for the year 2015 Sinfonia Finance B. V. Annual accounts of Prins Bernhardplein 200 Sinfonia Finance B. V JB Amsterdam The Netherlands

Transcription

1 Annual accounts of Sinfonia Finance B. V. for the year 2015 Sinfonia Finance B. V. Prins Bernhardplein JB Amsterdam The Netherlands Chamber of Commerce

2 Table of contents Report of the management Financial statements Balance sheet as at December 31, Profit and Loss account for the year Cash flow statement for the year Notes to the annual accounts for the year 2015 Other information Appropriation of results Subsequent events Independent auditor's report

3 Report of the management Management herewith presents to the shareholder the annual accounts of Sinfonia Finance B. V. ( the Company") for the year General The Company was Incorporated under the laws of The Netherlands on 20 August The Company has Its registered office in Amsterdam ( Prins Bernhardplein 200, 1097 JB). The Company' s authorised share capital consists of EUR 90, 000 and is divided into 900 voting ordinary shares with a par value of EUR 100 per share. The Company has an issued and outstanding share capital of EUR 18, 000. The sole shareholder is Stichting Abintra Capital, a foundation ( Stichting) ( the " Foundation") established under Dutch law on 12 August The Company acts as an issuer of Notes under the ' multi -issuer' Helix Asset Backed Medium Term Note Programme amounting to USD 5 billion ( the " Programme") since April Its objectives are to provide credit protection on certain reference portfolios. The structure is arranged by Bank of America Merril Lynch ( formerly Bank of Amercia Securities Limited) ( the "Arranger"). The Company issues series of notes (" Series' under the Programme. These Series are limited recourse; an investor ( noteholder) is only entitled to the collateral/ proceeds of its own Series including all risks associated with the collateral. There will be no other assets of the Company available to meet outstanding claims of the noteholders, who bear such shortfall pro rata their holdings of the notes Collateral (" Collateral") means the actual investment(s) bought for a Series. Each Series has its own terms and conditions and has its own Collateral. When a new Series is issued all documents, Including the derivative contracts, are signed simultaneously at the closing date. The Collateral bought by the Company can consist of almost any item the investor in a certain Series prefers, as long as this fits in the terms and conditions of the Programme. This is, amongst others, loans, listed or unlisted bonds, notes, and any other kind of Collateral. It is the investor/ noteholder together with the swap counterparty who decides what kind of Collateral they would like to purchase for a certain Series, as one of them bears the risk. Conditions can also differ per Series ( maturity date, interest rates, payment dates, parties involved etc). The Notes can be unlisted or listed ( on the London Stock Exchange (" LSE") or the Irish Stock Exchange ISE")). Recourse on the Notes is limited to the Collateral and rights under the various swap contracts for each of the issued Notes. The Company also entered into a series proposal and guaranteed fees agreement with the Arranger on the basis of which all expenses and taxes are reimbursed to the Company by the Arranger. Certain Notes may be assigned a credit rating by Standard & Poor' s Ratings Services, a division of the McGraw- Hill Companies, Inc. (" Standard & Poor's") and/ or by Moody's Investors Service, Inc (" Moody' s") and/ or by Fitch Ratings Limited (" Fitch") and/ or by such other rating agency as may be chosen by the relevant Dealer. For a complete description of the terms and conditions of the programme, we refer to the programme memorandum dated 30 April 2007 ( the " Programme Memorandum"). Page 1 of 20

4 Information regarding financial instruments Due to the limited recourse nature of the Series, the Company has ultimately transferred effectively all financial risks to the Noteholders. The Company did enter into several derivative contracts to mitigate the risks of the Noteholders to the swap counterparty. The obligations and rights under the derivative contracts mirror the obligations and rights on respectively the liabilities in relation to the Notes and the assets on the Collateral. Overview of activities Due to Instalment payments on the Notes, several series of Notes were partially redeemed by the Swap Counterparty and this led to an increase in long term liability of the Company towards the Swap Counterparty. As Bank of America Securities Limited was the sole noteholder of these series at the repurchase date, no cash was exchanged. The Collateral of these Series was transferred to the noteholder at the repurchase date. During the year 2015 no employees were employed by the Company ( 2014: nil). Audit Committee The audit committee consists of two members. As per 8 June 2016, Mr. J. C. M. Schoen and Mr. G. J. Huizing were appointed as member of the audit committee. Results The net asset value of the Company as at 31 December 2015 amounts to EUR 18, 000 ( 2014: EUR 18, 000). The result for the year 2015 amounts to nil ( 2014: nil) due to the reimbursement of all expenses and taxes by the Arranger. At 31 December 2015 the Company' s outstanding Collateral amounted to EUR million ( 201: EUR million). The Notes outstanding as at 31 December 2015 amounted to EUR 11 million ( 2014: EUR 12 million). Financial risk management The Company' s activities are exposed to a variety of financial risks, being credit and concentration risk, interest rate risk, currency exchange risk and liquidity risk. Reference is made to the general notes to the financial statements ( note f) with a more detailed overview of the financial risks involved. Future outlook Management is of the opinion that the present level of activities will be maintained during Management expects no new Series of Notes to be issued and subsequently no new Collateral to be purchased during Amsterdam, 5 January 2017 Intertrust ( Netherlands) B. V. Page 2 of 20

5 Balance sheet as at December 31, 2015 Before proposed appropriation of result and expressed in Euros) EUR EUR EUR EUR FIXED ASSETS Financial assets 1) 14, 348, , 878, , 348, , 878, 372 CURRENT ASSETS Other receivables 2) Interest receivable 3) 287, , 498 Cash and cash equivalents 5) 20, , , , , 657, , 217, 220 SHAREHOLDERS' EQUITY Issued share capital 9) 18, , , , 000 LONG- TERM LIABILITIES Notes payable 7) 11, 018, , 045, 408 Payable to Swap Counterparty 8) 3, 357, 468 6, 859, , 375, , 905, 169 CURRENT LIABILITIES Corporate income tax 4) Interest payable 6) 246, , 937 Other payables and accrued expenses 16, , , , , 657, , 217, 220 The accompanying notes form an integral part of these financial statements. Page 3 of 20

6 Profit and Loss account for the year EUR EUR EUR EUR FINANCIAL INCOME AND EXPENSES Interest income Interest expense Other financial income and expenses 10) 1, 464, ) ( 1, 464, 767) 12) 0 1, 750, 157 1, 750, 157) OPERATIONAL INCOME AND EXPENSES General and administrative expenses Recharged expenses 13) ( 57, 643) 14) 58, , 379) 64, Result from ordinary activities before taxation Income tax expense ( 15) Result after taxation 576) 0 634) 0 The accompanying notes form an integral part of these financial statements. Page 4 of 20

7 Cash flow statement for the year EUR EUR EUR EUR Net Income Cash flow from operating expenses Interest received Interest paid Income tax paid Administrative expenses paid Recharged expenses Cash flow from financing activities Redemption of Collateral 0 0 1, 778, 160 1, 718, 242 1, 778, 160) 1, 718, 705) 576) 634) 57, 643) 63, 379) , 123) 28, 007 4, 093, 474 ( 470, 052) Cash flow from financing activities Redemption of Notes Redemption to Swap Counterparty Changes in cash and cash equivalents 550, 176) ( 968, 557) 3, 502,293) 11439,207 4, 052,469) 470, , , 605 The movement of the cash and cash equivalents is as follows Balance as at 1 January Movement for the year Balance as at 31 December 42,070 13, , 882) Page 5 of 20

8 Notes to the annual accounts for the year 2015 General The Company was incorporated under the laws of The Netherlands on 20 August The Company has its registered office in Amsterdam ( Prins Bernhardplein 200, B). The Company's authorised share capital consists of EUR 90, 000 and is divided into 900 voting ordinary shares with a par value of EUR 100 per share. The Company has an issued and outstanding share capital of EUR 18, 000. The sole shareholder is Stichting Abintre Capital, a foundation ( Stichting) the " Foundation") established under Dutch law on 12 August The Company acts as an issuer of Notes under the ' multi -issuer' Helix Asset Backed Medium Term Note Programme amounting to USD 5 billion ( the " Programme) since April Its objectives are to provide credit protection on certain reference portfolios. The structure is arranged by Bank of America Merril Lynch ( formerly Bank of Amercia Securities Limited) ( the "Arranger"). The Company issues series of notes (" Series'l under the Programme. These Series are limited recourse; an investor ( noteholder) is only entitled to the collateral/ proceeds of its own Series including all risks associated with the collateral. There will be no other assets of the Company available to meet outstanding claims of the noteholders, who bear such shortfall pro rata their holdings of the notes Collateral (" Collateral") means the actual investment( s) bought for a Series. Each Series has Its own terms and conditions and has its own Collateral. When a new Series is issued all documents, including the derivative contracts, are signed simultaneously at the closing date. The Collateral bought by the Company can consist of almost any item the investor in a certain Series prefers, as long as this fits In the terms and conditions of the Programme. This is, amongst others, loans, listed or unlisted bonds, notes, and any other kind of Collateral. It is the investor/ noteholder together with the swap counterparty, who decides what kind of Collateral they would like to purchase for a certain Series, as one of them bears the risk. Conditions can also differ per Series ( maturity date, Interest rates, payment dates, parties involved etc). The Notes can be unlisted or listed ( on the London Stock Exchange (" LSE") or the Irish Stock Exchange (" ISE")). Recourse on the Notes Is limited to the Collateral and rights under the various swap contracts for each of the Issued Notes. The Company also entered into a series proposal and guaranteed fees agreement with the Arranger on the basis of which all expenses and taxes are reimbursed to the Company by the Arranger. Certain Notes may be assigned a credit rating by Standard & Poor' s Ratings Services, a division of the McGraw- Hill Companies, Inc. (" Standard & Poor' s") and/ or by Moody's Investors Service, Inc (" Moody' s") and/ or by Fitch Ratings Limited Fitch") and/ or by such other rating agency as may be chosen by the relevant Dealer. For a complete description of the terms and conditions of the programme, we refer to the programme memorandum dated 30 April 2007 ( the " Programme Memorandum"). The transactions are arranged by Bank of America. As all operational activities are performed by external parties, the Company does not have any personnel. Page 6 of 20

9 Notes to the annual accounts - continued Basis of presentation The accompanying accounts have been prepared under the historic cost convention in accordance with accounting principles generally accepted in the Netherlands ( Dutch GAAP) and in conformity with provisions governing financial statements as contained in Part 9, Book 2 of the Netherlands Civil Code. The financial statements are presented In Euros. The preparation of the financial statements requires the management to form opinions and to make estimates and assumptions that influence the application of principles and the reported values of assets and liabilities and of income and expenditure. The actual results may differ from these estimates. The estimates and the underlying assumptions are constantly assessed. Revisions of estimates are recognized In the period in which the estimate is revised and in future periods for which the revision has consequences. a Foreign currencies Assets and liabilities in foreign currencies are converted into Euros at their exchange rates prevailing on the balance sheet date. Transactions In foreign currencies are converted into Euros at the exchange rates in effect at the time of the transactions. The resulting currency exchange rate differences are taken to the profit and loss account. The currency exchange rates used in the annual accounts are: EUR = USD ( US dollar) b Assets and liabilities Financial Fixed Assets Collateral Collateral is comprised of bonds and loans. Generally, underlying contracts specify the timing of interest payments and the repayment of principal, both under normal conditions and in specific circumstances. Contracts may also include specific clauses on the payment of both interest and principal in case of default or breach of certain covenants. As such, the ( re -)payment of both interest and principal ( if any) include an element of uncertainty, with regards to both timing and amount. The portfolio is Initially measured at fair value and subsequently carried at amortised cost or lower market value as allowed under R a. If a financial asset is acquired at a discount or premium, the discount or premium is recognised through profit or loss over the maturity of the asset using the straight line basis. Revaluation losses on individual debt obligations are deducted from amortised cost and expensed in the statement of income and expenses. The revaluation loss equals the difference between the amortised cost value and the lower market value of the Individual assets. Page 7 of 20

10 Notes to the annual accounts - continued The fair value of the Collateral is measured on an item level. The revaluation analysis is also made on an Item level. Where the fair value of a certain item is below the carrying amount, revaluation is taken. If the fair value increases after the revaluation is taken on an Item, the revaluation is reversed to a maximum of the original carrying amount. Derivatives The recognition and measurement of derivatives are discussed in a separate section, `Derivatives'. Current assets Receivables Trade receivables are recognised initially at fair value and subsequently measured at amortised cost. All receivables Included under current assets are due in less than one year. The fair value of the current assets approximates the book value due to its short term character. Cash and cash equivalents Cash and cash equivalents comprise cash in hand, current balances with banks and deposits held at call with maturities of less than 3 months. Cash and cash equivalents are stated at face value. Current liabilities After initial measurement, other financial liabilities are carried at amortised cost using the effective interest method. Gains or losses are recognised in the profit and loss account when the liabilities are derecognised, as well as through the amortisation process. Long term liabilities Notes Notes are initially recognised at fair value, normally being the amount received taking into account premium or discount less transaction costs. The Notes are subsequently stated at amortised cost, being the amount received taking into account of any premium or discount less any adjustments for attribution of revaluation on collateral to noteholders and the estimated diminution in the value of the Notes. Any difference between the proceeds and the redemption value is recognised on a straight line basis in the statement of income and expenses over the reinvestment period. The straight line method is used in the absence of any material difference from the effective interest method. Contractual obligations of the Company towards the Noteholders are laid out in the offering circular. The limited recourse nature of the transaction may result in the non- payment of both principal and interest to the Noteholders. C Recognition of income Income and expenses, including taxation, are recognised and reported on accrual basis. Page 8 of 20

11 Notes to the annual accounts - continued d e Corporate Income Tax Provisions for taxation have been made in accordance with standard cost plus tax ruling practice in The Netherlands. Derivatives After initial measurement derivatives are subsequently measured at cost or lower market value, unless costprice hedge accounting Is applied. Hedging relationships are terminated upon the expiry or sale of the respective derivatives. The cumulative gain or loss that has not yet been included in the profit and loss account is recognised as a deferred Item In the balance sheet until the hedged interest cash flows on the notes affects the profit and loss account. If the hedged cash flows are no longer expected to take place, the cumulative gain or loss is accounted for in the profit or loss account. The Company documents its hedging relationships by means of specific hedge documentation and regularly assesses the effectiveness of its hedging relationships by determining whether there are any overhedges. Any loss incurred in respect of the percentage by which the amount of the derivatives exceed the hedged position is recognised directly in the profit and loss account at the lower of cost and market value. Hedge accounting is applied to all derivative contracts the Company entered Into. The fair value of the derivative contracts is included In the fair value of the Collateral. Other derivatives: The Company uses derivatives for hedging purposes. The Company applies cost price hedge accounting In order to simultaneously recognise both the results from changes in the value of the derivative and the hedged item in the profit and loss account. Hedge accounting is applied to all derivative contracts the Company entered into. The fair value of the derivative contracts is included in the fair value of the Collateral. Resulting from the application of cost price hedge accounting, derivatives are initially carried at cost. Page 9 of 20

12 Notes to the annual accounts - continued f Financial risk Management The Company' s principal financial Instruments during the year comprised the Collateral, Notes issued and derivatives. The main purpose of these financial Instruments is to finance the Company's operations, to manage the interest rate risk arising from its issued Notes and to minimise the Impact of fluctuations in exchange rates on future cash flows. The Series are limited recourse; an investor ( noteholder) is only entitled to the Collateral/ proceeds of its own Series including all risks associated with the Collateral. The Company has entered into one type of derivative contract; this is the only derivate the Company has. The contract is to mitigate the risk ( currency, interest rate, counterparty, etcetera) associated with the Collateral from the noteholder to the swap counterparty. As the Company is a party in the derivative contract, we do disclose the information in this annual report. However, as mentioned above, the derivative contract is in place to mitigate the risks of the noteholder/ the swap counterparty, the Company is not exposed to any risks at any time. Credit and concentration risk The Company Is not exposed to credit risk due to the limited recourse nature of the Issued Series. The noteholder bears the credit risk of the assets as well as the swap counterparty risk. For multiple Series the Company has entered into derivative contracts to mitigate the risks associated with the credit risk of the assets from the noteholder to the swap counterparty. The rating of the swap counterparty as per Moody' s is Al. Interest rate risk The Company is not exposed to Interest rate risk due to the limited recourse nature of the issued Series. For some Series the Company has entered into derivative contracts to mitigate the risks associated with the effects of fluctuations in the prevailing levels of market interest rates from the noteholder to the swap counterparty. Currency exchange rate risk The Company is not exposed to risks associated with the effects of fluctuations in the prevailing levels of market currency exchange rates due to the limited recourse nature of the issued Series. For some Series the Company has entered into derivative contracts to mitigate the risks associated with the effects of fluctuations In the prevailing levels of market currency exchange rates from the noteholder to the swap counterparty. Liquidity risks Matching maturities of assets and liabilities and related cash flows is fundamental to the management of the Company. This risk is addressed and mitigated by an agreement with Bank of America Merril Lynch to secure any mismatch ( as Bank of America Merril Lynch being the Arranger reimburses all expenses and taxes of the Company). Positive or negative results from the Collateral held will be balanced with the Noteholders or the Swap Counterparty at the date of redemption Page 10 of 20

13 sinfonla Finance B. V., Amsterdam Notes to the annual accounts - continued g Critical accounting estimates and judgments Application of the accounting policies in the preparation of the financial statements requires the management of the Company to exercise judgment involving assumptions and estimates concerning future results or other developments, Including the likelihood, timing or amount of future transactions or events. There can be no assurance that actual results will not differ materially from those estimates. Accounting policies that are critical to the financial statement presentation and that require complex estimates or significant judgment are described below. Fair value estimation of financial instruments The Company discloses the fair value of the financial instruments in the notes to the financial statements. The fair value of financial assets and financial derivatives traded in active markets, if available, are based on market prices at the balance sheet date. In the absence of quoted prices In active markets, considerable judgment is required in developing estimates of fair value. Estimates are not necessarily indicative of the amounts the Company could realise in a current market transaction. The Company obtains the fair valuations for ( derivative) financial Instruments from the investment manager, the swap counterparty or other third parties. The following methods and assumptions were used to estimate fair values: Collateral The fair value of the financial instruments is disclosed in the notes to the financial statements. 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 transaction. If no fair value can be readily and reliably established, fair value Is approximated by deriving it from the fair value of components or of a comparable financial instrument, or by approximating fair value using valuation models and valuation techniques. Valuation techniques Include using recent arm' s length market transactions between knowledgeable, willing parties, if available, reference to the current fair value of another instrument that is substantially the same, discounted cash Flow analysis and option pricing models, making allowance for entity -specific inputs. Notes Fair value of Notes is derived from deducting the value adjustment of the portfolio and the amount of value diminution from the notes. Derivatives For the derivatives the cost model for hedge accounting is applied. Therefore no revaluation of the derivative instrument takes place, as long as the derivative hedges the specific risk of a future transaction that is expected to take place. As soon as the expected future transaction leads to recognition in the profit and loss account, then the profit or loss that is associated with the derivative is recognised in the profit and loss account. If the hedged position of an expected future transaction leads to the recognition in the balance sheet of a non- financial asset or a non- financial liability, then the cost of the asset is adjusted by the hedge results that have not yet been recognised in the profit and loss account. Page 11 of 20

14 Notes to the annual accounts - continued When a derivative expires or is sold, the accumulated profit or loss that has not yet been recognised in the profit and loss account prior to that time must then be included as a deferral in the balance sheet until the hedged transactions take place. If the transactions are no longer expected to take place, then the accumulated profit or loss is transferred to the profit and loss account. If a derivative no longer meets the conditions for hedge accounting, but the financial instrument is not sold, then the hedge accounting is also terminated. Subsequent measurement of the derivative Instrument is then at the lower of cost or market value. Revaluation estimate of Collateral The Company applies the method allowed under a. Under this method the Company recognises an revaluation loss which equals the difference between the costs and the lower market value. For the estimates and judgement with respect to the fair values reference is made to the above paragraph ` fair value estimation of Collateral'. If, in a subsequent period, the fair value Increases, the previously recognised revaluation loss is reversed. The reversal shall not result in a carrying amount of the financial assets that exceeds what the amortised cost would have been had the revaluation not been recognised. h Cash flow statement The cash flow statement is drawn up by the indirect method, in which the movements in liquidity are determined on the basis of the operational results as shown in the income statement. Transactions, which have not yet led to flow movements, are not taken into account in the cash flow statement. This means that the cash flows as shown do not need to directly correspond with the movements stated in the balance sheet. Page 12 of 20

15 Balance sheet EUR EUR 1 Collateral ( at cost price or lower market value) Series : Morgan Stanley Dean Witter 7. 25% fixed coupon bonds due 2032 ( USD) Series : Santander Central Hisp, Issuanc, Ltd Subord, Guarant, Notes 4, 540, 451 4, 073, % fixed coupon due 2015 ( USD) 0 4, 385, 748 Series : General Electric Capital Corporation 6. 75% fixed coupon Notes due 2032 ( USD) Series : Citigroup Inc Subordinated % fixed coupon Notes due 2033 ( USD) 4, 723, 904 4, 237, 637 3, 072, 831 2, 756, 521 Series : All amounts standing to the credit of an interest bearing account, credit linked to Fugu Credit PLC Class A Variable rate Secured Loan Notes 3, 000, 000 3, 000, 000 Impairment on Series for Fugu Credit PLC Class A Variable Rate 2, 999, 895)_( 2, 523, 000) Secured Loan Notes , , 337, , 929, 975 Accrual for Derivatives series , 886, 174 2, 274, 706 Receivable from swap counterparty series ( matured in 2011) 125, , 691 2, 011, 685 2, 948, , 348, , 878, 372 Balance as per , 878, , 929, 282 Changes In value during the year 476, 895) 521, 100) Purchases during the year 0 0 Reversal) Impairment during the year series , 531) 427, 901) Change in accrual for derivatives 548, 180) 916, 539) Receivable from swap counterparty 3, 115, 789) 1, 814,630 Balance as per , 348, , 878, 372 Fair Fair value value Management Management estimates estimates the the fair fair values values of of the the Collateral, Collateral, including including Swaps Swaps as as follows: follows: Collateral Collateral 15, 603, , 476, 053 Receivable Receivable from from swap swap counterparty counterparty 0 695, 390 Swaps ( net) 00 2, 2, 157, 157, 068) 068) Accrual for Derivatives series , 2, 011, 011, , 2, 577, 577, , 615, , 592, 169 Amounts falling due within a year: 00 4, 4, 385, 385, Amounts falling due between 1 and 5 years: 0 0 Amounts falling due after 5 years: 14, 14, 348, 348, , 14, 067, 067, , 348, , 452, 9 75 These figures are based on par value. All Collateral and Swaps mentioned are taken up under the ' multi -issuer' Helix Asset Backed Medium Term Note Programme. The fixed rate Collateral bear an interest rate varying from % to 7. 25%. The interest rate risk is nil for the Company. We refer to the paragraph Financial Risk Management. Page 13 of 20

16 Sinfonia Finance B.V., Amsterdam Balance sheet - continued EUR EUR 2 Other receivables Stichting Abintra Capital Interest receivable Recharged expenses Interest on Collateral Swap interest receivable 20, 988 1, , , , , , , Corporate income tax Corporate Income Tax 2014 Corporate Income Tax ( 56) 19) 0 19) ( 56) Corporate Income Tax summary Paid/( Received) FAL) account ( 56) 0 0 ( 56) ( 576) 37 Total ( 56) 613 ( 576) ( 19) 5 Cash and cash equivalents Current account 20, , 070 The current accounts are freely available to the Company. 20, , 070 Page 14 of 20

17 Balance sheet - continued 2015 EUR 2014 EUR 6 Interest payable Swap interest payable 239, 762 Swap Counterparty payable 7, 173 Accruals 16, , , 764 7, , , Notes payable ( at cost) EUR EUR Series : Instalment Secured Notes due 2016 ( EUR) Series : Instalment Secured Notes due 2041 ( EUR) Series : Instalment Secured Notes due 2016 ( EUR) Series : Instalment Secured Notes due 2041 ( EUR) Series : Instalment Secured Notes due 2042 ( EUR) 125, , 691 6, 426, 625 6, 347, , , 520 2, 499, 319 2, 473, 008 1, 938, 257 2, 045, 416 Series : Non- Interest Bearing Lim. Rec, Instalment Notes due 2056 linked to Fugu Credit PLC Cl. A Variable Rate Secured Loan Notes ( EUR) Impairment on Series for Fugu Credit PLC Class A Variable Rate Secured Loan Notes 477, , ,895) ( 521, 100) , , 018, , 045,408 Balance as per Redemptions during the year Purchases during the year Reversal) Impairment during the year series Balance as per , 045, , 535, , 176) ( 968, 557) , 895) ( 521, 100) i 1, 018, , 045, 408 Amounts falling due within a year: Amount of Notes falling due between 1 and 5 years: Amount of Notes falling due after 5 years: These figures are based on par value. 154, , , 864, , 343, , 018, , 045, 408 Notes ( at fair value) 14, 257, , 732,409 Page 15 of 20

18 Balance sheet - continued All mentioned Notes are taken up under the ' multi -Issuer' Helix Asset Backed Medium Term Note Programme. Series bears an Interest of EURIBOR 3 months bps; Series has variable cash flows. For a full description of the terms and conditions of the Notes we refer to the Series Programme documentation. Estimated value diminution of the Notes / Attribution of impairment on assets to Noteholders The amounts of the Company' s estimated value diminution of the Notes in respect of both principal and interest are dependent upon the performance of the underlying portfolio of the assets. During the transaction period the performance of this portfolio may have an effect on the actual payment obligation to the Noteholders. In order to present the actual payment obligation to the Noteholders, an estimated value diminution of the Notes has been included in the amount payable. The attribution of impairment on assets to the Noteholders relates to the impairments that management have estimated on the asset portfolio. As the credit risk the portfolio is borne by the Noteholders, this amount has been adjusted on the notes payable. The amount should be viewed in light of the judgement made on the Impairment of the asset portfolio and is therefore not final. Changes In the estimated value diminution of the Notes are directly charged or credited to the income statement and reflected in line with other financial income and expenses EUR EUR 8 Payable to Swap Counterparty Swap Counterparty payable 3, 357, 468 6, 859, 761 3, 357, 468 6, 859, 761 Balance as per Increase/( decrease) Balance as per Increase/( decrease) Balance as per , 420, 553 1, 439, 208 6, 859, 761 3, 502, 293) 3, 357,468 The Swap Counterparty payable in the amount of EUR 3, 357, 468 ( 2014: EUR 6, 859, 761) is for series , and The fair value of the Swap Counterparty payable is equal to the nominal value. Page 16 of 20

19 Balance sheet - ca nd nued 9 Shareholders' equity Share Capital Balance as per , 000 Result for the year 0 Balance as per , 000 Result for the year 0 Balance as per , 000 Other reserves Unappr. results The authorized share capital of the Company amounts to EUR 18, 000 divided Into 180 shares of EUR 100 each, of which 180 shares are issued and paid up. Off balance sheet instruments The Company has entered into multiple asset swap agreements to hedge the liabilities on the Notes against the assets of the Collateral. The obligations and rights under the swap agreements mirror the obligations and rights on respectively the liabilities in relation to the Notes and the assets on the Collateral. The estimated fair value of the derivatives approximates the book value ( 2014: EUR 1, 578, 685). These derivatives relate to series , , , and The fair value of the derivatives relates to interest rate swap and fx swap contracts the Company entered into. The Company did not enter into credit default swap contracts. Page 17 of 20

20 Profit and loss account EUR EUR 10 Interest income on Collateral Interest on Collateral 852, 396 1, 092, 703 Swap interest income 612, , 454 1, 464, 767 1, 750, Interest expense on Notes Interest on Notes 612, , 454 Swap interest expense 852, 396 1, 092, 703 1, 464,767 1, 750, Other interest income and expenses Reversal of impairment Collateral 476, 895) 521, 100) Impairment of Notes 476, , General and administrative expenses Management & Administration Professional Fees Bank charges General expenses 39, , , , , , , Recharged expenses Recharged expenses 58, , , , 013 According to the Series Proposal and Guaranteed Fees Agreement the Company can recharge all expenses and taxes to the Arranger. 15 Income tax expense Corporate Income Tax present year Recharged Corporate Income Tax ) ( 634) 0 0 Page 18 of 20

21 Profit and loss account - continued Corporate Income Tax Commercial Profit before taxes 576 Fiscal Profit according to tax ruling: Management and administration expenses 57, 643 Contribution to fiscal minimum profit ( 5%) 2, 882 Income from normal activities 0 Taxable profit according to tax ruling 2, 882 Total fiscal profit 2, 882 Ruling deficit 2, 306 Corporate income tax on fiscal profit 576 Corporate income tax former years Commitment not including in the balance sheet There are no contingent liabilities outside the ones mentioned on the balance sheet. 17 Audit fees With reference to Section 2: 382a of the Netherlands Civil Code, the following fees for the financial year have been charged by Mazars Paardekooper Hoffman Accountants N. V. previous year: KPMG Accountants NV to the Company): Statutory audit of annual accounts 16, , 058 Other assurance services 0 0 Tax advisory services 0 0 Other non -audit services 0 0 Total , 058 Staff numbers and employment costs The Company has no employees and hence incurred no wages, salaries or related social security charges during the year, nor during the previous year. Directors The Company has one managing director, who receives a remuneration of EUR 32, 311 excluding VAT ( 2014: EUR 32, 294). The Company has no ( previous year: none) supervisory directors. Amsterdam, 5 January 2017 Intertrust ( Netherlands) B. V. Page 19 of 20

22 Other information Appropriation of results Subject to the provisions under Dutch law that no dividends can be declared until all losses have been recovered, other reserves and unappropriated results are at the disposal of the shareholder in accordance with article 18 of the Company' s articles of association. Furthermore, Dutch law prescribes that any profit distribution may only be made to the extent that the shareholder's equity exceeds the amount of the issued capital and the legal reserves. Subsequent events No events have occurred since balance sheet date, which would change the financial position of the Company and which would require adjustment of or disclosure in the annual accounts now presented. Independent auditor' s report The auditor' s opinion is included on the next page. Page 20 of 20

23 MAZARS INDEPENDENT AUDITOR' S REPORT To the Shareholder of Sinfonia Finance B. V. REPORT ON THE AUDIT OF THE FINANCIAL STATEMENTS ;.. We have audited the financial statements 2015 of Sinfonia Finance B.V. ( the company), based in Amsterdam. In our opinion the financial statements give a true and fair view of the financial position of Sinfonia Finance B.V. as at 31 December 2015 and of its result for the year then ended in accordance with Part 9 of Book 2 of the Dutch Civil Code. The financial statements comprise: 1. the balance sheet as at 31 December 2015; 2. the statement of income and expenses for the year then ended; and 3. the notes, comprising a summary of the accounting policies and other explanatory information. BASIS FOR OUR OPINION We conducted our audit in accordance with Dutch law, including the Dutch Standards on Auditing. Our responsibilities under those standards are further described in the " Our responsibilities for the audit of the financial statements" section of our report. We are independent of the company in accordance with the " Dutch Independence Standard regarding assurance engagements ( ViO)" and other relevant independence requirements in the Netherlands. Furthermore, we have complied with the "Dutch Code of Ethics (VGBA)". We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. OUR AUDIT APPROACH C ITA 4SIVA I119 We designed our audit by determining materiality and assessing the risks of material misstatement in the financial statements. As in all of our audits, we also addressed the risk of management override of internal controls, including evaluating whether there was evidence of bias by management that may represent a risk of material misstatement due to fraud. The company is established to issue series of Notes with underlying ( collateral) investments in financial fixed assets and derivatives. Each series is structured so that all differences WILH ELMINA TOWER, DELFLANOLAAN t - P.O. BOX JG AMSTERDAM TEL: + 31 ( 0) FAX: + 51 ( 0) a msterdam.audit@mazars.nl // y MAZARS PAARDEKOORER HOFFMAN ACCOu NTANTs N. V. P/ axity. WITH ITS REGISTERED OFFICE IN ROTTERDAM ( KVK ROTTERDAM NR ). MEMBER.' GLOBAL ALLIANCE OF INDEPENDENT FIRMS

24 MAZARS between conditions of the notes and conditions of the assets are mitigated by swap agreements. Details of all issues series are disclosed in the financial statements. MATERIALITY The scope of our audit is influenced by the application of materiality. Our audit opinion aims on providing reasonable assurance about whether the financial statements are free from material misstatements. Misstatements may arise due to fraud or error. They are considered to be material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements. We established certain quantitative thresholds for materiality. These, together with qualitative considerations, helped us to determine the nature, timing and extent of our audit procedures and to evaluate the effect of identified misstatements on our opinion. Based on our professional judgement we determined the materiality for the financial statements at EUR 140,000. The materiality is based on 1% of total assets given the company's main activities. We also take misstatements and/ or possible misstatements into account that, in our judgment, are material for qualitative reasons. We determined that we would report to the management of the company misstatements identified during our audit above EUR 7, 000, as well as misstatements below that amount that, in our view, warranted reporting for qualitative reasons. KEY AUDIT MATTERS Key audit matters are those matters that, in our professional judgement, were of most significance in the audit of the financial statements, but they are not a comprehensive reflection of all matters that were identified by our audit and that we discussed with management of the company. We described the key audit matter and included a summary of the audit procedures we performed on this matter. The key audit matter is addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon. We do not provide a separate opinion on this matter. Valuation of financial fixed assets We consider the valuation of the financial fixed assets as a key audit matter. This is due to the fact that a potential impairment or lower market value may have a direct material impact on the valuation of the notes issued and a high level of estimation uncertainty is inherent to these valuations. Financial fixed assets are measured at amortized cost less impairment. We have performed detailed audit work to assess whether there were impairment triggers, including an assessment of quoted market prices when available or an assessment of the suitability of the valuation methodology applied and the reasonableness of key assumptions used by management of the company. Financial assets are disclosed in the principal accounting policies on pages 7 and 8 as well as note 1 to the financial statements. 2

25 MAZARS RESPONSIBILITIES OF MANAGEMENT Management is responsible for the preparation and fair presentation of the financial statements and for the preparation of the report of the management, both in accordance with Part 9 of Book 2 of the Dutch Civil Code. Furthermore, management is responsible for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, management is responsible for assessing the company' s ability to continue as a going concern. Based on the financial reporting frameworks mentioned, management should prepare the financial statements using the going concern basis of accounting unless management either intends to liquidate the company or to cease operations, or has no realistic alternative but to do so. Management should disclose events and circumstances that may cast significant doubt on the company's ability to continue as a going concern in the financial statements. OUR RESPONSIBILITIES FOR THE AUDIT OF THE FINANCIAL STATEMENTS Our objective is to plan and perform the audit engagement in a manner that allows us to obtain sufficient and appropriate audit evidence for our opinion. Our audit has been performed with a high but not absolute level of assurance, which makes it possible that we did not detect all errors and frauds. We have exercised professional judgment and have maintained professional scepticism throughout the audit, in accordance with Dutch Standards on Auditing, ethical requirements and independence requirements. Our audit included e. g.: Identifying and assessing the risks of material misstatement of the financial statements, whether due to fraud or error, designing and performing audit procedures responsive to those risks, and obtaining audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; Obtaining an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the company's internal control; Evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management; Concluding on the appropriateness of management' s use of the going concern basis of accounting, and based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the company' s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor' s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion; Our conclusions are based on the audit evidence obtained up to the date of our auditor's report. However, future events or conditions may cause the company to cease to continue as a going concern; 3

26 MAZARS Evaluating the overall presentation, structure and content of the financial statements, including the disclosures; and Evaluating whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. We communicate with management of the company regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant findings in internal control that we identify during our audit. We provide management of the company with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with it all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards. From the matters communicated with management of the company, we determine those matter(s) that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matter(s). We describe these matter(s) in our auditor's report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, not communicating the matter is in the public interest. REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS OUR REPORT ON THE REPORT OF THE MANAGEMENT AND THE OTHER INFORMATION Pursuant to legal requirements under Section 2:393 sub 5 at a and f of the Dutch Civil Code concerning our obligation to report about the report of the management and other data), we declare that: We have no deficiencies to report as a result of our examination whether the report of the management, to the extent we can assess, has been prepared in accordance with Part 9 of Book 2 of this Code, and whether the other information as required by Part 9 of Book 2 of the Dutch Civil Code has been annexed. Further we report that the report of the management, to the extent we can assess, is consistent with the financial statements as required by Section 2: 391 sub 4 of the Dutch Civil Code. ENGAGEMENT We were engaged as auditor of Sinfonia Finance B.V. as of the audit for the year Amsterdam, 5 January 2017 MAZARS PAARDEKOOPER HOFFMAN ACCOUNTANTS N. V. w.s. J. C. van Oldenbeek MSc RA