Annual accounts of ZOO ABS II B.V. for the year 2017

Annual accounts of ZOO ABS II B. V.

for the year 2017

Trade Register number: 34235622

Address: Prins Bernhardplein 200, 1097 JB Amsterdam

ZOO ABS H B. V., Amsterdam, the Netherlands

Annual Report for the year 2017

Table of contents

Annual accounts

Director' s report -----------------------------------------------------

General----------------------------------------------------------

Overview of activities -------------------------------------------

AuditCommittee ------------------------------------------------

Financial risk management -------------------------------------

Results-----------------------------------------------------------

Future outlook ---------------------------------------------------

Balance sheet as at December 31, 2017 ---------------------------

Profit and loss account for the year 2017 --------------------------

Cash flow statement for the year 2017 ----------------------------- Notes to the annual accounts ---------------------------------------

Basis of presentation ------------------------------------------------ a. Foreign currencies ---------------------------------------

b. Financial fixed assets and long term liabilities--------- c. Assets and liabilities -------------------------------------

d. Recognition of income -----------------------------------

e. Corporate income tax ------------------------------------

f. Result -----------------------------------------------------

9. Cash flow statement -------------------------------------

h. Financial risk management ------------------------------

i. Contingent liabilities -------------------------------------

Other information ----------------------------------------------------

Independent auditor' s report-----------------------------------

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Director' s reportManagement herewith presents to the shareholder the annual accounts of ZOO ABS II B. V. ( the

Company') for the financial year 2017.

General

The Company was incorporated on October 28, 2005 as a private company with limited liabilityunder the laws of The Netherlands. The Company' s registered address is at Prins Bernhardplein

200, 1097 JB Amsterdam, the Netherlands. All issued shares are held by Stichting Zoo ABS IIwhich is also established at Prins Bernhardplein 200, 1097 JB in Amsterdam.

The objects of the Company, stated in Article 2 of its articles of association are, inter alia, the

raising of funds through the issuance of bonds, loans, debt instruments and other evidences of

indebtedness, shares, warrants and other similar securities and also financial derivatives. On December 22, 2005 the Company issued several classes of notes ( the " Notes"). The Notes are

secured by way of a security over a portfolio of collateral debt securities (" Collateral Debt

Securities") predominantly consisting of Euro denominated asset - backed securities, collateralised

debt securities and synthetic securities ( including collateralised synthetic obligations) (" Collateral

Portfolio"). The Notes are also secured by various of the Company' s other rights under or inconnection with the transaction, including the rights of the agreements entered into on the

issuance date. The Notes are listed on the Irish Stock Exchange. For a complete description of the

terms and conditions of this transaction, we refer to the Prospectus dated December 21, 2005.

Overview of activities

During the year under review, the activities and results of the Company developed in line withmanagement' s expectations. On each interest payment date the Class Al Notes were partiallyrepaid in accordance with the deal documentation. During the year a total amount of EUR

16, 291, 958 was repaid on the Class Al Notes.

In accordance with the Prospectus the ratio of the Collateral Portfolio in relation to the outstandingamounts of the highest classes of notes ( for the " C" test up to and including the Class C notes, forthe " D" test up to and including the Class D Notes and for the " E" test up to and including the ClassE Notes) should be at least a certain percentage. The Class C and D overcollateralization testshould at least be 104% and the Class E overcollateralization test should be at least 101. 5%. We

refer to note 1 of these accounts for a further explanation of the tests. As per the end of December2017 the Class D and E overcollateralization tests are not breached. Furthermore, several collateral

quality tests are breached ( amongst which all S& P evaluator tests) and portfolio profile tests hasbeen breached. Finally, several rating agency tests are in breach.

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ZOO ABS I/ B. V , Amsterdam, the Netherlands


Audit Committee

The Company makes use of the exemption for securitisation vehicles concerning the obligation toestablish an audit committee, as defined in article 3d of the implementing regulation enforcingarticle 41 of the European Directive nr. 2006/ 43/ EG. The public was informed hereof by anadvertisement in a national newspaper in April 2009.

Financial risk management

The Company' s activities are exposes to a variety of financial risks, being credit risk, concentrationrisk, interest rate risk and liquidity risk.

Liquidity risk

The liquidity risk is the risk arising from fluctuations in the amount and timing of receipt of theprincipal and interest on the Collateral Portfolio by the Company. At balance sheet date 5. 81% of

the total loans portfolio consists of Caal obligations or lower. At balance sheet date 41. 79% of the

Notes is rated Caal or lower, being the unrated Subordinated Notes and the Class C, D and ENotes.

Credit risk

Risks applicable to Senior Secured Loans, Second Lien Loans and Mezzanine Obligations alsoinclude the possibility that earnings of the issuer of the asset ( the " Obligor") may be insufficient to

meet its debt service obligations thereunder and the declining creditworthiness and potential forinsolvency of the Obligor of such loans during periods of rising interest rates and economic

downturn. An economic downturn could severely disrupt market for leveraged loans and adverselyaffect the value thereof and the ability of the Obligor thereunder to repay principal and interest. The investment strategy and eligibility criteria as laid down in the Offering Circular determine howto manage credit risk. The Company uses internationally recognized statistical rating agencies suchas Moody' s Investor Services and Standard and Poor' s to monitor the credit risk of the CollateralPortfolio.

Concentration risk

The credit and concentration risk is the risk that the Collateral Portfolio is concentrated in oneissuer, industry, region or country as a result of the increased potential for correlated defaults inrespect of a single issuer or with a single industry, region or country as a result of downturnsrelating generally to such industry, region or country. This risk is mitigated through diversification

tests on the portfolio to limit credit and concentration risk ( and therefore exposure) in any oneparticular industry, region, country or issuer.

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ZOO ABS I/ B. V., Amsterdam, the Netherlands


The concentration risk can be detailed as follows, being loans per country as a percentage of totalloans portfolio:

Country Percentage

Europe 8. 10%

Italy 58. 70%

Netherlands 6. 20%

Portugal 7. 23%

SapinSpain 19. 77%

Market risk

The disposal risk is the risk that the market value of leveraged loans at any time will vary from theprice at which such loans were initially purchased and from the principal amount of such loans incase of a default.

Risks associated with Senior Loans and Mezzanine Obligations

The risk associated with Senior Loans and Mezzanine Obligations is that the secondary markets forthese receivables are not efficient due to insufficient information about their collateral.

Interest rate risk

The Company is exposed to various risks associated with the effects of fluctuations in the prevailinglevels of market interest rates on its financial position and cash flows.

Currency risk

Matching of maturities of the assets and liabilities and related cash flows in other currencies than

the Euro is fundamental to management of the Company. This risk is addressed and mitigated bycurrency hedge swap agreements.

Counterparty risk

Participations, Synthetic Securities, Structured Finance Securities, Interest Rate Hedge Agreements

and Currency Hedge Agreements involve the Company entering into contracts with counterparties. Pursuant to such contracts, the counterparties agree to make payments to the Company under

certain circumstances as described therein. The counterparty risk is the risk that the Company willbe exposed to the credit risk of the relevant counterparty with respect to any such payments.

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ZOO ABS 11 B. V., Amsterdam, the Netherlands


Credit Risk

An investment in Collateral Debt Securities exposes the Company to the risk that a security willdefault on the payment of interest, principal or both. The credit risk has not been mitigated by theCompany. Any potential losses will be charged to the Noteholders. The maximum exposureamounts to EUR 63, 597, 828.

Default Risk

The subordination levels of each of the Classes of Notes will be established to withstand certain

assumed deficiencies in payment caused by defaults on the related Collateral Debt Securities.

There is no assurance that actual losses will not exceed such assumed losses. If actual paymentdeficiencies exceed such assumed levels, however, payments on the Notes could be adverselyaffected. The amount of defaults on the Collateral Portfolio which adversely affects each Class ofNotes will be directly related to the level of subordination thereof pursuant to the priorities ofpayments. The risk that payments on the Notes could be adversely affected by defaults on therelated Collateral Portfolio is likely to be increased to the extent that the Portfolio is concentrated in

any one obligor, industry, region or country as a result of the increased potential for correlateddefaults in respect of a single obligor or within a single industry, region or country as a result ofdownturns relating generally to such industry, region or country. To the extent that a defaultoccurs with respect to the Collateral Portfolio and the Company, or the Collateral Manager actingon its behalf of the trustee sells, or otherwise disposes of such Collateral Debt Securities, the

proceeds of such sale or disposition are likely to be less than the unpaid principal and interestthereon. In addition, the Company may incur additional expenses to the extent it seeks recoveries

upon the default of a Collateral Debt Security or participates in the restructuring of a CollateralDebt Security. Even in the absence of a default with respect to any of the Collateral DebtSecurities, the potential volatility and illiquidity of the markets for such Collateral Debt Security, means that the current market value of a Collateral Debt Security may be less than the market

value of such Collateral Debt Security when initially purchased and/ or less than the current

principal amount of such Collateral Debt Security. Accordingly, no assurance can be given as to theamount of proceeds of any sale or disposition of such Collateral Debt Securities at any time, or thatthe proceeds of any such sale or disposition would be sufficient to repay a corresponding paramount of principal of and interest on the Notes after, in each case, paying all amounts payableprior thereto pursuant to the priorities of payments. Moreover, there can be no assurance as to the

timing of any recovery.

Risk appetite

The entity is subjected to the prospectus, in which the objects and main risks of entity are defined.

As part of its objects, the Company issues certain tranches of notes with various levels ofsubordination. The proceeds of the Notes are applied to purchase the Collateral Portfolio.

Repayment of principal and interest payment on debt securities are subject to financial risks such

as amongst others credit and counterparty risk. These risks have been mitigated through

diversification in terms of Industry, Country and Credit rating. If and when these risk materializeinto losses, these losses will be borne by holders of the Notes in reverse order of the subordination

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ZOO ABS // B. V., Amsterdam, the Netherlands


of the various tranches. The return which the Company offers on the tranches of notes correlatesto the amount of risk to which it is exposed.

The Company by its nature exposes itself to managed financial risks. The investors in Notes issuedby the Company are made aware of these risks and understand the adverse effects on theCompany' s ability to meet its obligations under the Notes in the event these risks materialize intolosses.

In case the financial risks to which the Company is exposed result in financial losses certain

tranches of the Notes will be affected. Depending on the severity of the losses and the Company' sability to recover from these losses coupon payments will be deferred and eventually principal willbe amortized to align assets with liabilities. Furthermore, part of the investment manager

remuneration is variable and only becomes due and payable based on its performance andavailable cash flows.

Results

The total shareholder' s equity of the Company as at December 31, 2017 amounts to EUR 43, 8892016: EUR 35, 767). The result for the year ended December 31, 2017 amounts to a profit of

EUR 18, 122 ( 2016: EUR 17, 767).

Future outlook

No events have occurred since the balance sheet date, which would change the financial position ofthe Company and which would require adjustment of or disclosure in the financial statements nowpresented.

Management is of the opinion that the present level of activities will be maintained during the nextfinancial year.

Depending on the outcome of Class C, D and E overcollateralization tests on future interestpayment dates, interest on Class C, D and E Notes may not be paid and the Class A- 1 and Class A-

2 may be redeemed further. The fair value of the Collateral Portfolio is lower than the outstandingNotes amount.

On 21 June 2018 a general meeting of shareholders was held in which it was decided to distributethe dividends with respect to financial year 2016 which matches EUR 7, 765. 64 as well as EUR18. 120, 95 with respect to financial year 2017.

Amsterdam, 5 September 2018

B. J. C. Paulusma G. J. Huizing E. M. van Ankeren

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ZOO ABS ll B. V., Amsterdam, the Netherlands


Balance sheet as at December 31, 2017

Before proposed appropriation of the result and expressed in Euros)

Assets

Financial fixed assets

Total fixed assets

Current assets

Interest receivables

Other receivables

Cash and cash equivalentsTaxation

Total current assets

Current liabilities ( due within one year) Accrued interest payable and deferred incomeOther liabilities

Total current liabilities

Current assets less current liabilities

Total assets less current liabilities

Long term liabilities ( due after one year) Floating rate of the NotesTotal long term liabilities

Capital and reserves

Paid up and called up share capitalOther reserves

Result for the yearTotal shareholder' s equity

Total shareholder' s equity and long term liabilities

Note 2017 2016

1 63, 597, 828 80, 109, 883

63, 597, 828 80, 109, 883

2 66, 959

3 20, 980

4 92, 737

5 135

180, 811

172, 511

19, 425

78, 318

319

270, 573

6 37, 181 37, 747

7 29, 886 39, 559

67, 067 77, 306

113, 744 193, 267

63, 711, 572 80, 303, 150

8 63, 667, 683 80, 267, 383

63, 667, 683 80, 267, 383

9

18, 000 18, 000

7, 767 0

18, 122 17, 767

43, 889 35, 767

The accompanying notes form an integral part of these financial statements.

63, 711, 572 80, 303, 150

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Profit and Loss account for the year 2017

Expressed in Euros)

Interest income results

Interest income on Collateral Portfolio

Other income/( expenses) on Collateral Portfolio

Gains and ( losses) on Collateral PortfolioRevaluations of ( impairments)

Other financial income and expenses

Reversed accrued subordinated collateral management feeInterest expense on Notes

Deferred compensation income due from Noteholders

Total other financial income and expenses

Operating expensesGeneral and administrative expenses

Total operating expenses

Result before taxation

Corporate income tax

Result after taxation

Note 2017 2016

10 504, 654 929, 818

504, 654 929, 818

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723, 585) ( 178, 558)

607, 715 1, 104, 316

115, 870) 925, 758

0 ( 1, 999, 409)

12 324, 565 295, 794

13 ( 307, 943) 3, 033, 417

16, 622 1, 329, 802

14 349, 510 503, 566

349, 510 503, 566

22, 652 22, 208

15 ( 4, 530) ( 4, 441)

18, 122 17, 767


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ZOO ABS /I B. V., Amsterdam, the Netherlands


Cash flown statement for the year 2017

Expressed in Euros)

Cashflow from operational activities

Net result after taxation

Adjustment for amortization of Collateral Portfolio

Adjustment expense deferred subordinated loans

Changes in working capitalCurrent assets

Current liabilities

Cash flow from operating activities

Cash flow from investing activitiesPaydown/ sale asset Collateral Portfolio

Cash flows from financing activitiesDividend paid

Net change in long term liabilities excluding ( reversal of) impairment

Net change in cash during the year

Cash balance per January 1

Cash at year- end

2017 2016

18, 122 17, 767

202, 299) 254, 320)

915, 455) 1, 929, 101

104, 181 101, 374

10, 239) ( 3, 490)

17, 322, 067 25, 772, 667

17, 322, 067 25, 772, 667

10, 000) ( 7, 642)

16, 291, 958) ( 27, 566, 859)

16, 301, 958) ( 27, 574, 501)

78, 318 89, 719

For interest income received and interest expense paid we refer to notes 2, 6, and 10. For taxes paid/ received we refer to notes 5 and 15.


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Notes to the annual accounts

General

The Company was incorporated on October 28, 2005 as a private company with limited liabilityunder the laws of The Netherlands. The Company' s registered address is at Prins Bernhardplein200, 1097 JB Amsterdam, the Netherlands. The Company is registered at the Dutch Chamber ofCommerce ( 34235622). All issued shares are held by Stichting Zoo ABS II which is also establishedat Prins Bernhardplein 200, 1097 JB in Amsterdam.

The objects of the Company, stated in Article 2 of its articles of association are, inter alia, theraising of funds through the issuance of bonds, loans, debt instruments and other evidences ofindebtedness, shares, warrants and other similar securities and also financial derivatives.

On December 22, 2005 the Company issued several classes of notes ( the " Notes"). The Notes are

secured by way of a security over a portfolio of collateral debt securities (" Collateral Debt

Securities") predominantly consisting of Euro denominated asset - backed securities, collateraliseddebt securities and synthetic securities ( including collateralised synthetic obligations) (" Collateral

Portfolio"). The Notes are also secured by several of the Company' s other rights under or inconnection with the transaction.

For a complete description of the terms and conditions of this transaction, we refer to theProspectus dated December 21, 2005.

On the payment date falling December 2010, the reinvestment period came to an end. After this, principal proceeds and uninvested proceeds could no longer be used by P& G SGR S. p. a. ( the

Collateral Manager") to acquire additional collateral. All proceeds will be applied according to thewaterfall order of priority to the repayment of principal to Senior Noteholders. Furthermore, the Company has purchased for cash, in the amount of EUR 45, 072, 017 of

outstanding Class A- 1 Notes, pursuant to two tender offer invitations ( the " Tender Offer"). The

Tender Offers were financed mainly by cash generated by the amortisation of Collateral DebtSecurities in the Portfolio but also by the sale of such Collateral Debt Securities, All Notesrepurchased pursuant to the Tender Offers are cancelled. The Company believes that

implementation of the Tender Offers strengthened the credit enhancement for all Class of Notes.

Since December 31, 2009, due to the impressive rating agencies' actions which caused a sharpincrease in the sub investment grade bucket, the par value of the Company was severely cut. Thiscaused the breach of the Class C, D and E overcollateralization tests as well as the breach ofMoody' s maximum weighted average rating factor test ( since December 2009). In addition to this,

several portfolio profile tests have been breached. Furthermore, the weighted average life of eachasset backing the Collateral Portfolio has been revised and the weighted average life test iscurrently in breach. Finally, all S& P Evaluator tests are in breach ( since January 2010). Due to the

breach of the Class C, D and E overcollateral ization tests the interest amounts on the Class D and E Notesdue since December 2009 were deferred and the Class A-1 and Class A-1D Notes were partiallyredeemed. The breaches of the other tests do not have any (direct) consequences. The deferred

interest remains payable in accordance the sequence of the waterfall priorities of payment untilany payment date on which sufficient funds would be available to settle the deferred interest amounts. 11

ZOO ABS 11 B. V , Amsterdam, the Netherlands


On July 4, 2011 the Class A- 11) Noteholder surrendered its class A- 1D Notes to the Company andthe Company exchanged the Class A- 1D Notes for Class A- 1 Notes. As per the transaction, as soonas the full amount of EUR 21, 000, 000 Al- D Notes was drawn, the Class A- 1D Noteholder should

surrender its Class A- 1D Notes to the Registrar in exchange for a Class A- 1 Notes in a principalamount equal to the principal amount outstanding of the Class A- 1D Notes at the time of suchsurrender. The full EUR 21, 000, 000 was drawn at the closing date, which means the Class A- 1DNotes should have been converted to Class Al Notes on the payment date in March 2006. This was

overlooked by all parties. The fact that this conversion now only occurred in July 2011 has had nolegal or economic consequences.

BoNY acts as principal paying agent, calculation agent, trustee, account bank, custodian, collateraladministrator, registrar and transfer agent. P& G SGR S. p. a. acts as Collateral Manager.

Basis of presentation

The accompanying accounts have been prepared in accordance with accounting principles generallyaccepted in The Netherlands ( Dutch GAAP) and in conformity with provisions governing financialstatements as contained in Part 9, Book 2 of the Dutch Civil Code. The financial statements arepresented in Euros.

The most significant accounting principles are as follows:

a. Foreign currencies

The Company is not exposed to any currency exchange rate risks, as all of the assets andliabilities are denominated in Euros.

b. Financial fixed assets and long term liabilitiesPurchased loans and bonds, which the Company intends to hold to maturity, as well asnotes outstanding, are measured at amortised cost less impairment losses.

The fair value of the Collateral Portfolio is measured on an item level. The impairment

analysis is also made on an item level. Where the fair value of a certain item is significantlybelow the carrying amount, management analyses whether the lower fair value is

considered to be temporary or permanent. If it is considered to be permanent, impairmentis taken. For items of which the fair value is below the carrying amount but management is

of the opinion the lower fair value for these Collateral Portfolio items is a temporarydecrease in value rather than a permanent decrease, it is decided to maintain these itemsof Collateral Portfolio at their carrying amount.

C. Assets and liabilities

All other assets and liabilities are valued at cost price and shown at nominal value, unlessstated otherwise in the notes. Premiums and discounts on purchase are capitalised andamortised on a linear basis ( which approximates the effective yield amortisation) over theremaining life of the instrument. All other assets and liabilities are shown at face value,

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unless otherwise stated in the notes.

d. Recognition of income

Income and expenses, including taxation, are recognised and reported on an accrual basis.

e. Corporate income tax

The calculation of corporate income tax is based on the tax ruling dated December 20, 2005.

f. Result

Each quarter the total interest proceeds are paid out in the waterfall. Any proceeds that areleft after paying the fees and the interest on the notes are paid as additional interestincome to the Noteholders.

g. Cash flow statement

The cash flow statement is prepared based on the indirect method.

h. Financial risk management

The Company' s activities are exposed to a variety of financial risks, mainly the effect ofchanges in the interest rates and differences between the market value and nominal valueof the Collateral Portfolio.

Concentration risk

The portfolio profile tests impose limits on the percentage of the various asset types, ratings and hedging. These limits are described extensively in the Prospectus.

Interest rate risk

The Notes bear interest at a floating rate based on Euribor plus a spread ( 0. 15%- 6%).

Interest on each Class of Notes is payable quarterly in arrears on each payment date inaccordance with the interest proceeds priority of payments. Interest on the CombinationNotes is payable on the same terms as the Classes of Notes to which the components ofthe relevant Combination Notes correspond. No other interest payments are made on theCombination Notes. If interest payments on the Class C Notes and/ or the Class D Notes

and/ or Class E Notes cannot be made on any payment date as a result of there beinginsufficient interest proceeds available for such purpose, then such unpaid interest will be

deferred and will itself accrue interest at the rate of interest applicable to such Notes. Anynon- payment of amounts due and payable on the Class C Notes, the Class D Notes, the

Class E Notes or the Subordinated Notes as a result of the insufficiency of available interestproceeds will not constitute an event of default and such due and payable amounts ( otherthan Subordinated Notes additional interest) will, under the deal documentation, be

deferred and interest will accrue thereon at the applicable floating rate of interest. Sincethe ( deferred) interest on the Subordinated Notes is only payable if and when sufficientfunds are available to settle the ( deferred) amount, this interest component is not accrued

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in these annual accounts. The non- payment of interest on the Combination Notes will onlyaffect such Notes to the extent that the Classes of Notes corresponding to the componentsof the relevant Combination Notes are affected by such non- payment of interest asdescribed above. The Collateral Portfolio will bear interest at fixed or floating rates ofinterest in amounts which will not necessarily correspond to the basis on which interest ispayable.

Default Risk

The subordination levels of each of the Classes of Notes will be established to withstand

certain assumed deficiencies in payment caused by defaults on the related Collateral DebtSecurities. There is no assurance that actual losses will not exceed such assumed losses. If

actual payment deficiencies exceed such assumed levels, however, payments on the Notescould be adversely affected. The amount of defaults on the Collateral Portfolio which

adversely affects each Class of Notes will be directly related to the level of subordinationthereof pursuant to the priorities of payments. The risk that payments on the Notes couldbe adversely affected by defaults on the related Collateral Portfolio is likely to be increasedto the extent that the Portfolio is concentrated in any one obligor, industry, region orcountry as a result of the increased potential for correlated defaults in respect of a single

obligor or within a single industry, region or country as a result of downturns relatinggenerally to such industry, region or country. To the extent that a default occurs with

respect to the Collateral Portfolio and the Company, or the Collateral Manager acting on itsbehalf of the trustee sells, or otherwise disposes of such Collateral Debt Securities, the

proceeds of such sale or disposition are likely to be less than the unpaid principal andinterest thereon. In addition, the Company may incur additional expenses to the extent it

seeks recoveries upon the default of a Collateral Debt Security or participates in therestructuring of a Collateral Debt Security. Even in the absence of a default with respect to

any of the Collateral Debt Securities, the potential volatility and illiquidity of the marketsfor such Collateral Debt Security, means that the current market value of a Collateral Debt

Security may be less than the market value of such Collateral Debt Security when initiallypurchased and/ or less than the current principal amount of such Collateral Debt Security. Accordingly, no assurance can be given as to the amount of proceeds of any sale ordisposition of such Collateral Debt Securities at any time, or that the proceeds of any suchsale or disposition would be sufficient to repay a corresponding par amount of principal ofand interest on the Notes after, in each case, paying all amounts payable prior theretopursuant to the priorities of payments. Moreover, there can be no assurance as to the

timing of any recovery.

Credit Risk

An investment in Collateral Debt Securities exposes the Company to the risk that a securitywill default on the payment of interest, principal or both. The credit risk has not been

mitigated by the Company. Any potential losses will be charged to the Noteholders. Themaximum exposure amounts to EUR 63, 597, 828.

Cash flow hedge transaction

The Company has entered into an agreement with Credit Agricole Corporate & Investment

Bank ( formerly CALYON) ( the " Cash Flow Hedge Counterparty"). This is named the " Cash

Flow Hedge Transaction" in accordance with the deal documentation. It serves as a

guarantee in order to cover interest shortfalls on the Rated Notes and interest shortfalls on

the Senior Notes which are linked to scheduled interest payments of one or more PIK14



Securities ( other than specified deferred interest PIK Securities) being deferred orcapitalised as additional principal thereof.

Asset swap transactions

The Collateral Manager, on behalf of the Company, may purchase Collateral Debt Securities

that are denominated in a currency other than Euros provided that an asset swaptransaction is entered into in respect of each such Collateral Debt Security with one ormore asset Swap Counterparties satisfying the applicable rating requirement under whichthe currency risk associated with such acquisition is reduced or eliminated. Any paymentsother than defaulted asset swap issuer termination payments) to asset swap

counterparties required to be made by the Company under any asset swap transaction willrank senior in priority to payments of interest on each Class of Notes.

i. Contingent liabilities

There is a Belgian law pledge taken over the Euroclear Account ( the " Euroclear PledgeAgreement"). The effect of this security interest is to enable the custodian, on enforcement, to sell the securities in the Euroclear Account on behalf of the Trustee. The Euroclear

Pledge Agreement does not entitle the Trustee to require delivery of the relevant securitiesfrom the depositary or depositaries that have physical custody of such securities or allowthe Trustee to dispose of such securities directly. In any event, the security createdpursuant to the Trust Deed ( and the security created by the Euroclear Pledge Agreement) may be insufficient or ineffective to secure the Collateral Debt Securities ( or other assetscomprising the Collateral Portfolio) which are in the form of securities for the benefit of

Noteholders, particularly in the event of any insolvency or liquidation of the Custodian or

any sub -custodian that has priority over the right of the Company to require delivery ofsuch assets from the Custodian in accordance with the terms of the Agency Agreement. Inaddition, custody and clearance risks may be associated with Collateral Debt Securities orother assets comprising the Portfolio which are securities that do not clear through DTC)

Euroclear or Clearstream Luxembourg. There is a risk, for example, that such securities

could be counterfeit, or subject to a defect in title or claims to ownership by other parties.

According to the transaction documentation the Company is obliged to pay and or accrueinterest on the Class E Notes as well as the Subordinated Notes. As a result of losses, interest on these Notes have been deferred. Management believes that it is highlyuncertain that in the future any interest will be distributed towards the Noteholders of theClass E Notes as well as the Subordinated Notes.

The accrual of subordinated collateral management fee was reversed in 2016. Managementbelieved it was unlikely that distribution will be made towards the subordinated collateralmanagement fee. Therefore, no subordinated collateral management fee is accrued andshown on the balance sheet of the Company.

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ZOO ABS Il B. V,, Amsterdam, the Netherlands


Balance sheet

1 Financial fixed assets

Collateral Portfolio

Balance as per 1 JanuaryDisposals

Amortisation ( premium/ discounts) Reversal of impairment

Balance as per 31 December

Collateral Portfolio ( fair value)

Amount due within a year: Amount due between 1 and 5 years: Amount due after 5 years:

2017

EUR

63, 597, 828

80, 109, 883

17, 322, 067)

202, 298

607, 715

63, 597, 828

59, 625, 789

514, 802

1, 330, 805

61, 752, 221

63, 597, 828

2016

EUR

80, 109, 883

104, 523, 915

25, 772, 667)

254, 319

1, 104, 316

80, 109, 883

66, 775, 536

1, 709, 259

4, 526, 350

73, 874, 274

80, 109, 883

Disposals consists of redemptions amounting to EUR 16, 291, 958 as well as gains and ( losses)

amounting to EUR ( 723, 585).

The fair value of the Collateral Portfolio will generally fluctuate with, among other things, thefinancial conditions of the Obligors or Company' s of the Collateral Portfolio and the underlyingassets, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. TheCollateral Manager is given authority in the Collateral Management Agreement to administer the

Collateral Portfolio and, in specific circumstances, act as agent of the Company in relation to theCollateral Portfolio pursuant to and in accordance with the parameters and criteria set out in theCollateral Management Agreement. Any analysis by the Collateral Manager ( on behalf of theCompany) of obligors under Collateral Debt Securities which it intends to purchase or which areheld in the Collateral Portfolio from time to time will be limited to a review of readily availablepublic information and will not include due diligence of the kind generally undertaken in a primarysecurities offering. The liability of the Collateral Manager to the Company under the CollateralManagement Agreement is limited to damage caused by acts or omissions constituting bad faith, negligence or wilful misconduct of the Collateral Manager in its capacity as such. The performanceof any investment in the Notes will be dependent on the ability of the Collateral Manager tomonitor and manage the Collateral Portfolio and the performance of the Collateral Manager of itsobligations under the Collateral Management Agreement. The loss of a number of employees from

the Collateral Manager could have a material adverse effect on the ability of the Collateral Managerto perform its obligations under the Collateral Management Agreement. Although, pursuant to itsentry into the Collateral Management Agreement, the Collateral Manager is required to commit an

appropriate amount of its business efforts to the management of the Collateral Portfolio, the

Collateral Manager is not required to devote all of its time to such affairs and may continue toadvise and manage other investment funds, other collateralised debt obligation transactions orother instruments of a similar kind in the future. The nature of, and risks associated with, the

Collateral Debt Securities to be acquired by the Company may differ materially from those

16



Balance sheet - continued

investments and strategies undertaken historically by the Collateral Manager, including by reasonof the diversity and other parameters required by the Collateral Management Agreement. Therecan be no assurance that the Company' s investments will perform as well as any past investmentsmanaged by the Collateral Manager.

The fair value of the Collateral Portfolio is measured on an item level. The impairment analysis is

also made on an item level. Where the fair value of a certain item is significantly below the carryingamount, management analyses whether the lower fair value is considered to be temporary orpermanent. If it is considered to be permanent, impairment is taken. For items of which the fairvalue is below the carrying amount but management is of the opinion the lower fair value for these

Collateral items is a temporary decrease in value rather than a permanent decrease, it is decidedto maintain these items of collateral at their carrying amount. In 2017 an impairment profit of EUR607, 715 was taken and a reversal ( gain) of impairment of EUR 607, 715 was accounted for. Atyear- end 2017 the cumulative impairment loss taken amounts to EUR 5, 476, 636.

In the Prospectus is described which criteria the Collateral Portfolio should meet. These collateral

quality tests and portfolio profile tests coverage tests are used primarily as criteria for acquiringsubstitute Collateral Debt Securities subject to and in accordance with the terms of the Collateral

Management Agreement. In addition, the acquisition of a Collateral Debt Security must not causethe Collateral Portfolio to breach the collateral quality tests or portfolio profile tests. The coverage tests will be used primarily to determine whether interest may be paid on the Class CNotes, Class D Notes, Class E Notes and Subordinated Notes and whether principal proceeds maybe reinvested in substitute Collateral Debt Securities, or whether interest proceeds and, to theextent needed, principal proceeds which would otherwise be used to pay interest on the Class CNotes, Class D Notes, Class E Notes and Subordinated Notes must instead be used to pay principalon the more senior Classes of Notes to the extent necessary to cause the coverage tests to be met. These are:

Collateral Quality TPctc!

Test Value at which Test is Satisfied

Moody' s Correlated Binomial Test 7. 5 per cent.

Moody' s Weighted Average Rating Factor Test 610

S& P CDO Monitor Test Positive Defaulted Differential of Proposed Portfolio

Weighted Average Moody' s Recovery Rate Test 31 per cent.

Weighted Average S& P Recovery Rate Test In respect of the Class X Notes, 27 per cent, in respect ofthe Class A Notes, 27 per cent, in respect of the Class BNotes, 31 per cent., in respect of the Class C Notes, 35

per cent, in respect of the Class D Notes, 43 per cent, inrespect of the Class E Notes and 50 per cent.

Weighted Average Spread Test 1. 40 per cent.

Weighted Average Life Test 8. 35 years

Purchase Price Test 100. 5 per cent.

17




Portfolio Profile Tests

Asset Type

The aggregate collateral balance will comprise:

a) not more than 25 per cent collateral debt obligations;

b) not more than 20 per cent of collateral debt obligations which are collateral loan obligations; c) not more than 2 per cent of collateralized fund obligations;

d) not more than 25 per cent of commercial mortgage - backed securities; e) not less than 20 per cent of residential mortgage - backed securities; f) not more than 10 per cent of residential mortgage -backed securities that is subprime residential

mortgage - backed securities;

g) not more than 1. 5 per cent of whole business securities;

h) not more than 25 per cent of payment - in - kind securities; i) not more than 15 per cent of available funds cap securities; j) not more than 35 per cent of specified asset -backed securities; k) not more than 10 per cent of synthetic securities; 1) not more than 20 per cent of collateralized synthetic obligations; m) not more than £ 3, 000, 000 of collateral debt obligations of insurance debt; n) the limits specified in the bivariate risk table in respect of synthetic securities with specific

synthetic security counterparties limited by reference to each counterparty' s rating category. o) not more than 2 per cent of collateral debt securities issued by a single obligor; p) not more than 15 per cent of a single servicer; q) not more than 15 per cent exposure per single manager and/ or originator; r) not less than 65 collateral debt securities - comprising the Collateral Portfolio;

Hedging

s) not more than 5 per cent. of collateral debt securities that bear interest at a fixed rate thatare not the subject of an interest rate swap transaction; t) not more than 5 per cent of collateral debt securities paying interest annually; u) not more than 5 per cent of non- Euro obligations;

v) not less than 80 per cent pay interest either quarterly or more frequently;

Ratings

w) not more than 1 per cent exposure to a single Obligor which has a public rating by Moody' s ofBal" or below or a public rating by S& P of " BB+" or below; however, exposure to a maximum of

three Obligors that have a public rating by Moody' s of " Bal" or below or a public rating by S& P ofBB+" or below will be allowed provided it is below 2 per cent in each case; x) not more than 20 per cent Collateral Debt Securities with a public rating by Moody' s of belowBaa3" or public rating by S& P of below " BBB-";

y) not more than 13 per cent of Collateral Debt Securities which are CDOs with a public rating byMoody' s of " Bal" or below or a public rating by S& P of " BB+" or below;

z) not more than 5 per cent of Collateral Debt Securities with a Moody' s Rating determined bynotching of below " Ba3" or an S& P Rating determined by notching of below " BB-"; aa) not more than 20 per cent Collateral Debt Securities not publicly rated by S& P; andbb) not more than 20 per cent Collateral Debt Securities not publicly rated by Moody' s.

IU]




Coverage tests

Coverage test Percentage at which test is satisfied

Senior overcollateralisation test 105 percent

Senior interest Coverage test 115 percent

Class C overcollateralisation test 104 per cent

Class C interest coverage test 108 per cent

Class D cvercollateralisation test 104 per cent

Class D interest coverage test 104 per cent

Class E overcollateralisation test 101. 5 per cent

Class E interest coverage test 101. 5 per cent

At year- end 2017 several collateral quality tests failed, together with several of the portfolio profiletests. This leads to a higher exposure of the investors on certain types or classes of collateralsecurities.

Repayment of principal and interest payment on debt securities is subject to financial risks such asamongst others credit and counterparty risk. These risks have been mitigated through

diversification in terms of industry, country and credit rating.

The average interest rate on the Collateral Portfolio is 0. 67% ( 2016: 0. 92%).

2 Interest receivables

Interest receivable on Collateral Portfolio

3 Other receivables

Intercompany loan Stichting Zoo ABS IILocal expenses receivable

4 Cash and cash equivalents

Current accounts

The current accounts are freely available to the Company.

2017 2016

EUR EUR

66, 959 172, 511

66, 959 172, 511

18, 000 18, 000

2, 980 1, 425

20, 980 19, 425

92, 737 78, 318

92, 737 78, 318

19




5 Taxation

Corporate income tax previous yearCorporate income tax current year

Corporate income tax summary

2015

2016

2017

Total

2017 2016

EUR EUR

85 234

Paid/

01. 01 Received) P/ L account 31. 12

234 234) 0 0

85 0 0 85

0 4, 580 4, 530) 50

234 4, 580 4, 530) 135

6 Accrued interest payable and deferred incomeInterest payable on the Notes

7 Other liabilities

Senior collateral management fee

Collateral administrator fee

Trustee fee

Administration fee

Audit fee

37, 181 37, 747

37, 181 37, 747

20 2, 180

4, 729 4, 725

1, 849 1, 751

298 1, 258

22, 990 29, 645

29, 886 39, 559




Mutation in Mutation in

deferred deferred

comp. comp.

previous current Closing Closing8 Floating rate of the Notes Notional years year Balance 2017 Balance 2016

EUR EUR EUR EUR EUR

EUR 167, 000, 000 Class A- 1 Senior

Secured Floating Rate Notes due 1, 276, 932 0 0 1, 276, 932 17, 568, 890

2096 ( interest at EURIBOR plus 0. 25per cent. per annum)

EUR 18, 750, 000 Class A- 2 Senior



EUR 10, 000, 000 Class B Senior



EUR 9, 250, 000 Class C Deferrable 9, 250, 000 0 0 9, 250, 000 9, 250, 000Interest Secured Floating Rate Notes

due 2096 ( interest at EURIBOR plus1. 05 per cent. per annum)

EUR 9, 000, 000 Class D Deferrable9, 000, 000 0 0 9, 000, 000 9, 000, 000

Interest Secured Floating Rate Notes


EUR 4, 250, 000 Class E Deferrable

Interest Secured Floating Rate Notes 4, 250, 000 0 0 4, 250, 000 4, 250, 000


EUR 10, 750, 000 Subordinated Notes

due 2096 ( interest at EURIBOR plus10, 750, 000 698, 493 307, 741) 11, 140, 751 11, 448, 493

6. 00 per cent. per annum) 63, 276, 932 698, 493 307, 741) 63 667 683 80 267 383

2017 2016Movements in Notes

Balance as per 13anuary 80, 267, 383 102, 801, 416Impairment)/ reversal of impairment 607, 715 1, 104, 316

Redemption of Notes 16, 291, 958) 25, 567, 450) Transfer to short term Notes 0 0Other movements in deferred compensation 915, 658) 1, 929, 101

Balance as per 31 December 63, 667, 683 80, 267, 383

Amount due within a year: 0 0

Amount due between 1 and 5 years: 0 0

Amount due after 5 years: 63, 667, 683 80, 267, 383

63, 667, 683 80, 267, 383

21




Note 8 — Continued

Class Q combination Notes ( interest at EURIBOR plus 2. 76 per cent. per annum) (" CombinationNotes"). Class R combination Notes ( interest at EURIBOR plus 1. 84 per cent. per annum)

Combination Notes").

Each Class P Combination Note consists of two Components, a Class A- 2 component and asubordinated component, each Class Q Combination Note consists of two components, a Class A- 2Component and a Class E component; and each Class R Combination Note consists of two

components, a Class A- 2 component and a Class E component. The terms and conditions applicableto each Class of Combination Note shall be the same as those applicable to the components ofwhich they are comprised. The EUR 5, 700, 000 principal amount of Class P Combination Notesissued on the issue date comprises EUR 3, 950, 000 principal amount of Class A- 2 Component andEUR 1, 750, 000 principal amount of subordinated component ( with the principal amount of theClass P Combination Notes issued reflecting the aggregate principal amount of each Componentthereof); the EUR 6, 000, 000 principal amount of Class Q Combination Notes issued on the issuedate comprises EUR 3, 500, 000 principal amount of Class A- 2 component and EUR 2, 500, 000

principal amount of Class E component ( with the principal amount of the Class Q CombinationNotes issued reflecting the aggregate principal amount of each component thereof); and the EUR

7, 000, 000 principal amount of Class R Combination Notes issued on the issue date comprises EUR5, 250, 000 principal amount of Class A- 2 Component and EUR 1, 750, 000 principal amount of ClassE Component ( with the principal amount of the Class R Combination Notes issued reflecting theaggregate principal amount of each component thereof). The board of Directors and Collateral

Manager have considered the fair value of the Notes. However, due to the illiquidity of the marketno reliable market prices are available. The estimated fair value will be in the range of 0%- 100%.

0o y s rating at

issue date current Moody' s ratingClass A- 1 Senior Secured Floating Rate Notes due 2096 Aaa Aaa

Class A- 2 Senior Secured Floating Rate Notes due 2096 Aaa Aal

Class B Senior Secured Floating Rate Notes due 2096 Aal Aa2

Class C Deferrable Interest Secured Floating Rate Notes due 2096 Al Baa2

Class D Deferrable Interest Secured Floating Rate Notes due 2096 Baa2 Caa2

Class E Deferrable Interest Secured Floating Rate Notes due 2096 Ba3 Ca

Class P Combination Notes due 2096 Baal Bal

Class Q Combination Notes due 2096 A3 Aal

Class R Combination Notes due 2096 jAa3 jAal

22




9 Capital and reserves

Balance as per January 1, 2016Transfer

Final dividend

Interim dividend

Result for the period

Balance as per January 1, 2017Transfer

Final dividend

Interim dividend

Result for the period

Balance as per December 31, 2017

Share capital Unappr. results Other reserves Total

EUR EUR EUR EUR

18, 000 17, 642 10, 000) 25, 642

0 17, 642) 17, 642 0

0 0 7, 642) 7, 642)

0 0 0 0

0 17, 767 0 17, 767

18, 000 17, 767 0 35, 767

0 17, 767) 17, 767 0

0 0 0 0

0 0 10, 000) 10, 000)

0 18, 122 0 18, 122

18, 000 18, 122 7, 767 43, 889

The authorised share capital of the Company amounts to EUR 18, 000 divided into 18 shares of EUR

1, 000 each, of which 18 shares are issued and paid up.

Statutory provision regarding appropriation of resultThe Company may only follow a resolution of the general meeting to distribute after themanagement board has given its approval to do this. The management board withholds approval

only if it knows or reasonably should be able to foresee that the Company cannot continue to payits due debts after the distribution.

On 21 June 2018 a general meeting of shareholders was held in which it was decided to distribute

the dividends with respect to financial year 2016 which matches EUR 7, 765. 64 as well as EUR

18, 120. 95 with respect to financial year 2017.

23



Profit and loss account

10 Interest income on Collateral PortfolioInterest income Collateral Portfolio

11 Other income/ ( expenses) on Collateral Portfolio

Gains and ( losses) on Collateral PortfolioRevaluation of ( impairement)

12 Interest expense on Notes

Floating Rate Notes

Amortisation premium/ discount on Collateral Portfolio

13 Deferred compensation income due from NoteholdersDeferred expense Subordinated Notes

Revaluation income of Notes ( impairments)

14 General and administrative expenses

Collateral Administration fee

Collateral management fee

Directors and administration fee

Cash flow hedge commitment fee

Audit of the annual accounts

Other non -audit service fees

Rating agency feeTrustee fee

Other professional feeLocalexpenses

2017 2016

EUR EUR

504, 654 929, 818

504, 654 929, 818

723, 585) 178, 558)

607, 715 1, 104, 316

115, 870) 925, 758

526, 863 550, 113

202, 298) ( 254, 319)

324, 565 295, 794

915, 658 1, 929, 101)

607, 715) 1, 104, 316)

307, 943 3, 033, 417)

10, 105

84, 407

33, 037

1, 417

22, 990

44, 108

30, 188

81, 813

27, 408

14, 037

349, 510

6, 972

195, 626

33, 921

3, 132

29, 645

47, 185

75, 188

83, 624

14, 236

14, 037

503, 566

15 Corporate income tax

Provision for Corporate income tax current year 4, 530 4, 441

4, 530 4, 441

24



Profit and loss account- continued

Audit fees

The audit fee mentioned solely comprises the fee for the external auditor Mazars Accountants N. V.

for the statutory audit of the financial statements and amounts to EUR 22, 990 ( 2016: EUR 29, 645Deloitte Accountants B. V.).

There were non -audit services performed by Deloitte to the amount of EUR 44, 108 ( 2016: 47, 185) which are included under other non -audit service fees.

These non -audit services provided by Deloitte relate Agreed Upon Procedures reporting services onbehalf of the US equity investors in the notes issued by the Company for which the Company paysthe related fees. These fees are not services provided to the Company.

2017

Mazars Accountants Other Deloitte

in Euros) N. V. network

Audit of the financial statements 22, 990 0Other non - audit services 0 44, 108Tax advisory services 0 0Other non - audit services 0 0Total 22, 990 44, 108

2016

Deloitte Other Deloitte

in Euros) Accountants B. V. network

Audit of the financial statements 29, 645 0Other non - audit services 0 47, 185Tax advisory services 0 0Other non - audit services 0 0Total 29, 645 471185

Total network

zz ' J' U

44, 108

0

0

67, 098

Total network

29, 645

47, 185

0

0

76, 830

There is an obligatory rotation under Dutch Law ( wet toezicht accountantsorganisaties (" audit

supervision act")) for all public interest entities. This obligatory rotation is the result of theimplementation of EU regulation 537/ 2014 ( Regulation ( EU) No 537/ 2014 of the European

Parliament and of the Council of 16 April 2014 on specific requirements regarding statutory audit ofpublic - interest entities and repealing Commission Decision 2005/ 909/ EC Text with EEA relevance).

Under this regulation the engagement period of a statutory auditor or audit firm must not be for

less than one year and must not exceed 10 years. Since Deloitte was, as at financial year 2016 theAuditor for 10 years, management of the Company appointed a new Auditor being MazarsAccountants N. V.

25



Directors

The Company has three managing directors, who receive a total remuneration of EUR 7, 200excluding VAT on an annual basis ( 2016: EUR 6, 791). All members of the board of directors are

male. Therefore Cable and Wireless Finance International B. V. does not meet the guidanceprovided by the Dutch Act on Management and Supervision that stated that at least 30% of the

members should be female. In the future the company will consider the 30% target when

appointing new Board members for vacant positions on its Board of Directors. The Company has nosupervisory directors.

Employees

During the year ended 31 December 2017 no employees were employed by the Company ( 2016: no employees).

Subsequent events

In accordance with the Prospectus the ratio of the Collateral Portfolio in relation to the outstandingamounts of the highest classes of notes ( for the " C" test up to and including the Class C notes, forthe " D" test up to and including the Class D Notes and for the " E" test up to and including the ClassE Notes) should be at least a certain percentage. The Class C and D overcollateralization testshould at least be 104% and the Class E overcollateralization test should be at least 101. 5%. Depending on the outcome of Class C, D and E overcollateralization tests on future interest

payment dates, interest on Class C, D and E Notes may not be paid and the Class A- 1 and Class A-

2 may be redeemed further. The fair value of the Collateral Portfolio is lower than the outstandingNotes amount.

On 21 June 2018 a general meeting of shareholders was held in which it was decided to distributethe dividends with respect to financial year 2016 which matches EUR 7, 765. 64 as well as EUR18. 120, 95 with respect to financial year 2017.


B. J. C. Paulusma G. J. Huizing E. M. van Ankeren

26

ZOO ABS / I B. V., Amsterdam, the Netherlands


Other information

Independent auditor' s report

The independent auditor' s report is presented on the next pages.

27



Independent auditor' s report

28

INDEPENDENT AUDITOR' S REPORT

To: the shareholder of ZOO ABS II B. V.

REPORT ON THE AUDIT OF THE FINANCIAL STATEMENTS 2017 INCLUDED IN THEANNUAL REPORT

OUR OPINION

We have audited the financial statements 2017 of ZOO ABS II B. V. In our opinion, the

accompanying financial statements give a true and fair view of the financial position of ZOOABS II B. V. as at 31 December 2017 and of its result for 2017 in accordance with Part 9 ofBook 2 of the Dutch Civil Code.

The financial statements comprise: 1. the balance sheet as at 31 December 2017; 2. the profit and loss account for 2017; and3. the notes comprising a summary of the accounting policies and other explanatory

information.

BASIS FOR OUR OPINION

We conducted our audit in accordance with Dutch law, including the Dutch Standards onAuditing. Our responsibilities under those standards are further described in the " Our

responsibilities for the audit of the financial statements" section of our report.

We are independent of the company in accordance with the " EU Regulation on specificrequirements regarding statutory audit of public - interest entities", the " Audit firms supervisionact" ( Wta), " Dutch Independence Standard regarding assurance engagements ( ViO)" andother relevant independence requirements in the Netherlands. Furthermore, we havecomplied with the " Dutch Code of Ethics ( VGBA)".

We believe that the audit evidence we have obtained is sufficient and appropriate to providea basis for our opinion.

OUR AUDIT APPROACH

OVERVIEW

We designed our audit by determining materiality and assessing the risks of materialmisstatement in the financial statements. As in all of our audits, we also addressed the risk

of management override of internal controls, including evaluating whether there was evidenceof bias by management that may represent a risk of material misstatement due to fraud.

WILHELM INA TOWER, DELF LAND LAAN i - P. O. BOX 7266- 1OO7 ) G AMSTERDAM

TEL: + 31 ( 0) 88 27 72 40o- FAX: + 31 ( 0) 88 277 2245 - amsterdam. audK@mazars. nl

MZARs ACCOU NTANTs N.V. WITH TSRELISR-

111- IN DX GI( ROTDAM NR'( D2415). Praxibi 1 MEMBEN32731/ RO/PG . f,L GE+ AL ALLIF t, (.E CF I4DCPE tiPL h'

7 1IHf,,.

It

per"

The company is a securitisation entity. The company issued various classes of limitedrecourse notes to finance the acquisition of a portfolio of Collatoral Debt Securities (" CDSs")

that is managed by P& G SGR S. p. a.

MATERIALITY

Based on our professional judgement we determined the materiality for the financialstatements as a whole at EUR 637, 000. The materiality is based on 1% of total assets giventhe company' s main activities. We have also taken into account misstatements and/ orpossible misstatements that in our opinion are material for the users of the financialstatements for qualitative reasons.

We agreed with management that misstatements in excess of EUR 32, 000, which areidentified during the audit, would be reported to them, as well as smaller misstatements thatin our view must be reported on qualitative grounds.

KEY AUDIT MATTER

Key audit matters are those matters that, in our professional judgement, were of mostsignificance in the audit of the financial statements, but they are not a comprehensivereflection of all matters that were identified by our audit and that we discussed withmanagement of the company. We described the key audit matter and included a summary ofthe audit procedures we performed on this matter.

The key audit matter is addressed in the context of our audit of the financial statements as awhole, and in forming our opinion thereon. We do not provide a separate opinion on thismatter.

VALUATION OF FINANCIAL ASSETS

The portfolio of financial assets is initially measured at fair value and subsequently carried atamortized cost less impairment losses. Impairment losses are determined as the differencebetween the amortised cost value and the lower fair value of an individual asset. Fair valuesare derived from market prices, broker quotes or can be model -based. To the extentobservable market prices are not available, the fair value is subject to estimation uncertaintyand judgement and valuation of the asset portfolio has therefor been identified as a key auditmatter. Given the structure of the transaction, changes in valuation of financial assets areallocated to the noteholders.

MAZARS,

Our audit procedures regarding the valuation of the financial assets include: Evaluation of accounting policies for compliance with the applicable accountingstandards;

Recalculation of amortised cost and impairment calculations in accordance with theseaccounting policies;

Reconciliation of nominal values with external year- end confirmations; Obtaining an understanding of the valuation procedures applied by management of theentity;

Detailed testing on the asset prices used at year- end, including a comparison withexternal market data.

Financial assets are disclosed in the paragraphs " Financial fixed assets and long termliabilities, Assets and liabilities and Financial risk management ( notes B, C and H)" as well asnote 1 to the financial statements.

REPORT ON THE OTHER INFORMATION INCLUDED IN THE ANNUAL REPORT

In addition to the financial statements and our auditor' s report thereon, the annual reportcontains other information that consists of:

the managing director's report; other information as required by Part 9 of Book 2 of the Dutch Civil Code.

Based on the following procedures performed, we conclude that the other information: 12 is consistent with the financial statements and does not contain material misstatements; 0 contains the information as required by Part 9 of Book 2 of the Dutch Civil Code.

We have read the other information. Based on our knowledge and understanding obtainedthrough our audit of the financial statements or otherwise, we have considered whether theother information contains material misstatements.

By performing these procedures, we comply with the requirements of Part 9 of Book 2 of theDutch Civil Code and the Dutch Standard 720. The scope of the procedures performed issubstantially less than the scope of those performed in our audit of the financial statements.

Management is responsible for the preparation of the other information, including themanaging director' s report in accordance with Part 9 of Book 2 of the Dutch Civil Code andother information as required by Part 9 of Book 2 of the Dutch Civil Code.

REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS

ENGAGEMENT

We were engaged as auditor of ZOO ABS B. V., as of the audit for the year 2017 and haveoperated as statutory auditor ever since that year.

NO PROHIBITED NON -AUDIT SERVICES

We have not provided prohibited non -audit services as referred to in Article 5( 1) of the EURegulation on specific requirements regarding statutory audit of public -interest entities.

DESCRIPTION OF RESPONSIBILITIES REGARDING THE FINANCIAL STATEMENTS

RESPONSIBILITIES OF MANAGEMENT

Management is responsible for the preparation and fair presentation of the financialstatements in accordance with Part 9 of Book 2 of the Dutch Civil Code. Furthermore,

management is responsible for such internal control as management determines is necessaryto enable the preparation of the financial statements that are free from material misstatement, whether due to fraud or error.

As part of the preparation of the financial statements, management responsible for assessingthe company's ability to continue as a going concern. Based on the financial reportingframeworks mentioned, management should prepare the financial statements using the goingconcern basis of accounting unless management either intend to liquidate the company or tocease operations, or have no realistic alternative but to do so.

Management should disclose events and circumstances that may cast significant doubt onthe company' s ability to continue as a going concern in the financial statements.

OUR RESPONSIBILITIES FOR THE AUDIT OF THE FINANCIAL STATEMENTS

Our objective is to plan and perform the audit assignment in a manner that allows us to obtainsufficient and appropriate audit evidence for our opinion.

Our audit has been performed with a high, but not absolute, level of assurance, which meanswe may not detect all material errors and fraud during our audit.

Misstatements can arise from fraud or error and are considered material if, individually or inthe aggregate, they could reasonably be expected to influence the economic decisions ofusers taken on the basis of these financial statements. The materiality affects the nature, timing and extent of our audit procedures and the evaluation of the effect of identifiedmisstatements on our opinion.

We have exercised professional judgement and have maintained professional skepticismthroughout the audit, in accordance with Dutch Standards on Auditing, ethical requirementsand independence requirements. Our audit included e. g.:

Identifying and assessing the risks of material misstatement of the financial statements, whether due to fraud or error, designing and performing audit procedures responsive tothose risks, and obtaining audit evidence that is sufficient and appropriate to provide abasis for our opinion. The risk of not detecting a material misstatement resulting fromfraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;

4

Obtaining an understanding of internal control relevant to the audit in order to design auditprocedures that are appropriate in the circumstances, but not for the purpose ofexpressing an opinion on the effectiveness of the company' s internal control; Evaluating the appropriateness of accounting policies used and the reasonableness ofaccounting estimates and related disclosures made by management; Concluding on the appropriateness of management' s use of the going concern basis ofaccounting, and based on the audit evidence obtained, whether a material uncertaintyexists related to events or conditions that may cast significant doubt on the company' sability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor' s report to the related disclosures in thefinancial statements or, if such disclosures are inadequate, to modify our opinion. Ourconclusions are based on the audit evidence obtained up to the date of our auditor' sreport. However, future events or conditions may cause a company to cease to continueas a going concern;

Evaluating the overall presentation, structure and content of the financial statements, including the disclosures; and

Evaluating whether the financial statements represent the underlying transactions andevents in a manner that achieves fair presentation.

We communicate with management regarding, among other matters, the planned scope andtiming of the audit and significant audit findings, including any significant findings in internalcontrol that we identify during our audit. In this respect we also submit an additional report tomanagement in accordance with Article 11 of the EU Regulation on specific requirementsregarding statutory audit of public -interest entities. The information included in this additionalreport is consistent with our audit opinion in this auditor' s report.

We provide management with a statement that we have complied with relevant ethicalrequirements regarding independence, and to communicate with them all relationships andother matters that may reasonably be thought to bear on our independence, and whereapplicable, related safeguards.

From the matters communicated with management, we determine the key audit matters: those matters that were of most significance in the audit of the financial statements. Wedescribe these matters in our auditor' s report unless law or regulation precludes publicdisclosure about the matter or when, in extremely rare circumstances, not communicating thematter is in the public interest.


MAZARS ACCOUNTANTS N. V.

Original was signed by J. C. van Oldenbeek MSc RA

5

Annual accounts of ZOO ABS II B.V. for the year 2017

Documents

Transcript of Annual accounts of ZOO ABS II B.V. for the year 2017