lieta funding limited directors report and audited finaiicial … · the company has no direct...

LIETA FUNDING LIMITED

Directors report and audited Finaiicial Statements

For the finaiicial year ended 31 December 2015

Registered number: 477941

HETA FUNDING LIMITED

CONTENTS

Page(s)

Corporate informationI - 2

Directors report3 - 6

Statement of directors’ responsibilities7

Independent auditors report8-9

Statement of comprehensive income10

Statement of financial positionII

Statement of changes in equity12

Statement of cash flows13

Notes to the financial statements14 — 25


Page 1CORPORATE INFORMATION

DIRECTORSSunil MassonGrahatn Hodgkin (Appointed on 21 July 2015)Graham Co-e (Appointed on 2) July 2015)Nick Bland (Appotnted on 01 June 2015 and resigned on 21 July 2015)Sally Gilding (Resigned on 01 June 2015)

CORPORATE SERVICE PROVIDERDeutsche International Corporate Services (Ireland) Limited6th FloorPinnacle 2Eastpoint Business ParkDublin 3Ireland

SECRETARYSunil MassonWinchester House

I Great Winchester StreetLondon EC2N 2DBUnited Kingdom

INDEPENDENT AUDITORSPricewatcrhouscCoopcrs Iii’7 More London Ris ersideIOOdOfl

SF1 2RFUnited Kingdom

REGISTERED OFFICE6th FloorPinnacle 2Eastpoint Business ParkDublin 3

Ireland

ORIGINATOR, COLLATERAL MANAGER, ACCOUNT BANK, VENDOR AND VENDOR TRUSTEEBarclays Bank PLCI Churchill PlaceCanary WharfLondon E14 5HPUnited Kingdom

COLLATERAL ADMINISTRATOR, PRINCIPAL PAYING AGENT AND CALCULATION AGENTDeutsche Bank AG. London BranchWinchester 1-louseI Great Witichester StreetLondon EC2N 2DBUnited Kingdom


Page 2CORPORATE INFORMATION (CONTINUED)

TRUSTEEDeutsche Trustee Company LimitedWinchester HouseI Great Winchester StreetLondon EC2N 2DBUnited Kingdom

SOLICITORSArthur CoxEarlsfort CentreEarisfort TerraceDublin 2Ireland


Pige 3DIRECTORS’ REPORTThe directors submit their report and the audited financial statements of ileta Funding Limited (the ‘Company” and the “issuer”) for the financialyear ended 31 December 2015.

PRINCIPAL ACTIVITIESThe Company is a special purpose entity (“SPE’) established by Barclays Bank PLC (“BBPLC”, the “Originator” and the ‘Notehoider’’) for thepurpose of issuing limited recourse asset backed securities (the “Notes”) and was incorporated in Ireland as a private limited company on 25November 2009. The registered of ice of the Issuer is 6th Floor, Pinnacle 2. Eastpoint Business Park, Dublin 3, ireland. The Company’s UK placeof business is at do Deutsche Bank AG, London Branch. Winchester 1-louse. Mailstop 428, I Great Winchester Street. London EC2N 2DB. Unitedkingdom. Although the Company was incorporated iii Ireland, it is tax resident only in the United Kingdom and considers its centre of main interestto be in United Kingdom and Wales.

The principal activity of the Company is tile issue of the Notes and the acquisition of a beneficial interest in the portfolio of collateral debtobligations BBPLC was the initial purchaser ot’the Notes.

in March 2011, GBP l15,000,000 of the Notes held by BBPLC were provided to an independent third party under a Repurchase agreement for aperiod of 5 financial years. Apart from this transaction, BBPLC was tile sole noteholder as at 31 December 2015 and 3 I December 2014.

The Originator failed the derecognition criteria of lAS 39 when it sold the legal ownership of the collateral debt obligations to the Company as thesignificant risks and rewards of the loans were not transferred to the Company. Therefore, these loans remain on the Statement of fnancial positionof the Originator As such, the beneficial interest in the underlying portfolio is shown as a deemed loan in the financial statements of the Company.

REVIEW OF BUSINESS AND FUTURE DEVELOPMENTSAs it the financial sear end, the Conipany acted as an SPti esiahtishd to raise or borrow mone\ and to grant securits user its assets br such purposeand to acquire receivables mid administer these mceis atiles Flie directors do not anticipate aims changes to the present level of activits - or the natureof the Company’s business in ihe near liture

The details of’ the Notes at financial year end are as follows

GBP CIII’31-Dec-15 31-Dec-14

Senior Notes 3,625,000.000 3,b25,000,000Subordinate Notes I .375,000,000 I ,375,000,000Total 5.000,000.000 5.000.000,000

The Notes are intended only for highly sophisticated and knosvledgeable investors ssho are capable of understanding and evaluating the risksinvolved in investing in the Notes.

The Company has no direct employees, and no subsidiaries.

On 19 August 2012, the underlying portfolio moved from the reinvestment phase to the amortisation phase As a result, during the tinancial yearended 31 December 2013. the Company received a repayment on the deemed loan of’ GBP 69.633.226. Under the transaction documents, theseprincipal proceeds were used to repay the Company’s deemed loan and the Notes in accordance with the Application ol’Principal Proceeds Prioritiesof Payment on the Payment Dates of 19 May 2013, 19 August 2013 and 19 November 2013.

However, the Company signed the First Supplemental Trust Deed on 20 December 2013. amending the transaction documents This deed, amongstother things, extended the maturity date of the Notes to l9 November 2029. stopped the amortisation phase, extended the Reinvestment Period to 19November 2015 and amended the Eligibility Criteria for the underlying portfolio of assets.

Tile Company signed the Second Supplemental Trust Deed on 16 December 2014, amending the Transaction Documents.

l,inder this deed, the principal amount of the Notes has been increased so that the Principal Amount Outstanding of the Senior Notes is GBP3,625.000,000 and the Principal Amount Outstanding of’the Subordinated Notes is GBP 1,375.000,000.

in consideration for the increase in the Senior Notes and the Subordinated Notes, the Noteholder has advanced to the Company’s Principal AccountGBP 2,704.663.226 in respect of the Senior Notes and GBP 855.000,000 in respect of the Subordinated Notes The amounts paid by theNoteholders have been Lmsed by the Coinnans to nurchase collateral debt t’rom BBPLC in accordance with the Vendor Trust Deed.

The Conipanv’s obligation to pay GBP 3,559,663,226 to BBPLC as Vendor and BBPLC’s obligation as Senior Noteholder and SubordinatedNoteholder to pay GBP 3,559,663.226 to the Company was oflef as at the date of this Second Supplemental ‘Frust Deed.

The Second Supplemental Trust Deed, amongst other things, also extended the maturity date of the Notes to 19 Nos’eniber 2034. extended theReinvestment Period to 19 Noseniber 2016 and amended the Eligibility Criteria for the underlying portt’olio of assets

The increase in the Principal Amount (‘)utstandiiig of the Notes and the extension to the maturity date of the Notes amounted to a substantialmodification of’ the terms of the Notes in accordance svith lAS 39 As such, the existing Notes were considered to be extinguished at carrying valueand new Notes recognised at thir value, and subsequently measured at aniortised cost Hosvever, as the Notes pay interest at a lusting rate, it is thedirectors’ viesv that the fair saimme of the modified Notes is equal to the carrying value ot the Notes at the date of modification, resulting in no gain orloss being recognised in the Stimtemeimt of comprehensive incoiiie


Page 4DIRECTORS’ REPORT (CONTINUED)

RESULTS AND DIVIDEND FOR THE YEARThe results for the financial year are set out on Page 10. The directors have not recommended payment of a dividend for the year under review.(2014: GBP Nil).

GOING CONCERNThe Company’s performance is mainly driven by the performance of the beneficial inlerest in the underling portfolio of collateral debt obligationspurchased from BBPLC

In order to qualify as a collateral debt obligation, an obligation must satisfy specific Eligibility Criteria specified in the Collateral ManagementAgreement (as amended by the Second Supplemental Trust Deed) on the relevant Trust Date, If a collateral debt obligation does not meet theEligibility Criteria on the relevant Trust Date, the Vendor Trustee shall re-acquire the beneficial interest in such collateral debt obligation from theCompany at the price at which the Company acquired the beneficial interest therein.

To measure the current and prospective performance of the underlying portfolio, the Collateral Administrator performs monthly Portfolio Profile,Collateral Quality and Senior Par Value tests which are reviewed by the directors As per the 31 December 2015 monthly investor report, theCompany passed all the mentioned tests except for the Minimum Weighted Average Spread Test The collateral manager continues to monitor theportfolio with regards to these tests and takes the action required under the deal document.The summary of the key performance indicator results areas follows:

Collateral Test TRIGGERS RESULTS STATUS RESULTS STATUS31-Dec-15 31-Dec-15 31—Mar-16 31—Mar-16c’l;’

Moodv’s alenium .‘,sse’ C’ ‘ea5on Test— < S.3C% 7.9S’ Pass 7.700 PassMoody’s Msmunr V’i’d . e:’age Ranne Factor Trst 1.680CC’ 1.386 Pass 1.460 PassMoody’s Mmunum W’e:erted . erace Recover.’ Rate Test > 35.00% 35.00% Pass 55.30 PassMsnrnu-ti ‘i.U’tCred At cram’ Sci’cad Test >= 1.75% 1 76% Pass 1.76% Pass‘7’c’’’r5 , “ ‘i’m-” “m <= ip Nov 201’ 5-,ui-2O FaC 19-Sep-20

C;sc”ayc,7nior ?a ,‘a’,ie 7cr’ >= 132.57’ 1.75’..’ Pass t5.75’ Pass

During the financial year, the Company failed the weighted average maturity test. However, this failure does not have any immediate consequenceor impact on the Company. The Collateral manager continues to monitor the portfolio with regards to these tests and takes action required under thedeal document.

Importance is given to the Senior Par Value test as this test will determine the capacity of the Company to pay interest on the Subordinated Notes,whether Principal Proceeds may be reinvested in new collateral debt obligations or whether total interest proceeds would be needed to pay interest onthe Senior Notes. As per the 31 March 2016 investor report. the Senior Par Value ratio amounted to 137.93%. more than the required ratio ot’132.50%.

In view of the above results, there is a reasonable basis that the current performance of the underlying collateral debt obligations will he sufticienttoserve any obligations outstanding in respect of the Notes.

As highlighted in Note 16 to the t’inancial statements, any cash shortfall and residual risk arising from the financial assets and liabilities of theCompany will be ultimately borne by the Subordinated Noteholders.

The directors consider that, having taken all available relevant information into account in their going concern assessment, there is no reasonabledoubt over the performance of the underlying collateral obligations and that the substantial risks and rewards from the trade will be ultimately borneby the Subordinated Noteholders As a consequence. the directors have a reasonable expectation that the Company has sufficient viability to continuein operational existence for the foreseeable future. Thus, they continue to adopt the going concern basis of accounting in preparing the financialstatements.

DIRECTORS AND ThEIR INTERES’l’S‘I’he directors of the Company during the financial year and up to the date on which the financial statements were approved are shown on Page 1.None of the directors held ally beneficial interest in the ordinary share capital of the Company at any time during the financial year. None of thedirectors had any interest either during oral the end of the financial year in any material contract or arrangement with the Company.The directors benefited from qualifying third party indemnity provisions ni place during the tinancial year.

CHANGES IN DIRECTORS AND SECRETARY AND REGIS’[ERED OFFICEOil 01 June 2015. Sally Gilding resigned as director of the Company and was replaced by Nick Bland on the same date

On 21 July 2015, Nick Bland resigned as director of the Company

On 21 July 2015, Graham Hodgkin and (.iraham (‘Ox trere appointed as directors of the Company

There was iio other change in directors and secietary during the financial year


Page 5DIRECTORS’ REPORT (CONTINUED)

EVENTS AfTER BALANCE SHEET DATEThere have been no sienificant post balance sheet events up to the date of signing the financial statements.

POLITICAL DONATIONSThe Electoral Act, 1997 (as amended by the Electoral Amendment Political Funding Act. 2012) requires companies to disclose all political donationsover EUR 200 in aggregate made during a financial year. The directors, on enquiry, have satisfied themselves that no such donations in excess ofthis amount have been made by the Company during the financial year.

BUSINESS RISKSThe disclosures in relation to the Company’s policies for financial risk management, including market risk, credit risk, operational risk and liquidityrisk and the nature of financial instruments used during the financial year to mitigate exposure to these risks are shossn in Note 16 to the financial

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

The Company was incorporated ss lb the purpose of engaging in those activities outlined in the preceding paragraphs All management andadministration functions are outsourced to Deutsche International Corporate Services (Ireland) Limited.

CORPORATE GOVERNANCEhtti’Oi/ltCllOfl

The Company is suhect to and complies with Irish Situtc comprising the t’oinpan es Act 20 14 and the listing Rules of the Irish Stock EsehangeEhe Company does not apply additional requirements in addition to those required by the above. Each of the service providers engaged by theCompany is subject to their osvn corporate governance requirenients

Fo,uiuurl RL’/sa’uhig I’rmLe.s,sThe directors are responsible dr establishing and maintaining adequate internal control and risk management systems of tIre t’ompan in relation tothe financial reporting process. Such systems are designed to manage rather than eliminate the risk of failure to achieve the Company’s financialreporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss.

The directors have established processes regarding internal control and risk management systems to ensure its effective oversight of the financialreporting process. These include appoHtting the Corporate Service Provider, to maintain the accounting records of the Company independently of theTrustee. The Administrator is contractually obliged to maintain proper books and records as required by the Corporate Administration agreement. Tothat end the Administrator performs reconciliations of its records to those of the Trustee. ‘I’he Administrator is also contractually obliged to preparefor review and approval by the directors the annual report including financial statements intended to give a true and dir view

The directors evaluate and discuss significant accounting and reporting issues as the need arises. From time to time the directors also examine andevaluate the Administrator’s financial accounting and reporting routines, and monitor and evaluate the external auditors’ performance, qualificationsand independence. The Administrator has operating responsibility for internal control in relation to the financial reporting process and theAdministrator’s report to the directors.

Risk .4ssessnwn!The directors are responsible for assessing the risk of irregularities whether caused by fraud or error itt financial reporting and ensuring the processesare in place for the tintely identification of internal and external matters with a potential ef’feet on fiitancial reporting. The directors have also put inplace processes to identify changes in accounting rules and recommendations and to ensure that these changes are accurately reflected in theCompany’s fitiancial statements More specifically:

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

Cot moo? .4ciin’ities‘Fhe Administrator is contractually obliged to design and maintain control structures to manage the risks which the directors jLidge to he significantfor internal control over financial reporting These control structures include appropriate division of responsibilities and specific control activitiesaimed at detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements andthe related notes in the Contpanv’s annual report.


Page 6DIRECTORS REPORT (CONTINUED)

CORPORATE GOVERNANCE (CONTINUED)MonitoringThe directors have an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measuresrecommended by the independent auditors

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

Capital StructureNo person has a significant direct or indirect holding of securities in the Company No person has any special rights of control over the Company’sshare capital. There are no restrictions on voting rights.

With regard to the appointment and replacement of directors, the Company is governed by its Articles of Association, Irish Statute comprising theCompanies Act 2014 and the Listing Rules of the Irish Stock Exchange. The Articles of Association themselves ma\ be amended by specialresolution of the shareholders.

ACCOUNTING RECORDSThe directors beliexe that they have complied with the requirements of Sections 281 to 285 of the Companies Act 2013 with regard to the keeping ofhooks of account by employing accounting personnel with the appropriate expertise and by providing adequate resources to the financial function.The hooks of account of the Company are maintained at 6th Floor, Pinnacle 2. Eastpoint Business Park. Dublin 3. Ireland

AUDIT COMMITTEEAccording to European Communities Regulations. 20 ii) ( S I 220 of 20 I fl (the Rcgulations’). if the sole business of the Irish Compan reiates tothe IssLung of asset backed securities, the Conipans is exempt from the requirement to estuhhsh an audit committee (under Regulation 91(9) (d( 0!ihc Regulations) In this respect. the Company is not required to establish an audit committee.

‘I’RANSA(”[IONS INVOLVING DIRECTORSDeutsche International Corporate Services (lreland( Limited provides corporate services to the Company at arm’s length commercial rates. SunilMasson, Graham I-Iodgkin and Graham Cox are not directors of Deutsche International Corporate Services (Ireland) Limited. As such, they have nointerest in transactions conducted with the Company.

INDEPENDENT AUDITORSIn accordance with Section 383(2) of the Companies Act 2014, PricewaterhouseCoopers LLP have expressed their xillingness to continue in office

L/IGraham Hodgkin “ Sunil MassonDirector Director

Date: 1 June 2016


Page 7STATEMENT OF DIRECTORS RESPONSIBILITIESThe directors are responsible for preparing the directors’ report and the financial statements in accordance with Irish law.

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

Under Irish law the directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the cOmpany’sassets, liabilities and financial position as at the end of the financial year and of the profit or loss of the company for the financial year.

In preparing these financial statements, the directors are required to:• select suitable accounting policies and then apply them consistently:• make judgernents and estimates that are reasonable and prudent:• state whether the financial statements have been prepared in accordance with IFRS and ensure that they contain the additional information requiredby the Companies Act 2014: and• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the company will continue in business.

The directors are responsible for keeping adequate accounting records that are sufficient to:• correctly record and e\plain the transactions of the company:• enable, at any time, the assets, liabilities, financial position and profit or loss of the company to be determined with reasonable accuracy: and• enable the directors to ensure that the financial statements comply with the Companies Act 2014 and enable those financial statements to beaudited,

The directors are also responsible for safeguarding the assets of the company and hence for taking reasonable steps for the prevention and detectionof fraud and oilier irregularities.

On helialfoftlie board

Graham I’Iodgkin. ‘ Sunil MassonDirector Director

Date: 1 June 2016

Independent auditors’ report to the members of Heta FundingLimited

Report on the financial statementsOur opinion

In our opinion. Heta Funding Limited’s financial statements (the “financial statements”):• give a true and fair view of the company’s assets, liabilities and financial position as at 3 1 December

2015 and of its profit and cash flows for the year then ended;

• have been properly prepared in accordance with International Financial Reporting Standards(“IFRSs”) as adopted by the European Union; and

• have been properly prepared in accordance with the requirements of the Companies Act 2014.What we have audited

The financial statements comprise:

• the statement of financial position as at 31 December 2015;

• the statement of comprehensive income for the year then ended:

• the cash flow statement for the year then ended: and

• the notes to the financial statements, which include a summary of significant accounting policies andother explanatory in formatIon,

The financial reporting framework that has been applied in the preparation of the financial statements isIrish law and IFRSs as adopted by the European Union.

In applying the financial reporting framework, the directors have made a number ofsubjectivejudgernents,for example in respect of significant accounting estimates. In making such estimates, they have madeassumptions and considered future events.

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

of our audit.

• In our opinion the accounting records of the company were sufficient to permit the financialstatements to be readily and properly audited.

• The financial statements are in agreement with the accounting records.

• In our opinion the information given in the Directors’ Report is consistent with the financialstatements.

• In our opinion, based on the work undertaken in the course of our audit of the financial statements, thedescription of the main features of the internal control and risk management systems in relation to thefinancial reporting process included in the Corporate Governance Statement, is consistent with thefinancial statements and has been prepared in accordance with section 1373(2)(c) of the CompaniesAct 20 14.

• Based on our knowledge and understanding of the company and its environment, obtained in thecourse of our audit of the financial statements. we have not identified material misstatements in thedescription of the main features of the internal control and risk management systems in relation to thefinancial reporting process included in the Corporate Governance Statement.

Independent auditors’ report to the members of Heta FundingLimited (continued)

Matter on which we are required to report by exception

Directors’ remuneration and transactions

Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures ofdirectors’ remuneration and transactions specified by sections 305 to 312 of that Act have not been made.We have no exceptions to report arising from this responsibility.

Responsibilities for the financial statements and the alldit

Our responsibilities and those of the directors

As explained more fully in the Directors’ Responsibilities Statement set out on page 7, the directors areresponsible for the preparation of the financial statements and for being satisfied that they give a true andfair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irishlaw and International Standards on Auditing (UK and Ireland). Those standards require us to comply withthe Auditing Practices Board’s Ethical Standards for Auditors.

This report, including the opinions, has been prepared for and only for the company’s members as a bodyin accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in givingthese opinions, accept or assume responsibility for any other purpose or to any other person to whom thisreport is shown or into whose hands it may come save where expressly agreed by our prior consent inwriting.

What an audit of financial statements involves

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). Anaudit involves obtaining evidence about the amounts and disclosures in the financial statements sufficientto give reasonable assurance that the financial statements are free from material misstatement, whethercaused by fraud or error. This includes an assessment of:

• whether the accounting policies are appropriate to the company’s circumstances and have beenconsistently applied and adequately disclosed;

• the reasonableness of significant accounting estimates made by the directors; and

• the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the directors’ judgements against availableevidence, forming our ownjudgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we considernecessary to provide a reasonable basis for us to draw conclusions. We obtain audit evidence throughtesting the effectiveness of controls, substantive procedures or a combination of both.

In addition, we read all the financial and non-financial information in the Directors’ Report and AuditedFinancial Statements to identify material inconsistencies with the audited financial statements and toidentify any information that is apparently materially incorrect based on, or materially inconsistent with,the knowledge acquired by us in the course of performing the audit. If we become aware of any apparentmaterial misstatements or inconsistencies we consider the implications for our report.

Lawrence Wilkinsonfor and on behalf of PricewaterhouseCoopers LLPChartered Accountants and Statutory Audit FirmLondon1 June 2016


STATEMENT OF COMPREHENSIVE INCOMEFor the financial year ended 31 December 2015

Interest receivable

Interest pas able

Taxation

Profit for the financial year & total comprehensive income for thefinancial year

The (ompuns has nude no recognised aains and Tosses other than the ahos e result for the financial sear

The result for the financial year ssas derived from continuing operations

I 0.058,767 30.625.4226 (110.058.767) (30.625.422)

70,583 111.709(166,083) (107.209)

4.500 4,500

(900) (968)

3.600 3.532

Note

FinancialYear ended

31-Dec-15

GBP

Page 10

Financial

Year ended

31-Dec-14

GBP

Other incomeOther operatstg expensesProfit before taxation

7

8

Ihe notes Ott pages II to 25 form part of these financial stateinetits


STATEMENT OF FINANCIAL POSITIONAs at 31 December 2015

ASSETS

Non-current assetsDeemed loan to Originator

Current assetsTrade and other receivablesCash and cash equivalentsTotal current assets

Total assets

LIABILITIES

Non-current liabilitiesDebt securities issuedTotal non-current liabilities

Current liabilitiesTrade and other paahlcs

EQUITYShare capitalRetained earninesTotal equity

Total liabilities and equity

Page II

2 /

Graham HodgkiiDirector

Date: 1 June 2016

Sunil MassonDirector

31-Dec-IS 31-Dec-14Note GBP GBP

9

10II

13

12

14

Total liabilities

5.000.000.000 5.000.000.000

3,488.750 9.217,057906,581 878,997

14,395,331 10,096,054

5,014.395.331 5.010.096,054

5,00(1,000,000 5,000,000,0005.000.000.000 5,000000.000

4.377.220 I 0.0$ 1.55214.377.229 10.081,552

5,0l4,377.229 5.0I0.08l,552

18,101 14.50118,102 14,502

5,014,395,331 5.010,096,054

The financial statements on pages 10 to 25 were approved and authorised for issue by the Board of Directors onon its behalf by:

and were signed

‘The notes on pages 14 1025 form part of these financial statements


STATEMENT OF CHANGES IN EQtJITY

For the financial year ended 31 December 2015

Share capital

GBP

Profit and total comprehensive income for the financial year - 3,532

Balance as at 31 December 2014 4.502

Profit and total comprehensive income for the financial year

Balance as at 31 December 2015

Balance as at 1 January 2014

Page 12

Totalequity

GBP

0,970

Retainedearnings

GBP

0,969

3,532

I 14,501

- 3,600 3.600

1 18,101 18,102

The notes on pages 14 to 25 form part of these financial statements

I-I ETA FUNDING LIMITEDPage 13

Cash flows from operating activities

Profit before taxation

.4djustinens for:

Interest receivable

Interest payable

(lncrease)/decrease in receivables

Increase in payables

Interest received

Interest paid

Tax paid during the financial year

Net cash generated from operating activities

Cash and cash equivalents it beginning of the financial year

Net increase in cash and cash equivalents

(ash and cash equivalents at end of the financial sear

(110,058,767) (30.625.422)

110,058,767 30,625.422

4,50033.064

197,05424.636.491

(24.636.491)

27.584 234.618

878,997 644.37927,584 234.618

906.581 878.997

STATEMENT OF CASH FLOWS

For the financial year ended 31 December 2015 FinancialYear ended

31-Dec-IS

GBP

4.500

FinancialYear ended

31-Dee- 14GBP

4.500

4,500(10,805)

34.789105.797.879

(105.797,879)

(900)

[lie notes on pages 4 to 25 form part of these financial statements

HETA FUNDING LIMITEDPage 14

NOTES TO THE FINANCIAL STATEMENTS


1. General information

The principal activity of the Company is the issue of limited recourse notes (the “Notes’). The proceeds of the Notes have been used to acquire a

beneficial interest in a portfolio of collateral debt obligations from Barclays Bank PLC (“BBPLC”). BBPLC was the initial purchaser of the Notes.

2. Basis of preparation

(a) Statement of compliance

The financial statements are prepared in accordance with European Union adopted International Financial Reporting Standards (IFRSs), IFRS IC

interpretations and the Irish Statute comprising the Companies Act 2014 applicable to companies reporting under IFRS

(b) Going concern

The Directors consider that, having taken all available relevant information into account in their going concern assessment, there is no reasonable

doubt over the performance of the underlying collateral obligations and that the substantial risks and rewards from the trade ss ill be ultimately borne

by the subordinated noteholders As a consequence. the directors have a reasonable expectation that the Company has sufficient viahilit\ to continue

in operational existence for the foreseeable future Thus, they continue to adopt the going concern basis of accounting in preparing the financial

statements.

(c) Use of estimates and judgements

The preparation of the financial statements in conformity with IFRS requires the directors to make judgements. estimates and assumptions that may

al’liict the application of accounting policies and the reported amounts of assets, liabilities., income and expenses. The estimates and associated

assumptions are based on historical esperience and various oilier actors that are believed to be reasonable under the circumstances, the results ot’

which form the basis of making adgernents ahoLit carrying values of assets and liabilities that are not readily apparent from other sources. Actual

results may di (Thr from these estiin ates.

(d) Basis of measurement

The financial statements have been prepared on the historical cost basis.

(e) Fit ii ctioiial and presentation currency

IThe financial statements arc presented in Great Britain Pounds (‘G BP). which is the functional currency of the Compans The functional currency

is the currency of the primary economic environment in which the Company operates

(1) Changes in accounting policies and disclosuresThe accounting policies adopted are consistent with those of the previous tinancial year except as follows

The following new standards and amendments became el’ihctise during the financial ear ended 31 December 201S:

Standards/interpretations Effective date

IFRS 13 Fair Value Measurement - Amended by Annual Annual periods beginning on or after I July 2014

Improvements to IFRSs 2011—2013 Cycle. Clarifies thatthe scope of the portfolio exception defined in paragraph52 of IFRS 13 includes all contracts accounted for withinthe scope of lAS 39 Financial Instruments Recognitionand Measurement or IFRS 9 Financial Instruments.regardless of whether they meet the definition of financialassets or financial liabilities as defined in lAS 32 FinancialInstruments Presentation.

lAS 24 Related Party Disclosures - Amended by Annual Annual periods beginning on or after I July 2014

Improvements to IFRSs 2010—2012 Cycle Clarifies thatan entity providing key management personnel services tothe reporting entity or to the parent of the reporting entityis a related party of the reporting entity.

None of these standards and amendments impacted the Company’s financial statements.

New sta,icla,’ds not yet adopted

A number of new standards and amendments to standards and interpretations became effective after I January 2016 and have not been applied in

preparing the financial statements. None of these is expected to have a significant effect on the financial statements of the Company, except those set

out in the table below

Standards/interpretations Effective dale

lAS I Presentation of financial The amendments were made to clari6c guidance in lAS I Annual Periods beginning on or after 1 Jan 2016

statements on materiality and aggregation. the presentation o(subtotals, the structure of financial statements and thedisclosure of accounting policies. The amendments form apart of the lASH’s Disclosure Initiative, which exploreshow financial statement disclosures can he improved.

[IETA FUNDING LIMITED

Page 15NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)For the financial year ended 31 December 2015

2. Basis of preparation (continued)

(1) Changes in accounting policies and disclosures (continued)Neii’ standards not vet adopted (continued)

Standards/interpretations Effective dateIFRS 9 This is a new accounting standard that introduces a new Annual periods beginning on or after I January 2018

classification approach for financial assets and liabilities.

The previous four categories for financial assets will be

reduced to three, being fair value through profit and loss,

fair value through other comprehensive income and

amortised cost, and financial liabilities will be measured at

amortised cost or fair value through profit and loss. This

may result in additional gains or losses being recognised

in the Income Statement or OCI.

The Company has not adopted ass other iess standards or interpretations that are not mandators The directors anticipate that the adoption of thosestandards or iiitcrpretations other than 1FRS 9. will has c no material impact on tile linancial siatenleilis ol the Compans in the period of initial

application. The Company is still assessing the impact of IFRS 9.

3. Significant accounting policies

(a) Interest incomeInterest sicome is derived from the Companys deemed nail and ibnds so cstcd and are recognised using the ctYeciive interest rate meillod. The

effective interest rate is the rate that exactly discounts the estimated future casil payments and receipts through the expected life of tile tinitiicial asset

or liability or (where appropriate a shorter period) to tile carrying amount of the financial asset or liability. The efibetive ilterest rate is estahhslled Oil

initial recognition of tile financial asset and liability aild is not revised subsequently.

(h) Interest expenseInterest expense relates to interest Oil the Notes issued and is recognised using the effbctive interest rate metilod

(c) Foreign currenciesAs stated in Note 2 (e). the results and financial position of the entity are expressed il GBP which is the fLtnctionai currency of the Coinpailv.Trailsuetions in eurreilcies other than GI3P are recorded at the rate prevailing at the date of the transaction. At each balance sileet date. monetary

items and non-monetary assets aild liabilities that are denominated in foreign currencies are retranslated at the rate prevailing Oil tile reporting date.Gains aild losses arising on retrailslatioil are recognised in the Statement of compreheilsive inconle.

(d) Other incomeOtller income represeilts ineonle received by the Company out of the casil lows of tile underlying assets which is used to settle Otiler operatiilgexpenses and to leave tile Company with tile level of retained profit set out in the trailsaction documeiltation.

(e) Other operating income and expenseAll otller operating iilcOille and expense is accounted for on an accruai basis

(I) Taxation

Income tax expeise comprises current tax Income tax expense is recognised il the Statement of eompreileilsive income except to tile extent that itrelates to items recognised direetls’ in equity, in wllich ease it is recognised in equity

Current tax is the expected tax payable on tile taxable income for the period, usitig tax rates applicable to tile Conlpaily’s activities eilacted orsubstailtively enacted at tile statement of fitlaneiai posilion date, arid adjustments to tax payable in respect of previous periods.

The Compaily is taxable under The Taxation of Seeuritisatioil Companies Regulations 2006, which is effective for accounting periods heginnutlg onor after tile I Jailuary 2007

I4ETA FUNDING LIMITEDPage 16

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

For the linancial ,‘ear ended 31 December 2015

3. Significant accounting policies (continued)

(g) Financial instruments

The financial instruments held by the Company include the following:

• Deemed loan to Originator

• Debt securities

RecognitionThe Company initially recognises all financial assets and liabilities on the trade date at sshich the Compan becomes a party to the contractual

provisions of the instruments Purchases and sales of financial assets and financial liabilities are recognised using trade date accounting

Derecogni!ion

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

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

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

Where there is a modification of the terms of an existing financial liability or a part of it is accounted for as an cxtingsshmcnt of the original

financial liahilit-m. the directors assess whether the modification is significant or not, Where it is. the existing financial liability is dc—recognised and a

new financial liability recognised in its place Anv dit’fbrence between the carrying amount of a financial liability (or part of a financial liability)

e\tinguished and the consideration paid. including ans’ non—cash assets iranst’erred or liabilities assumed, is recognised in the Statement of

comprehensive income.

lhe Company derecognises a financial liability sshen its contractual obligations are discharged or cancelled or expired.

Ojj.fa!tiiig

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

a legal right io set of)’ the amounts and intends either to settle on a net basis or to realise the asset and settle the liability siniultaneouslv Income and

expenses are presented on a net basis onl sslien permitied h the accounting standards, or or gains and losses arising rum a group of smmimilar

transactions

Deemed bait to Oi’igoia!or

The Originator failed the derecognition criteria of lAS 39 when it sold the legal ownership of the collateral debt obligations to the Company as the

significant risks and rewards of the loans were not transferred to the Company Therefore, these loans remain on the Statement of financial position

of the Originator As such, the beneficial interest in the underlying portfolio is shown as a deemed loan in the tinancial statements. It is initially

recognised at ‘air value and subsequently measured at amortised cost,

Purchases and sales of the deemed loan are recognised on trade date - the date on which the Company commits to purchase or sell the assets. They

are initially recognised at cost and subsequently measured at arnortised cost. They are derecognised when the right to recover cash liows from the

itivestments have expired or the Company’ has transferred substantially all the risks and rewards ofowitership.

The Company recognises principal atid interest cash hiows from the underlying pool of collateral debt obligations only to the extent that it is entitled

to retain such cash hlows. Cash floss s attributable to the Originator are not recognised by the Company.

The Basis Swap entered into between the Company and the Originator is not recognised separately as a financial derivative instrument, as the

amounts payable under the swap reflect interest flows from the collateral debt obligations which are not recognised by the Company for accounting

purposes. Instead, the deemed loan to Originator is recognised with an interest rate which rellects the amount receivable under the swap receiving

‘[he deemed loan to the Originator is regularly assessed for impairment, based primarily on the performance of the underlying receivables.

Impao’mem on deemed loan

Full due diligence is conducted by the Collateral Manager prior to any investments being made by the Company. The transaction documentation sets

out eligibility criteria for the underlying assets. ‘I’he Company reviews the loan to assess impairment at least on a monthly basis.. In determining

whether an impairment loss should be recorded in the Statement of comprehensive income, the Company makes judgenients as to whether there is

ails’ observable data indicating that there is a nieasurahle decrease in the estimated future cash tlosss from the loan. This evidence may include

observable data indicating that there has been an adverse change in the payment status of borrowers

As at 31 December2015, there were no indications that the deenied loan to Originator was impaired (2014: Nil)

Debt sectn’ities at antoi’tised cost

All debt securities are initially recognised at the lair value of the consideration received less directly attributable costs. After initial recognition.

interest hearing loans and horrowinas are measured at ainortised cost using the effective interest method

Ti’ade and ol/iei’ i’eceirahles

Trade and other receivables do not carry any ititerest and are short-term in nature and are accordingly stated at cost as reduced by appropriate

allowances for estimated inecoverah,le amounts. sshere applicable

HETA FUNDING LIMITEDPage 17

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)


3. Significant accounting policies (continued)

(h) Cash and cash equivalents

Cash and cash equivalents include cash in hand, deposits held with banks and other short term highly liquid investments with original maturities of

less than three months, which are subject to insignificant risk of chances in their fair value, and are used by the Company in the management of its

short-teni commitments As the cash can only be used to meet certain specific liabilities and is not available to he used sith discretion, it is viewed

as restricted cash.

(i) Statement of cash flows

Interest income and interest expense are considered to come from the Company’s core operations, and are therefore classified as cash flows

aenerated from ooeratina activities in the Statement of cash tlosss

4. Critical accounting estimates and judgements

Estimates and judgements are continually evaluated and are based on historical experience and other factors, including expectations of future events

that are believed to be reasonable under the circumstances.

The estumiates and assumptions that have a significant risk of causing a material adiustment to the carrying amounts of assets and liabilities relate to

the accounting of the deemed loan and considerations of impairment of the deemed loan.

5. Interest receivable Financial Financial

‘tear ended ‘tear ended

31-l)ec-15 31-Dec-14

GHP GBP

Interest income 110.058,767 30,625,422

6. Interest payable Financial Financial

Year ended ‘tear ended

31-Dec-15 31-Dec-14

GBP GBP

Interest on debt securities issued 110.058.767 30,625.422

7. Other operating expense Financial Financial

‘tear ended ‘tear ended

31-Dec-IS 31-Dec-14

GBP GBP

Administrative fees 56.344 62,477

Audit lees 2 8.750 24.720

Other fees 80,989 20.0 12166.083 107,209

Auditors’ remuneration of GBP 21,750 (2014 GBP 20,600) excluding VAT, arose during the financial year and this relates to fees paid to the

statutoiy auditors PricewaterhouscCoopers LLP. Audit fees of the Company are paid by Barclays Bank Plc on behalf of the Company. Non-audit

services provided to the Company amounted to GBP 12,500 (2014: GBP 7.500) excluding VAT.

Other operating expensesThe Company is administered by Deutsche International Corporate Services (Ireland) Limited. During the financial year, the Company incurred a fee

of GBP 10,000 (2014: GBP 10.000) relating to administration services As discussed in note 3(d), all expenses are paid directly by BBPLC and

therefore they do not appear on the face of the Statement of comprehensive income.

The Company has no employees. Although the directors received no remuneration from the Company in respect of qualiliing services rendered

dtiring the financial year, their services \sere provided as part of’ administrator services provided by Deutsche International Corporate Services

(Ireland) Limited for which the above t’ee was payable


NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)For the financial year ended 31 December 2015

Page 18

8. TaxationThe Company is taxable under The Taxation of Securitisation Companies Regulations 2006 (the “Regulations”), which is effective for accounting

periods beginning on or after 1 January 2007. Therefore the company is not required to pay corporation tax on its accounting profit or loss. Instead,the company is required to pay tax on its retained profits as specified in the documentation governing the transaction.

The Company is entitled to retain GBP 1.125 of each interest payment date income collections as profit. This profit meets the definition of RetainedProfits under the Regulations, and is taxable at the current taxation rate.

The standard rate of Corporation Tax in the UK for companies with profits under GBP 300,000 is 200/0 and accordingly, the Company’s profits forthis accounting financial year are taxed at 20% (small profit rate).

Balance as at I JanaaryAdditionsBalance as at 31 December

FinancialYear ended

3 1-Dec-15

GBP4.500

31-Dee- 15GBP

5,000,000,0005,000.000,000

FinancialYear ended

31-Dec-14

GBP4,500

31-Dec-14

GBP5,000,000,0005,000,000,000

On 19 August 2012, the underlying portfolio moved from the reinvestment phase to the arnortisation phase. As a result, during the financial yearended 31 December 2015, the Company received a repayment on the deemed loan of GBP 69,633226. Under the transaction documents, theseprincipal proceeds were used to repay the Company’s deemed loan and the Notes in accordance with the Application of Principal Proceeds Prioritiesof Payment on the Payment Dates of 19 May 2013, 19 August 2013 and 19 November 2013.

According to the Second Supplemental Trust Deed signed on 16 December 2014, the amounts paid by the Noteholders for the increase of the Notes,have been used to purchase collateral debt obligations from BBPLC in accordance with the Vendor Trust Deed This deed also extended theReinvestment Period to 19 November 2016.

Profit on ordinary activities before taxationTax expense comprises

Current tax expense at 20% (2014: 21.50%)

The total charge fr the financial ear can he reconciled to the accounting profit as follows

Income tax expense calculated at the rate of 20% (2014: 21.50%)

Profit not taxable in accordance with Statutory Instrument No 32% of the laxation of

Securiti sation Companies Regulation 2006Income tax expense recognised in the Statement of comprehensive income

9. l)cemed loan to Originator

900 968

900 968

900 968

31-Dec-15 31-Dec-14GBP GBP

5000.000.000 1,440,366,774- 3,559,633,226

5,000,000,000 5,000.000,000

In accordance with the Conditions of the Notes in the prospectus, the proceeds of the Notes were applied on II August 2010 to the acquisition of abeneficial interest in a portfolio of collateral debt obligations from BBPLC and an expense reserve, receivable from BBPLC. As part of the SecondSupplemental Trust Deed signed on 16 December 2014, the expense reserve receivable from BBPLC was paid to the Company, with the amountused by the Company to acquire additional beneticial interest in a portfolio of collateral debt obligations. As at 31 December 2015 and 31December 2014. the deemed loan to the Originator was comprised as follows

Beneticial interest in collateral debt obligations

_______________ ________________

The Company’s obligation to pay GBP 3559.663,226 to BBILC as Vendor and BBPLC’s obligation as Senior Noteholder and SubordinatedNoteholder to pay GBP 3.559,663,22610 the Company was offset as at the date of this Second Supplemental ‘Frust Deed



lO. Trade and other receivables 31-Dec-IS 31-Dec-14GBP GBP

Other receivables 58.275 47.470Accrued interest receivable on the deemed loan to Originator 13.430,475 9.169.587

13.488,750 9.217.057

11. Cash and cash equivalents 31-Dec-IS 31-Dec-14GBP GBP

Cash at bank 906,581 878,997

12. Trade and other pavables 31-Dec-IS 31-Dec-14

CBP GBPInterest payable on Notes 13,430,475 9.169.587Accruals 53,983 41.163Other payahles 890.903 867.149Corporation tax payable 1,868 3.653

4.377229 10,081.552

13. Debt securities issuedLimited recourse and segregation of assets and liabilitiesI he Notes issued by the Company are limited in recourse to the amount due (loin the deemed loais to the (irigmiiaumr In the event ol’ the terniiiiatinnof the Declaration of Trust. ans outstand inn claims will he borne b the noieholdcrs pro rata to their holdings

On II August 2010. the Comnpan issued GBP 99(1.000000 Senior Secured Floating Rate Notes. due 2026 and 0131’ 520.000.000 Subordinatednotes due 2026 The Senior \oie, hear interest nt three month (1131’ LI BOR plus I 60%.

I lowcver, the Company signed the First Supplemental Irusl Deed on 20 December 2013, amending the transaction documents This deed, amongstother things, extended the maturity date of the Notes to 19 November 2029. stopped the amortisation phase, extended the Reinvestment Period to 19November 2015 and amended the Eligibility Criteria for (lie underlying portfolio of assets.

The Company signed the Second Supplemental Trust Deed on 16 December 2014. amending the Transaction Documents.

Under this deed, the principal amount of the Notes has been increased so that the Principal Amount Outstanding of the Senior Notes is GBP3.625.000.000 and the Principal Amount Outstanding of the Subordinated Notes is GBP 1.375.000.0(10.

In consideratiots for (lie increase in (lie Senior Notes and (lie Subordinated Notes. the Noteholder has advanced to the Companvs Principal AccountGBP 2,704.663.226 in respect of the Senior Notes and GBP 855,000.000 in respect of the Subordinated Notes. The amounts paid by theNotcholders have been used by the Company to purchase collateral debt from BBPLC in accordance svith the Vendor Trust Deed

The Company’s obligation to pay GBP 3,559,663,226 to BBPLC as Vendor and BBPLC’s obligation as Senior Noteholder and SubordinatedNoteholder to pay GBP 3,559,663,226(0 the Compatiy was offset as at (lie date of this Second Supplemetital Trust Deed.

The Secotid Supplemental Tritst Deed, amongst other things, also extended the maturity date of the Notes to 19 November 2034, extended theReinvestment Period to 19 Noveniher 2016 and aniended the Eligibility Criteria for the utiderlying portfolio of assets.

Hosveser. as the Notes pay interest at a tloating rate, it is the directors view that the fair salue of the modilied notes is the equal to the carrYing valueof the Notes at the date of tisodilication. resulting in no gaits or loss being recognised in (lie Statement of comprehensive imieome

The Notes issued by (lie Company are limited in recourse to the amount due froni the deemed loan to the Originator. In the event of the terminationof the Declaration of Trust. any outstanding claims will be borne by the noteholders pro rata to their holdings.

31-Dec-IS 31-Dec-14GBP GBP

Balance as at I January 5.000.000,000 1,440,366,774Additions

- 3.559.633.226Balance as at 31 December 5.000.000.000 5.000.000.000

Description of notes Maturity date Interest rate Nominal Nominal31-Dec-IS 31-Dec-14

GBP GBPSenior Secured Floattng RateNotes 19 November 2034 3 month (1BP Ltbor + 160% 3,625.000.000 3.625.000.000Subordinated Notes 19 Novetmiber 2034 Available binds basis 1,375,000,000 1,375,000,000

5,000,000,000 5,000,000,000


Page 20

Issued:

1(2011. I) ordinary share of EUR I each

capital.

The Company is exposed to the tkillosving risks arising from the financial irstriiinents held by the (.‘ompan• Operational risk:• Credit risk;• Market risk, and• liquidity risk

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)For the financial ‘ear ended 31 December 2015

13. Debt securities issued (continued)StatusThe Notes will at all times be direct, general. secured and unconditional obligations of the Company. The Senior Notes will at all times rank panpassu among themselses but in priority to the Subordinated Notes The Subordinated Notes will rank pan passu among themsel’.es but subordinateto the Senior Notes,

SecurityThe Company acquired the beneficial interest in the collateral debt obligations from BBPLC. which represents the collaieral of the Notes in issue.

InterestDebt securities issued are subject to tloating interest rates on the Senior Notes at 3 month GBP LIBOR + 1.6%. The Subordinated Notes are notentitled to fixed or floating interest. The payment of interest on the Notes is dependent on the receipt of income from the deemed loan to OriginatorIf the Company does not receive sufficient income from the deemed loan from the Originator then there is no obligation to pay interest to thesubordinated noteholders

RedemptionRedemption of the limited recourse loan notes will be made from the proceeds received on the sale or maturity of their underlying obligations on therelevant redemption date. Additionally at the option of all noteholders, the notes or collateral may be redeemed early at any Payment Date. The earlyredemption price will he the net of the price received on sale of the underlying securities and the price payable to force termination of the deemedloan to Originator.

On 19 August 20 12. the underlying portfolio moved l’rom the reins esu ient phase to the aniortisation phase As a result, during the linammei:ml scarended 3 I )eceniher 20l3. the Compans receised a cn,i\ ment on the deemed loan of GBI’ 60.633.226 t ‘nder the transaction documents, theseprincipal proceeds sseW used to repay the t..’ompanv’s deemed loan and the Notes in accordance with the .‘\ppiication of Principal Proceeds Prioritiesof Payment on the Payment Dates of I 9 Mmiv 2)11 3. 1 9 ALigust 2t) I 3 and I 9 \os ember 2i i IS.

14. Share capital 31-I)ec-15 31-Dec-14.4uthorised: CUR CUR100(2014: 100) ordinary shares of FUR I each 100100

31-Dec-IS 31-Dec-14GBP GIW

The Company is not exposed to externally imposed capital requirements and accordingly the directors do not actively manage its ordinary share

15. Ownership of the CompanyAs from 21July20 15. the sole shareholder of the Company is Castlewood Corporate Services Limited, holding I share.

Up to 20 July 2015, the sole shareholder of the Company was Deutsche International Finance (Ireland) Limited, holding I share.

On 21 July 2015, I share of Eur I was transferred from Deutsche International Finance (Ireland) Limited to Castlewood Corporate Services Limited

BBPLC, being the Originator and sole Noteholder, bears the Company’s substantial risks and rewards and has full control over the Company’soperations. On this basis, the Company is consolidated in BBPLC’s financial statements

Barclays PLC is the ultimate parent of the Company.

BBPLC and Barclays PLC are incorporated in the United Kingdom and registered in England. BBPLC.”s and Barclays PLC’s statutory l’inaneialstatements are available from the Barclays (‘orporate Secretariat, I Churchill Place, London F 14 51-IP

16. Financial risk management

IntroductionThe principal activity of the Company is limited to the issue of the Notes The proceeds of the Notes have been used to acquire a beneficial interestin the portfolio of collateral debt obligations from BBPLC.

Risk Management franieworkThe Board of Directors has overall responsibility l’or the establishment and oversight of the Company’s risk management franiessork.

The risk profile of the Conipany is such that market, credit and liquidity risks of the financial assets nd liabilities held are ultimately borne by theholders of the Notes issued.



16. Financial risk management (continued)

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

The Company was incorporated with the purpose of engaging in those activities outlined in the Note I. All management and administrationfunctions are outsourced to Deutsche International Corporate Services (Ireland) Limited.

(b) Credit riskCredit risk is the risk of the financial loss to the Company if the counterparty to a financial instrument fails to meet its contractual obligations, andarises principally from the Company’s receivables.

The underlying collateral debt obligations have not been assigned to the Company and legal title has remained with BBPLC in its capacity as VendorTrustee under the Vendor Trust Deed. Accordingly, neither the Company nor the Trustee is in privity of contract with the Obligors under thecollateral debt obligations and does not have the right to assert claims or effect remedies directly against the Obligors. In the event of default byObligors tinder the collateral debt obligations, the Issuer and the Trustee have rights solely against the Vendor under the Vendor Trust Deed and haveno rights against the Obligors under the collateral debt obligations and only BBPLC will be entitled to take any remedial actions or exercise any votespermitted to he taken or given thereunder. 1-lowever. the Vendor Trustee Power of Attorney is drafted such that it will allow the Issuer, the CollateralManager on behalf of the Issuer or. where applicable, the ‘l’rustee to act in the name at BBPLC to enforce the collateral debt obligations against theOhligors and collect the proceeds therefrom upon the occurrence of certain events 01’ det’auli. svithotii the need to seek the leave 01 a coLirt underEnglish insolvency laws

‘the maximum exposure to the credit risk at the reporting date was as fOllows.

31-Dec-IS 3I-I)ec-14GBP GBP

Deemed loan to Originator 5,000,000,000 5,000,000,000Cash and cash equivalents 906,581 878,997Trade and other receivables 13,488,750 9,217,057

5,014,395,331 5,010.096,054

Full due diligence was conducted by the Collateral Manager prior to the investment being made by the Company. The Transaction Documentationsets out eligibility criteria for the underlying assets. The Company reviews the deemed loan to assess impairment at least on a monthly basis. Thecredit quality of the financial assets is also reviewed on a monthly basis by the Collateral Manager, At 31 December 2015, the financial assets werestill performing and none were past due (2014: None).

The credit rating of the Originator, who also holds the cash and cash equivalents, at the financial year end was as follows:Rating Agency Rating

31-Dec-IS 31-Dec-14Barclays Bank PLC Moody’s A2 A2

(c) Market risk

Market risk is the potential adverse change ni earnings or the value of net worth arising from movements in interest rates, foreign exchange rates orother market prices.

Interest rate, cur,’encj’ and price ,‘iskThe Company issued limited recourse Notes to fond the acquisition of the underlying portfolio.The following tables sets out the interest rate and currency risk exposure profile of the Company:

Interest rate risk

As of3I December 2015

Assets Floating rale Non—interest Totalbearing

GBPDeemed loan to OriginatorTrade and other receivables

Cash and cash equivalents

Liabilities

Debt securities issuedTrade and other payable

GBP GBP

5.000.000,000 - 5,000,000,00013,430.475 58.275 13,488,750

906.581 - 906,5815,014,337,056 58,275 5,014.395,331

5,000,000,000 - 5,000.000,01(013.430,475 946,754 14,377,229

5,013,430,475 946,754 5,014,377.229


Page 22NOTES TO TIlE FINANCIAL STATEMENTS (CONTINUED)For the financial year ended 31 December 2015


(c) Market risk (conhinued)

hi/crest ia/c. currenci’ and p1-ice risk (conhinzied,)Interest rate risk (continued)

As of31 December 2014

Assets

Deemed loan to OriginatorTrade and other receivablesCash and cash equivalents

LiabilitiesDebt securities issuedTrade and oilier payable

Currency risk

Floating rate Non-interest Totalbearing

GBP GBP GBP5.000,000,000 - 5,000,000.000

9.169.587 47.470 9,217.057878.997 - 878.997

5.010.048,584 47.470 5.010.096,054

5.000,000.000 - 5,000.000,0009.169.587 91 l.%5 10.081.552

5,009. 169.587 9! I .965 5.0 (1.18 .552

As of3l December 2015

Deemed loaii to trade and oilier (‘ash and cashOriginator receivables equivalents

Debt securities ‘trade and otherissued payables

The Company is exposed to interest rate risk given the mismatch in the floating interest rate payments and receipts To manage the identified riskexposures, the Company has entered into a Basis Swap with BBPLC mirroring the cash flows from the deemed loan to convert to the floating ratebasis of the Notes issued. The Company limits its exposure to currency risk by purchasing assets denominated in GBP and since the Notes are alsodenominated in GBP, the Company is not exposed to any material currency risk.

Under the deal structure, the amount to be paid every 19 February, 9 May, 19 August and 19 November, by the Company will depend on theinterest proceeds received on the Basis Swap. In cases where the interest proceeds are deemed insufficient to cover the secured parties including thesenior note holders under the ‘Frust Deed, the Company may withdraw an aniount froni the expense reserve account to the extent required for suchamounts to be paid in t’ull The details on the expense reserve account are discussed below.

As the portft)lio of collateral is in the functional currency of the Company and as the subordinated notcholders assume any residual risk arising ‘rumthese imi-,trumnents. the directors are of view that the Company has minimal net interest and currency risk exposures.

Price risk is not relevant to the Company as the financial assets and liabilities are measured at ainonised cost

Sensiim ri9’ amialj’sisDie Impact of any changes in exchange rates, interest rates and market pras on the financial instruments of the Conipany is borne by the swapcountcrpartv and therefore has no net impact on the net profit or loss of the Conmpanv

(uri’ciicy

GBP

EUROTotal

As of3l December 2(114

Currency

GBPEUROTotal

GBP GBP GBP GBP GBP5.000.000.000 13,484,459 906,581 (5.000000.000) (14,360,155)

- 4,291 - - (17,074)5,000,000,000 13,488,750 906,581 (5,000,000,000) (14,377,229)

Deemed loan to Trade and oilier Cash and cash Debt securities Trade and otherOriginator receivables equivalents issued payables

GBP GBP CBP GBP GBI’5.000.000,000 9,210,751 878,997 (5.000,000.000) (10,073,268)

- 6.306 - - (8,284)5,000,000,000 9,217.057 878,997 (5,000,000,000) (10,081,552)




(d) Liquidity riskLiquidity risk is the risk that the Company will encounter difficulties in meeting obligations arising from its financial liabilities that are settled bydelisering cash or another financial asset, or that such obligations ssill have to be settled in a manner disadvantageous to the Company. TheCompany’s approach is to ensure, as far as possible, that it will always have sufYicient liquidity to meet its liabilities when due, under both normaland stressed conditions, without incurring unacceptable losses or risking damage to the Company’s reputation.Any quarterly shortfall on the interest proceeds to be paid to the Senior noteholders is covered by the expense reserve account. The expense reserveaccount has been designed to exceed the expected amount that will be required over the life of the trade to make up the shortfall on interestpayments. Any further shortfalls after payments made to secured parties including the senior note holders are to be assumed by the subordinated noteholders as set out in the Trust Deed.

Upon trade termination, the Company’s obligation to the note holders is limited to the net proceeds upon realisation of the collateral. Should the netproceeds be insufficient to make all payments due in respect of a particular series of Notes. the other assets of the Company will not he available forpayment and the deficit is instead borne by the noteholders according to the established prioritiesThe following table shows the maturity profile of the financial liabilities as at 31 December 2015 and 2014 The gross contractual cash lows of thedebt securities includes the interest and principal payments due to the senior noteholders

As of 31 December 2015

The interest and principal payments due to the subordinated noteholders have been excluded as this is subject to the established payment priorities asset out ri the ternis and conditions of the Notes.

(e) Fair value of financial assets and liabilitiesThere is no active market for the deemed loan to the Originator or the limited recourse Notes, therefore the directors have estimated the fair aloe ofboth the Notes and the deenied loan to the Originator b’ discounting the cash flows using a discount rate based upon coniparahle structures in themarket.

The fair value and accounting classification of the financial assets and liabilities at the balance sheet date are as t’ollows:

31 December 2015I’nia,icial assetsDeemed loan to OriginatorCash and cash equivalents‘I rade and other recei ables

Financial LiabilitiesDebt securities issuedTrade and other payahles

Carrying amountGBP

Fair valueC,BP

Gross Less thancontractual

cash flow(;BP

5.1 33.77X.62i)14.377.229

5148.155.849

One to

two financial‘ears

_____

CBP78.753.125

OflC financialyear

C BP78.753.12514.377,22993,130.3 54

Two to More than

Debt securities issuedTrade and oiher P0 ables

As of3l December 2014

Debt securities issuedTrade and other payables

five financialyearsGBP

236.259.375

live financialyearsGBP

4.740.012.995

78,753.125 236.259,375 4,740.012.995

Gross Less than One to Two to Iore thancontractual cash one financial two financial hive financial five financial

flow year years years yearsGBP GBP GRP GBP GBP

5.202.569.143 78.205.025 78,205.025 234.615.075 4,811,544,01810,081,552 10,081,552

-- -

5.212.650.695 88,286.577 78,205,025 234.615,075 4,811,544,018

5,000,000,000 5.003,799,689906.581 9(16.581

13.488.750 13,488,7505,014.395.331 5.018,195,020

5.000.000.000 5.003,799,68914.377.229 14.377.229

5,014,377,229 5,018.176.918




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

31 December2014Financial assetsDeemed loan to OriginatorCash and cash equivalentsTrade and other receivables

Financial LiabilinesDebt securities issuedTrade and other payables

Level Quoted market price I sinacll usted ri sri active market for sit identical instrument

market data

transaction on the measurement date.

Carrying amountGBP

Fair valueGBP

5.000,000.000 4,979,614.813878.997 878.997

9,217,057 9.217,0575,010,096,054 4,989,710,867

5,000,000,000 4,979,614.81310,081,552 l0.08L552

5.010.081.552 4.989.696.365

(f) Valuation offiiiancial instrumentsThe Company measures fair values using the folloss sg fair value hierarchy that reflects the signuticance of the inputs used in making themeasurements.

l.csel 2. Valuation techniques based on observable mpits. either directly I i.e. as prices) or indirectly (I e. derived from prices) This categoryincludes instruments valued using quoted market prices in active markets for similar instruinents quoted prices for identical or similar iitstruincntsin markets that are considered less than active, or other aluation techniques where all significant inputs are directls or indirectly obsers able front

Level 3: Valuation techniques using signi l’icjnt unobservable inputs. This category inclLidcs all instruments where the val LiatiOil technique includessmputs not based on observable data and the unobservable nipiits have a significant elYect on the instrument’s valuation. This category includesinstruments that are valued based on quoted prices for similar instruments where significant unobservable adjustments or assumptions are requiredto reflect differences between the instruments.

Fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable. willing parties in an arm’s length

Fair values of financial assets and financial liabilities that are traded in active markets, level 1, are based on quoted market prices or dealer pricequotations. For all other financial instruments the Company determines fair values using valuation techniques.Valuation techniques include net present value and discounted cash flow models, comparison to similar instruments for which market observableprices exist. Black-Scholes and polynomial option pricing models and other valuation models Assumptions and inputs used in valuation techniquesinclude risk-free and benchmark interest rates, eredit spreads and other parameters used in estimating discount rates, bond and equity prices, foreigncurrency exchange rates,, equity and equity index prices and expected price volatilitmes and correlations The objective of valuation techniques is toarrive at a fair value determination that reflects the price of the financial instrument at the reporting date that would have been detenisined by marketparticipants acting at ann’s length.

Level 2 prices uses widely recognised valuation models for determining the fair value of common and more simple financial instruments such asinterest rate and currency swaps that use only observable market data and require little management judgement and estimation Observable pricesand model inputs are tisually available in the market for listed debt and equity securities, exchange traded derivatives and simple over the counterderivatives. e.g. interest rate swaps Availability of observable market prices and model inputs reduces the need for management judgement andestimation and also reduces the uncertainty associated with determination of fair values. Availability of observable market prices and inputs variesdepending on the products and markets and is prone to changes based on specific events and general conditions in the financial markets.At 31 December 2015 and 2014. none of the assets or liabilities of the Company were valued using [.evel I or Level 3 pricingAll the assets and liabilities are carried at amortised cost. I’he fair value of the assets and liabilities are disclosed in Note 16 (e) above



17. Related party transactionsOther than disclosed elsewhere in the financial statements, the following related parts’ transactions took place between the Conipan and the relatedparties during the financial ‘ear:

Deutsche Bank .4G. London Branch2015 2014GBP GBPAdministration fees expense during the financial year 56,344 62.477Administration fees payable at the end of the financial year 6,551 6.903

Barclat’sBankPLC2015 2014GBP GBPInterest expense on Notes for the financial year (110,058,767) (30.625,422)Interest expense on Notes payable at the end of the financial year (13,130,475) (9,169,587)Interest income for the financial year

110,058.767 30,625,422Interest income receivable at the end of the tinancial year 13.430.475 9.169.587Other income170,583 111.709Cash and cash equivaleists887.650 863.527Deemed loan to Originator

5,000,000,000 5.000.000.000Debt securities issued5.000,000.000 5.000.000,000

Deutsche International Corporate Services (Ireland) limited provides corporate sers ices to the Company at arm’s length commercial rates. SunilMasson. Graham Hodgkin and Graham Cox arc not diicctors of Deutsche Batik AG, l.ondon Branch and are not deemed to have any mm fluence overthe Company As such. the have no interest in transactions conducted with the Company

18. Coniparatisesfoe comparatives figures relates to the financial car ended 31 December 20i4,

19. Capital disclosuresThe share capital of the Company is EIJR I - The Company is not subject to any capital requirements other than its share capital.

20. Events tifter balance sheet dateThere have been no signilicttnt post balance sheet events up to the date of signing the financial statements.

21. Commitment and contingenciesAs at 31 December 2015, the Compan has no commitments or contingencies.

22. Approval of financial statementsThe directors approved these financial statements on 1 June 2016.