CLASS Limited
Directors’ report and
Financial Statements
For the year ended
31 December 2024
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 – 16
Financial Statements
Statement of Financial Position 17
Statement of Comprehensive Income 18
Statement of Cash Flows 19
Statement of Changes in Equity 20
Notes to the Financial Statements 21 – 73
CLASS LIMITED
Directors and other information
1
Directors Marc Harris
Viscom Services Limited
Visdirect Services Limited
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 2024.
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 2024, 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 30,572k
(2023: Net gain of EUR 21,611k) for the year and a net loss on derivative financial instruments of
EUR 18,367k (2023: Net loss of EUR 7,663k). 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 12,205k (2023: net finance loss of
EUR 13,948k) resulting to a nil profit for the year ended 31 December 2024 (2023: Nil). Refer to
notes 12, 13 and 14 of the financial statements for further information.
As at 31 December 2024, the fair value of the Company’s total debt securities issued was
EUR 135,531k (2023: EUR 141,831k). There were no new series issued during the year (2023: No
issuance). Refer to note 8 for further details.
During the year, no series matured (2023: No series) and no series was redeemed (2023: 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 (2023: 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).
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 (2023: Nil).
Results and dividends for the year
The results for the year are set out on page 18. The Directors do not recommend the payment of a
dividend for the year under review (2023: 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
Viscom Services Limited
Visdirect Services Limited
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.
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.
CLASS LIMITED
Directors’ Report (continued)
5
Risks and uncertainties (continued)
Conflict between Russia and Ukraine
On 24 February 2022, Russia commenced a large-scale invasion against Ukraine. In response, the
West has imposed 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. In terms of the financial impact of the conflict between Russia and Ukraine,
the Company continued to receive its interest income from its investment securities which indicates
the Company continues to generate cash flows to meet its obligations as they fall due. As of 31
December 2024, the Company had no investment securities that were directly or indirectly impacted
by sanctions relating to Russia or the conflict in Ukraine. The Directors will continue to monitor the
impact of the conflict on the financial results and cash flows of the Company going forward.
Climate-related risks and macroeconomic factors
In preparing the financial statements, the Directors have considered the impact of the physical and
transition risks of climate change and the rising inflation and interest rates and have concluded that
these do not have a material impact on the financial results and cash flows of the Company as at 31
December 2024.
Impact on US Tariffs
The new US tariff policy is set to further disrupt supply chains and global trade. The most pressing
concern is the potential onset of a trade war between the EU and the US. Additionally, growing
tensions in US trade relations with countries such as Mexico, Canada, China, and Australia signal
the emergence of a broader trade conflict. In this evolving landscape, businesses must act swiftly to
mitigate risks while also implementing strategic measures to safeguard their competitiveness and
long-term sustainability.
The Board and DB London do not envisage US debt volatility having an “enormous” impact on the
Company. Whilst such volatility would likely impact collateral security values and FX rates via
derivative exposures, we do not anticipate a significant impact to Company or the Swap
Counterparty.
The entire exposure is with Deutsche Bank AG London (DB), the swap counterparty. DB, in order to
manage financial and non-financial risk impacts from geopolitical or other fast developing events,
utilises dedicated governance structures including Global and Regional Crisis Management. Where
relevant, additional controls and processes have been and would be employed. This would also
entail additional reporting to ensure relevant senior stakeholders including the Management Board
are up-to date.
Going concern
The Directors considered the impact of the geopolitical tensions, including the conflict between
Russia and Ukraine and Israel and Gaza, the, climate-related risks, and macroeconomic factors
and new US tariff policy may have over the going concern assumption of the Company. The
Directors concluded that these do not represent a material uncertainty in relation to the Company’s
ability to continue as a going concern as at the date of signing these financial statements.
CLASS LIMITED
Directors’ Report (continued)
6
Going Concern (continued)
The Company’s performance and its operations or its ability to continue as a going concern, have
not been significantly impacted by the ongoing geopolitical conflicts, climate-related risk,
macroeconomic factors and the new US tariff policy. The Board and DB London will continue to
monitor the evolving situation and its impact on the Company. The limited recourse nature of the
securities issued by the Company limit the investors’ recourse 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 derivative swap agreements with
DB London depending on the requirement of each particular debt securities issued. Also, as per
Programme Proposal Agreement, DB London as the Arranger agrees to pay for Series Overheads
(as defined in the Programme Proposal Agreement).
As of 31 December 2024, the Company had no investment securities that were directly or indirectly
impacted by sanctions relating to Russia or the conflict in Ukraine and Israel.
The Board and DB London do not envisage US debt volatility having an “enormous” impact on the
Company. Whilst such volatility would likely impact collateral security values and FX rates via
derivative exposures, we do not anticipate a significant impact to Company or the Swap
Counterparty.
There are no other matters that impact the ability of the Company to continue as a going concern as
at year end.
Directors, secretary and their interests
The Directors and secretary who held office on 31 December 2024 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.
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.
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 (2023: No credit events).
Subsequent events
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. 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
Directors’ Report (continued)
7
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.
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.
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.
CLASS LIMITED
Directors’ Report (continued)
8
Annual Corporate governance statement (continued)
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.
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 30 April 2025.
Alexandra Nethercott-Parkes
Director on behalf of Viscom Services Limited
Smoden Chimbalu
Director on behalf of Viscom Services Limited
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 2024 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 30 April 2025.
Alexandra Nethercott-Parkes
Director on behalf of Viscom Services Limited
Smoden Chimbalu
Director on behalf of Viscom Services Limited
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 2024 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 (“IFRS”).
In our opinion, the financial statements:
► give a true and fair view of the state of the company’s affairs as at 31 December 2024 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.
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:
 Assessing the directors’ going concern assessment, giving consideration to plausible downside
scenarios;
 Considering the limited recourse nature of the debt securities issued by the Company;
 Assessing 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;
 Assessing the ability of the arranger to continue to support the operating costs of the Company;
and
 Evaluating the adequacy of the director’s disclosure on the impact of Russia-Ukraine conflict in
the director’s 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 the date of approval of these financial
statements. 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.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
11
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 €4,100k 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,and changes in the business environment and the potential impact of climate change when
assessing the level of work to be performed. All audit work was performed directly by the audit
engagement team.
Climate change
There has been increasing interest from stakeholders as to how climate change will impact CLASS
limited. The company has determined that there are no significant future impacts from climate change on
its operations. These are explained on page five of the directors’ report. All these disclosures form part of
the ‘Other Information’, rather than the audited financial statements. Our procedures on these disclosures
therefore consisted solely of considering whether they are materially inconsistent with the financial
statements, or our knowledge obtained in the course of the audit or otherwise appear to be materially
misstated.
In planning and performing our audit we assessed the potential impact of climate change on the
company’s business and any consequential material impact on its financial statements.
The company has explained in the directors’ report articulation of how climate change has been reflected
in the financial statements how they have reflected the impact of climate change in their financial
statements.
Our audit effort in considering climate change was focused on evaluating management’s assessment of
the impact of climate risk, physical and transition, and ensuring the effects of material climate risks
disclosed on page five and whether these have been appropriately reflected. As part of this evaluation, we
performed our own risk assessment to determine the risks of material misstatement in the financial
statements from climate change which needed to be considered in our audit.
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, the Swap Counterparty uses the
assumptions that market participants would use when pricing the asset or liability. Where relevant, these
assumptions may include assumptions about climate change. The Swap Counterparty has not made
material adjustment to the 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. 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.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
12
We also challenged the directors’ considerations of climate change risks in their assessment of going
concern and viability and associated disclosures. Where considerations of climate change were relevant
to our assessment of going concern, these are described above.
Based on our work we have not identified the impact of climate change on the financial statements to be a
key audit matter or to impact a key audit matter.
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.
Risk Our response to the risk Key observations
communicated to the Audit
Committee
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: €2.27m, PY
comparative: €2.9m
Derivative financial liabilities
Current year: €275.686m, PY
comparative: €260.564m
Level 3 Investment Securities
Current year: €13.2m, PY
comparative: €51.6m
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 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 2024;
► 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;
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 2024 and accounted
for in accordance with IFRS as
adopted by the European Union
as of 31 December 2024.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
13
Key audit matters (continued)
Risk Our response to the risk Key observations
communicated to the Audit
Committee
Refer to accounting policies
(pages 26 to 32); and Note 5 and
6 of the Financial Statements
(pages 33 to 35).
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 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.
► 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.
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.
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 £4,100k (2023: £4,026k), which is 1% (2023: 1%) of total
assets.We believe that the Noteholders of the Company and Deutsche Bank AG are the key users of the
financial statements, and that the key metric they monitor is total assets.
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 75% (2023: 75%) of our planning
materiality, namely €3,075m (2023: €3,020m). We have set performance materiality at this percentage
given there are no material corrected or uncorrected misstatements in the previous year.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
14
Reporting threshold
An amount below which identified misstatements are considered as being clearly trivial.
We agreed to those charged with governance that we would report to them all uncorrected audit
differences in excess of €205k (2023: €201k), 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 one to
nine, 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 this gives rise to 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
Responsibilities of directors
As explained more fully in the directors’ responsibilities statement set out on page nine, 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.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
15
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; the
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. 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 recognition of
related realised and unrealised gains and losses. We considered the controls that the Company
has established to address fraud risks identified, or that otherwise seek to prevent, deter or detect
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 and 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 of Directors 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.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CLASS
LIMITED (continued)
16
Explanation as to what extent the audit was considered capable of detecting irregularities, including
fraud (continued)
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 8 February 2018 to audit the financial statements for the year ending 31 December 2017
and subsequent financial periods
The period of total uninterrupted engagement including previous renewals and reappointments is
eight years, covering the years ending 31 December 2017 to 31 December 2024.
► Financial statements prepared in valid xHTML format;
In our opinion, the financial statements of the Company as at 31 December 2024, identified as
5299007Q99X0945RXA76-2024-12-31-0-en.xhtml, have been prepared, in all material respects, in
compliance with the requirements laid down in the ESEF Regulation
► 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.
Jean-Philippe Faillat
for and on behalf of Ernst & Young LLP
London
30 April 2025
CLASS LIMITED
Statement of Financial Position
As at 31 December 2024
17
2024
2023
Note
€'000
€'000
Assets
Cash at bank
4
80
79
Derivative assets
5
2,270
2,961
Investment securities and total return swaps at fair value
through profit or loss
6 402,404 392,902
Other assets
7
6,716
6,702
Total assets
411,470
402,644
Liabilities
Derivative liabilities
5
275,686
260,564
Debt securities issued designated at fair value through profit
or loss
8 135,531 141,831
Other liabilities
9
211
207
Total liabilities
411,428
402,602
Equity
Share capital
10
-
-
Retained earnings
42
42
Total equity
42
42
Total liabilities and equity
411,470
402,644
The financial statements were approved, authorised for issue on behalf of the Board on 30 April
2025.
Alexandra Nethercott-Parkes
Director on behalf of Viscom Services Limited
Smoden Chimbalu
Director on behalf of Viscom Services Limited
The notes on pages 21 to 73 form an integral part of these financial statements.
CLASS LIMITED
Statement of Comprehensive Income
For the year ended 31 December 2024
18
2024 2023
Note €'000 €'000
Net gain on investment securities and total
return swaps
12 30,572 21,611
Net loss on derivative financial instruments
13 (18,367) (7,663)
Net finance (loss) on debt securities issued 14 (12,205) (13,948)
Operating income
- -
Other income 15 106 110
Other expenses 16 (106) (110)
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 2024 and
31 December 2023 are related to continuing operations.
The notes on pages 21 to 73 form an integral part of these financial statements.
CLASS LIMITED
Statement of Cash Flows
For the year ended 31 December 2024
19
2024 2023
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 (21,070) (21,307)
Interest expense on debt securities issued
14 8,730 9,353
Net swap payments / (receipts)
13 2,554 20,428
Net (gain) on investment securities and total return swaps 12 (9,502) (304)
Net loss on debt securities issued 14 3,475
4,595
Net loss / (gain) on derivative financial instruments 13 15,813 (12,765)
Movement in Working Capital
Changes in other assets (8) (14)
Changes in other liabilities 10 15
Cash flows generated from operating activities
2 1
Net swap (payments and settlement) / receipts of derivative
exposure
(2,554) (20,428)
Net cash (used in) operating activities
(2,552) (20,427)
Cash flows from investing activities
Acquisition of investment securities
- (1,251)
Proceeds from redemptions / maturities of investment securities
and total return swaps -
21,059
Interest receipts from investment securities 21,064
21,445
Net cash generated from investing activities
21,064 41,253
Cash flows used in financing activities
Payments on amortisations, maturities / redemptions of debt
securities issued (9,775)
(11,467)
Interest payments on debt securities issued (8,736)
(9,359)
Net cash used in financing activities
(18,511) (20,826)
Net change in cash at bank 1 -
Cash at bank at 1 January 4
79
79
Cash at bank at 31 December
4
80
79
The notes on pages 21 to 73 form an integral part of these financial statements.
CLASS LIMITED
Statement of Changes in Equity
For the year ended 31 December 2024
20
Share
capital
Retained
earnings
Total
€'000 €'000 €'000
Balance as at 1 January 2023
- 42 42
Profit for the year - 2023 - - -
Other comprehensive income
- - -
Total comprehensive income for the year
- - -
Balance as at 31 December 2023
- 42 42
Profit for the year - 2024 - - -
Other comprehensive income
- - -
Total comprehensive income for the year
- - -
Balance as at 31 December 2024
- 42 42
The notes on pages 21 to 73 form an integral part of these financial statements.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
21
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 2024. The comparative information for the
year ended 31 December 2023 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.
Going concern
The Directors considered the impact of the geopolitical tensions, including the conflict
between Russia and Ukraine and Israel and Gaza, the, climate-related risks, and
macroeconomic factors and new US tariff policy may have over the going concern
assumption of the Company. The Directors concluded that these do not represent a
material uncertainty in relation to the Company’s ability to continue as a going concern
as at the date of signing these financial statements.
The Company’s performance and its operations or its ability to continue as a going
concern, have not been significantly impacted by the ongoing geopolitical conflicts,
climate-related risk, macroeconomic factors and the new US tariff policy. The Board and
DB London will continue to monitor the evolving situation and its impact on the
Company. The limited recourse nature of the securities issued by the Company limit the
investors’ recourse to the underlying net assets of that particular debt securities issued.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
22
2 Basis of preparation (continued)
(a) Statement of compliance (continued)
Going concern (continued)
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 derivative swap agreements
with DB London depending on the requirement of each particular debt securities issued.
Also, as per Programme Proposal Agreement, DB London as the Arranger agrees to pay
for Series Overheads (as defined in the Programme Proposal Agreement).
As of 31 December 2024, the Company had no investment securities that were directly or
indirectly impacted by sanctions relating to Russia or the conflict in Ukraine and Israel.
The new US tariff policy is set to further disrupt supply chains and global trade. The most
pressing concern is the potential onset of a trade war between the EU and the US.
Additionally, growing tensions in US trade relations with countries such as Mexico,
Canada, China, and Australia signal the emergence of a broader trade conflict. In this
evolving landscape, businesses must act swiftly to mitigate risks while also implementing
strategic measures to safeguard their competitiveness and long-term sustainability.
The Board and DB London do not envisage US debt volatility having an “enormous”
impact on the Company. Whilst such volatility would likely impact collateral security values
and FX rates via derivative exposures, we do not anticipate a significant impact to
Company or the Swap Counterparty.
There are no other matters that impact the ability of the Company to continue as a going
concern as at year end.
(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
The following adopted accounting standards for the accounting period beginning on
or after 1 January 2023 are considered not relevant to the Company and therefore
have no impact on the financial performance or financial position of the Company.

 Amendments to IFRS 16 Leases: Lease Liability in a Sale and Leaseback (issued
on 22 September 2022)
 Amendments to IAS 1 Presentation of Financial Statements: Classification of
Liabilities as Current or Non-current, Classification of Liabilities as Current or Non-
current - Deferral of Effective Date and Non-current Liabilities with Covenants
(issued on 23 January 2020, 15 July 2020 and 31 October 2022, respectively)
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
23
2 Basis of preparation (continued)
(c) New standards, amendments or interpretations (continued)
(i) New standard adopted during the year (continued)
 Amendments to IAS 7 Statement of Cash Flows and IFRS 7 Financial Instruments:
Disclosures: Supplier Finance Arrangements (issued on 25 May 2023)
(ii) Effective for annual periods beginning on or after 1 January 2024
The Directors have set out the upcoming EU endorsed and un-endorsed accounting
standards, amendments or interpretations as up until the issuance of the financial
statements as set out below.
Description Effective date
(period beginning)*
Amendments to IAS 21 The Effects of Changes in Foreign
Exchange Rates: Lack of Exchangeability (issued on 15
August 2023)
1 January 2025**
Amendments to the Classification and Measurement of
Financial Instruments - Amendments to IFRS 9 and IFRS 7
(issued on 30 May 2024)
1 January 2026
Annual Improvements to IFRS Accounting Standards—
Volume 11 (issued on 18 July 2024)
1 January 2026
Contracts Referencing Nature-dependent Electricity –
Amendments to IFRS 9 and IFRS 7 (issued on 18
December 2024)
1 January 2026
IFRS 18 Presentation and Disclosure in Financial
Statements (issued on 9 April 2024)
1 January 2027
IFRS 19 - Subsidiaries without Public Accountability:
Disclosures (issued on 9 May 2024
1 January 2027
*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, the Company will apply them from their
EU effective date.
** EU endorsed.
The Directors have considered the new standards, amendments and interpretations
that are issued but not yet effective up to the date of issuance of the Company’s
financial statements and do not plan to adopt these standards early. The application
of these standards, amendments or interpretations are currently being assessed in
advance of the confirmed effective date by the Company, with no material impact
anticipated for the financial statement.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
24
2 Basis of preparation (continued)
(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).
(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.
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.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
25
2 Basis of preparation (continued)
(e) Significant accounting judgements, estimates and assumptions (continued)
(i) 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.
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.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
26
3 Material accounting policy information
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.
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.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
27
3 Material accounting policy information (continued)
(b) Financial instruments (continued)
Designation at fair value through profit or loss upon initial recognition (continued)
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. 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 through profit or loss 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. 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.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
28
3 Material accounting policy information (continued)
(b) Financial instruments (continued)
Financial assets and liabilities that are not at fair value through profit or loss (continued)
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 applies to financial assets that are measured at
amortized cost.
Under IFRS 9 expected credit loss approach, the Company recognizes 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.
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.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
29
3 Material accounting policy information (continued)
(b) Financial instruments (continued)
Derecognition (continued)
The Company derecognises a financial liability when its contractual obligations are
discharged, cancelled or has expired.
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.
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.
CLASS LIMITED
Notes to the Financial Statements
For the year ended 31 December 2024
30
3 Material accounting policy information (continued)
(b) Financial instruments (continued)
Fair value measurement principles (continued)
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
For the year ended 31 December 2024
31
3 Material accounting policy information (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 (loss) / gain on investment securities and total return swaps
Net (loss) / 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
For the year ended 31 December 2024
32
3 Material accounting policy information (continued)
(i) Net finance (loss) / gain on debt securities issued
Net finance (loss) / gain 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
2024 2023
€'000 €'000
Cash at bank 80 79
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
For the year ended 31 December 2024
33
5 Derivative financial instruments
2024
2023
€'000
€'000
Derivative assets- Asset swaps
Less than one year 198 214
One year to five years 661 739
Greater than five years 1,411 2,008
2,270 2,961
Derivative liabilities- Asset swaps
Less than one year 34,508 31,591
One year to five years 117,600 92,378
Greater than five years 123,578 136,595
275,686 260,564
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 2024: 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 (2023: 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 (2023: No Series) and no asset swap
agreement was partially redeemed (2023: No Series).
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 (2023: 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 is
incorporated into the fair value of the derivatives.
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 creditworthiness 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 2024
34
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, there were no shortfall
adjustments (2023: series 66 amounting to EUR 34k).
As at 31 December 2024, the combined value of adjustments amounting to EUR 18,575k (2023:
EUR (20,439k) is comprised of adjustments for shortfall, CVA, DVA and FVA amounting to EUR
(193k) (2023: 34k), EUR 3,151k (2023: (275k)), EUR 15,617k (2023: 4,441k), respectively.
These adjustments have increased the derivative assets by EUR 517k (2023: 525k) and
decreased the derivative liabilities by EUR 18,025k (2023: 19,876k). This was consistent with
valuation policies adopted by derivative counterparty, DB London.
6 Investment securities and total return swaps at fair value through profit or loss
2024 2023
€'000 €'000
Classified at fair value through profit or loss
Corporate bonds 281,397 271,153
Government bonds 119,788 120,533
Total return swaps 1,219 1,216
402,404 392,902
2024 2023
€'000 €'000
Less than one year 17,668 -
One year to five years 90,995 80,548
Greater than five years 293,741 312,354
402,404 392,902
swaps classified at fair value through profit or loss
Maturity analysis of investment securities and total return
No investment securities matured during the year (2023: series 47, 64, 73, 76, 94, 100 and
104). Maturities of investment securities are cash settled transactions.
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
35
6 Investment securities and total return swaps at fair value through profit or loss
(continued)
During the year, there’s no redemption of investment securities (2023: no redemption of
investment securities) while none was partially redeemed (2023: none was partially redeemed).
Under the terms of the SPM, the swap counterparty can replace a maturing collateral with DB
London issued bond. During the year, there were no collateral replacement (2023: series 47
with notional of USD 1,000k was replaced by EUR 900k and series 100 investment securities
with a notional of USD 600k was replaced by EUR 545k).
The carrying value of all the above assets of the Company represent 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 1,205k (2023: 1,205k). 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.
The total return swaps held by the Company as at year end for series 61 (2023: Series 61). During
the year, no series with total return swaps matured nor redeemed (2023: No series). Refer to note
21(b)(i) for credit risk disclosures relating to the investment securities and total return swaps.
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
36
7 Other assets
2024 2023
€'000 €'000
Interest income receivable from investment securities and
6,605 6,599
Other receivables 111 103
6,716 6,702
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
2024 2023
€'000 €'000
Designated at fair value through profit or loss 135,531 141,831
Maturity analysis of the debt securities issued at fair
value through profit or loss
Less than one year 12,391 12,549
One year to five years 57,539 42,221
Greater than five years 65,601 87,061
135,531 141,831
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 2024
37
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 (2023: 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:
2024 2023
€'000 €'000
Opening balance 141,831 148,704
Net loss on debt securities issued designated at
fair value through profit or loss 12,205 13,948
Changes in accrual 6 6
Cash flows from financing activities (18,511) (20,826)
Closing balance 135,531 141,832
Maturities of debt securities are cash settled transactions which are shown in the statement of
cash flows. During the year, no series fully matured (2023: No series). 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
(2023: 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 (2023: 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 2024 was EUR 25,556k (2023: 22,080k) 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 2024, 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 (2023: 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 2024
38
9 Other liabilities
2024
2023
€'000
€'000
Interest payable on debt securities issued 61 67
Accrued expenses 83 75
Other payables 67 65
211 207
All the above other liabilities are current.
10 Share capital
2024 2023
€'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 2024
39
11 Accounting categorisation of financial assets and financial liabilities
2024
2023
Carrying
Carrying
value
value
€'000
€'000
Financial asset at amortised cost
Cash at bank
80 79
Other assets- other receivables
111 103
Total financial asset at amortised cost
191
182
Financial assets at fair value through profit or loss
Investment securities and total return swaps
402,404 392,902
Other assets- interest income receivable from investment
securities and total return swaps
6,605 6,599
Derivative assets 2,270 2,961
Total assets
411,470
402,644
Financial liabilities at amortised cost
Other liabilities- accrued expenses and other payables
150 140
Debt securities issued
135,531 141,831
Financial liabilities at fair value through profit or loss
Other liabilities- interest payable on debt securities issued
61 67
Derivative liabilities
275,686
260,564
Total liabilities
411,428
402,602
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 2024
40
12 Net gain / (loss) on investment securities and total return swaps
2024 2023
€'000 €'000
- Corporate bonds
24,635 14,000
- Government bonds
5,866 7,501
- Total return swaps
71 110
30,572 21,611
Analysed as follows:
Interest income including accruals 21,070 21,307
9,502 780
- (476)
30,572
21,611
Realised loss on redemptions / maturities of investment securities
and total return swaps
Net gain / (loss) on investment securities and total return swaps at
fair value through profit or loss (including interest receipts):
Net unrealised gain / (loss) on investment securities and
total return swaps
13 Net (loss) / gain on derivative financial instruments
2024
2023
€'000
€'000
- Assets swaps (18,367) (7,663)
Analysed as follows:
Net swap (payments) / receipts (2,554) (20,428)
Net unrealised gain on derivative financial instruments (15,813) 12,765
(18,367) (7,663)
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 2024
41
14 Net finance gain / (loss) on debt securities issued
2024 2023
€'000 €'000
Net (loss) / gain on debt securities issued designated at
fair value through profit or loss (3,475) (4,595)
Interest expense including accruals (8,730) (9,353)
(12,205) (13,948)
Analysed as follows:
Interest expense including accruals (8,730) (9,353)
Net unrealised (loss) / gain on debt securities issued (6,251) (6,444)
Net realised gain on debt securities issued 2,776 1,849
(12,205) (13,948)
15 Other income
2024
2023
€'000 €'000
Arranger income
106 109
Other income
- 1
106
110
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 (2023: Nil).
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
42
16 Other expenses
2024
2023
€'000 €'000
Auditor's remuneration
(78) (75)
Administration fee
(22) (30)
Directors fee
(5) (5)
(106) (110)
The Company is administered by Vistra and has no employees.
Auditor's remuneration relates to the audit of the financial statements.
17 Corporate income tax rate
The Company is taxed at 0% corporate tax rate during the year (2023: 0%).
18 Ownership of the Company
The issued shares are held in trust by Vistra Fund Services Limited and Vistra Nominees I
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 2024
43
20 Transactions with related parties, Administrator and Arranger
Transactions with Key Management Personnel
During the year, the Company incurred a fee of EUR 10k (2023: EUR 10k) relating to
administration services provided by Vistra. As at 31 December 2024, outstanding
administration services fees payable amounted to nil (2023: nil).
Professional services in advising matters of Jersey law is incurred during the year amounting
to nil (2023: nil). Directors’ fees during the year amounted to EUR 5k (2023: EUR 5k). As at
31 December 2024, there were no outstanding Advisor fees and Directors’ fees payable
(2023: 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 2024 2023
'000 '000
S0047 XS0461370511 USD 3,316 3,105
S0047 XS0461388646 EUR 1,345 1,345
S0047 XS0461330721 EUR 555 555
S0047 XS0461374182 EUR 1,300 1,300
S0047 XS0461367053 USD 452 423
6,968 6,728
Nominal
21 Financial instruments
(a) Introduction and overview
The Company was set up as segregated multi-issuance SPE. This ensures that if one
series default, 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 2024
44
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 Islands.
 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 2024
45
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 2024
46
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.
The carrying amount of financial assets represents the maximum credit exposure
as follows:
2024 2023
€'000 €'000
Cash at bank 80 79
Derivative assets 2,270 2,961
Investment securities and total return swaps 402,404 392,902
Other assets 6,716 6,702
411,470 402,644
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 2024
47
21 Financial instruments (continued)
(b) Risk management framework (continued)
(i) Credit risk (continued)
Cash at bank
Company’s cash and cash equivalents are held by Royal Bank of Scotland International
which is rated A+ by S&P in 2024 (2023: A+ 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 2024 2023
type €'000 €'000
Immunisation notes Asset swaps 2,270 2,961
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, reference obligations under total return swaps and credit
default swaps. The Company’s exposure and the credit rating of its counterparty are
continually monitored. Deutsche Bank AG, London Branch is the primary derivative
counterparty. Deutsche Bank AG, London Branch is currently long term rated by S&P
as A (2023: A 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 (2023: None).
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
48
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
2024
Rating
2023
2024
€'000
2023
€'000
Installment
Corporate Germany Moody's N.A. N.A. 1,247 1,183
notes
bonds Aa1 Aa1 5,578 5,463
Aaa Aa1 90,413 89,177
- Aaa 46,165 44,234
Baa1 Baa1 3,230 3,072
NR NR 5,302 4,784
S&P
BBB
BBB
13,362
12,339
Ireland
S&P
BBB+
BBB+
46,611
46,975
Netherlands
S&P
BBB+
BBB+
492
479
Spain S&P BBB+ BBB+ 1,205 1,205
United Kingdom S&P BBB BBB 616 596
BBB- BBB- 23,701 21,090
United States of America Moody's WR WR 13,894 12,424
S&P A- A- 2,323 2,291
BBB+ BBB+ 27,257 25,841
281,396 271,153
Government
Canada S&P A+ AA- 704 706
bonds AA AA 17,669 17,370
Spain Moody's Ba1 Ba1 3,643 3,741
Baa1 Baa1 45,291 46,038
Baa2 Baa2 23,840 24,341
Fitch BBB- BBB- 28,642 28,337
119,789 120,533
Total return Germany Moody's *NR *NR 1,219 1,216
swaps
Grand Total
402,404
392,902
*Not Rated
**Withdrawn Rating
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
49
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 2024
50
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 80 80 80 - -
Investment securities
402,404 512,215 37,076 160,586 314,553
and total return swaps*
Derivative assets**
2,270 2,292
199 668
1,425
Other assets 6,716 6,716 6,716 - -
Derivative liabilities** (275,686) (337,537) (25,344) (98,354) (213,839)
Debt securities issued*** (135,531) (183,513) (18,516) (62,900) (102,097)
Other liabilities (211) (211) (211) - -
42 42 - - 42
2024
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 79 79 79 - -
Investment securities
392,902 521,774 20,369 154,125 347,280
and total return swaps*
Derivative assets**
2,961 2,990
216 746
2,028
Other assets 6,702 6,702 6,702 - -
Derivative liabilities** (260,564) (338,008) (8,643) (91,971) (237,394)
Debt securities issued*** (141,831) (193,288) (18,516) (62,900) (111,872)
Other liabilities (207) (207) (207) - -
42 42 - - 42
2023
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
51
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 balance sheet date, GCF of investment securities is higher by EUR
109,811k (2023: EUR 128,872k) 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 balance sheet date, GCF of debt securities is lower by EUR 47,982k
(2023: EUR (52,826k)) 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 2024
52
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
22 -
21 -
Investment securities 132,433 5,067
124,331 4,951
3,799 1,486 3,683 1,470
Net exposure
136,254 6,553 128,035 6,421
Cash at bank
2024 2023
Other assets
All debt securities issued are denominated in EUR as at 31 December 2024 and
2023.
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 (2023: 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 (2023: Series 47, 53, 60, 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
(2023: Series 29, 64, 75, 76, and 95).
During the year, no investment securities have matured (2023: no investment
securities have matured) and none of the investment securities was partially
redeemed (2023: no investment securities was partially redeemed). Since there are
no series that matured and redeemed, there are no collateral replacements were
made (2023: no series that matured, redeemed, and there are no collateral
replacements).
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
53
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:
2024
2023
2024
2023
USD 1.082 1.081 1.035 1.105
GBP 0.847 0.870 0.827 0.868
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 13,243k (2023: 12,433k) and EUR 507k (2023:
495k) 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 in 2024 and 2023. 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 2024
54
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 2024 2023
debt securities issued €'000 €'000
Fixed rate instruments:
Installment notes EUR 148,539 149,828
Installment notes GBP 5,067 4,951
Installment notes USD 81,095 75,367
234,701 230,146
Variable rate instruments:
Installment notes USD 48,267 46,280
Installment notes EUR 107,301 105,465
155,568 151,745
Installment notes EUR 9,064 8,327
Installment notes USD 3,071 2,684
12,135 11,011
Grand total 402,404 392,902
Zero rated instruments:
Debt securities issued
Class of debt securities issued
Currency
2024
2023
€'000
€'000
Variable rate instruments:
Installment notes EUR 135,531 141,831
135,531 141,831
Sensitivity analysis
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 2024
55
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 coupon expenditure payable on the debt
securities issued of EUR 1,355k (2023: 1,418k). Under the same conditions, the
coupon income receivable from investment securities would have increase by EUR
1,355k (2023: 1,418k). A similar 100 basis point decrease in interest rates would
have resulted in an equal, but opposite effect on coupon expenditure and coupon
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 48 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 2024
56
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.
(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 2024
57
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.
(b) Profile of the debt securities issued by the Company
The following are the categories as at 31 December 2024:
Type of transaction
Number of
series
Cash at
bank
€'000 €'000 €'000 €'000 €'000 €'000 €'000
Installment notes
26
135,531
80
402,404
2,270
275,686
6,716
211
Debt
securities
Investment
securities
and total
return swaps
Derivative
assets
Derivative
liabilities
Other
assets
Other
liabilities
The following are the categories as at 31 December 2023:
Type of transaction
Number
of series
Cash at
bank
€'000 €'000 €'000 €'000 €'000 €'000 €'000
Installment notes
26
141,831
79
392,902
2,961
260,564
6,702
207
Other
liabilities
Debt
securities
Investment
securities
and total
return swaps
Derivative
assets
Derivative
liabilities
Other
assets
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
58
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 subheading “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 subheading “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:
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.
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
59
23 Fair values (continued)
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 pages 69 to 71 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.
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 pages 69 to 71 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.
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
60
23 Fair values (continued)
Valuation Techniques (continued)
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 2024
61
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 59,935 209,453 12,010 281,398
Government bonds 45,290 74,497 - 119,787
Total return swaps - - 1,219 1,219
105,225 283,950 13,229 402,404
Derivative financial assets
Asset swaps - - 2,270 2,270
Derivative financial liabilities
Asset swaps - (143,432) (132,254) (275,686)
Debt securities issued
Installment notes - (89,893) (45,638) (135,531)
105,225 50,625 (162,393) (6,543)
2024
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
62
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 49,509 171,285 50,359 271,153
Government bonds 46,038 74,495 - 120,533
Total return swaps - - 1,216 1,216
95,547 245,780 51,575 392,902
Derivative financial assets
Asset swaps - - 2,961 2,961
Derivative financial liabilities
Asset swaps - (132,067) (128,497) (260,564)
Debt securities issued
Installment notes - (94,611) (47,220) (141,831)
95,547 19,102 (121,181) (6,532)
2023
As at 31 December 2024, the Company’s Level 3 investment securities comprised of corporate
bonds (2023: corporate bonds). These were priced using unobservable market data. Refer to
pages 63 and 71 for valuation techniques and inputs used to determine the fair value of Level 2
and Level 3 positions.
Total return swaps which consist 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 2024
63
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.
Investment securities with a Fair value of EUR 2,973k were transferred from Level 2 to Level 1
during the year due to the presence of quoted prices in active and liquid markets for these
investment securities (2023: Investment securities with a Fair value of EUR 28,623k were
transferred from Level 2 to Level 1 during the year due to the presence of quoted prices in active
and liquid markets for these investment securities).
The table below sets out information about significant observable inputs used in measuring
financial instruments categorized as Level 2 in the fair value hierarchy:
Fair value
2024
€'000
Fair value
2023
€'000
Valuation technique
Significant
observable input
Corporate bonds 209,453 171,285 *Market Approach Market Price
Government bonds 74,497 74,495 *Market Approach Market Price
283,950 245,780
Derivative financial instruments
Asset swaps (141,208) (132,466) **Discounted Cash Flow
Model
Interest Rate Curve
(292) 2,362 **Discounted Cash Flow
Model
FX Forward Curve
(1,932) (1,963) ***Option Pricing Model Volatility
(143,432) (132,067)
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.
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
64
23 Fair values (continued)
Valuation Techniques (continued)
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.
The below table shows the roll-forward movements for investments securities and total return
swaps classified under valuation techniques unobservable parameter (Level 3):
2024 2023
€'000 €'000
Opening balance 51,575 24,626
Transfers in - 48,196
Transfers out (38,488) (23,450)
Fair value movements 142 2,203
Closing balance
13,229 51,575
During the year,no investment securities were transferred from Level 2 to Level 3 (2023:
investment securities held by series 47, 49, 53, 80, 82, 83, 90, 94, 100 and 104). Investment
securities held by series 47, 49, and 53 were transferred out from Level 3 to Level 2 as all
significant inputs relevant to valuation are now observable (2023: investment securities held by
series 47, 79, 80, 83, 90 and 100).
No series matured (2023: No series) nor was fully redeemed (2023: No series) and no series
was partially redeemed (2023: No series). There were no transfer between Level 1 and Level 3
during the year (2023: No transfer)
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):
2024
2023
€'000
€'000
Opening balance 2,961 3,004
Fair value movements (691) (43)
Closing balance
2,270 2,961
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
65
23 Fair values (continued)
Valuation Techniques (continued)
During the year, no series matured (2023: No series) nor redeemed (2023: No series). As at 31
December 2024, there were no instruments that were transferred out of Level 3 due to having
observable market data (2023: 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 (2023: No series). There were no additional asset swaps for as at 31 December
2024 (2023: No series).
The below table shows the roll-forward movements for derivative financial liabilities classified
under valuation techniques unobservable parameter (Level 3):
2024
2023
€'000
€'000
Opening balance (128,497) (138,920)
Transfers out - 9,761
Fair value movements (3,757) 662
Closing balance
(132,254) (128,497)
During the year, no derivative liabilities was transferred from Level 2 to Level 3 due to lack of
observable inputs and unavailability of data for similar instruments (2023: no series) whereas
series 29 and 76 were transferred out of Level 3 (2023: series 29 and 76). As at year end, no
derivative liabilities were fully redeemed (2023: No series).
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):
2024
2023
€'000
€'000
Opening balance (47,220) (46,612)
Maturities 4,303 5,898
Transfers in - (1,832)
Transfers out
1,832 4,093
Fair value movements (4,553) (8,767)
Closing balance
(45,638) (47,220)
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
66
23 Fair values (continued)
Valuation Techniques (continued)
During the year, no series fully matured (2023: No series). The following series classified as
Level 3 are amortising series, thus part of its balances have matured: series 29, 31, 32, 47, 53,
61, , 66, 67, 76, 79, 80, 83, 90, 95, 100 and 141 (2023: series 29, 31, 32, 47, 53, 61, , 66, 67,
76, 79, 80, 83, 90, 95, 100 and 141) while no series was fully or partially redeemed (2023: No
series). As at 31 December 2023, series 49 was transferred from Level 2 to Level 3 (2023:
Series 49) whereas series 29 and 76 were transferred to Level 2 (2023: Series 29 and 76).
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:
2024
2023
€'000
€'000
Investment securities and total return swaps 142 2,203
Derivative financial instruments (4,448) 619
Debt securities issued (4,553) (8,767)
(8,859) (5,945)
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:
2024
2023
€'000
€'000
Investment securities and total return swaps 141 2,203
Derivative financial instruments (4,448) 619
Debt securities issued (3,786) (6,375)
(8,093) (3,553)
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
67
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 2024 it could have
increased fair value by as much as EUR 756k (2023: EUR 694k) or decreased fair value by
as much as EUR (756k) (2023: EUR (694k)).
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 2024
68
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 principal
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 2024
69
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
2024
€'000
Valuation
technique
Significant
unobservable
input
Range of
estimates for
unobservable
input
Sensitivity
€'000
Corporate bonds 12,009 **Market Approach Market Price 88 to 97 433
Total return swaps 1,220 ***Risk Based Credit Spread - -
Delta (bps)
13,229
433
Derivative financial instruments
Asset swaps (129,984) ****Option Credit Spread 157 bps to 323
Pricing Model (bps) 167 bps
(129,984)
323
Type of financial
instrument
Investment securities
and total return swaps
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
70
23 Fair values (continued)
Valuation Techniques (continued)
Quantitative Information about the Sensitivity of Significant Unobservable Inputs (continued)
Fair value
2023
€'000
Valuation
technique
Significant
unobservable
input
Range of
estimates for
unobservable
input
Sensitivity
€'000
Corporate bonds 50,359
**Market Approach
Market Price
88 to 97
307
Government bonds - **Market Approach Market Price 125 bps to -
154.28 bps
Total return swaps 1,216 ***Risk Based Credit Spread 0.00% -
Delta (bps)
51,575
307
Derivative financial instruments
Asset swaps (125,536) ****Option Credit Spread 271 bps to 387
Pricing Model (bps) 282 bps
(125,536)
387
Investment securities
and total return swaps
Type of financial
instrument
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
71
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. For certain
trades, range of estimates are not available due to insufficient data for independent price
verification testing inputs as proxy inputs for the range calculations.
****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.
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 2024
72
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)
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 2024:
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.
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% 1,205 495 1,205
1,200 1,205 495 1,205
Series
number
Issuer CCY
2024
AyT Cédulas
Cajas Global,
Fondo de
Titulización de
Activos
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% 1,205 504 1,205
1,200 1,205 504 1,205
AyT Cédulas
Cajas Global,
Fondo de
Titulización de
Activos
Series
number
Issuer CCY
2023
CLASS LIMITED
Notes to the Financial Statements (continued)
For the year ended 31 December 2024
73
25 Subsequent events
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.
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 135,531k (2023: EUR
141,831k) uses the fair value of the investments securities and total return swaps amounting
to EUR 402,404k (2023: EUR 392,902k), derivative financial assets amounting to EUR
2,270k (2023: EUR 2,961k) and derivative financial liabilities amounting to EUR 275,687k
(2023: EUR 260,564k) 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 30
April 2025.