CLASS Limited
Directors’ report and
Financial Statements
For the year ended
31 December 2021
Registered number 72096

CLASS LIMITED
Contents Page
Directors and other information 1 – 2
Directors’ Report 3 – 8
Statement of Directors’ responsibilities in respect of Directors’ report
and the financial statements 9
Independent auditor’s report 10 – 15
Financial Statements
Statement of Financial Position 16
Statement of Comprehensive Income 17
Statement of Cash Flows 18
Statement of Changes in Equity 19
Notes to the Financial Statements 20 – 75

CLASS LIMITED
Directors and other information
1
Directors Marc Harris
Darren Hocquard Resigned 30 March 2022
Bernard Michael Le Claire Resigned 30 March 2022
Viscom Services Limited Appointed 30 March 2022
Visdirect Services Limited Appointed 30 March 2022
Registered office 4
th
Floor, St Paul’s Gate,
22-24 New Street, St. Helier,
Jersey, JE1 4TR
Channel Islands
Trustee The Law Debenture Corporation PLC
Fifth Floor
100 Wood Street
London EC2V 7EX
United Kingdom
Deutsche Trustee Company Limited
Winchester House
1 Great Winchester Street
London EC2N 2DB
United Kingdom
Administrator Vistra Fund Services Limited
4
th
Floor, St Paul’s Gate,
22-24 New Street, St. Helier,
Jersey, JE1 4TR
Channel Islands
Company Secretary Vistra Secretaries Limited
4
th
Floor, St Paul’s Gate,
22-24 New Street, St. Helier,
Jersey, JE1 4TR
Channel Islands
Independent auditor Ernst & Young LLP
25 Churchill Place
London
E14 5EY

CLASS LIMITED
Directors and other information (continued)
2
Banker Royal Bank of Scotland International Limited
Royal Bank House
71 Bath Street
St Helier
Jersey JE4 8PJ
Listing Agent Luxembourg Listing Agent
Banque International à Luxembourg S.A.
69 Route d'Esch
L-2953 Luxembourg
Paying Agent, Custodian, Deutsche Bank AG, London Branch
Swap counterparty and Winchester House
Arranger 1 Great Winchester Street
London EC2N 2DB
United Kingdom
Solicitor Mourant du Feu & Jeune
22 Grenville Street
St Helier
Jersey JE4 8PX
Channel Islands

CLASS LIMITED
Directors’ Report
3
The Directors present the annual report and audited financial statements of CLASS Limited (the
“Company”) for the year ended 31 December 2021.
Principal activities, business review and future developments
The CLASS Limited program was set up in 10 July 1998 to issue multiple series of debt securities,
with the rating on each series independent of the other (if applicable). This means that the Company
can issue various series of debt securities ranging from AAA to not rated.
The Company has established a USD 5,000,000,000 Multi-Issuance Note Programme (the
“Programme”) to issue debt securities and/or other secured limited recourse indebtedness (the
“Alternative Investments”). Debt securities are issued in series (each a “series”) and the terms and
conditions of the debt securities of each series will be set out in a Supplemental Programme
Memorandum (“SPM”) for such series. Debt securities issued by the Company are listed on the
primary market of Bourse de Luxembourg. Details of series listed on the exchange are disclosed in
note 8.
The Company was set up as a segregated multi issuance Special Purpose Entity (“SPE”). Each series
is governed by a separate SPM. Each series consists of investment in collateral and/or total return
swaps from the proceeds of the issuance of debt securities.
The Programme offers investors the opportunity to invest in a portfolio of investments, the “investment
securities and total return swaps”.
Each series of debt securities issued is secured by a first fixed charge over certain collateral, primarily
in the form of investment securities, total return swaps, cash and cash equivalents or cash collateral
(the “collateral”) as set out in the relevant SPM and a first fixed charge over funds held by the agents
under the Agency Agreement (each defined in the terms and conditions of the debt securities issued).
Refer to note 22(b) for the profile of debt securities issued. Each series may also be secured by an
assignment of the Company’s rights under a Swap Agreement and/or Option Agreement and/or
Repurchase Agreement and/or Credit Support Document (each as defined in the terms and conditions
of the debt securities issued) and any additional security as may be described in the relevant SPM
(together the “Mortgaged Property”). For details about the assets held by the Company, refer to note
6. The Company’s obligation to the holders of debt securities of a particular series is limited to the net
proceeds upon realisation of the collateral of that series. Refer to note 21(b)(ii) for further details on
liquidity risk.
As at 31 December 2021, the Company holds cash at bank, investments in total return swaps and
investment securities. Refer to notes 4 and 6 of the financial statements for more information.
The credit risk of the investment securities and total return swaps is borne by either the Company’s
swap counterparty (in cases where a default swap transaction has been entered into for that particular
series) or the Company’s holders of debt securities. Refer to note 21(b)(i) for further details about how
the Company manages credit risk.
For every new issuance of debt securities, Deutsche Bank AG, London Branch (“DB London”), as
Arranger, transfers to the Company an amount of USD 500 as corporate benefit (income).
As Arranger, DB London also agreed to reimburse the Company against any costs, fees, expenses
or out goings incurred. DB London is also the swap counterparty (the “swap counterparty”) for all
series where derivatives are held. Refer to note 5 for the details of each series for which derivatives
are held.

CLASS LIMITED
Directors’ Report (continued)
4
Principal activities, business review and future developments (continued)
The Company made a net gain on investment securities and total return swaps of EUR 20,945k
(2020: EUR 10,455k) for the year and a net loss on derivative financial instruments of EUR 11,235k
(2020: Net gain of EUR 8,444k). Due to the limited recourse nature of the debt securities issued and
as the return on those issued securities is directly linked to the performance of the investment
securities, total return swaps and derivative financial instruments, the Company made a
corresponding net finance loss on debt securities of EUR 9,710k (2020: EUR 18,899k) resulting to a
nil profit for the year ended 31 December 2021 (2020: Nil). Refer to notes 12, 13 and 14 of the financial
statements for further information.
As at 31 December 2021, the fair value of the Company’s total debt securities issued was
EUR 196,915k (2020: EUR 209,175k). There were no new series issued during the year (2020: No
issuance). Refer to note 8 for further details.
During the year, no series matured (2020: Series 173) and no series was redeemed (2020: No series).
The following series are currently in issue as at year end date: Series 29, 31, 32, 47, 49, 53, 58, 60,
61, 64, 66, 67, 73, 75, 76, 79, 80, 82, 83, 84, 90, 94, 95, 100, 104 and 141 (2020: Series 29, 31, 32,
47, 49, 53, 58, 60, 61, 64, 66, 67, 73, 75, 76, 79, 80, 82, 83, 84, 90, 94, 95, 100, 104 and 141).
Regulators and central banks have set the goal of improving the robustness of financial benchmarks,
especially interest rate benchmarks. As a result of this initiative, the ongoing availability of the London
Interbank Offered Rate (“LIBOR”), and other benchmarks is uncertain. Some reforms are already
effective while others are still to be implemented or are under consideration. The IBOR transition
including the already reformed ones had no material impact on the financial statements of the
Company as at 31 December 2021.
The Directors expect that the present level of activity will be sustained for the foreseeable future. The
Board will continue to seek new opportunities for the Company and will continue to ensure proper
management of the current portfolio of series of the Company. It is anticipated that while some series
will redeem or mature, it is also expected that new issuances will be made.
Political donations
The Company made no political donations during the year (2020: Nil).
Results and dividends for the year
The results for the year are set out on page 17. The Directors do not recommend the payment of a
dividend for the year under review (2020: Nil).
Changes in Directors during the year
The names of the persons who were Directors during the year are set out below. Except where
indicated, they served as Directors for the entire year:
Mr. Marc Harris
Mr. Darren Hocquard Resigned 30 March 2022
Mr. Bernard Michael Le Claire Resigned 30 March 2022
Viscom Services Limited Appointed 30 March 2022
Visdirect Services Limited Appointed 30 March 2022
Risks and uncertainties
The principal risks and uncertainties facing the Company relate to the debt securities issued,
investment securities and total return swaps, and derivative financial instruments held by the
Company.

CLASS LIMITED
Directors’ Report (continued)
5
Risks and uncertainties (continued)
The principal financial risks and uncertainties facing the Company (other than operational risk) and
the risk management framework in place to deal with these risks are explained in note 21 of the
financial statements.
Novel Coronavirus (''COVID-19'') Global Pandemic
As the COVID-19 coronavirus pandemic continues, the impacts and risks for the financial sector kept
changing.
COVID-19 recovery is uneven globally and is presenting a variety of challenges and risks from
economic uncertainty to changes in consumer demand, disrupted supply chains and staff shortages,
new hybrid working patterns, the ending of government support packages and increased merger and
acquisitions activity. Businesses are experiencing conditions often associated with a general
economic downturn. This includes dealing with lost revenue, increasing inflation rates, disrupted
supply chains, financial market volatility, deteriorating credit, liquidity concerns and further government
intervention.
Numerous governments have continued to provide both financial and non-financial assistance to the
affected entities. As the economy recovers, spending to support households and businesses is falling
and tax receipts are growing.
With emerging new variants of COVID-19, governments have been imposing mandatory self-
isolations, mandatory use of face coverings in most indoor venues, work from home guidance,
mandatory use of COVID-19 passes of a negative test to access certain venues and booster dose
programmes were also made. Social distancing has been encouraged to reduce social contact and
limitations set to household meetings and large events being limited in capacity. As at 24 February
2022, all COVID-19 restrictions in the United Kingdom have been lifted.
The Directors, as part of their going concern assessment for a period of 12 months from the date of
authorisation of these financial statements, have considered the impact of the COVID-19 on the
liquidity and going concern of the Company.
During the financial year, the Company received interest income from its investments and was able
to meet its yearly interest payment to the holders of debt securities. The Company received its interest
income from its investment securities and was able to meet the interest expenditure and amortisation
of its issued debt securities to the holders of debt securities from the statement of financial position
date up to the date of signing of the financial statements. This indicates the Company continues to
generate cash flows to meet its obligations as they fall due.
The limited recourse nature of the debt securities issued by the Company limit the investor’s recourse
only up to the underlying net assets of that particular debt securities issued. The investors have no
right to petition for insolvency proceedings against the Company in the event that the underlying
assets are insufficient to repay the principal amount of the debt securities issued. Further, to manage
the principal risks impacting the Company such as market risks, liquidity risks and credit risks it has
entered into derivative swap agreements with the swap counterparty depending on the requirement
of each particular debt securities issued. The Company expects fluctuation in the valuation on its
financial instruments.
As per agreement, DB London, as the Arranger, swap counterparty, custodian and paying agent
agreed to reimburse the Company against any costs, fees, expense or out-goings incurred. In light of
this, the Directors have concluded that the impact of COVID-19 does not represent a material
uncertainty in relation to the Company’s ability to continue as going concern through the date of the
issuance of these financial statements.

CLASS LIMITED
Directors’ Report (continued)
6
Risks and uncertainties (continued)
Novel Coronavirus (''COVID-19'') Global Pandemic (continued)
The Directors have considered the impact of the war in Ukraine and at present deem there to be no
material impact to the entity.
Based on the above assessment, the directors have a reasonable expectation that COVID-19 has no
major impact on the Company’s liquidity or going concern and believe that the going concern basis is
the appropriate basis of accounts preparation.
Directors, secretary and their interests
The Directors and secretary who held office on 31 December 2021 did not hold any shares in the
Company, or during the year. There were no contracts of any significance in relation to the business
of the Company in which the Directors had any interest, as defined in the Companies (Jersey) Law
1991, at any time during the year.
Credit events
There have been no credit events during the year which required payment under the swap agreements
which the Company has written to DB London (2020: No credit events).
Subsequent events
On February 24, 2022, Russia commenced a large-scale invasion against Ukraine. In response, the
West has moved to impose broad-based sanctions targeting Russia, including but not limited to certain
Russian banks and the Russian Central Bank, companies, parliamentary members and members of
the Russian elite and their families. It is possible that additional sanctions and other measures may
be imposed in the future.
The Board and DB London considers the impact of the ongoing situation concerning Ukraine to the
Company’s performance and its ability to continue as a going concern. As of 31 December 2021, the
Company had no investment securities that were directly or indirectly impacted by sanctions relating
to Russia or the conflict in Ukraine. The Company’s performance and its operation have not been
significantly impacted by this conflict nor its ability to continue as a going concern. The Board and DB
London will continue to monitor the evolving situation and its impact on the Company.
Since the end of the reporting period, the Company has not issued any new series of debt securities,
no maturities and no repurchases have been made. Other than the abovementioned, there were no
other significant events after the reporting period up to the date of the approval of the financial
statements which require adjustment to or disclosure in the financial statements.
Annual Corporate governance statement
Financial Reporting Process
The Board of Directors (the ‘‘Board’’) is responsible for establishing and maintaining adequate internal
control and risk management systems for the Company in relation to the financial reporting process.
Such systems are designed to manage rather than eliminate the risk of failure to achieve the
Company’s financial reporting objectives and can only provide reasonable and not absolute assurance
against material misstatement or loss and reports to the Board any control issues as they arise. Details
on the impact of COVID-19 have been disclosed on the risk and uncertainties section of the directors'
report.
The Board has established processes regarding internal control and risk management systems to
ensure its effective oversight of the financial reporting process. These include appointing Vistra Fund
Services Limited (the “Administrator” or “Vistra”), to maintain the accounting records of the Company
independently of CLASS Limited and the Trustee.

CLASS LIMITED
Directors’ Report (continued)
7
Annual Corporate governance statement (continued)
Financial Reporting Process (continued)
The Administrator is contractually obliged to maintain adequate accounting as required by the
corporate administration agreement. To that end, the Administrator performs reconciliations of its
accounting records to those of the Servicer and the Trustee. The Administrator is also contractually
obliged to prepare for review and approval by the Board the annual report including financial
statements intended to give a true and fair view.
The Board evaluates and discusses significant accounting and reporting issues as the need arises.
From time to time, the Board also examines and evaluates the Administrator’s financial accounting
and reporting routines and monitors and evaluates the external auditors’ performance, qualifications
and independence. The Administrator has operating responsibility for internal control in relation to the
financial reporting process and reports to the Board.
Risk Assessment
The Board is responsible for assessing the risk of irregularities, whether caused by fraud or error, in
financial reporting and ensuring that there are processes in place for the timely identification of internal
and external matters which may have a potential impact on financial reporting. The Board has also
put in place processes to identify changes in accounting rules and recommendations and to ensure
that these changes are accurately reflected in the Company’s financial statements.
More specifically:
• The Administrator has a review procedure in place to ensure errors and omissions in the
financial statements are identified and corrected.
• Regular training on accounting rules and recommendations is provided to the accountants
employed by the Administrator
Control Activities
The Administrator is contractually obliged to design and maintain control structures to manage the
risks which the Board judges to be significant for internal control over financial reporting. These control
structures include segregation of responsibilities and specific control activities aimed at detecting or
preventing the risk of significant deficiencies in financial reporting for every significant account in the
financial statements and the related notes.
Monitoring
The Board has an annual process to ensure that appropriate measures are taken to consider and
address the shortcomings identified and measures recommended by the independent auditors.
Given the contractual obligations of the Administrator, the Board has concluded that there is currently
no need for the Company to have a separate internal audit function in order for the Board to perform
effective monitoring and oversight of the internal control and risk management systems of the
Company in relation to the financial reporting process.
Capital Structure
No person has a significant direct or indirect holding of securities in the Company. No person has any
special rights of control over the Company’s share capital.
There are no restrictions on voting rights.
With regard to the appointment and replacement of Directors, the company is governed by its Articles
of Association and Jersey Law comprising the Companies (Jersey) Law 1991. The Articles of
Association themselves may be amended by special resolution of the shareholders.

CLASS LIMITED
Directors’ Report (continued)
8
Annual Corporate governance statement (continued)
Powers of Directors
The Board is responsible for managing the business affairs of the Company in accordance with the
Articles of Association.
The Board may delegate certain functions to the Administrator and other parties subject to the
supervision and direction by the Board. The Board have delegated the day to day administration of
the Company to the Administrator.
Accounting records
The Directors believe that they have maintained adequate accounting records by engaging a service
provider who employs accounting personnel with appropriate expertise and by providing adequate
resources to the finance function. The accounting records of the Company are maintained at 4
th
Floor,
St Paul’s Gate, 22-24 New Street, St. Helier, Jersey, JE1 4TR, Channel Islands.
Independent auditor
The Company has appointed Ernst & Young LLP to audit the financial statements.
Relevant Information to Auditors
The Directors who held office at the date of approval of this Directors' Report confirm that, so far as
they are each aware, there is no relevant audit information of which the Company's Auditor is unaware,
and each Director has taken all steps that they ought to have taken as a director to make themselves
aware of any relevant audit information and to establish that the Company's Auditor is aware of that
information.
Approved and authorised for issue on behalf of the Board on 29 April 2022.
Marc Harris
Director
Date: 29 April 2022

CLASS LIMITED
Statement of Directors’ responsibilities in respect of Directors’ report and the
financial statements
9
The Directors are responsible for preparing the Director’s Report and the financial statements in
accordance with applicable laws and regulations.
Jersey Company law requires the Directors to prepare financial statements for each financial year in
accordance with generally accepted accounting principles. The financial statements of the Company
are required by law to give a true and fair view of the state of affairs of the Company at the year end
and of the profit or loss of the company for the year then ended. In preparing these financial
statements, the Directors should:
• select suitable accounting policies and then apply them consistently;
• make judgments and estimates that are reasonable and prudent;
• prepare the financial statements on the Going Concern basis unless it is inappropriate to
presume that the company will continue in business; and
• state whether they have been prepared in accordance with applicable accounting standards,
identify those standards and note the effect and the reasons for any material departure from
those standards.
The Directors are also required by the Transparency (Directive 2004/109/EC) Regulation 2007 and
the Transparency Rules of the Luxembourg Financial Services Regulatory Authority to include a
Directors’ report containing a review of the business and a description of the principal risks and
uncertainties facing the Company.
The Directors are responsible for keeping adequate accounting records which are sufficient to show
and explain its transactions and are such as to disclose with reasonable accuracy at any time the
financial position of the company and enable them to ensure that the financial statements prepared
by the Company comply with the requirements of the Companies (Jersey) Law 1991. They are also
responsible for safeguarding the assets of the Company and hence for taking reasonable steps for
the prevention and detection of fraud and other irregularities
These financial statements comply with the above mentioned requirements.
Responsibility Statement, in accordance with the Transparency Regulations
Each of the Directors, whose names and functions are listed on page 1 of these financial statements
confirm that, to the best of each person’s knowledge and belief:
• the financial statements, prepared in accordance with IFRS as adopted by the EU, give a true
and fair view of the assets, liabilities and financial position of the Company at
31 December 2021 and its result for the year then ended; and
• the Directors’ Report includes a fair review of the development and performance of the
business and the position of the Company, together with a description of the principal risks and
uncertainties that it faces.
Approved and authorised for issue on behalf of the Board on 29 April 2022.
Marc Harris
Director
Date: 29 April 2022

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED
10
Opinion
We have audited the financial statements of CLASS Limited (the “company”) for the year ended 31
December 2021 which comprise the Statement of Comprehensive Income, the Statement of
Changes in Equity, the Statement of Financial Position, the Statement of Cash Flows and the related
notes 1 to 27, including a summary of significant accounting policies. The financial reporting
framework that has been applied in their preparation is applicable law and International Financial
Reporting Standards as adopted by the European Union.
In our opinion, the financial statements:
► give a true and fair view of the state of the company’s affairs as at 31 December 2021 and of its
results for the year then ended;
► have been properly prepared in accordance with International Financial Reporting Standards as
adopted by the European Union; and
► have been properly prepared in accordance with the requirements of the Companies (Jersey) Law
1991.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (UK) (ISAs (UK)) and
applicable law. Our responsibilities under those standards are further described in the Auditor’s
responsibilities for the audit of the financial statements section of our report. We are independent of
the company in accordance with the ethical requirements that are relevant to our audit of the financial
statements, including the UK FRC’s Ethical Standard as applied to listed public interest entities, and
we have fulfilled our other ethical responsibilities in accordance with these requirements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis
for our opinion.
Report on Other Legal and Regulatory Requirements
The Board of Directors is responsible for presenting the financial statements in compliance with the
requirements set out in the Delegated Regulation 2019/815 on European Single Electronic Format
(“ESEF Regulation”).
Our responsibility is to assess whether the financial statements have been prepared, in all material
respects, in compliance with the requirements laid down in the ESEF Regulation.
We have checked the compliance of the financial statements of the Company as at 31 December
2021 with relevant statutory requirements set out in the ESEF Regulation that are applicable to
financial statements. For the Company, it relates to financial statements prepared in a valid XHTML
format.
In our opinion, the financial statements of CLASS Ltd as at 31 December 2021, identified as
5299007Q99X0945RXA76-2021-12-31.xhtml, have been prepared, in all material respects, in
compliance with the requirements laid down in the ESEF Regulation.

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
11
Conclusions relating to going concern
In auditing the financial statements, we have concluded that the directors’ use of the going concern
basis of accounting in the preparation of the financial statements is appropriate. Our evaluation of
the directors’ assessment of the company’s ability to continue to adopt the going concern basis of
accounting included:
• Obtained an understanding of the structure of the Company and the potential
circumstances under which the entity would not be able to continue as a Going concern;
• Assessed the directors’ Going Concern assessment, giving consideration to plausible
downside scenarios;
• Assessed the ability of third parties who provide support services to the entity to continue
to do so or be replaced should they no longer be able to;
• Assessed the ability of the arranger to continue to support the operating costs of the
Company; and
• Evaluated the adequacy of the directors’ disclosure on the impact of COVID-19 in the
directors’ report and subsequent events note.
Based on the work we have performed, we have not identified any material uncertainties relating to
events or conditions that, individually or collectively, may cast significant doubt on the company’s
ability to continue as a going concern for a period of twelve months from when the financial
statements were authorised for issue.
Our responsibilities and the responsibilities of the directors with respect to going concern are
described in the relevant sections of this report. However, because not all future events or conditions
can be predicted, this statement is not a guarantee as to the company’s ability to continue as a going
concern.
Overview of our audit approach
Key audit
matters
► Management override of controls over the valuation of financial
instruments (derivative financial instruments and level 3 investment
securities) and recognition of related realised and unrealised gains and
losses
Materiality
► Overall materiality of €4,796k which represents 1% of Total Assets.
An overview of the scope of our audit
Tailoring the scope
Our assessment of audit risk, our evaluation of materiality and our allocation of performance
materiality determine our audit scope for the company. This enables us to form an opinion on the
financial statements. We take into account size, risk profile, the organisation of the company and
effectiveness of controls, including controls and changes in the business environment when
assessing the level of work to be performed. All audit work was performed directly by the audit
engagement team.
Key audit matters
Key audit matters are those matters that, in our professional judgement, were of most significance in
our audit of the financial statements of the current period and include the most significant assessed
risks of material misstatement (whether or not due to fraud) that we identified. These matters included
those which had the greatest effect on: the overall audit strategy, the allocation of resources in the
audit; and directing the efforts of the engagement team. These matters were addressed in the context
of our audit of the financial statements as a whole, and in our opinion thereon, and we do not provide
a separate opinion on these matters

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
12
Key audit matters (continued)
Risk
Our response to the risk
Key observations
communicated to
those charged
with governance
Management override of controls
over the valuation of financial
instruments (derivative financial
instruments and level 3 investment
securities) and recognition of
related realised and unrealised
gains and losses
Derivative financial assets
Current year: €4m,
PY comparative: €3m
Derivative financial liabilities
Current year: €282.5m,
PY comparative: €281.8m
Level 3 Investment Securities
Current year: €66.6m,
PY comparative: €235.2m
Refer to Accounting policies (pages
24 to 31); and Note 5 and 6 of the
Financial Statements (pages 31 to
34).
This is a key audit matter due to the
inherent complexity in the valuation
model and inputs, which may be subject
to management override; there is a risk
that the valuations of derivative
financial instruments and level 3
investment securities could be
misstated.
The derivative is a financial instrument
on which the valuation and
measurement of the Company’s issued
debt securities valuation and
measurement are determined.
The risk of misstatement is considered
to have neither increased nor
decreased in the current year due to the
absence of significant change in the
operations or business of the Company,
or the environment in which it operates.
We have performed the following
procedures in response to the identified
risk:
► Assessed the appropriateness of
policies governing the accounting
treatment and valuation of financial
instruments;
► Performed a walkthrough to understand
the valuation process and assessed the
design effectiveness of controls;
► Performed a fully substantive audit due
to us taking a non-reliance approach on
controls;
► Independently confirmed both the
valuation and existence of the
derivatives and related valuation
adjustments with the Swap
counterparty as at 31 December 2021;
► Engaged EY Valuation specialists to
test the valuation of a sample of
derivative financial instruments and
investment securities, including
valuation adjustments, using
independent models and market data;
► Performed an assessment of the
methodologies applied by management
in light of industry best practice with
regards to valuation adjustments;
► Performed analytical procedures over
the reasonableness of valuation
adjustments applied to derivative
financial instruments.
► Performed a review and challenge of
management’s disclosure in relation to
estimates within the financial
statements.
► Performed testing over manual top-side
journal entries impacting the valuation
and measurement of the derivative
financial instrument.
No material issues
were noted during
the performance of
our audit procedures.
We have concluded
that the valuation of
the derivative
financial instruments
and level 3
investment securities
are not materially
misstated as of 31
December 2021 and
accounted for in
accordance with
IFRS as adopted by
the European Union
as of 31 December
2021.
Our application of materiality
We apply the concept of materiality in planning and performing the audit, in evaluating the effect of
identified misstatements on the audit and in forming our audit opinion.

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
13
Materiality
The magnitude of an omission or misstatement that, individually or in the aggregate, could
reasonably be expected to influence the economic decisions of the users of the financial statements.
Materiality provides a basis for determining the nature and extent of our audit procedures.
We determined materiality for the company to be €4,796k (2020: €4,911k), which is 1% (2020: 1%)
of total assets. We assessed that the key users of the financial statements would be most interested
in the total assets within the entity.
Performance materiality
The application of materiality at the individual account or balance level. It is set at an amount to
reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected
misstatements exceeds materiality.
On the basis of our risk assessments, together with our assessment of the company’s overall control
environment, our judgement was that performance materiality was 50% (2020: 50%) of our planning
materiality, namely €2,396k (2020: €2,456k). We have set performance materiality at this percentage
due to the fact this company has listed debt on a regulated exchange.
Reporting threshold
An amount below which identified misstatements are considered as being clearly trivial.
We agreed with those charged with governance that we would report to them all uncorrected audit
differences in excess of €240k (2020: €246k), which is set at 5% of planning materiality, as well as
differences below that threshold that, in our view, warranted reporting on qualitative grounds.
We evaluate any uncorrected misstatements against both the quantitative measures of materiality
discussed above and in light of other relevant qualitative considerations in forming our opinion.
Other information
The other information comprises the information included in the annual report set out on pages 3 to
8, other than the financial statements and our auditor’s report thereon. The directors are responsible
for the other information contained within the annual report.
Our opinion on the financial statements does not cover the other information and, except to the extent
otherwise explicitly stated in this report, we do not express any form of assurance conclusion thereon.
Our responsibility is to read the other information and, in doing so, consider whether the other
information is materially inconsistent with the financial statements or our knowledge obtained in the
course of the audit or otherwise appears to be materially misstated. If we identify such material
inconsistencies or apparent material misstatements, we are required to determine whether there is
a material misstatement in the financial statements themselves. If, based on the work we have
performed, we conclude that there is a material misstatement of the other information, we are
required to report that fact.
We have nothing to report in this regard.
Matters on which we are required to report by exception
We have nothing to report in respect of the following matters in relation to which the Companies
(Jersey) Law 1991 requires us to report to you if, in our opinion:
► proper accounting records have not been kept by the company, 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 company’s accounting records and
returns; or
► we have not received all the information and explanations we require for our audit.

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
14
Responsibilities of directors
As explained more fully in the directors’ responsibilities statement set out on page 9, the directors
are responsible for the preparation of the financial statements and for being satisfied that they give
a true and fair view, and for such internal control as the directors determine 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, the directors are responsible for assessing the company’s
ability to continue as a going concern, disclosing, as applicable, matters related to going concern and
using the going concern basis of accounting unless the directors either intend to liquidate the
company or to cease operations, or have no realistic alternative but to do so.
Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole
are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report
that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee
that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement
when it exists. Misstatements can arise from fraud or error and are considered material if, individually
or in the aggregate, they could reasonably be expected to influence the economic decisions of users
taken on the basis of these financial statements.
Explanation as to what extent the audit was considered capable of detecting irregularities,
including fraud
Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design
procedures in line with our responsibilities, outlined above, to detect irregularities, including
fraud. The risk of not detecting a material misstatement due to fraud is higher than the risk of not
detecting one resulting from error, as fraud may involve deliberate concealment by, for example,
forgery or intentional misrepresentations, or through collusion. The extent to which our procedures
are capable of detecting irregularities, including fraud is detailed below.
However, the primary responsibility for the prevention and detection of fraud rests with both those
charged with governance of the company and management.
► We obtained an understanding of the legal and regulatory frameworks that are applicable to the
company and determined that the most significant are as follows: Companies (Jersey) Law 1991;
EU Transparency Directive; the rules and regulations of the Luxembourg Stock Exchange; Money
Laundering (Jersey) Order 2008. Finally, we obtained an understanding of the accounting
standards under which the financial statements are prepared, which in this instance are
International Financial Reporting Standards (‘IFRS’) as adopted by the EU.
► We understood how CLASS Limited is complying with those frameworks by making inquiries of
management and the directors for their awareness of any non-compliance with laws and
regulations and to understand how the Company maintains and communicates its policies as well
as through the evaluation of corroborating documentation. We reviewed correspondence between
the Company and regulators. We also reviewed minutes of Board Committee meetings, Board
Risk Committee meetings and Audit Committee meetings. We gained an understanding of the
Company’s approach to governance demonstrated by the Board’s approval of the Company’s risk
management framework, governance framework and internal control processes.
► We assessed the susceptibility of the company’s financial statements to material misstatement,
including how fraud might occur by considering the potential for management override of controls
over the valuation of financial instruments (derivative financial instruments and level 3 investment
securities) and recognition of related realised and unrealised gains and losses, performing the
procedures as outlined in our KAM section above. We considered the controls that the Company
has established to address fraud risks identified, or that otherwise seek to prevent, deter or detect

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
15
fraud. Where the risk was higher, including areas impacting the valuation of financial instruments,
we performed audit procedures to address each identified fraud risk or other risk of material
misstatement. These procedures included those on revenue recognition and the assessment of
items involving accounting judgements and estimates. These procedures were designed to
provide reasonable assurance that the financial statements were free from fraud or error.
► Based on this understanding we designed our audit procedures to identify non-compliance with
such laws and regulations. Our procedures involved the re-valuation of the investment securities,
debt securities and derivatives by performing an independent revaluation using EY internal
specialists; inquiries of management and the directors. We also reviewed correspondence
between the Company and regulators and reviewed minutes of the Board Committee, Board Risk
Committee and Audit Committee meetings. In addition, we performed procedures to identify
management override of controls by testing journal entries on a sample basis with a focus on
manual journals.
► The company is authorised to and has listed debt on the regulated Bourse de Luxembourg
(Luxembourg Stock Exchange). We have obtained an understanding of the Company’s current
activities which is to list debt securities of which the proceeds of the issuances are invested in
collateral and/or total return swaps, offering investors the opportunity to invest in a portfolio of
investments. The control environment is monitored by the Board of Directors (the ‘Board’) through
establishing and maintaining adequate internal control and risk management systems, of which
no material or significant issues have been noted. We have tested entity-level controls which we
deem to be appropriate.
A further description of our responsibilities for the audit of the financial statements is located on the
Financial Reporting Council’s website at https://www.frc.org.uk/auditorsresponsibilities. This
description forms part of our auditor’s report.
Other matters we are required to address
Following the recommendation from those charged with governance, we were appointed by the
company on 01 May 2017 to audit the financial statements for the year ending 31 December 2017
and subsequent financial periods.
► The period of total uninterrupted engagements including previous renewals and reappointments
is 5 years, covering the years ending 31
st
December 2017 to 31
st
December 2021.
► The non-audit services prohibited by the FRC’s Ethical Standard were not provided to the
company and we remain independent of the company in conducting the audit.
► The audit opinion is consistent with the additional report to those charged with governance.
Use of our report
This report is made solely to the company’s members, as a body, in accordance with Article 113A of
the Companies (Jersey) Law 1991. Our audit work has been undertaken so that we might state to
the company’s members those matters we are required to state to them in an auditor’s report and for
no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility
to anyone other than the company and the company’s members as a body, for our audit work, for
this report, or for the opinions we have formed.
Thomas Slater
for and on behalf of Ernst & Young LLP
London
29 April 2022

CLASS LIMITED
Statement of Financial Position
As at 31 December 2021
16
2021 2020
Note €'000 €'000
Assets
Cash at bank 4 21 20
Derivative assets 5 4,020 3,042
Investment securities and total return swaps at fair value
through profit or loss
6 469,217 481,201
Other assets 7 6,338 6,848
Total assets 479,596 491,111
Liabilities
Derivative liabilities 5 282,519 281,766
Debt securities issued designated at fair value through
profit or loss
8 196,915 209,175
Other liabilities 9 120 128
Total liabilities
479,554 491,069
Equity
Share capital 10 - -
Retained earnings 42 42
Total equity
42 42
Total liabilities and equity 479,596 491,111
The financial statements were approved, authorised for issue and signed on behalf of the Board
by:
Marc Harris
Director
Date: 29 April 2022
The notes on pages 20 to 75 form an integral part of these financial statements.

CLASS LIMITED
Statement of Comprehensive Income
For the year ended 31 December 2021
17
2021 2020
Note €'000 €'000
Net gain on investment securities and total
return swaps
12 20,945 10,455
Net (loss) / gain on derivative financial instruments 13 (11,235) 8,444
Net finance loss on debt securities issued 14 (9,710) (18,899)
Operating income - -
Other income 15 86 67
Other expenses 16 (86) (67)
Result before taxation - -
Income tax expense 17 - -
Result for the year - -
Other comprehensive income - -
Total comprehensive income for the year - -
All items dealt with in arriving at the above result for the year ended 31 December 2021 and
31 December 2020 are related to continuing operations.
The notes on pages 20 to 75 form an integral part of these financial statements.

CLASS LIMITED
Statement of Cash Flows
For the year ended 31 December 2021
18
2021 2020
Note €'000 €'000
Cash flows used in operating activities
Result for the year before taxation - -
Adjustments for:
Interest income on investment securities and total return
swaps
12 (17,846) (21,038)
Interest expense on debt securities issued 14 10,764 11,891
Net swap (receipts) / payments 13 (3,447) 136
Net (gain) / loss on investment securities and total return
swaps
12 (3,099) 10,583
Net (gain) / loss on debt securities issued 14 (1,054)
7,008
Net loss / (gain) on derivative financial instruments 13 14,682 (8,580)
Movement in Working Capital
Changes in other assets - (8)
Changes in other liabilities 1 5
Cash flows used in operating activities 1 (3)
Net swap payments and settlement of derivative exposure (11,459) (4,362)
Net cash used in operating activities (11,458) (4,365)
Cash flows from investing activities
Acquisition of investment securities and total return swaps (3,720) (503)
Proceeds from redemptions / maturities of investment
securities and total return swaps
18,802 31,774
Interest receipts from investment securities 18,356 23,488
Net cash generated from investing activities
33,438 54,759
Cash flows used in financing activities
Payments on amortisations, maturities / redemptions of debt
securities issued
(11,206) (38,484)
Interest payments on debt securities issued (10,773) (11,911)
Net cash used in financing activities
(21,979) (50,395)
Net change in cash at bank
1 (1)
Cash at bank at 1 January 4 20 21
Cash at bank at 31 December 4 21 20
The notes on pages 20 to 75 form an integral part of these financial statements.

CLASS LIMITED
Statement of Changes in Equity
For the year ended 31 December 2021
19
Share
capital
Retained
earnings
Total
€'000 €'000 €'000
Balance as at 1 January 2020 - 42 42
Profit for the year - 2020 - - -
Other comprehensive income
- - -
Total comprehensive income for the year - - -
Balance as at 31 December 2020 - 42 42
Profit for the year - 2021 - - -
Other comprehensive income
- - -
Total comprehensive income for the year - - -
Balance as at 31 December 2021
- 42 42
The notes on pages 20 to 75 form an integral part of these financial statements.

CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2021
20
1 General information
CLASS Limited (the “Company”) was incorporated on 10 July 1998 in Jersey with registered
number 72096. The registered office of the Company is 4th Floor, St Paul’s Gate, 22-24 New
Street, St. Helier, Jersey, JE1 4TR, Channel Islands.
The Company is a special purpose entity that has been established to issue debt securities
under a USD 5,000,000,000 Multi-issuance note programme.
The programme offers investors the opportunity to invest in a portfolio of investments securities
and total return swaps that include derivative instruments that mitigate the interest rate risk and
credit risk associated with the portfolio.
2 Basis of preparation
(a) Statement of compliance
The financial statements have been prepared in accordance with International Financial
Reporting Standards (“IFRS”) and its interpretations as adopted by the EU.
The accounting policies set out below have been applied in preparing the financial
statements for the year ended 31 December 2021. The comparative information for the
year ended 31 December 2020 presented in these financial statements has been prepared
on a consistent basis.
The Company’s debt funding has been provided by the holders of debt securities, whose
recourse to the assets of the Company are limited to the aggregate net assets designated
as underlying assets (assets acquired and other agreements) for the particular series of
debt securities held and who have no right to take any step for the winding up or liquidation
of the Company in the event that the aggregate proceeds from the realisation of the
underlying assets are insufficient to repay the principal/interest amounts of the debt
securities. From the point of view of a holder of debt securities, defaults on any one
particular series does not impact any other series.
The Directors are closely monitoring the evolution of COVID-19, including how it may
affect the economy and general population. The Directors have a reasonable expectation
that the impact of COVID-19 would not have an impact on the Company’s Going Concern
because of the limited recourse nature of the debt securities issued by the Company, any
such losses would ultimately be borne by either the Company’s swap counterparty and/or
the Company’s holders of debt securities for that particular series. DB London as Arranger
has agreed to pay the Company for any costs, fees, expenses or out-goings incurred as
defined in the Agreement.
The Company received its interest income from its investment securities and was able to
meet the interest expenditure and amortisation of its issued debt securities to the holders
of debt securities from the statement of financial position date up to the date of signing of
the financial statements. This indicates the Company continues to generate cash flows to
meet its obligations as they fall due.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
21
2 Basis of preparation (continued)
(a) Statement of compliance (continued)
The Directors have a reasonable expectation that the Company has adequate resources to
continue in operational existence for a period of twelve months from the date when the
financial statements are authorised for issue. Accordingly, the Directors continue to adopt
the Going Concern basis in preparing these financial statements.
(b) Changes in accounting policies
There were no changes in accounting policies which would have a financial impact on the
Company’s financial statements during the year.
(c) New standards, amendments or interpretations
(i) New standard adopted during the year
• Amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 Interest Rate
Benchmark Reform – Phase 2 (issued on 27 August 2020)
In August 2020, the IASB issued amendments to IFRS 9, “Financial Instruments”,
IAS 39, “Financial Instruments: Recognition and Measurement“, IFRS 7,
“Financial Instruments: Disclosures”, IFRS 4, “Insurance Contracts” and IFRS 16,
“Leases” as Phase 2 of their project addressing the potential effects from the
reform of the Interbank Offered Rate (“IBOR”) on financial reporting. The
amendments in Phase 2 deal with replacement issues, therefore, they address
issues that might affect financial reporting when an existing interest rate
benchmark is actually replaced. This includes modification of financial assets,
financial liabilities and lease liabilities as well as specific hedge accounting
requirements. The amendments introduce a practical expedient for modifications
required by the reform (modifications required as a direct consequence of the
IBOR reform and made on an economically equivalent basis). These
modifications are accounted for by updating the effective interest rate. All other
modifications are accounted for using the current IFRS requirements. A similar
practical expedient is introduced for lessee accounting applying IFRS 16.
Under the amendments, hedge accounting is not discontinued solely because of
the IBOR reform. Hedging relationships (and related documentation) must be
amended to reflect modifications to the hedged item, hedging instrument and
hedged risk. Amended hedging relationships should meet all qualifying criteria to
apply hedge accounting, including effectiveness requirements. The amendments
also amended IFRS 4 to require insurers that apply the temporary exemption from
IFRS 9 to apply the amendments in accounting for modifications directly required
by IBOR reform. The amendments also require additional disclosures that allow
users to understand the nature and extent of risks arising from the IBOR reform
to which the entity is exposed to and how the entity manages those risks as well
as the entity’s progress in transitioning from IBORs to alternative benchmark
rates, and how the entity is managing this transition.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
22
2 Basis of preparation (continued)
(c) New standards, amendments or interpretations (continued)
(i) New standard adopted during the year (continued)
Some IBOR reforms are already effective while others are still to be implemented or
are under consideration. The Financial Conduct Authority ("FCA") in the UK confirmed
on 5 March 2021 the dates that panel bank submissions for all LIBOR settings will
cease, after which representative LIBOR rates will no longer be available:
• immediately after 31 December 2021, in the case of all sterling, euro, Swiss franc
and Japanese yen settings, and the 1-week and 2-month US dollar settings; and
• immediately after 30 June 2023, in the case of the remaining US dollar settings.
As at 31 December 2021, the Company has no exposure to the LIBOR cessation as
none of the debt securities issued and underlying investment securities have interest
rates that are linked to LIBOR rates that will cease immediately after that date.
Furthermore, investment securities that have interest rate linked to LIBOR 3- month US
dollar setting will have until 30 June 2023 to amend the legal document or secure
holders of debt securities’ consent to this changes. Therefore, the IBOR transition
including the already reformed ones had no material impact on the financial statements
of the Company as at 31 December 2021.
(ii) Effective for annual periods beginning on or after 1 January 2022
The Directors have set out the upcoming EU endorsed and un-endorsed accounting
standards, amendments or interpretations up until the issuance of the financial
statements as set out below.
Description
Effective date
(period beginning)*
Amendments to IFRS 3 Business Combinations; IAS 16
Property, Plant and Equipment; IAS 37 Provisions,
Contingent Liabilities and Contingent Assets; and Annual
Improvements 2018-2020 (All issued 14 May 2020)
1 January 2022**
Amendments to IFRS 16 Leases: Covid-19 – Related
Rent Concessions beyond 30 June 2021 (issued on 31
March 2021)
1 April 2021**
IFRS 17: Insurance Contracts (Issued on 18 May 2017);
including Amendments to IFRS 17 (issued on 25 June
2020)
1 January 2023**
Amendments to IFRS 17 Insurance contracts: Initial
Application of IFRS 17 and IFRS 9 – Comparative
Information (issued on 9 December 2021)
1 January 2023
Amendments to IAS 12 Income Taxes: Deferred Tax
related to Assets and Liabilities arising from a Single
Transaction (issued on 7 May 2021)
1 January 2023

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
23
2 Basis of preparation (continued)
(c) New standards, amendments or interpretations (continued)
(ii) Effective for annual periods beginning on or after 1 January 2022 (continued)
Description
Effective date
(period beginning)*
Amendments to IAS 8 Accounting Policies, Changes in
Accounting Estimates and Errors: Definition of
Accounting Estimates (issued on 12 February 2021)
1 January 2023**
Amendment to IAS 1 Presentation of Financial
Statements and IFRS Practice Statement 2: Disclosure
of Accounting Policies (issued on 12 February 2021)
1 January 2023
Amendments to IAS 1
2
Presentation of Financial
Statements: Classification of Liabilities as Current or
Non-current and Classification of Liabilities as Current or
Non-current - Deferral of Effective Date (issued on 23
January 2020 and 15 July 2020 respectively)
1 January 2023
Amendments to IFRS 3 Business Combinations; IAS 16
Property, Plant and Equipment; IAS 37 Provisions,
Contingent Liabilities and Contingent Assets; and Annual
Improvements 2018-2020 (All issued 14 May 2020)
1 January 2022**
*Where new requirements are endorsed the EU effective date is disclosed. For un-
endorsed standards and interpretations, the IASB’s effective date is noted. Where any
of the upcoming requirements are applicable to the Company, it will apply them from
their EU effective date.
** EU endorsed
The Directors have considered the new standards, amendments and interpretations
as set out in the table above and in the preceding page and have concluded that they
are not expected to have a material impact on the Company and does not intend to
adopt any of the new standards before their effective date.
d) Basis of measurement
The financial statements are prepared on the historical cost basis except for the following:
• Derivative financial instruments are measured at fair value;
• Investment securities and total return swaps classified at fair value through profit or loss
are measured at fair value; and
• Debt securities issued designated at fair value through profit or loss are measured at
fair value.
The methods used to measure fair values are discussed further in note 3(b).

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
24
2 Basis of preparation (continued)
(e) Significant accounting judgements, estimates and assumptions
The preparation of the Company’s financial statements requires management to make
judgments, estimates and assumptions that affect the reported amounts of income,
expenses, assets and liabilities and the accompanying disclosures.
(i) Judgements
In the process of applying the Company’s accounting policies, management has made
the following judgements, which have the most significant effect on the amounts
recognised in the financial statements.
Going Concern
In order to assess whether it is appropriate for the Company to be reported as a Going
Concern, the Directors apply judgement, having undertaken appropriate enquiries and
having considered the effects of the Global Pandemic on the Company's activities. In
light of this, the Directors have concluded that the impact of the Global Pandemic does
not represent a material uncertainty in relation to the Company’s ability to continue as
Going Concern through the date of the issuance of these financial statements as the
company expects to be able to meet its obligations as and when they fall due for the
next 12 months from the date of approval of these financial statements. We have
considered the following:
The limited recourse nature of the securities issued by the Company limit the investor’s
recourse only up to the underlying net assets of that particular debt securities issued.
The investors have no right to take any step for the winding up or liquidation of the
Company in the event that the underlying assets are insufficient to repay the principal
amount of the debt securities issued. Further, to manage the principal risks impacting
the Company such as market risks, liquidity risks, credit risks and operational risks, it
has entered derivative swap agreements with DB London depending on the
requirement of each particular debt securities issued. Moreover, the timing of gross
contractual cash flows payments and receipts with respect to the reference derivatives
and collateral are offset to nil. Also, as per agreement, DB London as Arranger and
swap counterparty agreed to reimburse the Company against any costs, fees, expense
or out-goings incurred.
In the event that any service provider including Vistra goes into administration or
liquidation, the Board will be able to appoint alternative reputable service providers to
take over necessary roles, or the Trustees would potentially enforce security over Notes
in an Event of Default scenario.
We also consider DB London have business continuity plans and crisis management
policies currently in place which would see it continue to provide support to service the
Company and also meet its ongoing costs, fees, expenses or out-goings incurred.
Deutsche Bank AG has sufficient buffers in place to withstand severe capital and
liquidity stress scenarios as per the Banking Recovery and Resolution Directive
requirements. In their most recent published Annual Report of 2021, their board of
Directors have assessed the potential impact of COVID-19 and note that they maintain
a recovery and resolution planning framework designed to anticipate, identify, mitigate
and manage in a timely and coordinated manage the impact of adverse events on their
group and its ability to continue as a going concern.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
25
2 Basis of preparation (continued)
(e) Significant accounting judgements, estimates and assumptions (continued)
(i) Judgements (continued)
Going Concern (continued)
Climate change risks like changing temperatures and weather patterns around the
globe may pose significant risks for many businesses. The downsides may well have a
financial statement impact, for example, through impairments to goodwill, or reductions
in the useful economic lives of assets. Costs may increase, due for instance, to effects
on supply chains, and revenues may fall, as consumer demand for goods and services
changes over time in response to climate change.
The principal activity of the Company is to issue secured notes, invest in subordinated
notes and also enter into asset swap. In terms of valuation of the asset swap, DB as
swap counterparty use the assumptions that market participants would use when
pricing the asset or liability. Where relevant, these assumptions may include
assumptions about climate change. DB has not made material adjustment to fair value
for climate change beyond that already priced into market inputs.
The Company is not involved in any other activities and has no employees. Therefore,
the Directors have concluded that the Company is not directly impacted by climate
change and is not expected to affect the Company's going concern.
Level 3 fair value measurement
Level 3 instruments are regarded as a source of critical accounting judgement as at
year end date. The measurement of fair value of the complex Level 3 instruments is
both quantitatively and qualitatively material to the financial statements. The critical
judgement is over the use of the unobservable inputs and the material nature of these
inputs in the valuation of the financial instrument.
The swap counterparty has produced valuations as of a particular time and date on the
basis of, inter alia, its proprietary valuation models that takes into account interest rates,
duration and relevant credit spreads. There exists judgement related to the selection
and calibration of the models and associated market data inputs.
The determination of fair values of financial assets and financial liabilities that are not
quoted in an active market are based on valuation techniques. The chosen valuation
technique incorporates all the factors that market participants would take into account
in pricing a transaction. Valuation techniques include the discounted cash flow method,
option pricing model, comparison to similar instruments for which market observable
prices exist, and valuation models. For more complex instruments, the Company uses
proprietary models, which usually are developed from recognised valuation models.
Some or all of the inputs into these models may not be directly observable from the
market and are derived from market prices or rates or are estimates based on
assumptions.
Involvement with unconsolidated structured entities
The Company also disclosed the significant judgements made in determining the nature
of its interest in another entity.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
26
2 Basis of preparation (continued)
(e) Significant accounting judgements, estimates and assumptions (continued)
(i) Judgements (continued)
Involvement with unconsolidated structured entities (continued)
The Company has concluded that investments in unconsolidated entities meet the
definition of structured entities due to the following:
• the voting rights are not dominant rights in deciding who controls them because they
relate to administrative tasks only;
• each of the investments’ activities are restricted by its prospectus; and
• the investments have narrow and well-defined objectives to provide investment
opportunities to investors.
Refer to the table on note 24 for the disclosure of the nature, purpose, size and activities
of the structured entities and how they are financed.
(ii) Estimates and assumptions
The key assumptions concerning the future and other key sources of estimation
uncertainty at the year end date, that have a significant risk of causing a material
adjustment to the carrying amounts of assets and liabilities within the next financial
year, are described below. The Company based its assumptions and estimates on
parameters available when the financial statements were prepared. Estimates and
underlying assumptions are reviewed on an ongoing basis. Revisions to accounting
estimates are recognised in the period in which the estimates are revised and in any
future periods affected.
Fair value measurement of financial instruments
When the fair values of financial assets and financial liabilities recorded in the statement
of financial position cannot be measured based on quoted prices in active markets,
their fair value is measured using valuation techniques including the discounted cash
flow model and correlation pricing model. The inputs to these models are taken from
observable markets where possible. Changes in assumptions relating to these factors
could affect the reported fair value of financial instruments. The estimates and
associated assumptions are reviewed on an ongoing basis and various other factors
that are believed to be reasonable under the circumstances, the results of which form
the basis of making the judgements about carrying values of assets and liabilities that
are not readily apparent from other sources. Actual results may differ from these
estimates. Information about significant areas of estimation uncertainty in applying
accounting policies that have the most significant effect on the amounts recognised in
the financial statements are described in note 23.
(f) Functional and presentation currency
The financial statements are presented in Euro, which is the Company’s functional currency.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
27
2 Basis of preparation (continued)
(f) Functional and presentation currency (continued)
Functional currency is the currency of the primary economic environment in which the entity
operates.
The issued share capital of the Company is denominated in Great British Pound while the
debt securities issued are primarily denominated in Euro. The Directors of the Company
believe that Euro most faithfully represents the economic effects of the underlying
transactions, events and conditions.
Except as otherwise indicated, all financial information presented in Euro have been
rounded to the nearest thousand.
3 Significant accounting policies
The accounting policies set out below have been applied consistently to all years presented in
these financial statements.
(a) Structured entities
A structured entity is an entity that has been designed so that voting or similar rights are not
the dominant factor in deciding who controls the entity, such as when any voting rights relate
to administrative tasks only and the relevant activities are directed by means of contractual
arrangements.
A structured entity often has some or all of the following features or attributes; (a) restricted
activities, (b) a narrow and well-defined objective, such as to provide investment
opportunities for investors by passing on risks and rewards associated with the assets of
the structured entity to investors, (c) insufficient equity to permit the structured entity to
finance its activities without subordinated financial support and (d) financing in the form of
multiple contractually linked instruments to investors that create concentrations of credit or
other risks (tranches).
The Company considers some of its investments to be investments in structured entities
which are unconsolidated due to the fact that the Company has no control of the structured
entities. See note 24 for details of these investments.
The Company accounts for its investments in structured entities as investment securities at
fair value through profit or loss and recognises any gains and losses arising from changes
in the fair value through profit or loss in the Statement of Comprehensive Income in the
period in which they arise.
(b) Financial instruments
The Company classifies its financial instruments in accordance to IFRS 9.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
28
3 Significant accounting policies (continued)
(b) Financial instruments (continued)
The financial instruments held by the Company at fair value through profit or loss include
the following:
• Investment securities and total return swaps;
• Derivative financial instruments; and
• Debt securities issued.
Designation at fair value through profit or loss upon initial recognition
The Company has designated financial liabilities at fair value through profit or loss since
the liabilities consist of debt securities issued that are backed by the investment securities
and derivative financial instruments. The returns from the investment securities are used
to pay off the debt securities and as a result, measuring the debt securities on other basis
other than fair value will create an accounting mismatch. The designation eliminates or
significantly reduces the inconsistent treatment that would otherwise arise from measuring
the financial assets or liabilities or recognising gains or losses on them on a different basis.
The Company has classified the investment securities at fair value through profit or loss
and designated the debt securities issued at fair value through profit or loss. Derivative
financial instruments are carried at fair value through profit or loss. Other financial
instruments are carried at amortised cost.
Classification
A financial asset or financial liability at fair value through profit or loss is a financial asset
or liability that is classified as held-for-trading or designated or classified at fair value
through profit or loss. Other financial instruments are carried at amortised cost.
Derivative financial instruments are carried at fair value through profit or loss. The
Company has classified the investment securities and total return swaps at fair value
through profit or loss.
Investment securities and total return swaps
All investment securities held by the Company are classified and initially measured at fair
value through profit or loss. The investment securities held by the Company have been
designated at fair value through profit or loss to eliminate or significantly reduce an
accounting mismatch. Total return swaps consist of credit linked collateral which enable
the Company to gain exposure and benefit from a reference amount and are classified at
fair value through profit or loss. Subsequent changes in the fair value of investment
securities and total return swaps are recognised directly in the statement of comprehensive
income.
Derivative financial instruments
Derivative financial instruments held for risk management purposes include derivative
assets and liabilities comprised of interest rate swaps and cross currency swaps which are
classified as assets swaps that are used to economically hedge at each series from interest
rate or market fluctuations affecting the relevant collateral assets.
Such derivatives are not formally designated into a qualifying hedging relationship and
therefore all changes in their fair value are recognised through profit or loss in the
statement of comprehensive income.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
29
3 Significant accounting policies (continued)
(b) Financial instruments (continued)
Derivative financial instruments (continued)
Such derivatives are not formally designated into a qualifying hedging relationship and
therefore all changes in their fair value are recognised through profit or loss in the
statement of comprehensive income. The Company also writes asset swaps derivatives
for certain series as noted in note 6 that may create economic returns for the Company;
such derivatives are carried at fair value through profit or loss.
Debt securities issued
The debt securities issued are initially measured at fair value and are designated as
liabilities at fair value through profit or loss when they either eliminate or significantly reduce
the inconsistent treatment that would otherwise arise from measuring the debt securities
issued on a different basis to that of the underlying securities such as the investment
securities and derivative financial instruments.
Financial assets and liabilities that are not at fair value through profit or loss
Financial assets that are not at fair value through profit or loss and are not quoted in an
active market include cash at bank and deposits with credit institutions and other
receivables, which are classified and measured at amortised cost.
Financial liabilities that are not at fair value through profit or loss include accrued expenses
and other payables. These are classified and measured at amortised cost.
Impairment of financial assets
The impairment rules under IFRS 9 will apply to financial assets that are measured at
amortized cost.
Under IFRS 9 expected credit loss approach, the Company will recognize expected credit
losses resulting from default events that are possible within the next 12 months for both the
homogeneous and non-homogeneous performing loan pools (stage 1).
IFRS 9 also requires the recognition of credit losses expected over the remaining life of the
assets (‘lifetime expected losses’) which have significantly deteriorated in credit quality
since origination or purchase but have yet to default (stage 2) and for assets that are credit
impaired (stage 3). Under IFRS 9 expected credit losses are measured by taking into
account forward-looking information, including macroeconomic factors.
Recognition and measurement
The Company initially recognises all financial assets and liabilities at fair value on the trade
date, which is the date on which the Company becomes a party to the contractual provisions
of the instruments. For financial assets and financial liabilities which will subsequently be
carried at fair value, initial direct costs are expensed. For financial assets and financial
liabilities not at fair value through profit or loss, costs directly attributable to the acquisition
or issue of financial assets or financial liabilities are included in the initial cost.
From trade date, any gains or losses arising from changes in the fair value of the financial
assets or financial liabilities being measured at fair value through profit or loss are recorded
through profit or loss in the statement of comprehensive income.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
30
3 Significant accounting policies (continued)
(b) Financial instruments (continued)
Recognition and measurement (continued)
Financial assets and financial liabilities not categorised as at fair value through profit or
loss are subsequently measured at amortised cost using the effective interest rate method.
Derecognition
The Company derecognises a financial asset when the contractual rights to the cash flows
from the asset expire, or it transfers the rights to receive the contractual cash flows on the
financial asset in a transaction in which substantially all the risks and rewards of ownership
of the financial asset are transferred.
Any interest in transferred financial assets that is created or retained by the Company is
recognised as a separate asset or liability.
The Company derecognises a financial liability when its contractual obligations are
discharged, cancelled or has expired.
Offsetting
Financial assets and liabilities are offset and the net amount presented in the statement of
financial position when, and only when, the Company has a legal right to offset the amounts
and intends either to settle on a net basis or to realise the asset and settle the liability
simultaneously. Income and expenses are presented on a net basis only when permitted
by the accounting standards.
There is no offsetting agreement in place, therefore, no offsetting of assets and liabilities
occurred as at 31 December 2021 (2020: No offsetting).
Fair value measurement principles
Fair value is the price that would be received to sell an asset or paid to transfer a liability
in an orderly transaction between market participants at the measurement date in the
principal, or in its absence, the most advantageous market to which the Company has
access.
The fair value of a liability reflects its non-performance risk. The determination of fair values
of financial assets and financial liabilities are based on quoted bid market prices or dealer
price quotations for financial instruments traded in active markets, where these are
available.
A market is regarded as active if transaction for the asset or liability takes place with
sufficient frequency and volume to provide pricing information on an ongoing basis. The
Company measures instruments quoted in an active market at bid price. For all other
financial instruments fair value is determined by using valuation techniques.
If there is no quoted price in an active market, then the Company uses valuation techniques
that maximise the use of relevant observable inputs and minimise the use of unobservable
inputs. The chosen valuation technique incorporates all of the factors that market
participants would take into account in pricing a transaction.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
31
3 Significant accounting policies (continued)
(b) Financial instruments (continued)
Fair value measurement principles (continued)
Valuation techniques include net present value techniques, the discounted cash flow
method, comparison to similar instruments for which market observable prices exist, and
valuation models. The Company uses widely recognised valuation models for determining
the fair value of common and simpler financial instruments like call options, interest rate
and currency swaps. For more complex instruments, the Company uses proprietary
models, which are usually developed from recognised valuation models. Some or all of the
inputs into these models may not be directly observable from the market and are derived
from market prices or rates or are estimated based on assumptions.
The Company recognises transfers between levels of the fair value hierarchy as at the
beginning of the reporting period during which the change has occurred.
(c) Financial liability and equity
The financial instruments issued by the Company are treated as equity (i.e. forming part
of shareholder’s funds) only to the extent that they meet the following two conditions:
• they include no contractual obligations upon the Company to deliver cash or other
financial assets or to exchange financial assets or financial liabilities with another
party under conditions that are potentially unfavourable to the Company; and
• where the instrument will or may be settled in the Company’s own equity instruments,
it is either a non-derivative that includes no obligation to deliver a variable number of
the Company’s own equity instruments or is a derivative that will be settled by the
Company’s exchanging a fixed amount of cash or other financial assets for a fixed
number of its own equity instruments.
To the extent that these conditions are not met, the proceeds of issue are classified as a
financial liability.
Finance payments associated with financial liabilities are dealt with as part of the ongoing
remeasurement of debt securities to fair value. Any payments associated with financial
instruments that are classified in equity are distributions from the net income attributable
to equity holders and are recorded directly in equity.
(d) Operating segments
The Company has applied IFRS 8 Operating Segments which puts emphasis on the
“management approach” to reporting on operating segments.
The Company is engaged as one segment. It involves the repackaging of bonds and other
debt instruments, on behalf of investors, which are bought from the market and
subsequently securitised to avail of potential market opportunities and risk-return
asymmetries.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
32
3 Significant accounting policies (continued)
(d) Operating segments (continued)
Each transaction is entered into on its own merit, as such, no cross-sectional review is
performed per geography for the entity by the Board who are regarded as the Company’s
Chief Operating Decision Maker. No revenue per geographical location has been disclosed
because this information is not prepared and is not regularly provided to nor used by the
Board. The financial results for this segment are equivalent to the financial statements of
the Company as a whole.
The Board is responsible for managing the business of the Company including the
outcome of day to day operating decisions. It achieves this by appointing on an arm’s
length basis established service providers with competence and expertise in their
respective areas. It reviews the terms of their engagement and monitors the output from
these services to ensure they fully satisfy what is required of them in operational, legal and
regulatory terms.
Refer to note 21(b) concentration risk for the geographical segmental information of the
assets.
(e) Cash at bank
Cash at bank consists of current cash held on deposit which is on demand.
Cash at bank is carried at amortised cost in the statement of financial position.
(f) Foreign currency transaction
Transactions in foreign currencies are translated to the functional currency of the Company
using exchange rates at the date of the transactions. Monetary assets and liabilities
denominated in foreign currencies at the reporting date are retranslated to the functional
currency using the exchange rate at that date.
Foreign currency differences arising on retranslation or settlement are recognised through
profit or loss in the statement of comprehensive income and are included under net gain /
(loss) from investment securities, derivative financial instruments or debt securities issued,
as appropriate.
(g) Net gain on investment securities and total return swaps
Net gain on investment securities and total return swaps relates to realised income
(including interest receipts and accrued interest income) arising on investment securities,
realised and unrealised fair value changes including foreign exchange differences arising
on investment securities and total return swaps.
(h) Net (loss) / gain on derivative financial instruments
Net (loss) / gain on derivative financial instruments relates to the fair value movements on
derivatives held by the Company and includes realised and unrealised fair value changes,
settlements and foreign exchange differences.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
33
3 Significant accounting policies (continued)
(i) Net finance loss on debt securities issued
Net finance loss on debt securities issued includes financing costs (including interest
payments and accrued interest expense) realised and unrealised fair value changes and
foreign exchange differences.
(j) Taxation
Income tax expense comprises current and deferred tax. Income tax expense is
recognised through profit or loss, in other comprehensive income or directly in equity
consistent with the accounting for the item to which it is related.
Current tax is the expected tax payable on the taxable income for the year, using tax
rates applicable to the Company’s activities enacted or substantively enacted at the
reporting date, and adjustment to tax payable in respect of previous years.
Deferred tax is provided for temporary differences arising between the carrying amounts
of assets and liabilities for financial reporting purposes and the amounts used for taxation
purposes. Deferred tax is not recognised for temporary differences arising on the initial
recognition of assets or liabilities in a transaction that is not a business combination and
that affects neither accounting nor taxable profit. Deferred tax is measured at the tax
rates that are expected to be applied to the temporary differences when they reverse,
based on the laws that have been enacted or substantively enacted by the reporting
date. A deferred tax asset is recognised only to the extent that it is probable that future
taxable profits will be available against which the asset can be utilised. Deferred tax
assets are reviewed at each reporting date and are reduced to the extent that it is no
longer probable that the related tax benefit will be realised.
(k) Other income and expenses
All other income and expenses are accounted for on an accrual basis.
(l) Share capital and dividends
Share capital is issued in Great British Pound. Dividends are recognised as a payable in
the period in which they are approved.
4 Cash at bank
2021 2020
€'000 €'000
Cash at bank 21 20
The Company’s cash is held with Royal Bank of Scotland International.
Refer to note 21(b)(i) for credit ratings for cash and cash equivalents.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
34
5 Derivative financial instruments
2021 2020
€'000 €'000
Derivative assets- Asset swaps
Less than one year 266 30
One year to five years 753 275
Greater than five years 3,001 2,737
4,020 3,042
Derivative liabilities- Asset swaps
Less than one year 31,484 20,675
One year to five years 96,166 71,355
Greater than five years 154,869 189,736
282,519 281,766
The Company entered into asset swap agreements other than those mentioned below to
eliminate the mismatch between the amount payable in respect of those issued debt securities
and the return from the investment securities held by the Company as collateral. The following
series are currently outstanding with asset swap agreements as at 31 December 2021:
Series 29, 31, 32, 47, 49, 53, 58, 60, 64, 66, 67, 73, 75, 76, 79, 80, 82, 83, 84, 90, 94, 95,
100, 104 and 141 (2020: Series 29, 31, 32, 47, 49, 53, 58, 60, 64, 66, 67, 73, 75, 76, 79, 80,
82, 83, 84, 90, 94, 95, 100, 104 and 141).
During the year, no asset swap agreement had matured (2020: Series 173) and no asset
swap agreement was partially redeemed (2020: Series 60 and 84).
In cases where no asset swaps nor credit default swaps are in place for a series, the credit
risk is borne by the holders of debt securities issued by the Company. During the period, no
swap agreements were in place for series 61 (2020: Series 61).
Fair value adjustment for credit risk
The adjustments comprised Counterparty Credit Valuation Adjustments (CVA), Debt
Valuation Adjustments (DVA) and Funding Valuation Adjustments (FVA). The impact of
adjustments are incorporated into the fair value of the note issuances.
CVA covers expected credit losses relating to non-performance risk of the derivative
counterparty, DB London. For DVA, that relates to derivative liabilities, the Company
considers own credit-worthiness by assessing counterparty potential future exposure with
reference to the associated collateral, the expected loss given default and the probability of
default. FVA incorporates the market implied funding costs into the fair value of the derivative
positions and reflects a discounting spread applied to uncollateralised and partly collateralised
derivatives.
Shortfall exists when the value of the derivative liability is greater than the value of the
investment securities for a certain series.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
35
5 Derivative financial instruments (continued)
Fair value adjustment for credit risk (continued)
Such occurrence will lead the value of the debt securities to be illogical, thus shortfall
adjustment to the derivative value is necessary to bring the value of the debt securities to zero
balance since the shortfall is only up to the extent of the fair value of the investment securities
and derivative liability of the relevant series. During the year, no shortfall existed
(2020: Shortfall existed and relative adjustment was made for series 31 and 47).
As at 31 December 2021, the combined value of adjustments amounting to EUR 17,482k
(2020: EUR 23,187k) is comprised of adjustments for shortfall, CVA, DVA and FVA amounting
to nil (2020: EUR 1,549k), EUR (690k) (2020: EUR (1,320k), EUR 6,078k (2020: EUR 7,708k)
and EUR 12,178k (2020: EUR 15,250k), respectively. These adjustments have increased the
derivative assets by EUR 914k (2020: EUR 63k) and reduced the derivative liabilities by
EUR 16,568k (2020: EUR 23,125k). This was consistent with the valuation policies adopted
by derivative counterparty, DB London.
6 Investment securities and total return swaps at fair value through profit or loss
2021 2020
€'000 €'000
Classified at fair value through profit or loss
Corporate bonds 302,045 306,375
Government bonds 165,543 172,983
Total return swaps 1,629 1,843
469,217 481,201
2021 2020
€'000 €'000
Less than one year - 18,380
One year to five years 48,493 43,041
Greater than five years 420,724 419,780
469,217 481,201
swaps classified at fair value through profit or loss
Maturity analysis of investment securities and total return
Investment securities for series 31, 32, 66, one of the investment securities for series 64 and
two investment securities for series 47 matured during the year (2020: Two of the investment
securities for series 47 and investment securities for 173). Maturities of investment securities
are cash settled transactions.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
36
6 Investment securities and total return swaps at fair value through profit or loss
(continued)
During the year, one of the investment securities for series 75 was fully redeemed (2020: Two
of the investment securities for series 60 and one of the investment securities for series 67)
while none was partially redeemed (2020: One of the investment securities for series 60 and
two investment securities for series 84). Redemptions of investment securities in full are cash
settled transactions which are reflected in the statement of cash flows (2020: Redemptions of
investment securities in full or partial are non cash settled transactions which are not reflected
in the statement of cash flows except for the full redemption of one of the investment securities
for series 67).
Under the terms of the SPM, the swap counterparty can replace a maturing collateral with DB
London issued bond. Following the exercise of the collateral replacement option, the
acquisition of three investment securities held by series 47 with total nominal amount of
USD 1,468k and EUR 2,500k are cash settled transaction which is reflected in the statement
of cash flows (2020: Series 47 with nominal amount of EUR 4,900k is a non cash settled
transaction which is not reflected in the statement of cash flows while the acquisition of
investment securities for series 67 with nominal amount of EUR 500k is a cash settled
transaction which is reflected in the statement of cash flows). Furthermore, no foreign
exchange gain or loss was recognized for the replacement since the related collaterals are
denominated in Euro (2020: No foreign exchange gain or loss).
The carrying value of all of the above assets of the Company represents their maximum
exposure to credit risk. The credit risk is eventually transferred to the swap counterparty
through credit default swap or the holders of debt securities. The swap counterparty is then
exposed to credit risk in respect of the credit default swap. In cases where no swaps are in
place for a series, the credit risk is borne by the holders of debt securities issued by the
Company.
The investment securities and total return swaps are held as collateral for debt securities
issued by the Company.
The Company holds investments in unconsolidated structured entities with fair value
amounting to EUR 4,766k (2020: EUR 4,762k). Refer to note 24 for disclosure on interest in
other entities.
Total return swaps
Under these arrangements the proceeds from the issuance of debt securities are held on
deposit with the swap counterparty under the swap agreement. The deposit is synthetically
linked to the credit performance of a portfolio of reference entities through a credit default
swap. The swap counterparty provides a return that replicates the return due to the holders
of the debt securities and also reimburses all the expenses related to the series. In the event
of this reference entities default, a notice is served to the Company.
The receivable under the total return swaps is reduced by an amount equal to the amount of
the default as determined by the calculation agent with reference to the default reference
entity and the Company’s obligation under the debt securities is also reduced by the same
amount as per the terms of the SPM.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
37
6 Investment securities and total return swaps at fair value through profit or loss
(continued)
Total return swaps (continued)
The total return swaps held by the Company as at year end are for series 61 (2020: Series
61). During the year, no series with total return swaps matured nor redeemed (2020: No
series). Refer to note 21(b)(i) for credit risk disclosures relating to the investment securities
and total return swaps.
7 Other assets
2021 2020
€'000 €'000
Interest income receivable from investment securities and
6,275 6,785
Other receivables 63 63
6,338 6,848
total return swaps
All of the above other assets are current. Refer to note 21(b)(i) for credit risk disclosure.
8 Debt securities issued designated at fair value through profit or loss
2021 2020
€'000 €'000
Designated at fair value through profit or loss 196,915 209,175
Maturity analysis of the debt securities issued at fair
value through profit or loss
Less than one year 15,944 16,329
One year to five years 55,125 57,092
Greater than five years 125,846 135,754
196,915 209,175
The Company’s obligations under the debt securities issued and related derivative financial
instruments are secured by collateral held as noted in note 6. The investors’ recourse per
series is limited to the assets of that particular series.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
38
8 Debt securities issued designated at fair value through profit or loss (continued)
The debt securities for the following series are listed on the Luxembourg Stock Exchange:
Series 29, 31, 32, 47, 49, 53, 58, 60, 64, 66, 67, 73, 75, 76, 79, 80, 82, 83, 84, 90, 94, 95, 100,
104, and 141 (2020: Series 29, 31, 32, 47, 49, 53, 58, 60, 64, 66, 67, 73, 75, 76, 79, 80, 82,
83, 84, 90, 94, 95, 100, 104, and 141).
Liabilities arising from financing activities relate to debt securities issued. The below table
shows the changes in liabilities arising from financing activities:
2021 2020
€'000 €'000
Opening balance 209,175 240,651
Net loss on debt securities issued designated at
fair value through profit or loss 9,710 18,899
Changes in accrual 9 20
Cash flows from financing activities (21,979) (50,395)
Closing balance 196,915 209,175
Maturities of debt securities are cash settled transactions which are shown in the statement of
cash flows. During the year, no series fully matured (2020: Series 173). The following series
are immunizing series, thus part of its balances have matured: Series 29, 31, 32, 47, 49, 53,
58, 60, 61, 64, 66, 67, 73, 75, 76, 79, 80, 82, 83, 84, 90, 94, 95, 100, 104 and 141
(2020: Series 29, 31, 32, 47, 49, 53, 58, 60, 61, 64, 66, 67, 73, 75, 76, 79, 80, 82, 83, 84, 90,
94, 95, 100, 104 and 141). During the year, no series have been redeemed (2020: No series).
In the event that accumulated losses prove not to be recoverable during the life of the debt
securities issued, then the obligation to the holders of the debt securities issued by the
Company will be reduced to the extent of the accumulated losses.
The fair value of financial liabilities designated at fair value through profit or loss as at
31 December 2021 was EUR 55,210k (2020: EUR 56,263k) greater than the contractual
amount at maturity. The contractual amount at maturity is disclosed on the basis that there will
be no payment calls made due to an occurrence of credit event until maturity.
As at 31 December 2020, series 29, 31, 32, 47,49, 53, 58, 60, 61, 64, 66, 67, 73, 75, 76, 79,
80, 82, 83, 84, 90, 94, 95, 100, 104 and 141 are immunizing securities wherein their interest
rates are stated in the SPM (2020: Series 29, 31, 32, 47,49, 53, 58, 60, 61, 64, 66, 67, 73, 75,
76, 79, 80, 82, 83, 84, 90, 94, 95, 100, 104 and 141).

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
39
9 Other liabilities
2021 2020
€'000 €'000
Interest payable on debt securities issued 79 88
Accrued expenses 32 32
Other payables 9 8
120 128
All of the above other liabilities are current.
10 Share capital
2021 2020
€'000 €'000
Authorised:
10,000 ordinary shares of £1 each 14 14
Issued and fully paid
10 ordinary shares of £1 each - -

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
40
11 Accounting categorisation of financial assets and financial liabilities
2021 2020
Carrying Carrying
value value
€'000 €'000
Financial asset at amortised cost
Cash at bank
21 20
Other assets
6,338 6,848
Total financial asset at amortised cost
6,359 6,868
Financial assets at fair value through profit or loss
Investment securities and total return swaps
469,217 481,201
Derivative assets
4,020 3,042
Total assets
479,596 491,111
Financial liabilities at amortised cost
Other liabilities
120 128
Debt securities issued
196,915 209,175
Financial liabilities at fair value through profit or loss
Derivative liabilities
282,519
281,766
Total liabilities
479,554 491,069
Financial liabilities designated at fair value through profit
or loss
The financial instruments not accounted for at fair value through profit or loss are short term
financial assets and financial liabilities whose carrying amounts approximate their fair values.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
41
12 Net gain on investment securities and total return swaps
2021 2020
€'000 €'000
- Corporate bonds 20,897 9,706
- Government bonds 185 739
- Total return swaps (137) 10
20,945 10,455
Analysed as follows:
Interest income including accruals
17,846 21,038
3,485 648
(386) (11,231)
20,945 10,455
Realised loss on redemptions / maturities of investment
securities and total return swaps
Net gain on investment securities and total return swaps at fair
value through profit or loss (including interest receipts):
Net unrealised gain on investment securities and
total return swaps
13 Net (loss) / gain on derivative financial instruments
2021 2020
€'000 €'000
- Assets swaps (11,235) 8,444
Analysed as follows:
Net swap receipts / (payments) 3,447 (136)
Net unrealised loss on derivative financial instruments (14,682) (1,219)
Net realised gain on settlement of derivative financial instruments
- 9,799
(11,235) 8,444
Net (loss) / gain on derivative financial instruments carried at fair
value (including interest receipts):

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
42
14 Net finance loss on debt securities issued
2021 2020
€'000 €'000
Net gain / (loss) on debt securities issued designated at
fair value through profit or loss
1,054 (7,008)
Interest expense including accruals
(10,764) (11,891)
(9,710) (18,899)
Analysed as follows:
Interest expense including accruals
(10,764) (11,891)
Net unrealised loss on debt securities issued (4,069)
(12,574)
Net realised gain on debt securities issued 5,123 5,566
(9,710) (18,899)
15 Other income
2021 2020
€'000 €'000
Arranger income
86 67
For every new issuance of debt securities, DB London, as Arranger, transfers to the Company
an amount of USD 500 as corporate benefit (income) and also agreed, as per Service
Agreement, to reimburse the Company against any costs, fees, expenses or out-goings
incurred. Arranger income is the total expenses incurred by the Company during the period
that is borne by DB. During the year, no new series have been issued which resulted to
corporate benefit amount of nil (2020: Nil).

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
43
16 Other expenses
2021
2020
€'000 €'000
Auditor's remuneration
(56) (32)
Administration fee
(21) (29)
Advisor fee
(5) (2)
Directors fee
(4) (4)
(86) (67)
The Company is administered by Vistra and has no employees.
Auditor's remuneration relates to the audit of the financial statements and includes EUR 20k
in respect of overruns charged by the auditors.
17 Corporate income tax rate
The Company is taxed at 0% corporate tax rate during the year (2020: 0%).
18 Ownership of the Company
The issued shares are held in trust by Fiduchi Nominees Limited (Formerly OMS Nominees
Limited) and Fiduchi Trustees Limited (Formerly Osiris Trustees Limited) (the “Share
Trustees”), each of whom own five shares under the terms of a declaration of trust dated July
1998, under which the relevant Share Trustee holds an issued share of the Company in trust
for charity. The Share Trustees have appointed the Board to oversee the day-to-day activities
of the Company.
The Board have considered the issue as to who is the controlling party of the Company. It has
determined that the control of the day-to-day activities of the Company rests with the Board.
The Board is composed of three Directors, all are considered to be independent of the
Deutsche Bank Group.
19 Charges
The debt securities issued by the Company are secured by way of charge over the collateral
purchased in respect of each of the debt securities, and by the assignment of a fixed first
charge of the Company’s rights, title and interest under the respective Swap Agreement for
each series.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
44
20 Transactions with related parties, Administrator and Arranger
Transactions with Key Management Personnel
During the year, the Company incurred a fee of EUR 7k (2020: EUR 8k) relating to
administration services provided by Vistra. As at 31 December 2021, outstanding
administration services fees payable amounted to EUR 6k (2020: Nil).
Professional services in advising matters of Jersey law is incurred during the year amounting
to 5k (2020: EUR 2k). Directors’ fees during the year amounted to EUR 4k (2020: EUR 4k).
As at 31 December 2021, there were no outstanding Advisor fees and Directors’ fees payable
(2020: Nil).
Other Transactions
Under a series proposal agreement entered into for each series by the Company and DB
London, as Arranger for each series, will pay the Company a Series Fee of USD 500 per
Series on commencement of the series and agree to reimburse the Company against any
costs, fees, expenses or out-goings incurred, refer to note 15 for details.
DB London is also the swap counterparty for all series containing asset swap agreements
and total return swap agreements. The fair values relating to these swaps are disclosed in
note 5 for details and associated income and expenses in notes 15 and 16, respectively.
At the reporting date, DB London holds no interest in the debt securities issued by the
Company while the following investment securities held by the Company were issued by DB
London:
Series ISIN CCY 2021 2020
'000 '000
S0047 XS0461370511 USD
3,432 3,432
S0047 XS0461388646 EUR
1,345 1,345
S0047 XS0461330721 EUR
555 555
S0047 XS0461374182 EUR
1,300 1,300
S0047 XS0461329988 EUR
1,000 421
S0047 XS0461367053 EUR
468 1,531
8,100 8,584
Nominal
21 Financial instruments
(a) Introduction and overview
The Company was set up as segregated multi issuance SPE. This ensures that if one
series defaults, the holders of that series are unable to reach other assets of the issuer,
which might otherwise have resulted in the issuer’s bankruptcy and the default of the
other series of debt securities issued.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
45
21 Financial instruments (continued)
(a) Introduction and overview (continued)
The segregation criteria include the following:
▪ The Company is a bankruptcy remote SPE; organised in Jersey Channel Island.
▪ Debt securities are issued in separate series.
▪ Assets relating to any particular series of debt securities are held separately and
apart from the assets relating to any other series.
▪ Any swap transaction entered into by the Company for a series is separate from
any
other swap transaction for any other series.
▪ For each series of debt securities, only the trustees are entitled to exercise
remedies on behalf of the holders of debt securities.
▪ Each series of issued debt securities are reviewed by a recognised rating agency
prior to issuance regardless of whether it is to be rated or not.
The net proceeds from the issue of the debt securities are paid to DB London as the
swap counterparty or as agent in the case of pass-through notes to purchase a
portfolio of investments securities plus any interest accrued thereon on behalf of the
Company or to enter into total return swap arrangements with the swap counterparty.
The Company has entered into asset swap agreements with DB London, wherein the
swap counterparty delivers the investment securities to the account of the Company
and the Company pays the holders of debt securities the amount equal to the interest
payable on the debt securities issued. The Company pays to the swap counterparty
amounts equal to the interest received in respect of the investment securities, and on
the maturity date of the investment securities will deliver the portfolio or the proceeds
of its redemption to the swap counterparty. In return, the swap counterparty will pay to
the Company amounts equal to the coupon payments payable on the debt securities
issued as well as the notional outstanding upon maturity. Refer to note 5 for the details
of the swap agreements entered by the Company.
The swap counterparty delivers collateral to the account of the Company and pays the
Company amounts equal to the interest payable under the debt securities, and if the
swap agreement has not terminated prior to the maturity date of the respective notes,
a sum equal to the redemption amount payable on the debt securities. The credit
quality details of the investment securities held by the Company are disclosed in note
21(b).
For series where no swap agreements were entered into, the ultimate amount repaid
to the holders of the related debt securities will depend on the proceeds from the
investment securities.
The debt securities issued are initially recorded at fair value which equates to the
proceeds received in Euro and are subsequently carried at fair value through profit or
loss. The ultimate amount repaid to the holders of these debt securities will depend on
the proceeds from the investment securities and any payment the swap counterparty
is obliged to make under the terms of the swap agreement.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
46
21 Financial instruments (continued)
(b) Risk management framework
The Board has overall responsibility for the establishment and oversight of the
Company’s risk management framework.
The risk profile of the Company is such that market, credit, liquidity and other risks
relating to the investment securities and derivative financial instruments are borne by
the swap counterparty and/or the holders of the debt securities issued.
The Company has exposure to the following risks from its use of financial instruments:
(i) Credit risk;
(ii) Liquidity risk; and
(iii) Market risk
This note presents information about the Company’s exposure to each of the above
risks, the Company’s objectives, policies and processes for measuring and managing
risk and the Company’s management of capital.
(i) Credit risk
Credit risk is the risk of the financial loss to the Company if the counterparty to a
financial asset fails to meet its contractual obligations. Credit risk arises principally
from the Company’s investment securities and also from the derivative contracts
which the Company has entered into.
The Company limits its exposure to credit risk by investing in bonds and other
securities detailed in note 3(b) with counterparties that have a credit rating defined
in the documentation of the relevant series. No credit enhancements were obtained
by the Company to mitigate its exposure to credit risk.
The risk of default on these assets and on the underlying reference entities is borne
by the swap counterparty and/or the holders of the debt securities as designated
in the priority of payments described in the SPM of the relevant series.
The credit quality of the Company’s investment securities has been disclosed in
note 21(b).
The credit risk relating to underlying reference entities as shown in note 22 arises
principally from the investment assets which the Company holds which are credit-
linked to a portfolio of underlying reference entities. Any default or “credit events”
in the underlying portfolio of reference entities may trigger a reduction in the
nominal amounts of the debt instrument which the Company holds depending on
the loss amounts, as well as, other terms and conditions on the debt. Because of
the limited recourse nature of the debt securities issued by the Company, any such
losses would ultimately be borne by either the Company’s swap counterparty
and/or the Company’s holders of debt securities for that particular series.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
47
21 Financial instruments (continued)
(b) Risk management framework (continued)
(i) Credit risk (continued)
Secondly, for some series the Company has also sold credit protection to the swap
counterparty in return for a premium. Refer to note 5 for further details. The
corresponding debt securities issued by the Company on which the credit
protection has been sold are credit-linked to the credit quality of the underlying
portfolio of reference entities. Therefore any default or “credit events” in the
underlying portfolio of reference entities might require a specific amount of the
collateral, i.e. certain investment securities held by the Company to be delivered to
the swap counterparty that has purchased the credit protection from the Company.
However, due to the limited recourse nature of the debt securities issued by the
Company any such payments in respect of the credit default swap, i.e. the
underlying portfolio of reference entities would ultimately be borne by the holders
of debt securities by way of corresponding reduction in the nominal amounts of
those debt securities issued depending on the terms and conditions attached to
debt securities issued.
The aggregate reference portfolio notional amounts are usually substantially higher
than the notional amounts of the credit default swaps and the nominal amounts of
the debt securities issued. This leverage increases the risk of loss to the Company
and, therefore, to the holders of debt securities.
Refer to note 23 “Fair Values” for further details.
2021 2020
€'000 €'000
Cash at bank 21 20
Derivative assets 4,020 3,042
Investment securities and total return swaps 469,217 481,201
Other assets 6,338 6,848
479,596 491,111
The credit risk is the risk of financial loss to the Company if the counterparty fails
to meet its contractual obligation and arises principally from investment securities.
The Company limits its exposure to credit risk by issuing notes that are linked to
its investment securities and total return swaps. If a credit event were to occur with
respect to any of the investment securities and the value of the security is not
sufficient to settle the Company's liabilities, any such losses would ultimately be
borne by the Company's holders of debt securities issued.
At the reporting date the credit quality of the Company's financial assets was as
shown in the next page:

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
48
21 Financial instruments (continued)
(b) Risk management framework (continued)
(i) Credit risk (continued)
Cash at bank
Company’s cash is held with Royal Bank of Scotland International which has a rating
of A- by S&P during the year (2020: A- by S&P).
Derivative assets
The Company has entered into asset swap transactions with swap counterparty to
eliminate the mismatch between the amount payable in respect of the debt securities
issued and the return from the investments securities and total return swaps held as
collateral.
The table below shows a breakdown of derivative financial instruments for each class
of debt securities issued.
Type of transaction Derivative 2021 2020
type €'000 €'000
Immunisation notes Asset swaps 4,020 3,042
On a series by series basis where there are various components of an asset swap
such as interest rate swap and currency swap with different values, the values of the
various components are disclosed on net basis.
The Company is exposed to the credit risk of the derivative counterparty with respect
to payments due under the derivatives. This risk is borne by the debt securities who
are subject to the risk of defaults by the swap counterparty as well as to the risk of
defaults of the investment securities and reference obligations under total return
swaps. The Company’s exposure and the credit rating of its counterparty are
continually monitored. DB London is the derivative counterparty. DB London is
currently long term rated by S&P as A- (2020: BBB+ by S&P).
Investment securities and total return swaps
At the reporting date, the credit quality and the asset concentration of the Company's
investment securities and total return swaps was as shown in the table on the next
page based on carrying amount in the statement of financial position.
None of the investments held were past due or defaulted during the year (2020:
None).

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
49
21 Financial instruments (continued)
(b) Risk management framework (continued)
(i) Credit risk (continued)
Investment securities and total return swaps (continued)
Type of
transaction
Collateral
type
Country of
issuance
Rating
Agency
Rating
2021
Rating
2020
2021
€'000
2020
€'000
Installment
Corporate Germany S&P BBB- BBB- 8,138 7,628
notes
bonds S&P ***NA ***NA 3,777 -
S&P ***NA ***NA 5,881 5,694
Moody's Aa1 Aa1 92,436 88,245
Moody's Aaa Aaa 51,079 47,293
Moody's ***NA ***NA - 3,849
Ireland S&P BBB+ BBB+ 61,051 61,400
Netherlands **S&P ***NA AA - 12,202
S&P BB+ BB+ 3,388 3,331
S&P BBB+ BBB+ 507 512
Spain S&P BBB+ BBB+ 1,355 1,418
United **S&P ***NA Aaa - 2,329
Kingdom S&P BBB- BBB- 26,428 25,517
United States S&P A- A- 2,837 2,931
of America S&P BBB+ BBB+ 30,260 29,467
**S&P ***NA BBB+ - 809
S&P NR NR 14,908 13,750
302,045 306,375
Government
Canada S&P AA AA 20,822 20,606
bonds
S&P AA- AA- 831 829
France S&P AA- AA- 15,767 16,913
Spain Fitch BBB- BBB- 35,632 36,370
Moody's Ba1 Ba1 2,523 2,649
Moody's Ba3 Ba3 1,865 1,719
Moody's Baa1 Baa1 57,973 62,049
Moody's Baa2 Baa2 30,130 31,848
165,543 172,983
Total return
swaps Germany *NR *NR *NR 1,629 1,843
Grand Total 469,217 481,201
*Not Rated
**Rating agency for 2020
***Not applicable

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
50
21 Financial instruments (continued)
(b) Risk management framework (continued)
(i) Credit risk (continued)
Investment securities and total return swaps (continued)
As per the terms and conditions of the SPM, some debt securities can only hold
collateral of a certain rating. If the rating of the collateral for these specific debt
securities goes below the required level, DB London as swap counterparty will
replace the collateral for those notes with eligible collateral.
For those investment securities in which ratings were not available on any market
sources, management assessed the associated credit risk based on the coupon
received on the investments and historical performance of the investment in terms
of default. During the year, no defaults occurred in respect of the investment
securities held and interests were received when paid, accordingly.
Other assets
The other assets mainly include income receivable from bonds held by the
Company as at the year end. The credit rating and concentration of the
investments securities and total return swaps at the year end are disclosed under
investment securities and total return swaps on the table in the previous page.
(ii) Liquidity risk
Liquidity risk is the risk that the Company will encounter difficulties in meeting
obligations arising from its financial liabilities that are settled by delivering cash or
another financial asset, or that such obligation will have to be settled in a manner
disadvantageous to the Company.
The Company’s obligation to the holders of debt securities of a particular series is
limited to the net proceeds upon realisation of the collateral of that series, i.e.
investment securities and derivatives. Should the net proceeds be insufficient to
make all payment obligations in respect of a particular series of debt securities,
the other assets held as collateral for remaining series of the Company are not
contractually required to be made available to meet payment and the deficit is
instead borne by the holders of debt securities and/or the swap counterparty
according to established priority of payment on any particular payment date.
The timing and amount of proceeds from realising the collateral of each series is
subject to market conditions.
There were no liquidity issues experienced by the Company or the swap
counterparty in respect to meeting its obligations to holders of debt securities
issued or to swap counterparty. The Company or the swap counterparty did not
default on any of its contractual commitments during the year.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
51
21 Financial instruments (continued)
(b) Risk management framework (continued)
(ii) Liquidity risk (continued)
The following are the contractual maturities of financial assets and liabilities including
undiscounted interest payments:
Carrying
amounts
Gross
contractual
cash flows
Less than
one year
One to
five years
More
than five
years
€'000 €'000 €'000 €'000 €'000
Cash at bank 21 21 21 - -
Investment securities
469,217 521,231 17,968 107,517 395,746
and total return swaps
Derivative assets
4,020 (9,755) 28,148 60,395 (98,298)
Other assets 6,338 6,338 6,338 - -
Derivative liabilities (282,519) (282,802) (31,484) (96,166) (155,152)
Debt securities issued (196,915) (234,871) (20,871) (71,746) (142,254)
Other liabilities (120) (120) (120) - -
42 42 - - 42
2021
Carrying
amounts
Gross
contractual
cash flows
Less than
one year
One to
five years
More
than five
years
€'000 €'000 €'000 €'000 €'000
Cash at bank 20 20 20 - -
Investment securities
481,201 541,899 35,823 100,081 405,995
and total return swaps
Derivative assets
3,042 14,674 2,624 57,044 (44,994)
Other assets 6,848 6,848 6,848 - -
Derivative liabilities (281,766) (282,048) (20,675) (71,355) (190,018)
Debt securities issued (209,175) (281,223) (24,512) (85,770) (170,941)
Other liabilities (128) (128) (128) - -
42 42 - - 42
2020

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
52
21 Financial instruments (continued)
(b) Risk management framework (continued)
(ii) Liquidity risk (continued)
*The gross contractual cash flow (GCF) of investment securities includes the notional
amount of existing investment securities and the undiscounted interest receipt. As of
statement of financial position date, GCF of investment securities is higher by
EUR 52,014k (2020: EUR 60,698k) compared to its carrying value. In the event of
maturity, difference will be accounted as net asset swap receivable from swap
counterparty.
**To the extent that there is a shortfall on the gross contractual cash flow after paying
the holders of debt securities, this shortfall will be borne by the derivative
counterparties.
***GCF of the debt securities issued includes the notional amount of the existing debt
securities issued and the undiscounted floating interest payable on debt securities
issued. As of statement of financial position date, GCF of debt securities is higher by
EUR 37,956k (2020: EUR 72,048k) compared to its carrying value. In the event of
maturity, difference will be accounted as net asset swap payable to swap counterparty.
Derivative liabilities represent asset swaps and credit default swaps. Refer to notes 5,
6 and 8 for maturity profile of derivatives, investments securities and total return swap
and debt securities issued, respectively.
The asset swaps have been entered into to hedge liquidity exposure on a series by
series basis.
(iii) Market risk
Market risk is the risk that changes in market prices, such as foreign exchange rates,
interest rates and other price risk will affect the Company’s income or the value of its
holdings of financial instruments.
The objective of the market risk management is to manage and control market risk
exposures within acceptable parameters while optimising the return on risk.
Foreign exchange risk and interest rate risk are economically hedged with the use of
currency swaps and interest rate swaps, respectively. Cross currency swaps are
incorporated in the asset swap, where applicable.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
53
21 Financial instruments (continued)
(b) Risk management framework (continued)
(iii) Market risk (continued)
Market risk embodies the potential for both losses and gains and includes currency risk,
interest risk and price risk.
Currency risk
The Company is exposed to movements in exchange rates between its functional
currency - Euro and foreign currency denominated financial instruments. At the
reporting date, the Company had the following exposure to foreign currency risk based
on the currency denomination of debt securities:
USD GBP USD GBP
€'000 €'000 €'000 €'000
Monetary assets
20 -
19 -
Investment securities 150,052 9,396
142,355 10,254
3,510 1,533 3,374 1,605
Net exposure 153,582 10,929 145,748 11,859
Other assets
Cash at bank
2021
2020
All debt securities issued are denominated in EUR as at 31 December 2021 and 2020.
Investment securities for series 49, 58, 61, 67, 73, 84, 90 and 141, some of the
investment securities for series 29, 53, 64, 76, 79, 80, 83, 100 and total return swaps
for series 61 are denominated in EUR as at the reporting date (2020: Series 29, 31, 32,
47, 49, 53, 58, 61, 64, 66, 73, 76, 84, 90, 100 and 141). Therefore, neither the Company
nor the holders of debt securities are exposed to currency risk for these particular
series.
At the reporting date, the investment securities for series 60, 82, 94, 104, some
investment securities for series 47, 53, 75, 79, 80, 83, 95 and 100 are denominated in
USD (2020: Series 53, 60, 67, 75, 79, 80, 82, 83, 94, 95, 100 and 104) whereas some
of the investment securities for series 29, 64, 75, 76, and 95 are denominated in GBP
(2020: Series 29, 64, 75, 76, and 95).
During the year, one of the investment securities for series 31, 32, 64, 66 and two of
the investment securities for series 47 have matured (2020: One of the investment
securities for series 47 and 173) and none of the investment securities was partially
redeemed (2020: One of the investment securities for series 60 and two of the
investment securities for series 84) while one of the investment securities for series 75
was fully redeemed (2020: Two of the investment securities for series 60 and one of
the investment securities for series 67). Out of all the series that matured and
redeemed, collateral replacements were made for series 47 (2020: Series 47 and 67).

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
54
21 Financial instruments (continued)
(b) Risk management framework (continued)
(iii) Market risk (continued)
Currency risk (continued)
The currency risk exposure of the Company and the holders of debt securities is
eliminated on a series by series basis in cases where the debt security and its
associated financial assets are denominated in different currencies due to the
existence of a cross currency swap forming part of an asset swap agreement.
The following exchange rates were applied during the year:
2021 2020 2021 2020
USD 1.183 1.142 1.137 1.223
GBP 0.860 0.889 0.840 0.895
Average rate
Closing rate
Sensitivity analysis
A 10% increase / decrease in the USD and GBP foreign exchange rate would result
in an increase / decrease of EUR 15,052k (2020: EUR 14,236k) and EUR 940k
(2020: EUR 1,025k) in the market value of the USD and GBP denominated investment
securities, respectively. Whereas there is no impact on all debt securities issued as
these are denominated in EUR as at 31 December 2021 and 2020. The net impact of
the foreign exchange rate changes is nil due to the existence of the cross currency
swaps.
Interest rate risk
The Company classified the instruments as fixed interest rate when the assigned rate
remains fixed for the entire term of the instrument. Floating interest rate were
assigned for the instruments with rates that were based from the market benchmark.
The instruments were classified as structured variable interest rate when the rate
changes over the period.
At the reporting date, the interest rate risk profile of the Company's non derivative
interest bearing financial instruments by class of debt security issued was shown in
in the succeeding pages.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
55
21 Financial instruments (continued)
(b) Risk management framework (continued)
(iii) Market risk (continued)
Interest rate risk (continued)
Investment securities and total return swaps
Class of investment security based on Currency 2021 2020
debt securities issued €'000 €'000
Fixed rate instruments:
Installment notes EUR 203,483 226,343
Installment notes GBP 9,396 10,254
Installment notes USD 93,488 90,330
306,367 326,927
Variable rate instruments:
Installment notes USD 53,882 48,366
Installment notes EUR 96,905 93,389
150,787 141,755
Installment notes EUR 9,381 8,861
Installment notes USD 2,682 3,658
12,063 12,519
Grand total 469,217 481,201
Zero rated instruments:
Debt securities issued
Class of debt securities issued Currency 2021 2020
€'000 €'000
Variable rate instruments:
Installment notes EUR 196,915 209,175
Refer to note 6 and 8 for the maturity profile of investment securities, total return swaps
and debt securities, respectively. The Company manages its interest rate risk by
entering into swap agreements.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
56
21 Financial instruments (continued)
(b) Risk management framework (continued)
(iii) Market risk (continued)
Interest rate risk (continued)
Sensitivity analysis
A 100 basis point increase or decrease represents management's assessment of a
reasonably possible change in interest rates.
A 100 basis point increase in interest rates (using the average nominal for the year)
would have resulted in an increase of interest expenditure payable on the debt
securities issued of EUR 1,969k for the year (2020: EUR 2,092k). Under the same
conditions, the coupon income receivable from variable / floating rated investment
securities would have increased by EUR 1,493k (2020: EUR 1,615k) for the same
period. A similar 100 basis point decrease in interest rates would have resulted in an
equal, but opposite effect on interest expenditure and interest income, respectively.
The net impact of the interest rate changes is nil due to the existence of the
derivatives. If interest rates increased, the fair value of the fixed rate and zero coupon
debt instruments that are assets would fall. Given that the debt securities return is
linked to the return generated by the financial assets due to the limited recourse
nature of the debt securities issued by the Company, there would be a similar
offsetting adjustment to the fair value of the debt securities, and therefore the net
impact on the company would be negligible.
The Company does not bear any interest rate risk as the interest rate risk associated
with the debt securities issued by the Company is neutralised by entering into swap
agreements whereby the swap counterparty pays the Company amounts equal to the
interest payable to the holders of the debt securities issued by the Company in return
for the interest earned by the Company on its investment securities and total return
swaps. Therefore any change in the interest rates would not affect the equity or the
statement of comprehensive income of the Company.
Other price risk
Other price risk is the risk that value of the instruments will fluctuate as a result of
changes in market prices (other than those arising from interest rate risk or currency
risk), whether caused by factors specific to an individual investment, its issuer or all
factors affecting all instruments traded in the market.
Other price risk may include risks such as equity price risk, commodity price risk,
repayment risk (i.e. the risk that one party to a financial asset will incur a financial loss
because the other party repays earlier or later than expected), and residual value risk.
Refer to page 55 for the breakdown of the Company’s investment securities and total
return swaps by class of debt securities issued at the reporting date.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
57
21 Financial instruments (continued)
(b) Risk management framework (continued)
(iii) Market risk (continued)
Other price risk (continued)
Sensitivity analysis
The market price of the investment securities will generally fluctuate with, among other
things, the liquidity and volatility of the financial markets, general economic conditions,
political events, developments or trends in a particular industry and the financial
conditions of the securities issuer.
Inflation Linked / Fixed / Variable Rated debt securities
If the market value of the collateral increases, the swap counterparty and the holders
of debt securities are entitled to the resulting gains and if the market value of the
collateral decreases, the swap counterparty and the holders of debt securities bear the
losses. This split is dependent on who has priority of payment in these circumstances
as disclosed in the relevant terms and conditions of a particular series.
Any changes in the quoted prices or unquoted prices of the investment securities held
by the Company would not have any effect on the equity or profit or loss of the Company
as any fair value fluctuations are ultimately borne by either the swap counterparty
and/or the holders of the debt securities issued by the Company.
If the market prices of the investment securities and total return swaps at 31 December
2021 and 31 December 2020 held by the Company had increased or decreased by
10% with all other variables held constant, this would have increased or reduced the
carrying value of the debt securities issued by the Company EUR 46,922k
(2020: EUR 48,120k), thus, the net impact on the valuation changes as a result of
market price movements is nil.
(c) Operational risk
Operational risk is the risk of direct or indirect loss arising from a wide variety of causes
associated with the Company's processes, personnel and infrastructure, and from factors
other than credit, market and liquidity risk such as those arising from legal and regulatory
requirements and generally accepted standards of corporate behaviour.
The Company has no employees and all corporate administration services are provided by
Vistra under the terms of a Corporate Services Agreement. Vistra manages the operational
risk on behalf of the Company by requiring all of its employees to comply with Group policies
and procedures to ensure compliance with all applicable laws and regulations.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
58
22 Specific instruments
(a) Asset backed investment securities and total return swaps
In the event of an issuance of a credit event notice with respect to the underlying asset
backed investment securities and total return swaps, the principal amount of each of the
debt securities is to be reduced in proportion to the nominal reduction of the carrying value
of the investment securities and total return swaps, as defined in the SPM for each series.
In the event that the principal amount of each debt security has been reduced to zero, the
debt securities shall be deemed to be redeemed at a redemption amount of zero. The
aggregate liability of the Company under the SPM for individual series shall not exceed
the aggregate value of the Eligible Securities for those Series.
In the Directors’ opinion, based on advice from the swap counterparty and the fact that no
payment calls have been made since year end, no provision for default is deemed
necessary.
(b) Profile of the debt securities issued by the Company
The following are the categories as at 31 December 2021:
Type of
transaction
Number
of series
Cash at
bank
% €'000 €'000 % €'000
Installment notes
26
100.00%
196,915
100.00%
21
100.00%
469,217
Debt
securities
Investment
securities
and total
return swaps
Type of
transaction
% €'000 €'000 % €'000 % €'000
Installment notes 100.00%
4,020
100.00%
282,519
100.00%
6,339
100.00%
120
Derivative
assets
Derivative
liabilities
Other
assets
Other
liabilities

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
59
22 Specific instruments (continued)
(b) Profile of the debt securities issued by the Company (continued)
The following are the categories as at 31 December 2020:
Type of
transaction
Number
of series
Cash at
bank
% €'000 €'000 % €'000
Installment notes
26
100.00%
209,175
100.00%
20
100.00%
481,201
Debt
securities
Investment
securities
and total
return swaps
Type of
transaction
% €'000 €'000 % €'000 % €'000
Installment notes 100.00%
3,042
100.00%
281,766
100.00%
6,848
100.00%
128
Other
liabilities
Derivative
assets
Derivative
liabilities
Other
assets
23 Fair values
The Company’s investment securities and total return swaps, derivative financial instruments
and debt securities issued are carried at fair value on the statement of financial position. Usually,
the fair value of the financial instruments can be reliably determined within a reasonable range
of estimates. The carrying amounts of all the Company’s financial assets and financial liabilities
carried at amortised cost at the reporting date approximated their fair values.
These disclosures supplement the commentary on financial risk management (see note 21).
Determining fair values
The determination of fair value for financial assets and liabilities for which there is no observable
market price requires the use of valuation techniques as described in accounting policy 3(b)
under the sub heading “Fair value measurement principles”. 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 risks affecting the specific instrument.
The Company’s accounting policy on fair value measurements is discussed under note 3(b)
under the sub heading “Fair value measurement principles”. Critical accounting judgments made
in applying the Company’s accounting policies in relation to valuation of financial instruments
are as follows:

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
60
23 Fair values (continued)
Valuation of financial instruments
The financial instruments carried at fair value have been categorized under the three levels of
the IFRS fair value hierarchy as follows:
▪ Level 1 – Instruments valued using quoted prices in active markets are instruments where
the fair value can be determined directly from prices which are quoted in active, liquid
markets and where the instrument observed in the market is identical to that being priced
in DB London’s inventory.
▪ Level 2 – Instruments valued with valuation techniques using observable market data are
instruments where the fair value can be determined by reference to similar instruments
trading in active markets, or where a technique is used to derive the valuation but where all
inputs to that technique are observable.
▪ Level 3 – Instruments valued using valuation techniques using market data which is not
directly observable are instruments where the fair value cannot be determined directly by
reference to market-observable information, and some other pricing technique must be
employed. Instruments classified in this category have an element which is unobservable
and which has a significant impact on the fair value.
Valuation Techniques
The following is an explanation of the valuation techniques used in establishing the fair value of
the different types of financial instruments of the Company.
Investment securities and total return swaps: Where there are no recent transactions then fair
value may be determined from the last market price adjusted for all changes in risks and
information since that date. Where a close proxy instrument is quoted in an active market then
fair value is determined by adjusting the proxy value for differences in the risk profile of the
instruments. These securities are categorized as Level 1 or 2 in the fair value hierarchy.
Fair value is estimated using more complex modelling techniques where close proxies are not
available. These techniques include option pricing model and correlation pricing model using
current market rates for credit, interest, liquidity and other risks. These securities are categorized
as Level 3. Refer to Quantitative Information about the Sensitivity of Significant Unobservable
Inputs on page 69 to 72 for additional details on Level 3 valuation techniques.
Derivative Financial Instruments: Market standard transactions in liquid trading markets, such
as interest rate swaps, foreign exchange forward and option contracts in G7 currencies, and
equity swap and option contracts on listed securities or indices are valued using market standard
models and quoted parameter inputs. Parameter inputs are obtained from pricing services,
consensus pricing services and recently occurring transactions in active markets wherever
possible. More complex instruments are modelled using more sophisticated modelling
techniques specific for the instrument and are calibrated to available market prices. These
instruments are categorised as Level 2 in the fair value hierarchy.
For Level 3 instruments, the model output value does not calibrate to a relevant market
reference, valuation adjustments are made to the model output value to adjust for any difference.
In less active markets, data is obtained from less frequent market transactions, broker quotes
and through extrapolation and interpolation techniques.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
61
23 Fair values (continued)
Valuation Techniques (continued)
Where observable prices or inputs are not available, management judgement is required to
determine fair values by assessing other relevant sources of information such as historical data,
fundamental analysis of the economics of the transaction and proxy information from similar
transactions. Refer to Quantitative Information about the Sensitivity of Significant Unobservable
Inputs on page 69 to 72 for additional details on Level 3 valuation techniques
Debt securities issued at fair value through profit and loss: The fair value of debt securities
issued at fair value through profit and loss is dependent upon the fair value of investment
securities and derivative financial instruments. Any changes in the valuation have direct impact
to the fair value of debt securities issued.
For more complex Level 3 instruments, more sophisticated modelling techniques are required
which usually are developed from recognised valuation models. Some or all of the significant
inputs into these models may not be observable from the market and are derived from market
prices or rates or are estimated based on assumptions or more complex parameters.
Where no observable information is available to support the valuation models then they are
based on other relevant sources of information such as prices for similar transactions, historic
data, economic fundamentals, and research information, with appropriate adjustment to reflect
the terms of the actual instrument being valued and current market conditions.
Valuation models that employ significant unobservable inputs require a higher degree of
management judgement and estimation in the determination of fair value. When determining the
appropriate valuation model to be used, management selects which valuation technique makes
the least adjustment to the inputs used, analyse the range of values indicated by the techniques
used and whether they overlap and check the reasons for the differences in value under different
techniques. Depending on the circumstances, one valuation model might be more appropriate
than another. Management decides the valuation model to be used based on the provisions
indicated in the swap agreements. Some factors that are considered includes information that
is reasonably available, the market conditions, the type of investment, expected future cash
flows on the financial instrument being valued, determination of probability of counterparty
default and discount rates.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
62
23 Fair values (continued)
Valuation Techniques (continued)
At the reporting date, the carrying amounts of investment securities and total return swaps
derivative financial instruments and debt securities issued by the Company which fair
values were determined directly, in full or in part, by reference to published price
quotations and determined using valuation techniques are as follows:
Level 1 Level 2 Level 3 Total
€'000 €'000 €'000 €'000
Investment securities and total
return swaps
Corporate bonds - 257,252 44,793 302,045
Government bonds
- 145,388 20,155 165,543
Total return swaps
- - 1,629 1,629
- 402,640 66,577 469,217
Derivative financial assets
Asset swaps - - 4,020 4,020
Derivative financial liabilities
Asset swaps - (156,333) (126,186) (282,519)
Debt securities issued
Installment notes - (95,407) (101,508) (196,915)
- 150,900 (157,097) (6,197)
2021

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
63
23 Fair values (continued)
Valuation Techniques (continued)
Level 1 Level 2 Level 3 Total
€'000 €'000 €'000 €'000
Investment securities and total
return swaps
Corporate bonds - 165,323 141,052 306,375
Government bonds
- 80,681 92,302 172,983
Total return swaps
- - 1,843 1,843
- 246,004 235,197 481,201
Derivative financial assets
Asset swaps - - 3,042 3,042
Derivative financial liabilities
Asset swaps - (118,546) (163,220) (281,766)
Debt securities issued
Installment notes - (58,156) (151,019) (209,175)
- 69,302 (76,000) (6,698)
2020
As at 31 December 2021, the Company’s Level 3 investment securities comprised of
corporate and government bonds. These were priced using unobservable market data.
Refer to pages 64 and 70 to 72 for valuation techniques and inputs used to determine the
fair value of Level 2 and Level 3 positions.
Total return swaps which consists of underlying asset backed financial instruments was
classified as Level 3 for series 61. The instruments are valued using a valuation technique
that involves significant unobservable inputs and no active market information is available.
Derivative financial instruments classified as Level 3 involves asset swap and other over
the counter derivative instruments where the fair value measurements were based on
unobservable inputs and no active market data available for similar instruments.
Debt securities issued are traded in the institutional market and the prices for these at year
end can be obtained from market sources. Notwithstanding that a quoted market price
exists for these, the Directors have concluded that the debt securities are not actively
traded due to the limited liquidity that exists in the market.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
64
23 Fair values (continued)
Valuation Techniques (continued)
As a result, the levelling of debt securities is dependent on the levelling of the investment securities,
total return swaps and derivative financial instruments. Debt securities are classified in the lowest
level observed of the assets and derivatives on a series by series basis.
No transfers occurred between Level 1 to Level 2 during the year (2020: No transfers).
The table below sets out information about significant observable inputs used in measuring
financial instruments categorised as Level 2 in the fair value hierarchy:
Fair value
2021
€'000
Fair value
2020
€'000
Valuation technique
Significant
observable input
Corporate bonds 257,252 165,323 *Market Approach
Market Price
Government bonds 145,388 80,681 *Market Approach
Market Price
402,640 246,004
Derivative financial instruments
Asset swaps (158,936) (124,234)
**Discounted Cash
Flow Model
Interest Rate Curve
4,715 7,874
**Discounted Cash
Flow Model
FX Forward Curve
(2,112) (2,186) ***Option Pricing Model
Volatility
(156,333) (118,546)
Type of financial
instrument
Investment securities and
total return swaps
*Market Approach – Market based prices exist for each individual instrument at product level for
an identical or similar asset. The valuation inputs are directly supported by current market
transactions or quoted prices but direct observations are not sufficient to conclude an active market.
**Discounted Cash Flow Model – This model projects future cash flows and discounts the future
amounts to a present value using market-based observable inputs including interest rate curves,
credit spreads, foreign exchange rates, forward and spot prices for currencies and inflation curves.
***Option Pricing Model – Uses variables (stock price, exercise price, volatility, interest rate, time
to expiration) to theoretically value an option.
Transfers in and out of Level 3 are recorded at the beginning of the year. For instruments
transferred out of Level 3, the below table shows no gains and losses and cash flows on the
instruments as they have been transferred at the beginning of the year.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
65
23 Fair values (continued)
Valuation Techniques (continued)
The below table shows the roll-forward movements for investments securities and total
return swaps classified under valuation techniques unobservable parameter (Level 3):
2021 2020
€'000 €'000
Opening balance
235,197 284,049
Maturities
- (27,000)
Redemptions
- (44,656)
Transfers in
18,632 21,102
Transfers out
(186,268) -
Fair value movements
(984) 1,702
Closing balance
66,577 235,197
During the year, one investment securities for series 73 and 84 (2020: Some investment
securities for series 79, 80 and 83) were transferred from Level 2 to Level 3 due to lack of
observable inputs and unavailability of data for similar instruments while some investment
securities for series 47, 49, 53, 58, 64, 76, 79, 80, 83, 90 and 100 were transferred out of
Level 3 as all significant inputs relevant to the derivative series model are now observable
(2020: None).
No series matured (2020: Series 173) nor was fully redeemed (2020: One of the
investment securities for series 60) and no series was partially redeemed (2020: One of
the investment securities for series 84).
Fair value movements are recognised under net gain on investment securities and total
return swaps in the statement of comprehensive income.
The below table shows the roll-forward movements for derivative financial assets
classified under valuation techniques unobservable parameter (Level 3):
2021 2020
€'000 €'000
Opening balance
3,042 2,826
Additions
12,045 -
Fair value movements
(11,067) 216
Closing balance
4,020 3,042

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
66
23 Fair values (continued)
Valuation Techniques (continued)
During the year, no series matured (2020: No series) nor redeemed (2020: No series). As
at 31 December 2021, there were no instruments that were transferred out of Level 3 due
to having observable market data (2020: No series) and no instruments were transferred
from Level 2 to Level 3 due to lack of unobservable inputs and unavailability of market
data for similar instruments (2020: No series) while there were additional asset swaps for
series 31, 32 and 66 as at 31 December 2021 (2020: None).
The below table shows the roll-forward movements for derivative financial liabilities
classified under valuation techniques unobservable parameter (Level 3):
2021 2020
€'000 €'000
Opening balance
(163,220) (160,217)
Redemtion
562 -
Transfers in
(2,247) -
Transfers out
33,114 -
Fair value movements
5,605 (3,003)
Closing balance
(126,186) (163,220)
During the year, derivative liabilities for series 29 was transferred from Level 2 to Level 3
due to lack of observable inputs and unavailability of data for similar instruments
(2020: No series) whereas series 58, 75 and 76 with derivative liabilities were transferred
out of Level 3 (2020: No series) as all significant inputs relevant to the derivative series
model are now observable. As at year end, one of the derivative liabilities for series 75
was fully redeemed (2020: None).
Fair value movements are recognised under net (loss) / gain on derivative financial
instruments in the statement of comprehensive income.
The below table shows the roll-forward movements for debt securities issued classified
under valuation techniques unobservable parameter (Level 3):
2021 2020
€'000 €'000
Opening balance
(151,019) (202,443)
Maturities
8,842 36,909
Transfers in
(571) -
Transfers out
45,071 20,212
Fair value movements
(3,831) (5,697)
Closing balance
(101,508) (151,019)

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
67
23 Fair values (continued)
Valuation Techniques (continued)
During the year, no series fully matured (2021: Series 173). The following series classified
as Level 3 are amortising series, thus part of its balances have matured: 31, 32, 53, 61,
64, 66, 67, 76, 79, 80, 83, 84, 95, 100 and 141 (2020: Series 31, 32, 53, 61, 64, 66, 67,
76, 79, 80, 83, 84, 95, 100 and 141) while no series was fully or partially redeemed
(2020: No series). As at 31 December 2021, series 29 was transferred from Level 2 to
Level 3 (2020: No series) whereas series 49, 58, 64, 75 and 76 were transferred to
Level 2 (2020: Series 60).
If any of the investment securities, total return swaps, derivative assets and derivative
liabilities are classified as using significant unobservable parameters (Level 3), the related
debt security will be classified as Level 3.
Fair value movements are recognized under net finance loss on debt securities issued in
the statement of comprehensive income.
Level 3 Realised and Unrealised Gains and Losses
The total amount of realised and unrealised gain / loss estimated using a valuation
technique based on significant unobservable data (Level 3) that was recognised in
statement of comprehensive income for the year is as follows:
2021 2020
€'000 €'000
Investment securities and total return swaps (984) 1,702
Derivative financial instruments (5,462) (2,787)
Debt securities issued (3,831) (5,697)
(10,277) (6,782)
The total amount of change in fair value (unrealised gain/loss) estimated using valuation
techniques based on significant unobservable data (Level 3) for assets and liabilities held
at the end of the reporting period is set out below:
2021 2020
€'000 €'000
Investment securities and total return swaps (214) (71)
Derivative financial instruments (5,462) (2,787)
Debt securities issued (4,233) (9,975)
(9,909) (12,833)

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
68
23 Fair values (continued)
Valuation Techniques (continued)
Although the Directors believe that their estimates of fair value are appropriate, the use of
different methodologies or assumptions could lead to different measurement of fair value as
fair value estimates are made at a specific point in time, based on market conditions and
information about the financial instrument. These estimates are subjective in nature and
involve uncertainties and matters of significant judgement. Details in relation to the
unobservable inputs used have been noted above and therefore their associated fair value
cannot be determined with precision.
For recognised fair values measured using significant unobservable inputs, changing one or
more assumptions used to reasonably possible alternative assumptions would not have any
effect on the profit or loss or on equity as any change in fair value will be borne by the holders
of debts securities issued due to the limited recourse nature of debt securities issued by the
Company.
Sensitivity Analysis of Unobservable Parameters
Where the value of financial instruments is dependent on unobservable parameter inputs,
the precise level for these parameters at the statement of financial position date might be
drawn from a range of reasonably possible alternatives.
In preparing the financial statements, appropriate levels for these unobservable input
parameters are chosen so that they are consistent with prevailing market evidence and in
line with the Company’s approach to valuation control. Were the Company to have marked
the financial instruments concerned using parameter values drawn from the extremes of the
ranges of reasonably possible alternatives then as of 31 December 2021 it could have
increased fair value by as much as EUR 1,175k (2020: EUR 5,650k) or decreased fair value
by as much as EUR (1,175k) (2020: EUR (5,650k)).
This disclosure is intended to illustrate the potential impact of the relative uncertainty in the
fair value of financial instruments for which valuation is dependent on unobservable input
parameters. However, it is unlikely in practice that all unobservable parameters would be
simultaneously at the extremes of their ranges of reasonably possible alternatives. Hence,
the estimates disclosed above are likely to be greater than the true uncertainty in fair value
at the balance sheet date. Furthermore, the disclosure is neither predictive nor indicative of
future movements in fair value.
For many of the financial instruments considered here, in particular derivatives, unobservable
input parameters represent only a subset of the parameters required to price the financial
instrument, the remainder being observable. Hence for these instruments the overall impact
of moving the unobservable input parameters to the extremes of their ranges might be
relatively small compared with the total fair value of the financial instrument. For investment
securities, fair value is determined based on the price of the entire instrument, for example,
by adjusting the fair value of a reasonable proxy instrument. In addition, all financial
instruments are already carried at fair values which are inclusive of valuation adjustments for
the cost to close out that instrument and hence already factor in uncertainty as it reflects itself
in market pricing. Any negative impact of uncertainty calculated within this disclosure, then,
will be over and above that already included in the fair value contained in the financial
statements.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
69
23 Fair values (continued)
Valuation Techniques (continued)
Quantitative Information about the Sensitivity of Significant Unobservable Inputs
The behaviour of the unobservable parameters on Level 3 fair value measurement is not
necessarily independent, and dynamic relationships often exist between the other unobservable
parameters and the observable parameters. Such relationships, where material to the fair value
of a given instrument, are explicitly captured via correlation parameters, or are otherwise
controlled via pricing models or valuation techniques. Certain inputs used in valuation
techniques often impact the range of possible values for other inputs.
The range of values shown on the following table represents the highest and lowest inputs used
to value the significant exposures within Level 3. The diversity of financial instruments that make
up the disclosure is significant and therefore the ranges of certain parameters can be large. The
range of credit spreads represents performing, more liquid positions with lower spreads then the
less liquid, nonperforming positions which will have higher credit spreads. As Level 3 contains
the less liquid fair value instruments, the wide ranges of parameters seen is to be expected, as
there is a high degree of pricing differentiation within each exposure type to capture the relevant
market dynamics. There follows a brief description of each of the principle parameter types.
Interest rates, credit spreads, inflation rates, foreign exchange rates and equity prices are
referenced in some option instruments, or other complex derivatives, where the payoff a holder
of the derivative will receive is dependent upon the behaviour of these underlying references
through time.
Sensitivity calculation of unobservable parameters for Level 3 aligns to the approach used to
assess valuation uncertainty for Prudent Valuation purposes which is used by DB London as
swap counterparty. Prudent Valuation is a capital requirement for assets held at fair value. It
provides a mechanism for quantifying and capitalizing valuation uncertainty in accordance with
the European Commission Delegated Regulation (EU) 2016/101, which supplements Article 34
of Regulation (EU) No. 2019/876 (CRR), requiring institutions to apply as a deduction from *CET
1 for the amount of any additional valuation adjustments on all assets measured at fair value
calculated in accordance with Article 105 (14). This utilizes exit price analysis performed for the
relevant assets and liabilities in the Prudent Valuation assessment. The downside sensitivity
may be limited in some cases where the fair value is already demonstrably prudent.
* Common Equity Tier-1 (CET 1) - Ratio of the Bank in relation to risk-weighted assets.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
70
23 Fair values (continued)
Valuation Techniques (continued)
Quantitative Information about the Sensitivity of Significant Unobservable Inputs
(continued)
The table below sets out information about significant unobservable inputs used or
observability in the market test at year end in measuring financial instruments categorised
as Level 3 in the fair value hierarchy:
Fair value
2021
€'000
Valuation
technique
Significant
unobservable
input
Range of
estimates for
unobservable
input
Corporate bonds 44,793 *Z Spread bond
Z spreads 61.8 bps to
valuation
92 bps
Government bonds 15,767 **Market Approach
Market Price 114.92% yo
122.14%
1,865 **Market Approach
Market Price
121.33% to
125.20%
2,523 **Market Approach
Market Price
167.94% to
178.40%
Total return swaps 1,629 ***Risk Based
Credit Spread 101.07 bps to
Delta (bps) 198.93 bps
66,577
Derivative financial instruments
Asset swaps (117,558) ****Option Credit Spread 111.65 bps to
Pricing Model
(bps) 123.15 bps
(2,376) ***Risk Based
Credit Spread
Delta (bps)
101.07 bps to
198.93 bps
(2,232) ***Risk Based
Interest Rate *****-
(122,166)
Type of financial
instrument
Investment securities
and total return swaps

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
71
23 Fair values (continued)
Valuation Techniques (continued)
Quantitative Information about the Sensitivity of Significant Unobservable Inputs
(continued)
Fair value
2020
€'000
Valuation
technique
Significant
unobservable
input
Range of
estimates for
unobservable
input
Corporate bonds 96,614 **Market Approach
Market Price
69.86% to
137.74%
44,438 *Z Spread bond
Z spreads 61.8 bps to
valuation
92 bps
Government bonds 92,302 **Market Approach
Market Price
145.48% to
176.58%
Total return swaps 1,843 ***Risk Based
Credit Spread 96.72 bps to
Delta (bps) 106.90 bps
235,197
Derivative financial instruments
Asset swaps (110,851) ****Option Credit Spread 1.54% to
Pricing Model
(bps) 1.62%
(21,589) ***Risk Based
Credit Spread
Delta (bps)
31.69 bps to
38.32 bps
(1,741) ***Risk Based
Credit Spread
Delta (bps)
47.18 bps to
51.67 bps
(15,651) ***Risk Based
Credit Spread
Delta (bps)
96.72 bps to
106.90 bps
(10,346) ***Risk Based
Credit Spread
Delta (bps)
126.14 bps to
126.14 bps
(160,178)
Investment securities
and total return swaps
Type of financial
instrument
* Z-Spread Bond Valuation – the Z-spread is the basis point spread that would need to be
added to the implied spot yield curve such that the discounted cash flows of the bond are
equal to its present value (its current market price). Each bond cash flow is discounted by
the relevant spot rate for its maturity term. These are highly illiquid and unobservable.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
72
23 Fair values (continued)
Valuation Techniques (continued)
Quantitative Information about the Sensitivity of Significant Unobservable Inputs (continued)
**Market Approach – Inputs from broker quotes that are indicative or not corroborated by
observable market data. Prices obtained from a single broker or pricing service are indicative
values or proxy quotes which represent Level 3 inputs. These instruments have limited trading
information and have no additional supporting information (such as multiple broker quotes) to
determine observability.
***Risk Based – Using SAP BO / Credit Sigma tool to test the standalone risk of a particular
trade. This includes parameters like credit spread delta which is unobservable.
****Option Pricing Model – Uses Monte Carlo methods to calculate the value of an option with
multiple sources of uncertainty or with complicated features. Monte Carlo valuation relies on a
risk neutral valuation where the price of the option is its discounted value. The steps taken in
the process are the following (1) to generate a large number of possible, but random, price paths
for the underlying (or underlyings) via simulation and (2) to then calculate the associated
exercise value (i.e. "payoff") of the option for each path. (3) These payoffs are then averaged
and (4) discounted to today. The result is the value of the option.
*****Unobservable due to unapproved Product Model combination.
24 Interest in other entities
(a) Disclosure of the nature, purpose, size and activities of the structured entity and how
it is financed
The Company invested in debt securities issued by structured entities. These structured
entities have the following business activities:
AyT Cédulas Cajas Global, Fondo de Titulización de Activos is an assets securitization fund
that was incorporated in Spain. This entity issued several classes of notes with total
aggregate principal amount of EUR 5,400,000k. The Fund was established in order to
attract funding from Issuers, through securitization of certain receivables through the
issuance of mortgage bonds before the establishment of the Fund in the balance sheet of
the Originator as Mortgage Bonds or Assets. As at year end, the Company owns EUR
1,200,000 (0.02%) of the note issued by AyT Cédulas Cajas Global, Fondo de Titulización
de Activos, which is due on 30 June 2025.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
73
24 Interest in other entities (continued)
(a) Disclosure of the nature, purpose, size and activities of the structured entity and
how it is financed (continued)
GE Capital UK Funding is a special purpose entity which operates as a financial services
company in Ireland. It is formed for the purpose of financing and funding the operations
of its affiliated companies. This entity issued several classes of notes with total aggregate
principal amount of GBP 425,000k. As at year end, the Company owns GBP 2,725k
(0.64%) of the note issued by GE Capital UK Funding, which is due on 24 May 2023.
The Company has no contractual arrangements nor commitments or intentions to
provide financial or other assistance to the unconsolidated structured entities.
(b) Risk associated with unconsolidated structured entities
The below table summarises the Company’s interest in unconsolidated structured
entities included in the investment securities classified at fair value through profit and
loss as at 31 December:
Outstanding
nominal of
investment
securities
% of Notional
issued by the
issuer
Fair value of
investment
securities
Fair value of
debt
securities
Maximum
exposure
to loss
€'000 €'000 €'000 €'000
S0029 EUR
1,200 0.02% 1,355 571 1,355
S0064 GBP
1,835 0.43% 2,297 26,761 2,297
S0076 GBP
890 0.21% 1,114 4,323 1,114
3,925 4,766 31,655 4,766
Series
number
Issuer
CCY
2021
AyT Cédulas
Cajas Global,
Fondo de
Titulización de
Activos
GE Capital
UK Funding
GE Capital
UK Funding
The Company has maximum exposure to the risk associated with the carrying value of
the above investments. If these investments are deemed worthless, the Company will
not receive anything. The Company bears no risk and it is the swap counterparty and
holders of debt securities that bear all the risk. Refer to note 21(b)(i) for the details on
credit risk.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
74
24 Interest in other entities (continued)
(b) Risk associated with unconsolidated structured entities (continued)
Outstanding
nominal of
investment
securities
% of Notional
issued by the
issuer
Fair value of
investment
securities
Fair value of
debt
securities
Maximum
exposure
to loss
€'000 €'000 €'000 €'000
S0029 EUR
1,200 0.02% 1,418 608 1,418
S0064 GBP
1,835 0.43% 2,252 29,751 2,252
S0076 GBP
890 0.21% 1,092 4,534 1,092
3,925 4,762 34,893 4,762
AyT Cédulas
Cajas Global,
Fondo de
Titulización de
Activos
GE Capital
UK Funding
GE Capital
UK Funding
Series
number
Issuer
CCY
2020
25 Subsequent events
On February 24, 2022, Russia commenced a large-scale invasion against Ukraine. In
response, the West has moved to impose broad-based sanctions targeting Russia, including
but not limited to certain Russian banks and the Russian Central Bank, companies,
parliamentary members and members of the Russian elite and their families. It is possible that
additional sanctions and other measures may be imposed in the future.
The Board and DB London considers the impact of the ongoing situation concerning Ukraine
to the Company’s performance and its ability to continue as a going concern. As of 31
December 2021, the Company had no investment securities that were directly or indirectly
impacted by sanctions relating to Russia or the conflict in Ukraine. The Company’s
performance and its operation have not been significantly impacted by this conflict nor its ability
to continue as a going concern. The Board and DB London will continue to monitor the evolving
situation and its impact on the Company.
Since the end of the reporting period, the Company has not issued any new series of debt
securities, no maturities and no repurchases have been made. Other than the
abovementioned, there were no other significant events after the reporting period up to the
date of the approval of the financial statements which require adjustment to or disclosure in
the financial statements.

CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2021
75
26 Capital management
The Company views the current debt securities issued as its capital. The Company is a special
purpose vehicle set up to issue debt instrument for the purpose of making investments that
maximizes the returns of the holder of debt securities, as defined under the base prospectus.
The debt securities issued amounting to EUR 196,915k (2020: EUR 209,175k) uses the fair
value of the investments securities and total return swaps amounting to EUR 469,217k
(2020: 481,201k), derivative financial assets amounting to EUR 4,020k (2020: EUR 3,042k)
and derivative financial liabilities amounting to EUR 282,519k (2020: EUR 281,766k) to hedge
the economic risk to capital. Share capital of EUR 3 was issued and is not used for financing
the investment activities of the Company. The Company is not subject to any other externally
imposed capital requirements.
27 Approval of financial statements
The financial statements were approved and authorised for issue by the Board on
29 April 2022.