Macquarie Structured Securities (Europe) Public Limited Company Company Registration ... ·...

Macquarie Structured Securities (Europe) Public Limited Company Company Registration Number 489855

Annual Report and Financial Statements for the financial year ended 31 March 2016 0

MACQUARIE

The Company's registered office is: First Floor Connaught House 1 Burlington Road Dublin 4 Ireland

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Macquarie Structured Securities (Europe) Public Limited Company

2016 Directors' Report and Financial Statements Contents

Directors' Report Independent Auditors' Report to the members of Macquarie Structured Securities (Europe) Public Limited Company Financial Statements Profit and loss account Balance sheet Statement of changes in equity Notes to the financial statements Note 1. Summary of significant accounting policies Note 2. Profit on ordinary activities before taxation Note 3. Interest receivable and similar income Note 4. Interest payable and similar charges Note 5. Income tax expense Note 6. Financial assets at fair value through profit or loss Note 7. Debtors Note 8. Cash at bank Note 9. Creditors: amounts falling due within one year Note 10. Creditors: amounts falling due after more than one year Note 11. Share Capital Note 12. Profit and loss account Note 13. Directors remuneration Note 14. Financial risk management Note 15. Fair values of financial assets and liabilities Note 16. Segmental Reporting Note 17. Contingent liabilities and commitments Note 18. Employee information Note 19. Ultimate holding company Note 20. Transition to FRS 101 Note 21. Events after the reporting period Note 22. Approval of accounts


Directors' Report for the financial year ended 31 March 2016

In accordance with a resolution of the directors (the Directors) of Macquarie Structured Securities (Europe) Public Limited Company (the Company), the Directors submit herewith the financial statements of the Company and report as follows:

Directors and Secretaries The Directors who each held office as a Director of the Company throughout the year and until the date of this report, unless disclosed otherwise, were: J Crawford J Dyckhoff B Wheatley

At the date of this report and throughout the year, unless disclosed otherwise, the Secretary of the Company is: H Everitt

Principal activity The principal activity of the Company during the financial year ended 31 March 2016 was to manage structured products.

Results The profit attributable to ordinary equity holders of the Company for the year ended 31 March 2016 was €7,500 (2015: €7,500).

Dividends paid or provided for No dividends were paid or provided for during the financial year (2015: €nil).

State of affairs and review of operations The profit attributable to ordinary equity holders of the Company for the year ended 31 March 2016 was €7,500 (2015: €7,500).

Net profit before tax for the year ended 31 March 2016 was €10,000, equal to the profit in the previous year.

There were no significant changes in the state of the affairs of the Company that occurred during the financial year under review not otherwise disclosed in this report.

Events after the reporting period At the date of this report, the Directors are not aware of any matter or circumstance which has arisen that has significantly affected or may significantly affect the operations of the Company, the results of those operations or the state of affairs of the Company in the financial year subsequent to 31 March 2016 not otherwise disclosed in this report.

Macquarie Structured Securities (Europe) Public Limited Company 2016 Directors' Report


Directors' Report (continued) for the financial year ended 31 March 2016

Likely developments, business strategies and prospects As a result of the cessation of issuance of new products and offers of already issued products by the Company, it is anticipated that the outstanding balance of both the financial liabilities at fair value through profit or loss and associated financial assets at fair value through profit or loss will decline over future financial years.

While no now business is being written, the Company is expected to continue In operational existence for the foreseeable future in managing the existing portfolio and accordingly the Directors have considered that it remains appropriate to prepare the accounts on a going concern basis.

Creditor payment policy It is the Company's policy to agree the terms of payment to creditors at the start of business with that supplier, ensure that suppliers are aware of the terms of payment and to pay in accordance with its contractual and other legal obligations.

Principal risks and uncertainties The principal risks of the Company relating to the outstanding financial liabilities are managed through the Hedge Transaction Agreement with its intermediate holding company, Macquarie Bank Limited ("MBL"), which holds an Investment Grade credit rating. From the perspective of the Company, the remaining risks and uncertainties are integrated with the principal risks of the Macquarie Group. The Board of Directors has overall responsibility for the establishment and oversight of the Company's risk management framework.

Financial risk management Risk is an integral part of the Macquarie Group's businesses. The Company is exposed to a variety of financial risks that include the effects of credit risk, liquidity risk, operational risk and market risk. Additional risks faced by the Company include legal, compliance and documentation risk. Responsibility for management of these risks lies with the individual businesses giving rise to them. It is the responsibility of the Risk Management Group ("RMG") to ensure appropriate assessment and management of these risks.

As ultimately an indirect subsidiary of Macquarie Group Limited ("MGL"), the Company manages risk within the framework of the overall strategy and risk management structure of the Macquarie Group. RMG is independent of all other areas of the Macquarie Group, reporting directly to the Managing Director and the Board of MGL. The Head of RMG is a member of the Executive Committee of MGL. RMG authority is required for all material risk acceptance decisions. RMG identifies, quantifies and assesses all material risks and sets prudential limits. Where appropriate, these limits are approved by the Executive Committee and the Board of MGL.

The risks which the Company is exposed to are managed on a globally consolidated basis for MGL as a whole, including all subsidiaries, in all locations. Macquario's internal approach to risk ensures that risks in subsidiaries are subject to the same rigour and risk acceptance decisions.

Credit risk Credit exposures, approvals and limits are controlled within the Macquarie Group's credit risk framework, as established by the RMG. Credit approvals are processed within this framework and limits are set in accordance with current practices. Daily monitoring occurs using the standard framework, with exposure information fed by the risk management system.

Macquarie Structured Securities (Europe) Public Limited Company 2016 Directors' Report 3



Financial risk management (continued) Liquidity risk The Directors have adopted the risk model used by the Macquarie Group, as approved by RMG. This model is incorporated Into the Macquarie Group's risk management systems to enable the Company to manage this risk effectively.

Market risk

The Directors have adopted the risk model used by the Macquarie Group, as approved by RMG. This model is incorporated into the Macquarie Groups risk management systems to enable the Company to manage this risk effectively. The Company has also entered into a Hedge Transaction Agreement with MBL which it utilises to manage market risk resulting from issuances on the Italian market.

Interest rate risk

The Company has both interest bearing assets and interest bearing liabilities, interest bearing assets include cash balances and receivables from other Macquarie Group undertakings, all of which earn a variable rate of interest. Interest bearing liabilities include payables to other Macquarie Group undertakings and external parties, which also incur a variable rate of interest.

Foreign exchange risk

The Company has foreign exchange exposures which include amounts receivable from and payable to other Macquarie Group undertakings which are denominated in non-functional currencies. Any material non-functional currency exposures are managed by applying a group wide process of minimising exposure at an individual company level.

Directors' and secretary's interests in shares The Directors and Secretary had no interests in the shares of the Company or any other Macquarie group company that are required by the Companies Act 2014 to be recorded in the register of interests or disclosed in the Directors' report.




Corporate Governance Statement Introduction The Company is subject to and complies with Irish Statute comprising the Companies Act 2014 and the Transparency (Directive 2004-1 00-EC) Regulations 2007, The Company does not apply additional requirements in addition to those required by the above.

Financial reporting process The Board of Directors ('the Board") is responsible for establishing and maintaining adequate internal control and risk management systems of 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. The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financial reporting process. The Company's overall control system around the financial reporting process includes: • clearly defined organisation structure with reporting mechanisms to the Board; • a comprehensive set of policies and procedures, in line with the Macquarie Group, relating to the

control around financial reporting and the process of preparing the financial statements; and • ensuring the integrity of the financial statements and the accounting policies therein.

The Board evaluates and discusses significant accounting and reporting issues as the need arises.

Risk assessment The Board Is responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring the processes are in place for the timely identification of internal and external matters with a potential effect 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.

Contra/activities The Board are responsible for ensuring the design and implementation of control structures to manage the risks which they judge to be significant for internal control over financial reporting. As such, the Company has adopted the control standards and policies of the Macquarie Group. These control structures include appropriate division of responsibilities and specific control activities, with the objective of detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements and the related notes in the Company's annual report.

Monitoring The Board and Audit Committee have an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measures recommended by the independent auditors.

On a periodic basis the Group Internal Audit function performs a review of controls and procedures employed by the Macquarie Group 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. The Board has a process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measures recommended by these risk-based reviews.




Corporate Governance Statement (continued) Audit Committee Statutory audits in Ireland are regulated by the European Communities (Statutory Audits) (Directive 2006/43/EC) Regulations, 2010 (S. 1. 220 of 2010) which requires the Company to establish an audit committee.

The Audit Committee meets a minimum of once a year and holds such additional meetings as the Chairman of the Committee deems appropriate in order to fulfil its duties. It monitors the financial reporting process, the statutory audit of the annual accounts and the effectiveness of the Macquarie Group's internal controls. It informs the board of the outcome of the statutory audit, periodically reviews the independence of the external auditor and makes recommendations regarding their appointment and removal.

The Audit Committee also reviews and considers the key matters arising from the statutory audit and addresses any issues and recommendations made by the external auditor.

Accounting records The measures taken by the Directors to secure compliance with the Company's obligation to keep adequate accounting records include the use of appropriate systems and procedures and employment of competent persons. The accounting records are kept at First Floor, Connaught House, 1 Burlington Road, Dublin 4, Ireland.

Auditors The auditors, PricewaterhouseCoopers, will be re-appointed in accordance with Section 383(2) of the Companies Act 2014.

Statement of Directors' responsibilities The Directors are responsible for preparing the Directors' Report and the financial statements in accordance with applicable Irish law.

Irish law requires the directors to prepare financial statements for each financial year that gives a true and fair view of the company's assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the company for the financial year. Under that law the Directors have prepared the financial statements in accordance with Generally Accepted Accounting Practice in Ireland including Financial Reporting Standard 101 Reduced Disclosure Framework (FRS 101)(accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland and Irish law).

Under Irish law the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the company's assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the company for that year.

In preparing these financial statements, the Directors are required to: • select suitable accounting policies and apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the financial statements have been prepared in accordance with applicable accounting standards and identify the standards in question, subject to any material departures from these standards being disclosed and explained In the financial statements;

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business; and

• notify the Company's shareholders in writing about the use of disclosure exemptions, if any, of FRS 101 used in the preparation of the financial statements.




Statement of Directors' responsibilities (continued) The Directors are responsible for keeping adequate accounting records that are sufficient to: • correctly record and explain the transactions of the Company; • enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy; and

e enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those financial statements to be audited.

The Directors 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.

On behalf of the Board

~eirecEtor 1~~~ Director

/46 July 2016 July2016



Statement of Directors' responsibilities (continued) The Directors are responsible for keeping adequate accounting records that are sufficient to: • correctly record and explain thee transactions of the Company; • enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be

determined with reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those financial statements to be audited.

The Directors 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.

On behalf of the Board

Director Director July 2016 . 1Juiy 2016


INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF MACQUARIE STRUCTURED SECURITIES (EUROPE) PLC

Report on the financial statements

In our opinion, Macquarie Structured Securities (Europe) plc's financial statements (the "financial statements"):

• give a true and fair view of the company's assets, liabilities and financial position as at 31 March 2016 and of its profit for the period then ended;

• have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland; and • have been properly prepared in accordance with the requirements of the Companies Act 2014.

The financial statements comprise:

• the balance sheet as at 31 March 2016; • the profit and loss account for the year then ended; • the statement of changes in equity for the year then ended; and • the notes to the financial statements, which include a summary of significant accounting policies and other

explanatory information.

The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland (Generally Accepted Accounting Practice in Ireland), including FRS 101 "Reduced Disclosure Framework".

In applying the financial reporting framework, the directors have made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events.

Matters on which we are required to report by the Companies Act 2014

• We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

• In our opinion the accounting records of the company were sufficient to permit the financial statements to be readily and properly audited.

• The financial statements are in agreement with the accounting records. • In our opinion the information given in the Directors' Report is consistent with the financial statements.

Matters on which we are required to report by exception

Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors' remuneration and transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this responsibility.

PricewaterhouseCoopers, One Spencer Dock, North Wall Quay, Dublin i, Ireland, I.D.E. Box No. 137 T. +353 (0)1 792 6000, F. +353 (0)1 792 6200, www.pwc.com/ie

Chartered Accountants

INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF MACQUARIE STRUCTURED SECURITIES (EUROPE) PLC - continued

Responsibilities for the financial statements and the audit

As explained more fully in the Directors' Responsibilities Statement set out on pages 6 and 7, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board's Ethical Standards for Auditors.

This report, including the opinions, has been prepared for and only for the company's members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

• whether the accounting policies are appropriate to the company's circumstances and have been consistently applied and adequately disclosed;

• the reasonableness of significant accounting estimates made by the directors; and • the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the directors' judgements against available evidence, forming our own judgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive procedures or a combination of both.

In addition, we read all the financial and non-financial information in the directors' report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

FN ! John Bligh for and on behalf of PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 21 July 2o16


Financial Statements

Profit and loss account for the financial year ended 31 March 2016

2016 2015 Notes € €

Interest receivable and similar income 3 717,233 597,619 Interest payable and similar charges 4 (717,495) (597,618) Net interest (expense)/income (262) 1

Net gains/(losses) on financial liabilities held at fair value through profit or loss 336,877 (38943) Net (losses)/gains on financial assets held at fair value through profit or loss (336,877) 38,943 Other operating income 2 10,262 9,999

Profit on ordinary activities before taxation 10,000 10,000 Tax on profit on ordinary activities 5 (2,500) (2,500)

Profit on ordinary activities after taxation 7,500 7,500

Profit on ordinary activities before taxation relate wholly to continuing operations. There is no difference between the profit on ordinary activities before taxation and the retained profit for the years stated above and their historical cost equivalents.

The Company has not recognised gains and losses other than those included in the results above, and therefore no separate statement of comprehensive income has been presented.

The above profit and loss account should be read in conjunction with the accompanying notes on pages 13 to 26.

Macquarie Structured Securities (Europe) Public Limited Company 2016 Financial Statements 10


Balance Sheet as at 31 March 2016

2016 2015 Notes € €

Assets Fnanciaiassets at fair value through pratt or toss 6 12,649,936 13,410,599 (Including €12,649,936 (31 March 2015 €13,168,759) due after one yeast Debtors 7 351,666 294,449 Cash at bank 8 40,307 40,420 Total assets 13,041,809 13,745.468

Current liabilities Creditors amounts falling due wittn one year 9 (314,533) (506,869)

Total assets less current liabilities 12,727,276 13,238,599

Creditors: amounts falling due after more than one year 10 (12,649,936) (13,168,759)

Net assets 77,340 69,540

Capital and reserves Caved up share capital presented as equity 11 40,000 40,000 Profit and loss account 12 37,340 29,840 Total shareholders' funds 13 77,340 69.840

The above baiance Sheet should be read in corJuncUcn with the accompanying notes on pages 13 to 28. On behalf of the Board

Director Director


Balance Sheet as at 31 March 2016

2016 2015

Notes € €

Assets

Financial assets at fair value through profit or loss 6 12,649,936 13,410,599 (including €12,649,936 (31 March 2015: €13,168,759) due after one year Debtors 7 351,566 294,449 Cash at bank 8 40,307 40,420 Total assets 13,041,809 13,745,468

Current liabilities

Creditors: amounts falling due within one year 9 (314,533) (506,869)

Total assets less current liabilities 12,727,276 13,238,599

Creditors: amounts falling due after more than one year 10 (12,649,936) (13,168,759)

Net assets 77,340 69,840

Capital and reserves

Called up share capital presented as equity 11 40,000 40,000

Profit and loss account 12 37,340 29,840

Total shareholders' funds 13 77,340 69,840

The above balance sheet should be read in conjunction with the accompanying notes on pages 13 to 26. On behalf of the Board

Director Dir

rt



Statement of changes in equity for the financial year ended 31 March 2016

Called up share capital presented Profit and loss

as equity account Total equity € € €

Balance at 1 April 2014 40,000 22,340 62,340 Profit after income tax - 7,500 7,500 Other comprehensive income - - -

Balance at 31 March 2015 40,000 29,840 69,840

Balance at 1 April 2015 40,000 29,840 69,840 Profit after income tax 7,500 7,500 Other comprehensive income - -

Balance at 31 March 2016 40,000 37,340 77,340

The above statement of changes in equity should be read in conjunction with the accompanying notes on pages 13 to 26.



Notes to the financial statements for the financial year ended 31 March 2016

Note 1 Summary of significant accounting policies

i) Basis of preparation The financial statements have been prepared on the going concern basis and in accordance with Irish GMF, (accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland and the Companies Act 2014). The financial statements comply with Financial Reporting Standard 101 Reduced Disclosure Framework' ('FRS 101 ') and the Companies Acts 2014 (the Act').

The preparation of financial statements in conformity with FRS 101 requires the use of certain critical accounting estimates. It also requires management to exercise its judgement in the process of applying the company's accounting policies. The areas involving a higher degree of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are disclosed in Note 1 ji).

FRS 101 sets out a reduced disclosure framework for a 'qualifying entity' as defined in FRS 101 which addresses the financial reporting requirements and disclosure exemptions in the financial statements of qualifying entities that otherwise apply the recognition, measurement and disclosure requirements of European Union ("EU") adopted International Financial Reporting Standards ('lFRS).

The Company is a qualifying entity for the purposes of FRS 101. Note 19 gives details of the Company's parent and from where its consolidated financial statements prepared in accordance with IFRS may be obtained.

These are the first financial statements of the company prepared in accordance with FRS 101. The Company's date of transition to FRS 101 is 1 April 2014. The Company has notified its shareholders in writing about, and they do not object to, the use of the disclosure exemptions availed of by the Company in these financial statements.

The company has availed of a number of exemptions from the disclosure requirements of lFRS in the preparation of these financial statements, in accordance with FRS 101. In accordance with FRS 101 the company has availed of an exemption from the following paragraphs of lFRS: • The requirements of ]AS 7 'Statement of Cash Flows'; • The requirements of paragraphs 30 and 31 of lAS 8 'Accounting Policies, Changes in Accounting Estimates and Errors' (disclosure of information when an entity has not applied a new lFRS that has been issued but is not yet effective); • The requirements of paragraph 17 of lAS 24 'Related Party Disclosures' (key management compensation); and • The requirements of lAS 24 to disclose related party transactions entered into between two or more members of a group where both parties to the transaction are wholly owned within the group.

ii) Critical accounting estimates and significant judgements The preparation of the financial statement in conformity with FRS 101 requires the use of certain critical accounting estimates. It also requires management to exercise judgement in the process of applying the accounting policies. The notes to the financial statements set out areas involving a higher degree of judgement or complexity, or areas where assumptions are significant to the Company and the financial statements such as fair value of financial assets and liabilities.

Estimates and judgments are continually evaluated and are based on historical experience and other factors, including reasonable expectations of future events.

Management believes the estimates used in preparing the financial statements are reasonable. Actual results in the future may differ from those reported and therefore it is reasonably possible, on the basis of existing knowledge, that outcomes within the next financial year that are different from our assumptions and estimates could require an adjustment to the carrying amounts of the assets and liabilities reported.

Foreign currency translations Functional and presentation currency Items included in the financial statements of foreign operations are measured using the currency of the primary economic environment in which the foreign operation operates (the functional currency). The Company's financial statements are presented in Euro (the presentation currency), which is the Company's functional currency.



Notes to the financial statements (continued) for the financial year ended 31 March 2016

Note 1. Summary of significant accounting policies (continued)

iii) Foreign currency translations (continued) Transactions and balances Foreign currency transactions are recorded in the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at year end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the profit and loss account.

IV) Revenue Revenue is measured at the fair value of the consideration received or receivable. Revenue is recognised for the major business activities as follows:

Interest income Interest Income is brought to account using the effective interest method. The effective interest method calculates the amortised cost of a financial instrument and allocates the interest income or expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument or, when appropriate, a shorter period, to the net carrying amount of the financial asset or liability.

V) Gains and losses on trading assets and liabilities Gains and losses related to other financial assets/liabilities at fair value through profit or loss includes all realised and unrealised fair value changes and foreign exchange differences.

vi) Other operating income Other operating income for the year includes the annual fees and expense reimbursements received from MBL in respect of the administration of the structured bond issuances, which Is accounted for on an accruals basis.

At) Interest expense Interest expense is brought to account using the effective Interest method. The effective interest method calculates the amortised cost of a financial Instrument and allocates the interest income or expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument or, when appropriate, a shorter period, to the net carrying amount of the financial asset or liability.

viii) Income tax Tax on the profit or loss for the period comprises current and deferred tax. Tax is recognised in the income statement except to the extent that it relates to items recognised directly in equity, in which case it is recognised in equity. Current tax is the expected tax payable on the taxable income for the period, using tax rates enacted or substantively enacted at the balance sheet date, and any adjustment to tax payable in respect of previous periods. Deferred tax is provided on temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The following temporary differences are not provided for: the initial recognition of goodwill; the initial recognition of assets or liabilities that affect neither accounting nor taxable profit other than in a business combination, and differences relating to investments in subsidiaries to the extent that they will probably not reverse in the foreseeable future. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted or substantively enacted at the balance sheet 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 temporary difference can be utilised. Deferred income tax assets and liabilities are offset when there is a legally enforceable right to offset current tax assets against current tax liabilities and when the deferred income taxes assets and liabilities relate to income taxes levied by the same taxation authority on either the taxable entity or different taxable entities where there is an intention to settle the balances on a net basis.




Note 1. Summary of significant accounting policies (continued)

ix) Investments and other financial assets Financial assets at fafr value through profit or loss This category includes only those financial assets which have been designated by management as held at fair value through profit or loss on initial recognition. The policy of management is to designate a financial asset as such if the asset contains embedded derivatives which must otherwise be separated and carried at fair value; if it is part of a group of financial assets managed and evaluated on a fair value basis; or if by doing so eliminates, or significantly reduces, a measurement or recognition inconsistency that would otherwise arise. Interest income on debt securities designated as at fair value through profit or loss is recognised In the profit and loss account in interest Income using the effective interest method as disclosed in Note 1 (iv). Accrued interest which is unpaid at the year end date is shown separately as part of Debtors.

X) Financial liabilities Financial liabilities at fair value through profit or loss This category includes only those financial liabilities which have been designated by management as held at fair value through profit or loss on initial recognition. The policy of management is to designate a financial liability as such if: the liability contains embedded derivatives which must otherwise be separated and carried at fair value; the liability is part of a group of financial liabilities managed and evaluated on a fair value basis; or if by doing so eliminates, or significantly reduces, a measurement or recognition inconsistency that would otherwise arise. Interest expense on such items is recognised in the profit and loss account in interest expense using the effective interest method. Accrued interest which is unpaid at the year end date is shown separately as part of Creditors failing due within one year.

xi) Cash at bank Cash at bank comprise balances on call held with other Macquaiie Group undertaking.

xii) Offsetting financial assets and liabilities Financial assets and financial liabilities are offset and the net amount reported on the balance sheet when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis, or realise the financial asset and settle the financial liability simultaneously.

xiii) Share Capital Ordinary shares are classified as equity.




2016 2015 € €

Note 2. Profit on ordinary activities before taxation

Profit on ordinary activities before taxation is stated after (crediting)/charging:

Foreign exchange (gains)/losses (612) 782 Internal fees received from other Macquarie Group undertaking (9,650) (10,780)

The profit on ordinary activities before taxation does not include amounts for auditors remuneration. The following amounts were accrued and subsequently paid by MSL for the services rendered in relation to the Company during the years ended 31 March 2016 and 31 March 2015.

Auditors' remuneration (exci VAT and including expenses) Fees payable to the Company's auditors for the audit of the Company 13,800 13,800

Auditors remuneration (including expenses) of €13,800 is payable in respect of the statutory audit of the financial statements. There are no other foes paid or payable by the Company to the Statutory Audit firm In the current or prior years.

Note 3. Interest receivable and similar income

Interest receivable from other Macquarie Group undertakings: - financial assets at fair value through profit or loss 717,220 597,348 -others 13 271

Total interest receivable and similar income 717,233 697,619

Note 4. Interest payable and similar charges

Interest payable to other Macquarie Group undertakings 275 270 Interest payable on financial liabilities at fair value through profit or loss 717,220 597,348 Total interest payable and similar charges 717,495 597,518

Note 5. Income tax expense

Analysis of tax charge for the year Current tax Irish corporation tax 2,500 2,500

Current tax 2,500 2,500 Tax on profit on ordinary activities 2,500 2,500

The effective taxation rate for the year ended 31 March 2016 is higher (2015: higher) than the standard rate of corporation tax in Ireland of 12.5% (2015:12.5%). The differences are explained below:

Profit on ordinary activities before taxation 10,000 10,000 Profit on ordinary activities before taxation multiplied by standard rate of corporation tax in Ireland of 12.5% (2015: 12.5%) (1,250) (1,250) Effects of:

Section 110 of the Taxes Consolidation Act, 1997 (1,250) (1,250) (2,500) (2,500)

The Company is a qualifying company within the meaning of Section 110 of the Irish Taxes Consolidation Act 1997. As such the profits are chargeable to corporation tax under Case Ill of Schedule D at a rate of 25%, but are computed in accordance with the provisions applicable to Case I of Schedule D.




2016 2015

Note 6. Financial assets at fair value through profit or loss

Financial assets at fair value through profit or loss held with other Macquarie Group undertaking 12,649,936 13,410,599 Total other financial assets at fair value through profit or loss 12,649,936 13410,599

These assets have a remaining term to maturity of less than two years and currently have coupon rates of 0% to 6%. For assets with an applicable coupon rate greater than 0%, coupons are received semi-annually. Changes in the fair value of the assets are based on movements in underlying European equity security prices. Payments on maturity of each instrument may be dependent upon the price and relative price of specific European equity securities during and at the maturity of the instrument. The formula involved in calculating the payment on each instrument varies across the instruments held by the Company.

Note 7. Debtors

Amounts owed by other Macquarie Group undertakings 39,530 34,420 Coupon receivable on financial assets at fair value through profit or loss held with other Macquarie Group undertaking 312,033 260,029 Total debtors 351,563 294,449

Amounts owed by other Macquarie Group undertakings are unsecured and have no fixed date of repayment. The Company earns interest on intercompany loans to group undertakings and at 31 March 2016 the rate applied ranged between LIBOR plus 1.17% and LIBOR plus 1.47% (March 2015: LIBOR plus 1.18% and LIBOR plus 1.57%).

Note 8. Cash at bank

Balance held with other Macquarie Group undertaking 40,307 40,420 Total cash at bank 40,307 40,420

Amounts held with other Macquarie Group undertaking are held at call. The Company earns interest on these balances and at 31 March 2016, the rate applied was LIBOR plus 1.17% (March 2015: LIBOR plus 1.18%).

Note 9. Creditors: amounts falling due within one year

Coupon payable on financial liabilities at fair value through profit or loss 312,033 260,029 Financial liabilities at fair value through profit or loss (Refer Note 10) - 241,840 Amount owed to other Macquarie Group undertaking 2,500 -

Taxation - 5,000 Total creditors: amounts falling due within one year 314,533 506,869

Amounts owed to other Macquarie Group undertakings are unsecured and have no fixed date of repayment. The Company incurs interest on amounts to other Macquarie Group undertakings at market rates and at 31 March 2016 the rate applied was LIBOR plus 1.62% (March 2015: LIBOR plus 1.57%).




2016 2015 € €

Note 10. Creditors: amounts failing due after more than one year

Financial liabilities at fair value through profit or loss 12,649,936 13,168759 Total creditors: amounts falling due after more than one year 12,649,936 13,168,759

These liabilities have a remaining term to maturity of less than two years and currently have coupon rates of 0% to 6%. For liabilities with an applicable coupon rate greater than 0%, coupon payments are made semi-annually. Changes in the fair value of the liabilities are based on movements in underlying European equity security prices. Payments on maturity of each instrument may be dependent upon the price and relative price of specific European equity securities during and at the maturity of the instrument. The formula involved in calculating the payment on each instrument varies across the instruments issued by the Company.

The table below details further Information regarding the notes outstanding as at 31 March 2016 and 31 March 2015. Nominal amount

2016 2015 Notes in issue Interest rate Legal maturity date € € Al GW2W 0% 11 March 2018 - 213,000 AOVRRP 3%-6% 21 April 2017 10,195,000 10216,000 Al GSKK 3%-6% 8 ,June 2017 1,726,000 1,800,000 Al GWKE 0%-6% 19 October 2017 823,000 877,000

Note 11. Share Capital 2016 2015 2016 2015

Number of Number of shares shares € €

Ordinary share capital Opening balance of fully paid ordinary shares 40,000 40,000 40,000 40,000 Closing balance of fully paid ordinary shares 40,000 40,000 40,000 40,000 presented as equity

Authorised share capital Ordinary shares of €1 each 100,000 100,000 100,000 100,000 Total authorised share capital 100,000 100,000 100,000 100,000




2016 2015 € €

Note 12. Profit and loss account

Profit and loss account Balance at the beginning of the financial year 29,840 22,340 Profit attributable to ordinary equity holders of Macquarie Structured Securities (Europe) Public Limited Company 7,500 7,500 Balance at the end of the financial year 37,340 29,840

Note 13. Directors' remuneration

During the financial years ended 31 March 2016 and 31 March 2015, all Directors were employed by, and received all emoluments from, other Macquarie Group undertakings. The Directors perform directors' duties for multiple entities in the Macquarie Group, as well as their employment duties within Macquarie Group businesses. Consequently, allocating their employment compensation accurately across all these duties would not be feasible. Accordingly, no separate remuneration has been disclosed.

Note 14. Financial risk management

Risk Management Group

Risk is an integral part of the Macquarie Group's businesses. The main risks faced by the Group are market risk, equity risk, credit risk, liquidity risk, operational risk, legal risk and compliance risk. Responsibility for management of these risks lies with the individual businesses giving rise to them. It is the responsibility of the RMG to ensure appropriate assessment and management of these risks.

RMG is independent of all other areas of the Macquarie Group. The Head of RMG, as Macquaries Chief Risk Officer, is a member of the Executive Committee of MGL and reports directly to the Managing Director and Chief Executive Officer with a secondary reporting line to the Board Risk Committee. RMG authority is required for all material risk acceptance decisions. RMG identifies, quantifies and assesses all material risks and sets prudential limits. Where appropriate, these limits are approved by the Executive Committee and the Board.

The risks which the Company are exposed to are managed on a globally consolidated basis for MGL as a whole, including all subsidiaries, in all locations. Macguano's internal approach to risk ensures that risks in subsidiaries are subject to the same rigour and risk acceptance decisions (i.e. not differentiating where the risk is taken within Macquarie).




Note 14. Financial risk management (continued)

Note 14.1 Credit risk

Credit risk is defined as the risk of a counterparty failing to complete its contractual obligations when they fall due.

Credit risk within the Company is managed on a group basis by the RMG at MGL All of the Company's assets are held with other Macquarie Group undertakings. The majority of the balances are with the Company's intermediate holding company with MBL, which holds an Investment Grade credit rating.

Maximum exposure to credit risk

The table below details the concentration of credit exposure of the Company's assets to significant geographical locations and counterparty types. The amounts shown represent the maximum credit risk of the Company's assets.

2016 2015

Financial Financial assets at

assets at fair fair value value through profit

through Cash at or profit or loss Debtors bank Total loss Debtors Cash at bank Total

€ € € € € € € €

Australia Financial institutions 12,649,936 351,566 40,307 13,041,809 13,410,599 290,789 40,420 13,741,808

Total Australia 12,649,936 351,566 40,307 13,041,809 13,410,599 290,789 40,420 13,741,808

Ireland Other - - - - - 3,660 - 3,660

Total Ireland - - - - - 3,660 - 3,660

Total gross credit risk 12,649,936 351,566 40,307 13,041,809 13,410,599 294,449 40,420 13,745,468





Note 14.1 Credit risk (continued)

Credit quality of financial assets

The table below shows the credit quality by class of financial asset for loan related balance sheet lines, based on the Company's credit rating system.

Credit quality -2016 Neither past due nor

impaired

Investment Grade Unrated Total

€ € € Financial assets at fair value through profit or loss Financial institutions 12,649,936 - 12,649,936

Debtors Financial institutions 351,566 - 351,566 Other - - -

Cash at bank Financial institutions 40,307 - 40,307

Total 13,041,809 - 13,041,809

Credit quality -2015

Neither past due nor impaired

Investment Grade Unrated Total

€ € € Financial assets at fair value through profit or loss Financial institutions 13,410,599 - 13,410,599 Debtors Financial institutions 290,789 - 290,789 Other 3,660 - 3,660

Cash at bank Financial institutions 40,420 - 40,420

Total 13,745,465 - 13,745,468





Note 142 Uquidity risk

Liquidity risk is the risk of an entity encountering difficulty in meeting obligations with financial liabilities.

Liquidity risk within the Company is managed on a group basis by Group Treasury under the oversight from the MGL Asset and Liability Committee, the MGL Board and RMG. The liquidity risk associated with the outstanding liabilities is managed through the offsetting asset balances with MBL Funds raised on the issuance of notes are invested in bonds issued by MBL which have identical terms and maturity dates.

Contractual undiscounted cash lows

The table below summarises the maturity profile of the Company's financial liabilities as at 31 March based on contractual undiscounted repayment obligations. For financial liabilities at fair value through profit or loss, the undiscounted cash lows are based on coupon payments and guaranteed redemption amounts. Repayments which are subject to notice are treated as if notice were given immediately.

On Less than 3 3t012 demand months months 1 to 5 years Over 5 years Total

2016 € € € € € € Creditors: amounts falling due within one year' 2,500 - - - - 2,500 Financial liabilities at fair value through profit or IoW* - 358,610 - 12,744,000 - 13,102,610

Total undiscounted cash flows 2,500 358,610 - 12,744,000 - 13,105,110

On Less than 3 3 to 12 demand months months 1 to 5 years Over 5 years Total

2015 € € € € € €

Creditors: amounts falling due within one year* - - - - -

Financial liabilities at fair value through profit or loss** - 299,577 574,468 13,254,468 - 14,128,513 Total undiscounted cash flows - 299,577 574,468 13,254,468 - 14,128,513

*Excludes items that are not financial instruments, non-contractual accruals and provisions and interest coupon on financial liabilities at fair value through profit or loss.

"Includes current and non current component with interest coupon on financial liabilities at fair value through profit or loss.





Note 14.3 Market risk

Market risk is the exposure to adverse changes in the value of the Company's trading portfolios as a result of changes in market prices or volatility. The Company is exposed to the following risks in each of the major markets in which it trades: - interest rates and debt securities: changes in the level, shape and volatility of yield curves, the basis between different debt securities and derivatives and credit margins; - equities: changes In the price and volatility of individual equities equity baskets and equity indices; and - to the correlation of market prices and rates within and across markets. Market risk of the Company is managed on a globally consolidated basis for Macquarie Group as a whole, including all subsidiaries, in all locations. Macquaries internal approach to risk (i.e. not differentiating where the risk Is taken within Macquarie) ensures that risks in subsidiaries are subject to the same rigour and risk acceptance decisions. The Company has also entered into a kedge Transaction Agreement with MEL which it utilises to manage market risk resulting from issuances on the Italian market. This has hedged all of the market risk and hence the sensitivity to market risk is not presented.

Interest rate risk

The table below indicates the Company's exposure to movements in interest rates as at 31 March.

2016 2015 Sensitivity of Sensitivity of

Movement in profit before profit before basis points tax tax

% € €

Euro 50 433 476 Euro -50 (433) (476)

Foreign currency risk

The Company is exposed to foreign currency risk arising from transactions entered into in its normal course of business. Movement in foreign currency exchange rates will result in gains or losses in the income statement due to the revaluation of certain balances.

Movement of +10% Movement of -10% 2016 2015 2016 2015

€ € € € Australian dollar (165) (173) 165 (165) Great British pound (467) (511) 467 (467)




Note 15. Fair values of financial assets and liabilities

Fair value reflects the amount for which an asset could be exchanged or a liability settled, between knowledgeable, willing parties in an arm's length transaction. Quoted prices or rates are used to determine fair value where an active market exists. If the market for a financial instrument is not active, fair values are estimated using present value or other valuation techniques, using inputs based on market conditions prevailing on the measurement date.

The values derived from applying these techniques are affected by the choice of valuation model used and the underlying assumptions made regarding inputs such as timing and amounts of future cash flows, discount rates, credit risk, volatility and correlation.

Financial instruments measured at fair value are categorised in their entirety, in accordance with the levels of the fair value hierarchy as outlined below: Level 1 - quoted prices (unadjusted) in active markets for identical assets or liabilities; Level 2 - valuations based significantly on inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (i.e. as prices) or indirectly (i.e. derived from prices); Level 3— inputs for the asset or liability that are not based on observable market data (unobservable inputs).

The appropriate level for an instrument is determined on the basis of the lowest level input that is significant to the fair value measurement.

The following methods and significant assumptions have been applied in determining the fair values of financial instruments: - Financial assets and liabilities at fair value through profit or loss and derivative financial instruments are measured at fair value by reference to quoted market prices when available (e.g. listed securities). If quoted market prices are not available, then fair values are estimated on the basis of pricing models or other recognised valuation techniques.

- For financial instruments carried at fair value the determination of fair value includes credit risk (i.e. the premium over the basic interest rate). Counterparty credit risk inherent in these instruments Is factored Into their valuations via credit valuation adjustments ("CVA"). This amount represents the estimated market value of protection required to hedge credit risk from counterparties, taking into account expected future exposures, collateral, and netting arrangements. OVA Is determined when the market price (or parameter) is not indicative of the credit quality of the specific counterparty. Where financial instruments are valued using an internal model that utilises observable market parameters, market practice is to quote parameters equivalent to an interbank credit rating (that is, all counterparties are assumed to have the same credit quality). Consequently, a OVA calculation is necessary to reflect the credit quality of each derivative counterparty to arrive at fair value.

Where valuation techniques are used to determine fair values, they are validated and periodically reviewed by qualified personnel independent of the area that created them. Al models are certified before they are used, and models are calibrated periodically to test that outputs reflect prices from observable current market transactions in the same instrument or other available observable market data. To the extent possible, models use only observable market data (e.g. for OTC derivatives), however management is required to make assumptions for certain inputs that are not supported by prices from observable current market transactions in the same instrument, such as volatility and correlation.




Note 15. Fair values of financial assets and liabilities (continued)

The following table summarises the levels of the fair value hierarchy for financial instruments measured at fair value of the Company at 31 March:

Level 1 Level 2 Level 3 Total

2016 € € € € Assets Financial assets at fair value through profit or loss - (12,649,936) - (12,649,936)

Total assets - (12,649,936) - (12,649,936)

Liabilities Financial liabilities at fair value through profit or loss - (12,649,936) - (12,649,936)

Total liabilities - (12,649,936) - (12,649,936)

Level 1 Level 2 Level 3 Total 2015 € € € €

Assets Financial assets at fair value through profit or loss - (13,410,599) - (13,410,599)

Total assets - (13,410,599) - (13,410,599)

Liabilities Financial liabilities at fair value through profit or loss - (13,410,599) - (13,410,599)

Total liabilities - (13,410,599) - (13,410,599)

Note 16. Segmental Reporting

Business segments - turnover All income for the period relates to the Company's activity of the issuance of structured notes.

Geographical segments - turnover Profit/(loss) on ordinary activities before taxation

2016 2015 € €

United Kingdom 389,992 646,292 Italy (380,342) (636,291) Other 350 (1) Total turnover 10,000 10,000

The geographical segment is determined as the geographical area to which, or from which, issued products and services are supplied.




Note 17. Contingent liabilities and commitments The Company has no commitments or contingent liabilities which are Individually material or a category of commitments or continuant liabilities which are material.

Note 18. Employee information

The Company had no employees during the year (2015: nil), but had access to labour through agreements with other group companies. The Company was not charged for these services.

Note 19. Ultimate holding company The immediate parent company of the Company Is Macquarie European Investment Holdings Limited. The ultimate parent company and controlling party of the Company Is Macquarie Group Limited. The largest group to consolidate these financial statements is Macquarie Group Limited, a company Incorporated In Australia. The smallest group to consolidate these financial statements Is Macquarie Bank Limited, a company incorporated In Australia. Copies of the consolidated financial statements for Macquarie Group Limited and Macquarie Bank Limited can be obtained from the Company Secretary, Level 6, 50 Martin Pace. Sydney, New South Wales. 2000, Australia.

Note 20. Transition to FRS 101 As stated in Note 1 • these are the Company's first annual financial statements prepared in accordance with FIRS 101. The accounting policies set out In Note I have been applied in preparing the annual financial statements for the year ended 31 March 2016 and the comparative Information presented in these annual financial statements for the year ended 31 March 2015.

Reconciliations of IR GAAP to FRS 101 The transition from IR GMP to FIRS 101 has had no Impact an the shareholders' equity as at 1 April 2014 (the Company's date of transition) and as at 31 March 2015 or on the profit or loss for the year ended 31 March 2015. Also no changes either in the classification or reclass of amounts between different line items within the balance sheet or profit and loss account has been noted. Hence, no reccnciliations have been presented.

Note 21. Events after the reporting period There were no material events subsequent to 31 March 2018 that have not been reflected in the financial statements.

Note 22. Approval of accounts The directors approved the financial statements orr/3 July 2018.

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