraph 11(c) of the Section 1551 and Section 167 of the Companies Act

2014.

Given the contractual obligations on the Administrator, the Board has concluded that there is currently no need for the Company to have a separate

internal audit function in order for the Board to perform effective monitoring and oversight of the internal control and risk management systems of

the Company in relation to the financial reporting process.

The principal shareholders in the Company are Registered Shareholder Services No. 1 Company Limited by Guarantee, holding 13,336 shares, and

Registered Shareholder Services No. 2 Company Limited by Guarantee and Registered Shareholder Services No. 3 Company Limited by

Guarantee, each holding 13,332 shares. No person has any special rights of control over the Company’s share capital.

The directors confirm that share trustees have entered into a share trust agreement whereby they have agreed not to exercise their voting rights. No

shareholders meeting were held during the financial year ended 31 March 2020 with agreement from the shareholders..

With regard to the appointment and replacement of directors, the Company is governed by the Constitution, Irish Statute comprising the

Companies Act 2014 and the Listing Rules of Euronext Dublin and Vienna Stock Exchange. The Constitution may be amended by special

resolution of the shareholders.



Independent auditor

Statement on relevant audit information

The directors who served during the entire financial year are Michael Carroll, Niall Vaughan and Peter Bissett.

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Research and development costs

Directors' compliance statement

The directors confirm that:

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Responsibility statement in accordance with the Transparency Regulation

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Approved by the Board and signed on its behalf by

Michael Carroll Niall Vaughan

Director Director

Date:

KPMG, Chartered Accountants and Statutory Audit firm, were appointed as auditor on 6 March 2018 and have expressed their willingness to

continue in office in accordance with Section 383(2) of the Companies Act 2014.

So far as the directors are aware, each director at the date of approval of this report and financial statements confirms that:

there is no relevant audit information of which the Company’s auditor are unaware; and

as per section 330 of the Companies Act 2014, the directors have taken all steps that they ought to have taken as a director in order to make

themselves aware of any relevant audit information and to establish that the Company’s auditor are aware of this information.

The Company did not incur any research and development costs during the financial year (2019: USD Nil).

they acknowledge that they are responsible for securing the company's compliance with its relevant obligations and have, to the best of their

knowledge, complied with its relevant obligations as defined in section 225 of the Companies Act 2014;

they have drawn up a compliance policy statement setting out the Company's policies (that, in the directors' opinion, are appropriate to the

Company) respecting compliance by the company with its relevant obligations;

relevant arrangements and structures have been put in place that provide a reasonable assurance of compliance in all material respects by the

Company with its relevant obligations, which arrangements and structures may, if the directors so decide, include reliance on the advice of one

or 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

to have the requisite knowledge and experience to advise the Company on compliance with its relevant obligations; and

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

Each of the persons whose names and functions appear on page 1 confirm to the best of their knowledge:

the financial statements, prepared in accordance with IFRS as issued by the IASB and as adopted by the EU, give a true and fair view of the

assets, liabilities, financial position and profit or loss of the Company; and

the management report, which is incorporated into the directors’ report, includes a fair review of the development and performance of the

business and the position of the Company, together with a description of the principal risks and uncertainties that it faces.

EOKelly

Typewriter

24 July 2020


Directors' responsibilities statement

• select suitable accounting policies and then apply them consistently;

• make judgments and estimates that are reasonable and prudent;

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On behalf of the Board


Director Director

Date:

Company law requires the directors to prepare financial statements for each financial year. Under the law, the directors have elected to prepare the

financial statements in accordance with International Financial Reporting Standards ("IFRS") as adopted by the European Union ("EU"). Under

company law, the directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the assets,

liabilities and financial position of the Company for that financial year.

In preparing these financial statements, the directors are required to:

state whether applicable Accounting Standards have been followed, subject to any material departures disclosed and explained in the financial

statements;

assess the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and

use the going concern basis of accounting unless they intend to liquidate the Company or cease operations, or have no realistic alternative but

to do so.

The directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets, liabilities,

financial position and profit or loss of the Company and enable them to ensure that the financial statements comply with the Companies Act 2014.

They are responsible for such internal controls as they determine is necessary to enable the preparation of financial statements that are free from

material misstatement, whether due to fraud or error, and have general responsibility for taking such steps as are reasonably open to them to

safeguard the assets of the Company. In this regard they have entrusted the assets of the Company to a trustee for safe-keeping. They have general

responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities. The directors are also

responsible for preparing a directors' report that complies with the requirements of the Companies Act 2014.

The directors are responsible for preparing the directors’ report and the financial statements, in accordance with the applicable laws and

regulations.

EOKelly

Typewriter

24 July 2020

9

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF STAR COMPASS PUBLIC LIMITED COMPANY Report on the audit of the financial statements Opinion We have audited the financial statements of Star Compass Public Limited Company (“the Company”) for the year ended 31 March 2020 set out on pages 14 to 50, which comprise the Statement of comprehensive income, Statement of financial position, Statement of changes in equity, Statement of cash flows and related notes, including the summary of significant accounting policies set out in note 3. The financial reporting framework that has been applied in their preparation is Irish Law and International Financial Reporting Standards (IFRS) as adopted by the European Union. In our opinion, the financial statements: • give a true and fair view of the assets, liabilities and financial position of the Company as at

31 March 2020 and of its profit for the year then ended;

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

• have been properly prepared in accordance with the requirements of the Companies Act 2014. Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under those standards are further described in the Auditor’s Responsibilities section of our report. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion. Our audit opinion is consistent with our report to the audit committee. We were appointed as the Company’s auditor on 6 March 2018 in respect of the audit for the year ended 31 March 2018. The period of total uninterrupted engagement is the 3 years ended 30 March 2020. We have fulfilled our ethical responsibilities under, and we remained independent of the Company in accordance with, ethical requirements applicable in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority (IAASA) as applied to listed public interest entities. No non-audit services prohibited by that standard were provided. Key audit matters: our assessment of risks of material misstatement Key audit matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, including those which had the greatest effect on: the overall audit strategy; the allocation of resources in the audit; and directing the 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 we do not provide a separate opinion on these matters. In arriving at our audit opinion above, the key audit matters, in decreasing order of audit significance, were as follows:

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INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF STAR COMPASS PUBLIC LIMITED COMPANY (continued)

Valuation of Financial Assets at Fair Value through Profit or Loss USD 1,966,876,953 (2019: USD 3,348,874,193)

Refer to pages 22 to 24 (accounting policy) and note 11 on pages 28 to 31 (financial disclosures)

How the matter was addressed in our audit The key audit matter

The Company’s financial assets at fair value through profit or loss make up 91% (2019: 94%) of total assets.

There is a significant risk over the estimation uncertainty inherent in the valuation of financial assets at fair value through profit or loss and therefore one of the key areas that our audit focused on. The key sources of estimation uncertainty include the use of net asset value as an appropriate basis for fair value for these investment positions in the absence of a readily determinable fair value. The valuation of these investment positions involves assessment of factors relating to underlying investment funds which, among others, include the accounting framework, audit opinion, going concern, accounting policies and subsequent events note.

Our audit procedures included but were not limited to: - Obtaining and documenting our understanding

of the financial assets valuation process and thedesign and implementation of the controls inplace

- Obtaining external confirmations of the valuationof the financial assets from the Administrators ofthe underlying investment funds in which theCompany has investments in. Alternatively, weinspected capital statements of the underlyingfund investments

- Inspected financial statements of the underlyingfunds and inspecting, among others, theaccounting framework, audit opinion, goingconcern, accounting policies and subsequentevents note, and

- Assessing the appropriateness of theaccounting policy in accordance with IFRS 13and financial statement disclosure.

No material exceptions were noted as part of our testing.

Valuation of Derivatives: Derivative Financial Assets USD 128,944,130 (2019: USD 218,459,687) and Derivative Financial Liabilities USD 321,799,062 (2019: USD 7,710,250)

Refer to pages 22 to 24 (accounting policy) and note 12 on pages 31 to 32 (financial disclosures)

The key audit matter How the matter was addressed in our audit

The Company’s derivative financial assets make up 6% (2019: 6%) of total assets and derivative financial liabilities 15% (2019: 0.22%) of total liabilities.

There is a significant risk over the estimation uncertainty in the valuation of derivative financial assets and derivative financial liabilities and therefore one of the key areas that our audit focused on. The key sources of estimation uncertainty include the use of valuation methodologies which incorporate several significant unobservable inputs including reference index and equity portfolio values. Valuation of these derivatives involves assessment of factors relating to liquidity, concentration, uncertainty of market factors, pricing and index assumptions and other risks.


of the derivative valuation process and thedesign and implementation of the controls inplace

- Obtaining swap calculation workbooks from theArranger

- Engaging KPMG valuation specialists inperforming independent valuation for a sampleof derivative financial assets and liabilities giventhe homogenous nature of these financialinstruments. We recalculated the swap valuesin accordance with the swap agreements basedon key inputs performed by the Arranger, and

- Obtaining and inspecting post year-endtransactions, including cash flows.


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INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF STAR COMPASS PUBLIC LIMITED COMPANY (continued) Valuation of Financial Liabilities designated at Fair Value through Profit or Loss USD 1,774,065,756 (2019: USD 3,559,623,630) Refer to pages 22 to 24 (accounting policy) and note 15 on pages 32 to 35 (financial disclosures) The key audit matter How the matter was addressed in our audit

The Company’s financial liabilities designated at fair value through profit or loss make up 82% (2019: 99%) of total liabilities. There is a significant risk over the estimation uncertainty inherent in the valuation of financial liabilities designated at fair value through profit or loss and therefore one of the key areas that our audit focused on. Valuation of Fund-linked notes involves assessment relating to the valuation of financial assets. Valuation of Equity Portfolio loans (“EP loans”) involves assessment of factors relating to the equity portfolio. These factors include liquidity, uncertainty of market factors, pricing and other risks.


of the financial liabilities valuation process and the design and implementation of the controls in place

- Recalculating the value of Fund-linked notes based on the value of the referenced financial asset

- Recalculating the fair value of equity portfolio of each EP loan based on independent pricing sources with the involvement of KPMG valuation specialists, and

- Assessing the appropriateness of the accounting policy in accordance with IFRS 13 and financial statement disclosure.


Our application of materiality and an overview of the scope of our audit The materiality for the financial statements as a whole was set at USD 21.68 million (2019: USD 35.70 million). This has been calculated with reference to a benchmark of the Company’s total assets, (of which it represents 1% (2019: 1% of total assets)) as at 31 March 2020 which we determined, in our professional judgement, to be one of the principal benchmarks within the financial statements relevant to the members of the Company in assessing financial performance, and this is also a generally accepted auditing benchmark used for companies in this industry. We reported to the Board of Directors all corrected and uncorrected misstatements we identified through our audit with a value in excess of USD 1.08 million (2019: USD 1.79 million), in addition to other identified misstatements below that threshold that we believe warranted reporting on qualitative grounds. Our audit of the Company was undertaken to the materiality level specified above and was all audit procedures have been undertaken and performed by the audit team based in Dublin. We have nothing to report on going concern We are required to report to you if we have concluded that the use of the going concern basis of accounting is inappropriate or there is an undisclosed material uncertainty that may cast significant doubt over the use of that basis for a period of at least twelve months from the date of approval of the financial statements. We have nothing to report in these respects.

12

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF STAR COMPASS PUBLIC LIMITED COMPANY (continued) Other information The directors are responsible for the preparation of the other information presented in the Annual Report together with the financial statements. The other information comprises the information included in the Directors’ report. The financial statements and our auditor’s report thereon do not comprise part of the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except as explicitly stated below, any form of assurance conclusion thereon. Our responsibility is to read the other information and, in doing so, consider whether, based on our financial statements audit work, the information therein is materially misstated or inconsistent with the financial statements or our audit knowledge. Based solely on that work we have not identified material misstatements in the other information. Based solely on our work we report that: • we have not identified material misstatements in the Directors’ report; • in our opinion, the information given in the Directors’ report is consistent with the financial

statements; and • in our opinion, the Directors’ report has been prepared in accordance with the Companies Act

2014. Corporate governance disclosures In addition we report, in relation to information given in the Corporate Governance Statement on pages 5 to 6, that: • based on knowledge and understanding of the Company and its environment obtained in the

course of our audit, no material misstatements in the information identified above have come to our attention; and

• based on the work undertaken in the course of our audit, in our opinion: - the description of the main features of the internal control and risk management systems in

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

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

Our opinions on other matters prescribed by the Companies Act 2014 are unmodified We have obtained all the information and explanations which we consider necessary for the purpose of our audit. In our opinion, the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited and the Company’s financial statements are in agreement with the accounting records. We have nothing to report on other matters on which we are required to report by exception The Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions required by Sections 305 to 312 of the Act are not made.

13

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF STAR COMPASS PUBLIC LIMITED COMPANY (continued) Respective responsibilities and restrictions on use Directors’ responsibilities As explained more fully in their statement set out on page 8, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; 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 they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. Auditor’s responsibilities Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud, other irregularities or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements. The risk of not detecting a material misstatement resulting from fraud or other irregularities is higher than for one resulting from error, as they may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control and may involve any area of law and regulation and not just those directly affecting the financial statements. A fuller description of our responsibilities is provided on IAASA’s website at https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibilities_for_audit.pdf The purpose of our audit work and to whom we owe our responsibilities Our report is made solely to the Company’s members, as a body, in accordance with Section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an 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 our report, or for the opinions we have formed.

24 July 2020 Colm Clifford for and on behalf of KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place International Financial Services Centre Dublin

https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibilities_for_audit.pdf

https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibilities_for_audit.pdf


STATEMENT OF COMPREHENSIVE INCOME


Financial Financial

Note year ended year ended

31-Mar-20 31-Mar-19

USD USD

5 (51,070,481) (280,772,605)

6 154,539,507 128,632,247

7 (100,886,435) 156,306,803

Net foreign exchange loss (7,932) (28,482)

2,574,659 4,137,963

Other income 8 1,065,548 1,030,874

Operating expenses 9 (3,639,111) (5,168,255)

Profit before tax 1,096 582

Income tax expense 10 (274) (146)

Net profit for the financial year 822 436

Other comprehensive income - -

Total comprehensive income for the financial year 822 436

Net (loss)/gain on derivative financial instruments

The accompanying notes on pages 18 to 50 form an integral part of these financial statements

Net loss on financial assets at fair value through profit or loss

Net gain on financial liabilities designated at fair value through profit or loss


STATEMENT OF FINANCIAL POSITION

As at 31 March 2020

Note 31-Mar-20 31-Mar-19

Assets USD USD

Financial assets at fair value through profit or loss 11 1,966,876,953 3,348,874,193

Derivative financial assets 12 128,944,130 218,459,687

Other receivables 13 71,305,303 2,984,384

Cash and cash equivalents 14 216,776 264,340

Total assets 2,167,343,162 3,570,582,604

Liabilities and equity

Liabilities

Financial liabilities designated at fair value through profit or loss 15 1,774,065,756 3,559,623,630

Derivative financial liabilities 12 321,799,062 7,710,250

Other payables 16 71,370,319 3,141,795

Tax payable 420 146

Total liabilities 2,167,235,557 3,570,475,821

Equity

Called up share capital presented as equity 17 54,684 54,684

Retained earnings 52,921 52,099

Total equity 107,605 106,783

Total liabilities and equity 2,167,343,162 3,570,582,604


Director Director

Date:

On behalf of the Board


EOKelly

Typewriter

24 July 2020


STATEMENT OF CHANGES IN EQUITY


Called up Retained Total

Share Capital Earnings Equity

USD USD

Balance as at 1 April 2018 54,684 51,663 106,347

Total comprehensive income for the financial year

Net profit for the financial year - 436 436

Other comprehensive income - - -

Total comprehensive income for the financial year - 436 436

Balance as at 31 March 2019 54,684 52,099 106,783

Balance as at 1 April 2019 54,684 52,099 106,783

Total comprehensive income for the financial year

Net profit for the financial year - 822 822

Other comprehensive income - - -

Total comprehensive income for the financial year - 822 822

Balance as at 31 March 2020 54,684 52,921 107,605

USD



STATEMENT OF CASH FLOWS


Financial Financial

Year ended Year ended

31-Mar-20 31-Mar-19

Cash flows from operating activities Note USD USD

Profit before tax 1,096 582

Adjustments for:

Net loss on financial assets at fair value through profit or loss 5 51,070,481 280,772,605

Net gain on financial liabilities designated at fair value through profit or loss 6 (154,539,507) (128,632,247)

Net loss/(gain) on derivative financial instruments 7 100,886,435 (156,306,803)

Movements in working capital

Decrease/(increase) in other receivables 523,139 (249,751)

(Decrease)/increase in other payables (406,744) 551,363

Tax paid - (2,263)

Net cash used in operating activities (2,465,100) (3,866,514)

Cash flows from investing activities

Acquisition of financial assets at fair value through profit or loss 11 (42,320,577) (34,576,164)

Disposal of financial assets at fair value through profit or loss 11 542,178,271 263,360,399

Net cash generated from investing activities 499,857,694 228,784,235

Cash flows from financing activities

Issue of financial liabilities designated at fair value through profit or loss 15 42,320,577 34,576,164

Redemption of financial liabilities designated at fair value through profit or loss 15 (539,760,735) (259,511,674)

Net cash used in financing activities (497,440,158) (224,935,510)

Decrease in cash and cash equivalents (47,564) (17,789)

Cash and cash equivalents at start of the financial year 264,340 282,129

Cash and cash equivalents at end of the financial year 14 216,776 264,340

Refer to reconciliation of financial liabilities in financing activities in note 15 to the financial statements.



NOTES TO THE FINANCIAL STATEMENTS


1 General Information

2 Basis of preparation

(a) Statement of compliance

(b) Functional and presentation currency

Functional currency is the currency of the primary economic environment in which the entity operates. The investment activity of the

Company is heavily linked and influenced by the UBS Group, whose functional and reporting currency are in USD. Therefore, the

directors of the Company believe that USD most faithfully represents the economic effect of the underlying transactions, events and

conditions.

All the Notes issued are listed on the Vienna Stock Exchange except Series 1 to 4, which are listed on the Euronext Dublin.

The custody services, provided by Deutsche Bank, Dublin Branch (the ''Initial Custodian'') to the Company, has been transferred to European

Depositary Bank SA, Dublin Branch (the “EDB”) (the new ''Custodian''), who is now the legal operating entity in Ireland to which the business'

personnel currently carrying out the duties and functions of the Initial Custodian have been transferred to.

Star Compass Plc is a public limited company incorporated in Ireland on 1 November 2006 and established for the purpose of issuing asset

backed securities. The Company has been established as a SPV. The principal activities of the Company are the establishment of a secured

Note Programme arranged by the Arranger for the issuance of up to EUR 20,000,000,000 (or its equivalent in other currencies at the date of

issue) aggregate nominal amount of Notes in different Series and a securities lending and borrowing Threshold II or EP Loan programme also

arranged by UBS Europe SE and UBS AG, London Branch.

Notes programme

The Company used the proceeds from each Series of Notes issued to invest in fund shares. During the financial year ended 31 March 2020, the

Company issued Series 72 and Series 73 (2019: Series 71). The net proceeds from the issuance of Notes were used to invest in fund shares as

defined in the Series Memorandum. The Notes issued earn a return at maturity linked to the return of the funds invested into by the issue

proceeds. There were issuances and redemptions on existing Series during the financial year.

The financial statements are presented in United States Dollar ("USD") which is the Company’s reporting currency.

EP Loan programme

Refer to note 4 to the financial statements for details of how the swaps are valued.

At the reporting date, the Company’s financial liabilities designated at fair value through profit or loss were concentrated in Fund-linked Notes

and the EP Loan.

The accounting policies set out below have been applied in preparing the financial statements for the financial year ended 31 March 2020

and in the comparative information presented in these financial statements which is for the financial year ended 31 March 2019.

The financial statements have been prepared in accordance with International Financial Reporting Standards ("IFRSs") and its

interpretations as adopted by the EU and in accordance with the Companies Act 2014.

The Company’s financial statements for the financial year ended 31 March 2020 have been prepared on a going concern basis. Each asset

and/or derivative transaction is referenced with a specific Note or EP loan, and any loss derived from the asset and/or derivative transaction

will be ultimately borne by the Noteholders (defined as including lenders under the secured Note Programme and the EP Loan providers).

The Fund-linked Notes are repayable on demand. However, there are monthly transactions on the EP Loan. The directors anticipate that the

financial assets will continue to generate enough cash flow on an ongoing basis to meet the Company‘s liabilities as they fall due. The

Notes in issue as at 31 March 2020 have maturities ranging between 2020 to 2025. For these reasons, the directors believe that the going

concern basis is appropriate.

For each Threshold II Series, the Company entered into a securities lending and borrowing agreement and a contractually linked derivative with

the Lux Fund, under which (i) the Lux Fund (as Lender) agreed to lend to the Company (as Borrower) a portfolio of equities, with the right to

sell the EP Investments and (ii) a derivative which swapped the return on the equity portfolio for the return on a specified index, together the

EP liability. Refer to note 15 to the financial statements for details on the EP Loan/Investments and note 12 to the financial statements for

details on the derivative. The Lux Fund is an umbrella fund which is comprised of several specific sub-funds. The Company sold the equities

and the proceeds of the sale were used to purchase fund of hedge fund shares. At the same time, under each of these Series, the Company also

entered into a Swap Agreement paying the return on the hedge fund shares and receiving the return on the same specified index with UBS

EuropeSE, in order to protect its exposure. Refer to note 12 to the financial statements for details on this swap transactions. The FoHF shares

are held as collateral under this Swap Agreement. Refer to note 11 to the financial statements for details on the investments in the hedge funds.

The EP Loan and the derivative swapping the equity return for the return on the specified index are linked transactions. The return on the FoHF

shares is altered by the Swap agreement that swaps the return on the FoHF shares for the return on the specified index.


NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)


2 Basis of preparation (continued)

(c) Basis of measurement

The financial statements have been prepared on the cost basis except for the following:

• Financial assets at fair value through profit or loss are measured at fair value;

• Derivative financial instruments are measured at fair value; and

• Financial liabilities designated at fair value through profit or loss are measured at fair value.

(d) Use of estimates and judgements

Critical judgements in applying accounting policies

Fund-linked Notes

• Investments purchased and Notes issued at fair value through profit or loss

Threshold Trade ll

• Fair value of derivatives and other financial instruments

• Investments purchased and Notes issued at fair value through profit or loss

The methods used to measure fair values are discussed further in note 4 to the financial statements. Please refer to note 3(g) to the financial

statements for the classification and measurement of the financial instruments held by the Company.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are 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 future periods if the

revision affects both current and future periods. Details of material judgements and estimates have been further described in accounting

policy 3(g) “Financial instruments” and note 21 to the financial statements.

The preparation of financial statements in conformity with IFRS requires management to make judgements, estimates and assumptions that

affect the application of policies and reported amounts of assets and liabilities, income and expenses. The estimates and associated

assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the

results of which form the basis of making the judgements about carrying values of assets and liabilities that are not readily apparent from

other sources. Actual results may differ from these estimates. One of the main factors would be the impact of COVID-19 outbreak on the

financial performance of the funds' investments. The extent of the impact to the financial performance of the underlying investments in the

funds depends on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions, (iii) the effects on the

financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial

performance of the underlying investments is impacted because of these matters for an extended period, the actual results of the funds'

investment may differ from their estimates.

The hedge fund shares, the EP loans and the derivatives are all a linked transaction. The EP Loan and the derivative swapping the

equity return for the return on the specified index are linked transactions. The return on the FoHF shares is altered by the Swap

agreement that swaps the return on the FoHF shares for the return on the specified index. The directors have measured the hedge fund

shares and EP loans at fair value through profit or loss. The directors have considered the requirements of IFRS 9 Financial

Instruments: Recognition and Measurement. These hedge fund shares do not have a readily determinable fair value and as such the

significant inputs used in the fair value measurement was based on unobservable inputs. These hedge fund shares have been classified

as measured at FVTPL as they are managed and their performance is evaluated on a fair value basis. The derivatives are mandatorily

measured at FVTPL. The EP loans are designated at and measured at fair value as a result of the accounting mismatch and net gains

and losses are recognised in profit or loss.

The following are the critical judgements, apart from those involving estimations, that the directors have made in the process of applying

the Company’s accounting policies and that have the most significant effect on the amounts recognised in the financial statements. Refer to

note 3(g) to the financial statements.

Note 3(g) to the financial statements describes that the directors have measured the investments purchased and Notes issued at fair

value through profit or loss (''FVTPL''). The directors have considered the requirements of IFRS 9 Financial Instruments: Recognition

and Measurement. These financial assets have been classified as measured at FVTPL as they are managed and their performance is

evaluated on a fair value basis. The financial liabilities at FVTPL are designated at and measured at fair value as a result of the

accounting mismatch and net gains and losses are recognised in profit or loss.

The fair value of financial instruments that are not traded in an active market is determined by using valuation techniques. The

Company uses its judgement to select a variety of methods and valuation techniques. This judgement is based on the type of financial

instruments held, associated risks and cost of fair valuing such instruments.





(d) Use of estimates and judgements (continued)

Key sources of estimation uncertainty

• Fair value of derivatives and other financial instruments

• Fair value of financial liabilities designated at fair value through profit or loss

• Fair value of financial assets at fair value through profit or loss

(e) Investment entity

The Company has been deemed to meet the definition of an investment entity as per IFRS 10 as the following conditions exist:

•

•

•

•

•

•

(f) New standards, amendments or interpretations

(i) Effective for annual periods beginning after 1 January 2019

A number of new standards and interpretations have been EU endorsed and adopted by the Company:

Effective date

1 January 2019

1 January 2019

1 January 2019

1 January 2019

1 January 2019

1 January 2019

Due to the limited recourse nature of the Notes issued, the fair values of Notes issued by the Company (financial liabilities designated

at fair value through profit or loss) are determined by reference to the fair value of associated financial assets at fair value through

profit or loss and the fair value of derivative financial instruments. Any future change in the fair value of financial assets and

derivative financial instruments will have an equal but opposite impact on the fair value of financial liabilities.

IFRS 16: Leases

In the current financial year, the Company has applied the above new standards and the related consequential amendments to other

IFRS Standards that are effective for an annual period that begins on or after 1 January 2019. Their adoption has not had any material

impact on the disclosures or on the amounts reported in these financial statements.

Description

Amendments to IFRS 9 Prepayment Features with Negative Compensation

Amendments to IAS 28: Long-term interests in Associates and Joint Ventures

Amendments to IAS 19: Plan amendment, Curtailment or Settlement

IFRIC 23 Uncertainty over Income Tax Treatments

During the financial year, the significant inputs used in the fair value measurement was based on unobservable rather than observable

inputs. The fair values of these investments are based the financial year end's Net Asset Value ("NAV"). The unadjusted NAV is used

when the units in a fund are redeemable at the reportable net asset value at , or approximately at, the measurement date. If this is not

the case, then the NAV is used as a valuation input and an adjustment is applied for lack of marketability/restricted redemptions. This

adjustment is based on management judgement after considering the period of restrictions and nature of the underlying investments.

the Company measures and evaluates the performance of substantially all of its financial assets on a fair value basis.

Following the above, the directors have assessed the Company's status and confirm the Company meets all the characteristics and

definition of an ''investment entity'' as per IFRS 10.

the relevant activities of each entity are directed by means of contractual arrangements with restrictions over transfer of funds to the

Company;

the entities have narrow and well defined objectives; and

there is insufficient equity to permit the structured entities to finance their activities without subordinated financial support.

The fair values of derivative financial instruments that are not traded in an active market are determined using quoted prices of the

equity portfolio and index levels at the reporting date and discounted to the present value based on market inputs. In applying this

valuation technique, the Company makes assumptions that are mainly based on market conditions existing at the end of each

reporting period, some of which are unobservable as outlined in note 21 to the financial statements.

As a result, the Company accounts for its investments in UBS Property Holding Conduit Limited, UBS Opportunistic Reality Fund

Limited, UBS Strategic Reality Fund Limited, A&Q Dynamic Diversified Limited USD - Class H, Systematica Trading Vehicle I Limited -

USD Share Class and Millburn Adaptive Allocation Program Global Equity Fixed USD Class at fair value through profit or loss. The

Company has deemed these investments to be controlled structured entities as for each entity, the following conditions exist:

The fair value of the fully funded derivative financial instruments is obtained from the Swap Counterparty, UBS Europe SE which

uses its proprietary valuation model that takes into account the notional amount, maturity date and any early redemption clause. The

swap fair value with the Lux Fund is the difference between the fair value of the Equity Portfolio and the fair value of the index.

the Company has obtained funds for the purpose of providing investors with investment management services;

the Company business purpose is to invest solely for returns from capital appreciation, investment income, or both; and

The following are the key assumptions concerning the future, and other key sources of estimation uncertainty at the reporting date, that

have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial year.

Annual improvements to IFRS Standards 2015-2017 Cycle (issued on 12 December 2017) including amendments

to IAS 12 Income Taxes, IAS 23 Borrowing Costs, IFRS 3 Business Combinations and IFRS 11 Joint

Arrangements





(f) New standards, amendments or interpretations (continued)

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

Effective date*

1 January 2020

1 January 2020

1 January 2020

1 January 2020

1 January 2021**

**Not endorsed.

3 Significant accounting policies

(a) Net loss on financial assets at fair value through profit or loss

(b) Net gain on financial liabilities designated at fair value through profit or loss

(c) Net (loss)/gain on derivative financial instruments

(d) Other income and expenses

(e) Income tax expense

The directors have considered the new standards, amendments and interpretations as detailed in the above table and does not plan to

adopt these standards early. The application of all of these standards, amendments or interpretations will be considered in detail in

advance of a confirmed effective date by the Company. The directors have concluded that none of the above may be relevant.

Realised gains and losses are recognised on disposal of financial assets when the disposal price is not equal to the carrying value of the

asset.

Net gain on financial liabilities designated at fair value through profit or loss includes all coupons, dividends, realised and unrealised fair

value changes and foreign exchange differences. Any gains and losses arising from changes in fair value of the financial liabilities

designated at fair value through profit or loss are recorded in profit or loss in the Statement of comprehensive income. Details of

recognition and measurement of financial liabilities are disclosed in the accounting policy of financial instruments (note 3(g) to the

financial statements).

Realised gains and losses are recognised on redemption of the financial liabilities when the redemption price is not equal to the carrying

value of the financial liabilities.

Net (loss)/gain on derivative financial instruments relates to the fair value movements on swaps held by the Company and includes realised

and unrealised fair value movements and foreign exchange differences. Any gains and losses arising from changes in fair value of the

derivative financial instruments are recognised in the profit or loss in the Statement of comprehensive income. Details of recognition and

measurement of derivative financial instruments are disclosed in the accounting policy of financial instruments (note 3(g) to the financial

statements).

Realised gains and losses are recognised on termination of swap when the termination price is not equal to the carrying value of the

derivative financial instrument.

All other income and expenses are accounted for on an accruals basis.

*Where new requirements are endorsed, the EU effective date is disclosed. For un-endorsed standards and interpretations, the IASB’s

effective date is noted. Where any of the upcoming requirements are applicable to the Company, it will apply them from their EU

effective date.

The Company meets the criteria for a “Section 110 vehicle” under the Tax Consolidation Act, 1997 and is therefore subject to a special tax

regime which potentially allows the Company to be tax neutral. The tax expense represents the sum of the tax currently payable and

deferred tax. The tax currently payable is based on taxable profit for the period as calculated in accordance with Irish Tax Laws. Taxable

profit may differ from profit before tax as reported in the Statement of comprehensive income because it excludes items of income or

expense that are not taxable or deductible. The Company's liability for current tax is calculated using tax rates that have been enacted or

substantively enacted by the reporting date.

Description

IFRS 10 and IAS 28 amendments: Sale or Contribution of Asset between Investor or its Associate or Joint Venture

IFRS 3 amendments: Definition of a business

IAS 1 and IAS 8 amendments: Definition of material

IFRS 17: Insurance contracts

Net loss on financial assets at fair value through profit or loss relates to investments and includes all coupons, dividends, realised and

unrealised fair value changes and foreign exchange differences. Any gains and losses arising from changes in fair value of the financial

assets at fair value through profit or loss are recorded in profit or loss in the Statement of comprehensive income. Details of recognition

and measurement of financial assets are disclosed in the accounting policy of financial instruments (note 3(g) to the financial statements).

1 January 2020

Amendments to the References to the Conceptual Framework in IFRS Standards

Amendments to IFRS 9 Financial Instruments, IAS 39 Financial Instruments: Recognition and Measurement and

IFRS 7 Financial Instruments: Disclosures (Sep 2019): Interest Rate Benchmark Reform




3 Significant accounting policies (continued)

(f) Cash and cash equivalents

There are no restrictions on cash and cash equivalents.

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

(g) Financial instruments

The financial instruments held by the Company include the following

• financial assets at fair value through profit or loss;

• financial liabilities designated at fair value through profit or loss;

• derivative financial instruments.

• cash and cash equivalents and other receivables measured at amortised cost; and

• other payables measured at amortised cost.

Recognition and initial measurement

Classification and subsequent measurement of financial assets

(i) Classification of financial assets

On initial recognition, the Company classifies financial assets as measured at amortised cost or FVTPL.

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

• it is held within a business model whose objective is to hold assets to collect contractual cashflows; and

• its contractual terms give rise on specified dates to cash flows that are SPPI.

All other financial assets of the Company are measured at FVTPL.

Business model assessment

•

• how the performance of the portfolio is evaluated and reported to the Company's management;

•

•

•

•

•

Assessment whether contractual cash flows are SPPI

For the purposes of this assessment, ‘principal’ is defined as the fair value of the financial asset on initial recognition. ‘Interest’ is

defined as consideration for the time value of money and for the credit basic lending risks and costs (e.g. liquidity risk and

administrative costs), as well as a profit margin.

how the investment manager is compensated: e.g. whether compensation is based on the fair value of the assets managed or the

contractual cash flows collected; and

the frequency, volume and timing of sales of financial assets in prior periods, the reasons for such sales and expectations about

future sales activity.

The Company has determined that it has two business models.

Cash and cash equivalents includes cash held at banks, which are subject to insignificant risk of changes in their value, and are used by the

Company in the management of its short term commitments.

Other business model: this includes financial assets such as investments in funds. These financial assets are held to sell under

IFRS 9.

Under IFRS 9, the Company initially recognises all financial assets and liabilities on the trade date at which the Company becomes a party

to the contractual provisions of the instruments at fair value. Any transaction costs are accounted for in the Statement of comprehensive

income. From the trade date, any gains and losses arising from changes in fair value of the financial assets or financial liabilities at fair

value through profit or loss are recorded in profit or loss account in the Statement of comprehensive income.

In making an assessment of the objective of the business model in which a financial asset is held, the Company considers all of the

relevant information about how the business is managed:

Held-to-collect business model: this includes cash and cash equivalents and other receivables. These financial assets are held to

collect contractual cash flow.

the documented investment strategy and the execution of this strategy in practice. This includes whether the investment strategy

focuses on earning contractual interest income, maintaining a particular interest rate profile, matching the duration of the

financial assets to the duration of any related liabilities or expected cash outflows or realising cash flows through the sale of the

assets;

the risks that affect the performance of the business model (and the financial assets held within that business model) and how

those risks are managed;





(g) Financial instruments (continued)

(ii) Subsequent measurement of financial assets

Assessment whether contractual cash flows are SPPI (continued)

•

•

•

•

•

Financial assets at FVTPL

Investments in funds and derivative financial instruments are included in this category.

(iii) Classification, subsequent measurement and gains and losses of financial liabilities

Financial liabilities at FVTPL:

• Financial liabilities and derivative financial instruments.

Financial liabilities at amortised cost:

• This includes other payables.

Derivative financial instruments

Derecognition

Derivatives are initially recognised at fair value at the date a derivative contract is entered into and are subsequently remeasured to their

fair value at the end of the reporting period. The resulting gain or loss is recognised in profit or loss in the Statement of comprehensive

income immediately. A derivative with a positive fair value is recognised as a derivative financial asset; a derivative with a negative fair

value is recognised as a derivative financial liability.

The Company derecognises a financial asset when the contractual rights to the cash flows from the asset expire, or it transfers the rights to

receive the contractual cash flows on the financial asset in a transaction in which substantially all the risks and rewards of ownership of the

financial asset are transferred. Any interest in transferred financial assets that is created or retained by the Company is recognised as a

separate asset or liability.

prepayment and extension features;

terms that limit the Company's claim to cash flows from specified assets (e.g. non-recourse features); and

The Company derecognises a financial liability or a derivative financial instrument when its contractual obligations are discharged or

cancelled or expire.

In assessing whether the contractual cash flows are SPPI, the Company considers the contractual terms of the instrument. This

includes assessing whether the financial asset contains a contractual term that could change the timing or amount of contractual cash

flows such that it would not meet this condition. In making this assessment, the Company considers:

contingent events that would change the amount or timing of cash flows;

leverage features;

features that modify consideration of the time value of money (e.g. periodical reset of interest rates).

The financial liabilities at FVTPL are designated at and measured at fair value as a result of the accounting mismatch and net gains

and losses are recognised in profit or loss.

The directors of the Company have assessed the above factors and are of opinion that the SPPI test is not applicable for those financial

assets which are managed and their performance is evaluated on a fair value basis as these financial assets are not held to collect or

sell contractual cash flows.

These assets are subsequently measured at fair value. Net gains and losses, including any foreign exchange gains and losses, are

recognised in profit or loss in ‘net (loss)/gain from financial instruments at FVTPL’ in the Statement of comprehensive income.

Derivative financial instruments include all derivative assets and liabilities that are used to economically hedge or create an appropriate

risk exposure. Derivatives are not formally designated into a qualifying hedge relationship and therefore all changes in their fair value are

recognised immediately in profit or loss in the Statement of comprehensive income. Along with hedging, the Company is also exposed to

some risks by entering into certain derivative instruments such as the risk of defaults in a fully funded swap.

Other financial liabilities are subsequently measured at amortised cost using the effective interest method. Interest expense and foreign

exchange gains and losses are recognised in profit or loss. Any gain or loss on derecognition is also recognised in profit or loss.





(g) Financial instruments (continued)

Offsetting

Impairment of financial instruments

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

(h) Foreign currency transaction

(i) Other receivables

(j) Other payables

Other payables are accounted at amortised cost.

(k) Share capital

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

(l) Funding from Arrangers

(m) Arranger fees

ECLs are a probability-weighted estimate of credit losses. Credit losses are measured as the present value of all cash shortfalls (i.e. the

difference between the cash flows due to the entity in accordance with the contract and the cash flows that the Company expects to

receive).

Measurement of ECLs

12-month ECLs are the portion of ECLs that result from default events that are possible within the 12 months after the reporting date (or a

shorter period if the expected life of the instrument is less than 12 months).

Credit-impaired financial assets

Financial assets and liabilities are set off and the net amount presented in the Statement of financial position when, and only when, the

Company has a legal right to set off the amounts and intends either to settle on a net basis or to realise the asset and settle the liability

simultaneously. Income and expenses are presented on a net basis only when permitted by the accounting standards, or for gains and losses

arising from a group of similar transactions. No set off has occurred during the financial year ended 31 March 2020 and 31 March 2019.

The ECL model applies to financial assets measured at amortised cost, but not to financial assets held at fair value through profit or loss.

The Company considers a financial asset to have low credit risk when the credit rating of the counterparty is equivalent to the globally

understood definition of ‘investment grade’. The Company considers this to be BBB- or higher per Standards and Poor’s Rating Agency.

The results and financial position of the entity are expressed in USD which is the reporting and functional currency of the Company.

Transactions in currencies other than USD are retranslated to the reporting currency of the Company at the date of the transaction. At each

reporting date, monetary items and non-monetary assets and liabilities that are fair valued and are denominated in foreign currencies are

retranslated at the rate prevailing on the reporting date. Gains and losses arising on retranslation are included in net profit or loss for the

year.

Other receivables do not carry any interest and are short-term in nature and have been reviewed for any evidence of expected credit losses.

Other receivables are accounted at amortised cost.

Income is received from the Arrangers to meet the expenses of the Company. These amounts are accounted for in the Statement of

comprehensive income under ''other income''.

At each reporting date, the Company assesses whether financial assets carried at amortised cost are credit impaired. A financial asset is

credit-impaired when one or more events that have a detrimental impact on the estimated future cash flows of the financial asset have

occurred.

Loss allowances for financial assets measured at amortised cost are deducted from the gross carrying amounts of the assets in the statement

of financial position. The amount of loss allowances accounted for as at 31 March 2020 is immaterial as the amortised amounts

approximate the carrying amounts.

Arranger fees relate to amount paid to the Arrangers for the services provided in relation to the Series of Notes in issue. These amounts are

accounted for in the Statement of comprehensive income under ''operating expenses''.





(n) Segment reporting

Please refer to note 25 to the financial statements for more details on segmental reporting.

4 Determination of fair values

Fair value measurement principles

The carrying amounts of all the Company’s financial assets and financial liabilities at the reporting date approximated their fair values.

Critical accounting judgements in applying the Company’s accounting policies

Fund-linked Notes

Series Fund

1 Class C Participating Shares in UBS Property Holding Conduit Limited

2 Class B Participating Shares in UBS Property Holding Conduit Limited

3 Class A Participating Shares in UBS Property Holding Conduit Limited

4 Class D Participating Shares in UBS Property Holding Conduit Limited

13 A&Q Dynamic Diversified Limited USD - Class H

16 Key Multi-Manager Hedge Fund - Diversified Ltd Class H USD

17 Key Multi-Manager Hedge Fund - Focused Ltd USD - Class H

The fair value of a financial asset and liability is the price that would be received to sell an asset or paid to transfer a liability in an orderly

transaction between market participants at the measurement date.

The determination of fair values of financial assets at fair value through profit or loss is based on net asset values (“NAV”) provided by UBS

Europe SE and UBS AG, London Branch (the “Arrangers”) or the administrator of the underlying asset. The determination of fair values of

derivative financial assets and liabilities that are not quoted in an active market are estimated by management. Management’s estimates are in

certain cases based on values obtained from the arranging investment bank of the derivative, and in all cases are determined in whole or in part

using valuation techniques that provides an estimate of prices obtained should the derivative financial assets or liabilities be traded.

For more complex instruments, the Company relies on prices provided from a counterparty, or using fund net asset values provided by the

administrators of the underlying funds.

Investments - The methodology applied to fair value the investments is to use the NAV as at 31 March 2020 and 31 March 2019 of the

individual fund as detailed below on the basis that the NAVs of the underlying funds are determined on a fair value basis. The directors

consider the NAV as an appropriate basis for fair value for the financial assets held by the Company as the financial assets do not have a

readily determinable fair value and the NAV of the funds is calculated in a manner consistent with the measurement principles of investing

company accounting, including measurement of the underlying investments at fair value. The unadjusted NAV is used when the units in a fund

are redeemable at the reportable net asset value at , or approximately at, the measurement date. If this is not the case, then the NAV is used as a

valuation input and an adjustment is applied for lack of marketability/restricted redemptions. This adjustment is based on management

judgement after considering the period of restrictions and nature of the underlying investments.

The following methodologies have been applied in determining the fair values of each class of Notes:

The principal asset of the Company is financial assets at fair value through profit or loss. They are originated in Cayman Islands, Jersey,

Luxembourg and British Virgin Islands. They were funded by Notes issued and EP Loan providers in the same currency. The cash and cash

equivalents are held in London and Dublin. The directors do not use any other segments for the purpose of managing the Company and

further segmental reporting is not considered necessary.

Critical accounting judgements made in applying the Company’s accounting policies in relation to valuation of financial instruments are

further described in note 21 to the financial statements.

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 the

repackaging of bonds and other debt instruments, on behalf of investors, which are bought in the market and subsequently securitised to

avail of potential market opportunities and risk return asymmetries. The Company has no employees, has only one business unit, thus all

administrative and operating functions are carried out and reviewed by the Administrator and Company Secretary, Apex Corporate

Services (Ireland) Limited.

The Company's principal activity is to invest in financial instruments which are the revenue generating segment of the Company. The

Chief Operating Decision Maker (CODM) of the Company is the Board. The Company is an SPV whose principal activities are the

issuance of Notes and investment in funds. The CODM does not consider each underlying Series of Notes as a separate segment, rather

they look at the structure as a whole. Based on that fact, the directors confirm that there is only one segment.




4 Determination of fair values (continued)

Critical accounting judgements in applying the Company’s accounting policies (continued)

Fund-linked Notes (continued)

Investments (continued)

Series Fund

24 A&Q Neutral Alpha Strategies (Feeder) Ltd - EUR Class HI

46 Systematica Trading Vehicle I Limited - USD Share Class

48 Ferrum Fund - Multistrategy II Class B

54 GAM Commodities Inc

68 Millburn Diversified Program Commodity Sub-Portfolio USD Class

71 TRS Tulip Rising Star Ltd Class A

72 LGIP Funds (Cayman) SPC Global Unconstrained Fund SP Segregated Portfolio - Class A6

73 Millburn Adaptive Allocation Program Global Equity Fixed USD Class

Notes - Due to the limited recourse aspects of the Notes, the value of the Notes will be equal to the value of the underlying fund units held.

Details of the Fund-linked Notes are included in note 15 to the financial statements.

EP Loan

Series Fund

Threshold II Series 4 Key Multi-Manager Hedge Fund - Diversified Ltd Class H USD

Threshold II Series 5 Key Multi-Manager Hedge Fund - Diversified Ltd Class H CHF

Threshold II Series 6 Key Multi-Manager Hedge Fund - Diversified Ltd Class H EUR

Threshold II Series 11 Key Multi-Manager Hedge Fund - Focused Ltd. USD - Class H

Threshold II Series 12 Key Multi-Manager Hedge Fund - Focused Ltd. CHF - Class H

Threshold II Series 13 Key Multi-Manager Hedge Fund - Focused Ltd. EUR - Class H

Threshold II Series 14 Q-BLK Appreciation Fund, Inc. - Class R (EUR)

Series Stock exchange index

Threshold II Series 4 Multi-Strategy Alternative USD Index

Threshold II Series 5 Multi-Strategy Alternative II CHF Index

Threshold II Series 6 Multi-Strategy Alternative II EUR Index

Threshold II Series 11 Focused USD Index

Threshold II Series 12 Focused CHF Index

Threshold II Series 13 Focused EUR Index

Threshold II Series 14 Alternative Appreciation Index EUR

5

31-Mar-20 31-Mar-19

USD USD

(51,070,481) (280,772,605)

(51,070,481) (280,772,605)

Series 20, 38, 39, 40, 44, 63, 69 and 70 were fully redeemed during the financial year ended 31 March 2020.

Swaps - The fair value of the swaps is determined using quoted prices of the equity portfolio and index levels at the reporting date and

discounted to the present value based on market inputs. The swap fair value of the Lux Fund is the difference between the fair value of the

Equity Portfolio and the fair value of the index.

EP Loan - The value of the EP loan is the fair value of the equity portfolio. Details of the EP Loan are included in note 15 and note 21 to the

financial statements.

Net loss on financial assets at fair value through profit or loss Financial year

ended

Financial year

ended

Net loss on financial assets at fair value through profit or loss

The following methodologies have been applied in determining the fair values of each class of Notes (continued):

Investments - The methodology applied to fair value the investments is to use the NAV as at 31 March 2020 of the individual fund as detailed

below:




6

31-Mar-20 31-Mar-19

USD USD

154,539,507 128,632,247

154,539,507 128,632,247

7 Net (loss)/gain on derivative financial instruments

31-Mar-20 31-Mar-19

USD USD

Fair value movement on derivative financial instruments (100,886,435) 156,306,803

(100,886,435) 156,306,803

8 Other income

31-Mar-20 31-Mar-19

USD USD

Funding from Arranger 1,064,452 1,030,292

Corporate benefit 1,096 582

1,065,548 1,030,874

9 Operating expenses

31-Mar-20 31-Mar-19

USD USD

Arranger fees* (2,713,435) (4,166,445)

Custodian fees (613,623) (615,845)

Administration fees (144,763) (173,008)

Professional fees (107,515) (142,285)

Audit fees (51,137) (62,771)

Tax fees (5,270) (5,199)

Bank charges (3,368) (2,702)

(3,639,111) (5,168,255)

Auditor's remuneration for the financial year (excluding VAT):

31-Mar-20 31-Mar-19

USD USD

- Audit of individual Company financial statements 49,653 60,949

- Other assurance services - -

- Tax advisory services 4,930 5,048

- Other non-audit services - -

54,583 65,997

Net gain on financial liabilities designated at fair value through profit or loss Financial year

ended

Financial year

ended

Net gain on financial liabilities designated at fair value through profit or loss

The Company is administered on behalf of its directors by Apex Corporate Services (Ireland) Limited. The directors of the Company received

no remuneration from the Company during the financial year (2019: USD Nil). The Company has no employees and services required are

contracted from third parties.

Section 305A(1)(a) of the Companies Act 2014 (as amended), requires disclosure that Apex Corporate Services (Ireland) Limited, received

USD 7,238 (EUR 6,585) (2019: USD 1,928 (EUR 1,719)), as consideration for the making available of individuals to act as directors of the

Company.

The terms of the corporate services agreement in place between the Company and Apex Corporate Services (Ireland) Limited, provides for a

single fee for the provision of corporate administration services (including the making available of individuals to act as directors of the

Company). As a result, the allocation of fees between the different services provided is a subjective and approximate calculation. The

individuals acting as directors do not (and will not), in their personal capacity or any other capacity, receive any fee for acting or having acted

as directors of the Company. For the avoidance of doubt, notwithstanding that the directors of the Company are employees of Apex Corporate

Services (Ireland) Limited, as from the same date, they each do not receive any specific remuneration for acting as directors of the Company.

Financial year

ended

Financial year

ended

Financial year

ended

Financial year

ended

*Arranger fees relate to the amount paid to UBS Europe SE (the “Arranger”) by the Company for the services provided in relation to Series 38,

46, 48, 54, 63, 68, 69, 70 and 71 (2019: Series 18, 19, 38, 44, 46, 54, 55, 63, 68, 69, 70).

Financial year

ended

Financial year

ended

Financial year

ended

Financial year

ended




10 Income tax

31-Mar-20 31-Mar-19

USD USD

1,096 582

274 146

274 146

11 Financial assets at fair value through profit or loss 31-Mar-20 31-Mar-19

USD USD

Investments 1,966,876,953 3,348,874,193

Movement in investments:

At start of the financial year 3,348,874,193 4,149,026,112

*Non-cash transactions:

Additions during the financial year 2,128,959,940 3,198,258,832

Disposals during the financial year (2,960,029,005) (3,488,853,911)

**Cash transactions:

Additions during the financial year 42,320,577 34,576,164

Disposals during the financial year (542,178,271) (263,360,399)

Net gains or losses due to fair value (51,070,481) (280,772,605)

At end of the financial year 1,966,876,953 3,348,874,193

**Cash transactions are those transactions that have been transacted through the Company's bank accounts.

31-Mar-20 31-Mar-19

USD USD

Less than 1 year 422,389,129 1,056,077,304

1-2 years 207,944,138 317,173,596

2-5 years 1,336,543,686 1,975,623,293

> 5 years - -

1,966,876,953 3,348,874,193

*Non-cash transactions refer to additions and disposals for the investment in funds and Threshold II investments that have flowed through the

paying agent bank.

Profit before tax

Current tax at rate of 25%

Current tax charge

The Company will continue to be taxed at 25% (2019: 25%) in accordance with Section 110 of the Taxes Consolidation Act, 1997.

Financial year

ended

Financial year

ended

While the contractual maturity of the Notes is on demand due to the presence of an early redemption feature for Noteholders to redeem on

demand, as disclosed in note 15, all amounts in respect of the issued Notes are expected to be recovered in greater than twelve months from the

date of the Statement of financial position date. The maturity profile of the expected timings of settlement of the financial assets as at the

financial year ended is set out above.




11 Financial assets at fair value through profit or loss (continued)

Fund-linked Notes - Investment in Funds (continued)

Details of the fair values of investments of each Series by type of investment in shares are disclosed below (continued):

Series name and description Ccy Closing Closing

Fair Value Fair Value

31-Mar-19 31-Mar-20

USD USD USD USD USD

Participating shares

1 EUR 4,373,747 - - 225,326 4,599,073

2 CHF 4,030,340 - - 419,256 4,449,596

3 USD 4,006,215 - - 426,813 4,433,028

4 GBP 353,983 - - 13,164 367,147

13 USD 495,909,863 - (188,275,619) 21,682,132 329,316,376

44 USD 8,651,493 - (8,600,380) (51,113) -

Non-voting shares

16 USD 18,118,800 505,948 (8,779,875) 273,677 10,118,550

17 USD 8,905,003 1,548,319 (23,087) (13,828) 10,416,407

24 EUR 17,290,862 2,383,576 (13,181,689) (198,994) 6,293,755

48 USD 16,425,388 - (290,594) (1,832,405) 14,302,389

71 USD 1,603,452 1,150,000 (575,000) (945,837) 1,232,615

72 USD - 12,000,000 - 936,773 12,936,773

20 USD 1,652,555 - (1,610,098) (42,457) -

70 EUR 279,156,230 - (278,681,835) (474,395) -

Non-voting participating shares

54 GAM Commodities Inc USD 5,136,510 - (1,625,000) (2,874,606) 636,904

38 USD 88,483,280 - (91,486,344) 3,003,064 -

40 USD 898,405 - (860,237) (38,168) -

40 USD 184,726 - (176,943) (7,783) -

40 USD - 447,000 (432,344) (14,656) -

Balance carried forward 955,180,852 18,034,843 (594,599,045) 20,485,963 399,102,613

Class C Participating Shares in

UBS Property Holding Conduit

Limited

Class B Participating Shares in


Limited

Class D Participating Shares in


Limited

A&Q Dynamic Diversified Limited

USD - Class H

China Evergreen Acquisition Corp.

- Class A

Key Multi-Manager Hedge Fund -

Diversified Ltd Class H USD

Additions Disposals Net gains and

(losses) due to FV

TRS Tulip Rising Star Ltd Class A

LGIP Funds (Cayman) SPC Global

Unconstrained Fund SP Segregated

Portfolio - Class A6

Class A Participating Shares in


Limited

Parametrica Asia Fund, Ltd - Class

C Restricted 2/20 - Series May

2019

Arosa Capital Management Neutral

Offshore Fund Ltd Class A-3 2015-

07


C Restricted 2/20 - Series

September 2016


C Restricted 2/20 - Series March

2017


Focused Ltd USD - Class H

AAA SPV, LTD - Class A

A&Q Neutral Alpha Strategies

(Feeder) Ltd - EUR Class HI

Ferrum Fund - Multistrategy II

Class B

A&Q Neutral Alpha Strategies

(Feeder) Ltd - EUR Class HIS





Fund-linked Notes - Investment in Funds (continued)

Details of the fair values of investments of each Series by type of investment in shares are disclosed below (continued):

Series name and description Ccy Closing Closing


31-Mar-19 31-Mar-20

USD USD USD USD USD

Balance brought forward 955,180,852 18,034,843 (594,599,045) 20,485,963 399,102,613

Non-voting participating shares (continued)

63 USD 7,075,450 - (7,316,049) 240,599 -

69 USD 63,115,064 - (64,382,697) 1,267,633 -

Voting shares

46 USD 8,304,623 11,440,000 (13,845,000) 1,574,877 7,474,500

39 EUR 3,161,595 - (3,195,286) 33,691 -

Participating voting/ non-voting shares

68 USD 19,239,720 11,400,000 (30,404,999) 13,232,645 13,467,366

73 USD - 3,500,000 - (1,155,350) 2,344,650

1,056,077,304 44,374,843 (713,743,076) 35,680,058 422,389,129

EP Loan - Investment in hedge funds

The composition of the investment in hedge funds is as follows:

Series Description Units balance Units balance

31-Mar-19 31-Mar-20

Threshold II Series 4 43,068 468 (19,211) 24,325

Threshold II Series 5 235,449 228,951 (328,938) 135,462

Threshold II Series 6 739,182 733,274 (1,038,398) 434,058





1,704,015 1,590,473 (2,087,866) 1,206,622

Q-BLK Appreciation Fund, Inc. -

Class R (EUR)

The Company has invested in the Participating shares, Non-voting shares, Non-voting participating shares, Voting shares and Participating

voting/non-voting shares of the above funds. Although the Company has invested in Voting shares, it does not have any control and power

over the investees as power is not determined through voting rights over shares.

Additions Disposals


(losses) due to FV


Diversified Ltd Class H USD


Diversified Ltd Class H CHF


Diversified Ltd Class H EUR


Focused Ltd. USD - Class H


Focused Ltd. CHF - Class H


Focused Ltd. EUR - Class H

Arosa Capital Management Market

Neutral Offshore Fund Ltd Class A-

3 2016-10

Key Hedge Fund Delegation SPC -

D Factory Segregated Portfolio

USD

Millburn Adaptive Allocation

Program Global Equity Fixed USD

Class

A&Q Stable Growth Limited Class

HI EUR Restricted

Systematica Trading Vehicle I

Limited - USD Share Class

Millburn Diversified Program

Commodity Sub-Portfolio USD

Class





EP Loan - Investment in hedge funds (continued)

Details of the fair values of each Series is disclosed below:

Series Description Ccy Closing Closing


31-Mar-19 31-Mar-20

USD USD USD USD USD

USD 60,157,831 674,608 (28,097,195) 805,320 33,540,564

CHF 258,138,208 255,299,043 (368,882,636) 1,374,994 145,929,609

EUR 1,007,411,319 1,003,765,226 (1,416,306,613) (41,125,254) 553,744,678

USD 29,072,670 1,584,006 (3,101,971) 64,123 27,618,828

CHF 126,838,227 126,621,256 (131,775,066) 5,209 121,689,626

EUR 494,005,038 513,311,067 (530,077,744) (23,217,977) 454,020,384

EUR 317,173,596 225,650,468 (310,222,975) (24,656,954) 207,944,135

2,292,796,889 2,126,905,674 (2,788,464,200) (86,750,539) 1,544,487,824

12 Derivative financial instruments 31-Mar-20 31-Mar-19

USD USD

At beginning of the financial year 210,749,437 101,858,300

Non-cash transactions*:

Payments to Swap Counterparty 249,702,495 766,050,846

Receipts from Swap Counterparty (552,420,429) (813,466,512)

Fair value movement due to market risk (100,886,435) 156,306,803

At end of the financial year (192,854,932) 210,749,437

31-Mar-20 31-Mar-19

USD USD

Derivative asset - Swaps with UBS Fund 128,944,130 188,457,532

Derivative asset - Swaps with Lux Fund - 30,002,155

128,944,130 218,459,687

Derivative liabilities - Swaps with Lux Fund (321,799,062) (7,710,250)

(321,799,062) (7,710,250)

The financial assets are held as collateral for Notes issued by the Company or loans funding the activity.

The carrying value of the assets of the Company represents their maximum exposure to credit risk. Credit risk is ultimately transferred to the

Swap Counterparties and/or the Noteholders.

*Non cash transactions refers to receipts and payments from/to the Swap Counterparties arising out of movements on the Notes issued and

investments in funds and Threshold II investments that have flowed through the paying agent bank.

Threshold II

Series 12

Key Multi-Manager

Hedge Fund - Focused

Ltd. CHF - Class H

Threshold II

Series 13

Key Multi-Manager


Ltd. EUR - Class H

Threshold II

Series 14

Q-BLK Appreciation

Fund, Inc. - Class R

Refer to note 21 to the financial statements for a description of the credit risk, concentration and currency risk disclosures relating to financial

assets.

Threshold II

Series 5

Key Multi-Manager

Hedge Fund -

Diversified Ltd Class H

CHF

Threshold II

Series 6

Key Multi-Manager

Hedge Fund -


EUR

Threshold II

Series 11

Key Multi-Manager


Ltd. USD - Class H


(losses) due to FV

Threshold II

Series 4

Key Multi-Manager

Hedge Fund -


USD




12 Derivative financial instruments (continued)

Fully funded Swaps with UBS Europe SE and the Lux Fund

13 Other receivables 31-Mar-20 31-Mar-19

USD USD

Receivable on disposal of financial assets* 71,150,554 1,465,327

Income receivable from Arranger** 134,857 343,685

VAT receivable 17,404 15,842

Prepayments 1,392 641

Corporate benefit receivable 1,096 -

Receivable from Swap Counterparty*** - 1,158,889

71,305,303 2,984,384

14 Cash and cash equivalents 31-Mar-20 31-Mar-19

USD USD

Cash at bank 216,776 264,340

15 Financial liabilities designated at fair value through profit or loss

31-Mar-20 31-Mar-19

USD USD

1,774,065,756 3,559,623,630

Maturity Analysis EP loan Total Fund- linked EP loan Total

31-Mar-20 31-Mar-20 31-Mar-19 31-Mar-19 31-Mar-19

USD USD USD USD USD

- 422,432,864 1,056,077,304 - 1,056,077,304

1-2 financial years 186,533,702 186,533,702 - 345,289,077 345,289,077

2-5 financial years 1,165,099,190 1,165,099,190 - 2,158,257,249 2,158,257,249

> 5 financial years - - - - -

1,351,632,892 1,774,065,756 1,056,077,304 2,503,546,326 3,559,623,630

*This relates to Series 40, 44, 48, Threshold II Series 4, 5, 6, 11, 12 and 13 share redemption proceeds not yet settled as at the financial year

end (2019: Series 38 and Threshold II Series 4 and 11). During the financial year ended 31 March 2020, an amount of USD 317,720 relating to

Series 38 share redemption proceeds due in the prior financial year was received in the Company's bank account. As at 31 March 2020 and 31

March 2019, the amount receivable on disposal of financial assets under the Threshold II Seres were netted off against the amount payable to

the Swap Counterparty as disclosed in note 16.

Less than 1 financial

year

422,432,864

-

-

-

422,432,864

Financial liabilities

Fund- linked

31-Mar-20

USD


demand, as disclosed in this note, all amounts in respect of the issued Notes are expected to be recovered in greater than twelve months from

the date of the Statement of financial position date. The maturity profile of the expected timings of settlement of the financial liabilities as at

the financial year ended is set out below.

The Company entered into a swap transaction with the Lux Fund where they receive the return on the equity portfolio and pay the return on a

specified index. The Company also entered into a swap paying the return on the hedge fund shares and receiving the return on the same

specified index (the "Swap Agreement") with UBS Europe SE, in order to protect its exposure. Refer to note 4 for details of how the swaps are

valued.

Details regarding the valuation of derivative financial instruments are outlined in note 3(g), note 4 and note 21 to the financial statements.

***This relates to amount receivable from the Swap Counterparty upon acquisition of Threshold II Series 5, 6, 12 and 13 shares not yet settled

as at 31 March 2019.

The Company's cash at bank is held with Deutsche Bank AG, London Branch (99%) (2019: 99%) and Citigroup Centre (1%). As at 31 March

2019, the Company also held bank accounts with Deutsche Bank, Singapore Branch (1%) which have been closed during the financial year.

**As at 31 March 2020, this includes an amount of USD 165,055 relating to Series 48 share redemption proceeds payable to UBS Europe SE

as arranger fee and an income receivable from the Arranger amounting to USD 299,912 (2019: USD 317,720 relating to Series 38 share

redemption proceeds payable as arranger fee and an income receivable from the Arranger amounting to USD 661,405).




15 Financial liabilities designated at fair value through profit or loss (continued)

Movement in fund-linked Notes 31-Mar-20 31-Mar-19

USD USD

At beginning of financial year 1,056,077,304 1,485,619,258



Redemptions during the financial year (171,356,015) (467,658,422)

Cash transactions:


Redemptions during the financial year (539,760,735) (259,511,674)

Net gains or losses due to fair value 33,097,467 (47,712,627)

At end of the financial year 422,432,864 1,056,077,304

The proceeds from the funds are reinvested in further investments until redemption repayments.

Movement in EP loan 31-Mar-20 31-Mar-19

USD USD




Redemptions during the financial year (3,270,014,865) (3,040,813,830)

Net gains or losses due to fair value (187,636,974) (80,919,620)


Total 1,774,065,756 3,559,623,630

Fund-linked Notes

Details of the Notes in issue at 31 March 2020 and 31 March 2019 are detailed below:

Series Maturity date CCY Fair Value Fair Value

31-Mar-20 31-Mar-19

USD USD

1 EUR 4,599,073 4,373,747

2 CHF 4,449,596 4,030,340

3 USD 4,433,028 4,006,215

4 GBP 367,147 353,983

13 USD 329,316,376 495,909,863

16 31-Jul-23 USD 10,118,550 18,118,800

17 31-Jul-23 USD 10,416,407 8,905,003

24 19-Jul-24 EUR 6,293,755 17,290,862

40 USD 43,735 1,083,131

46 USD 7,474,500 8,304,623

48 USD 14,302,389 16,425,388

54 USD 636,904 5,136,510

68 USD 13,467,366 19,239,720

71 USD 1,232,615 1,603,452

72 USD 12,936,773 -

73 USD 2,344,650 -

20 USD - 1,652,555

Balance carried forward 422,432,864 606,434,192

30-Nov-21

28-Feb-22

28-Apr-23

15-May-21

10-Dec-20

31-Mar-21

05-Feb-25

03-Mar-25

08-Dec-21

08-Dec-21

08-Dec-21

08-Dec-21

14-Jun-24

31-Mar-21

*Non-cash transactions refers to acquisitions and redemptions of fund-linked Notes and EP Loan that have flowed through the paying agent

bank.

STAR COMPASS PLC Page 34




Fund-linked Notes (continued)

Details of the Notes in issue at 31 March 2020 and 31 March 2019 are detailed below (continued):

Series Maturity date CCY Fair Value Fair Value

31-Mar-20 31-Mar-19

USD USD

Balance brought forward 422,432,864 606,434,192

38 USD - 88,483,280

39 EUR - 3,161,595

44 CNY - 8,651,493

63 USD - 7,075,450

69 USD - 63,115,064

70 EUR - 279,156,230

422,432,864 1,056,077,304

The Notes are zero-coupon that make no periodic interest payments.

The risk associated with the financial assets remain with the Noteholders due to the limited recourse nature of the Notes issued.

EP Loan

The outstanding loans as at 31 March 2020 and 31 March 2019 were as follows:

Series CCY 31-Mar-20 31-Mar-20 31-Mar-19 31-Mar-19

Fair Value Units Fair Value Units

USD outstanding USD outstanding

Threshold II Series 4 USD 29,874,707 2,079 62,818,618 3,681

Threshold II Series 5 CHF 125,505,381 8,734 277,640,883 16,269

Threshold II Series 6 EUR 493,457,156 34,340 1,112,509,016 65,190

Threshold II Series 11 USD 23,968,740 1,668 30,069,656 1,762

Threshold II Series 12 CHF 101,134,288 7,038 135,040,402 7,913

Threshold II Series 13 EUR 391,158,918 27,221 540,178,675 31,653

Threshold II Series 14 EUR 186,533,702 12,981 345,289,076 20,233

1,351,632,892 94,061 2,503,546,326 146,701

31-Mar-20 31-Mar-19

Types of financial liabilities % %

Fund-linked Notes 24 30

EP Loan 76 70

100 100

At the reporting date, the Company's financial liabilities designated at fair value through profit or loss were concentrated in the following types:

30-Sep-23

30-Sep-23

31-Mar-21

All the Notes issued are listed on Vienna Stock Exchange except Series 1 to 4, which are listed on the Euronext Dublin.

Maturity date

30-Sep-23

30-Sep-23

30-Sep-23

30-Sep-23

The Notes in issue are linked to the investments in the funds and are therefore exposed on the performance of the funds. For most of the Notes,

any acquisitions or disposals of the investment in funds and Threshold II investments are mirrored by a corresponding movement in the Notes.

However, for some Series, the Company redeemed a relevant portion of the investment in funds in order to fund the arranger fees paid to UBS

Europe SE or UBS AG, London Branch. Refer to note 11 to the financial statements for more details on the Series investments.

All the Notes as mentioned above are Fund-linked Notes. They are repayable on demand and are valued at fair value.

Notes issued for a particular Series are measured at fair value through profit or loss when the related financial assets are fair valued.

All the Notes are limited recourse Notes and are secured by a way of a charge over the collateral held as noted in note 11 to the financial

statements.

In the event that the accumulated losses of the relevant Series prove not to be recoverable during the life of the Notes issued, this will reduce

the obligation to the Noteholders by an equivalent amount.

16-Aug-21

23-Jun-22

24-Jan-22

15-May-20

30-Sep-20

The EP Loan have monthly transactions and are valued at fair value.

21-Dec-21





Fund-linked Notes

EP Loan

16 Other payables 31-Mar-20 31-Mar-19

USD USD

Payable to Swap Counterparty* 70,869,764 1,147,607

Accrued expenses 428,555 835,299

Payable to Noteholders** 72,000 -

Payable on acquisition of financial assets*** - 1,158,889

71,370,319 3,141,795

***This relates to acquisition of Threshold II Series 5, 6, 12 and 13 shares not yet settled as at 31 March 2019.

17 Called up share capital presented as equity 31-Mar-20 31-Mar-19

Authorised: EUR EUR

40,000 ordinary share of EUR 1 each 40,000 40,000

Issued and fully paid: USD USD

40,000 ordinary share of EUR 1 each 54,684 54,684

(converted at historical rate of EUR:USD 1.3671)

Presented as follows: USD USD

Called up share capital presented as equity 54,684 54,684

18 Ownership of the Company

19 Transactions with related parties

Transactions with Administrator

During the financial year ended 31 March 2020, the Company incurred an amount of USD 144,763 relating to administration services

provided by Apex Corporate Services (Ireland) Limited (2019: from 1 April 2018 to 7 January 2019 USD 61,915 (Administrator: Deutsche

International Corporate Services (Ireland) Limited) and from 8 January 2019 up to 31 March 2019 USD 111,093 (Administrator: Apex

Corporate Services (Ireland) Limited)). As at 31 March 2020, an amount of USD 74,937 (2019: USD 111,093) was due to the Administrator of

the Company. All directors are employees of Apex Corporate Services (Ireland) Limited, which is the Administrator of the Company. Michael

Carroll and Niall Vaughan, as directors of the Company, have an interest in this fee in their capacity as directors of Apex Corporate Services

(Ireland) Limited.

A description of the principal types of financial liabilities in issue is as follows:

Under these Series, the Company issued Notes and used the Notes proceeds to invest in the respective funds for each specified Series. The

Company invests in financial assets at fair value through profit or loss.

Under these Series, the Company borrowed loans and used the loan proceeds to purchase fund of hedge fund shares. The Company also enters

into Swap Agreements with the Lux Fund and UBS Europe SE. The Company invests in financial assets at fair value through profit or loss.

*This relates to amount payable to the Swap Counterparty upon redemption of Threshold II Series 4, 5, 6, 11, 12 and 13 shares not yet settled

as at the financial year end (2019: Threshold II Series 4 and 11).

**This relates to amount payable to Noteholders upon redemption of Series 44 Notes not yet settled as at 31 March 2020 (2019: USD Nil).

The issued shares are held in trust by Registered Shareholder Services No. 1 Company Limited by Guarantee, holding 13,336 shares and

Registered Shareholder Services No. 2 Company Limited by Guarantee and Registered Shareholder Services No. 3 Company Limited by

Guarantee, each holding 13,332 shares of the Company.

Therefore, the principal shareholder of the Company is Registered Shareholder Services No. 1 Company Limited by Guarantee, holding 13,336

shares of the Company. All shares are held in trust for charity under the terms of the declaration of trust.

The Share Trustees have appointed a Board of directors to run the day to day activities of the Company. The Board has considered the issue as

to who is the ultimate controlling party. It has been determined that the control of the day to day activities of the Company rests with the

Board.

The control over the activities of the Company rests with the Noteholders who are the ultimate beneficial owners of the Company.




19 Transactions with related parties (continued)

Transactions with Arranger

Transactions with Swap Counterparty

20 Charges

21 Financial risk management

Introduction and overview

There were no other transactions with related parties that require disclosure in the financial statements.

Given the ring fenced nature of the Notes issued by the Company, Series are secured by way of a charge over the collateral purchased by the

respective Series and by an assignment of a fixed first charge of the Company’s rights, title and interest under respective Swap Agreements for

the Series. All of the financial assets at fair value through profit or loss on the Statement of financial position are held as collateral under each

Series. The Charged Assets comprise of investment in funds and hedge funds and other assets as more particularly specified in the relevant

Series Memorandum for each Series in issue.

The Company has established a secured Note Programme arranged by UBS Europe SE and UBS AG, London Branch. Under the Note

Programme, the Company has issued several Series of Notes where the net issuance proceeds are used to invest into fund shares. The Notes in

issue are linked to the investments in the funds and are therefore exposed to the performance of the funds.

The Company has also established an EP Loan programme also arranged by UBS Europe SE and UBS AG, London Branch where the

Company entered into a securities lending and borrowing agreement with each of the sub fund under Lux Fund, under which the Lux Fund (as

Lender) agreed to lend to the Company (as Borrower) a portfolio of equities, with the right to sell the EP Loan. The Lux Fund is an umbrella

fund which is comprised of several specific sub funds. The Company sold the equities and the proceeds of the sale were used to purchase fund

of hedge fund shares. At the same time, under each Threshold II Series, the Company entered into a swap transaction with the Lux Fund where

they receive the return on the equity portfolio and pay the return on a specified index. Under each of these Series, the Company also entered

into a swap paying the return on the hedge fund shares and receiving the return on the same specified index (the "Swap Agreement") with UBS

Europe SE, in order to protect its exposure. The hedge fund shares are held as collateral under the Swap Agreement.

The Company has also entered into various Swap Agreements with UBS Europe SE and the Lux Fund, as Swap Counterparty. Details of the

swaps are disclosed in note 12 to the financial statements.

For Threshold II, the Company entered into a securities lending and borrowing agreement with the Lux Fund, which the Lux Fund (as Lender)

agreed to lend to the Company (as Borrower) a portfolio of equities, with the right to sell the EP Loan. The Company sold the equities and the

proceeds of the sale were used to purchase the FoHF shares from UBS Europe SE. The hedge fund shares are held as collateral for the EP Loan

funding the activity. The FoHF shares are held as collateral in favour of the Lux Fund in accordance with the securities lending and borrowing

agreement. At the same time, the Company entered into a swap transaction with the Lux Fund where they receive the return on the equity

portfolio and pay the return on a specified index. The Company also entered into a swap paying the return on the hedge fund shares and

receiving the return on the same specified index with UBS Europe SE, the Swap Counterparty in order to protect its exposure.

For Threshold II, the Company entered into a securities lending and borrowing agreement with the Lux Fund, which the Lux Fund (as Lender)

agreed to lend to the Company (as Borrower) a portfolio of equities, with the right to sell the EP Loan. The Company sold the equities and the

proceeds of the sale were used to purchase fund of hedge fund shares from UBS Europe SE. The FoHF shares are held as collateral in favour of

the Lux Fund in accordance with the securities lending and borrowing agreement. The EP Loan is issued to the Lux Fund, which is an entity of

the Swap Counterparty. At the same time, under each Threshold II Series, the Company entered into a swap transaction with the Lux Fund

where they receive the return on the equity portfolio and pay the return on a specified index. Under each of these Series, the Company also

entered into a swap paying the return on the hedge fund shares and receiving the return on the same specified index (the "Swap Agreement")

with UBS Europe SE, in order to protect its exposure. All transactions relating to disposal of financial assets to UBS Europe SE are disclosed

in note 11 to the financial statements and all transactions relating to derivative financial instruments with the Lux Fund and UBS Europe SE

are disclosed in note 12 to the financial statements.

An amount of USD 70,869,764 (2019: USD 1,147,607) was payable to the Swap Counterparty upon redemption of Threshold II Series 4, 5, 6,

11, 12 and 13 shares (2019: Threshold II Series 4 and 11 shares) not yet settled as at the financial year end.

UBS Europe SE and UBS AG, London Branch, as Arrangers for each Series, paid the Company EUR 500 for each new Series issued. All

payments to and from the Swap Counterparty have been disclosed on the Statement of comprehensive income and in the notes to the financial

statements. Any acquisition and disposal of financial assets are transacted with the Arrangers of the Company. In addition, all costs associated

with the Company are paid by the Arranger. During the financial year, the Company incurred a fee of USD 144,763 (2019: USD 173,008)

relating to administration services, USD 61,307 (2019: USD 62,771), exclusive of VAT, relating to audit fees and USD 5,270 (2019: USD

5,199), exclusive of VAT, relating to tax advisory fees, which were reimbursed by the Arranger.




21 Financial risk management (continued)

Introduction and overview (continued)

• The Company is a bankruptcy remote SPV, organised in Ireland;

• The Company issues separate Series of debt obligations;

• Assets relating to any particular Series of Notes issued are held separate and apart from the assets relating to any other Series;

• Any swap transaction entered into by the Company for a Series is separate from any other swap transaction for any other Series;

• For each Series of Notes issued, only the trustee is entitled to exercise remedies on behalf of the Noteholders and EP Loan providers; and

• Each Series of Notes issued is reviewed by a rating agency prior to issuance regardless of whether it is to be rated or not.

The Company is not engaged in any other activities.

Risk management framework

The Board of directors has overall responsibility for the establishment and oversight of the Company’s risk management framework.

The Company has exposure to the following risks from its use of financial instruments:

(a) Credit risk;

(b) Market risk; and

(c) Liquidity risk.

Fund-linked Notes

EP Loan

(a) Credit risk

Credit risk is the risk of 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 financial assets. The Company’s principal financial assets are cash and cash equivalents, other

receivables, derivative financial assets and financial assets at fair value through profit or loss, which represents the Company’s maximum

exposure to credit risk.

In each Series under Threshold II, the Company entered into a securities lending and borrowing agreement with the Lux Fund, which the

Company borrowed loans and used the loan proceeds to purchase fund of hedge fund shares. The Company also enters into Swap Agreements

with the Lux Fund and UBS Europe SE. The structure of the Company is designed in such a way that the net return on the assets and EP loan

is the exposure of the relevant index. Refer to note 12 to the financial statements for a description of the swaps entered into by the Company.

The Company’s risk management policies are established to identify and analyse the risks faced by the Company, to set appropriate risk limits

and controls, and to monitor risks and adherence to limits. Risk management policies and systems are reviewed regularly to reflect changes in

market conditions and the Company’s activities.

The risk profile of the Company is such that market, credit, liquidity and other risks of the financial assets and derivative financial instruments

held for risk management purposes are borne fully by the Noteholders, EP Loan providers and/or the Swap Counterparties.

This note presents information about the Company’s exposure to each of the above risks, the Company’s objectives, policies and processes for

measuring and managing risk and the Company’s management of capital.

The Company operates in an autopilot mode with the risk management framework agreed at the time of issuance of the Notes and included in

the Series Memorandum of each Series of Notes. The Series Memorandum provides detailed information to the Noteholders regarding their

exposure to different risks as well as how such risks will be managed going forward until the maturity of Notes. The Board of directors has

responsibility to ensure compliance with the Series Memorandum and execute different legal documents as the need arises.

The Company has entered into a number of Series in the Programme. Each Series is governed by a separate Series Memorandum and consists

of an investment in funds from the proceeds of the issuance of the Notes.

The Company has Fund-linked Notes and EP Loans issued and has entered into Swap Agreements with UBS Europe SE and the Lux Fund, the

Swap Counterparties.

The net proceeds of each Series will be used by the Company to purchase the collateral, pay for or enter into any Swap Agreement and in

meeting certain expenses and fees payable in connection with the operations of the Company and the issue of the Notes as set out in the

relevant Series Memorandum relating to each Series.

The Company was set up as a segregated multi issuance SPV which ensures that if one Series defaults, the holders of that Series do not have

the ability to reach other assets of the Company, resulting in the Company’s bankruptcy and the default of the other Series of Notes. The

segregation criteria include the following:

The structure of the Company is designed in such a way that the net return on the assets and EP loan is the exposure of the relevant index.





(a) Credit risk (continued)

31-Mar-20 31-Mar-19

USD USD

Fund-linked Notes

Investment in funds 422,389,129 1,056,077,304

422,389,129 1,056,077,304

EP Loan

Investment in hedge funds 1,544,487,824 2,292,796,889

1,544,487,824 2,292,796,889

Derivative financial assets 128,944,130 218,459,687

Other receivables 71,305,303 2,984,384

Cash and cash equivalents 216,776 264,340

200,466,209 221,708,411

Derivative financial liabilities (321,799,062) (7,710,250)

(321,799,062) (7,710,250)

1,845,544,100 3,562,872,354

Credit quality of financial assets

Cash and cash equivalents

Cash balances are held with Deutsche Bank AG, London Branch which has the following ratings:

Long term Short term Long term Short term

31-Mar-20 31-Mar-20 31-Mar-19 31-Mar-19

Standard & Poor's BBB+ A-2 BBB+ A-2

Moody's A3 P-2 A3 P-2

Fitch BBB+ F2 A- F2

Cash balances are held with Citigroup Centre which has the following ratings:

Long term Short term

31-Mar-20 31-Mar-20

Standard & Poor's A+ -

Moody's Aa3 P-1

Fitch AA- F1+

Financial assets

There were no credit events during the financial year ended 31 March 2020 (2019: Nil).

The Company's maximum exposure to credit risk in the event that counterparties fail to perform their obligations as at 31 March 2020 and

31 March 2019 in relation to each class of recognised financial assets is set out below:

For all the Series, the Company invested in funds of hedge funds and is therefore exposed to the performance of the funds. For the EP loan,

the net return on the assets and EP loan is the exposure of the relevant index and related derivatives in place. The FoHF shares are pledged

as collateral in favour of the Lux Fund which exposes the Company to credit risk of the underlying collaterals.

As at 31 March 2020, the Company held cash and cash equivalents amounting to USD 216,776 (2019: USD 264,340) which represents its

maximum credit exposure on these assets.

Although the long term credit rating of Fitch's has changed from A- in 2019 to BBB+ in 2020, the directors believe that Deutsche Bank

AG, London Branch is still highly rated.

As at the reporting date, the Company's financial assets at fair value through profit or loss were not rated. Further details on the underlying

financial assets are provided in note 11 to the financial statements.

The hedge fund shares, the EP loans and the derivatives are all a linked transaction. The EP Loan and the derivative swapping the equity

return for the return on the specified index are linked transactions. The return on the FoHF shares is altered by the Swap agreement that

swaps the return on the FoHF shares for the return on the specified index. There is no net credit risk to the Company as the Noteholders or

EP Loan providers are exposed to the credit risk of the underlying collaterals for all Series in issue to the extent not covered by the Swap

Counterparties.






Credit quality of financial assets (continued)

Other receivables


Impairment review

Concentration risk

By investment strategy 31-Mar-20 31-Mar-19

Fund-linked Notes Fair value % Fair value %

Trading 23 14

Equity/Equity hedged 34 33

Multi-strategy 15 12

Relative value 22 27

Credit/income - 10

Others 5 3

100 100


EP Loan Fair value % Fair value %

Trading 24 23




Credit/income 7 8

Fundamental Long/Short 5 6

Others 5 5

100 100

By geographical location 31-Mar-20 31-Mar-19


Global 65 51

North America 10 25

Europe/Western Europe 9 8

Asia/Developed Asia 12 9

Others 4 7

100 100

The hedge fund shares are held as collateral for the EP Loan. For the EP loan, the net return on the assets and EP loan is the exposure of the

relevant index and related Swaps in place. The Company is exposed to the credit risk of the Swap Counterparties with respect to payments

due under the Swaps. This risk is ultimately borne by the EP Loan providers who are subject to risk of defaults. Refer to 'Counterparty risk'

for more details on the swaps.

At the reporting date, the Company's financial assets at fair value through profit or loss were concentrated in the following asset types and

geographical locations:

Other receivables mainly include Series 40, 44, 48, Threshold II Series 4, 5, 6, 11, 12 and 13 share redemption proceeds not yet settled as

at the financial year end.

IFRS 9 requires an expected credit loss assessment to be carried out on its financial assets carried at amortised cost. Impairment does not

apply to financial assets classified as fair value through profit or loss. As at 31 March 2020, cash and cash equivalents are held with

counterparties with credit rating disclosed above and are due to be settled within 12 months of the reporting date. The Board considers the

probability of default to be close to zero, as these instruments have a low risk of default and the counterparties have a strong capacity to

meet their contractual obligations in the near term. As a result, no loss allowance has been recognised in the financial statements for the

year ended 31 March 2020, based on 12-month expected credit losses. As such, any impairment would be wholly insignificant to the

Company. There was no impairment recognised in the financial statements for the year ended 31 March 2020 and 31 March 2019.






Concentration risk (continued)

By geographical location 31-Mar-20 31-Mar-19


Global 64 61

North America 16 17

Europe/Western Europe 11 10

Asia/Developed Asia 6 7

Others 4 5

100 100

Counterparty risk


Series Ccy Stock exchange index Notional Fair Value Notional Fair Value

31-Mar-20 31-Mar-20 31-Mar-19 31-Mar-19

Ccy USD Ccy USD

USD 36,915,324 (3,665,857) 65,360,898 2,660,787

CHF 163,396,228 (20,424,227) 287,389,339 19,502,675

EUR 584,672,188 (60,287,523) 1,000,979,282 105,097,697

USD Focused USD Index 29,617,489 (3,650,088) 31,286,580 996,986

CHF Focused CHF Index 131,667,352 (20,555,337) 139,781,907 8,202,176

EUR Focused EUR Index 463,464,229 (62,861,466) 486,025,421 46,173,638

EUR 221,014,259 (21,410,434) 310,673,628 28,115,478

Long Term Short term Long Term Short term

31-Mar-20 31-Mar-20 31-Mar-19 31-Mar-19

Standard & Poor's A+ A-1 A+ A-1

Moody's Aa2 P-1 Aa2 P-1

Fitch AA- F1+ AA- F1+

UBS Europe SE, as one of the Swap Counterparties for Threshold II Series containing Swap Agreements, have the following ratings:

The structure of the Company is designed in such a way that the net return on the assets and EP loan is the exposure of the relevant index:

For the fund-linked Notes, there is no swap in place. Hence, the risk associated with the financial assets remain with the Noteholders due to

the limited recourse nature of the Notes issued.

For the Threshold II Series, the Company entered into a swap transaction with the Lux Fund where they receive the return on the equity

portfolio and pay the return on a specified index. The Company also entered into a swap paying the return on the hedge fund shares and

receiving the return on the same specified index with UBS Europe SE, in order to protect its exposure. The EP Loan issued in each Series

are limited recourse to the assets in each particular Series and therefore the EP Loan providers are exposed to the credit risk of the Swap

Counterparties and the investment in the hedge funds forming the portfolio of collateral of each Series.

Alternative Appreciation Index

EUR

Threshold II

Series 11

Threshold II

Series 12

Threshold II

Series 13

Threshold II

Series 14

The Company is exposed to the credit risk of the Swap Counterparties with respect to payments due under the Swaps. This risk is

ultimately borne by the EP Loan providers who are subject to risk of defaults. UBS Europe SE and the Lux Fund are the counterparties on

all the swap transactions. The hedge fund shares are held as collateral under the Swap Agreements which are guaranteed by UBS Europe

SE. The directors are satisfied with the current exposure of UBS Europe SE ratings which are disclosed below. The Lux Fund is not rated.

Multi-Strategy Alternative II EUR

Index

Threshold II

Series 6

Multi-Strategy Alternative USD

Index

Multi-Strategy Alternative II CHF

Index

Threshold II

Series 4

Threshold II

Series 5

With respect to derivative financial instruments, credit risk arises from the potential failure of the counterparty to meet their obligations

under the contract or arrangement. The Company’s maximum credit risk exposure to derivative financial instruments as at 31 March 2020

is disclosed in note 12 to the financial statements.





(b) Market risk

(i) Price risk

The price risk is managed by monitoring the market prices of the financial instruments.



Trading 23 14




- 10

Others 5 3

100 100



Trading 24 23




Others 5 5

88 86

Sensitivity analysis

Other price risks may include risks such as equity price risk, commodity price risk, prepayment risk (i.e. the risk that one party to a

financial asset will incur a financial loss because the other party repays earlier or later than expected), and residual value risk.

The Company is exposed to price risk by investing in a portfolio of investments. However, any fluctuation in the value of financial

assets at fair value through profit or loss held by the Company will be borne by the Noteholders or EP Loan providers to the extent not

borne by the Swap Counterparties.

Any changes in the prices of the financial assets designated at fair value through profit or loss would not have any effect on the equity

or net profit or loss of the Company as any fair value fluctuations in prices are ultimately borne by the Noteholders or EP Loan

providers and/or the Swap Counterparties. As at 31 March 2020, the Company’s exposure to price risk relates to the value of financial

assets amounting to USD 1,966,876,953 (2019: USD 3,348,874,193).

For the Fund-linked Notes, an increase of 10% in the market prices of the financial assets at the reporting date, would result in an

equivalent increase in the fair value of the Notes of USD 42,238,913 (2019: USD 105,607,730). Similarly, a decrease of 10% in the

market prices of the financial assets at the reporting date would result in an equivalent decrease in the fair value of the Notes of USD

42,238,913 (2019: USD 105,607,730).

For the EP Loan Series, the EP loan is affected by the price change of the basket of securities. The Company entered into a swap

transaction with the Lux Fund where they receive the return on the equity portfolio and pay the return on a specified index. The

Company also entered into a swap paying the return on the hedge fund shares and receiving the return on the same specified index

with UBS Europe SE, the Swap Counterparty in order to protect its exposure. An increase of 10% in the market prices of the financial

assets and derivative financial instruments at the reporting date, would result in an equivalent increase in the fair value of the Notes of

USD 154,448,782 (2019: USD 229,279,689). Similarly, a decrease of 10% in the market prices of the financial assets and derivative

financial instruments at the reporting date would result in an equivalent decrease in the fair value of the Notes of USD 154,448,782

(2019: USD 229,279,689).

The structure of the Company is designed in such a way that the net return on the assets and EP loan is the exposure of the relevant

index.

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

market risk management is to manage and control market risk exposures within acceptable parameters while optimising the returns on risk.

Price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those

arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its Company or all

factors affecting all instruments traded in the market.





(b) Market risk (continued)

(i) Price risk (continued)

Sensitivity analysis (analysis)

(ii) Interest rate risk


(iii) Currency risk

The Company's net exposure to currency risk as at 31 March 2020 is shown in the following table:

CNY EUR CHF GBP Total

- 1,226,602,029 272,068,830 367,147 1,499,038,006

Cash and cash equivalents - 216,414 - - 216,414

Derivative financial assets - 103,244,257 22,773,301 - 126,017,558

Other receivables - 53,640,001 12,674,375 - 66,314,376

- (1,082,042,605) (231,089,267) (367,147) (1,313,499,019)

Derivative financial liabilities - (247,803,681) (63,752,864) - (311,556,545)

Other payables (72,000) (54,045,720) (12,674,375) (2,954) (66,795,049)

Tax payable - (420) - - (420)

Net exposure (72,000) (189,725) - (2,954) (264,679)

Financial assets at fair value

through profit or loss

Financial liabilities designated

at fair value through profit or

loss

The Company's maximum exposure to interest rate risk is on its cash and cash equivalents as the fund-linked Notes carried no interest

rate and bear no interest until maturity of the underlying fund.

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign

exchange rates.

Currency risk is the risk which arises due to the assets and liabilities of the Company held in foreign currencies, which will be affected

by fluctuations in foreign exchange rates.

The Company mitigates its exposure to currency mainly by matching the foreign currency assets with foreign currency liabilities and

in cases of any net exposure, the Company has derivative financial instruments in place. The Company is exposed to movement in

exchange rates between the USD, its functional currency, and other foreign currencies, namely CNY, EUR, CHF and GBP.

Amounts in USD

Any changes in prices of the financial assets held by the Company would not have any effect on the equity or profit or loss of the

Company as any fair value fluctuations are ultimately borne by either the Swap Counterparties and/or the Noteholders or EP Loan

providers and as such no detailed sensitivity analysis has been provided.

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market

interest rates. There may be a timing mismatch between payments of interest on the Notes issued and payments of interest on the

financial assets, and in the case of floating rate financial assets, the rates at which they bear interest may adjust more or less

frequently, and on different dates and based on different indices than the interest rate on the Notes.

The Company does not earn any interest as the financial assets do not bear interest except for cash and cash equivalents. However, as

at 31 March 2020, the fair value impact of the interest rate is incorporated in the sensitivity analysis of the price risk movement.

Therefore, the Company's exposure to interest risk is immaterial.





(b) Market risk (continued)

(iii) Currency risk (continued)

The Company's exposure to currency risk as at 31 March 2019 is shown in the following table:

CNY EUR CHF GBP Total

- 2,122,572,388 389,006,775 353,983 2,511,933,146

Cash and cash equivalents - 263,167 - - 263,167

Derivative financial assets - 179,386,814 31,719,552 - 211,106,366

Other receivables - 682,043 493,009 320 1,175,372

(8,651,493) (2,301,959,202) (416,711,625) (353,983) (2,727,676,303)

Derivative financial liabilities - - (4,014,702) - (4,014,702)

Other payables - (884,251) (493,009) (5,410) (1,382,670)

Tax payable - (146) - - (146)

Net exposure (8,651,493) 60,813 - (5,090) (8,595,770)

The following significant exchange rates have been applied at the financial year end:

31-Mar-20 31-Mar-19

0.1409 0.1490

1.0956 1.1218

1.0350 1.0048

1.2360 1.3035


(c) Liquidity risk

As at 31 March 2020, had the USD strengthened against CNY, EUR, CHF and GBP by 10% with all other variables held constant, the

fair value of all the liabilities of the Company would have increased by USD 169,185,103 (2019: USD 273,307,382). A 10%

weakening of the USD against CNY, EUR, CHF and GBP would have had an equal but opposite effect on the fair value of liabilities.

This analysis is based on foreign currency exchange rate variances that the Company considered to be reasonably possible at the

reporting date. The analysis assumes that all other variables, in particular interest rates, remain constant.

The impact of any change in the exchange rates on the financial assets relating to any Series is offset by the foreign exchange rate

changes on the Notes issued under the Series and will be borne by the Noteholders to the extent not borne by the Swap Counterparties.

Thus, the exchange rate changes have no net impact on the equity or the profit or loss of the Company.

Liquidity risk is the risk that the Company will encounter difficulty in meeting the obligations associated with its financial liabilities that

are settled by delivering cash or another financial asset and thus, the Company will not be able to meet its financial obligations as they fall

due.

Liquidity risk in a limited recourse vehicle is managed, where possible, by the fact that the collateral assets of each series are open ended

funds with no redemption restrictions.

Under the fund-linked Notes, the Notes are repayable on demand. However for the Threshold II Series, the FoHF shares are redeemed on a

monthly basis. The FoHF shares have no redemption policies of less than 1 year. There are no lockups. There is the ability to gate

redemptions or delay redemptions or suspend NAV calculations in the event of large redemptions. However, this has not been the case till

date but can be done in the event of a future large redemption.

EUR : USD

CHF : USD

GBP : USD

CNY : USD

The impact of any change in exchange rates is borne by the Noteholders or EP Loan providers and/or Swap Counterparties.

As at 31 March 2020, had the USD strengthened against EUR, CHF and GBP by 10% with all other variables held constant, the fair

value of all the assets held by the Company would have increased by USD 169,158,635 (2019: USD 273,505,640). A 10% weakening

of the USD against EUR, CHF and GBP would have had an equal but opposite effect on the fair value of assets.

Amounts in USD

Financial assets at fair value

through profit or loss

Financial liabilities designated

at fair value through profit or

loss

Closing rate





(c) Liquidity risk (continued)

Carrying

amount

Gross

contractual cash

flows

Less than one

financial year

One to five

financial years

More than five

financial years

USD USD USD USD USD

(1,774,065,756) (1,774,065,756) - -

Derivative financial liabilities** (321,799,062) (321,799,062) (321,799,062) - -

Other payables (71,370,319) (71,370,319) (71,370,319) - -

Tax payable (420) (420) (420) - -

(2,167,235,557) (2,167,235,557) - -

Carrying

amount

Gross

contractual cash

flows

Less than one

financial year

One to five

financial years

More than five

financial years

USD USD USD USD USD

(3,559,623,630) (3,559,623,630) - -

Derivative financial liabilities** (7,710,250) (7,710,250) (7,710,250) - -

Other payables (3,141,795) (3,141,795) (3,141,795) - -

Tax payable (146) (146) (146) - -

(3,570,475,821) (3,570,475,821) - -

**Derivative financial liabilities are shown at fair value.

(d) Fair values

The Company’s derivative financial instruments are carried at fair value on the Statement of financial position. The fair value of the

financial instruments can be reliably determined within a reasonable range of estimates.

*The carrying amount of the financial liabilities designated at fair value through profit or loss equals to its contractual cash flows since the

investments and Notes bear no interest. Under the fund-linked Notes, the Notes are repayable on demand. However for the Threshold II

Series, the FoHF shares are redeemed on a monthly basis. The FoHF shares have no redemption policies of less than 1 year.

The carrying amounts of all the Company’s financial assets and financial liabilities at the reporting date approximated their fair values.

31-Mar-19

Financial liabilities designated at

fair value through profit or loss*

(3,559,623,630)

(3,570,475,821)

The fair value of a financial asset and liability is the price that would be received to sell an asset or paid to transfer a liability in an orderly

transaction between market participants at the measurement date.

The timing and amounts from realising the collateral of each Series is subject to market conditions. There were no liquidity issues

experienced by the Company or the Swap Counterparties in respect to meeting obligations to Noteholders or the Swap Counterparties. The

Company or the Swap Counterparties did not default on any of its contractual commitments during the financial year.

The following are the contractual maturities of financial liabilities including undiscounted interest payments and excluding the impact of

netting agreements:

31-Mar-20

Financial liabilities designated at

fair value through profit or loss*

(1,774,065,756)

(2,167,235,557)


demand, all amounts in respect of the issued Notes are expected to be recovered in greater than twelve months from the date of the

Statement of financial position date as disclosed in note 15.

The Company’s obligation to the Noteholders and EP loan providers is limited to the net proceeds upon realisation of the collateral of the

Series and should the net proceeds be insufficient to make all payments due in respect of a particular Series of Notes, the other assets of the

Company are not contractually required to be made available to meet payment and the deficit is instead borne by the Noteholders or EP

loan providers and/or the Swap Counterparties according to the priority of payments mentioned in the agreements.





(d) Fair values (continued)

Refer to accounting policy in note 4 to the financial statements for more details on how the different classes of Notes are valued.

Level 1 Level 2 Level 3 Total

USD USD USD USD

- - 1,966,876,953 1,966,876,953

Derivative financial assets - - 128,944,130 128,944,130

Derivative financial liabilities - - (321,799,062) (321,799,062)

- - (1,774,065,756) (1,774,065,756)

- - (43,735) (43,735)

Level 1 Level 2 Level 3 Total

USD USD USD USD

- - 3,348,874,193 3,348,874,193

Derivative financial assets - - 218,459,687 218,459,687

Derivative financial liabilities - - (7,710,250) (7,710,250)

- - (3,559,623,630) (3,559,623,630)

- - - -

No transfers between Level 1, Level 2 and Level 3 have taken place during the financial year (2019: USD Nil).

Financial assets measured at fair value based on Level 3 31-Mar-20 31-Mar-19

USD USD

At start of the financial year 3,348,874,193 4,149,026,112


Disposals during the financial year (3,502,207,276) (3,752,214,310)

Unrealised losses during the financial year (37,320,987) (21,587,282)

Realised losses during the financial year (13,749,494) (259,185,323)


Derivative financial instruments measured at fair value based on Level 3 31-Mar-20 31-Mar-19

USD USD

At beginning of the financial year 210,749,437 101,858,300

Receipts from Swap Counterparty (552,420,429) (813,466,512)

Payments to Swap Counterparty 249,702,495 766,050,846

Unrealised losses during the financial year (319,499,496) (45,116,645)

Realised gains during the financial year 218,613,061 201,423,448

At end of the financial year (192,854,932) 210,749,437

Financial assets at fair value through profit or loss

Financial liabilities designated at fair value through profit or

loss

Fair value hierarchy as at 31 March 2019


Financial liabilities designated at fair value through profit or

loss

The Company’s financial assets, financial liabilities and derivative financial instruments carried at fair value are analysed below by

valuation method. The different levels have been defined as follows:

Level 1: Quoted market price in an active market for an identical instrument.

At the reporting date, the carrying amounts of financial assets at fair value through profit or loss, derivative financial instruments and

financial liabilities designated at fair value through profit or loss issued by the Company, for which fair values were determined directly, in

full or in part, by reference to NAV statements and determined using valuation techniques are as follows:

Fair value hierarchy as at 31 March 2020

Level 2: Valuation techniques based on observable inputs. This category includes instruments valued using: quoted market prices in

active markets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other

valuation techniques 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

technique includes inputs not based on observable data and the unobservable inputs could have a significant effect on the instrument’s

valuation. This category includes instruments that are valued based on quoted prices for similar instruments where significant

unobservable adjustments or assumptions are required to reflect differences between the instruments.






Financial liabilities measured at fair value based on Level 3 31-Mar-20 31-Mar-19

USD USD



Redemptions during the financial year (3,981,131,615) (3,767,983,926)

Unrealised gains during the financial year (441,852,852) (64,043,408)

Realised losses/(gains) during the financial year 287,313,345 (64,588,839)


31-Mar-20 31-Mar-19

USD USD

Financial assets at fair value through profit or loss (51,070,481) (280,772,605)

Derivative financial instruments (100,886,435) 156,306,803

Financial liabilities designated at fair value through profit or loss 154,539,507 128,632,247

2,582,591 4,166,445

Although the directors believe that their estimates of fair value are appropriate, the use of different methodologies or assumptions could

lead to different measurements of fair value as fair value estimates are made at a specific point in time, based on market conditions and

information about the financial instrument. These estimates are subjective in nature and involve uncertainties and matters of significant

judgement e.g. interest rates, volatility, credit spreads, probability of defaults, estimates cashflows etc and therefore, cannot be determined

with precision.

The total amount of losses or gains estimated using valuation technique detailed in note 4 to the financial statements based on significant

unobservable data (level 3) that was recognised in the Statement of comprehensive income is as follows:

During the financial year, due to market conditions for derivative financial instruments, the significant inputs used in the fair value

measurement was based on unobservable rather than observable inputs. The values attributable to these instruments are derived from a

number of valuation techniques. In turn, these valuation techniques incorporate a number of assumptions including discount rates, default

rates and interest rate curves, all of which impact on fair value. As outlined in the section above, it has been determined not to include

significant details of techniques and assumptions at an individual Series level due to the number of Series in issue, the complexities

included and the proprietary nature of the techniques used.

Fair value of the investments were determined by reference to the NAV statements of the individual fund as at the reporting date. Due to

the limited recourse nature of the Notes, the value will be equal to the fair value of the underlying investments held. For more complex

instruments, the Company relies on prices provided from a counterparty, or using fund net asset values provided by the administrators of

the underlying funds. The directors consider the NAV as an appropriate basis for fair value for the financial assets held by the Company as

the financial assets do not have a readily determinable fair value and the NAV of the funds is calculated in a manner consistent with the

measurement principles of investing company accounting, including measurement of the underlying investments at fair value. The

unadjusted NAV is used when the units in a fund are redeemable at the reportable net asset value at , or approximately at, the measurement

date. If this is not the case, then the NAV is used as a valuation input and an adjustment is applied for lack of marketability/restricted

redemptions. This adjustment is based on management judgement after considering the period of restrictions and nature of the underlying

investments.

For Threshold II, the fair value of the investments were determined by reference to the NAV statements of the individual fund as at the

reporting date and the value of the EP loan is the fair value of the equity portfolio. The Company entered into fully funded Swap

Agreements with UBS Europe SE, referencing hedge fund shares to the relevant indices as disclosed in note 4 to the financial statements.

The Company also entered into a Swap Agreement with the Lux fund, whereby the Company pays any excess of the return on the hedge

funds over the return on the EP loans to the Lux Fund and receives any excess of the EP loan over the hedge funds.






Measurement of fair values

Valuation techniques and significant unobservable inputs

31-Mar-20 31-Mar-19

Financial assets 42,238,913 105,607,730

Financial assets 154,448,782 229,279,689

(135,163,289) (250,354,633)

12,894,413 18,845,753

(e)

Type of transaction No of Series Notes issued

USD USD

Fund-linked Notes 16 24 422,432,864 24 422,389,129

EP Loan & derivative financial instruments 7 76 1,351,632,892 76 1,351,632,892

100 1,774,065,756 100 1,774,022,021

Type of transaction No of Series Notes issued

USD USD

Fund-linked Notes 22 30 1,056,077,304 30 1,056,077,304

EP Loan & derivative financial instruments 7 70 2,503,546,326 70 2,503,546,326

100 3,559,623,630 100 3,559,623,630

22

23 Capital management

(42,243,286) (105,607,730)

EP loan

The table below sets out information about significant unobservable inputs used at 31 March 2020 in measuring financial instruments

categorised as Level 3 in the fair value hierarchy.

Financial assets

& derivatives

financial

instruments

Financial liabilities Equity Values

NAV, swap notional, reference index

NAV, swap notional, reference index, equity values of

the EP Loan

Lux Swap (32,179,906) 2,229,191

NAV

Description Significant unobservable inputs Effect of 10% change (USD)

Fund-linked Notes

NAV

Financial liabilities The estimated fair value would increase/decrease if

there are changes within the NAV of the financial

UBS Swap

Profile of Series of Notes issued by the Company

The following are the broad categories as at 31 March 2020:

% %

The following are the broad categories as at 31 March 2019:

% %

Accounting categorisation and fair values of financial assets and financial liabilities

The carrying amounts of financial assets and financial liabilities not measured at fair values recognised in the financial statements approximate

their fair values as these are considered short term in nature and are not considered to be realised or settled at values different from their

carrying amounts.

Financial assets

& derivatives

financial

instruments

The Company view the share capital as its capital. The Company is a special purpose vehicle set up to issue debt for the purpose of making

investments as defined under the programme memorandum and in each of the Series Memorandum agreements. Share capital of USD 54,684

was issued in line with Irish Company Law and is not used for financing the investment activities of the Company. The Company is not subject

to any other externally imposed capital requirements.




24 Unconsolidated structured entities

Details of the unconsolidated subsidiaries as at 31 March 2020 are as follows:

Name of Company Series % Holding

100 NA** Jersey

13 100 329,316,376 Monthly Cayman Islands

46 100 7,474,500 Daily Cayman Islands

Details of the unconsolidated subsidiaries as at 31 March 2019 are as follows:

Name of Company Series % Holding

100 12,764,285 NA** Jersey

13 100 495,909,863 Monthly Cayman Islands



*These companies are wholly owned by UBS Property Holding Conduit Limited.


Series

743,333,401 743,333,401 6,848,817,335

613,745,243 613,745,243 3,337,426,316

24 & 70 6,293,757 6,293,757 502,170,175

48 14,302,389 14,302,389 17,828,878

68 13,467,363 13,467,363 19,239,102

71 1,232,615 1,232,615 20,744,764

Threshold II Series 14 207,944,138 207,944,138 264,128,279

72 12,936,773 12,936,773 12,936,773

73 2,344,650 2,344,650 2,344,650

54 636,904 636,904 5,662,049

Total Investments in funds and hedge funds 1,616,237,233 1,616,237,233 11,031,298,320

13,848,844

Systematica Trading Vehicle I Limited -

USD Share Class

UBS Property Holding Conduit Limited

(UBS Opportunistic Reality Fund

Limited* and UBS Strategic Reality

Fund Limited*)

Real estate &

Financial

Commodities

Asset

Management

** These funds are in liquidation. There is no active trading on the Notes/underlying funds and the intention is that the Notes will be unwound

as soon as the fund has been fully liquidated. Cashflows are expected every time the fund realises its assets.

Frequency of

redemption


USD - Class H

Maximum

Exposure to Loss

(USD)

16, Threshold II Series 4, Threshold II Series 5 & Threshold II Series 6


Net assets of

Funds (USD)

Millburn Diversified Program

Commodity Sub-Portfolio USD Class

Asset Management

Carrying value

(USD)

Asset

Management

Asset

Management


USD - Class H

1, 2,

3 & 4

China Evergreen Acquisition Corp. -

Class A

Asset

Management

UBS Property Holding Conduit Limited

(UBS Opportunistic Reality Fund

Limited* and UBS Strategic Reality

Fund Limited*)

Real estate &

Financial

Frequency of

redemption

31-Mar-20

Nature of

business

Amount of

investments

(USD)

Place of

Incorporation

1, 2,

3 & 4

Asset

Management

Nature of

business

Amount of

investments

(USD)

Place of

Incorporation




24 Unconsolidated structured entities (continued)

1,343,826,158 1,343,826,158 7,504,099,648

658,820,938 658,820,938 3,310,495,075

20 1,652,555 1,652,555 15,935,622

24 & 70 296,447,092 296,447,092 864,547,913

38 & 63 95,558,730 95,558,730 264,104,556

39 3,161,595 3,161,595 197,859,641

40 1,083,131 1,083,131 44,255,325

46 8,304,623 8,304,623 11,770,677

48 16,425,388 16,425,388 16,704,841

69 63,115,064 63,115,064 60,967,736

71 1,603,452 1,603,452 19,589,283

Threshold II Series 14 317,173,596 317,173,596 357,344,313

54 5,136,510 5,136,510 5,662,049

Total Investments in funds and hedge funds 2,812,308,832 2,812,308,832 12,673,336,679

The Company has not provided commitment or support to any structured entity.

25 Segmental reporting

The segmental reporting is further detailed as per below:

• Products and services from which reportable segments derive their revenues

• Segment revenues and results

• Segments assets and liabilities

• Geographical information

The Company operates in several locations namely Cayman Islands, British Virgin Islands, Jersey and Luxembourg.

Net assets of

Funds (USD)

Carrying value

(USD)

Maximum

Exposure to Loss

(USD)

31-Mar-19


Asset Management



Commodities

Series

The principal asset of the Company is financial assets at fair value through profit or loss. They are originated in Cayman Islands, Jersey,

Luxembourg and British Virgin Islands. They were funded by Notes issued and EP Loans providers in the same country. The cash and cash

equivalents are held in London and Dublin. The directors do not use any other segments for the purpose of managing the Company and further

segmental reporting is not considered necessary.

Information reported to the directors for the purposes of resource allocation and assessment of segment performance focuses on types of

products or services delivered or provided. The Company has only one segment under IFRS 8 which is investments in funds.

Since the Company has only one segment, the analysis of revenue and profit will be similar to the Statement of comprehensive income.

The accounting policies of the reportable segments are the same as the Company’s accounting policies described in note 3 to the financial

statements. Segment profit represents the profit earned by each segment. This is the measure reported to the directors for the purposes of

resource allocation and assessment of segment performance.

Since the Company is reporting only one segment, the allocation of assets and liabilities is similar to that of the Statement of financial

position.




26 Subsequent events

Impact of COVID-19

Credit events

No credit events occurred after the financial year end.

27 Approval of financial statements

The Board of directors approved these financial statements on …………………………………………2020.

There has been no other significant events after financial year end up to the date of signing this report that require disclosure and/or

adjustment in the financial statements.

COVID-19 is considered to be a non-adjusting post balance sheet event and as such no adjustments have been made to the valuation of assets

and liabilities as at 31 March 2020. The Equity Portfolio has massively underperformed the dynamic basket, generating a large marked to

market on the Swap between the Company and the Lux Fund due to which the Swap were reset with respect to April 2020 end date. The extent

of the impact to the financial performance of the underlying investments in the funds depends on future developments, including (i) the

duration and spread of the outbreak, (ii) the restrictions, (iii) the effects on the financial markets, and (iv) the effects on the economy overall,

all of which are highly uncertain and cannot be predicted. If the financial performance of the underlying investments is impacted because of

these matters for an extended period, the funds' investment results may be affected. The Board will continue to monitor the impact on the

Company’s activities.

EOKelly

Typewriter

24 July

star compass plc

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