Castle Trust Growth Housa PC Castle Trust PCC · Castle Trust Growth Housa PC-Castle A cell of the...

Castle Trust Growth Housa PC- Castle

A cell of the Castle Trust PCC Trust

Castle Trust PCC - Castle Trust Growth Housa PC

Directors’ report and unaudited condensed interimfinancial statements for the period from

I October2018 to 31 March2019

Castle Trust Growth Housa PC CastleA cell of the Castle Trust PCC Trust

Directors’ report and financial statements

For the period from 1 October 2018 to 31 March 2019

Contents Page

Corporate information 1

Directors’ report 2

Statement of directors’ responsibilities 8

Condensed statement of comprehensive income 10

Condensed statement of financial position 11

Condensed statement of changes in net assets attributable to Participating Preference and 12Founder Shareholders

Notes to the unaudited condensed interim financial statements 13



Corporate information

Directors Independent auditors

Mark Grenyer Ernst & Young LLPPhflip Hendy 25 Churchill PlaceKenny Rae London

E14 5EYUnited Kingdom

Registered office

28 EsplanadeSt HelierJersey JE2 3QA

Secretary and administrator

JTC (Jersey) Limited28 EsplanadeSt HelierJersey JE2 3QA

Investment Manager

Castle Trust Capital Management Limited10 Norwich StreetLondonEC4A 1BD

English legal adviser

Macfarlanes LLP20 Cursitor StreetLondonEC4A 1LT

Jersey legal adviser

Carey Olsen47 EsplanadeSt HelierJersey JE1 OBDChannel Islands

Maltese legal adviser

GANADO Advocates171 Old Bakery Street,Valletta VLT1455Malta


Directors’ report

The directors present the directors’ report and financial statements for Castle Trust Growth Housa PC(the ‘Cell”) for the period 1 October 2018 to 31 March 2019. The information on page 1 forms part ofthis report. The financial statements are for the period ended 31 March 2019 and the comparativesprovided are as per the statement of financial position as at 30 September 2018 and the condensedstatement of comprehensive income and condensed statement of changes in net assets attributableto Participating Preference and Founder Shareholders for the interim period ended 31 March 2018.

The Cell

The Cell is a cell of Castle Trust PCC (the PCC’). The PCC is a public protected cell company withlimited liability incorporated in Jersey, Channel Islands, on 27 July 2011 under the Companies(Jersey) Law 1991. The PCC has no power to meet any liability attributable to a particular cell fromthe non-cellular assets of the PCC or to meet any liability, whether attributable to a particular cell ornot, from the cellular assets of another cell. However, the PCC is a single legal entity which mayoperate or have assets held on its behalf or be subject to claims in other jurisdictions which may notnecessarily recognise such segregation. There can be no guarantee that the courts of any jurisdictionoutside of Jersey will respect the limitations on liability associated with protected cell companies. TheCell was created on 5 September 2012 as a public protected cell of the PCC. Regulatory status underthe Collective Investment Funds (Jersey) Law 1988 was granted by the Jersey Financial ServicesCommission on 1 October 2014.

The Participating Redeemable Preference Shares (Participating Preference Shares”) of the Cell arelisted on The International Stock Exchange (715E”) (formerly known as the Channel Islands StockExchange (CISE”). The Participating Preference Shares are issued to UK investors. The Cell is aninvestment product which is designed to grant the investor exposure to the potential growth or fall ofthe Halifax House Price Index (the “HPI”) over the life of the product. It will provide a return such thatthe amount invested will be adjusted by the returns providing an enhanced exposure to the upside inthe HPI and a reduced exposure to the downside. The precise terms of the return payable to investorswill depend on the duration of the product,

The Participating Preference Shares of the Cell are divided into individual classes. Three classeswere offered each month up to and including January 2014: 3 year term shares (Growth 3 year shareclass’); 5 year term shares (“Growth 5 year share class’); and 10 year term shares (‘Growth 10 yearshare class’). In January 2014 the decision was taken by the directors to stop the issue of the Growth3 year share class due to subscription by investors being lower than hoped. From February 2014, theGrowth 3 year share class ceased to be issued and a new Protected 5 year share class (“Protected 5year share class”) was issued in its place. The terms of the Protected 5 year share class aresubstantially the same as those for the Growth 5 year share class but with no downside participationon the initial capital and a lower potential upside return. Protected refers to the absence of downsideparticipation only as there is no external guarantee or collateral support. No further issues of theGrowth 3 year share class, Growth 5 year share class, Protected 5 year share class and Growth 10year share class have been offered since July 2014.

7


Directors’ report (continued)

The Cell (continued)

Due to legislation changes in the United Kingdom that came into effect in May 2015, the Cell’s productshave to be offered to the public on a European Union recognised Stock Exchange. Consequently, on 2February 2015, eight new classes were listed on the Maltese Stock Exchange (MSE):• UK Growth 2 year term shares (“UK Growth 2 year share class”);• Greater London Growth 2 year term shares (“Greater London Growth 2 year share class”);• UK Growth 5 year term shares (“UK Growth 5 year share class”);• Greater London Growth 5 year term shares (“Greater London Growth 5 year share class”);• UK Foundation 5 year term shares (“UK Foundation 5 year share class”);• Greater London Foundation 5 year term shares (“Greater London Foundation 5 year share class”);• UK Foundation 10 year term shares (“UK Foundation 10 year share class”); and• Greater London Foundation 10 year term shares (“Greater London Foundation 10 year share class”).

The terms of the UK Foundation 5 year share class; Greater London Foundation 5 year share class;UK Foundation 10 year share class; and Greater London Foundation 10 year share class aresubstantially the same as those for the Protected 5 year share class whilst the terms of the UKGrowth 2 year share class; Greater London Growth 2 year share class; UK Growth 5 year shareclass; and Greater London Growth 5 year share class are substantially the same as those for theGrowth 5 year share class.

Tax treatment will depend on the individual circumstances of each shareholder and may be subject tochange. Applicants should inform themselves as to the legal requirements of applying for shares, andany applicable exchange control regulations and taxes in the countries of their respective citizenship,residence or domicile. Shareholders are therefore advised to consult their professional advisersconcerning possible taxation or other consequences of purchasing, holding, selling or otherwisedisposing of the Participating Preference Shares and the receipt of distributions (whether or not onredemption).

As at the statement of financial position date there were 73 classes of Participating Preference Sharesin the capital of the Cell (period ended 30 September 2018: 81). 29 classes were ParticipatingPreference Shares of no par value in the capital of the Cell (being Growth Housa Shares issued up toJuly 2014); these shares carry the rights set out in the Castle Trust PCC Summary and SecuritiesNote dated 3 October 2012. 4 of these classes were Participating Preference Shares of no par valuein the capital of the Cell (being Protected Housa Shares issued up to July 2014); these shares carrythe rights set out in the Castle Trust PCC Summary and Securities Note dated 28 January 2014. Theremaining 44 classes were Participating Preference Shares issued on the MSE from February 2015onwards; these shares carry the rights set out in the Castle Trust PCC Summary and Securities Notedated 20 January 2015. In particular, the Participating Preference Shares do not pay dividends, haveno voting rights in respect of general meetings of the Cell, but have voting rights in respect ofseparate meetings of the holders of the shares of the relevant share class. All ParticipatingPreference Shares in issue at 17:00 on the day of maturity of the relevant share class shall beredeemed, under the terms of the Set off Agreement dated 24 September 2012 (“Set off Agreement”),by the Cell for the Investment Return on the payment by Castle Trust Capital Plc (‘CTC”), a UKcompany.

3




The Cell (continued)

As at the statement of financial position date, 4,135,000,000 Participating Preference Shares hadbeen issued by the Cell (year ended 30 September 2018: 4,135.000,000) of which 4,626,843 werefully paid up and remained in issue (year ended 30 September 2018: 6,434,948). All of theParticipating Preference Shares fully paid up at the statement of financial position date were held byexternal investors (year ended 30 September 2018: all held by external investors). 4,126337,959Participating Preference Shares were forfeited and cancelled at the statement of financial positiondate (year ended 30 September 2018: 4,126,337,959) and 1,808,105 were redeemed during thecurrent year at the statement of financial position date (year ended 30 September 2013: 735.883).

The Cell’s financial assets at fair value through profit or loss comprise HPI Derivative Swap positionswhich are due from CTC under the HPI Swap Agreement. The Cell achieves its exposure to the HPIthrough the Swap positions.

Investment Return

The investment return is the amount payable as calculated under the relevant investment product withrespect to each Participating Preference Share on the relevant maturity date calculated by CastleTrust Capital Management (“CTCM”) as follows:

((Return Multiplex HPI Percentage Change) + 1) x Investment Amount

Where:

The Return Multiple” is:

(i) if the final HPI Level is greater than the Initial HPI Level:

Maturity Period of Participating Preference Shares Return Multiple2 Year Growth (UK Growth & Greater London Growth) 1 .003 Year Growth 1 .255 Year Growth (UK Growth & Greater London Growth) 1.505 Year Growth 1 .505 Year Protected /Foundation (UK & Greater London) 1.00loYearGrowth 1.7010 Year Foundation 1.50

(ii) if the final HPI Level is lower than the Initial HPI Level:

Maturity Period of Participating Preference Shares Return Multiple2 Year Growth (UK Growth & Greater London Growth) 1.003 Year Growth 0.755 Year Growth (UK Growth & Greater London Growth) 1.005 Year Growth 0.505 Year Protected/Foundation UK Growth & Greater London Growth) Initial capital returned10 Year Growth 0.3010 Year Foundation (UK & Greater London) Initial capital returned

4



Castle Trust Capital Group structure

The Castle Trust Capital Group (the “Group”), of which the cell is a subsidiary by virtue of control,comprises of six operating entities: Castle Trust Capital Plc (“CTC”), Castle Trust CapitalManagement Limited (“CTCM”), Castle Trust Income Housa Plc (“CTIH”), Castle Trust Direct Plc(“CTD”), Castle Trust Finance Limited (“CTF”), Castle Trust Treasury Limited (“CU”), one dormantcompany, Castle Trust Services Limited (“CTS”) (formerly Castle Trust Treasury Limited (“CU”)).Castle Trust P05 Limited (“CTPOS”), Omni Capital Retail Finance Limited (“OCRE) and onenominee company, Castle Trust Capital Nominees Limited (“CTCN”) (collectively the “Group”). Thereis also a new “orphaned” entity “Castle Trust Belfry Limited” that will be consolidated into the Group.In addition, Castle Trust PCC (“the FCC”) and its Protected Cell, Castle Trust Growth Housa PC (“theCell”), are structured entities which are not owned by the Group but consolidated by virtue of control.

Activities and results

The statement of comprehensive income for the period is set out on page 10 and reflects totalcomprehensive expense for the period of £16278 (period ended 31 March 2018: total comprehensiveexpense of £19,753). This comprises net gains on financial assets and liabilities of £nil (period ended31 March 2018: £nil) against which there are operating expenses of £16,278 (period ended 31 March2018: £19,753). When Participating Preference Shares of nominal value are issued only 96% of thefunds received are used to purchase a HPI derivative asset from CTC, the remaining 4% of thenominal value is intended to be used to pay marketing and investment management fees. Howeverthe Cell receives nominal exposure from CTC under the terms of the derivative equivalent to 100% ofthe nominal commitment of the Participating Preference Shares.

Principal risks and uncertainties

The principal risks the Cell is exposed to are set out in note 11 of these financial statements.

Future developments

The Cell is expected to continue in its current capacity for the foreseeable future.

The Group is in dialogue with the Prudential Regulation Authority (PRA) and the Financial ConductAuthority (FCA) in order to pursue a banking licence application.

Should the application for a banking licence be successful and the nature of funding for the Group’sbusiness activities change (from Fortress Bonds to deposits), it is possible that the Cell’s business will bediscontinued as part of a wider rationalisation of entities within the Group. In the event of the Cell’sactivities being discontinued, the directors anticipate an orderly wind down on the basis that the maturityprofile of the Cell’s financial assets and liabilities is matched. However, the Cell’s directors do notanticipate this will occur in the next twelve months and have assessed that the Cell will be able to meet itsliabilities and therefore continue in business for the foreseeable future as described below.

5



Subsequent Events

Subsequent to the reporting date and at the date of signing the financial statements, the followingParticipating Preference Shares were redeemed.

Number of Number of Number ofParticipating Participating Number of ParticipatingPreference Preference Participating PreferenceShares Shares Preference Shares

Share Class issued redeemed Shares forfeited outstandingCastle Trust Protected HouSASyr Apr 2014 50,000,000 666,149 49,333,851 -

Castle Trust Growth HouSA SyrApr2014 50,000,000 363,143 49,636,857 -

Castle Trust Protected HouSA5yr May 2014 50,000,000 257,463 49,742,537 -

Castle Trust Growth HouSA 5yrMay 2014 50,000,000 233,958 49,766,042 -

Going concern

With effect from 1 November 2015, new Participating Preference Shares of the Cell were no longerissued as the CTC Group refocused its funding activities on its fixed income bond products. Theexisting book will continue to run off until the final tranche matures as per the terms and conditions ofthe product. For further events after the reporting date, please refer to note 13 of these financialstatements.

The Group’s directors have made an assessment of its ability to continue as a going concern and aresatisfied that it has the resources to continue in business for the foreseeable future. Furthermore, thedirectors are not aware of any material uncertainties that may cast significant doubt upon the Group’sability to continue as a going concern. The directors have considered the regulatory risk inherent inthe Group’s application for a banking licence.

The unaudited condensed consolidated interim financial statements of Castle Trust have beenprepared on a going concern basis as the risks inherent in the banking licence application areconsidered remote. In assessing whether the going concern assumption remains appropriate for theGroup, the directors have considered:

• business activities, future developments and the financial position of the Group;• risk management policies and how the Group is placed to manage business risks;• risks to the Group’s going concern arising from support it has commifted to other Group

members.

The Cell remains adequately capitalised to continue operations.

Pursuant to the terms of the Investment Management Agreement (the “Investment ManagementAgreement”) between the Cell and CTCM, CTCM will meet the ongoing general expenses and anyother expenses of the Cell as required.

The directors of the Group have considered the ability of CTCM to meet its obligations as manager,which include meeting the operating expenses of the Cell in return for the upfront management feepaid. This consideration has taken into account the letter of support from CTC to CTCM and as such,the ability of CTC to meet its obligations under this letter of support.

6



Dividends

The directors do not recommend the payment of a dividend for the period (period ended 30September 2018: £nil).

Directors

The membership of the Board of directors of the Cell is set out on page 1.

Directors’ Interest

No directors of the Cell have any interest in the Cell.

Secretary

The secretary of the Cell who held office during the period, and subsequently, was JTC (Jersey)Limited.

JTC (Jersey) LimitedSecretary

7


Statement of directors’ responsibilities

The directors are responsible for preparing the report and financial statements in accordance withapplicable law and regulations.

Jersey company law requires the directors to prepare financial statements for each financial period inaccordance with any generally accepted accounting principles. The financial statements of CastleTrust Growth Housa PC (the “Cell”) are required by law to give a true and fair view of the state ofaffairs of the Cell at the period end and of the profit or loss of the Cell for the period then ended. Inpreparing these financial statements, the directors should:

• select suitable accounting policies and then apply them consistently;

• make judgements and estimates that are reasonable and appropriate;

• specify which generally accepted accounting principles have been adopted in theirpreparation; and

• prepare the financial statements on the going concern basis, unless it is inappropriate topresume that the Cell will continue in business.

The directors are responsible for keeping accounting records which are sufficient to show and explainits transactions and are such as to disclose with reasonable accuracy at any time the financial positionof the Cell and enable them to ensure that the financial statements prepared by the Cell comply withthe requirements of the Companies (Jersey) Law 1991. They are also responsible for safeguardingthe assets of the Cell and hence for taking reasonable steps for the prevention and detection of fraudand other irregularities.

The directors are responsible for the maintenance and integrity of the corporate and financialinformation included on the Castle Trust. Legislation in Jersey governing the preparation anddissemination of financial statements may differ from legislation in other jurisdictions.

The directors are also responsible for ensuring that the directors’ report includes a fair review of thedevelopment and performance of the business and the position of the Cell as well as a description ofthe principal risks and uncertainties the Cell faces. Such review has been included in the directors’report on pages 2 to 7.

During the period from 1 October 2018 to 31 March 2019 the following persons acted as directors ofthe Cell:

• Mark Grenyer• Philip Hendy• Kenneth Rae

8



Statement of directors’ responsibilities (continued)

Each current director, named above, confirms that, to the best of each person’s knowledge and belief:

As required by EU Directives:

• the financial statements, prepared in accordance with IFRS as adopted by the EuropeanUnion, give a true and fair view of the assets, liabilities and financial position of the Cell andthe profit of the Cell; and

• the Directors’ Report contained in the Annual Report includes a fair review of thedevelopment and performance of the Cell’s business and the position of the Cell, togetherwith a description of the principal risks and uncertainties that they face.

/L—

_

Director Director

3o May2019 ‘3 May2019

9

Castle Trust Growth Housa PCA cell of the Castle Trust PCC

Castle.WTrust

Condensed statement of comprehensive income


Unaudited31 March 2019

Notes

_____

£

Unaudited31 March2018

£

Expenses

Marketing feeInvestment management fee

All of the results above are from continuing operations.

The accompanying notes on pages 13 to 50 form an integral part of these financial statements.

1212 (16,278) (19753)

Total operating expenses (16,278) (19753)

Net loss on derivative financial assets at fair valuethrough profit or loss 4. 10.3 (197,754) (27,599)Net gain on financial liabilities at fair value throughprofit or loss 10.3 197,754 27,599

Total net gain on derivative financial assets andfinancial liabilities at fair value through profit orloss - -

Loss for the period before tax (16,278) (19,753)

Taxation - -

Loss and total comprehensive expense for theperiod (16,278) (19,753)

10

Castle Trust Growth Housa PC

A cell of the Castle Trust PCC tCastleTrust

Condensed statement of financial position

As at 31 March 2019

Notes

Unaudited

31 March 2019

£

Audited30 September

2018£

Assets

Non current assetsDerivative financial assets at fair value through profitor loss

Current assetsDerivative financial assets at fair value through profitor lossReceivables

The financial statements on pages 10 to 50 were approved and authorised for issueon 30 May 2019 and signed on behalf of the Board by:

by the directors

Director Director


4, 10 3,085,928 3,019,100

4, 10 2,892,316 5,302,011

5 1,111,516 115,303

Total current assets 4,003,832 5,417,314

Total assets 7,089,760 8,436,414

Equity

Stated capital 6 2 2

Retained earnings 29,403 45,681

Total equity 29,405 45,683

Liabilities

Non current liabilities

Financial liabilities at fair value through profit or loss 10 3,085,928 3,019,100

Current liabilities

Financial liabilities at fair value through profit or loss 10 2,892,316 5,302,011

5,978,244 8,321,11 1

Creditors 7 1,082,111 69,620

Total liabilities 7,060,355 8,390,731

Total equity and liabilities 7,089,760 8,436,414

11


A cell of the Castle Trust PCC

5 CastleWTrust

Condensed statement of change in net assets attributable toParticipating Preference and Founder Shareholders

For the period from 1 October 2018 to 31 March 2019 (Unaudited)

Balance as at 1 October 2018 2

Total comprehensive expense for the period

Balance as at 31 March 2019


2

Foundershares

£

Retainedearnings

£

45,681

(16,278)

29,403

Totalequity

£

45,683

(16,278)

29,405

For the period from 1 October2017 to 31 March 2018 (Unaudited)

Founder Retained Totalshares earnings equity

£ £ £

Balance as at 1 October 2017 2 84,068 84,070

Total comprehensive expense for the period - (19,753) (19,753)

Balance as at 31 March 2018 2 64,315 64,317

12


A cell of the Castle Trust PCC - CastleNotes to the financial statements 1rustFor the period from I October2018 to 31 March 2019

1. General information

1.1 Incorporation and structure

Castle Trust Growth Housa PC (the ‘Cell”), is a cell of Castle Trust PCC (the “PCC”). The PCC is a publicprotected cell with limited liability incorporated in Jersey, Channel Islands, on 27 July 2011 under theCompanies (Jersey) Law 1991. The PCC has no power to meet any liability attributable to a particular cellfrom the non-cellular assets of the PCC or to meet any liability, whether attributable to a particular cell ornot, from the cellular assets of another cell. However, the PCC is a single legal entity which may operateor have assets held on its behalf or be subject to claims in other jurisdictions which may not necessarilyrecognise such segregation. There can be no guarantee that the courts of any jurisdiction outside ofJersey will respect the limitations on liability associated with protected cell companies. The Cell wascreated on 5 September 2012 as a public protected cell of the PCC. Regulatory status under theCollective Investment Funds (Jersey) Law 1988 was granted by the Jersey Financial ServicesCommission on 1 October 2014.

The Participating Redeemable Preference Shares (“Participating Preference Shares”) of the Cell arelisted on The International Stock Exchange (“TISE”) (formerly known as the Channel Islands StockExchange (“CISE”).The Participating Preference Shares are issued to UK investors. The Cell is aninvestment product which is designed to grant the investor exposure to the potential growth or fall of theHalifax House Price Index (the “HPI”) over the life of the product. It will provide a return such that theamount invested will be adjusted by the returns providing an enhanced exposure to the upside in the HPIand a reduced exposure to the downside. The precise terms of the return payable to Investors willdepend on the duration of the product.

The Participating Preference Shares of the Cell are divided into individual classes. Three classes wereoffered each month up to and including January 2014: 3 year term shares (“Growth 3 year share class”);5 year term shares (“Growth 5 year share class”); and 10 year term shares (“Growth 10 year shareclass”). In January 2014 the decision was taken by the directors to stop the issue of the Growth 3 yearshare class due to subscription by investors being lower than hoped. From February 2014, the Growth 3year share class ceased to be issued and a new Protected 5 year share class (“Protected 5 year shareclass”) was issued in its place. The terms of the Protected 5 year share class are substantially the sameas those for the Growth 5 year share class but with no downside participation on the initial capital and alower potential upside return. Protected refers to the absence of downside participation only as there is noexternal guarantee or collateral support. No further issues of the Growth 3 year share class, Growth 5year share class and Protected 5 year share class have been offered since July 2014.

Due to legislation changes in the United Kingdom passed in May 2015, the Cell’s products have to beoffered to the public on a European Union recognised Stock Exchange. Consequently, on 2 February2015, eight new classes were listed on the MSE and were offered each month:• UK Growth 2 year term shares (“UK Growth 2 year share class”);• Greater London Growth 2 year term shares (“Greater London Growth 2 year share class”);• UK Growth 5 year term shares (“UK Growth 5 year share class”); Greater London Growth 5 year

term shares (“Greater London Growth 5 year share class”);• UK Foundation 5 year term shares (“UK Foundation 5 year share class”);• Greater London Foundation 5 year term shares (“Greater London Foundation 5 year share class”);• UK Foundation 10 year term shares (“UK Foundation 10 year share class”); and• Greater London Foundation 10 year term shares (“Greater London Foundation 10 year share class”).

13


A cell of the Castle Trust PCC CastleNotes to the financial statements TrustFor the period from 1 October 2018 to 31 March 2019

(continued)

1. General information (continued)

1.1 Incorporation and structure (continued)

On 1 November 2015, eight new classes were listed on the MSE and were offered each month:• UK Growth 2 year term shares (“UK Growth 2 year share class”),• Greater London Growth 2 year term shares (“Greater London Growth 2 year share class”),• UK Growth 5 year term shares (“UK Growth 5 year share class”),• Greater London Growth 5 year term shares (“Greater London Growth 5 year share class”),• UK Foundation 5 year term shares (“UK Foundation 5 year share class”),• Greater London Foundation 5 year term shares (“ Greater London Foundation 5 year share class”),• UK Foundation 10 year term shares (“UK Foundation 10 year share class”),• Greater London Foundation 10 year term shares (“Greater London 10 year share class”).

The terms of the UK Foundation 5 year share class; Greater London Foundation 5 year share class; UKFoundation 10 year share class; and Greater London Foundation 10 year share class are substantiallythe same as those for the Protected 5 year share class whilst the terms of the UK Growth 2 year shareclass; Greater London Growth 2 year share class; UK Growth 5 year share class; and Greater LondonGrowth 5 year share class are substantially the same as those for the Growth 5 year share class.

The address of the Cell’s registered office is 28 Esplanade, St Helier, Jersey JE2 3QA.

1.2 Activities and results

The statement of comprehensive income for the period is set out on page 10 and reflects a loss and totalcomprehensive expense for the period of £16,278 (period ended 31 March 2018: loss and totalcomprehensive expense: £19,753). This comprises a total net gain on financial assets and liabilities of£nil (2018: £nil) against operating expenses of £16,278 (period ended 31 March 2018:£19,753). Operating expenses represent those marketing and investment management fees which ariseupon the issuance of Participating Preference Shares as more fully explained in note 12. ParticipatingPreference Shares issued in the October 2012 to July 2014 listings had a 14 day cooling off period whilstParticipating Preference Shares issued in the February 2015 to September 2015 listings had a cooling offperiod which expires on the 24th day of the following month (collectively the “cooling off period”).Participating Preference Shares issued on 1 November had a 14 day cooling off period. Investmentmanagement fees relating to those shares issued which remain within the “cooling off period” arerefundable and as such are recognised as a debtor in the statement of financial position. For thoseParticipating Preference Shares which are past their cooling off period, their associated investmentmanagement fees shall be amortised over the relevant maturity of the particular share class. Thistreatment compares with the immediate recognition of a revaluation amounting to 4% of the nominalvalue of shares issued against the carrying value of the derivative financial asset. This differing treatmentarising upon the issuance of Participating Preference Shares towards the immediate revaluation ofderivative financial assets compared with the amortisation of expenses associated with the issuance ofParticipating Preference Shares gives rise to a net operating profit which will over the life of each shareclass eventually net to nil when all timing differences are reversed. Where all issued ParticipatingPreference Shares are beyond the cooling off period, the valuation of the derivative financial asset andfinancial liabilities at fair value through profit or loss will be equal and opposite.

14


A cell of the Castle Trust PCC -

CastleNotes to the financial statements TrustFor the period from 1 October 2018 to 31 March 2019

(continued)

2. Accounting policies

2.1 Basis of presentation

The unaudited condensed interim financial statements (the “interim financial statements”) for the period IOctober 2018 to 31 March 2019 (the “Financial Statements) have been prepared in accordance withInternational Accounting Standard 34 Interim Financial Reporting (“lAS 34”).

The accounting policies adopted are consistent with those of the previous financial year andcorresponding interim period.

2.2 Statement of cash flows

The Cell does not have a bank account and therefore no cash or cash equivalents balances are recorded.As a result the Cell is not required to prepare a statement of cash flows.

2.3 Separate financial statements

Separate financial statements are prepared for the PCC and the Cell.

2.4 Changes in accounting policies and disclosures

2.4.1 New standards, interpretations and amendments to the existing standards andinterpretations

All new standards, amendments and interpretations which are effective for the financial periodbeginning 1 October 2018 are not material to the Cell.

2.4.2 Adoption of new and revised standards

The following standards, amendments and interpretations which are effective for the financial yearbeginning 1 January 2018 are material to the Cell:

IFRS 9 Financial Instruments (Effective date for periods beginning on or after 1 January 2018)IFRS 9 deals with classification and measurement of financial assets and its requirementsrepresent a significant change from the existing requirements in lAS 39 in respect of financialassets: amortised cost and fair value. Financial assets are measured at amortised cost whenthe business model is to hold assets in order to collect contractual cash flows. All otherfinancial assets are measured at fair value with changes recognised in profit or loss. For aninvestment in an equity instrument that is not held for trading, an entity may on initialrecognition elect to present all fair value changes from the investment in other comprehensiveincome. IFRS 9 will be applied retrospectively! subject to certain transitional provisions. Thestandard did not have a significant impact on the Financial Statements since:

• The Cell’s financial assets and liabilities fail the contractual cash flow characteristics test(i.e contractual cash flows are not solely payments of principal and interest) due to thereturn on the instrument being linked to the movement in the Halifax House Price Indexand so without even invoking the fair value option, the financial instruments will continueto be classified as fair value through profit or loss, consistent with lAS 39;

• Receivables and payables continue to be classified at amortised cost, consistent with AS39;

‘5


A cell of the Castle Trust PCC - CastleNotes to the financial statements TrustFor the period from 1 October 2018 to 31 March 2019

(continued)

2. Accounting policies (continued)

2.4 Adoption of new and revised standards (continued)

• No impairment losses resulted from applying the “Expected Credit Losses” (“ECL5”)model of IFRS 9 compared to the lAS 39 “Impaired Loss” model: and

• hedge accounting is not applied.

The Cell applies the simplified approach to measuring expected credit losses, as permitted byIFRS 9, which uses a 12 month expected loss allowance for all trade receivables. The Cellhas completed a high-level analysis and as credit risk is limited, the expected credit loss ontrade receivables will not be material and therefore no impairment adjustments wereaccounted for the period ended 31 March 2019.

IFRS 15 “Revenue from Contracts with Customers” (effective for accounting periodscommencing on or after 1 January 2018, IFRS 15 was endorsed by the EU on 29 October2016).

Due to the nature of the revenue earned the adoption of IFRS 15 did not have an impact onthe Cell’s financial results and did not result in any changes to accounting policies.

At the date of authorisation of these financial statements, there were no standards and interpretationsin issue but not yet effective which are relevant to the Cell that have been applied to these financialstatements.

2.5 Going concern

With effect from 1 November 2015, new Participating Preference Shares of the Cell were no longerissued as the CTC Group refocused its funding activities on its fixed income bond products. Theexisting book will continue to run off until the final tranche matures as per the terms and conditions ofthe product. For further events after the reporting date, please refer to note 13 of these financialstatements.

The Group’s directors have made an assessment of its ability to continue as a going concern and aresatisfied that it has the resources to continue in business for the foreseeable future. Furthermore, thedirectors are not aware of any material uncertainties that may cast significant doubt upon the Group’sability to continue as a going concern. The directors have considered the regulatory risk inherent inthe Group’s application for a banking licence.

The unaudited condensed consolidated interim financial statements of Castle Trust have beenprepared on a going concern basis as the risks inherent in the banking licence application areconsidered remote. In assessing whether the going concern assumption remains appropriate for theGroup, the directors have considered:

• business activities, future developments and the financial position of the Group:• risk management policies and how the Group is placed to manage business risks:• risks to the Group’s going concern arising from support it has committed to other Group

members.

The Cell remains adequately capitalised to continue operations.

16


A cell of the Castle Trust PCC -- CastleNotes to the financial statements TrustFor the period from 1 October 2018 to 31 March 2019

(continued)


2.5 Going concern (continued)

Pursuant to the terms of the Investment Management Agreement (the “Investment ManagementAgreement”) between the Cell and CTCM, CTCM will meet the ongoing general expenses and anyother expenses of the Cell as required.

The directors of the Group have considered the ability of CTCM to meet its obligations as manager,which include meeting the operating expenses of the Cell in return for the upfront management feepaid. This consideration has taken into account the letter of support from CTC to CTCM and as such,the ability of CTC to meet its obligations under this letter of support.

2.6 Financial instruments

Financial instruments carried on the statement of financial position include financial assets at fairvalue through profit or loss and financial liabilities at fair value through profit or loss. The accountingpolicies adopted for these financial instruments are disclosed in the individual policy statementsassociated with each item below.

(i) Classification

Financial assets at fair value through profit or loss

As a derivative, the Halifax House Price Index (“HPI”) Derivative Swap is a financial asset held fortrading and is therefore included within financial assets held at fair value through profit or loss (note4).

Financial liabilities at fair value through profit or loss

The Cell classifies all of its liabilities, including its Participating Preference Shares, upon recognition,as financial liabilities at fair value through profit or loss to minimise an accounting mismatch whichwould otherwise occur.

(ii) Recognition and derecognition

The Cell recognises financial assets and financial liabilities when, and only when, the Cell becomes aparty to the contractual provisions of the instrument.

The Cell derecognises a financial asset where:

• the rights to receive cash flows from the assets have expired;• the Cell has transferred its rights to receive cash flows from the asset or has assumed an

obligation to pay the received cash flows in full without material delay to a third partyunder a pass-through arrangement; and

• either (i) the Cell has transferred substantially all the risks and rewards of the assets, or(ü) the Cell has neither transferred nor retained substantially all the risks and rewards ofthe asset, but has transferred control of the asset.

17



(continued)


2.6 Financial instruments (continued)

(ii) Recognition and derecognition (continued)

Where the Cell has met the last two conditions above but has not transferred control of the asset! theasset is recognised to the extent of the Cell’s involvement in the asset! which is measured as theextent to which the Cell is exposed to changes in the value of the transferred asset.

The Cell derecognises a financial liability when the obligation under the liability is discharged.

(iii) Measurement

Initial measurement

Financial assets and liabilities at fair value through profit or loss are initially recognised at the fairvalue at the date of recognition. All transaction costs for such instruments are recognised directly inthe statement of comprehensive income as incurred.

Other receivables and payables are initially measured at fair value plus any directly attributableincremental costs of acquisition or issue.

Subsequent measurement

Subsequent to initial measurement, the Cell re-measures financial instruments at fair value. Changesin fair value are recognised in the statement of comprehensive income. Other debtors compriseprepaid marketing and investment management fees. The investment management fees (being 3% offully paid up Participating Preference Shares) are subsequently amortised over the life of theinvestment product until redemption and the marketing fees (being 1% of fully paid up ParticipatingPreference Shares) are fully expensed upon the completion of the cooling off period.

Gains and losses are recognised in the statement of comprehensive income when the liabilities arederecognised.

(iv) Fair value estimation

The fair values of derivative financial assets and financial liabilities held by the Cell are derived byreference to the HPI linked return, which is subject to a number of macroeconomic factors.

(v) Net gains or losses on financial assets at fair value through profit or loss

Net gains or losses on financial assets held for trading at fair value through profit or loss includechanges in fair value and the realised gains or losses from disposal of financial assets at fair valuethrough profit or loss.

Net gains or losses on financial liabilities designated at fair value through profit or loss includechanges in fair value and the realised gains or losses from redemption or maturity of financialliabilities at fair value through profit or loss.

18




(continued)


2.7 Foreign currency

(i) Functional and presentation currency

The Cell’s functional and presentation currency is sterling (“E”), which is the currency in which theCell’s performance is evaluated and is also the primary economic environment in which the Celloperates. The Participating Preference Shares are issued in £ and any returns to the investors in aliquidation would be in £.

(ii) Foreign currency translations

Transactions denominated in currencies other than £ are translated into £ at the rate ruling at the dateof the transaction. Monetary assets and liabilities denominated in foreign currencies are retranslatedinto £ at exchange rates in effect at the reporting date.

Resulting translation differences are charged or credited to the statement of comprehensive incomeas foreign currency gains or losses. Foreign exchange gains and losses relating to financial assetsand liabilities carried at fair value through profit or loss are presented in the statement ofcomprehensive income within ‘net gain/loss on financial assets and financial liabilities at fair valuethrough profit or loss’.

2.8 Prepayments

The Cell classifies other debtors, comprising prepaid investment management and marketing feesupon initial recognition, as prepayments. Payments are expensed to the Statement of ComprehensiveIncome over a period for which the Cell is receiving the benefit of these expenditures.

2.9 Expenses

Operating expenses including investment management fees and marketing fees are accounted for onan accruals basis. Investment management fees are calculated as 3% of the nominal amount of theshares issued, amortised over the term of the shares held as active. Other expenses includingongoing expenses such as directors’ and audit fees are described in note 12 and are paid by CTCM.

2.10 Founder Shares

The Cell issues Founder Shares which are non-redeemable ordinary shares and as such areclassified as equity.

19


A cell of the Castle Trust PCC -- CastleNotes to the financial statements rrustFor the period from 1 October 2018 to 31 March 2019

(continued)


2.11 Participating Preference Shares

The Cell issues Participating Preference Shares, which are redeemable at maturity. Where aninvestor has made a request to CTC to redeem their Participating Preference Shares prior to thematurity date, CTC can at its discretion purchase those Participating Preference Shares at that time ata price to be determined by CTC. Any such shares purchased by CTC will be cancelled by the Celland the corresponding HPI Swap reduced accordingly, resulting in no overall net gain or loss to theCell. Any gain or loss will therefore be recognised by CTC. Participating Preference Shares areclassified as financial liabilities at fair value through profit or loss.

2.12 Taxation

The tax charge for the period comprises current and deferred tax. Tax is recognised in the statementof comprehensive income! except to the extent that it relates to items recognised in othercomprehensive income or directly in equity, in which case the tax is recognised in othercomprehensive income or directly in equity.

Current tax is the expected tax payable on the taxable income for the period, calculated using taxrates enacted or substantively enacted by the reporting date.

3. Significant accounting judgements, estimates and assumptions

The preparation of the financial statements in conformity with IFRS requires the directors to makeestimates, assumptions and judgements that affect the reported amounts of assets and liabilities anddisclosures of contingent assets and liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period. The key assumptions and judgementsconcerning the future and other key sources of estimation uncertainty at the reporting date, that have asignificant risk of causing a material adjustment to the carrying amounts of assets and liabilities within thenext financial year are discussed below.

The Cell based its assumptions and estimates on parameters available when the financial statementswere prepared. However, existing circumstances and assumptions about future developments maychange due to market changes or circumstances arising beyond the control of the Cell. Such changes arereflected in the assumptions when they occur.

Fair value of financial instruments

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.

All financial instruments are initially recognised at fair value, which is normally the transaction price. Whenthe fair value of financial assets and financial liabilities recorded in the statement of financial positioncannot be derived from active markets, their fair value is determined using a pricing model whichincorporates key inputs such as the volatility of the movement in HPI and discount rates which is subjectto estimation uncertainty as described more fully in note 10.

20



(continued)

3. Significant accounting judgements, estimates and assumptions(continued)

IFRS 13 requires disclosures relating to the fair value measurements using a three-level fair valuehierarchy that reflects the significance of the inputs used in measuring fair values. The level in the fairvalue hierarchy within which the fair value measurement is categorised in its entirety is determined on thebasis of the lowest level input that is significant to the fair value in its entirety. For this purpose, thesignificance of an input is assessed against the fair value measurement in its entirety. If a fair valuemeasurement uses observable inputs that require significant adjustments based on unobservable inputs,then that measurement is a level 3 measurement. Assessing the significance of a particular input to thefair value measurement in its entirety requires judgement, considering factors specific to the asset orliability.

At the period end, the derivative financial assets at fair value through profit or loss have been classified atLevel 3 because judgement is applied, fair value has been derived indirectly using unobservable marketdata (as at 30 September 2018: Level 3). See note 10 for fair value hierarchy.

Financial assets at fair value through profit and loss

The financial assets are derivatives which by definition are held for trading and are therefore required tobe held at fair value through profit or loss.

Financial liabilities at fair value through profit and loss

The directors have made a key judgement to designate the financial liabilities at fair value through profitor loss and not amortised cost, in order to avoid an accounting mismatch.

4. Derivative financial assets at fair value through profit or loss

Unaudited Audited30 September31 March2019

2018£ £

HPI derivative swaps

Book cost 4,441,767 6,177,549Fair value adjustment 1,536,477 2,143,562

Fairvalue 5,978,244 8,321,111

The derivative financial assets at fair value through profit or loss comprise derivative swaps receivablefrom CTC which are shown at fair value using the valuation techniques explained in note 10. By the verynature of these assets there is no denomination of investment in CTC.

The sole investment is therefore the derivative asset. There is no equity ownership of CTC.

For every derivative asset, there is a corresponding liability for the same value.

21


A cell of the Castle Trust PCC --

CastleNotes to the financial statements ‘rrustFor the period from 1 October 2018 to 31 March 2019

(continued)

4. Derivative financial assets at fair value through profit or loss(continued)

Total realised gains deriving from financial assets at fair value through profit or loss, which are not listed,from inception to 31 March 2019 amounted to £1,549,957 (31 March 2018: £420,691) of which £804,840(31 March 2018: £78,884) relates to the current period.

Total unrealised gains from inception to 31 March 2019 amounted to £1,536,477 (31 March 2018:£1,955,935) of which £607,085 (31 March 2018: £106,460) has been recognised in the current period.

The derivative financial assets at fair value through profit or loss is reflected on the statement of financialposition as follows:

UnauditedAudited

31 March 201930 September

£ £

Non current assets 3,085,928 3,019,100Current assets 2,892,316 5,302,011

5,978,244 8,321,111

There is a master derivative agreement with terms such that the derivative matches each series of theparticipating preference shares.

5. Receivables

. AuditedUnaudited


Prepayments 29,403 45,681Redemption amounts receivable 1,082,111 69,620Due on ordinary founder shares 2 2

1,111,516 115,303

6. Participating and Founder Shares

The Cell is authorised to issue an unlimited number of Participating Preference Shares of no par valueand 2 Founder Shares of £1 par value.

The Participating Preference Shareholder will not receive dividends, shall have no voting rights in respectof general meetings of the Cell, but shall have voting rights in respect of separate meetings of the holdersof the shares of the relevant Share Class.



(continued)

6. Participating and Founder Shares (continued)

Participating Preference Shares will be redeemed on maturity, or before maturity date at the request ofthe holder subject to the discretion of CTC.

The Founder Shares will not receive dividends whilst Participating Preference Shares are in issue. At anytime that there are no Participating Preference Shares in issue, dividends may be declared and paid onthe Founder Shares in accordance with the provisions of Cell Articles. The Founder Shares are non-redeemable.

The Founder Shares shall have voting rights! and the holders of Founder Shares shall be entitled toreceive notice of, and to attend and speak at, general meetings of the Cell. The Founder Shares are heldby The Housing Foundation Charitable Trust.

The following table shows the number and nominal value of Participating Preference Shares and FounderShares in issue at the statement of financial position date:

Unaudited Audited31 March 2019 30 September 2018

Number £ Number £AuthorisedFounder Shares of £1 par value 2 2 2 2

Issued and fully paid — Founder Shares 2 2 2 2

Issued and fully paid — Participating 31 March 2019 30 September 2018Preference Shares Number £ Number £5 Year Growth October 2012 -

10 Year Growth October 2012 13,025 13,025 13,025 13,02510 Year Growth November2012 20,075 20,075 20,075 20,07510 Year Growth December 2012 15000 15,000 1 5000 15,00010 Year Growth January 2013 20000 20,000 20,000 20,0005 Year Growth February 2013 -

10 Year Growth February 2013 82,250 82,250 82,250 82,2505 Year Growth March 2013 . . -

10 Year Growth March 2013 6,610 6,610 6,610 6,6105 Year Growth April 201310 Year Growth April 2013 81,416 81,416 81,416 81,4165 Year Growth May2013 - -

10 Year Growth May 2013 44,310 44,310 44,310 44,3105 Year Growth June 2013 - - -

10 Year Growth June 2013 60,810 60,810 60,810 60,8105 Year Growth July 2013 - - - -

10 Year Growth July 2013 3,500 3,500 3,500 3,5005 Year Growth August 2013 - - - -

5 Year Growth September 2013 - - - -

10 Year Growth September 2013 17,472 17,472 17,472 17,4725 Year Growth October 2013 - - 196,g20 1g6,92010 Year Growth October2013 20,664 20,664 20,664 20,6645 Year Growth November2013 - - 81,520 81,52010 Year Growth November 2013 10,000 10,000 10,000 10,000

23



CastleNotes to the financial statements ‘TrustFor the period from 1 October 2018 to 31 March 2019

(continued)


Issued and fully paid — Participating 31 March 2019 30 September2018Preference Shares Number £ Number £

5 Year Growth December2013 . - 46,500 4650010 Year Growth December 2013 35000 35,000 35000 35,0005 Year Growth January 2014 - 225,400 225,40010 Year Growth January 2014 58,000 58,000 58,000 58.0005 Year Protected February 2014 - 188,040 188,0405 Year Growth February 2014 - 271,840 271,84010 Year Growth February 2014 13,000 13,000 1 3,000 13,0005 Year Protected March 2014 - - 346,198 346,1985 Year Growth March 2014 - 436687 436,68710 Year Growth March 2014 145,560 145,560 145,560 145.5605 Year Protected April 2014 654,269 654,269 666149 666,1495 Year Growth April2014 349,531 349,531 349.531 349,53110 Year Growth April 2014 137,340 137,340 1 37.340 137,3405 Year Protected May 2014 247,463 241,463 247.463 247,4635 Year Growth May 2014 228,958 228,958 228.958 228,95810 Year Growth May 2014 106,807 106,807 106,807 106,8075 Year Protected June 2014 381947 381,947 381.947 381,947SYearGrowthJune2ol4 171,100 171,100 171,100 171,100loYearGrowthJune20l4 81,800 81,800 81.800 81,8005 Year Protected July 2014 130,662 130,662 133,782 133,7825 Year Growth July 2014 13,932 13,932 13,932 13,93210 Year Growth July 2014 23,835 23,835 23.835 23,8355 Year Greater London Growth February 2015 5,000 5,000 5,000 5,0005 Year Greater London Foundation February2015 2,500 2,500 2,500 2.5005 Year UK Growth March 2015 24,507 24,507 24,507 24,5075 Year Greater London Growth March 2015 44,500 44,500 44,500 44,5005 Year UK Foundation March 2015 33,000 33,000 33,000 33,00010 Year UK Foundation March 2015 4,500 4,500 4,500 4,50010 Year Greater London Foundation March2015 12,500 12,500 12,500 12,5005 Year UK Growth April 2015 5,000 5,000 5,000 5,0005 Year Greater London Growth April 2015 37,740 37,740 37,740 37,7405 Year UK Foundation April 2015 25,000 25,000 25,000 25,0005 Year Greater London Foundation April 2015 4,000 4,000 4,000 4,0005 Year UK Growth May 2015 20,000 20,000 20,000 20,0005 Year Greater London Growth May 2015 81,500 81,500 81,500 81,5005 Year UK Foundation May 2015 11,000 11,000 11,000 11,0005 Year Greater London Foundation May 2015 83,000 83,000 83,000 83,00010 Year UK Foundation May 2015 16,000 16,000 16,000 16,00010 Year Greater London Foundation May2015 12,812 12,812 12,812 12,812

24


A cell of the Castle Trust PCC - CastleNotes to the financial statements TrustFor the period from I October2018 to 31 March 2019

(continued)


Issued and fully paid — Participating 31 March 2019 30 September2018Preference Shares Number £ Number £5 Year UK Growth June 2015 65,378 65,378 65,378 653785 Year Greater London Growth June 2015 81,593 81,593 81593 815935 Year UK Foundation June 2015 30,577 30,577 30,577 30,5775 Year Greater London Foundation June 2015 64,842 64,842 64,842 64,84210 Year Greater London Foundation June2015 20,000 20,000 20,000 20,0005 Year UK Growth July 2015 41,490 47,490 47,490 47,4905 Year Greater London Growth July 2015 17,250 17,250 17,250 17,2505 Year UK Foundation July 2015 40,000 40,000 40,000 40,0005 Year Greater London Foundation July 2015 11,691 11,691 11,691 11,69110 Year UK Foundation July 2015 3,000 3,000 3,000 3,0005 Year UK Growth August2015 9,944 9,944 9,944 9,9445 Year Greater London Growth August 2015 35,536 35,536 35,536 35,5365 Year UK Foundation August 2015 9,000 9,000 9,000 9,0005 Year Greater London Foundation August2015 13,482 13,482 13,482 13,48210 Year Greater London Foundation August2015 15,240 15,240 15,240 15,2405 Year UK Growth September 2015 108,092 108,092 108,092 108,0925 Year Greater London Growth September2015 45,092 45,092 45,092 45,0925 Year UK Foundation September 2015 75,000 75,000 75,000 75,0005 Year Greater London FoundationSeptember 2015 20,000 20,000 20,000 20,00010 Year UK Foundation September 2015 15,000 15,000 15,000 15,00010 Year Greater London FoundationSeptember 2015 20,103 20,103 20,103 20,1032 year UK Growth Housa October2015 - - -

2 year Greater London Growth Housa October2015 . . - -

5 year UK Growth Housa October2015 157,295 157,295 157,295 157,2955 year Greater London Growth Housa October2015 30,240 30,240 30,240 30,2405 year UK Foundation October 2015 26,000 26,000 26,000 26,0005 year UK Foundation Housa October 2015 38,863 38,863 38,863 38,86310 year UK Foundation Housa October 2015 8,240 8,240 8,240 8,24010 year Greater London Foundation HousaOctober2015 21,000 21,000 21,000 21,000Total at3l March 2019 4,626,843 4,626,843 6,434,948 6,434,948

25



(continued)

6. Participating and Founder Shares (continued)Number of

Number of Number of ParticipatingNumber of Participating Participating Preference

Participating Preference Preference SharesPreference Shares Shares Remaining in

Share Class

- -

Shares Issued Forfeited Redeemed Issue

3 Year Growth October 2012 50000000 50000,000 -

5 Year Growth October 2012 50,000,000 49995.000 5,00010 Year Growth October2012 50,000000 49,986,975 13,0253 Year Growth November 2012 50,000,000 50,000,000 . -

5 Year Growth November 2012 50,000,000 50,000,00010 Year Growth November 2012 50,000,000 49,979,925 20,0753 Year Growth December 2012 50,000,000 49,500,000 500,0005 Year Growth December 2012 50,000,000 50,000,000 -

10 Year Growth December 2012 50,000,000 49,985,000 15,0003 Year Growth January 2013 50,000,000 50,000,0005 Year Growth January 2013 50,000,000 50,000,000 -

10 Year Growth January 2013 50,000,000 49,980,000 20,0003 Year Growth February 2013 50,000,000 50,000,0005 Year Growth February 2013 50,000,000 49,894,780 105,22010 Year Growth February 2013 50,000,000 49,917,750 - 82,2503 Year Growth March 2013 50,000,000 50,000,0005 Year Growth March 2013 50,000,000 49,914,100 85,90010 Year Growth March 2013 50,000,000 49,993,390 6,6103 Year Growth April 2013 50,000,000 50,000,000 . -

5 Year Growth April 2013 50,000,000 49,895,075 104,92510 Year Growth April 2013 50,000,000 49,918,584 81,4163 Year Growth May 2013 50,000,000 49,996,000 4,000 -

5 Year Growth May2013 50,000,000 49.918,841 81,15910 Year Growth May 2013 50,000,000 49,955,690 . 44,3103 Year Growth June 2013 50,000.000 50.000,000 . -

5 Year Growth June 2013 50,000.000 49.925,232 74,76810 Year Growth June 2013 50.000,000 49,939,190 50,6103 Year Growth July 2013 50,000,000 49,969.108 30.892 -

5 Year Growth July 2013 50,000,000 49,918.880 61.12010 Year Growth July 2013 50,000,000 49,996,500 3,5003 Year Growth August 2013 50,000,000 49,850.480 149.520 -

5 Year Growth August 2013 50,000,000 49,925.480 74,520 -

10 Year Growth August 2013 50,000,000 50,000.0003 Year Growth September 2013 50,000,000 49,922,223 77,7775 Year Growth September2013 50,000,000 49,946,463 53,537 -

10 Year Growth September 2013 50,000.000 49,982,528 17,4723 Year Growth October 2013 50,000.000 49,922,500 77,5005 Year Growth October2013 50,000,000 49,803,080 196,920 -

10 Year Growth October 2013 50,000,000 49,979,336 - 20,6643 Year Growth November2013 50,000,000 49,951,000 49,0005 Year Growth November 2013 50,000,000 49,918,480 81,52010 Year Growth November 2013 50,000,000 49,990,000 - 10,0003 Year Growth December 2013 50,000,000 49,947,500 52,500 -

5 Year Growth December 2013 50,000,000 49,953,500 46,50010 Year Growth December 2013 50,000,000 49,965,000 35,0003 Year Growth January 2014 50,000,000 49,808,460 191,540 -

5 Year Growth January 2014 50,000,000 49,774600 225,40010 Year Growth January 2014 50,000,000 49,942,000 58,000

26



(continued)

6. Participating and Founder Shares (continued)Number of


Participating Preference Preference SharesPreference Shares Shares Remaining in

Share Class Shares Issued Forfeited Redeemed Issue

5 Year Protected February 2014 50,000,000 49,811.960 186,040 -

5 Year Growth February 2014 50,000,000 49.728,160 271,840 -

10 Year Growth February 2014 50,000,000 49,987,000 - 13.0005 Year Protected March 2014 50,000.000 49.653,802 346,198 -

5 Year Growth March 2014 50,000,000 49.544,752 455,248 -

10 Year Growth March 2014 50.000,000 49,854,440 - 145.5605 Year Protected April2014 50.000,000 49,333,851 11.880 654,2695 Year Growth April2014 50,000,000 49,636,857 13612 349,53110 Year Growth April2014 50,000,000 49,862,660 - 137,3405 Year Protected May 2014 50,000,000 49,742,537 10.000 247,4635 Year Growth May 2014 50,000,000 49,766,042 5,000 228,95810 Year Growth May 2014 50,000,000 49,893,193 - 106,8075 Year Protected June 2014 50,000,000 49,617,053 1,000 381,9475 Year Growth June 2014 50,000.000 49,828.900 - 171,10010 Year Growth June 2014 50,000,000 49,903.200 15,000 81.8005 Year Protected July 2014 50,000,000 49,866.218 3,120 130.6625 Year Growth July 2014 50.000,000 49,986,068 - 13.93210 Year Growth July 2014 50,000,000 49,976,165 - 23,8352 Year UK Growth February 2015 15.000,000 15,000,000 - -

2 Year Greater London Growth February2015 15,000,000 15.000,000 - -

5 Year UK Growth February 2015 15,000,000 15,000,000 - -

5 Year Greater London Growth February2015 15,000,000 14,995,000 - 5,0005 Year UK Foundation February 2015 15,000,000 15,000,000 - -

5 Year Greater London FoundationFebruary 2015 15,000.000 14,997,500 - 2,50010 Year UK Foundation February 2015 15,000,000 15,000,000 - -

10 Year Greater London FoundationFebruary 2015 15,000,000 15,000,000 - -

2 Year UK Growth March 2015 15,000,000 14,983,000 17,000 -

2 Year Greater London Growth March2015 15,000,000 14,992,000 8,000 -

5 Year UK Growth March 2015 15,000,000 14,975,493 - 24,5075 Year Greater London Growth March2015 15,000,000 14,955,500 - 44,5005 Year UK Foundation March 2015 15,000,000 14,967,000 - 33,0005 Year Greater London FoundationMarch 2015 15,000,000 15,000,000 - -

10 Year UK Foundation March 2015 15,000,000 14,995,500 - 4,50010 Year Greater London FoundationMarch 2015 15,000,000 14,987,500 - 12,5002 Year UK Growth April2015 15,000,000 14,995,000 5,000 -

2 Year Greater London Growth April2015 15,000,000 14,980,500 19,500 -

5 Year UK Growth April 2015 15,000,000 14,995,000 - 5,0005 Year Greater London Growth April2015 15,000,000 14,962,260 - 37,740

27


A cell of the Castle Trust PCC - CastleNotes to the financial statements •rrustFor the period from 1 October 2018 to 31 March 2019

(continued)


Number ofNumber of Number of Participating

Number of Participating Participating PreferenceParticipating Preference Preference Shares

Preference Shares Shares Remaining inShare Class Shares Forfeited Redeemed Issue

Issued5 Year UK Foundation April 2015 15,000,000 14,975,000 - 25,0005 Year Greater London Foundation April2015 15,000,000 14,996,000 - 4,00010 Year UK Foundation April 2015 15,000,000 15,000,000 - -

10 Year Greater London Foundation April2015 15,000,000 15.000,000 - -

2 Year UK Growth May 2015 15,000.000 14.985,000 15,000 -

2 Year Greater London Growth May 2015 15,000.000 14,998,000 2,000 -

5 Year UK Growth May 2015 15,000.000 14,980,000 - 20,0005 Year Greater London Growth May 2015 15.000,000 14,918,500 - 81,5005 Year UK Foundation May 2015 15.000.000 14,989,000 - 11,0005 Year Greater London Foundation May2015 15,000,000 14,917.000 - 83,00010 Year UK Foundation May 2015 15,000,000 14,964,000 - 16.00010 Year Greater London Foundation May2015 15,000,000 14,987,188 - 12,8122 Year UK Growth June 2015 15,000,000 14,966,260 33,740 -

2 Year Greater London Growth June2015 15,000,000 14,870,970 129,030 -

5 Year UK Growth June 2015 15,000,000 14,934,622 - 65,3785 Year Greater London Growth June2015 15,000,000 14,918,407 - 81,5935 Year UK Foundation June 2015 15,000,000 14,969,423 - 30,5775 Year Greater London Foundation June2015 15,000,000 14,935,158 - 64,84210 Year UK Foundation June 2015 15,000,000 15,000,000 - -

10 Year Greater London Foundation June2015 15,000,000 14,980,000 - 20,0002 Year UK Growth July 2015 15,000,000 14.983,799 16,201 -

2 Year Greater London Growth July2015 15,000,000 14,968,652 31,348 -

5 Year UK Growth July 2015 15,000000 14,952,510 - 47,4905 Year Greater London Growth July 2015 15,000,000 14,982,750 - 17,2505 Year UK Foundation July 2015 15.000.000 14,960,000 - 40,0005 Year Greater London Foundation July2015 15.000.000 14,988,309 - 11.69110 Year UK Foundation July 2015 15,000,000 14,997,000 - 3,0002 Year UK Growth August 2015 15.000.000 15,000,000 - -

2 Year Greater London Growth August2015 15,000,000 14,979,751 20,249 -

5 Year UK Growth August 2015 15,000,000 14,990,056 - 9,9445 Year Greater London Growth August2015 15,000,000 14,964,464 - 35,5365 Year UK Foundation August 2015 15,000,000 14,991,000 - 9,0005 Year Greater London FoundationAugust 2015 15,000,000 14,986,518 - 13,482

28


A cell of the Castle Trust PCC - CastleNotes to the financial statements TrustFor the period from 1 October2018 to 31 March 2019

(continued)


Number of Number of Number ofNumber of Participating Participating Participating

Participating Preference Preference PreferencePreference Shares Shares Shares

Share Class Shares Forfeited Redeemed Remaining inIssued Issue

10 Year UK Foundation August 2015 15,000,000 15000000 - -

10 Year Greater London Foundation August2015 15,000,000 14,984,760 - 152402 Year UK Growth September 2015 500,000 482,760 17,240 -

2 Year Greater London GrowthSeptember 2015 500000 499:000 1.000 -

5 Year UK Growth September 2015 500000 391.908 - 108,0925 Year Greater London GrowthSeptember 2015 500.000 454.908 - 45,0925 Year UK Foundation September 2015 1,000.000 925.000 - 75,0005 Year Greater London FoundationSeptember 2015 1,000.000 980.000 - 20,00010 Year UK Foundation September2015 500.000 485.000 - 15,00010 Year Greater London FoundationSeptember 2015 500,000 479.897 - 20.1032 year UK Growth Housa October2015 500.000 459,266 40,734 -

2 year Greater London Growth HousaOctober2015 500.000 491,000 9,000 -

5 year UK Growth Housa October 2015 1.000,000 842,705 - 157,2955 year Greater London Growth HousaOctober2015 1.000,000 969.760 . 30,2405 year UK Foundation October 2015 500,000 474,000 - 26,0005 year UK Foundation Housa October 2015 500,000 461.137 - 38,86310 year UK Foundation Housa October2015 500,000 491.760 - 8,24010 year Greater London Foundation HousaOctober2015 500.000 479.000 - 21,000

Total at3l March 2019 4,135,000,000 4,126,337,959 4,035198 4626,843

30 September 2018.Number of


Participating Preference Preference SharesPreference Shares Shares Shares Remaining in

Share Class Issued Forfeited Redeemed Issue

3 Year Growth October 2012 50.000.000 50,000,000 - -

5 Year Growth October 2012 50,000,000 49,995,000 5,000 -

10 Year Growth October2012 50:000:000 49,986,975 - 13,0253 Year Growth November 2012 50,000,000 50,000,000 - -

5 Year Growth November 2012 50,000,000 50,000,000 - -

10 Year Growth November 2012 50,000,000 49,979,925 - 20,0753 Year Growth December 2012 50,000,000 49,500,000 500,000 -

5 Year Growth December 2012 50,000,000 50,000,000 - -

10 Year Growth December 2012 50,000,000 49,985,000 - 15,000

29



(continued)




Preference Shares Shares Remaining inShare Class Shares Issued Forfeited Redeemed Issue

3 Year Growth January 2013 50,000000 50,000,000 - -

5 Year Growth January 2013 50,000,000 50,000,000 - -

10 Year Growth January 2013 50,000,000 49,980,000 - 20,0003 Year Growth February 2013 50,000,000 50,000,000 - -

5 Year Growth February 2013 50,000,000 49,894,780 105,220 -

loYearGrowth February 2013 50000,000 49,917,750 - 82,2503 Year Growth March 2013 50000,000 50,000,000 - -

5 Year Growth March2013 50000,000 49,914! 100 85,900 -

10 Year Growth March 2013 50.000,000 49,993,390 - 6,6103 Year Growth April 2013 50,000.000 50,000.000 - -

5 Year Growth April 2013 50.000,000 49,895.075 104,925 -

10 Year Growth April 2013 50,000,000 49,918,584 - 81,4163 Year Growth May 2013 50,000,000 49.996,000 4,000 -

5 Year Growth May 2013 50,000,000 49,918,841 81,159 -

10 Year Growth May 2013 50,000.000 49.955,690 - 44,3103 Year Growth June 2013 50,000,000 50,000,000 - -

5 Year Growth June 2013 50,000,000 49,925,232 74,768 -

10 Year Growth June 2013 50,000,000 49,939,190 - 60,8103 Year Growth July 2013 50,000,000 49,969,108 30,892 -

5 Year Growth July 2013 50,000,000 49,918,880 81,120 -

10 Year Growth July 2013 50,000,000 49,996,500 - 3,5003 Year Growth August 2013 50,000,000 49,850,480 149,520 -

5 Year Growth August 2013 50,000,000 49,925,480 74,520 -

10 Year Growth August 2013 50,000,000 50,000,000 - -

3 Year Growth September 2013 50,000,000 49,922,223 77,777 -

5 Year Growth September 2013 50,000,000 49,946,463 53,537 -

10 Year Growth September 2013 50,000,000 49,982,528 - 17,4723 Year Growth October 2013 50,000,000 49,922,500 77,500 -

5 Year Growth October 2013 50,000,000 49,803,080 - 196,92010 Year Growth October 2013 50,000,000 49,979,336 - 20,6643 Year Growth November 2013 50.000,000 49.951,000 49,000 -

5 Year Growth November2013 50,000,000 49,918,480 - 81,52010 Year Growth November2013 50,000.000 49,990,000 - 10,0003 Year Growth December 2013 50,000,000 49,947,500 52,500 -

5 Year Growth December 2013 50,000.000 49,953,500 - 46,50010 Year Growth December 2013 50,000.000 49,965,000 - 35,0003 Year Growth January 2014 50.000,000 49,808,460 191.540 -

5 Year Growth January 2014 50.000,000 49,774,600 - 225,40010 Year Growth January 2014 50.000,000 49,942,000 - 58,0005 Year Protected February 2014 50,000,000 49,811,960 - 188,0405 Year Growth February 2014 50,000.000 49,728,160 - 271,84010 Year Growth February 2014 50,000,000 49,987,000 - 13,0005 Year Protected March 2014 50,000,000 49,653,802 - 346,1985 Year Growth March 2014 50,000,000 49,544,752 18,561 436,68710 Year Growth March 2014 50,000,000 49,854,440 - 145,5605 Year Protected April2014 50,000,000 49,333,851 - 666,149

30



(continued)





Issued5 Year Growth April 2014 50.000000 49,636,857 13612 349,53110 Year Growth April 2014 50,000,000 49,862.660 - 137,3405 Year Protected May 2014 50,000.000 49,742.537 10.000 247,4635 Year Growth May 2014 50,000.000 49,766,042 5,000 228.95810 Year Growth May 2014 50,000.000 49,893.193 105.8075 Year Protected June 2014 50,000.000 49,617,053 1,000 381.9475 Year Growth June 2014 50.000,000 49828,900 171.10010 Year Growth June 2014 50,000,000 49,903,200 15,000 81,8005 Year Protected July 2014 50,000,000 49,866,218 133,7825 Year Growth July 2014 50,000,000 49,986,068 1 3,93210 Year Growth July 2014 50,000,000 49,976,165 23,8352 Year UK Growth February 2015 15,000,000 15,000,000 -

2 Year Greater London Growth February2015 15,000,000 15,000,000 . -

5 Year UK Growth February 2015 15,000,000 15,000,000 . -

5 Year Greater London Growth February2015 15,000,000 14,995,000 5,0005 Year UK Foundation February 2015 15,000,000 15,000,000 . -

5 Year Greater London FoundationFebruary 2015 15,000,000 14,997,500 - 2,50010 Year UK Foundation February 2015 15,000,000 15,000,000 . -

10 Year Greater London FoundationFebruary 2015 15,000,000 15,000,000 -

2 Year UK Growth March 2015 15,000,000 14,983,000 17,0002 Year Greater London Growth March2015 15,000,000 14,992,000 8,0005 Year UK Growth March 2015 15,000,000 14,975,493 - 24,5075 Year Greater London Growth March2015 15,000,000 14,955.500 44.5005 Year UK Foundation March 2015 15,000,000 14,967.000 - 33.0005 Year Greater London Foundation March2015 15,000.000 15,000000 -

10 Year UK Foundation March 2015 15.000.000 14,995,500 - 4.50010 Year Greater London FoundationMarch 2015 15.000,000 14,987,500 - 12,5002 Year UK Growth April 2015 15,000,000 14,995,000 5,0002 Year Greater London Growth April 2015 15,000.000 14,980,500 19,5005 Year UK Growth April 2015 15,000,000 14,995,000 - 5,0005 Year Greater London Growth April 2015 15,000,000 14.962,260 - 37,7405 Year UK Foundation April 2015 15,000,000 14.975,000 - 25.0005 Year Greater London Foundation April2015 15,000.000 14,996.000 - 4,00010 Year UK Foundation April 2015 15,000.000 15,000.000 -

10 Year Greater London Foundation April2015 15,000,000 15,000,000 -

2 Year UK Growth May 2015 15,000,000 14,985,000 15,000

31



Notes to the financial statements

For the period from I October2018 to 31 March 2019

(continued)


ñ CastleWTrust

Share Class

2 Year Greater London Growth May 20155 Year UK Growth May 20155 Year Greater London Growth May 20155 Year UK Foundation May 20155 Year Greater London Foundation May

10 Year UK Foundation May 201510 Year Greater London Foundation May

loYearUkFoundation June 201510 Year Greater London Foundation June

10 Year UK Foundation July 20152 Year UK Growth August 20152 Year Greater London Growth August

5 Year UK Growth August 20155 Year Greater London Growth August

2 Year UK Growth September 20152 Year Greater London GrowthSeptember 20155 Year UK Growth September 20155 Year Greater London GrowthSeptember 20155 Year UK Foundation September 2015

Number ofParticipating

PreferenceSharesIssued

15,000,00015,000,00015,000,00015,000,000

15,000,00015,000,00015,000,00015,000,00015,000,00015,000,000

15,000,00015,000,00015,000,00015,000,00015,000,00015,000,000

15,000,00015,000,00015,000,000

15,000,000500,000

500,000500,000

500,0001,000,000

14,998,00014,980,00014,918,50014,989,000

14,987,18814,966,26014,870,97014,934,62214,918,40714,969,423

14,980,00014,983,79914,968,65214,952,51014,982,75014,960,000

14,988,30914,997,00015,000,000

499,000391,908

454,908925,000


PreferenceShares

Remaining inIssue

2,000 -

20,00081,50011,000

83,00016,000

12,812

65,37881,59330,577

64,842

20,000

47,49017,25040,000

11,6913,000

9,944

35,5369,000

13,482

15,240

108,092

45,09275,000


PreferenceShares

Forfeited


PreferenceShares

Redeemed

2015 15,000,000 14,917,00015,000,000 14,984,000

20152 Year UK Growth June 20152 Year Greater London Growth June 20155 Year UK Growth June 20155 Year Greater London Growth June 20155 Year UK Foundation June 20155 Year Greater London Foundation June2015 15,000,000 14,935,158

15,000,000 15,000,000

20152 Year UK Growth July 20152 Year Greater London Growth July 20155 Year UK Growth July 20155 Year Greater London Growth July 20155 Year UK Foundation July 20155 Year Greater London Foundation July2015

33,740129,030

16,20131, 348

20,2492015

20155 Year UK Foundation August 20155 Year Greater London Foundation August2015loYearUKFoundation August 201510 Year Greater London Foundation August2015

15,000,000 14,979,75115,000,000 14,990,056

15,000,000 14,964,46415,000,000 14,991,000

15,000,000 14,986,51815,000,000 15,000,000

14,984,760 -

482,760 17,240

1,000

32


A cell of the Castle Trust PCC --

_


(continued)





Issued5 Year Greater London FoundationSeptember 2015 1000,000 980,000 - 20,00010 Year UK Foundation September 2015 500000 485.000 - 15,00010 Year Greater London FoundationSeptember 2015 500,000 479.897 20,1032 year UK Growth Housa October 2015 500,000 459.266 40.734 -

2 year Greater London Growth HousaOctober2015 500,000 491,000 9,000 -

5 year UK Growth Housa October2015 1,000,000 842,705 - 157,2955 year Greater London Growth HousaOctober2015 1,000,000 969,760 - 30,2405 year UK Foundation October2015 500,000 474,000 - 26,0005 year UK Foundation Housa October 2015 500,000 461,137 - 38,86310 year UK Foundation Housa October 2015 500,000 491,760 - 8,24010 year Greater London Foundation HousaOctober 2015 500,000 479,000 - 21,000

Total at3O September2018 4,135,000,000 4,126,337,959 2,227,093 6,434,948

Financial liabilities at fair value through profit or loss

The table below analyses the net asset value (“NAy”) of each fully paid Participating Preference Shareclass at the reporting date:

31 March 2019Number of Fair value through

Total fair value Participating profit or loss perthrough profit or Preference Participating

loss Shares Preference Share£ £

5 Year Growth October 2012 -

10 Year Growth October 2012 19,219 13,025 1.475510 Year Growth November2012 29,715 20,075 1.480210 Year Growth December 2012 22,027 15,000 1.468510 Year Growth January 2013 29,192 20,000 1.45965 Year Growth February 201310 Year Growth February 2013 120,922 82,250 1.47025 Year Growth March 201310 Year Growth March 2013 9,635 6,610 1.45775 Year Growth April 2013 - . -

10 Year Growth April 2013 117,258 81,416 1.44025 Year Growth May 201310 Year Growth May 2013 62,617 44,310 1.41325 Year Growth June 201310 Year Growth June 2013 85,451 60,810 1,4052

33



(continued)


Financial liabilities at fair value through profit or loss (continued)

Number of Fair value throughTotal fair value Participating profit or loss per

through profit or Preference Participatingloss Shares Preference Share

£ £5 Year Growth July 2013 - - -

10 Year Growth July 2013 4,852 3,500 1.38625 Year Growth August 2013 - - -

5 Year Growth September 2013 . - -

10 Year Growth September2013 24,190 17,472 1.38465 Year Growth October 2013 - -

10 Year Growth October 2013 28,467 20,664 1.37775 Year Growth November 2013 - -

10 Year Growth November 2013 13,647 10,000 1.36475 Year Growth December 2013 -

10 Year Growth December 2013 47,151 35,000 1.34725 Year Growth January 2014 - -

10 Year Growth January 2014 79,658 58,000 1.37365 Year Protected February 2014 . - -

5 Year Growth February 2014 - - -

10 Year Growth February 2014 17,643 13,000 1.35725 Year Protected March 2014 - - -

5 Year Growth March 2014 - -

10 Year Growth March 2014 191,818 145,560 1.31785 Year Protected April 2014 848,303 654,269 1.29665 Year Growth April2014 505,628 349,531 1.446610 Year Growth April 2014 181,435 137,340 1.32115 Year Protected May 2014 318,389 247,463 1.28665 Year Growth May 2014 328,000 228,958 1.432610 Year Growth May 2014 140,591 106,807 1.31635 Year Protected June 2014 471,233 381,947 1.23385 Year Growth June 2014 231,709 171,100 1.354210 Year Growth June 2014 103,679 81,800 1.26755 Year Protected July 2014 160,142 130,662 1.22565 Year Growth July 2014 18,710 13,932 1.342910 Year Growth July 2014 30,071 23,835 1.26175 Year Greater London Growth February 2015 7,040 5,000 1.40805 Year Greater London Foundation February2015 3,163 2,500 1.26515 Year UK Growth March 2015 31,091 24,507 1.26875 Year Greater London Growth March 2015 62,305 44,500 1.40015 Year UK Foundation March 2015 38,680 33,000 1.1 72110 Year UK Foundation March 2015 5,335 4,500 1.185510 Year Greater London Foundation March 2015 16,246 12,500 1.29972 Year UK Growth April 2015 . - -

2 Year Greater London Growth April20155 Year UK Growth April 2015 6,269 5,000 1.25385 Year Greater London Growth April 2015 49,967 37,740 1.32405 Year UK Foundation April 2015 29,047 25,000 1.16195 Year Greater London Foundation April 2015 4,835 4,000 1.2088

34


A cell of the Castle Trust PCC CastleNotes to the financial statements .B.TrustFor the period from 1 October 2018 to 31 March 2019

(continued)



Number of Fair value throughParticipating profit or loss per

Total fair value Preference Participatingthrough profit Shares Preference Share

or loss£ £

5 Year UK Growth May 2015 24,064 20,000 1.20325 Year Greater London Growth May 2015 107,315 81,500 1.31685 Year UK Foundation May 2015 12,413 11,000 1.12845 Year Greater London Foundation May 2015 99,886 83,000 1.203510 Year UK Foundation May 2015 18,262 16,000 1.141410 Year Greater London Foundation May 2015 15,999 12,812 1.24885 Year UK Growth June 2015 78,356 65,378 1.1 9855 Year Greater London Growth June 2015 106,871 81,593 1.30985 Year UK Foundation June 2015 34,397 30,577 1.1 2495 Year Greater London Foundation June 2015 77,698 64,842 1.1 98310 Year Greater London Foundation June 2015 24,986 20,000 1.24935 Year UK Growth July 2015 55,305 47,490 1.1 6465 Year Greater London Growth July 2015 21,149 17,250 1.22615 Year UK Foundation July 2015 44,116 40,000 1.10295 Year Greater London Foundation July 2015 13,373 11,691 1.143910 Year UK Foundation July 2015 3,343 3,000 1.11445 Year UK Growth August 2015 11,599 9,944 1.16655 Year Greater London Growth August 2015 43,416 35,536 1.22185 Year UK Foundation August 2015 9,934 9,000 1.1 0375 Year Greater London Foundation August 2015 15,377 13,482 1.140610 Year Greater London Foundation August 2015 18,084 15,240 1.18665 Year UK Growth September 2015 124,182 108,092 1.14895 Year Greater London Growth September 2015 54,870 45,092 1.21695 Year UK Foundation September 2015 81,903 75,000 1.09205 Year Greater London Foundation September2015 22,737 20,000 1.136810 Year UK Foundation September 2015 16,566 15,000 1.104410 Year Greater London Foundation September2015 23,844 20,103 1.18612 year UK Growth Housa October20152 year Greater London Growth Housa October20155 year UK Growth Housa October 2015 182,555 157,295 1.16065 year Greater London Growth Housa October2015 35,394 30,240 1.17055 year UK Foundation Housa October2015 28,564 26,000 1.09865 year Greater London Foundation Housa October2015 43,039 38,863 1,107510 year UK Foundation Housa October2015 9,195 8,240 1.115910 year Greater London Foundation HousaOctober2015 24,122 21,000 1.1487Total at3l March 2019 5,978,244 4,626,843

35



(continued)



30 September 2018:Number of Fair value through

Participating profit or loss perTotal tair value Preference Participating

through profit or Shares Preference Shareloss

£ £5 Year Growth October2012 - - -

10 Year Growth October 2012 18,935 13,025 1.453710 Year Growth November2012 29,301 20,075 1.459610 Year Growth December 2012 21,733 15,000 1.4489loYearGrowth January2013 28,848 20,000 144245 Year Growth February 2013 - - -

10 Year Growth February 2013 119,502 82,250 1.45295 Year Growth March 2013 - - -

10 Year Growth March 2013 9,526 6,610 1.44115 Year Growth April 2013 - - -

10 Year Growth April 2013 116,015 81,416 1.4250SYearsrowth May2013 - - -

10 Year Growth May 2013 52005 44,310 1.39935 Year Growth June 2013 - . -

10 Year Growth June 2013 84,664 60,810 1.39235 Year Growth July 2013 - -

10 Year Growth July 2013 4,812 3,500 1.3749SvearGrowthAugust2ol3 - - -

5 Year Growth September2013 - - -

10 Year Growth September2013 24,040 17,472 1.37595 Year Growth October 2013 297,319 196,920 1.509810 Year Growth October 2013 28,307 20,664 1.36995 Year Growth November 2013 120,846 81,520 1.482410 Year Growth November2013 13,571 10,000 1.35715 Year Growth December 2013 67,487 46,500 1.451310 Year Growth December 2013 46.895 35.000 1.33995 Year Growth January 2014 333.743 225,400 1.480710 Year Growth January 2014 79.248 58,000 1.36635 Year Protected February 2014 243.791 188.040 1.29655 Year Growth February 2014 394.302 271.840 1450510 Year Growth February 2014 17,561 13,000 1.35085 Year Protected March 2014 434,821 346,198 1.25605 Year Growth March 2014 607,331 436,687 1.3908loYearGrowthMarch2ol4 191,091 145,560 1.31285 Year Protected April 2014 835,202 666,149 1.25385 Year Growth April 2014 485,319 349,531 1.388510 YearGrowth April 2014 180,946 137,340 1.31755 Year Protected May 2014 308,010 247,463 1.24475 Year Growth May 2014 314,999 228,958 1.375810 Year Growth May2014 140,424 106,807 1.31475 Year Protected June 2014 457,759 381,947 1.1985SYearGrowthJune2ol4 223,684 171,100 1.307310 Year Growth June 2014 103,521 81,800 1.2655

36


A cell of the Castle Trust PCC - CastleNotes to the financial statements rrustFor the period from 1 October 2018 to 31 March 2019

(continued)




Total fair value Preference Participatingthrough profit or Shares Preference Share

loss£ £

5 Year Protected July 2014 159,331 133,782 1.19105 Year Growth July 2014 18069 13932 1.296910 Year Growth July 2014 30,059 23,835 1.26115 Year Greater London Growth February 2015 6,533 5,000 1.30665 Year Greater London Foundation February 2015 2,982 2,500 1.19285 Year UK Growth March 2015 29,973 24,507 1.22305 Year Greater London Growth March 2015 57829 44,500 1.29955 Year UK Foundation March 2015 37,522 33,000 1.137010 Year UK Foundation March 2015 5,356 4,500 1.190110 Year Greater London Foundation March 2015 15,918 12,500 1.27342 Year UK Growth April 2015 -

2 Year Greater London Growth April2015 - - -

5 Year UK Growth April 2015 6,044 5,000 1.20885 Year Greater London Growth April 2015 46,641 37,740 1.23595 Year UK Foundation April 2015 28,174 25,000 1.12705 Year Greater London Foundation April 2015 4,582 4,000 1.14565 Year UK Growth May 2015 23,291 20,000 1.16455 Year Greater London Growth May 2015 100,237 81,500 1.22995 Year UK Foundation May 2015 12,076 11.000 1.09785 Year Greater London Foundation May 2015 94,707 83,000 1.1411lOYearUK Foundation May 2015 18,368 16.000 1.148010 Year Greater London Foundation May 2015 15,667 12,812 1.22295 Year UK Growth June 2015 75,800 65,378 1.15945 Year Greater London Growth June 2015 99,825 81,593 1.22355 Year UK Foundation June 2015 33,445 30,577 1.09385 Year Greater London Foundation June 2015 73,666 64,842 1.136110 Year Greater London Foundation June 2015 24.429 20.000 1.22155 Year UK Growth July 2015 53.621 47,490 1.12915 Year Greater London Growth July 2015 19.910 17,250 1.15425 Year UK Foundation July 2015 42,960 40.000 1.07405 Year Greater London Foundation July 2015 12,766 11,691 1.092010 Year UK Foundation July 2015 3.366 3,000 1,12205 Year UK Growth August 2015 11,229 9,944 1.12945 Year Greater London Growth August 2015 40,865 35,536 1.15005 Year UK Foundation August 2015 9,660 9,000 1.07335 Year Greater London Foundation August 2015 14,674 13,482 1.088510 Year Greater London Foundation August 2015 17,702 15,240 1.16155 Year UK Growth September 2015 120,756 108,092 1.11725 Year Greater London Growth September 2015 51,881 45,092 1.15065 Year UK Foundation September 2015 79,891 75,000 1.06525 Year Greater London Foundation September 2015 21,768 20,000 1.088410 Year UK Foundation September 2015 16,715 15,000 1.114410 Year Greater London Foundation September2015 23,353 20,103 1.1617

37




(continued)




Total fair Preference Participatingvalue Shares Preference Share

throughprofit or loss

£ £2 year UK Growth Housa October 2015 - -

2 year Greater London Growth Housa October 2015 - - -

5 year UK Growth Housa October2015 177,853 157295 1.13075 year Greater London Growth Housa October 2015 33,712 30,240 1.11485 year UK Foundation Housa October2015 27,897 26,000 1.07305 year Greater London Foundation Housa October2015 41,443 38,863 1.066410 year UK Foundation Housa October 2015 9,295 8,240 1.128010 year Greater London Foundation Housa October2015 23,712 21,000 1.1292Total at 30 September 2018 8,321,111 6,434,948

Investment return

The investment return is the amount payable as calculated under the relevant investment product withrespect to each Participating Preference Share on the relevant maturity date calculated by CTCM asfollows:

((Return Multiplex HPI Percentage Change) + 1) x Investment Amount

Where:

The “Return Multiple” is:

(i) if the final HPI Level is greater than the Initial HPI Level:

Maturity Period of Participating Preference Shares Return Multiple2 Year Growth (UK Growth & Greater London Growth) 1003 Year Growth 1.255 Year Growth (UK Growth & Greater London Growth) 1.505 Year Growth 1.505 Year Protected /Foundation (UK & Greater London) 1.00l0YearGrowth 1.7010 Year Foundation 1.50

3



(continued)


Investment return (continued)

(ii) if the final HPI Level is lower than the Initial HPI Level;

Maturity Period of Participating Preference Shares Return Multiple2 Year Growth (UK Growth & Greater London Growth) 1.003 Year Growth 0.755 Year Growth (UK Growth & Greater London Growth) 1005 Year Growth 0.505 Year Protected/Foundation UK Growth & Greater London Growth) Initial capital returned10 Year Growth 0.3010 Year Foundation (UK & Greater London) Initial capital returned

7. CreditorsUnaudited Audited

30 September31 March 2019

2018£ £

Due within one yearRedemption amounts payable 1,082,111 69620

1,082,111 69,620

8. Taxation

Profits arising in the Cell are subject to Jersey income tax at the rate of 0% (year ended 30 September2018; 0%).

9. Capital management

The Cell considers Participating Preference Shares to constitute the capital of the Cell. The Cell hadissued 4,135,000,000 Participating Preference Shares in the October 2012 to October 2015 listings(4,135,000.000 Participating Preference Shares in the October 2012 to September 2015 listings) of which4,626.843 (30 September 2018: 6,434.948) were fully paid up and remained in issue at the statement offinancial position date. All of the Participating Preference Shares fully paid up as at 31 March 2019 wereheld by external investors (year ended 30 September 2018: all). 4,126,337,959 (30 September 2018:4,126,337,959) unpaid Participating Preference Shares were forfeited and cancelled as at 31 March 2019whilst 4,035,198 (30 September 2018: 2,227,093) were redeemed as at 31 March 2019,

Upon redemption of a particular share class, the proceeds due to be received from CTC under the termsof the HPI Derivative Swap, subsequent to the cooling off period, are defined in such a way as to equalthe proceeds payable to the specific class of Participating Preference Shareholders.

The Cell’s operating expenses including investment management fees and marketing fees are deductedfrom the initial value of the Derivative HPI Swap. The Cell’s other expenses, including ongoing expensessuch as directors’ and audit fees, are borne by CTCM.

39



(continued)

10. Fair value of derivative financial assets and financial liabilitiesat fair value through profit or loss

Financial assets at fair value through profit or loss comprise the HPI derivative swaps that were bydefinition classified as held for trading.

10.1 Fair value modelling: policy and procedures

When the fair value of financial assets and financial liabilities recorded in the statement of financialposition cannot be derived from active markets, their fair value is determined using discounted cash flowmodels.

The fair values of the HPI swaps and financial liabilities are calculated by CTCM as calculation agentusing a system called the Quantitative Risk System (QRS). This calculates the fair value, usingdiscounted cash flow models. The models incorporate various inputs including the movement in HPI fromissuance to the latest published value of HPI as at 31 March 2019, the amount of time elapsed fromissuance to 31 March 2019, the expected future movement in HPI, the amount of variation or volatility inthis future movement and the product terms, as described in more detail below.

During the cooling off period, the fair value is determined as being the fully paid-up subscriptions. Thefinancial assets at fair value through profit or loss and the financial liabilities at fair value through profit orloss have been classified as Level 3, as the lowest level input identified is the discount rate which isderived from unobservable data. If an active market were to develop on the stock exchange on which theproducts were traded, then they would be transferred to level 1. It is highly improbable that this wouldoccur.

10.2 Fair value measurement

The QRS model incorporates various inputs as follows:

• Movement in HPI: This is the percentage movement in HPI from the Initial Index Level of each shareclass to the latest published value of HPI as of the end of the period. As at 31 March 2019 this isbetween 13.12% and 45.59% (30 September 2018: between 11.8% and 44.7%). As at 31 March2019 the latest published value was 752.98 (30 September 2018: 748.19).

• Elapsed term: This is the amount of time that has elapsed from the closing date of each share classto the end of the period. As at 31 March 2019, this value varied between 77 months (30 September2018: 71 months) for the October 2012 series to 41 months (30 September 2018: 35 months) for theOctober 2015 series.

• Volatility of the movement in HPI: This is the assumed annualised volatility of the future HPI returnsand ranged from 11.50% to 11.50% per annum (30 September 2018: 11.45% to 11.45% perannum). This is defined consistently with market practice for financial option valuation approaches.

• Product terms: These are terms that are specific to each share class such as profit share, loss share,coupon rate and term. The product terms are defined in the terms and conditions of each Housa. Insummary, the profit share was between 100% and 170% (30 September 2018: between 100% and170%); the loss share was between 0% and 100% (30 September 2018: between 0% and 100%);and the term was 2, 3, 5 or 10 years (30 September 2018:2, 3, 5 or 10 years).

• Discount rates: In the current year the discount rate is a function of the risk free rate, the fundingspread and the risk premium. Of these, only the risk premium has been considered as a significantunobservable input, with sensitivity analysis performed over this input in note 11. In prior years therecalibration of the model via new issuances resulted in the discount rates being calculated to be

40



(continued)

10. Fair value of derivative financial assets and financial liabilitiesat fair value through profit or loss (continued)

10.2 Fair value measurement (continued)

consistent with the assumptions about future house price growth and uncertainty in the underlyingcash flows. For the house price derivative component cash flows, this calculation produced discountrates between 9.5% and 34.8% (30 September 2018: between 9.1% and 37.9%) whilst for the fixedincome component cash flows, this calculation produced discount rates between 2.0% and 3.6% ((30September 2018: between 2.2% and 3.3%) per annum for both components of cash flows).Growth rate: this is the assumed annual rate that the HPI is expected to grow at in the future and was2.6% per annum (2018: 2.6%). This is defined on a continuously compounded basis.

10.3 Fair value hierarchy

The table below analyses the derivative financial assets and the financial liabilities at fair value throughprofit or loss, by the fair value hierarchy. The three different levels have been defined as follows:

• Level 1 — inputs are quoted prices (unadjusted) in active markets for identical assets or liabilitiesthat the entity can access at the measurement date;

• Level 2 — inputs are inputs, other than quoted prices included within Level 1 that are observablefor the asset or liability, either directly or indirectly; and

• Level 3 — inputs are unobservable inputs for the asset or liability.

The directors have assessed the asset and liability hierarchies for the period 1 October 2018 to 31 March2019 and determined that the lowest level inputs with a material impact on the fair value are the discountrate, growth rate, volatility of HPI, increase/decrease in HPI and risk premium which is a non-market rate.Consequently, the derivative financial assets at fair value through profit or loss and the financial liabilitiesthrough profit or loss have been classed as Level 3 as the fair value has been derived indirectly usingunobservable market data. See note 11 for sensitivity analysis on these unobservable inputs.

AuditedUnaudited


Level 3 Level 3

£ £

Derivative financial assets at fair value through profit or loss 5,978,244 8,321,111

Total assets 5,978,244 8,321,111

Financial liabilities at fair value through profit or loss (5,978,244) (8,321,111)

Total liabilities (5,978,244) (8,321,111)

41



Notes to the financial statements


(continued)

W Castle.WTrust

10. Fair value of derivative financial assets and financial liabilitiesat fair value through profit or loss (continued)

10.3 Fair value hierarchy (continued)

Period from 1 October 2018 to 31 March 2019

Balance at 1 October 2018

Total gains/(Iosses) recognised in comprehensive income:

- realised

- unrealised

Purchases at cost

Redemption proceeds

Derivativefinancial assets

at fair valuethrough profit

or loss£

8,321,111

197,754

804,840

(607.086)

(2,540,621)

Financialliabilities at fair

value throughprofit or loss

£

(8,321,111)

(197,754)

(732,517)

534,763 12,540,621

Balance at 31 March 2019

Total gains and losses for the period included in profit orloss for assets held at the end of the reporting period(IFRS 13.93(f))

Period from 1 October2017 to 30 September2018

5,978,244 (5,978,244)

175,382 (175,382)

Derivativefinancial assets atfair value through

profit or loss£

Financial liabilitiesat fair value

through profit orloss

£

Balance at 1 October2017

Total gains/(losses) recognised in comprehensive income:

- realised

- unrealised

Purchases at cost

Redemption proceeds

Total gains and losses for the period included in profitor loss for assets held at the end of the reportingperiod (IFRS 13.93(f))

8,946,412 (8,946,412)

484,454

403,310

81,144

(484,454)

(373,876)

(110,578)

(1,109,755) 1,109,755

Balance at 30 September 2018 8,321,111 (8,321,111)

419,928 (419,928)

42


A cell of the Castle Trust PCC CastleNotes to the financial statements rrustFor the period from 1 October 2018 to 31 March 2019

(continued)

11. Financial risk management

The Cell’s activities expose it to various types of financial risk that are associated with the financialinstruments and markets in which it participates. The Cell’s overall risk management objective is tominimise the potential adverse effects of these financial risks on its performance and maximise thecorrelation of the Cell’s performance to the HPI. The Cell’s Directors monitor and manage the assets ofthe Cell.

11.1 Market risk

Market risk is the risk that the fair value of future cash flows from financial instruments will fluctuate as aresult of changes in market variables such as foreign exchange rates, interest rates and, given theinherent nature of the underlying investment product, the Cell is exposed to movements in the HPI.

11.1.1 Currency risk

Currency risk is the risk that the value of a financial instrument will fluctuate due to changes in foreignexchange rates. The Cell’s functional and operational currency is £ and all contracts are in £, thereforethere is little to no currency risk exposure.

11.1.2 Interest rate risk

Interest rate risk is the risk that changes in interest rates will affect future cash flows or fair values offinancial instruments. The participating preference shares are issued at a fixed rate. The impact is inrespect of the preference share value which is linked to house price values as house price values areimpacted by changes in the interest rates.

11.1.3 Price risk

Upon redemption of a particular share class, the proceeds due to be received from CTC under the termsof HPI Derivative Swap, subsequent to the cooling off period, are defined in such a way as to equal theproceeds payable to the specific class of Participating Preference Shareholders.

Price risk is the risk that the fair values of the HPI Derivative Swap and the value of the ParticipatingPreference Shares are not aligned. However, any change in HPI will impact upon the value of the HPIDerivative Swap and hence the redemption value of the Participating Preference Shares. The price riskexposure, subsequent to the cooling off period, is therefore negated by the HPI Derivative Swap whichdetermines that the Cell’s assets and liabilities remain in line.

The assumption for house price growth is currently 2.6% which has been based on external forecasts andmarket consensus of the expected growth in house prices. This is a long term average national growthrate and as such a short term drop in house price growth rates as a result of Brexit will have a lesserimpact on this long term average. However, it is expected that uncertainty will be higher in the near termas a result of Brexit, and in addition, there is the risk of further interest rate hikes following the August’sincrease. These uncertainties are offset by 1) the shortage of houses for sale and high, 2) currently risingemployment (which is supportive for the housing market) and 3) mortgage interest rates at historically lowlevels. A sudden drop in house prices of up to 10% is considered a reasonably possible impact as a resultof Brexit and this is reflected in the note under the sensitivity for movement in HPI.

43




(continued)

11. Financial risk management (continued)

11.1.3 Price risk (continued)

As the entity is no longer making new issues, no measures are put in place to manage the price riskwithin the cooling off period. The analysis below shows the impact on the financial assets and financialliabilities if individually, the HPI were to increase or decrease by 10%, if growth were to increase ordecrease by 1%. if the interest rate were to increase or decrease by 1%, if the risk premium were toincrease or decrease by 10% and if volatility were to increase or decrease by 2%.The analysis assumesthat all other variables remain constant.

44

Cas

tle

Tru

stG

row

thH

ou

saP

C

Ace

llof

the

Cas

tle

Tru

stP

CC

--

Cas

tle

Not

esto

the

fina

ncia

lst

atem

ents

rrust

For

the

peri

odfr

omI

Oct

ober

2018

to31

Mar

ch20

19

(co

nti

nu

ed)

11.

Fin

anci

alri

skm

anag

emen

t(c

onti

nued

)

11.1

.3P

rice

risk

(co

nti

nu

ed

)

Sen

siti

vit

yan

alysi

s—31

Mar

ch20

191%

1%1%

1%10

%10

%2%

2%G

row

thG

row

thIn

tere

stIn

tere

stR

isk

Ris

kV

olat

ilit

yV

olat

ilit

yH

PIH

PIra

tera

tera

tera

teP

rem

ium

Pre

miu

min

crea

sedec

reas

ein

crea

sed

ecre

ase

incr

ease

dec

reas

ein

crea

sedec

reas

ein

crea

sed

ecre

ase

by10

%by

10%

££

Fin

anci

alass

ets

Der

ivat

ive

fina

ncia

las

sets

atfa

irva

lue

thro

ugh

prof

itor

loss

100,

533

(95,

652)

(101

,984

)10

5,92

5(1

52,2

57)

180,

408

35,5

90(2

8,98

9)72

0,65

5(7

10,8

02)

Tot

alfi

nan

cial

ass

ets

100,

533

(95.

652)

(101

,984

)10

5,92

5(1

52,2

57)

180,

408

35,5

90(2

89

89

)72

0,65

5(7

10,8

02)

Fin

anci

alli

abil

itie

sL

iabi

litie

sat

fair

valu

eth

roug

hpr

ofit

orlo

ss(1

00,5

33)

95,6

5210

1,98

4(1

05,9

25)

152,

257

(180

,408

)(3

5,59

0)28

,989

(720

,655

)71

0,80

2

Tot

alfi

nanc

ial

liab

ilit

ies

(100

,533

)95

,652

101,

984

(105

.925

)15

2,25

7(1

80,4

08)

(35,

590)

28,9

89(7

20,6

55)

710,

802

Net

effe

cton

tota

leq

uity

--

--

--

-.

--

45

Cas

tle

Tru

stG

row

thH

ou

saPC

Ace

llof

the

Cas

tle

Tru

stPC

CC

astl

eN

otes

toth

efi

nanc

ial

stat

emen

ts‘T

rust

For

the

peri

odfr

omI

Oct

oh

er20

18to

31M

arch

2019

(conti

nued

)

11.

Fin

anci

alri

skm

anag

emen

t(c

onti

nued

)

11.1

.3P

rice

risk

(co

nti

nu

ed

)

Sen

siti

vit

yan

alysi

s-3

0S

epte

mb

er20

181%

1%1%

1%10

%10

%G

row

thG

row

thIn

tere

stIn

tere

stR

isk

Ris

k2%

2%H

PIH

PIra

tera

tera

tera

teP

rem

ium

Pre

miu

mV

olat

ilit

yV

olat

ilit

yin

crea

sedec

reas

ein

crea

sedec

reas

ein

crea

sed

ecre

ase

incr

ease

dec

reas

ein

crea

sedec

reas

eby

10%

by10

%£

£

Fin

anci

alass

ets

Der

ivat

ive

fina

ncia

las

sets

atfa

irva

lue

thro

ugh

prof

itor

loss

134,

838

(128

,474

)(1

38,1

01)

144,

644

(345

,722

)25

1,75

049

,135

(39,

829)

824,

073

(809

,753

)

Tot

alfi

nan

cial

ass

ets

134,

838

(128

,474

)(1

38,1

01)

144,

644

(345

,722

)25

1,75

049

,135

(39,

829)

824,

073

(809

.753

)

Fin

anci

alli

abil

itie

sL

iabi

litie

sat

fair

valu

eth

roug

hpr

ofit

orlo

ss(1

34,8

38)

128,

474

138,

101

(144

,644

)34

5,72

2(2

51,7

50)

(49,

135)

39,8

29(8

24,0

73)

809,

753

Tot

alfi

nan

cial

liab

ilit

ies

(134

,838

)12

8,47

413

8,10

1(1

44,6

44)

345,

722

(251

,750

)(4

9,13

5)39

,829

(824

,073

)80

9,75

3

Net

effe

cton

tota

leq

uity

--

--

--

--

-

46


A cell of the Castle Trust PCC -- CastleNotes to the financial statements rrustFor the period from 1 October 2018 to 31 March 2019

(continued)


11.2 Liquidity risk

Liquidity risk is the risk that the Cell will encounter difficulty in meeting obligations associated withfinancial liabilities. The significant element of liquidity risk for the Cell arises from the redemption of theParticipating Preference Shares. Liquidity risk has been transferred to CTC under the terms of the SetOff Agreement! HPI Swap Agreement, Investment Management Agreement and Service ManagementAgreement. Under these agreements, the Cell is obliged to purchase the Participating Preference Sharesfrom the holder at maturity, subject to the CTC fulfilling its obligation to pay the Cell an amount equal tothe Investment Return. Prior to maturity, any sale or purchase is at the discretion of the two partiesinvolved and there is no obligation to purchase on the Cell.

The table below indicates the maturity profile of the Cell’s financial assets and financial liabilities at thestatement of financial position sheet date. The analysis is based on the remaining period to contractualmaturity as at the statement of financial position sheet date.

31 March 2019More than More than

1 year less 3 less More thanWithin I than 3 than 5 5 less than

year years years 10 years Total£ £ £ £ £

Financial assetsDerivatives 2,930,500 1,638743 1,063,438 717,350 6,350,031Debtors(excluding prepayments) 1,082,111 - - - 1,082,111

4,012,611 1,638,743 1,063,438 717,350 7,432,142

Total financial assets

Financial liabilitiesPreference Shares 2,930500 1,638,743 1,063,438 717,350 6,350,031Creditors 1,082,111 - - - 1,082,111

Total financial liabilities 4,012,611 1,638,743 1,063,438 717,350 7,432,142Net effect - - - - -

47


A cell of the Castle Trust PCC CastleNotes to the financial statements rrustFor the period from I October2018 to 31 March 2019

(continued)


11.2 Liquidity risk (continued)

30 September2018More than More than

More than 1 3 less 5 lessWithin 1 year less than 5 than 10

year than 3 years years years Total£ £ £ £ £

Financial assetsDerivatives 5,494,209 1609,782 618,858 1,140673 8,863,522Debtors(excluding prepayments) 69,620 - - - 69,620

Total financial assets 5,563,829 1,609,782 618,858 1,140,673 8,933,142

Financial liabilitiesPreference Shares 5,494,209 1,609,782 618,858 1,140,673 8,863,522Creditors 69,620 - - - 69,620Total financial liabilities 5,563,829 1,609,782 618,858 1,140,673 8,933,142Net effect - - - - -

11.3 Credit risk

Credit risk is the risk that the counterparty to a financial asset will fail to honour an obligation under theoriginal terms of a contract, resulting in a loss to the Cell. The Cell’s credit risk arises from the HPIDerivative Swap whereby the Cell has a receivable from CTC for 100% of the value of the ParticipatingPreference Shares issued. The credit risk associated with CTC is considered to be low as they are afinancial institution regulated by the FCA with a CET1 ratio of 19.6% which is well above the 8%minimum, If CTC, an unrated company, was unable to honour its obligation under the HPI derivative, theCell would be unable to pay back the Participating Preference Shares when they mature nor payexpenses as and when they became payable.

Swaps relate to the intercompany balance from CTC which is considered to be good credit quality asCTC has always performed as required under the instrument and settled payments to investors on thecompany’s behalf.

11.4 Regulatory risk

There are regulatory risks involved in making a banking licence application such as increased capitalrequirements and the potential that these could make the business less profitable. In addition, there is arisk that the PRA may not grant the Group a banking licence and the directors will have to investigate analternative business strategy if this happens.

48



_

CastleNotes to the financial statements rrustFor the period from 1 October 2018 to 31 March 2019

(continued)


11.5 Fair values

All financial instruments at fair value through profit or loss are included in the financial statements at theirfair value. The carrying amount of other liabilities and prepayments and the receivable is deemed anapproximation to fair value. As at 31 March 2019, the accumulated amount of the change in fair valueattributable to changes in credit risk was nil (30 September2018: nil).

12. Related party transactions

The following are considered related parties to the Cell:

12.1 Manager and Marketing Agent

CTCM (the “Manager” and “Marketing Agent”) is considered a related party by virtue of the contractualarrangements with the Cell. The initial and ongoing general expenses and such other expenses of theCell were and will continue to be paid by CTCM. The amount paid during the period was £91,013 (periodended 31 March 2018: £81,166).

Under the terms of the Investment Management Agreement, the investment management fee will be 3%of the Participating Preference Shares issued and fully paid up which is refundable during an investor’scooling off period. Due to the continuing obligations of the Directors, the 3% fee is treated as aprepayment and released over the life of the investment product.

During the period, £16,278 of investment management fees were expensed in the period (period ended31 March 2018: £19,753). Under the terms of the Marketing Agreement, the marketing fee will be 1% ofParticipating Preference Shares issued and fully paid up which is refundable during an investor’s coolingoff period. During the period, no marketing fees (period ended 31 March 2018: £nil) were paid to theMarketing Agent.

12.2 Registrar, Secretary, Administrator and Listing Sponsor

Kenny Rae is a director of JTC (Jersey) Limited (the “Registrar, Secretary and Administrator”) a whollyowned subsidiary of JTC Group Limited, which is a wholly owned subsidiary of JTC Group HoldingsLimited, which is a related party to the Cell by virtue of common directors. Directors’ fees charged by JTC(Jersey) Limited for the period totalled £4,000 (period ended 31 March 2018: £4,000).

Philip Thomas Hendy, Mark Grenyer and Kenny Rae are all directors of JTC Trustees Limited and JTCListing Services Limited, respectively the Shareholder and Listing Sponsor of the Company and the Cell.

49


A cell of the Castle Trust PCC CastleNotes to the financial statements frustFor the period from 1 October 2018 to 31 March 2019

(continued)

12. Related party transactions (continued)

12.2 Registrar, Secretary, Administrator and Listing Sponsor (continued)

JTC (Jersey) Limited charged fees (including the directors’ fees discussed above) totalling £28,820 to theCompany and the Cell during the period (period ended 31 March 2018: £34,626) which were met by theInvestment Manager as above. JTC (Jersey) Limited is considered a related party by virtue of commondirectors and its contractual role as the Registrar. Secretary and Administrator of the Company and theCell.

12.3 CTC

CTC is considered a related party by virtue of being the parent company. The contractual arrangementswhich exist between CTC and the Cell are in relation to the HPI Derivative Swaps as disclosed in note 4.

13. Post balance sheet events

Subsequent to the reporting date and at the date of signing the financial statements, the followingParticipating Preference Shares were redeemed.

Number of Number ofParticipating Participating Number of Number ofPreference Preference Participating ParticipatingShares Shares Preference Preference Shares

Share Class issued redeemed Shares forfeited outstandingCastle Trust ProtectedHouSASyrApr2Ol4 50,000,000 666,149 49,333,851 -

Castle Trust GrowthHouSA Syr Apr 2014 50,000,000 363,143 49,636,857 -

Castle Trust ProtectedHouSA Syr May 2014 50,000,000 257,463 49,742,537 -

Castle Trust GrowthHouSA Syr May 2014 50,000,000 233,956 49,766,042

There were no further significant post balance sheet events requiring disclosure.

14. Ultimate controlling party

The entire Founder Share capital is owned by JTC Trustees Limited as trustee of Housing FoundationCharitable Trust however, the ultimate controlling party of the Cell is considered to be Mr JamesChristopher Flowers.

50

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