Replacement Annual Financial Report -25-

+--------------+-------------------------------+-------------------------------+-------------------------------+------------------------------+ 
| Derivative   |                      399,699  |                      399,699  |                      680,057  |                     680,057  | 
| financial    |                               |                               |                               |                              | 
| instruments  |                               |                               |                               |                              | 
+--------------+-------------------------------+-------------------------------+-------------------------------+------------------------------+ 
| Financial    |                               |                 (268,933,084) |                               |                (190,107,679) | 
| liabilities  |                             - |                               |                             - |                              | 
| at fair      |                               |                               |                               |                              | 
| value        |                               |                               |                               |                              | 
+--------------+-------------------------------+-------------------------------+-------------------------------+------------------------------+ 
| Derivative   |                     (408,560) |                     (408,560) |                     (892,415) |                    (892,415) | 
| financial    |                               |                               |                               |                              | 
| instruments  |                               |                               |                               |                              | 
+--------------+-------------------------------+-------------------------------+-------------------------------+------------------------------+ 
 
Interest rate risk 
 
The majority of the Company's financial assets are equity and mezzanine tranches 
of cash flow CDOs.  The Company's investments have some exposure to interest 
rate risk but this is limited to floating Libor-based exposure for both the 
CDO's assets and its liabilities. 
 
 
 
 
NOTES TO THE FINANCIAL STATEMENTS (continued) 
 
For the year ended 31 December 2009 
 
14.          RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (continued) 
 
14.1.       Market risk (continued) 
 
The following table shows the Director's best estimate of the sensitivity of the 
portfolio to stressed changes in interest rates, with all other variables held 
constant.  The table assumes parallel shifts in the respective forward yield 
curves. The table also assumes 3 month US$ Libor ("$3m Libor") and 6 month EURO 
Libor ("EUR6m Libor"), which are the standard indices for each type of CDO 
transaction. 
 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
| Company      |   Possible |              Effect |               Effect |               Effect |                  Effect | 
|              | reasonable |                  on |               on net |                   on |                  on net | 
|              |  change in |              profit |               assets |               profit |                  assets | 
|              |       rate |                  31 |                   31 |                   31 |                      31 | 
|              |            |            December |             December |             December |                December | 
|              |            |                2009 |                 2009 |                 2008 |                    2008 | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
| $ 3m         |        -1% |           (489,505) |            (489,505) |              70,767  |                 70,767  | 
| Libor        |            |                     |                      |                      |                         | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
|              |         1% |            661,323  |             661,323  |             (42,022) |                (42,022) | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
| EUR 6m         |        -1% |           (691,242) |            (691,242) |             526,034  |                526,034  | 
| Libor        |            |                     |                      |                      |                         | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
|              |         1% |            720,659  |             720,659  |            (529,130) |               (529,130) | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
|              |            |                     |                      |                      |                         | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
| Consolidated |   Possible |              Effect |               Effect |               Effect |                  Effect | 
|              | reasonable |                  on |               on net |                   on |                  on net | 
|              |  change in |              profit |               assets |               profit |                  assets | 
|              |       rate |                  31 |                   31 |                   31 |                      31 | 
|              |            |            December |             December |             December |                December | 
|              |            |                2009 |                 2009 |                 2008 |                    2008 | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
| $ 3m         |        -1% |           (384,093) |            (384,093) |              96,291  |                 96,291  | 
| Libor        |            |                     |                      |                      |                         | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
|              |         1% |            590,306  |             590,306  |             (57,179) |                (57,179) | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
| EUR 6m         |        -1% |           (691,242) |            (691,242) |             478,129  |                478,129  | 
| Libor        |            |                     |                      |                      |                         | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
|              |         1% |            720,659  |             720,659  |            (480,943) |               (480,943) | 
+--------------+------------+---------------------+----------------------+----------------------+-------------------------+ 
 
 
Concentration of interest rate risk 
 
+--------------+-----------+--------------+-----------+--------------+ 
|              |   Company | Consolidated |   Company | Consolidated | 
|              |           |              |           |              | 
+--------------+-----------+--------------+-----------+--------------+ 
|              |        31 |           31 |        31 |           31 | 
|              |  December |     December |  December |     December | 
|              |      2009 |         2009 |      2008 |         2008 | 
+--------------+-----------+--------------+-----------+--------------+ 
|              |         % |            % |         % |            % | 
+--------------+-----------+--------------+-----------+--------------+ 
| Investments  |       100 |          100 |       100 |          100 | 
| related to   |           |              |           |              | 
| floating     |           |              |           |              | 
| rate notes   |           |              |           |              | 
+--------------+-----------+--------------+-----------+--------------+ 
|              |           |              |           |              | 
+--------------+-----------+--------------+-----------+--------------+ 
| Investments  |           |              |           |              | 
| related to   |         - |            - |         - |            - | 
| fixed rate   |           |              |           |              | 
| notes        |           |              |           |              | 
+--------------+-----------+--------------+-----------+--------------+ 
|              |           |              |           |              | 
+--------------+-----------+--------------+-----------+--------------+ 
| Financial    |       100 |          100 |       100 |          100 | 
| liabilities  |           |              |           |              | 
+--------------+-----------+--------------+-----------+--------------+ 
 
Currency risk 
 
The Company's investments are denominated in dollar and euro (the functional 
currency of the Company). It is therefore exposed to currency risk, as the value 
of the securities denominated in other currencies than the euro will fluctuate 
due to changes in exchange rates. This exposure is mitigated by the use of 
monthly rolling forward currency contracts as hedges. 
 
The tables below indicate the currencies to which the Company had significant 
exposure at 31 December 2009 on its trading monetary assets and liabilities. The 
analysis discloses the Directors' best estimates of the effect of a reasonably