directors’ report and audited financial statements for the ...trtistee deloitte & toitclte...
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PB Dornicilio 2007—I Designated Activity Company
Directors’ report and audited financial statements
For the tinancial year ended 31 Decemher 2017
Registration number: 439599
PB I)ornicilio 20t)7— I Designated Activit Company
Contents Page (s)
Dtrectors and other infonnattott
Directors report 2 -6
Directors responsibtlittes statement nt respect of the directors report and the fitsanctat statements 7
Independent auditor’s report to the members of PB Domicilio 2007-I Designated Activity Company 8- II
Statement ofcomprettensive income 12
Statement of 0 nattcial position 13
Statement ofcttanges in equity 14
gttttettsent of cash lows Is
Notes to die financial statements 16 —31
l’B I)o mic ho 2007—I I)esigna ted A ctivitv Coin pa in
Page 1Dii ectors and other inforniation
Directors John Paul Manuire (appointed on 13 June 2017Maroaret Kennedy I resinned on 13 June 2017)
Shetmlie Xu (appointed on 2$ June 2018)Niall Vaunltan resiened on 28 June 201$)
Reuistercd oltiec (-(a Iron lila/v 2(ilN, (uip to 15 lu/v 2(iIsFirst Floor, Block A Pinnacle 2Georges Quay Plaza Eastpoint Business ParkDttbltn 2 Dttblin 3Ireland Ireland
Attnnnistrator & (-ta/ruin lSJtdv 20/8) (lip in IS July 2018)Company Seci-eltin Vistra Allernalive Investtnents Deulsche International Corporate Services
(Ireland) Limited (Ireland) LimitedFirst Floor, BlocK A Pinnacle 2Georges Qnas Plaza Eastpomnt Business ParkDublin 2 Dublin 3Ireland Ireland
Trtistee Deloitte & Toitclte Gmbt IWirtschalIsprufingsgesellsc(tal(Scltssannstrasse 640476 DusseldorfGerittan
Seivicer! Bl-TW Bausparkasse AG Deutsche Postbank AGCollateral Aitmiuistrntor Lubahnstrasse 2 F6edrich—Ebert—Allee 114—126
31789 1 lameln 53113 BonnGernsatsv Germany
I ndepenclent A ad tnt KPMG
Chartered Accountattts and StatntoRAudit firm1 Harbourtuaster PlaceInternational Financial Services CentreDitbltn I
Irelatud
Paving Agent BNP Paribas Securities Services Frankfurt BrancitEuropa-AlIce 1260327 FrankIli0 am MainGermany
Legal Advisor Malheson
70 Sir Joltn Rogeison’s Quay
Dublin 2Ireland
Bankers Bask of Ireland Cotyorate Banking BNP Paribas Securities Senices Frankfurt Branch2 Burlington Plaza Gruueburgwng 14Burlington Plaza 60322 Frankfurt atu MainDublitt 4 GermanyIreland
BNY Mellon Frankfurt BraucitFrtedrich-Ebetl-Anlage 4960327 Frankfurt ass MainGermany
PB 1)omicilio 2007—i Designated Activity Company
Page 2
Directors’ report
Tbe directors present tire aonoal report together svilb the aodited financial statements ofPB Dornicdio 2007—1 Designated Activity Company (theCompany”) for tire financial year endert 31 December2017.
Principal activities and business revirts
The Company was incorporated as a speciat purpose vetiiche for the purpose of issoing asset—backed securities This is a residential mortgage backedsecnriiizaiion trarrsacliois pnrssiairt to svtrich tire Company hart issnert Notes (tire ‘‘Notes”). Tire Notes have been secnrert by one or more first priorityor subordinated mortgages on one or nrore residential properties located in Italy and in some cases by certain additional collateral
Pursuant to time Trost Agreenrent emstered into betsveen the Conrpairy, BFIW Bansparkasse AG, Lobanstrasse 2, 31789 Hameln, Gennany (the“Bank”) and Beloitte & Tonche Gmbl I Wirtschaflsprtifrrngsgesellsclrafi, Sclrwannstrasse 6, 10476 Dilsseldorf, Genrrany (tire “Trnstee”), useComsrparry has issued tise follosving classes of Notes, together referred (the ‘Notes’):
• 050)1,000 Class Alt Floating Rate Credit Linked Notes the “Class Al sNotes”( doe 2031:• €500,000 Class A2 Floating Rate Credit Lurked Notes (tire “Class A2+Notes”) due 2031• €38300000 Class B Floating Rate Credh Linked Noles (lire “Class B Notes”) doe 2031
• €13,400,000 Class C Floating Rate Credit Linked Notes (Ihe “Class C Notes”) doe 203 t,
F11,200,000 Class D Floatmnrg Rate Credit Lurked Notes (the “Class D Notes”) dire 2031: and• €5,700,000 Class F Floaling Rate Credit Linked Notes Itire ‘Class F Notes”) doe 2031
The Notes are listed on Errronext Dablin (formerly, tire Irish Slock Exclrange(.
The net proceeds have been nred to porclrase tIre tNlosvmng collaterals:• F 11,200,000 floating mte noles of Detrtscire Posibank AG (tire “Series B Collateral”) doe 2031:
• €5,700,000 tloatrng rate notes of Bentsctre Posthank AG (Ihe “Series F Collateral”) doe 2031 and
• €52,400,000 of cash deposil
TIre Conspany also entered into a loss goarantee agreement wilh tire 811W Baosparkasse AG (the ‘Bank’) to winch: the Company pays to the Bank lbsaggregate arrsonnr of all realised losses of the reference poo1, above the Excess Spread allocated In the Notes, The reference pool consists of claimsarising frorrr rcorderroal mortgage loans on properties located irr Italy. Tire Cnnoparry receives the foods necerram for these paynseors by hqnidationof the Furolsypo Pfandhriefe. by payments received onder tire Posthank Notes.
The Bank in trim pay, ansongrt other things, tire Gnarantee Fee lo tire Conrpany. The Goarantee Fee is tire mm of (i( the costs and expenses of lireCornpaisy aird (ii) the excess, if any of(A) Ihe aggregate lirterest ansorrnt payable by the Company tinder tire Notes, over (B) lIre aggregate anroant oftire nrterest airsoont due to the Conspany onder lire Note Collateral Agreeissenl.
Fntnre developments
I laying considered the Coropany’s actual and expected cash flosss as svell as the current positron of the net assets, the directors beheve Ihat Ihe non-going concern bosis is an appropriate basis for tire preparation of tire financial statements of tire Company.
‘Tire final repayrrsenl of credit linked soles was osade on 8 Oclober 2018 nrrd it is Itre interrtinn of tire Directors to liquidate tire Company irr theconning months.
Key pecfoi’mance indicators
Boring lire financial year
• The Company node a profit afler tax of 0750(2016: profit oiler max of €750);
• No ness Notes svere issned (2016: ru),
• The Company hilly redeemed Class Al-s and Class A2÷ Notes in 2016 and 2015 respectively, and
• The Coropaoy partially redeensed €5,958,128 Class B Notes (2016: €29,224,446).
As at 31 December 2017’
• Tire Company sad financial liahilities designated at Fur vaine lhroogh profit and loss ansoomnirog in €34,073,793 (2016: 040,147,401);
• Fire Company’s fair valse loss on tirrancial assets designated at thir valse lhmrongh profit and loss svas 0110,611 (2016: fair valse gain of
€559,204),
• Tire Cornparry’s thir value gain on financial habihilies desigrsnted at fair vairre lirrosgh profit arid loss svns €115,730 (2016’ fair valise loss of
€51 l,760(. and
• Tire Company’s financial assets designated at thir value lhrnoglr profit and loon myers 017,313,948 (2016: 017,424,559),
• Tire Company Irod cash in hondas year end of €16,768,098 (2016: €22,730,345)
PB I)omicilio 2007—I Designated Activity Company
Page 3Directors report (continued)
Key performance indicators (con tinned)
The Company had the tbl1osvin classes of Notes in isstie• €3.11 7,426 Class B Notes due 2031
• €1 3.400,00(1 Class C Notes due 2031,€11,200,000 Class D Notes due 203 I and
• €5,700,000 Class E Notes due 2031
The Company helct the following collaterals as at 31 December 2017• €11,200,000 Seiies D Collateial 2031 and
€5,700,000 Series F Collateral 2031
The table belosv shows the Key Characteristics of’ the underlying poilt’olio of’ the reference pool of’ PB Dotnicilio 2007-I Designated ActivityCompany (formerly, PB Doinicilio 2007-I LId) as at 30 November 2017. since this is the last quarterly report before the financial year ended 31December 2017. As the Notea are exposed to the realised losses of’ the reference pool, that exceed the Excess Spread. ander the loss guaranteeagreement, the performance of the reference pool isa key characteristic oftlie Company.
.SCIP-Program
Loan Purpose (I’rivntisations) Other loans Total
Aggregated Securitized Balance: $7,682,565 128,019,990 2 15,702.555
Percent of’Total Securitized Balance: 41% 59% 100%Ntanber of Reference Claims 5,051 1,437 6,488Percent of Total Number of Reference 78% 22% 100%
Weighted Average Loan-To-Value’ 26% 49% 39°/o
Initial CurrentNumber of Reference Claims 12,083 6,488
S( ‘JJ’—Progranm: I/ui flI’iwuli 501(0/i tf Iiiiiio,nu/ him/nm mid/ore in siituiion,sThese loans are interest subsidy loans in tIme context of’ privatisation measures for former tenaats. The castomer receives an interest subsidy inconnection with the apartment/flat prmvatination of Italian public institutions, The conditions of the special program only apply to the purchase ofresidential property for the parposes of the Legislative Decree No. 104 oft 6.02.1996.
At the 3 t December 2017 tIme reference pool does not have any realised losses which are impacting on the valuation of the Notes of time Company astIme losses have not exceeded the Excess Spread of tIme reference pool See note 4 in the financialo for more information on the reference pool. Seetable belosv for more information on the reference pool.
Rentittance Excess Spread Amount/Ledger 28-Feb-17 31-May-17 31-Aug-17 30-Nov-17
Ending Aggregate Nominal Balance 322,712,380 298.336,907 279,267,122 260,333,110
Aggregate Outstancting Nominal Amount of cumulativeDefhulted Reference Claims 53.559,371 51.278,279 49.755.941 47,746.750
269,153.009 247,058,628 229,511.181 212,586,360
Excess Spread Amount 336,441 315,686 293,264 268.686
Excess Spread Ledger 9,200.000 9.200.000 9,106,082 8,509,086
PB I)omieilio 2007—I Designated Activity CompanyPage 4
I)ireetors’ report (continued)
Kes performance I dicators (continued)As shown in the table below, as at 30 November 2017. the overall aggregate delinquencies of 240 reference elanns and in the future thesedelinquencies could potetstially result in delbolts. or realised losses of the reference pool
Number ofReference Protected
Delinquency Status Claims Amount Overdue Payments
0 nrstsths at arrears 5,453 t68,39l,686 u.s
001 - I nronths in arrears 449 I 1,500.832 52.211
I - I 99 inostlis as arrears 284 7,947,122 109.047
2-299 itionths in arrears 62 3,161.159 59.002
3 - 3 99 nsostlss in arrears 20 873,080 30,351
1-190 months in arrears 15 1,003.428 29.146
5 - 5 99 mouths in arrears 4 478,789 15,717
6- I I 99 nmirtlss in arrears 29 2,155,517 1 21,023
12+ mouths its arrears 171 20,182.396 8.599,865
Delniqsencues lgceater than 3 months) 239 24,693.211 8,799.402
Subtotal 239 24,693,211 8.799,402
Bankrsptcy I 8,544 -
Total 240 24.70 1,755 8,799,402
Ntttntter ofRefereitee Pt’ntected
Defaulted Reference Claims Claims Amount Overdue Paynteuts
Current period Defaulted Reference Claims 12 717,077 32.660
Cumulative Defaulted Reference Claims 532 40,604,099 8,852,984
thereof normal perfonning again5 126 7,223,171 -
Loans svith months in arrears below 3 and no bankrsptcy flagNone of lie Delbulted Rel’erence Claims mentioned above have resulted in a realised loss
Results aitd mlivimlemttl fur the fittancial year
The results for the financial sear are set out on page 12. The directors do noi recommend the paynient of any dividend for the financial year under
review 12016: nih
(‘baages in mlirectors. secretan’aittl regisiered office
On 13 june 2017. Margaret Ketmedy resigned as director of the Company atmd svas replaced by John Paul Magisre on the same date
0mm 28 june 2018. Small Vaughan resigned as director of the Conmpany and Shsengjie Na was appointed on the sante date
Destschme Imiternational Corporate Sen’ices (Irelandi 1.itmsited (“DlCStL”l agreed to sell its corporate sen’iees basiness to Vistra Alternatis’e
lmmvestnments I Irelaudi Limited i’A’AIIL”i parsuant to a business traimstbr agreement dated II Septensher 2017. As part of the sale. tlse rights and
obligations of DICSIL tinder lie corporate services agreement entered into hetsseen tIme Company and DICSIL ssere nos’ated to VAIIL pursoant to a
Deed of Novatiou dated 15 july 2018 In connection v.’itls the novation. DICSIL resigned as secretaw of the Coinpan and VAlIt. svas appointed as
tIme aesr secretaw of tIme Conspamm svitls elect from 15 July 2018. The registered olfice of tIne Company also ehatmged frons Pinnacle 2. Easipoint
Russiess Park. Clontarf. Dublin 3 to First Floor, BlockA. George’s Quay Plaea. Dnbliit 2 ssith efl’ect from IS July 2018
There ssere no further changes in directors. secretaw and registered oOce dmmring the financial year.
Direetnrs. secretary atmml their interests
None of tIne directors and secretary svho held office as of date held any shares in the Company daring the financial year. There svere no contracts of
amsy significance ma relation to the busimiess of the Company in srlneh the directors had any interest, as defined in the Companies Act 2014. at any
5 tote dmirutg Site financial year
Principal risks mmml tmncertmtimtties.
The principal risks and ancenauntues facing the Company relating to its use of financial instruments are set out in note 18 In the financial statements
Corporate Governance Statement
lmum’iofluc tints
The Coumspany us sabtect to and comnphies unIt Irish Siatsute commsprmsmng die Companies Act 2014. The Company does not apply additional
reqaureinents at addition to those required by lIme above Each of lIme sen’ice providers engaged by the Conspany is subject to Ilmeur osvn corporate
gos’erimamsce requm remmmeimls
PB I)omicilio 2007—I I)esignated Activity CompanyPage 5
I)ireetnrc report (continued)
Corporate Governance Statement (continued)
1’ itusirtit) Reporttsgr ProcessThe Board ol Directors (the “Board”) is responsible for establishing and maintaining adeqsate inertial control and risk management ss’stems of theCoinpaisv in relation to time financial reporting process Such systeoss are designed to nsanage rather hints eliminate Ilte risk of failure to aclueve theConipasv’s floanetal teportins sbjectmx es attd can only provide reasonable and not absointe assnrance against material misstatement or bay
The Board has established processes regardttmg intemal cottt rol and risk tmmanagement svstenss to etssste its e lTeetmve oversi gut of the financial
reponine process ]‘ltts includes appsinting the Adininistmtor, Vistra Alteenatts e lnvestnsents I Ireland) Limited to maintain psoper books and recordsas req sired by time Corporate Adsmiittstratton Agi cement To list eitd the Adstiutstrator performs reconcil iutions of its records to thsse of the jotmitarranger i Merrill Lvtmclm International and Destsclse Postbank AG) and the eusmodiati I Betrrselte Postbank AG). The Adinniistrator in alsocontractually olil iged to pi epsre for reviesr and approval by lIme Board the annual report iselndittg finaisetal statements nitended In give a true atid fair
t’iie Board evalnates atid discusses signihicant aeeoutsting atsd reporting issues as the treed arises Prom tittse to titne, the Board also examines andevaluates the Aditsintatrator’s financial aceosating and repsrting routines and imsonitors and evaluates the external auditors peifsimance,qnalifleatiotts and tisdependenee The Administrator has operating respoissihility for intenial control in relattoit to Ilte financial reporting process andthe Administrator’s report to the Board
Risk A ssessttiettt
‘flse Board is respoitsible for assessing the risk of irregularities ssliether caused by fraud or et-ror iii fitsuiscial reporting and ensuring tlse processes are
in place for the tintely identihicalion of internal and external nialters svith a potential effect on financial reporting. The Board has also put in place
processes to tdetitil’v changes in aeeonnling rules and reeomnsendalions and to ensnre that hltese changes are aeeumtely relleeted in the Company’s
financial statemeists More specifically
- The Administrator has a reviess procednre in place lo ensure coors and omissions in Ihe financial statements are identified and corrected.
— Regitlar training on aeessnting rules and reconimendutions is provided to the accountants ensphoyed by Ilte Adntinistrutor
- Aceountitig bnlletmns, issued by Vistra Altensahive Investments (Ireland) Limited (“VAIIL”) (fonnerly knssvn as Deutsche International
Corporate Set-vices (Ireland) Linsitedi, are distributed monthly to all acconistants einplsyed by tIre Administrator
f ‘tmtist’sm/ A rtls’tstesThe Adtnttnstratnr is contractually obliged to design and maintain control structures to matiage the risks ss’hieh Ihe Board judges to be sigmsificant far
internal control over financial reportmmtg These control stmncturea immelude appropriate division ofrespoasthilities and specific control activihies aimed
at detecting or pres eating the risk of significant deficiencies in financial reporting for esery sngnificant account in tIme financial statements and Iherelated notes in tlte Company’s anneal report
Mrttttton’tstC
lIme Board has an annual process to ensure that apprspriute measures are taken to eomtsmder and address the shorteotnitsgs idetthified ammd measures
t ecomtsinentluth ba I he independent anditors
Given the contractital oblipatioas on the Adminishiator, the Board has concluded that there is currently no need for the Coitipany to have a separatetomernal audit function in order hbr tlte board to peffonn efibetive monitoring amsd ovemighit of the tntemal csntrnl and risk management systems af
the Conmpany in melatmorm to the finatiemal reporting process
t/ntto? ,Sirttr tOt’i’
All mIte shames are held mis trsist. no person has a sigisificammm direct sr immdmrect holdmtmg of securities in tIme Comnpatta No persomm has any special rights
of control os-er lIme Commmpany’s share capital.
There are no reatrietmonis on voting riglmta
The directors conform that sisare trustees have emmtered into a share trust agreement svhereby they hmas’e agreed itot to exercise their voting riglsta.
With regard to tIme appointment and replacement of directors, the Company is govemed by its Articles of Association, Irish Statute composing time
Coitipatsies Act 2011. TIme Articles ofAssnemation themsels’es tmtay be amended by special resalirtian of tIme sltareltalders.
Pittrerc it) I)it’erntirc
The Board in responsible for managing the business afihirs of tIre Cornpan in aeesrdanee svitlm time Articles of Assneiatmoim. Time directors nay
delegate certain frmmtctmons to tIme Adnaittistrator and other parties. subjeem to supervision amid direetisn by tIme directors. The directors has-c delegated
mIme day to mIs> asinministration of lIme Coisapaay to mime Adnsinistramor. TIme directors cannot issue or buy back tIme shares afthme Cotmmpany
PB 1)omicilio 2007—I Designated Activity Conipany
Page 6
Directors’ report (continned)
Corpsrate Governance Statement (rsntinned)iron sfr’r 0/ .siiiirr’.sThe nsstnnoess of transt’er of any share shall be executed by or on behalf of the transferor and, is cases svhcre the share is sot fully paid, by or onhetsal f of the traissfcree The trans feror shalt be steemed to remain the hotder of the share untit the name of tlse transferee is enterest on the register inrespect ttsereof The directors io their absolute discretion and without assigning any reasoo therefore stay decline to register any transfer of a slsareIf the directsrs refuse to register a transthr they shalt, witlsin two months alter the date on wtsich tlse transfer was lodged with the Company, send tottse transferee notice of the refusal
Potitteal and eharitahte csnti’ihatioosThe Coinpsny nude no potiticul donations or incurred any political expenditure during the finaircial year(20t6: € nil)
Aadtt coatmtttee
As at the date of these financial statements, the Company is operating svithin the balance sheer and turnover threshold limits as set out tinder Section1671 t I of the Conopnnues Act 2014 (the “Act”), and as such the Compuny does not meet the requirements ts establish an audit continnittee for tIneenrrent financial year ending 31 December 2017.
Sahseqaent eventsThe final repayment of credit linked stoles svas nude on 8 October 2018 and ii is the iintetntion of the Directors to liquidate tIme Company in thecoming mointlms There have been no ottmer signi kant events since the fiunaincist year end sip to tlse date of signing of thus report that reqsnredisctosure in these financial statements
Aecou oting records
The directors believe that they have complied with the requirements of section 281 to 285 of tIne Companies Act 2014, adequate accounting recordsare kept by enmsploying accoummtsng personnel wilts the appropriate expertise unmd by providing adequate resources so the financial functiosn. TheCoinpnn’s accosishing records are maintained attIre Company’s registered niEce at First Floor, Block A, George’s Quay Plaza, Dublin 2, Iretand.
Statement on retevaut a ott tt tnfurm attonIn the case of each of the persons sstso are directors at tIme time the repor mu approved:
• so far as they uwure, there is no relevant audit information ofwlmiclm the Company’s auditors are unasvsre: amsd• The directors have taken alt steps that ouglnt ho nave been taken by the director in order to make Itimselfiherself aware of any relevant audit
information and to establish that the Company’s auditors are asvare of that infoonation
Dti’ectors’ compliance statement
At this present tune the Company is operating svilhiin the balance sheet and turnover tlsreslnold hiimnits as set out sinder Section 225 (7) of thseComnpanmnes Act 2014 (the “Act”), wtuich enables the Cotupany to avail of nit exemption to rhe Compliance Policy Statement obligations. AccordinglytIne directors are not required to include a Compliance Statenuent its their statutory directors’ report for tIne cunTent financial year endimug 31 Decenuher2017
Indepentlent anditorDuring 2018, Dehoutte Chartered Accountants and Statutory Audit Fioo resigned as independent auditor and KPMD Chartered Accoanlants andStatutory Audit Firm svere appointed as independent auditor in accordance wills Section 383)2) of the Companies Act 2014, have signifled theirwilhingueso to continue in ofl)ce.
On Inrush of the hoard
IiitmmutimmgoirDii’ectmmr Dim’ector
l)uite: \C t’J05j lc\’8
PB l)omicilio 2t)07—I l)esignated Activity Company
Page 7Statement of d rectors’ i’espnnsibilities in respect of the directors’ report and the financial statem cats
The d rectors are responsible lbr preparing the d rectors report and financial statements, in accordance with applicable law and regulations,
Coinpaiiv law requires Ilte directors to prepare financial statements for each financial sear Under that lasu they have elected to prepare the linanciatstatements in accordance with International financial Repotling Standards (IFRS) as adopted by the European Union (EU) and applicable law
Under contpattv law the directors must not approve the financial siatentents unless they are satisfied that they give a true and fait’ view otthe assetwliabitittes and financial position of the Company attd of its profit l’or thaI year. In preparing these financial statements, tIme directors are reqtsred to.
• select suitable accoutmting policies and then apply them consistently.• make judgments and estimates that are reasonable and prudent.• state svhether they have been pieparecl itt accordance with IPRS as adopted by the EU:• assess the Company’s ability to conlinue as a going coticern, disclosing, as applicable, flatters related to going concern
The Conmpattv tan prepared the financial statements on a non—goittg concertm basis as it is inappropriate to prestnne that the Company ss’ill continue inbusitmess
The directors are respoitsible for keepiitg adequate accounting iecords sshticb disclose wills reasonable accuracy at any time tIme assets, liabilities,financial position soil profit or loss of the Company and eitable them to ensure that the financial statentents comply wtth the Cotsspanies Act 2014.They are responsible for such internal controls as they deteritnne is necessaty to enable the picparation of fitmancial statements that are free fromtnatei-ial tmsstatement, whether due to fraud or error. atmd have general responsibility for takttsg such steps as are reasonably open to thetn tosafeguat’d the assets of the Coittpany and to prevent and detect fraud and other irregularilies The directors are also responsible for preparing adirectors report that complies with thin reqaireitsents of thin Cottspanies Act 2014
On hteha If of the bnaril
Joltn Paul Viaguire Sitenglie XnDirector Director
Date: jj
KPMGAudit1 Harbourmaster PlaceI FSCDublin 1DOl F6F5Ireland
Independent auditor’s report to the members of PB Domicilio 2007-1Designated Activity Company
I Opinion: our opinion is unmodified
We have audited the financial statements of PB Domicilio 2007-1 Designated ActivityCompany (the Company”) for the year ended 31 December 2017 which comprise theStatement of Comprehensive Income, the Statement of Financial Position, the Statement ofChanges in Equity, the Statement of Cashflows and the related notes, including theaccounting policies in note 3. The financial reporting framework that has been applied in theirpreparation is Irish Law and International Financial Reporting Standards (IFRS) as adopted bythe European Union.
In our opinion the financial statements:
• give a true and fair view of the assets, liabilities and financial position of theCompany as at 31 December 2017 and of its profit for the year then ended;
• have been properly prepared in accordance with IFRS as adopted by the EuropeanUnion; and
• have been properly prepared in accordance with the requirements of the CompaniesAct 2014.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (Ireland)(“lSAs (Ireland)”) and applicable law. Our responsibilities under those standards are furtherdescribed in the Auditor’s Responsibilities section of our report. We believe that the auditevidence we have obtained is a sufficient and appropriate basis for our opinion. Our auditopinion is consistent with our report to the audit committee.
We were appointed as auditor by the directors on 13 August 2018. The period of totaluninterrupted engagement is one year for the year ended 31 December 2017. We havefulfilled our ethical responsibilities under, and we remained independent of the Company inaccordance with, ethical requirements applicable in Ireland, including the Ethical Standardissued by the Irish Auditing and Accounting Supervisory Authority (IAASA) as applied to listedpublic interest entities. No non-audit services prohibited by that standard were provided.
Emphasis of matter — non-going concern basis of preparation
We draw attention to the disclosure made in note 2 to the financial statements whichexplains that the financial statements are now not prepared on the going concern basis for thereasons set out in that note. Our opinion is not modified in respect of this matter.
KPMG, an Irish partnership and a member firm of the KPMG networkof independent member firms affiliated with KPMG Internationalcooperative (KPMG Internationak’), a Swiss entity
Independent auditor’s report to the members of PB Domicilio 2007-1Designated Activity Company (continued)
2 Key audit matters: our assessment of risks of material misstatement
Key audit matters are those matters that, in our professional judgment, were of mostsignificance in the audit of the financial statements and include the most significant assessedrisks of material misstatement (whether or not due to fraud) identified by us, including thosewhich had the greatest effect on: the overall audit strategy; the allocation of resources in theaudit; and directing the efforts of the engagement team. These matters were addressed in thecontext 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 addition to the matter described in the Material uncertainty related to going concern section,we have determined the matters described below to be the key audit matter to becommunicated in our report:
ValuatIon and Ownership of Investment Securities €17,313,948 (2016 -€17,424,559)Refer to page 78 (accounting policy), page 23 and pages 25 to 30 (financial disclosures)
Description of the key audit matter
51% (€77,373,948) of the Company’stotal assets (by value) consist ofin vestments for which no quoted marketprices are available. These investmentsecurities held by the Company aredesignated at fair value through profit orloss at initial recognition in accordancewith guidance set out in the applicableaccounting framework adopted by theCompany. There is a significant riskrelating to the valuation of theseinvestments given the judgemental natureof some of the inputs used in thevaluation models/techniques to pricethese investments.
How the matter was addressed in our audit
The procedures we undertook included but werenot limited to:
• obtaining and documenting ourunderstanding of the investment valuationprocess and testing the design andimplementation of the relevant controlstherein;
• obtaining an independent confirmation of theexistence of the investment securities; and
• engaging our valuation specialists to price100% of the investment portfolio held by theCompany at year end and challengedmanagements assumptions used bycomparing our independent price to thevaluation held by the Company.
We identified a misstatement during the auditwhich was corrected. This has been disclosed inour report to the Board of Directors.
3 Our application of materiality and an overview of the scope of our audit
Materiality for the Company’s financial statements as a whole was set at €337,846 determinedwith reference to a benchmark of total assets of which it represents 1%.
We reported to the Board of Directors any corrected or uncorrected identified misstatementsexceeding €16,892, in addition to other identified misstatements that warranted reporting onqualitative grounds.
Independent auditor’s report to the members of PB Domicilio 2007-1Designated Activity Company (continued)
4 We have nothing to report on the other information in the annual report
The directors are responsible for the other information presented in the annual report together
with the financial statements. The other information comprises the information included in the
Directors’ Report, Corporate Governance Statement, Directors’ Compliance Statement and
the Statement of Directors’ responsibilities. Our opinion on the financial statements does not
covet 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 orinconsistent with the financial statements or our audit knowledge. Based solely on that workwe have not identified material misstatements in the other information.
Based solely on our work on the other information;
• we have not identified material misstatements in the directors’ report;
• in our opinion, the information given in the directors’ report is consistent with thefinancial statements;
• in our opinion, the directors’ report has been prepared in accordance with theCompanies Act 2014.
Corporate governance disclosures
As required by the Companies Act 2014, we report, in relation to information given in theCorporate Governance Statement on pages 4 to 5, that:
• based on the work undertaken for our audit, in our opinion, the description of themain features of internal control and risk management systems in relation to thefinancial reporting process is consistent with the financial statements and has been
prepared in accordance with the Act; and
• based on our knowledge and understanding of the Company and its environment
obtained in the course of our audit, we have not identified any materialmisstatements in that information.
We also report that, based on work undertaken for our audit, other information required by the
Act is contained in the Corporate Governance Statement.
5 Our opinions on other matters prescribed 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 financialstatements to be readily and properly audited and the Company’s statement of financial
position and the statement of comprehensive income is in agreement with the accounting
records.
6 We have nothing to report on other matters on which we are required to report byexception
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 notmade.
Independent auditor’s report to the members of PB Domicilio 2007-1Designated Activity Company (continued)
7 Respective responsibilities
Directors’ responsibilities
As explained mote fully in their statement set out on page 7, the directors ate responsible for:the preparation of the financial statements including being satisfied that they give a true andfair view; such internal control as they determine is necessary to enable the preparation offinancial 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 theyeither intend to liquidate the Company or to cease operations, or have no realistic alternativebut to do so.
Auditor’s responsibilities
Our objectives are to obtain reasonable assurance about whether the financial statements asa whole are free from material misstatement, whether due to fraud or error, and to issue ouropinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does notguarantee that an audit conducted in accordance with ISAs (Ireland) will always detect amaterial misstatement when it exists. Misstatements can arise from fraud, other irregularitiesor error and are considered material if, individually or in aggregate, they could reasonably beexpected to influence the economic decisions of users taken on the basis of the financialstatements. The risk of not detecting a material misstatement resulting from fraud or otherirregularities 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 involveany area of law and regulation not just those directly affecting the financial statements.
A fuller description of our responsibilities is provided on IAASA’s website athttps://www. iaasa. ie/getmedia/b23890 1 3-1 cf6-458b-9b8f-a98202dc9c3a/Description of auditors responsiblities for audit. pdf
8 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 Section391 of the Companies Act 2014. Our audit work has been undertaken so that we might stateto the Company’s members those matters we are required to state to them in an auditor’sreport and for no other purpose. To the fullest extent permitted by law, we do not accept orassume responsibility to anyone other than the Company and the Company’s members, as abody for our audit work, for our report, or for the opinions we have formed.
Shahnawaz Mirza Date: \for and on behalf ofKPMGChartered Accountants, Statutory Audit FirmI Harbourmaster PlaceIFSCDublin IIreland
PB Domicillo 2007—1 Designated Activity Company
Statement nf comprehensive income
For the financial year ended 31 l)ecember 2017
Financial yearended
31-Dec-17F
(110,611)
(241,694)
115,730
(236,575)
237.575
Financial yearended
31-Dec-16F
13
559,204
(308,505)
(511,760)
(261,048)
262.048
Page 12
Operating income
Net go in nn investmentsInterest receivable on financial assetsFair valne (loss I/gain on financial assets desigsaied at fair value throagh profit andlossNet loss no dcht seen citiesInterest on tinanc(al liab(ltit(es
Fair value gain/floss) on financial Iiab(lit(es designated at fair value thcough profitaod loss
Opecattng loss
Net other utcome
Pcnfit hefn re i ncnnte tax
Income lax expense
Net profit for the financial year
Other contprettensive income
mInI cnniprehensive income for the financial year
Nntes
5
10
6
13
7
9
1,000 1,000
(250) (2501
750 750
750 750
TIte ootes on pages 16 to 31 form nit (tttegral part of these financ(aI statements
PB 1)ornicilio 20t)7—1 Designated Activity Company
Statement of Bun tIC juul position
As at 31 I)ecembcr 2017
AssetsCash and cash equivalents
Trade and other receivablesFinancial assets designated at fair value through profit or loss
Total assets
Et1 nity anti liabilities
EquityCalled up share capital presented as equityRetained earnings
t)irector
I)ate:Cj -JC)’
31-Dec-17 31-Dec-166€
Page 13
16.768.09854.659
17.313,948
34: 13 6, 705
22,730,34558.785
17,424,559
40,213,689
Notes
12
IIto
15
t4
13
Liabilities
Trade and other payablesFinancial liabilities designated at fair value through profit or loss
‘I’otal liabilities
Intuit equity and liabilities
3 3
8.250 7,500
8.253 7,503
54,909 58,78534.073,543 40,147,401
34,128,452 40,206,186
34,136,705 40,213,689
Stidngtie XuDirector
The notes on pages 16 to 31 form an integral pan of these financial stalements
I’ll l)omicilio 2t)07—1 Designated Activity ConipanyPage 14
Statement of changes in equity
For the financial year eiided 31 Decemher 21)17
Balance as at I januar 2016
loYal ctniprehen ave in aine br the financial tearProS)
Other conipreliensive I ncoiiie
Total comprehensive income for the unit ncial rear
Balance as at 31 December 2016
Balance as at I January 21)17
Total amprehensive income Jar the financial rearProS)
Oilier comprehensise income
Total comprehensive income for the financial ear
Balance is at 31 Decent her 2017
3
- 750 750
- 750 750
3 7.500 7,503
3 7,500 7.503
- 750 750
- 750 750
3 8,250 8,253
Called tip sharecapital presented
as equity
Retained
earn tips
F1)750
Tolalequit
€6,753
The notes on pages 16 to 31 form an integral part of these financial statements
Casliflow front operating activities
Protit on ordinary activities before taxation
li/ncinieiitc for’.
Interest income on investment securities
Interest i come on loss uuaranteeInterest expense
Fair value gain on financial assets designated at fair value through profit and lossFair value loss on debt securities designated at fair value through profit aitd lossDecrease in receivable
Net cash generated from operating activities
lax CXPCO5C
Tax payable
Net cash generated from operating activities
Cash Ilows from investing activities
Interest received
Net cash generated from investing activities
Ctisii tlows from financing activities
Repayment of Notes
Interest paidIncome derived from loss guaranteeNet cash used in financing activities
Net decrease in cash and cash eqnivalents
Cash and cash eq uivalents at beginning of the financial yea
Cash and cash equivalents at end of the financial year
PB Domicilio 2t)07—1 Designated Activity Company
Statement of cash flows
For the financial year ended 31 l)ecemher 21)17
Page 15
Financial year Financial yearentled ended
31-Dec-17 31-Dec-16
F F
1.000 1.000
— 11311236,6151 (261.108)
241.694 308,505110.611 1559,204)
1115.730) 511,760- 2.000
960 2,9rt0
Note
5
76
1013II
13
12
250 (250)(250) -
960 2,690
- 173- 173
15,958.128) (29.837,151)(245.820) 1353.721)
240.741 306,164(5.963,207) (29.884,708)
15.962.247) 129.881.845)
22,730.345 52,612,190
1 6,768,098 22,730.345
The roles on pages 16 1031 form an ititegral part of these financial statements
PB 1)ornicilio 2007—1 Designated Activity Company
l’nge 16Notes to the financial statementsFor the financial year ended 31 December 21)17
I General informationPB Dotnictlio 2007—I Designated Activity Company is a special purpose company incorporated and registered ti Ireland with limited liability on 11Ma6 2007 under registered number 439599 On 9 July 2007, the Company issued 6 Tranches of Notes to an Initial Principal amount of €69,600,000and as at 31 December 2017 the remaining principal balance is attlotitttittg to €31,073,793 (2016 €40.1 47,401), The followtng Notes represetitI utsited i’ecourse otsI igations of’ tite Issuer
• €500,600 Class Al Floating Rate Credit Ltiiked Notes (the “Class At -Notes”) due 2031,• 6500.00(1 Class A2- Floating Rate Credit Linked Notes (the “Class A2+ Notes”) due 2031,
€38,360,000 Clans B Floating Rate Credit l,inked Notes (the “Class B Notes”) due 2031• €1 3,400,000 Class C bloating Rate Credit Linkast Notes (the “Class C Notes”) dLie 203 I,• 611,200,000 Class D Floating Rate Credit linked Notes (the “Class D Notes”) due 2031: and• €5,700,000 Class E Floating Rate Credit Linked Notes (the “Class E Notes”) due 2031
the proceeds oft)ie Notes lias’e been used to purchase lie fotlosving secui ities,• €11,260,000 ttoatittg rate notes ofDeutsclie Postbank AG (the “Series D Collateral”) dtie 2031,• €5,700,000 floating rate notes of Deutsche Postbank AG (the “Series B Collateral”) dtte 2031: and
€52,100,600 ofcastt deposit,
The Notes are listed on the Euronext Dubliti )lbmserty. lie Irish Stock Excltaiige( The Company has no direct employees (2016: nil)
2 Basis of p’epa ration(a) Statement ni complianceThe finaitciat statements have been prepared in accordance wittt the International finaticiat Reporting Standards (“IFRSs”) and its interpretationsissued by the International Accounting Standards Bomit t”IASB” as adopted h the European Lnion (“EL”) The financial statements are alsoprepared in accordance svitti trials Statute, coniphsing the Conipanies Act 2011,
Ttse accoiiulittg policies set out beloss’ have beets applied in preparing the financial statemeists for the year etided 31 December 201 7 the cotnpat’ativeinfhrtnation for Ihe financial year ended 31 December 2016 preseistecl in the financial stalements tao been prepared on a consistent basis
During the year the Comp.inv amended the presentatioti ofceast itents sa thin the Statement of Comprehensive Income, Previounlv, the fair valuegaits on financial assets and the fair value loss on ckht securities ss’ere netted together and presented as Oilier tint gaitis ‘(losses I The Directorstteties’e that by presenting these fair saute mitts / t losses) separately. the Statettsent of Compretiensis’e Income niore appropriately reflects the isatureof the Company’s operatiotis Comparative amounts in the statement of comprehensive income ss’ere reclassified t’or consistency
‘These fitianciat statetnents have bees prepared on tion-going concern basis The final repayment of Itte credit linked notes scas made on 8 October2018 and it is Itie intention oftite Directors to liquidate the Company in the coming months The comparative figures have been prepared on a goingconcern basis
b) New sttintlmi rils, amend meats or i nterpretatinitsThe directors have set out hetosv bath Itse itpcoitling EU etidorsed and mitt-endorsed accounting statidards. amendments or interpretations
(1) Effect/icfor aiiuial periods beginnh,tg on ot after I ,Januari’ 2017
Standti ida and interpretation Effective date ( period beginning)*Amendments to lAS 7: Disclosure Initiative I January 2017Atnetidttients to lAS 12: Recognition of deferred tax assets for unrealised losses 1 January 2017
(10 Effect/ic for future per/otisStandarils and interpretation jEffective date (period begiitnhng)5IFRS 15 Revenue h’rotts contracts ss’itli cutstoitsers 1 January 2018IFRS 9’ Financial Instruitseists I) Januaty 201$Clnrificatiotis 10 IERS IS: Revetsue from Cotmtt’acts wilts Customers jjjpnuaR’ 2018Aissendinents to tEES 2’ Classification and tneasut’etwent of share-based pavsietmt ji Janitaty 2018Amendments to IPRS 4. Applving IFRS 9 Fittancial htistrunsetits with IFRS 4 I January 201$Annual lttiproventents to lEES 2014 -2016 Cycle I .tanuaw 201$IPRIC ttsterpretatiott 22: Foeeigts Currency Transactions atid Advance Cotisideration I Jatsoaw’ 201$Aitsendments to lAS 40’ Tramisfers of lnvesttsient Property I Januan’ 2018IFRS 16’ Leases I January 201$
PB 1)omicilio 2007—1 1)esigna ted Activity Conipans
Page 17Notes to the fioaocial stateoteots (continued)
For the fiotincial year etided 31 December 2017
2 Basis of preparation Icoutinned)(It) New standards, a in end m cots or interpreta lions (euntin ned)
Wltere ness reqoii’ensents ate endorsed. the EU ellective date is disclosed For oo-eodoised standards and interpretations, the IASB’s effective nateis noted. Where any of the npcoininu reqnirements are applicable to the Company, it svill app]’ them from their EU effective date
The directors base considered the nesv standards. anicndmcnts and siterpretations as detailed in the table and does not plan to adopt these standardsearls The application of all of these standards, amendments or interpretations svill be considered in detail in adsance ofa confirmed elTective date bythe Company The directors has e concluded that the follosvtnp oiay be relevant
IFRS 9 Financial Instionsests IFRS 9 replaces most of the puidaoce in lAS 39. IFRS 9 retains but simplifies the mixed measurement model andestablishes three priman’ measoreniest categories l’or financial assets: ansonised cost fair valne Iliroogh OCI and fair valoe ilirossli profit or lossThe basis of classification depesils on time entity’s hosiness model and the contracinal cash flosv characteristics oftlie financial asset, Ins estments ineqott instroments are reqemred to be immeassred at fair valse throagli profit or loss ss’iib the irrevocable option at inception to present changes in fairvalne iii OCI. There is tmosr a mtesv expected credit losses model that replaces tIme incorred loss impairment model used iii lAS 39
In light oftlte pending liqoidatton of tIme Conspans in 2018, the ness standards sri]] have no impact on the Conspamty.
let Basis of measurementThe financial otateittents litive hees prepated on the historical cost basis except for the follossing
• Financial assets designated as at fair value tlirttsglt profit or loss are measured at fair s’alee: and• Financial liabilities designated as at fair valse tlti’oogli profit or loss are measured as fair value.
The methods used to ioeasare fair values tire discussed fuoher in note 3]gj.
Id) Functional mod Itresentation currencyThese fitsancial statemettts are presemsted in Euro IFI which is the Cotnpattv’s functional cun’etscy. Fsttctional citrretscv is tIme csrsettcv of the primaiweconomic environment in uhich the entity operates The financial assets of the Company are denominated in F. The debt securities issued are alsodeitoitmittated in F, ‘The directors of the Company belies’e Iltat F most faithfully represetmis the ecouottmic effects of the snderlvtng transactions, eventsand conditions,
(e) Use of estimates and jodgenmentsThe preparattoit of Ilse fitsatmctnl statcissents t is con fortmmtty with IFRS requires ttmanagensetmt to nsake j sidgenments. estimates attd assumptions that mar’affect the application of accounting policies ansI lie repofied atnoonto of assets, liabilities. incoitme and expenses. The estittiates and associatedassumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results ofsvhictt lhms Itte haots of making tlte judgements about car’tng values of assets and liabilities fiat are tot readily appat cot ftons other sourcesActual resolts may differ front these estimates.
Estimates and underlying assnintptions are reviesved on an ongoing basis. Revisiotss to accountitig estinsates are recogitised in the financial year insvhichs the estimate is revised if Ihe revision affects only that financial year or in the financial year of the revision and future financial years if therevision afi’ects both current and fibre financial years. Details of material judgetoents and estimoates have been forthmer described in accountingpolicy mote 3) p1 ‘‘Fair value nseasnremetst primmci pIes’’ ammrl mote 18 to the financial statememmts.
Key noorces of estimation oncertaintyI)eueu’ummusmistgjdur m’o/mic.sTIme determination of fair vatoe for financial assets and liabilities for svlmictm there is no obsenable market price reqaires tIme use ofs’ahnatiommtechitiqoes an described iii accoonttttg policy mote 3(g) “Fair value fimtunctal immstrnnmenls nmeasurenment principles” and in tome 18 to time fittammcialstateimments For financial instruments that trade otfreqntently uiod have little price transparency, fair value is less objective, and requires vai3’tngdegrees ofjodgenment dependmmtg an hmqnimdmty. concetttratiomm, onceflaunty ofmnarket factors, pricing assumptions and otlmer risks afl’ecting lime specificmmmstrumnmemmt
PB l)omicilio 2007—1 Designated Activity Company
Page IS
N otes to the financial statements (continued)
For the financial year ended 31 l)ecember 2017
2 Basis of prepa ration (contin tied)
(e) I se of estimates and j udgements (continued)
Critical accounting jodgem cuts in a pplving the Corn patty’s accounting policies
The Company’s accounting policy on fair value measurements is dismissed nnder note 3(g) “Fair value financial instruments nseasureinentprinciplcs’’ Critical accosnsting judgcmcnts inadc in applying Itic Company’s accounting policies in relation to sal uatian of financial instruments is
Vulsritimmmm of finrincia/ iii sms’ssmimfl s
Else Company ineasares fair valsies asing tlic following tiieiarctiy ofuiettiods• Lcvet 1— Qaoted market price iii au active market for an identical iustrunsenl,• t,evel 2— Valuation techniques based on observable inputs. This category includes innirumente valued using quoted market prices in active
markets for similar instrumeists; stuoted prices for similar instruments in issarkets that arc considered less than active: or ottser vatuatiemsiectsisiques where all signi ficaist uspats are directly or indirectly observable froni market data,
• Level 3— Valuation ieelmiuqucs ussg significant LaiohseR’able inputs TIus category usetudes all instruments where the val uatiun tecbniqseincludes inputs not based on observable data and the unnhservabte inputs could have a significant effect on the instrunient’s valnation. Thiscategory includes instrsnncnts that are valued based on quoted prices for similar instruments where significant unobservable adjustments orassumptions are required to reflect diflbrences hetsseen the instruments
Methods of valuation of financial instrunsents are disclosed in note IS to the financial statements
Financiat guarantee is a key area ofjndgement that has been further detailed in note 4.
3 Significant accounting policies(a) Net gain on fina ncial assets designated at fair value ttirnnghi profit or lossNet gain from financial assets designated at fair value throngts profit or toss relates to ins’entments and includes all realised and unrealised lhir valuechanges Any gains and tosses arising frons changes in fair value of the financial assets at fair value through profit or tons are recorded in theStatement of comprehensive income
Realised gains and losses are reeogisised on disposal of financial assets, sshen the disposal price is not equal to the carrying value of the asset,
(lii Net toss on financial hialitlities designated at fair value tli i’nnghi pi’nfit or lossNet loss on financial liabilities designated at fair value through profit or loss relates so debt securities issued and includes all realised and unrealisedfair value changes Any gains and losses arising from changes in Ihir value of the financial liabilities at thur value through profit or loss are recordedus ttse Staicisseni of compretseissive usconse
Realised gains and losses are iecognised on redemption oftlie financial liabilities svtsen the redemption price is nas equal to the carrying vatne of thefinancial liabilities.
(c) Interest incnm e a nil expenseInterest income relates to income on financial assets and interest expense relates to expense on financial liabilities. Interest inconse and expense arerecognised on an effective interest rate basis and recognised in the Statensent of consprelsensivc income.
(d) Loss guarantee feeLoss guarantee fee relates to uscoose arising from Ilse net ssvap receivables or payables xvlsicls is the difference behveen the interess income receivableon fiusanciat assets and interest expense payable on financial liabilities. The loss guarantee fee uscoine in recorded under net oIlier income in theStaseoseisi of comprehensive income.
(e) Income tax expenseTax ois the profit or loss for the year comprises current and deferred tax Tax is recognised in the profit and toss account except to the extent that itrelates so itenss recognised directly in equity or other comprehensive income, in svhicls ease it is recognised directly in equity or other cousprehensiveincome.
Current tax is the expected tax payable or receivable ois tIme taxable incense or loss for the year, using tax rates enacted or substantively enacted at thereporting date. and aisy adjnssmneist to tax payable in respect ofprevions years.
Deferred tax is provided on liming differences which arise Runs the inchasion of income and expenses in tax assessments in periods differeist franshlsose in which they are recognised in the financial ssateinenss. Deferred tax is not recognised on permanent differences arising because cefiaio typesof income or expense are non-iaxabhe or are disathossabte for tax or because certain iax charges or allossances are greaser or smaller than theeormespondismg omeonme or expense
Deferred tax is measured at tIme tax rate that is expected to apply to the reversal of tIme related difference. sising sax rates enacted or substantivelyenacted at tIme reposling date Deferred tax balances are not discounted.
PB l)omicilio 2007—1 l)esignated Aetivita Company
Page 19
Notes to the financial statements (continued)
lor the financial year coded 31 December 2017
3 Significant accounting policies (contin ned)
(c I Income tax expense (continued)
Unrelieved lax losses and other deferred lax assets are reeogassed only to tire extent that is it probable that they svsll be recovered agaisst the reversal
of delbrred tax liabilities or other fature taxable profits.
If) Cash soul cash ego na cuts
Cash ansi casts equivalents sssclside deposits held on call ss ills banks ansi other shoil—teriis highly I squid i avestissents svitts original sssstsirst ies of less
than three nsontlis, svlsscls are sabject to insignificant risk ofclsanges in their Ibir value, and are used by the Company in the snanagensent of its short
terns cosssnsi tmessts rlsere are no restrsctsoiss on casts and cash cqusvalessts Cash aisd cash eqsavalcats are carried at aissonised cost i a tlse Statement
of S mineral position
(g( Financial instruments
The financial iostrsanents held by the Company iisclade the following:
• Fusaiscial assets desigisated at fair value through profit or loss.
• Fisancial liabilities designated at Dir vatsic through profit or loss, and
• Fiiiaiicial gsiaraatee conti set
I ‘los si/iesiiuosu
A financial asset or financial liabiliN at Ihir value through profit or loss is a financial asses or liability that is classified as held—for—trading or
dessgssased as as Ihir valse through profit or loss for one ofttse fottosvissg seasons
Ihe assets are managed. esaluased and sepooed internally on a fair valise basis:
• Use designation elunussates or sigssi ficantly reduces oss accountsisg ssssssnatets svlsiets srossld otliensise arise
l”isirssicuol ssvsesx slexsgssrised iii [dir sri/sue tlss’ssssg/i pm/si sir loss
Alt savesssssens securities held by the Cossspas are desigssased as Fair sahsie shroaghs profit or toss at initial recognition as these are nsanaged at fair
valise basis
l’isssisseiol fssshsliise s 5k’ sigsmoieu/ rim /isir s’usltue Ilsrosigls pro/il sir lrsus
TIse debt secarsties issued ate inulially sneasared at fair valise and are designated as liabilities at fair valne ttsrostgls profit or loss in order so either
eliminate or 55gm licant lv reduce aecountnmg suissssatets or sshen tIme eusutais an essshedded derivative that signiticantlv nsodi fies she cash floss’s that
svossld otlsersvise be seqssirest under the eontsact.
/‘ssiusieusl giusss’sssstee vmuuiis’sicu.s
Finussesal gssasansee contracts are recorded in accordance svitls lAS 39 Finanemal tnstrssnsents: Recognition and Measurement. They are iniliall
measured at Ihir valse and shuen ssbseqaenl stmeasssreissent is in acessrdaisce svills lAS 37 Provisions Cosslingent liabilities and Costingent assets.
lsmsliuul s’eL 0755551055
The Company initially reeognises all financial assets asid liabilities oss tise trade date at svlsich the Company becomes a party to she contraessai
provisions of the snssrunseuts fless any sransaelioss costs). Psrchiases and sales of fitsaimesal assets and hinancial liabilities are recogsused using trade
date accounting. From the isade date, any gains and losses am ising frons changes in fair valise of the financial assess or financial liabilities are
recorded in the Siaseuseist ofessupretsesssive isscosne
Dames ognslsoim
‘TIse Company dereeogsssses a financial asset when the comstractusal rights so the cash flows from the assel expire. or it transfers the rights to receive
tire contractual cash flours oms lie financial asset in a transaction in svhsmcts substantially alt the risks and resrards of osenershsip of the financial asset
are si’ansferred. Any tssterest in trannthrsed fisiamiciat assets that is created or retained by she Company is recognised m a’ separate asset or liability
l’he Cossspassy derecogusses a financial liability ushen its contractual obligations are discharged or caecehted or expire
U/fsessisig
Fasaucial assets and liabilities are set oil and the net amount pi’eseisted in she Statement of financial position svhen, and only svhen. the Conspaisy has
a legal righss to set ofl’thse ansominss and ssstessds either so settle on a net basis or to realise the asset and settle the liability siosattasseousty. hsscossse amid
expenses are presented oo a set basis only srhesi penssstted by tIme aeeonatissg standards, or for gains and losses arising from a grasp of sssuilar
transactions
PB l)nmicilio 21)07—I Designated Activity CompanyPage 20
N otes to the fina twin I statements (contin tied)
For the financial year ended 31 l)ceemher 21)17
3 Significant accounting policies (euntinned)
(g) Financial instrnments )cuntinned)
\iil’ccqiiL’tit niractirciflcitt pri triple
A her mitial measaremeot. the Compaoy measures H naueial nistrLinteots winch are classi fled as designated at fair sal se througb profit or loss at their
fair value. Sabsequent ebanges in tbe fair value of financial instramenis desigoated at fair value through prom or loss are recognised directly ia the
Statement of eoingrebensive tocome Fair value is the amouot for svlnels ao asset could be exchanged. or a liability settled, between knosvledgeahle.
ss dli ag parties in an arm’s length transaction For financial instruments that trade infrequently and have little price transparency, fair value is less
objective, aud requires varyiog degrees of judgeoseot degendiug 00 liquidity. conceotration, uneenaioty of osarket factors, priciug assunsgtioos aod
oilier risks alTeeti ug the speci lie instruuseot
lair i’aiiie 5ieiiiiii’esieiit principle
flie Conipanys financial assets designated at fair value through profit or loss are Inleed at their current hid prices Ifa quoted niarket price is not
asailable on a recognised stock exchange, the fair value of the financial instruments nay be estimated by time directors based on values obtained from
brokers and specialist pricing vendois svho umay use a variety ofvaluatiotm techniques such as discounted cash llosv techtniqueu, option pricing models
or any other valuation technique that provides an estimate of prices obtained should the investment be tmded,
Where diseonuied cash low techniques are used. estunated future cash ltosrs are based on time directors’ best estiniates and the discnsnt rates. The
discount rate used is a market ate at the reportine date applicable for an instrutnemst with sintilar terms aim conditions Where other pricing niodels
are used, inputs are based on itiarket data available at the repoiline date Subsequent changes in the fair value of financial instruments at fair value
through profit or loss are recognised in the Statement ofcomnprehensis’e income. Details of valuation ofthe financial assets are discussed in note 18
(Ii) Other receivablesOther receivables do itot earn’ atty interest and are sltort—ierttt in nature and are accorthiitgly stated at their nominal value an reduced by appropriate
allowances fat estimated irrecoverable amounts
(ii Othec papa tiles
Other payahles are accounted at atnooiscd cost.
hj) Eqaity instrnments
tiquity instruntents are classified according to the substance of the contractual arrangeissents entered into. An equity instrument is any contract tltat
evidences a residual interest in the assets of time company other deducting all of its liabilities Equity inssrnments are recorded at the proceeds
received, itet of issue costs
IkI Share ealutalShare capital is issued in C Dividends are recognised in the financial sear in which they arc amitltoriscd
(I) Foreign encrency transaction
Transactiotis iii foreign eurreitcies are translated to the respective fitticuotial currencies at the dates of the transactions. Monetary assets and liabilities
denominated in foreign currcisctes at the reporting date are retranslated to the fsinctiotsal eurreiscy at the exchange rate at that date. The foreign
currency gain or Ions on monetary items is the difference between cost in the functional currency at the beginning of the financial year. adjusted for
effective interest and payittcsts dnrtsg the fitiancial year. atid the cost in foreign cuncticy translated at the exchange rate at time cud of the finatuciat
At each reporting date. nionetam items and nou-ittonetaiy assets and Itahihities that are fair valued and are denominated in foreign ciii renemes are
translated at tlse rate prevailing on the Statement of financial positioim Gains and losses arising on retranslation of financial instniments at fair value
tltrosgls profit or loss are i isclsided its sIte Statenmeat ofcsniprehicnsive utconse together smith respective fair value gauisi losses.
(ml Segm enting reporting
A business segment is a group of assets and operations cisgaged in piuviding products or services that are subject to risks and returns that are
different flout those of other business segistents An operating segment is a component ofan entity that engages in bnsinens activities frotis svlsich it
nay cam revenues and incur expenses liucluding revettues amid expenses relating to transactions svuh oIlier coitmpomments of time same entimyt
PD I)omicilio 2007—1 I)esignated Activity Company
Page 21
Notes to the financial sta teme nts ( contin tied)
For the financial year ended 31 December 21)17
3 Significant accounting policies )continned)
(ni ) Segmenting repurti ig )continuetl IThe Cornpanr is a special porpose vehicle whose principal activities are the tssttance ni notes and investment in coilaterais. svhicir are she
revenue generating segment of Ilse Company. All adininistratnire anrd operating l’trirctions are carried out and res iesved by mire Adntinismrasor and
Corporate Secretan. Vistra Alterttattve investnrrents tirelaudi Liirtrted l”VAIiL”l Iforinerly koossn as Detrtsclte International Corporate Services
)lrelaisdl Lnnrtted t. The activities of tire Company are governed by its initial base prospectus and indivtdnal senes infoonation memorandum In
relation to eitsuurtttg Ilsat actts it ies are m coirtplrance svmtlr tite nienroraindoiti, tire chief olterntr ng decision maker I CODM I of tire operatnsg
segnnrerrt is tire Board of Directors Tire CDDM in reslronsrble for tire Company’s entire portfohn and considers tire brrsrness to has-c a stogieoperating segroent Tire Board’s assessment of the Cornpanry’s perforirrarree is evairrated on air os’erail basis. Fnrtirer detaiis of line concentration
of tire nnrvestrrrenl type of assets and geographical location are disclosed in rote 18.
4 Financial Gnmmm’antcc(dir 0 Jrily 2007 BIIW Bausparkasse AG (‘Barsk’l and PB Dornicilio 2007-i Designated Activity Company (the “issoer”l entered into a loss
grrararnmee agreerrrerrt I tire ‘‘Loss Gsrararrtee” I betss’een tire moser as protectiorr seller arid tire Barrk at irrotectior Irrnyer sslrere pstrstnatrt to tins
agreement, the issner sOil pay to tire Bank amounts equal to all realised losses incrrrreri in tire reference pool and allocated to tire Notes in
accordance sviih tire Loss Allocation The value of sins guararstee is nil as determined by tire directors as the excess spread as at 30 November
2017 ssas trot fully otihsed arsd no paysnemst Iras been nrade Ott airy rnteresl paynrent date. \Vlreii realised losses occur in tire reference pooh above
tire excess spread, this will tiren restrit in losses lo lire Compaisy Notes atrd winch ssdi Itave to pay on a earn to corn basts.
The Bank ssiili irsarntain lbr ihe purpone of the loss allocation aa Excess Spread Ledger. As of arty paytoent date, the Excess Spread Amount
calcotated in respect of the Related Collection Period will be credited to tire Excess Spread Ledger. On each payment date, any arrsoant of
Realised Looses is to be allocated to (ii the Excess Spread Ledger first, (ii) reverse previous rednehon of the Note Principal Amonats of any
Class of Notes of lire Cornpanny and (iii I be applied to pay interest on any Notes svhrch have been reduced due to loss allocation prror to suclr
pansernt date Any amount ssamsding to the credit of tire Excess Spread Ledger follossrrtg tire application of (ii, (ii) and hut above sitaR be
ext i tsgmttsbemi ntr stmcir paynrettt date
(do cads payttreot date, any Reaitsed Losses sitaR be allocated (tire “Loss Allncatinn”l fit-st by redrncmng the balance on the Excess Spread Ledger
to zero, and tisereafler to reduce ihe Notes Principal anrrounis to EUR 1. Realised loss is any ansotint foregone aBer the cnt-ofl’date as pan of tire
pavntettt sciredttlrnsg or debt restrrrctsrrirtg of streir Referetrce Clams
Tise Excess Spread Ledger is for tire purpose of fite loss aflocation Tire orrgrrsal baiartce of tire Excess Spread Ledger is € 0.2 million. As at the
year. tire ninrrtdrzed balance on tIre Excess Spread Ledger was € 8 5 nrtflmons.
The loss gsmarantee sstll expire on 7 Janoary 2031.
5 tnlcrcst (in t’intmncial tisscts
6 I ntci’cct on financial liabilities Fintiiiciat ycmmr Financial) earended ended
31-Dec-17 3t-Dec-t6
6 €
t24i.604) 1308.5051
Fina ncial year Fintunciat year
ended ended31-Dec-17 31-Dec-16
p €
236.615 261.108
I ,000 I .000
140) iôOi
237.575 262,048
Tire Batik on eaclr Paytirent Date qsmarteriy in arrears pays to tine Gsrarnntor the “Cnmrrpamr”i srith respect to tire Guarantee lee caicalation period
ensdirrg on ssrcir date an anrosrurt I the “Guarantee Eee”t calesdated by the Barrk as the sunr of lii tire Issner costs ssrils respect to osreb Goarantee
Fee Caicolotton Period aod Id I tire Spread anrrosunt in ncspect of tire rrrterest aurmosrnts payable ott tire Notes on osicir Payment Date
interest income on investment securities
Fiaancitil vcttrended
3 1-Dec-17
Financial year
end eth31-Dec-16
p 6
insterest expense on debt securities
7 Net ntlmer incninc
Gnnaramrtee fee
Corporate hennefit
Bank interest
PB Domicilio 2(0)7—1 Designated Activit CompanyPage 22
‘,olcs to the financial statements (continued)
For the Iinaiicial year etided 31 December 2017
8 Other expensesAudit and lax fees amounting to €22500 (2016: €14,000) weic borne by DI 1W Bausparkasse AG
The directors received no remuneration from the Coimspanv durmn the financial year (2016- nil). The Company has no employees (2016: nil) and
services required are contracted to thi rd parties.
Time Company is administered b’ Vistra Alternative Investments (Ireland) Limited (formerly. Deutsche International Corporate Services (Ireland)
limited The administration fees were borne by 13)1W Bausparbasse AG.
Auditors remuneration in ‘especi of the financial veal’:
Atidit of individual Company account — exctudinu VAT
Tax advisory services- excImidin VAT
01 tier assurmtnce services
Other non—audi I services
Pi’nfit on ordinary activities before tax
Piofli on ordinary aclivities utmittiplied by the standard rate of Irish corporatton tax for the financial
year at 12,5%
Eflkcts of
I ligher rate lax applicable under Section 110 TCA. I 907
Current tax chti rge for financial year
financial year
ended3 1-Dec-16
0 0
1,000 1,000
(t25) (125)
TIm Cnmpany is a qualifying company svtttimn the meaning of Section ItO ofttie TCA, 1997 As such ihe profits at-c chargeable to corporation
tax under Case III of Schedule 0 of the TCA at a rate of 2S. bitt aie computed in accordance with the provisions applicable to Case I of
Schedule D of the TCA
financial yearended
31-Dec-I 7
financial yearended
31-Dec-16
€
18,000 10.000
1.500 1,000
9 Income tax expense
Income tax based on protit for Itse financial year
22,500 14,000
Financial year financial yearended ended
31-Dec-17 31-Dec-16
0 €250 250
factors affecting lax charge for Ihe financial year:
The current tax charge for the financial sear is higher titan tIne currenl charge tItan uvotild result from applying tIme standard male of Irish
corporation tax to profits on ordmary activities
financial yearended
3 1-Dec-If
(125) (125)
(250) (250)
B 1)omicilio 201)7—1 Designated Activity Company
Notes to the financial statements (Continued)
lot the financial year ended 31 December 2017
Page 23
31-Dec-I” 31-Dec-16
f
17.313948 17.424,559
f F
17,424.559 6.865,355
(110.611) 559.204
17,313,948 7,424,559
The financial assets included in this category are heir) as collateral for the debt Securities issued by the Company.
1aturitv analysis
<1 year
1-2 year
2-a years
3 1-Dec-17 31-Dec-16
C
> 5 sears t7.313.918 17.324.559
17,31 3,948 1 7,424,559
On the issue date, the Issuer psircliasecl public Pfhnclbriefe Of fentliche Pfhtsdbriefe) of Eurohypo AG (the “Esirohypo Pfandbriefe”l from
Eurolsypo AG and bearer Notes of Deutsche Postbank AG pursuant to the Securities Psirclsase Agreeitsent, Tise Eurohypo Pfatsclbriefe togetlter
svitlt lise Postbank Notes was teferred to as tite Note Collateral (“Investment securilieg”),
The tutderlying collaterais comprise of the following
Floating rate Notes of Deutsche Posthaitk AG
Floattnu rate Notes of Deutsche Postbattk AG
11 Trade and other receivables
Guarantee be receivable
12 Cash and cash eq ulva lents
Cash at bank
Battk draft
31-Dec-C’ 31-Dec-16
F €
Cash balances ate held with BNP Paribas (810c) and BNY Mellois I I9o). The hank uccount held with BOt had been closed dsiring tite financial
II) Financial assets designated at flu r value through pro fit or loss
Financial assets designated at fair vaisie tltrougls profit and loss
lovenirn1s
At beginitnsg of lie liitancial year
Net fair valsie (toss I/gain on financial assets designated at fir valsie throsigh profit or loss
Closing batatsce
Dear riptiisn luilerest rate Maturity date 31-Dec-17
F
Eurihor 3m — 5
Eurtbor 3m “ 5
07-Jan-31 11.200,000
07-Jan-31 5.700.000
31-Dec-16
C
11.200,000
5.700,000
54,659 58,785
54,659 58,785
31-Dec-17 31-Dec-16
F C
16,760,477 22,730,345
7.621 -
16.768,098 22.730.345
year
PB I)omicilio 2007—1 t)esignated Activity CompaiivPage 23
N isles to the Ii ott ncia I statements (donli n ned)
For the hiuaiicial year ended 31 December 2017
Ma to riB analysis
“I sear
1-2 year
2-: years
— 5 years
Notes issued are detailed as below:
Class of Corn bination Notes
Notes (the “Class Al Notes”i
Notes (the “Class A2+Notes”i
Notes (the “Class B Notes” I
Notes (the “Class C Notes”
Notes (the “Class D Notes”)
Notes tthe “Class 12 Notes” I
3ittths Euribor 4 0.35%
3mths Eurihor -
3mths Eurihor 0 35°
3nrths Ettribor — 0 48°
3nttlts Euribor 0.9%
3mtlts Euribor 4 3%
The above No(es are listed on Etironext Dublin ) formerly, the Irish Stock Exchange) and are subject to its regulations. The final maturity is 07
iattuao 2031 but they catt be partly redeemed poor to that date
Dtmrme tite financial year the Compaits redeensed 65.958.128 2016: 029224,4401 ofClass B FloatingCredit Linked Notes.
11 l’t’ache a rid tither paya bles
Interest payable on financtal liabilities
Tax payable
15 Cal ted up share cap tat presented as equitY
.-utliorised
3 ordinary shares olE I each
Issued and fully taicl
3 ordtitaty sitares of€ I each
Presented as follows:
Called tip sltate capital presented as equity
3 1-Dec-17 31-Dec-16
10,147,401
13 Pitt ancial ha hilities clesigitatetl at fait’ value th rouglt profit or loss
Fittaiscial I iabililies designated at fair vat me I hrougb profit or lass
loverneut in flitancial liabilities
At bemoaning ofilte financial year
Repaysients during the financial year
Net fair valtie (gainhloss on litiancial liabilities designated 51 fair value through proill or loss
Closing balance
Interest late
34 .073 .543
31-Dec-17 31-Dec-16
6 C
40,147.101 69,472,792
(5,958.128) 129.837,15ll
(115,730) 511,760
34.073,543 40,147,401
31-Dec-17 31-Dec-16
C €
34,073,542 40,147.401
34.073.543 40.147,401
Balance at Balance at
31-Dec-17 31-Dec-IC
C C
3,117.426 9.075.554
1 3,400.000 1 3.400,000
I 1,200,000 I 1.200.000
5,700,000 5.700,000
33,417,426 39,375,554
31-Dec-17 31-Dec-16
€ C
54,659 58,785
250 -
54,909 58,785
31-Dec-IT 31-Dec-16
C C
C C
3 3
the Company Itas one class ofordinan shares svhiclt carR’ to right to fixed income.
PB Domicilio 2007—1 Designated Activity (‘ompanyPage 25
Notes to the financial statements (continued)For the financial year coded 31 1)eremher 2017
16 Ownersh p of the (‘slit pa ny
The principal shareholders of the Coutpaitv are Registered Sitareltolder Services No. I Company Limited by Guarantee. Registered Shareholder
Services No. 2 Coinpans’ Limited by Gsiaraniee and Registered Shareholder Services No. 3 Company Lintited by Guarantee lfontterly known as
Furvdice Charitable Trust Linaited. MFDB Charitable Trust Littitted and BADB Charitable Trust Limited respectivelvi each holdtng 1 sltare itt
the Compattv. A Board of Directors has been apposited at tlte date of inceptioti so manage the day to daa affairs of tlte Company. The Board
Itave coticl oded Iltat ito i ndtvideal party involved in tlte struclere as identt tied on page 1 Itas the posver to alter. ti any svay. tlte strategtc
ittvesnaent objective of Ilte Series as set oat in tlte Sertes’ prospectus. Sitbsiatttially all the risks attd resvards of the Conipatt are transferred to
the Noteholciers All eltares are held itt treat lbr charity utider the terms of declaratiotta of trrist
17 ‘l’ransaetions with admtnistratttr and t’elatesl parties
Deotsclte Intentasional Corporate Services llrelattdl Limited piovided corporate services to the Compaoy till 15 July 2018. afier which Vietra
Alternative Investments llrelandi I.iitsited Itlie Adnsinistiator’t was appointed as lie arlministrator oftltc Company to provide corporate services
to the Company at anna letipilt cotnitietcial rates of €23,275. Niall Vaughan. Margaret Kennedy. John Patti Mageire atad Shetaglie Na, the
directors of the Conapany during the littaticial year. wete also duectorn of the Administrator daring the financial a’ear and in that capacity had a
material interest in the fees paid to the Administrator
The Adittinistmior received €1,225 for the making available of individuals to act as directors of the Conipany. The terms of the corporate
services agreement provide for a single Ike for the provisiota of corporate services. As a result, the allocation of feet betsveen tlte different
services provided is a sabjective aitd appros ittiate calculation The itadivtduahs actitig as directors do tot I atid odI I not I, in their persottal capacity
or any outer capacity. receive any fee for acting or having acted as directort of the Conapany. For avoidance of doabt, the directora of the
Conspany do not receive any reinsineratmoit for acting as directors of the Conspany.
There svas no oIlier contracts of any sigtaflcance in relation to the husiness of the Company its which the directors had any interesr, as defined in
the Cotopantes Act 2014. at any time duritig the financial year
BI 1W Batisparkasse AG I’BHW’I acts as the Collateral Administrator on behalf of Deutoche Postbank AG Di 1W, as the Servicer, alto
administers, collects and enforce the Reference Claints. iticludaig by Foreclosure on the related Refereitce Collateral. Tue Conspany also entered
into a loss guarantee agreetuent ss tilt the Dl l\V to as hieli: the Conipany pays to tlte Bank the aggregate amount of all realised losses of the
reference pool, above the Cxcess Spread allocated to the Notes DtIW in tarn pay, amotigot other things. tlte Gnarantee Fee to the Coinpan.
Deutoclie Posthask AG issued unsectireul, tiasubordinated hearer notes. Deutsche Posthank AG also acts as joint arranger and custodian for these
irattsaet ions
18 Finutneial i’islu musnagemnent
I otroti netion ut mitt stverview
TIte Company’s financial instrunsents comprise of Notes, gaarantee and collaterals held for risk managensent purposes
The principal activity of the Company, a Special Purpose Vehicle, is to issue Asset Backed securities The net proceeds froits hhr inane of the
Noteo have tseen ased to acqrtire Note Collateral Tlserefote the role of flnaitctat assets attd fitsanctal liabilities are cetitral to lie activities of the
Company. The fitiancial liabilities liase provided the fending to purchase ilte Cotupaims ‘a financial assets
Fitsancial assets and fitsancial liabilities lbrns the nsajority of the assets and tiahilities of the Compattv atid generate the majority of the income
attd expetises
Risk ttuemrigenmeui /ravieivue’k
The Board of Directors has os’erall responsibility for the estahltslstuent and oversight of Ihe Company’s risk management fratnessork
The Company has exposure to the fotloavitig risks.
Ia I Opemttonal risk,
)b) Credit risk,
let Market risk, and
(dl L iqtitditv risk
This note preeemsts infonasation abosum tIme Conspany’s exposare to each of tIme above risks, the Compaity’s objectis’es. policies amid processes for
tsieasttrtng amid naammagimm risk atad tIme Compatsv’ a nsanageitieitm of capital
PB Domieilio 21)07—1 1)esignated Activity Company
Page 26
S ores to the fine oc hit ste teme nts (con tin tied)
For the financial year ended 31 December 2017
19 Financial risk ni anagemcnt ( continued)
(a) Operatisiel riskOperational risk is the risk of direct or indirect loss arising from a svinle variety of ceases associated wills tIne Connpany’s processes, personnel
asd snfrastrrsetstre, and from external factors other tlnasi credit. market and lignidity issnes snch as tlnose arising from legal and regmilaton’
ieqmnrensents aisd generally accepted standards to corporate behaviour.
Operational risks arise froni all of the Company’s operations The Cotsspanv scan incorporated with the purpose of engaging in those activities
ommil med its isote I All issassagensest and adsnsm ni stratton litnettoiss are outsoureed to Vistra Alternative tns’estsnents (Ireland I l.nnm ted I l’ornnerly,
Deatsehe ltntermiatmoisal Corposate Seta’iees I Ireland Il_i united) wltmels has years of experience in tlsis field
(h) Credit riskCredit risk in she risk of tlse finascial loss to the Comstpany ifs eoanterpanv to a )inasmciah instrsisstent fails to sneet its contractual obligations, and
arises principally lions stse Company’s credit linked assets. TIse Cossspany’s principal financial assets are cash, trade and oslser receivables and
financial assess. svtnich represent she Cosstpanv’s mnasimnssn exposnre so credit risk in relation to financial assets.
rite Connpany’s nsaxmmssns exposssre to credit rink its tlse event that cossnterpat’tins fail to perfornn their obliganinsso an at 31 Decensher 2017 in
relation to cads class of recognised financial assets, is the carrying amount of tlsose assesses indicated in the Statesssent of financial position
The Conspasny’s maximum esposisre so credit risk sit tlse event that cosinterparties fail to perfornn their obligations an at 31 Deennnber 20 t 7 in
relation to each class of recognised financial assets. is net oat beloss.
31-Dec-I7 31-Dec-16
F F
Ptsmasscsal assets designated at fair vaisse thsrongis profit or Ions 17,31 3,948 17,424,559
Cash and caslm eqoivalents 16,768,098 22,730,345
Trade and oilier receivables 54.659 58,785
34,13b,705 40,213.689
The directors recognise the reqasrennesmt under IFRS 7 to disclose tise chamsgo in fair valsie attribnsabln to both nsarket and credit rink. I losvever,
due to fair value movennent relating to credit rink not being available, all changes in fair valne have been discloaed in site accounts as due to
imsarket hsk
‘set/st i/isa/itt’ ms/financial arsot,s
The credit qualm’ offinasscia) assets that are sesfiser past doe nor istspamred can be assessed to extennal credil ralings frosts rating agencies
As Use credit risk of site reference Portfolio abos’e mIme Excess Spread Asnoant in borne by lie Noseltoldern. the Company is not exposed to assy
credit rink. Assy realised losses on she Reference Portfolio ahose lie Excess Spread Atnottnt sviil resnlt in a reduction of principal to CUR I per
Note of site Class C Notes and Clans 0 Notes. Class C Notes and Class B Notes. in ilmis order soqttentially. Accordingly. Class C Notes. site Class
D Notes. Ilmen ttsn Class C Notes, then time Class B Notes provide a first Ions Itroledlion ssitts respect to Use Reference Pool
At tine reponing date’. lIme rating analysts by Fitch of the financial assets designated at fair value through profit or Ions svas as follows:
31-Dec-17 31-Dec-16
Deussclse Posthank AG BBS’ DBB
As the reponing date. the Company’s finaiscia) assets at fur value tlsrougis profit or loss svere concentrated in Italy 12016: Italyt.
TIse Conspany Imeld bank acconnts svitls BNP PaUltan, Bassk of lrelaimd and BNY Mellon dnrissg Iho year. The short term credit ratings for BNP
Paribas is A-i 12016: A-i), Battk ofirelaind in A-2 (2016: A-2l assd BNY Mellon in A-Is 12016: A-I + I
Cc) Mum rkct riskMarket risk is site potential adverse cisange in earnings or tIme noise of net ssoflh arising frosn mnovesssnnsn so interest rates, foreign exchange rates
or other market prices Time Coinpan’s assets and liabilities ate denonnmnased in Corn nssd are thus not exposed to foreign exehsango fluctuations.
Tine Noteholders are exponosh to sIne market risk of this assets ponfolin. The objective ofnsarket risk massagemeist into manage and conaN nnarkes
risk exposure svmllsin acceptable parassseters svlsito optisimining retorts on rinks.
(tj /istet’e,st i’asc sick
The Coisspany is exposed to interest rate rink as the entily horrosss finds at floating interest rains. The ink in nmanaged by the Company tinroogh
a Loss Guarantee agreemssemms ssmtls 511W Bauisparkasso AG ss bids is called tlse “Gnarasstea Pee’. Time Gnarasmtee Pee is site assiount calculated bs
SI 1W l3ausparkasse as tine sum of(i t site costs amid expense of site issuer and liii the excess bntsrnemn lie aggregate issternst annosmmst payable by the
Instier on tine Notes and the aggregate aimnomsnt dtme to tIne Issuer mmssder lbs Collateral.
PB Domicilin 2007—1 I)csignated Activity (‘mpanPage 27
‘intro to the financial statements (contintied)
For the financial year ended 31 December2017
16 Financial risk in anagem ent I continned)
(C I Market risk ( riinttnned
(is In/crc ci rotc rick Is on/iiism/i
The interest rate protile of the Co/opal/vs financial iirstrninents as at 3 I December 2017 was
Interest rate risk table
Cacti and cash equivalents
I rade ansi other reeds ablas
Foiaucial assets designated at Our value tlurosglt piofit or loss
Trade and other payables
Finaticial liabilities designated at Ihir value tltrongh profit or loss
Cam ntative interest risk
Floating Non—interest Total
rate hea ring
C6.768.098
54 .659
17.3 13,948
(54,909
(34,073.5431
8,253
The isterest rate l/rolile of the Cotttpanv’s financial instruments as at 31 December 2016 ivas.
Cash and caslt equivalents
Trade and other receivables
Financial assets designated at fair value through profit or loss
Trade and other payables
Finaitetal liabilities designated at fair caIne through profit or loss
Cumulative interest risk
Flnating Nnn—interest
rate bea ring Total
C
22.730.315
58,785
17,424.559 -
- (58,785)
(40,l47,401) -
22.722.842) 22.730.345
The table belosv provides details of the Notes in issue as at 31 Deceneher 2017 including the basis oflhe interest rates
B 09-Jul-ti?
C 09-Jul-07
D 09-Jul-07
F 09-Jnt-07
3.117.426 Floating Rate Credit Linkert Note
13.400.000 Floating Rate Credit Linked Note
11.200,000 Floating Rate Ceedil Linked Note
5.700,000 Floating Rate Credit Linked Note
7-Jan-3 I
7-Jan-31
7-Jan-31
7-Jan-31
Scnsitirutr unin/rsi i
The sennittvit analysis belotr has been determitied based on the Company’s exposure to interest rates for interest beaong assets and liabilities
(included in the interest rate est/osnee tables) at the reporting date and the stipulated chatige taking place at the beguitting of the financial year
and held constant throughout the reporting financial year in the case of ins/run/cots that have floating mtes.
A tOO basis point increase or decrease iepresents ittatiageuseitfs assessnient of a reasonably possible cltange in interest mies and cuats asd cash
equtvalentv If ititerest rates had been 100 basis points Itigleer svtth all oIlier vahables held constant. the interest expense on the notes issued
svouhd have increased by €334. 174 (2016: 0393.7561.
(ii) ( ‘sncnrr risk
Currency risk is the risk svhumch arises dae to the assets and liabilities of lie Company held iii foreign curreitcies. srhich svill be affected by
fisicittations in Ibreigu exchange mIen
F
17.313,948
€
16 .76 8.098
54.659
(54.909)
I titerest rate ride table
(34.073.543) -
(16.759.595) 6,767.848
€ €
22 .73 0 .345
58,785
17.424,559
(58.785 1
)40,147.401 /
7.503
FClass Issite tlnte Nontinal Description Interest rate Mtttnrity date
3 Month Euribor — 0 359
3 Month Eurthor + 0.48%
3 Month Euribur + 0.90%
3 Month Eutribor + 3%
The Coiupaoy has no currency risk since both financial assets and hiahililies are denominated in Earo Therefere. no sensitivity analysis has been
presented tie i tiese finaitcial statemeisla.
PB I)omicilio 21)1)7—I J)esignated Activity (‘nmpaiiyPage 2$
Notes to the finniscial statements (continued)
lot the linaiicitil year ended 31 December 2(07
18 Financial risk management (continued)
Cc) Ma rket risk (continued)
(till (‘tic C ii
Pt ice risk is the risk that the value of financial instruments svilt fluctuate as a result of changes in market prices, whether caused by [actors
specific to an i itdividual investment, its issuer or all factors aliecti itg all tnstrumeiits traded in the niarket.
Other price risk nay itcinde risks such as equity lirice risk. coittinodth price risk. prepavineist risk (i.e. the risk that otte party to a fittancial asset
is ill incur a financial loss hecanse the other pttilv repays earlier or later titan expected), and residual value risk. The Compans is exposed to price
risk by investing on portfolio of investntents I lossever, atty flucttiation in tite saute of financial assets designated at fair value through profit or
loss held by the Company will he borne by the Noteholders
Sin sitiriti’ anci/s’cri
An chatiges in the prices ofthe financial assets ttt fair value through profit or loss would not have any effect on the equity or net profit or lots of
the Company as any fair value fitictitaltoits in prices are ultimately borite by the Noteholders. As at 31 December 2017, exposure to price risk
relitles to the value offlutaiscial assets amounting to €17.3 13.948)2016: 017.424.559). Price risk is actively managed by itivesling it highly rated
investusents ensuring that sic ltas’e priority of paviiient
An iticrease of I o the market prices of the fintinctal assets at the repoflutig slate would result itt an equivalent increase iii the fair values of the
assets of 0173.139 (2016: El 74,2461 A decrease of 1% iii the market prices of the financial assets at the reporting date would result its au
equivalent decrease in the fair values of the Notes of 0173.139 20)6: El 74.2461
(d) Liquiilitv risk
Liquidity risk is the risk that the Coitspany ss’ill not be able to used itt financial obligations as they fbll dtie The Company limits its exposure to
hiquidits risk through lime structure of priorits of pahinents schedule. The Trsutee shall give priority to the interest of the Clans B Noteltolders.
Class C Noteliolders, Class D Noteliolders and Class H Noteholders fr the purpose of the lost allocation Also, any losses in excess of the excess
thread. isill be borne first by Cluss E Notes. Class D Notes. Cluiss C Notes and the Class B notes in line ss’iih the priority ofpayinerii. This means
that the Company svill only pay interest to the extent that futids tire available. All substantial rinks and resvards associated svith the investment
securities arc ultimately borne by the Noteholders.
The financial liabilities are designated at fair value through profit or loss The ultimate atumount repaid to the Noteholders will depend on the
proceeds frotti tine collaterals. All substantial risks ansI resvards associated with the financial assets atid financial liabilities are ultimately bortie
by the Noteholders
The follosvitsg are the cotitractual nsainiritmes of finaiscial liabilities iticlnidung undiscoittited ititerest payments atid excluding the impact of tieiting
against
The uiaturiR’ profile of finaticial liabilities as at3l Deceitiber 2017 is as follows
Gross
Carrying contractual Less than one I to 2 financial 2 to 5 financial Iom’e than 5 financial
31—Dec-17 amount cash flows financial year years years years
€ F € F F
Liabilities
Financial liabilities
Other liabilities
fhe niaitiritv profile of financial liabilities as at 31 Dcceitiber 2016 is as folloss
(31,073.513)
(54,909)
(34,128,452)
i3b.54 8.960)
(54,909)
(36,603,8691
(237,088)
(54,9091
(291,997) (237,088) (711,263) (35.363,521)
237.088) (711.263) 135363.5211
3 1-Dec-16
Liabilities
Financial liabilities
Other liabilities
Gross
Carrying contractual Less than one
uilnoun t cash flow’s t’inanciunl year
€ C C
I 40, 147 .40 I(58.785)
(40,206.186)
Ito 2 financialscum rs
C
(42.916.464)
(58,785)
(42.9752191
2 to 5 financialsea i’s
124 8.970)
(5 8,7851
(307,755)
(248,970) (746,9th)
N’loi’e than 5 financialveun’s
C
(41,671 6 13
(248,970) (746.911) (41,671.613)
In lime with the requmreitsettts tinder I FRS 7, the above I iabihity tables show principal balances and cmuidiscounted interest cash flows up to line
itsaturttv of the liabilities
PB I)omieilio 2007—I I)esignated Activity CompanyPage 29
Notes to the financial statements (cnntintied)
For the financial ‘ear ended 31 December 2017
18 Financial risk management (continneil
Fair value
fhe Company’s investuient securities, slerivatme financial instroments ann debt securities issued are carried at fair value on the Statement of
financial position Usually the fair vatne of the financial instruments can be reliably detennined svitlnn a reasonable range of estimates. The
carnoig aniosnis of all the Company s linancial assets and financial liabilities at the Statement of financial position date approx I niated their fair
values Their fair valncs together ss’ith earning aionsnts sltosvn in the Slateioent of financial position are disclosed in the notes absve.
The Company’s financial instruments carried at Ihir value are analysed belosv by valuation niethod. The difl’erent levels have been defined as
hIt osvs
• Level I : quoted prices t unadjusted tin actis e markets (hr ideutical assets or liabilities
• Level 2: inputs oIlier than qnnted prices nicluded svittiin level 1 that are observable for the asset or liability, either directly lie. as priccsl or
uislirccily
• Level 3 inputs lbr the asset or liability Iliat are oot based on observable market data (unobservable inpotsl
The fair value of a financial asset and financial liabilih is the price that svonld be received to sell an asset or paid to transfer a liability in an
orderly’ transaction beiss’een market participants at the measurement date.
Fair valoes of fisancial assets and financial liabilities that are traded is active niarkets. Level I. arc based on qusted market prices or dealer price
quotations For all other financial instrunscnts the Coutpany deteruuscs fair values using valuation techniques
l.evel 2 prices uses svidely recognised valuation utodels for determining the fair value ofcomnnion and more simple financial instruments such as
iitterest rate and currency ssvaps that use only observable market data and require little management iudgeioeot and estimation Observable
prices and iondel inputs are usually available in the market lbr listed debt and equity securities. exchange traded dcnvaiives and simple over the
counter derivatives. e.g interest rate ssvaps Availability of observable market prices aitd model inputs reduces the need for management
sdgemcnt and estimation and also reduces the uaceilainty associated svitli detenninution of fair values. Availability of observable market prices
and inpots varies depending on the products and iuarkets mind a prone to changes based on specific events and general conditions in the financial
For store coatplsx Level 3 insiruntenms proprician’ vnlaatioa utodelo are used svluclt sssally are developed from recognised valuation uiodels
Soioe or all of the sigmilieant inputs into these models may not be observable in the market, and are derived ruin market piSces or rates or are
estimated based on asssmptious. Examples of instruments mvolviug significant unobservable inputs include certain over the counter derivalives
and certanm securities for u’luclt there is no achis’e istarkei Vat nation ntodels bat employ significant unobservable inputs require a higher degree
of mauagcntens j nidgeitteut anrl estimation in the dctemusatioit of fair sal or Management j uduement and estimauoit are usnially required for
selection of the appropriate valuation ntodcl to be used, determination of expected future cash flosvs on the hinasciat instrument being valued.
dctcmtuiatmon of probability of couuterpany default and selection of appropriate discount rates
Any change in the pricing assumptions for those asscln u’hich use Level 3 valuation techniques ssould not have an impact on the overall financial
position of the Coiupau due to sIte limited recourse nature oftlto Notes in isssie TIme variability in pricing ofsuclt assets svould directly impact
the Noisholders itt each specific series but does not alter the underlying risk faced by each Noteholder or the ultimate retsirn on the transaction.
The fur value of financial assets has been delernuned by a valuation iuodel in place which lakes into account the branch-rating ant maturity
related spreads aitd repayntetit feattires oftlte boad iustrsuueitt,
At the reponimig date. the earning amouisto of financial assets and financial liabilities issued by the Coutpait tvltich fair values seere detemtined
directly. in full or itt pan. by reference so published price quotatioits and detenoined using valuation techniques arc as follossu
31-Dec-17Level I Level 2 Level 3 Tutal
F F F F
16.768,098 - - 16,768,098
54.65) - 54,65q
- - 17.313.948 17.313.q4k
- (54.909) - l54.909i
-- (34.073,5431 (34,073,543)
16,768,098 (2501 (1 6,759,595) 8,253
Cash atid cash equivalents
Trade and other receivables
Finaitcial assets designated at fair value
through prolht or loss
Trade and oilier payahleo
Fiimancial liabilities deoigmmamed at fair value
through profit or loss
PB l)oniicilio 2(107—I l)esignatcd . ctivity Companyl’age 30
Notes to the Financial statements (continued)
lot the tinancial year ended 31 December2017
1$ Financial risk management (continued)
Fiti r values (cisntintieil)
Cash and cash equivalents
Trade and other receivables
Financial assets desigisated at fair value
tlsrosL’h profit or loss
Trade and other pavabtes
Financial liabilities designated a! INc val tie
through profit or loss
31-Dec-16Level I Level 2 Level 3 Total
F F F F
22.730,345 - - 22,730,345
- 58.785 - 58.785
- 17.424.559 - 7.424.559
- t58.785) - (58.785)
-- (40.147,401) (40,147,401)
22,730,345 17.424,559 (40.147,401) 7,503
At the beginning of the year. the Financial assets designated at fair value through profit and loss have moved Irons Level 2 to Level 3 as the
inputs used by Bt-tW are bared osi assiunptions and the inputs are unobsetable
Ahtltougb the directors believe that their estimates of fair value are sippropriate. the use of difibrent methodologies or assumptions could lead to
different measurements of fair value as fair value estimates are mache at a specific point in time, based on market conditions and informatioit
about the financial instrument These estimates are subjective in nature and involve uncertainties and matters of significant judgement e.g
interest rates. volanliiv. credit spreads, probability of defaults. estimated cashitows etc and tlierehbre. cannot be detemsined wills precisioir
Foi recognised fair values measured thing significant unobservable iispsiis, clitinging one or inure assiatiptions used to reasonably possible
alternative assumptions might impact on the valtie attributable to Notelsolders, but would not have any etlect on the profit or loss or on equity as
any change in fur value will be borne by the Noteholders due to the limited recourse nature of the debt issued by the Company.
A 100 basis points change in she inteeest rate used in the valuation iiiodel to price the financial assets would result in change in fair value by
El 73.139
l’isiasicsa/ liabilities sieasusretl at lair Value bcised an level 3
Balance at beginning of Financial year
Redemptions during the financial year
Fair value movement
Balance at beginning of financial year
Trasufer in
Redemptioiis during the linanciul year
Fair value inovenient
Financial
liabililies3 I-Dec-I 6
F F
31-Dec-17
F
(II 0.6 11)
hI 6,792
(1.062)
5.1 19
112.122
(623,882)
(51 1.760)
l’u,ici,icial (ii tel 5 uuieaciure ifs! l’inr b’cslise hissed an level 3
Fitiaticial
liabilities3 1-Dec-17
40,147,401
(5.958.128)
115,7301
34 .073 .543
69.472,702
129.837,151)511,760
40.147.401
Financial Financial
assets assets
31-Dec-17 31-Dec-16
F F
1 7.424.559
(110.611) -
17.313,948 -
There was transthr between and or witliut Level 3 financial instruments during the financial sear.
The tolal amount of change in fair value estimated using a alimation technique based on significant unobseisabhe class that was recognised in the
Statement ofCoissprehtensive income for the financial year is as follows3 1-Dec-16
F
I is esimeni securities i eahisecl loss
tuvestinent sectirities tinrealised loss
Notes issued realised gaiii
Notes issued unrealised loss
PR l)omiriliii 2007—1 1)eoignaled Activity CompanyPage 31
N otes to the financial statemeiits ( conti n ned)
For the financial year ended 31 L)ecember 2017
19 Caliital risk nianagenient
The Compaisy viesv the notes as us capital. Share capital of €3 svaa issued in tiae with Irish Company Law and is not aaed far financing the
iavesloig activities ol’the Company The Company is not subject to any extei sally imposed capital requirements. There is no capital risk becaose
this stmcture is set sip so that the Notes absorb the loss
20. Llltiniate Controlling Pam
rhe Company has determined that the noteholders are the ultimate controlling pai1 of the Company
21 Subsequent eventsProm I JaouaiT 2018 to the signing date of the repoil, Class B Notes, Class C Notes. Class D Notes nod the Class E Notes were folly redeemed
by a total ai000nt of €33.4 17.426 and the interest paysoent amoonted to €239,479. The realised loss balance of the Reference Pool for the
financial period 11am I Janaan 2018 to the sigonig of the egon amounted to 86.674901. Portlier to the iepayment of the Notea. the Company
decided to ienninate the transaction. tluis reouttiag iii the preparation of the financial statements under the noo-goosg concern basis as it woidd
he osappropriate to preonnie that the Company will cootinoe io business.
22 A lit) oval of the financial statements
l’he board of directors approved these financial statements on 2018.