Replacement Annual Financial Report -20-

+-----------------------+----------+---------------+------------------+-------------------+---------------------+ 
|                       |          |     (408,560) |                  |     (268,933,084) |       (269,341,644) | 
|                       |          |               |                - |                   |                     | 
+-----------------------+----------+---------------+------------------+-------------------+---------------------+ 
|                       |          |               |                  |                   |                     | 
+-----------------------+----------+---------------+------------------+-------------------+---------------------+ 
 
When fair values of listed equity and debt securities as well as publicly traded 
derivatives at the reporting date are based on quoted market prices or binding 
dealer price quotations (bid price for long positions and ask price for short 
positions), without any deduction for transaction costs, the instruments are 
included within Level 1 of the hierarchy. When the Company has assets and 
liabilities with offsetting market risks, it uses mid-market prices as a basis 
for establishing fair values for the off-setting risk positions and applies the 
bid or ask price to the net open positions as appropriate. 
 
For all other financial instruments, fair value is determined using valuation 
techniques. Valuation techniques include the use of discounted cash flow models. 
The Company uses widely recognised valuation models for determining fair values 
of over-the-counter derivatives. For these financial instruments, inputs into 
models are market observable and are therefore included within Level 2. 
 
The fair values of currency exchange contracts are calculated by reference to 
current exchange rates for contracts with similar maturity and risk profiles. 
 
Instruments included in Level 3 include those for which there is currently no 
active market. In valuing such instruments the Company uses a valuation model 
which is accepted in the industry. Some of the inputs to that model may not be 
market observable and are therefore estimated based on assumptions. The model is 
calibrated to reflect performance of the investment in terms of 
over-collateralisation tests, weighted average spread of the underlying 
portfolio, weighted average rating factor of the underlying portfolio and 
manager quality. 
 
Transfers between Level 1 and 2 
 
There were no transfers between level 1 and level 2 during the year. 
 
 
NOTES TO THE FINANCIAL STATEMENTS (continued) 
 
For the year ended 31 December 2009 
 
3.             FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS 
(continued) 
 
Level 3 reconciliation 
 
The following table shows a reconciliation of all movements in the fair value of 
financial instruments categorised within Level 3 between the beginning and the 
end of reporting period. 
 
Company 
 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
|                    |          At 1 |          Total | Purchases |       Sales |           At 31 | 
|                    |       January | gains/(losses) |           |             |        December | 
|                    |          2009 |    recorded in |           |             |            2009 | 
|                    |               | profit or loss |           |             |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
|                    |            EUR  |             EUR  |        EUR  |          EUR  |              EUR  | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
| Financial Assets   |               |                |           |             |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
| Financial assets   |               |                |           |             |                 | 
| designated at fair |               |                |           |             |                 | 
| value through      |               |                |           |             |                 | 
| profit or loss:    |               |                |           |             |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
| Colateralised debt |    47,549,869 |    (9,557,421) |           | (6,837,393) |      31,155,055 | 
| obligations        |               |                |         - |             |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
| Equities           |       394,624 |      (123,484) |           |             |         271,140 | 
|                    |               |                |         - |           - |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
| Total Level 3      |   47,944,493  |    (9,680,905) |           | (6,837,393) |     31,426,195  | 
| financial assets   |               |                |         - |             |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
|                    |               |                |           |             |                 | 
+--------------------+---------------+----------------+-----------+-------------+-----------------+ 
 
Consolidated 
 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
|                    |           At 1 |           Total |     Purchases |       Sales |           At 31 | 
|                    |        January |  gains/(losses) |               |             |        December | 
|                    |           2009 |     recorded in |               |             |            2009 | 
|                    |                |  profit or loss |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
|                    |             EUR  |              EUR  |            EUR  |          EUR  |              EUR  | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Financial Assets   |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Financial assets   |                |                 |               |             |                 | 
| designated at fair |                |                 |               |             |                 | 
| value through      |                |                 |               |             |                 | 
| profit or loss:    |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Collateralised     |     41,648,741 |     (4,304,420) |    1,369,631  | (6,837,393) |      31,876,559 | 
| debt obligations   |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Equities           |        394,624 |       (123,484) |               |             |         271,140 | 
|                    |                |                 |             - |           - |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Total Level 3      |    42,043,365  |     (4,427,904) |     1,369,631 | (6,837,393) |     32,147,699  | 
| financial assets   |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
|                    |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Financial          |                |                 |               |             |                 | 
| liabilities        |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Financial          |                |                 |               |             |                 | 
| liabilities        |                |                 |               |             |                 | 
| designated at fair |                |                 |               |             |                 | 
| value through      |                |                 |               |             |                 | 
| profit or loss:    |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Term notes         |   190,107,679  |     78,825,405  |               |             |    268,933,084  | 
|                    |                |                 |             - |           - |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
| Total Level 3      |  190,107,679   |     78,825,405  |               |             |   268,933,084   | 
| financial          |                |                 | -             | -           |                 | 
| liabilities        |                |                 |               |             |                 | 
+--------------------+----------------+-----------------+---------------+-------------+-----------------+ 
|                    |                |                 |               |             |                 |