OXFORD STREET FINANCE LIMITED · Directors' report 2 Independent auditor's report 5 Audited...

OXFORD STREET FINANCE LIMITED

Directors' report and audited financial statements

for the year ended 31 December 2013

Bedell Trust Company LimitedPO Box 75, 26 New StreetSt. Helier, JerseyChannel Islands, JE4 8PP

Oxford Street Finance LimitedContents

31 December 2013

Page

Directors' report 2

Independent auditor's report 5

Audited statement of comprehensive income 7

Audited statement of financial position 8

Audited statement of changes in equity 9

Audited statement of cash flows 10

Audited notes to the financial statements 1 ~

Oxford Street Finance LimitedDirectors' report

31 December 2013

The directors present their report together with the audited financial statements for Oxford Street Finance Limited(the 'Company') for the year ended 31 December 2013.

Incorporation

The Company was incorporated as a public company in Jersey, Channel Islands on 7 October 2005.

Principal activities

The Company was formed for the purpose of participating in a synthetic. credit default swap transaction (the

'Transaction') arranged by KBC Financial Products Brussels N.V. {'KBC'). The Company raised monies pursuant to

the issuance of class A1, A2, B, C, D, E, F, G and H floating rate credit-linked notes (together, the 'Notes'), which

are or were listed on the Irish Stock Exchange. The total principal amount of the Notes raised was €382,000,000

divided into €87,000,000 class Al Notes, €80,000,000 class A2 Notes, €64,000,000 class B Notes, €43,000,000

class C Notes, €33,000,000 class D Notes, €28,000,000 class E Notes, €17,000,000 class F Notes, €16,000,000

Gass G Nates and €14,000,000 class H Notes. The Notes are or were subordinated in payment of principal and

interest to each other in reverse enforcement order of priority.

Initially the Company entered into a reverse repo agreement (the 'Reverse Repo Agreement') with KBC Bank N.V.

(the 'Repo Counterparty') whereby under the agreement the Company acquired eligible investments at a purchase

price of €382,000,000 as collateral (the'Coilateral'), purchased with the proceeds of the Notes. All income received

on the Collateral was paid to the Repo Counterparty in consideration of a repo premium paid to the Company by

the Repo Counterparty. Upon the maturity or early redemption of the Notes, the Repo Counterparty would deliver to

the Company the purchase price of €382,000,000 or such proportion of the Collateral to match the Notes to be

redeemed.

On 24 October 2005 the Company also entered into a credit default swap arrangement (the 'Swap') with KBC

Investments Cayman V, Ltd (the 'Swap Counterparty') pursuant to the terms of which the Company has, in return

for a fee, taken on the mezzanine level credit and market risk of a diversified reference portfolio (the 'Portfolio').The Portfolio is up to €1,500,000,000 in size. The Company has the meuanine level credit risk for a maximum

amount of €382,000,000 above the first loss tranche of €30,764,000. The Swap Agreement was amended in

January 2012 to allow auctions to quantify losses in the Portfolio following the occurrences of credit events ('Credit

Events') with respect to corporate obligations.

On 10 October 2006 the Company transferred to the Repo Counterparty the Collateral and the funds realised

thereby (a 'Repo to GIC Transfer Amount') were invested in a guaranteed investment contract {a 'GIC' and

hereafter referred to as the 'Amounts due under the Investment Agreement') pursuant to an investment agreement

(the 'Investment Agreement) between the Company and KBC Investments Hong Kong Limited (the 'Eligible. GIC

Provider').

On 7 April 2009 the Company requested the repayment of the Amounts due under the Investment Agreement by

the Eligible GIC Provider, pursuant to a repayment notice. The GIC was terminated with effect from 7 April 2009

and the Company entered into a new GIC with KBC Bank N.V. Subsequent to 7 April 2009, any reference to the

GIC or Eligible GIC Provider implies the new GIC and KBC Bank N.V., respectively. The funds realisetl and re-

invested continue to be referred to as the Amounts due under the Investment Agreement.

As security for its obligations, the Company has charged the Amounts due under the Investment Agreement to BNY

Corporate Trustee Services Limited as trustee (the 'Trustee') for the secured parties (those transactional creditors

to whom security is to be provided under the security trust deed. (the 'Trust Deed')). The Trustee has also been

appointed as trustee on behalf of the noteholders pursuant to a note trust deed and holds the benefit of certain

covenants made by the Company in relation to the repayment of principal and interest on the Notes on trust for the

noteholders.

By way of protecting the Company from the risks of the Transaction arising from the Company's exposure to theSwap Counterparty under the Swap, the Transaction documents contain limited recourse and bankruptcy

remoteness (non-petition) provisions pursuant to which each party recognises the limited financial resources of the

Company and the intended bankruptcy remoteness of the Company. The Amounts due under the Investment

Agreement are secured by way of support for the Company's exposure under the Swap and thereafter its

obligations under the Notes.

Certain of the Company's day to day obligations and .powers in respect of the Transaction are performed on its

behalf by KBC Bank N.V. as administrator pursuant to an administration and cash management agreement.

Functions performed by the Irish paying agent, the transfer agent and the listing agent were provided by JP Morgan

entities prior to January 2012 when they were novated to Bank of New York Mellon entities.

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31 December 2013

Directors

The directors of the Company, who served during the year and subsequently, are:

Shane Michael HollywoodAlasdair James Hunter (resigned 26 February 2014)Ariel Pinel (appointed 26 February 2014)

Secretary

The secretary of the Company during the year and subsequently is:

Bedell Secretaries Limited

Results and dividends

The results for the year are shown in the statement of comprehensive income.

The directors have paid a final dividend during 2013 of £750 (€895) in respect of the financial year ended 31December 2012, being the 2011 Transaction fee (2012: £750 (€870) in respect of the financial year ended 31December 2011, being the 2010 Transaction fee).

The directors recommend the payment of a final dividend in the sum of £750 (€939) in respect of the financial yearended 31 December 2013, being the 2012 Transaction fee (2012: £750 (€895) in respect of the financial yearended 31 December 2012, being the 2011 Transaction fee).

Independent auditor

Ernst &Young LLP has previously been appointed and has expressed willingness to continue in office. Aresolution to reappoint Ernst &Young LLP as auditor will be proposed at the next annual general meeting.

Going concern

As highlighted in note 13 to the financial statements, the Company is a special purpose bankruptcy remote financialvehicle therefore exposure to risk in relation to capital management is not considered significant.

The financial risk management objectives and exposures of the Company to market risk, credit risk and liquidity riskare also disclosed in note 13.

The Transaction documents are structured such that the obligations of the Company are limited in recourse and. theCompany has the benefit of bankruptcy remoteness (non-petition) provisions pursuant to which each Transactionparty recognises the limited financial resources of the Company and the intended bankruptcy remoteness of theCompany.

Asa .result of the structure described .above, and despite the Swap Counterparty having the option to end theTransaction by terminating the Swap on, or after, any payment date following the optional termination date which

fell in January 2011, the directors have a reasonable expectation that the Company has adequate resources tocontinue in operational existence for the foreseeable future. Accordingly, the Company continues to adopt thegoing concern basis in preparing the financial statements.

Post statement of financial position events

Credit Events occurred in the Portfolio during the current and prior years in the form of bankruptcy credit events,restructuring credit events, ABS ratings downgrade credit events, and permanent reduction of capital credit events.Credit Events for the following corporate obligations and asset backed securities had a settlement date on or after 1

January 2014:

ABS ratings downgrade credit events:

CWL 2004-12 MV6 and EMLT 2005-1 M7

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31 December 2013

Post statement of financial position events (continued)

Credit protection valuations have been verified by an independent. verification agent in respect of the Credit Eventclaims and settlements made under the Swap.. The payment of Credit Event claims during and after the year

resulted in the reduction of the Amounts due under the Investment Agreement and an equal reduction to the

principal amounts due to the noteholders.

On the cash. settlement date of 7 January 2014, the Amounts due under the Investment Agreement and the

principal balance of the class B Notes were reduced by €1,611,699. The adjusted principal balance of the class B

Notes was €40,288,346.

On the cash settlement date of 7 Aprii 2014, the Amounts due under the Investment Agreement and the principal

balance of the class B Notes were reduced by €283,600. The adjusted principal balance of the class B Notes was

€40,004,746.

Statement of directors' responsibilities with regard to the financial statements

The directors are required by the Companies (Jersey) Law 1991, as amended, to prepare financial statements for

each financial year which give a true and fair view of the state of affairs of the Company as at the end of the

financial year and of the profit or loss for that period. In preparing these financial statements, the directors are

required to

• select suitable accounting policies and then apply them consistently;

make judgements and estimates that are reasonable and appropriate;

• state whether applicable accounting standards have been followed, subject to any material departures

disclosed and explained in the financial statements; 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 accounting records that are sufficient to show and explain the Company's

transactions. These records must disclose with reasonable accuracy at any time the financial position of the

Company and to enable the directors to ensure that any financial statements prepared comply with the Companies

(Jersey) Law 1.991, as amended. They are also responsible for safeguarding the assets of the Company and hence

for taking reasonable steps for the prevention and detection of fraud, error and non-compliance with law and

regulations.

By order of the board

. ..................Secretary - Bedell Secretaries Limited

24 JUL 2014Date.................. ...

Registered office

26 New StreetSt HelierJerseyJE2 3RA

-4-

EYBuilding a betterworking world

INDEPENDENT AUDITOR'S REPORTTO THE MEMBERS OF OXFORD STREET FINANCE LIMITED

We have audited the financial statements of Oxford Street Finance Limited for the year ended31 December 2013 which comprise Statement of comprehensive income, Statement of financialposition, Statement of changes in equity, Statement of cash flows and the related notes 1 to 18. Thefinancial reporting framework that has been applied in their preparation is applicable law andInternational Financial Reporting Standards.

This report is made solely to the company's members, as a body, in accordance with Article 113A ofthe Companies (Jersey) Law 1991. Our audit work has been undertaken so that we might state to thecompany's members those matters we are required to state to them in an auditor's report and for noother purpose. To the fullest extent permitted by law, we do not accept or assume responsibility toanyone other than the company and the company's members as a body, for our audit work, for thisreport, or for the opinions we have formed.

Respective responsibilities of directors and auditorsAs explained more fully in the Statement of directors' responsibilities with regards to the financialstatements set out on page 4, the directors are responsible for the preparation of the financialstatements and for being satisfied that they give a true and fair view. Our responsibility is to audit andexpress an opinion on the financial statements in accordance with applicable law and InternationalStandards on Auditing (UK and Ireland). Those standards require us to comply with the AuditingPractices Board's Ethical Standards for Auditors.

Scope of the audit of the financial statementsAn audit involves obtaining evidence about the amounts and disclosures in the financial statementssufficient to give reasonable assurance that the financial statements are free from materialmisstatement, whether caused by fraud or error. This includes an assessment of: whether theaccounting policies are appropriate to the company's circumstances and have been consistentlyapplied and adequately disclosed; the reasonableness of significant accounting estimates made by thedirectors; and the overall presentation of the financial statements. In addition, we read all the financialand non-financial information in the directors' report to identify material inconsistencies with the auditedfinancial statements and to identify any information that is apparently materially incorrect based on, ormaterially inconsistent with, the knowledge acquired by us in the course of performing the audit. If webecome aware of any apparent material misstatements or inconsistencies we consider the implicationsfor our report.

Opinion on financial statementsIn our opinion the financial statements:► give a true and fair view of the state of the company's affairs as at 31 December 2013 and of its

result for the year then ended;► have been properly prepared in accordance with International Financial Reporting Standards; and► have been prepared in accordance with the requirements of the Companies (Jersey) Law 1991.

EYBuilding a betterworking world

INDEPENDENT AUDITOR'S REPORTTO THE MEMBERS OF OXFORD STREET FINANCE LIMITED (continued)

Matters on which we are required to report by exceptionWe have nothing to report in respect of the following matters where the Companies (Jersey) Law 1991requires us to report to you if, in our opinion:► proper accounting records have not been kept, or proper returns adequate for our audit have not

been received from branches not visited by us; or► the financial statements are not in agreement with the accounting records and returns; or► we have not received all the information and explanations we require for our audit.

Kirsty Mackayfor and on behalf of Ernst &Young LLPJersey, Channel IslandsDate: 30 July 2014

Oxford Street Finance LimitedAudited statement of comprehensive income

31 December 2013

2013 2012Notes € € € €

IncomeMovement in fair value of the Swapthrough profit or loss 87,631,267Swap premium 4 1,296,410Investment income 5 459,108Transaction fee 4 899Bank interest 622

89,388,306

ExpensesMovement in fair value of the Notesthrough profit or loss 64,552,134 65;235,051

Settlement of Credit Event claims 6 23,110,723 49,852,145Interest payable on the Notes 1,622,533 3,527,182

Operating expenses 102.017 106,171

Total comprehensive income forthe year

115,268,0761,417,2132,032,211

9393.049

118, 721,488

(89,387.407) (118,720.549)

899 939

The Company has no other items of income or expense for the year and accordingly the profit for the year

represents total comprehensive income.

The notes on pages 11 to 24 are an integral part of these financial statements.-7-

Oxford Street Finance LimitedAudited statement of financial position

31 December 2013

2013 2012Notes € €

AssetsCurrent assetsAmounts due under the InvestmentAgreement 6 208,900,045 232,010,768Trade and other receivables 7 711,533 116,103.Cash and cash equivalents 8 280.010 317,554

Total assets 209,291.588 232.444,425

Equity and liabilitiesEquity attributable to owners of theCompanyCalled up share capital 9 3 3Retained earnings x.838 ~~8~

Total equity 1,841 1,837

LiabilitiesCurrent liabilitiesSwap at fair value through profit orloss 32,516,863 120,148,130

Notes at fair value through profit orloss 10 176,122,929 111,570,795

Trade and other payables 11 649.955 723.663

Total liabilities 209.289.747 232,442.588

Total equity and liabilities 209,291..588 232,444,425

The financial stgt~ep~~on,p~~~s 8 to 24 were approved by the board of directors and authorised for

issue on ~ J ~ [ 2014, and signed on its behalf by:

~~ ~ ~~.... .....................

Director -Shane Michael~Holiywood Director - Ariel Pinel


Balance at 1 January 2012

Profit for the year

Total comprehensive income for the year ended 31 December 2012

Transactions with owners:Equity dividend paid

Balance at 31 December 2012

Oxford Street Finance LimitedAudited statement of changes in equity

31 December 2013

Called upshare Retainedcapital earnings

€

€

3 1,765

939

939

Total

1,768

939

939

- (870) ($70)

3 1.834 1,837

Called upshare Retainedcapital earnings Total

€ € €

Balance at 1 January 2013 3 1,834 1,837

Profit for the year .899 $99

Total comprehensive income for the year ended 31 December 2013 899 899

Transactions with owners:Equity dividend paid - (895) (895;

Balance at 31 December 2013 3 1.838 1,841


Oxford Street Finance LimitedAudited statement of cash flows

31 December 2013

2013 2012

Notes € €

Net cash used in operatingactivities 12 (85,148► (107,918)

Cash flows generated frominvesting activitiesSwap premium 1,245,482 1,58Q,517

Investment income 463,629 2,954,069

Bank interest 631 4,564

Redemption of Amounts due underthe Investment Agreement 6 23.110,723 49.852.145

Net cash flows generated frominvesting activities 24,820,465 54,391,295

Cash flows used in financingactivitiesInterest payable on the Notes (1,661,243) (4,565,784)

Settlement of Credit Event claims 6 (23,110,723) (49,852,145)

Equity dividend (895) ~870~

Net cash flows used in financingactivities (24,772,861) (54.418.799)

Net decrease in cash and cashequivalents (37,544) (135,422)

Cash and cash equivalents at 1January 8 317.554 4524976

Cash and cash equivalents at 31December 8 280.010 317,554


Oxford Street Finance LimitedAudited notes to the financial statements

31 December 2013

1 General information

The Company is a public limited company incorporated in Jersey, Channel Islands. The principal activities of theCompany are described in the directors' report.

2 Accounting policies

Statement of compliance

The financial statements for the year ended 31 December 2013 on pages 8 to 24 have been prepared inaccordance with the International Financial Reporting Standards ('IFRS').

Basis of measurement

The financial statements are prepared in accordance with accounting principles generally accepted in the island ofJersey, incorporating IFRS and have been prepared under the historical cost convention, except for the revaluationof certain financial instruments.

These financial statements are presented in Euro ('€'), which is the Company's functional and reporting currency.

A summary of the more important policies in dealing with items that are considered material to the Company areshown below:

Adoption of new and revised standards

At the date of authorisation of these financial statements the following standards, which have been applied in thesefinancial statements, were in issue and effective:

IFRS 12 Disclosure of Interests in Other Entities (effective 1 January 2013) ('IFRS 12'); and

IFRS 13 Fair Value Measurement (effective 1 January 2013) ('IFRS 13').

The directors consider that the adoption of IFRS 12 and IFRS 13 have not had a significant impact upon theresults/financial statements of the Company.

Standards and interpretations in issue not yet adopted

At the date of authorisation of these financial statements the following standard and interpretation, which has notbeen applied in these financial statements, was in issue but not yet effective:

IFRS 9 Financial Instruments (no mandatory effective date) ('IFRS 9').

The directors anticipate that the adoption of IFRS 9 will not have a significant impact upon the results of theCompany, but will have an impact on the disclosures of the Company.

The directors have reviewed and considered all other standards, amendments and interpretations issued but notyet effective as at the date the financial statements are authorised for issue. In the opinion of the directors theother standards, amendments and interpretations issued but not yet effective are either not relevant to the activitiesof the Company or will have no impact on the financial statements of the Company.

Critical accounting judgements and key sources of estimation uncertainty

The preparation of these financial statements requires the directors to make estimates and assumptions that affectthe reported amounts of revenues, expenses, assets, liabilities and the disclosure of contingent liabilities as at thestatement of financial position date. The estimates and associated assumptions are based on historical experienceand other factors that are considered to be relevant. Actual results may differ from these estimates.

In the event such estimates and assumptions which are based on the best judgement of the directors as at thestatement of financial position date deviate from the actual circumstances in the future, the original estimates andassumptions will be modified as appropriate in the year or period in which the circumstances change.


31 December 2013

2 Accounting policies (continued)

Critical accounting judgements and key sources of estimation uncertainty (continued)

The estimates and underlying assumptions are reviewed on an ongoing basis. Revision to accounting estimates

are recognised in the period in which the estimate is revised if the revision affects only that period, or in the period

of the revision and future periods if the revision affects both current and future periods.

The assumptions made in calculating the fair value and the models used are detailed in note 13(d).

There are no other significant assumptions made concerning the future ar other sources of estimation uncertainty

that have been identified as giving rise to a significant risk of causing material adjustment to the carrying amount of

assets and liabilities within the next financial year.

Foreign exchange

Transactions in foreign currencies are recorded at the rate of exchange ruling at the date of transaction.

Monetary assets and liabilities denominated in foreign currencies are revalued at the rate of exchange ruling at the

statement of financial position date.

Foreign exchange gains and losses are included in the statement of comprehensive income for the period.

Financial instruments

In pursuing its objectives as a special purpose bankruptcy remote financing vehicle, the Company holds, held or

has issued a number of financial instruments. These comprise:

• Amounts due under the Investment Agreement;

• trade and other receivables,

• cash and cash equivalents,

• Notes;

• Swap; and

• trade and other payables.

The Company has applied the Fair Value Option revision to International Accounting Standard 39 Financial

Instruments: Recognition and Measurement (amended March 2009) ('IAS 39'). Accordingly all financial instruments

except trade and other receivables, cash and cash equivalents and trade and other payables are classified as

financial instruments at fair value through profit or loss in accordance with the provisions set out in IAS 39.

All financial instruments are initially recorded at cost, which corresponds with the fair value of such instruments.

Subsequently, with the exception of trade and other receivables, cash and cash equivalents and. trade and other

payables, which are measured at amortised cost, they are re-measured at fair value in accordance with the

guidance provided in IAS 39 and established industry practices for the determination of fair values. Any gain or

loss resulting from changes in fair value is included in the statement of comprehensive income in the period in

which they arise. Trade and other receivables, cash and cash equivalents and trade and other payables are

recorded at amortised cost.

The Swap is a derivative financial instrument which is classified as held for trading under IAS 39. This instrument is

therefore measured at fair value through profit or loss. The Notes issued by the Company and the Amounts due

under the Investment Agreement have also been measured at fair value through profit or loss as it eliminates a

measurement inconsistency, an accounting mismatch, that would otherwise arise from measuring the derivatives at

fair. value through profit and loss and the related Notes and the Amounts due under the Investment Agreement at

amortised cost.

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31 December 2013


Recognition and derecognition of financial assets and liabilities

The Company initially recognises financial assets and liabilities on the date they originated. Purchases and sales

of financial assets are recognised on the date on which the Company commits to purchase or sell the asset..All

other financial assets and liabilities (including assets and liabilities designated at fair value through profit or loss)

are initially recognised on the date on which the Company becomes a party to the contractual provisions of the

instrument.

Financial assets are derecognised when the right to receive cash flows from the assets has expired or when the

Company has transferred its contractual right to receive the cash flows of the financial assets and substantially all

the risks and rewards of ownership have been transferred. Financial liabilities are derecognised when they are

extinguished, that is when the obligation is discharged, cancelled or expires.

Impairment of financial assets

Financial assets are assessed at each reporting date to determine whether there is any objective evidence that the

asset is impaired. A financial asset is considered to be impaired if objective evidence indicates that one or more

events have had a negative effect on the estimated future cash flows of such asset. An impairment loss in respect

of an asset measured at amortised cost is calculated as the difference between the carrying value of the asset and

the present value of the estimated future cash flows discounted at the original effective interest rate.

All impairment losses are recognised in the statement of comprehensive income. An impairment loss is reversed if

the reversal can be related objectively to an event occurring after the impairment loss was recognised.

Fair value

The determination of fair values for financial assets and liabilities for which there is no observable market price

requires the use of valuation techniques as described below.

For financial instruments that trade infrequently and have little price transparency, fair value is less objective and

requires varying degrees of judgment depending on liquidity, concentration, uncertainty of market factors, pricing

assumptions and other risk factors affecting each financial instrument.

For complex financial instruments the Company uses proprietary models which are developed from recognised

valuation models. Some or all of the significant inputs into these models may not be market observable and are

derived from market prices or rates or are estimates based on assumptions.

The value produced by a model or other valuation techniques is adjusted to allow for a number of factors as

appropriate, since valuation techniques cannot appropriately reflect all factors market participants consider when

entering-into a transaction. Valuation adjustments are recorded to allow for model risk, bid-ask spreads, liquidity

risks and other contributing factors.

The directors believe that these valuation adjustments are necessary and appropriate to disclose the fair value of

the financial instruments on the statement of financial position that give a true and fair view.

Amounts due under the Investment Agreement

Amounts due under the Investment Agreement initially represented an amount equal to €382,000,000 and was

invested pursuant to the Investment Agreement between the Company and the Eligible GIC Provider under a GIC.

Amounts due under the investment Agreement are measured at fair value through profit or loss.

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31 December 2013


Cash. and. cash equivalents

Cash and cash equivalents comprise cash on hand, demand deposits with banks and other financial institutions

and comprised amounts payable in relation to the cash reserve amount (the 'Cash Reserve Amount) and are or

were measured at amortised cost.

Interest payable on the Notes

Interest payable on the Notes is accounted for using the effective interest basis in accordance with IAS 39.

Revenue recognition

Investment income under the Investment Agreement will accrue from time to time on the Amounts due under the

Investment Agreement. On each payment date prior to the termination date, the Eligible GIC Provider will pay to

the Company the amount of investment income accrued during the interest period ending on such payment date.

Investment income will be determined by the daily application of:

a per annum rate equal to EURIBOR; to

• the Amounts due under the Investment Agreement, on the basis of the actual number of days elapsed

during such interest accrual period and a 360 day year.

Swap premium is receivable under the Swap from the Swap Counterparty in return for the Company taking on the

meuanine level credit and market risk of the Portfolio. The Company receives a Swap premium which will equal

the difference between the investment income (excluding the Transaction fee) and expenses and all other operating

expenses of the Company.

Investment income and Swap premium are recognised on an accruals basis.

The annual Transaction fee receivable is recognised on an accruals basis and is due to the Company in

accordance with the Transaction documentation.

Dividends

Under International Accounting Standard 10 Events after the Reporting Period ('IAS 10'), proposed dividends are

not considered to be a liability until the dividends are approved and declared by the directors of a company for

interim dividends or the shareholders of a company, at the annual general meeting, for final dividends.

Under IAS 10 dividends are recorded in the period in which they are declared.

Going concern

As highlighted in note 13 to the financial statements, the Gompany is a special purpose bankruptcy remote financial

vehicle therefore exposure to risk in relation to capital management is not considered significant.

The financial risk management objectives and exposures of the Company to market risk, credit risk and liquidity risk

are also disclosed in note 13.

The Transaction documents are structured such that the obligations of the Company are limited in recourse and the

Company has the benefit of bankruptcy remoteness (non-petition) provisions pursuant to which each Transaction

party recognises the limited financial resources of the Company and the intended bankruptcy remoteness of the

Company.

-14-


31 December 2013


Going concern (continued)

As a result of the structure described above, and despite the Swap Counterparty having the option to end the

Transaction by terminating the Swap on, or after, any payment date following the optional termination date which

fell in January 2011, the directors have a reasonable expectation that the Company has adequate resources to

continue in operational existence for the foreseeable future. Accordingly, the Company continues to adopt the

going concern basis in preparing the financial statements.

3 Taxation

The Company is registered in Jersey, Channel Islands as an income tax paying company. The general rate of

income tax for companies resident in Jersey (such as the Company) is 0% for the current year of assessment

(2012: 0%).

4 Swap premium and Transaction fee

Swap premiumTransaction fee

2013 2012€

€

1, 296,410 1,417, 213899 939

1,297.309 1,418,,152

The Company entered into the Swap with the Swap Counterparty pursuant to the terms of which the Company has,

in return for the Swap premium, taken on the mezzanine level credit and market risk of the Portfolio. The Portfoliois up to €1,500,000,000 in size. The Swap Counterparty originally retained the first loss tranche of €30,764,000.

5 Investment income

Investment income

2013 2012€

€

459,108 21032,211

Investment income is received on the Amounts due under the Investment Agreement held with the Eligible GIC

Provider and is received on each quarterly payment date pursuant to the terms of the Investment Agreement,

calculated on the basis of EURIBOR. There is no premium or discount on the Amounts due under the Investment

Agreement therefore the EURIBOR rate will equal the effective interest rate.

6 Amounts due under the Investment Agreement

Amounts due under the Investment Agreement

2013 2012€

€

208.900.045 232,010,768

The Amounts due under the Investment Agreement comprise the sum of all amounts deposited with or transferred

to the Eligible GIC Provider at the direction of the Eligible GIC Provider less all amounts withdrawn from such

arrangement, other than payments of investment income.

The Company has pledged the Amounts due under the Investment Agreement to the Trustee to secure the trustee

claims under the Trust Deed. The trustee claims entitle the Trustee to demand that all present and future

obligations under the Notes are fulfilled.

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31 December 2013

6 Amounts due under the Investment Agreement (continued)

On the legal maturity date or such earlier date on which the last outstanding notes are to be redeemed in whole,the Eligible GIC Provider shall transfer to the Company the balance of the Amounts due under the InvestmentAgreement to the Company's principal collections account on such date.

During the year the Company realised Amounts due under the Investment Agreement in the sum of €23,110,723(2012: €49,852,145) in order to settle its obligations under the Swap due to Credit Event claims.

The Amounts due under the Investment Agreement are classified as a current asset in recognition of the Swap

Counterparty's option to end the Transaction by terminating the Swap on, or after, any payment date following the

optional termination date which fell in January 2011.

7 Trade and other receivables

Accrued investment incomeAccrued bank interestTransaction fee

8 Cash and cash equivalents

Balance as at 1 January

Net decrease in cash and cash equivalents

Balance as at 31 December

9 Called up share capital

2013 2012€ €

110,485 115,006149 158899 939

111.533 116.103

2013 2012€ €

317.554 452,976

(37.544) (135.422)

280,010 317.554

2013 2012€ €

Authorised:2 ordinary shares of £1.00 each - at historical cost 3 _-.— 3

Issued and fully paid:2 ordinary shares of £1.00 each - at historical cost ~ 3 ~ 3

There are no other share classes which would dilute the rights of the ordinary members. Amongst other rights as

prescribed in the articles of association of the Company, the rights of the ordinary members include:

• the right to attend meetings of members. On a show of hands every member present in person or by

proxy shall have one vote and on a poll every member shall have one vote for each share of which the

member is a shareholder; and

• the right to receive dividends recommended by the directors and approved by the shareholders

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31 December 2013

10 Notes

The Company issued the following classes of Notes which have a legal maturity date of April 2044 and an optional

maturity date which is exercisable by the Swap Counterparty on, or after, the payment date which fell in January

2011.

Credit protection valuations continue to be verified by an independent verification agent in respect of the Credit

Event claims and settlements made under the Swap. Therefore, the occurrence of the Credit Event claims

resulted in the utilisation of the Amounts due under the Investment Agreement, in part, and impacted upon the

principal amounts due to the noteholders, as follows:

At cost Reduction of At cost At fair value At fair value

1 January principal in 31 December 31 December 31 December

2013 the year 2013 2013 2012

€

€

€

€

€

Class Al 87,000,000 - 87,000,000 80,771,246 56,844,461

Class A2 80,000,000 - 80,000,000 68,884,150 43,243,030

Class B 64,000,000 (22,099,955) 47,900,045 26,467,533 11,483,304

Class C 1.010.768 11,010.768) -

.232.010.768 123.110.723) 208.900.045 176.122.929 111.570.795

The aggregate amount of realised losses were allocated in reverse enforcement order of priority whereby class H

Notes suffered the first realised loss, then class G, then class F, then class E, then class D, then class C, and then

in part class B. The aggregate amount of any future realised losses will be allocated to .each class of Note inreverse enforcement order of priority whereby the remaining class B will suffer the next realised Ioss, then class A2

Notes and thereafter class Al Notes. The payment obligations of the Company under the Notes in respect tointerest and principal amounts are secured by the Amounts due under the Investment Agreement.

Issue costs in respect of the Notes have been paid by KBC Bank N.V.

The agent bank is required, as soon as practicable after the interest determination date in relation to each interest

period, to calculate the amount of interest (the 'Interest Amount) payable in respect of each Note for such interestperiod.

The Interest Amount for each Note is calculated by applying the rate of interest applicable to such Note for the

relevant interest period to the adjusted principal balance of such Note on the first day of such interest period,

multiplying the product by the actual number of days in such interest period divided by 360 and rounding the

resulting figure to the nearest cent (half a cent being rounded upwards).

The interest margin means:

(a) subject to (b) and (c) below, in respect of each class of Notes listed below, the rate and margin per annum set

out new to such:

Class, rate and interest margin

Class Al - 3 month EURIBOR +0.40%Class A2 - 3 month EURIBOR +0.55%Class B - 3 month EURIBOR +0.75%Class C - 3 month EURIBOR +0.90%

or,

(b) subject to (c) below if the Swap Counterparty has not exercised the Swap termination option by the paymentdate scheduled to fall in January 2016 (the 'Coupon Step-Up Date') and the termination date has not otherwise

occurred, for each interest period commencing on or after the Coupon Step-Up Date and in respect of each class

of Notes listed below, the rate. and margin per annum set out next to such:

Class, rate and interest margin

Class Al - 3 month EURIBOR +0.80%Class A2 - 3 month EURIBOR +1.10%Class B - 3 month EURIBOR +1.50°/aClass C - 3 month EURIBOR +1.80%

-17-


31 December 2013

10 Notes .(continued)

or,

(c) for each interest period commencing on or after the termination date and in respect of each class of Notes,

zero

11 Trade and other payables

Interest accrued on the Notes.Swap premium received in advanceOther creditors

12 Cash flows from operating activities

Reconciliation of operating profit to net cash flows used in operating activities.

Profit for the yearSwap premiumInvestment incomeBank interestSettlement of Credit Event claimsInterest payable on the NotesDecrease/(increase) in trade and other receivablesIncrease/(decrease) in trade and other payablesMovement in fair value of the Swap through profit or loss

Movement in fair value of the Notes through profit or loss

Cash flows used in operations

2013 2012

370,738 409,448232,388 283,31646,829 30,899

649.955 723.663

2013 2012€

€

899 939(1,296,410) (1,417,213)(459,108) (2,032,211)

(622) (3,049)23,110,723 49,852,1451,622,533 3,527,182

40 (44)15,930 (2,642)

(87,631,267) (115,268,076)64.552.134 65,235,051

(85,148) j,107,918)

13 Financial instruments

In pursuing its objectives as a special purpose bankruptcy remote financing vehicle, the Company holds, held or

has issued a number of financial instruments. These comprise:

• Amounts due under the Investment Agreement;

• trade and other receivables;

• cash and cash equivalents;

• Notes;

• Swap; and

• trade and other payables.

The main risks from holding or issuing the Company's financial instruments are detailed below together with the

policies adopted by the board of directors to manage the risk:

-18-

O~cford Street Finance LimitedAudited notes to the financial statements

31 December 2013

13 Financial instruments (continued)

(a) Market risk

The Company's exposure to market risk is comprised of the following risks:

(i) Foreign exchange risk

The Notes issued by the Company are or were denominated in €. The Amounts due under the Investment

Agreement are represented by funds deposited with the Eligible GIC Provider and are denominated in €. The

Portfolio contains securities denominated in currencies other than €but the Company only takes on the credit risk

and market risk of such securities. Any credit or market risk, regardless of currency, which materialises is

transferred to the noteholders. Accordingly, the directors are of the opinion that there is no material currency risk

exposure to the Company.

(ii) Interest rate risk

Amounts due under the Investment Agreement -the Company receives investment income at a rate equal to

EURIBOR.

Notes -the Company pays interest on the Notes in accordance with the terms of the Notes as described in note 10.

Swap -the Company receives funds under the Swap (Swap premium), this is calculated as the difference between

the investment income (excluding the Transaction fee) and expenses comprising interest payable on Notes and all

other operating expenses of the Company.

Therefore the directors consider that the Company is not exposed to the risk of interest rate fluctuations

(b) Credit risk

The Company has two types of risk. Firstly there is a risk that the Company will lose title over its deposits held by

KBC and Amounts due under the Investment Agreement. The risk of this is considered remote. Secondly, there is

the risk of a claim being made on the Amounts due under the Investment Agreement as a result of Credit Events in

the Portfolio.

The Transaction documents are structured such that the obligations of the Company are limited in recourse and

such documents contain bankruptcy remoteness (non-petition) provisions. In the event of Credit Events occurring

before the redemption of the Notes, the Company will be obliged, subject to certain conditions, to make payments)

to the Swap Counterparty in the form of a Credit Event claim.

Pursuant to the Swap, the Swap Counterparty retained the first loss tranche of €30,764,000. The Company has the

mezzanine level credit risk for a maximum amount of €3$2,000,000 above the first loss tranche. This obligation is

met by utilising a proportionate amount of the Amounts due under the Investment Agreement. The credit risk is

transferred to the noteholders who receive a reduced amount of interest and principal. Accordingly the directors

are pf the opinion that there is no net credit risk to the Company.

The maximum credit risk at the year end was €209,291,588 (2012: €232,444,425).

(c) Liquidity risk

Liquidity risk is the risk that the Company will encounter difficulties in meeting obligations associated with financial

liabilities. In the opinion of the directors the risk of liquidity is reduced as the Transaction documents are structured

such that the obligations of the Company are limited in recourse and the Company has the benefit of bankruptcy

remoteness.


31 December 2013


(c) Liquidity risk (continued)

The undiscounted contractual cash flows maturity profile of the Company's significant financial liabilities is as

follows:2013 2012

€

€

Notesless than 1 year 210,601,838 227,342,955

Between 1 and 5 years - -

More than 5 years -

SwapLess than 1 yearBetween 1 and 5 yearsMore than 5 years

Other liabilitiesTrade and other payables - maturity within 1 year

210.601,$38 227,342,955

32,516,863 120,148,130

32,516,863 120:148.130

279.217 314,215

The maturity profile of the Notes in the current and prior year is less than one year in recognition of the optional

termination date which is on, or after, the payment date which fell in January 2011. Amounts of interest payable on

the Notes have been calculated based on a twelve month maturity period notwithstanding the fact that the Swap

Counterparty may exercise their option to cause the Transaction to terminate on any payment date prior to the legal

maturity date.

The minimum future amount that may be settled under the Swap will be €nil and the maximum amount that may be

settled will be in the sum of €208,900,045 (2012: €232,010,768). In the opinion of the directors, the best estimate

for the amount that shall be settled under the Swap equates to the fair value of the Swap as at 31 December 2013.

Consequently, as disclosed in the above maturity analysis, the payment of principal on the Notes has been reduced

in the reverse enforcement order of priority with reference to the best estimate of the amount to be settled under the

Swap and in accordance with the structure of the Transaction.

Upon receipt of the valuation of the Credit Event claims within two years of such occurrence, the amount to be

settled under the Swap may differ from the fair value of the Swap. Therefore the amount of interest and principal

payable to the noteholders may differ from the amounts included in the above maturity analysis.

In the event of a Credit Event claim, payment to the Swap Counterparty will occur on the first payment date which

falls four or more business days after the calculation verification date, as described in the Transaction

documentation. The amount to be paid to the Swap Counterparty will be the least of:

• the aggregate amount of a Credit Event claim eligible for payment on such date;

• the excess of aggregate amount of the Credit Event claim over the first loss tranche on such date; and

• the meuanine level credit risk of €382,000,000 plus the Cash Reserve Amount less the sum of each

Credit Event claim paid prior to such date.

The payment of Credit Event claims has impacted on the Amounts due under the Investment Agreement and the

principal due to the noteholders as described in notes 6 and 10 respectively.

-20-


31 December 2013


(d) Fair value estimation

All financial instruments except trade and other receivables, cash and cash equivalents and trade and other

payables are classified as financial assets at fair value through profit or loss in accordance with the provisions set

out in IAS 39. Changes in fair value of the financial instruments are inGuded in the statement of comprehensive

income in the period in which they occur.

Further to the issuance of amendments to IFRS 7 Financial Instruments: Disclosures (effective 1 January 2009)

('IFRS 7 (amended) 1 January 2009'), a hierarchal disclosure framework has been established which prioritises and

ranks the level of market price observability used in measuring financial instruments at fair value.

Market price observability is impacted by a number of factors, including the type of financial instrument and the

characteristics specific to that type of financial instrument. Financial instruments with readily available quoted

prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of

market price observability and a lesser degree of judgement used in measuring fair value.

Financial instruments measured and reported at fair value are classified and disclosed in one of the following

categories:

• level I - an unadjusted quoted price in an active market provides the most reliable evidence of fair value

and is used to measure fair value whenever available. As required by IFRS 7 Financial Instruments:

Disclosures, the Company will not adjust the quoted price for these financial instruments, even in

situations where it holds a large position and a sale could reasonably impact the quoted price;

• level II - inputs are other than quoted prices in active markets, which are either directly or indirectly

observable as of the reporting date and fair value is determined through the use of models or other

valuation methodologies; or

• level III - significant inputs are unobservable for the financial instrument and include situations where there

is little, if any, market activity for the financial instrument. The inputs into the determination of fair value

require significant management judgment or estimation.

The fair value of the Notes have been categorised under the IFRS 7 (amended) 1 January 2009 fair value hierarchy

as level III as a market quotation is not readily available. Instead the fair value has been determined through the

use of the models below utilising unobservable inputs.

The fair value of the Notes has been calculated using the Gaussian Copula Mixture model (the 'GCM'). This

method is used to model the distribution of default times of the underlying corporate obligations and asset backed

securities in the Portfolio. The asset default trigger in the GCM is derived from the Swap spreads in the market. Bydiscounting the cash flows resulting from the default time curves on the underlying assets, a value for a specific

tranche of Notes is reached..The GCM models the fair value of the Notes via the following steps;

for each individual underlying asset in the Portfolio, the Swap spread curve in the market is observed and

a recovery rate is assumed, consistent with the market's expectations towards the recovery rate. The

Swap spreads reflect the market's perception of the creditworthiness of the underlying asset. The Swap

spread curves and assumed recovery rates are then translated into individual survival probability curves.

The probability curve provides an indication of the prpbability and timing of default. For example, the

probability. curve .can show that for a certain underlying asset, there is percentage probability that the

underlying asset will not be in default in one year and a percentage probability the underlying asset will not

be in default after two years;

given the recovery rate assumption and the survival probability .curve for each underlying asset, an

immense number of scenarios are simulated. The scenarios are randomly generated through a Monte

Carlo simulation, consistent with the individual survival probability curves and taking into account base

correlations in the Portfolio;

the Notes comprise different inner trenches and a direct bucket of corporate obligations and asset backed

securities. The latter can be viewed as one entire inner tranche. The prior two steps are repeated for

each of the inner trenches included in the Notes. The result of immense simulations is a Portfolio loss

distribution for each of the inner trenches;

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31 December 2013


(d) Fair value estimation (continued)

the. individual loss distributions for each inner tranche are mapped to market observations. Mechanically

calibrating a model to a developing market might not result in a rational model and stable parameters.

Therefore, a balance. is created between the economically plausible model while pricing to the market.

Initially the implied loss distribution from the index tranche market is derived then a mapping is created

between the market implied loss distribution and the modelled loss distribution; and

• given a set of GCM parameters and a set of calibrated loss distributions for the individual underlying inner

tranches, the Note tranches can be fair valued. The GCM takes into account the correlation between the

different inner tranches, reflecting the overlap in underlying asset pools. The GCM also takes into account

'correlation skew'. In a good state of the economy, correlation is less than in a bad state of the economy.

A mixture of parameter weights reflects the percentage of time that the economy is in either state.

The fair value of the Swap has been categorised by the IFRS 7 (amended) 1 January 2009 fair value hierarchy as

level III as a market quotation is not readily available. Instead the fair value of the Swap has been calculated, using

the model of the Notes above, as the net present value of future cash flows to maturity. The discount rate used in

this model is the weighted coupon. The weighted coupon is calculated as the total of the individual coupons for

each class of Notes divided by the notional balance for each class of Notes.

There has been a significant cumulative decrease, since issue, in the fair value of the Notes due to Credit Events

occurring. Amounts due under the Investment Agreement were realised in payment of the Credit Event claims.

The cumulative fair value of the Swap has significantly decreased in value and accordingly reflects the amounts still

due and payable due to further Credit Events.

The Company's financial assets and liabilities have been measured using valuation techniques and assumptions as

set out above. Underlying the definition of fair value (as defined by IAS 39) is a presumption that the Company is a

going concern without any intention or need to liquidate, to curtail materially the scale of its operations or to

undertake a transaction on adverse terms.

Financial assetsAmounts due under Investment AgreementTrade and other receivablesCash and cash equivalents

Financial liabilitiesSwapNotesTrade and other payables

Cost Fair value Fair value2013 2013 2012

€

€

€

208,900,045 208,900,045 232,010,768111,533 111,533 116,103280,010. 280,010 317,554

- 32,516,863 120,148,130208,900,045 176,122,929 111, 570, 795

649,955 649,955 723,663.

Whilst the Company's limited recourse Notes are listed on the Irish Stock Exchange, they are not priced, there

being no liquid secondary market for this type of note. The purchase price of the Company's main financial asset,

the Amounts due under the Investment Agreement, is considered to be the fair value of the asset.

Given the limited recourse nature of the Transaction, any differences between fair value and book value of the

financial instruments would have no net effect on the position of the Company. Furthermore, the holders of the

Company's limited recourse Notes, as sophisticated investors, are aware of the link between their investment and

the underlying assets.

Fair value is not, therefore, the amount that the Company would receive or pay in a forced transaction, involuntary

liquidation or distress sale. However, fair value reflects the credit quality of the financial assets and liabilities

measured. The objective of using these valuation techniques is to establish what the transaction price would have

been at the balance sheet date in an arm's length exchange motivated by normal business considerations.

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31 December 2013


(d) Fair value estimation (continued)

In the opinion of the directors the fair value of Amounts due under the Investment Agreement approximates to thesum of all amounts deposited with or transferred to the Eligible GIC Provider less ali amounts withdrawn from sucharrangement, other than payments of investment income. The Amounts due under the Investment Agreementgenerate the credit support for the Notes and thus the fair value of the Notes approximates tine combined fair valueof the Swap and the Amounts due under the Investment Agreement.

The directors believe that the financial instruments included at cost approximate their fair value as they are shortterm receivables/payables.

(e) Capital management

The Company is a special purpose entity therefore exposure to risk in relation to capital management is not

considered significant.

14 Derivative financial instruments

The Company enters into derivative financial instruments to allow the noteholders the opportunity to participate in

the risks and rewards in relation to the Portfolio whilst allowing the Company to benefit from a Transaction fee andcosts of administration being met.

The Company entered into the Swap with the Swap Counterparty pursuant to the terms of which, the Company in

return for a Swap premium fee, took on the credit and market risk of the Portfolio which is scheduled to terminate

in January 2042.

In the event Credit Events in respect of the Portfolio occur on or before a redemption date of the Notes, the

Company is obliged, subject to certain other conditions as set out in the Swap, to make payment pf cash

settlement amounts to the Swap Counterparty. The interest and principal balance of the .Notes will be reduced

accordingly by the proportion of the Cash Reserve Amount and the Amounts due under the Investment Agreement

which have been utilised to make payment of cash. settlement amounts to the Swap Counterparty, as per the terms

of the Notes.

KBC Bank N.V., as Portfolio manager, is permitted to add or delete reference entities in the Portfolio. This is

subject to a minimum rating for the reference entity of at least BBB- by Standard & Poor's and Baa3 by Moody's.

On issue, the Portfolio size was approximately 3.93 times the nominal amount of the Notes.

As security for its obligation under the Swap, the Company has pledged the Amounts due under the Investment

Agreement to the Trustee.

15 Ultimate controlling party

The Company is owned by Bedeii Trustees Limited, in its capacity as trustee of the Oxford Street Charitable Trust.

The financial statements of the Company are consolidated in the financial statements of KBC Investments Cayman

Islands V ltd, whose financial statements are consolidated in the financial statements of KBC Bank. N.V. In the

opinion of the directors the ultimate parent company is KBC Group N.V.

16 Related party transactions

The Company was formed for the purpose of participating in the Transaction arranged by KBC. The Company

raised funds from the issuance of the Notes in the sum of €382,000,000 and subsequently on 10 October 2006 the

Repo to GIC Transfer Amount was invested pursuant to the Investment Agreement between the Company and theEligible GIC Provider. All income received on the Amounts due under the Investment Agreement is paid by the

Eligible G3C Provider to the Company.

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31 December 2013

16 Related party transactions (continued)

On the legal maturity date or such earlier date on which the last outstanding notes are to be redeemed in whole,

the Eligible GIC Provider shall transfer to the Company the balance of the Amounts due under the Investment

Agreement on such date. For the year ended 31 December 2013 the Company had received from the Eligible GIC

Provider investment income in the sum of €463,629 (2012: €2,954,069) and investment income in the sum of

€110,485,was receivable (2012: €115,006).

The Company also entered into the Swap with the Swap Counterparty pursuant to the terms of which the Company

has, in return for a fee, taken on the mezzanine level credit and market risk of the Portfolio which is up to

€1,500,000,000 in size. The Swap Counterparty retained the first loss tranche of €30,764,000. The Company has

the mezzanine level credit risk for a maximum amount of €382,000,000 above the first loss tranche. For the year

ended 31 December 2013 the Company had received from the Swap Counterparty Swap premium in the sum of

€1,245,482 (2012: €1,580,517) and had received excess Swap premium in the sum of €232,388 (2012: €283,316).

The financial statements of the Company are consolidated in the financial statements of KBC Investments Cayman

Islands V Ltd, whose financial statements are consolidated in the financial statements of KBC Bank. N.V. Prior to

2012 the financial statements of the Company were consolidated in the financial statements of KBC Bank. N.V.

The directors of the Company are the Company's only key management personnel. Corporate administration

services are provided to the Company by Bedell Trust Company Limited, including the provision of Company

secretary, Bedell Secretaries Limited and the directors. Shane Michael Hollywood and Alasdair James Hunter are

directors of Bedell Trustees Limited and Bedell Secretaries Limited and are partners of Bedell Group. Shane

Michael Hollywood is also a director of Bedell Trust Company Limited. Ariel Pinel is a director of Bedell Trustees

Limited and Bedell Secretaries Limited with effect from 19 February 2013. The .directors' fees are included in the

fee expense payable to Bedell Trust Company Limited.

Total fees charged to Bedell Trust Company Limited during the year amounted to £21,001 (€25,163) (2012:

£25,374 (€31,082)). Fees were payable to Bedell Trust Company Limited in the sum of £1,855 (€2,223) as at the

year end (2012: £1,443 (€1,768)).

Legal services are provided' to the Company by Bedell Cristin, from time to time.. Alasdair James Hunter is also a

partner of Bedell Cristin.

17 Dividends

A dividend was paid during the year in the sum of £750 (€895) which equates to £375 (€448) per share (2012:

£750 (€870) equates to £375 (€435) per share).

A dividend in .the sum of £750 (€939) is recommended in respect of the financial year ended 31 December 2013

which equates to £375 (€470) per share (2012: £750 (€895) equates to £375 (€448) per share).

18 Post statement of financial position events

Credit Events have occurred in the Portfolio with a settlement date after the year end for the following corporate

obligations and asset backed securities:

ABS ratings downgrade credit events:

CWL 2004-12 MV6 and EMLT 2005-1 M7

Credit protection valuations have been verified by an independent verification agent in respect of the Credit Event

claims and settlements made under the Swap. The payment of Credit Event claims during and after the year

resulted in the reduction of the Amounts due under the Investment Agreement and an equal reduction to the

principal amounts due to the noteholders.

On the cash settlement date of 7 January 2014, the Amounts due under the Investment Agreement and the

principal balance of the class B Notes were reduced by €1,611,699. The adjusted principal balance of the class B

Notes was.€40,288,346.

On the cash settlement date of 7 April 2014, the Amounts due under the Investment Agreement and the principal

balance of the class B Notes were reduced by €283,600. The adjusted principal balance of the Bass B Notes was

€40,004,746.

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OXFORD STREET FINANCE LIMITED · Directors' report 2 Independent auditor's report 5 Audited...

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