ASSET REPACKAGING TRUST SIX B.V. (Amsterdam) ANNUAL

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

ANNUAL REPORT For the financial year ended December 31, 2016

PBA\LGE\JPR ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

Table of contents

Page

- Managing Directors' Report 3

- Statement of directors' responsibilities in respect of directors'report and the financial statements 6

- Financial Statements Statement of financial position 7 Statement of comprehensive income for the year ended December 31, 2016 8 Shareholder's equity 9 Statement of cash flows for the year ended December 31, 2016 10 Notes, comprising a summary of the significant accounting policies and other explanatory information 12

- Other information 36

Auditor's report

PBA\LGE\JPR Page 2

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

Managing directors P.T.W. Rutovitz J.C.P. van Uffelen TMF Netherlands B.V.

Registered office Herikerbergweg 162 1101 CM, Amsterdam The Netherlands

Trustee Deutsche Trustee Company Limited 1 Great Winchester Street London EC2N 2DB England

Independent auditor KPMG Accountants N.V. Financial Services P.O. Box 74500 1070 DB Amstelveen The Netherlands

Bank and Deutsche Bank AG London Swap Counterparty 1 Great Winchester Street London EC2N 2DB England

Luxembourg Listing Agent Deutsche Bank AG London 1 Great Winchester Street London EC2N 2DB England

Solicitors Loyens & Loeff 26 Throgmorton Street London EC2N 2AN England

Audit Committee D. von Meyenfeldt c/o Herikerbergweg 162 1101 CM, Amsterdam The Netherlands

PBA\LGE\JPR Page 3

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

Managing Directors' Report

The management present the annual report and audited financial statements of Asset Repackaging Trust Six B.V. (the Company) for the period from January 1, 2016 until December 31, 2016. The Company is a private company with limited liability incorporated on May 22, 2003 under the laws of the Netherlands, with registered nr. 34190759. The statutory address of the company is Herikerbergweg 162, 1101 CM, Amsterdam . All issued shares are held by Stichting Asset Repackaging Trust Six, which is also established in Amsterdam, the Netherlands.

Principal activities and business review The Company program was set up in May 2003 to issue multiple series of Debt Securities, with the rating on each series independent of the other. This means that the Company can issue various series of Debt Securities ranging from AAA to not rated. This gives the sponsor greater flexibility in what it can finance through this vehicle and it reduces the cost of issuing.

The Company was set up as a segregated multi issuance Special Purpose Entity. The Company has established a USD 10,000,000,000 Multi-Issuance Programme (the “Programme”) to issue Debt Securities and/or other secured limited recourse indebtedness (the “Alternative Investments”). Debt Securities are issued in Series (each a “Series”) and the terms and conditions of the Debt Securities of each Series are set out in a Supplemental Programme Memorandum for such Series (each a “Supplemental Programme Memorandum”).

The Programme offers investors the opportunity to invest in a portfolio of investments, the “investment securities and total return swaps”, and alter the interest rate risk and credit risk profile of the portfolio through the use of derivative instruments.

Each Series of Debt Securities is secured as set out in the terms and conditions of the Debt Securities including a first fixed charge over certain collateral as set out in the relevant Supplemental Programme Memorandum (the “Collateral”) and a first fixed charge over funds held by the Agents under the Agency Agreement (each as defined in the terms and conditions of the Debt Securities).

Each Series may also be secured by an assignment of the Company’s rights under a Swap Agreement and any additional security as may be described in the relevant Supplemental Programme Memorandum (together the “Mortgaged Property”). Alternative Investments will be secured in the manner set out above in relation to Debt Securities or in such other manner as may be set out in the relevant Supplemental Programme Memorandum.

The transactions are arranged by Deutsche Bank AG.

As all operational activities are performed by external parties, the Company does not have any personnel.

IFRS reporting The Company financial statements 2016 have been prepared in accordance with International Financial Reporting Standards as adopted by the EU (IFRS). Further disclosed in note B(c).

PBA\LGE\JPR Page 4

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

Financial instruments and risk management The Company entered into asset swaps for certain series of Debt Securities issued to eliminate the mismatch between the amount payable in respect of those debt securities issued and the return from the investment securities held by the Company as collateral. The company also entered into credit default swaps for certain series in order to provide an asset risk profile which is suited to the needs of the investors. Certain series of Debt Securities issued include the use of total return swaps. Under these arrangements the proceeds from the issuance of debt securities are held on deposit with the swap counterparty under the swap agreement. The deposit is synthetically linked to the credit performance of a portfolio of reference entities through a credit default swap agreement. The swap counterparty provides a return that replicates the return due to the holders of the debt securities and also reimburses all the expenses related to the series.

The credit risk is borne by either the Company’s swap counterparty or the Company’s holders of Debt Securities. Refer to Note 22(a) “Credit Risk on Financial Instruments” for further details.

For details on the assets held by the Company at the end of the year, refer to Notes 1.

For every new issuance of Debt Securities, Deutsche Bank AG London, as arranger, does transfer to the Company a series fee of EUR 1,000. As arranger, Deutsche Bank AG London also agreed to be responsible for the series overhead and non series overheads and to reimburse the Company against any costs, fees, expenses or out-goings incurred. The former is also the Swap counterparty for all Series containing credit default and asset swap agreements.

The principal risks and uncertainties facing the company relate to the debt securities issued, the investment securities and total return swaps held and the derivative financial instruments. These are explained in the Notes under "Financial Risk Management" and in Note 22 of the financial statements along with the risk management framework in place to deal with these risks.

Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company’s processes, personnel and infrastructure, and from external factors other than credit, market and liquidity risks such as those arising from legal and regulatory requirements and generally accepted standards of corporate behavior. Operational risks arise from all of the Company’s operations.

Result of the year The result for the year 2016 is nil.

The Company made a net gain on investment securities of EUR 55.4 million (2015: EUR 90.4 million net gain) for the year and a net loss on derivatives of EUR 0.6 million (2015: EUR 11.2 million net gain).

Due to the limited recourse nature of the debt securities issued and as the return on those issued securities is directly linked to the performance of the investment securities and derivatives, the Company made a corresponding loss of EUR 54.8 million (2015: EUR 79.2 million loss) on the debt securities issued.

As at December 31, 2016, the Company’s total indebtedness was EUR 1,115 million (2015: EUR 1,386 million). During the year, the Company had 2 new series issued, 3 partial additions, 2 maturities and 4 repurchases; (2015: 3 new series issued, 2 partial additions, 1 partial redemption, and 2 repurchases).

PBA\LGE\JPR Page 5

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

Changes in directors during the year There were no changes in directors during the year under review.

The directors who held office on December 31, 2016 did not hold any shares in the Company at that date, or during the year. There were no contracts of any significance in relation to the business of the Company in which the directors had any interest at anytime during the year.

Future outlook Management is aware of the current publicity surrounding Deutsche Bank. The reported situation might have an impact on the future position of Deutsche Bank and its contractual relations with the Company and/or its affiliated Series. Management is closely monitoring these developments, and will take appropriate action when necessary.

Based on current insight in the markets, the Company does not foresee the need to substantially change its strategy of investments and financing.

Audit committee The audit committee consists of one independent member.

Credit events There were no credit events reported during the year nor after balance sheet date with respect to reference entities to which the Debt Securities are credit linked.

Subsequent events No events have occurred since balance sheet date, which would change the financial position of the Company and which would require adjustments of or disclosure in the annual accounts now presented.

There were 2 partial additions (variable funding Notes) after balance sheet date.

We have not identified any defaults after balance sheet date.

On behalf of the board,

Amsterdam, August 11, 2017

P.T.W. Rutovitz J.C.P. van Uffelen

TMF Netherlands B.V.

PBA\LGE\JPR Page 6

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

Statement of directors' responsibilities in respect of directors'report and the financial statements

The Directors are responsible for preparing the Directors’ Report and financial statements, in accordance with applicable law and regulations.

Company law requires the directors to prepare financial statements for each financial year. Under that law the directors have elected to prepare the Company financial statements in accordance with International Financial Reporting Standards (IFRS) as adopted by the EU.

The Company’s financial statements are required by law and IFRSs to present fairly the financial position and performance of the company.

In preparing the financial statements, the Directors are required to: • select suitable accounting policies and then apply them consistently; • make judgments and estimates that are reasonable and prudent; • prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for keeping proper books of account that disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that its financial statements comply with International Financial Reporting Standards (IFRS) as adopted by the EU. They are also responsible for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and other irregularities.

Amsterdam, August 11, 2017

P.T.W. Rutovitz J.C.P. van Uffelen

TMF Netherlands B.V.

PBA\LGE\JPR Page 7 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

STATEMENT OF FINANCIAL POSITION December 31, 2016 (before appropriation of the result)

ASSETS 12/31/16 12/31/15

NON-CURRENT ASSETS: Financial assets at fair value through profit or loss Portfolio of investment securities (1) 1,097,955,863 928,186,409 Derivatives (2) 3,590,269 - 1,101,546,132 928,186,409

CURRENT ASSETS: Other receivables (3) 90,422 66,577 Corporate income tax (4) 116 - Other taxation (4) - 2,100 Interest receivable (5) 13,831,093 10,855,175 Cash and cash equivalents: (6) DB Cash and cash equivalents 4,631 7,595 BNYM cash accounts - 446,545,498 13,926,262 457,476,945 1,115,472,394 1,385,663,354

SHAREHOLDER'S EQUITY AND LIABILITIES

SHAREHOLDER'S EQUITY: Issued share capital 18,000 18,000

NON-CURRENT LIABILITIES Financial liabilities at fair value through profit or loss: Debt securities issued (7) 915,627,522 1,216,023,590 Derivatives (8) 189,179,281 161,947,236 1,104,806,803 1,377,970,826

CURRENT LIABILITIES: Corporate income tax (9) - 288 Interest payable (10) 10,570,422 7,616,256 Other payables and accrued expenses (11) 77,169 57,984 10,647,591 7,674,528 1,115,472,394 1,385,663,354

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 8 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

STATEMENT OF COMPHREHENSIVE INCOME for the year ended December 31, 2016

01/01/16 - 01/01/15 - 12/31/16 12/31/15 FINANCIAL INCOME AND EXPENSES: Financial income and expenses loans portfolio (12) 55,419,520 90,427,778 Financial expenses Debt Securities (13) (54,810,788) (79,170,213) Net gain / loss from derivative financial instruments (14) (608,732) (11,257,565) Financial income and expenses - -

OPERATIONAL INCOME AND EXPENSES: Other income (15) 211,435 188,379 Total other income and cost 211,435 188,379

Administrative expenses (16) (208,835) (185,479) Total operating costs (208,835) (185,479)

Result from ordinary activities before taxation 2,600 2,900 Income tax expense (17) (2,600) (2,900) Result after taxation - -

Other comprehensive income - - Total comprehensive income - -

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 9 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

SHAREHOLDER'S EQUITY

Issued share Retained Result for the Total capital earnings period 18,000 - - 18,000 Balance as at January 1, 2015 - - - - Allocation of result - - - - Result for the year Total other comprehensive income - - - - Total comprehensive income for the period - - - -

Transactions with owners, recorded - - - - directly in equity - - - - Dividend Total contributions by and distribution - - - - to owners 18,000 - - 18,000 Balance as at December 31, 2015

Issued share Retained Result for the Total capital earnings period 18,000 - - 18,000 Balance as at January 1, 2016 - - - - Allocation of result - - - - Result for the year Total other comprehensive income - - - -

Total comprehensive income for the period - - - -

Transactions with owners, recorded - - - - directly in equity - - - - Dividend Total contributions by and distribution - - - - to owners 18,000 - - 18,000 Balance as at December 31, 2016

The authorized share capital of the Company consist of 180 shares with a par value of EUR 100 each (EUR 18,000). At December 31, 2016 all shares were issued and fully paid.

Appropriation of Result The managing directors note that the result of 2016 is nil, therefore no addition will be made to the other reserves. The financial statements have been prepared under the assumption that this result appropriation will be adopted by the Annual General Meeting of the shareholders.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 10 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

STATEMENT OF CASH FLOWS for the year ended December 31, 2016

01/01/16 - 01/01/15 - 12/31/16 12/31/15

CASH FLOW FROM OPERATIONAL ACTIVITIES

Interest received 30,267,410 42,930,780

Interest paid (25,411,213) (33,246,644)

Cash flows with swap counterparty 14,352,005 (16,298,271)

Portfolio fees received 211,435 188,379

Administrative expenses paid (211,395) (192,567)

Income tax paid (3,004) (3,187)

Net cash flow from / (used in) operating activities 19,205,238 (6,621,510)

CASH FLOW FROM INVESTING ACTIVITIES

Investments (230,543,019) (189,408,707)

Disposals 89,943,467 480,646,466

Net cash flow (used in) / from investing activities (140,599,552) 291,237,759

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 11 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

CASH FLOW FROM FINANCING ACTIVITIES

Issues in the year 209,720,191 176,848,255

Disposals in year (536,561,668) (16,722,738)

Net cash flow (used in) / from financing (326,841,477) 160,125,517 activities

Effects of exchange rate changes on cash and cash equivalents 1,687,329 444,938

(Decrease) / increase in cash funds (446,548,462) 445,186,704

The movement of funds is as follows:

Balance as at 1 January 446,553,093 1,366,389 Movement for the year (446,548,462) 445,186,704 Balance as at 31 December 4,631 446,553,093

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 12 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

General Asset Repackaging Trust Six B.V. (The Company) is a private company with limited liability incorporated on May 22, 2003 under the law of the Netherlands with registered number 34190759. The registered office of the Company is Herikerbergweg 162, 1101 CM, Amsterdam, the Netherlands.

All issued shares are held by Stichting Asset Repackaging Trust Six, which is also established in Amsterdam, the Netherlands.

The Company acts as a so-called repackaging company. Its objectives are to issue secured notes, and/ or incur other secured limited recourse indebtedness and in conjunction therewith the Company may buy, sell or enter into options, swaps or repurchases. The aggregate principal amount of notes and other investments will not at any time exceed USD 10,000,000,000. We refer to the base prospectus dated August 20, 2015 for a complete description of the term and conditions of the USD 10,000,000,000 Secured Note Programme.

The Notes are issued in series which have recourse on a specific collateral. As per December 31, 2016 there are 12 series outstanding (2015: 16 series).

The transactions are arranged by Deutsche Bank AG.

The Company has no direct employees. The financial statements 2015 were authorized for issue by the directors on September 30, 2016.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 13 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

A. Basis of preparation (a) Statement of compliance The financial statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) and its interpretations as adopted by the EU and in accordance with the provisions of part 9, Book 2 of the Dutch Civil Code.

The accounting policies set out below have been applied in preparing the financial statements for the year ended December 31, 2016, the comparative information, for 2016 presented in these financial statements has been prepared on a consistent basis.

The financial statements were authorised for issue by the Board of Directors on August 11, 2017. The financial assets and financial liabilities are stated at fair value through profit or loss, other assets and liabilities are stated at (amortised) cost. The financial assets and liabilities are managed on a fair value basis.

These financial statements have been prepared on a going concern basis.

(b) changes in accounting policies There were no changes in accounting policies which has a financial impact on the Company’s financial statements during the year.

(c) New standards and interpretations not yet adopted A number of new standards, amendments to standards and interpretations are not yet effective for the year ended December 31, 2016, and have not been applied in preparing these financial statements. For the Company, the most relevant amendment to the standards is:

IFRS 9 Financial instruments IFRS 9, published in July 2014, replaces the existing guidance in IAS 39 Financial Instruments: Recognition and Measurement. IFRS 9 includes revised guidance on the classification and measurement of financial instruments, a new expected credit loss model for calculating impairment on financial assets, and new general hedge accounting requirements. It also carries forward the guidance on recognition and derecognition of financial instruments from IAS 39.

IFRS 9 is effective for annual periods beginning on or after January 1, 2018, with early adoption permitted. The Company does not plan to early adopt the standard.

Based on the initial assessment, this standard is not expected to have a material impact on the Company. This is because the financial instruments currently measured at FVTPL will continue to be measured at FVTPL under IFRS 9.

(d) Basis of measurement The financial statements are prepared on the historical cost convention except for the following: i. Derivative financial instruments are measured at fair value; ii. Investment securities designated at fair value through profit or loss are measured at fair value; and iii. Debt securities issued, designated at fair value through profit or loss, are measured at fair value.

The methods used to measure fair values are discussed further in note C.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 14 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(e) Functional and presentation currency The financial statements are presented in euro, which is the Company’s functional currency. Functional currency is the currency of the primary economic environment in which the entity operates. The issued share capital of the Company is denominated in euro and the debt securities issued are also primarily denominated in euro. The Directors of the Company believe that euro most faithfully represents the economic effects of the underlying transactions, events and conditions.

Except as otherwise indicated, all financial information is presented in euro.

(f) Use of estimates and judgments The preparation of the financial statements in conformity with IFRSs requires management to make judgments, estimates and assumptions that may affect the application of accounting policies and the reported amounts of assets, liabilities, income and expenses.

The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making the judgments about carrying values of assets and liabilities that are not readily apparent from other sources. Actual results may differ from these estimates.

Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognized in the period in which the estimates are revised and in any future periods affected.

Information about significant areas of estimation, uncertainty and critical judgments in applying accounting policies that have the most significant effect on the amounts recognized in the financial statement are described in Notes 21 (d).

(g) Operating segments The Company has applied IFRS 8 Operating Segments which puts emphasis on the “management approach” to reporting on operating segments.

The Company is engaged as one segment. It involves the repackaging of bonds and other debt instruments, on behalf of investors, which are bought from the market and subsequently securitised to avail of potential market opportunities and risk-return asymmetries.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 15 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

B. Summary of significant accounting policies

(a) Financial instruments The financial instruments held by the Company include the following: • Investment securities • Derivative financial instruments • Debt securities issued

Categorisation A financial asset or financial liability at fair value through profit or loss is a financial asset or liability that is classified as held-for-trading or designated as at fair value through profit or loss and other financial instruments are carried at amortised cost. Derivative financial instruments are carried at fair value through profit or loss. The Company has designated the investment securities and debt securities issued at fair value through profit or loss.

Investment securities All corporate bonds held by the Company are designated as at fair value through profit or loss at initial recognition.

Derivative financial instruments Derivative financial instruments include all derivative assets and liabilities that are used to economically hedge the derivatives at each series from interest rate or market fluctuations affecting the relevant collateral assets. Such derivatives are not formally designated into a qualifying hedging relationship and therefore all changes in their fair value are recognized in the statement of comprehensive income.

Debt securities issued The debt securities issued are initially measured at fair value and are designated as liabilities at fair value through profit or loss when they either eliminate or significantly reduce an accounting mismatch or contain an embedded derivative that significantly modifies the cash flows that would otherwise be required under the contract.

Financial assets and liabilities that are not at fair value through profit or loss Financial assets that are not at fair value through profit or loss and are not quoted in an active market include cash at bank, deposits with credit institutions and other assets, and are categorized as loans and receivables for measurement purposes. Financial liabilities that are not at fair value through profit or loss include accrued expenses and other payables, and are categorized as other liabilities for measurement purposes.

Recognition and measurement The Company initially recognizes all financial assets and liabilities at fair value on the trade date at which the Company becomes a party to the contractual provisions of the instruments. Any gains and losses arising from changes in fair value of the financial assets or financial liabilities at fair value through profit or loss are recorded in the statement of comprehensive income. Financial assets and financial liabilities not categorized as at fair value through profit or loss are subsequently measured at amortised cost. Amsterdam, August 11, 2017 PBA\LGE\JPR Page 16 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

Derecognition The Company derecognizes a financial asset when the contractual rights to the cash flows from the asset expire, or it transfers the rights to receive the contractual cash flows on the financial asset in a transaction in which substantially all the risks and rewards of ownership of the financial asset are transferred. Any interest in transferred financial assets that is created or retained by the Company is recognized as a separate asset or liability.

The Company derecognizes a financial liability when its contractual obligations are discharged or cancelled or expire.

Offsetting Financial assets and liabilities are offset and the net amount presented in the statement of financial position when, and only when, the Company has a legal right to offset the amounts and intends either to settle on a net basis or to realize the asset and settle the liability simultaneously. Income and expenses are presented on a net basis only when permitted by the accounting standards.

Fair value measurement principles The determination of fair values of financial assets and financial liabilities is based on quoted market prices or dealer price quotations for financial instruments traded in active markets, where these are available.

For all other financial instruments fair value is determined by using valuation techniques. Valuation techniques include net present value techniques, the discounted cash flow method, comparison to similar instruments for which market observable prices exist, and valuation models. The Company uses widely recognized valuation models for determining the fair value of common and simpler financial instruments like interest rate and currency swaps.

For more complex instruments, the Company uses proprietary models, which usually are developed from recognized valuation models. Some or all of the inputs into these models may not be market observable, and are derived from market prices or rates or are estimated based on assumptions.

Fair value estimates are made at a specific point in time, based on market conditions and information about the financial instruments. These estimates are subjective in nature and involve uncertainties and matters of significant judgments e.g. interest rate, volatility, credit spreads, probability of defaults, estimated cash flows etc and therefore, cannot be determined with precision.

(b) Cash and cash equivalents Cash and cash equivalents consist of notes in hand and highly liquid financial assets with original maturities of less than three months, which are subject to insignificant risk of changes in their fair value.

Cash and cash equivalents are carried at amortized cost in the statement of financial position.

(c) Foreign currency transaction Transactions in foreign currencies are translated to euro at exchange rates at the dates of the transactions. Monetary assets and liabilities denominated in foreign currencies at the reporting date are retranslated to euro at the exchange rate at that date. Non monetary assets and liabilities denominated in foreign currencies that are measured at fair value are retranslated to euro at the exchange rate at the date that the fair value was determined. Foreign currency differences arising on retranslation are recognized through profit or loss and are included under net gain/ (loss) from investment securities, derivatives or debt securities issued, as appropriate.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 17 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(d) Net gain / (loss) from investment securities designated at fair value through profit or loss Net gain / (loss) from investment securities designated at fair value through profit or loss relates to investments in corporate bonds corporate loans and government bonds, and includes realized income (including coupon receipts), unrealized fair value changes including foreign exchange differences.

(e) Net gain / (loss) from derivative financial instruments Net gains/(loss) from derivative financial instruments relates to the fair value movements on derivatives held by the Company and includes realized and unrealized fair value changes, settlements and foreign exchange differences.

(f) Net gain / (loss) on debt securities issued designated at fair value through profit or loss Net gain / (loss) on debt securities issued designated at fair value through profit or loss relates to debt securities issued and includes financing costs (including coupon payments), realized and unrealized fair value changes and foreign exchange differences.

(g) Taxation Income tax expense comprises current and deferred tax. Income tax expense is recognized through profit or loss, in other comprehensive income or directly in equity, consistent with the accounting for the item to which it is related. Current tax is the expected tax payable on the taxable income for the year, using tax rates applicable to the Company’s activities enacted or substantively enacted at the reporting date, and adjustment to tax payable in respect of previous years.

(f) Other income and expenses All other income and expenses are accounted for on an accrual basis.

(i) Share capital and dividends Share Capital is issued in euro. Dividends are recognized as a liability in the period in which they are approved.

(j) Notes to the cash flow statement The cash flow statement is prepared in accordance with the direct method. The liquidities in the cash flow statements comprise of cash in hand, current balances with banks and call deposits with maturities of less than 3 months. Cash flows in foreign currencies are translated at estimated average rates. Receipts and payments, in connection with interest and taxation on profits, are taken up under cash flow from operational activities. Dividends paid are recognised as cash used in financing activities. Investing activities are those activities relating to the acquisition, holding and disposal of financial fixed assets and of investments. Investments can include securities not falling within the definition of cash.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 18 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

C. Financial risk management

(a) Introduction and overview The Company program was set up in May 2003 to issue multiple series of Debt Securities, with the rating on each series independent of the other. This means that the Company can issue various series of Debt Securities ranging from AAA to not rated. This gives the sponsor greater flexibility in what it can finance through this vehicle and it reduces the cost of issuing.

The Company was set up as a segregated multi issuance Special Purpose Entity. Each Series is governed by a separate Supplemental Programme Memorandum. Each Series consists of an investment in collateral from the proceeds of the issuance of debt securities.

The Programme offers investors the opportunity to invest in a portfolio of investments and total return swaps, the “investment securities and total return swaps”, and alter the interest rate risk and credit risk profile of the portfolio through the use of derivative instruments.

This ensures that if one series defaults, the holders of that series do not have the ability to reach other assets of the issuer, which might otherwise have resulted in the Company’s bankruptcy and the default of the other series of Debt Securities. The segregation criteria include the following: • The Company is a bankruptcy remote SPE, organized in the Netherlands; • The Company issues separate series of debt obligations; • Assets relating to any particular series of debt securities are held separate and apart from the assets relating to any other series; • Any swap transaction entered into by the Company for a series is separate from any other swap transaction for any other series; • For each series of debt securities, only the trustees are entitled to exercise remedies on behalf of the debt security holders; • Each series of issued debt securities are reviewed by a recognized rating agency prior to issuance regardless of whether it is to be rated or not.

The Company has, in most Series, entered into Asset Swap Agreements with Deutsche Bank AG. The net proceeds from the issue of the Debt Securities are paid to the Swap Counterparty to purchase the portfolio of investment securities plus any interest accrued thereon on behalf of the Company. The credit quality details of the investment securities held by the Company are disclosed in section (b) Risk Management Framework. During the term of the Asset Swap, the Company pays to the Swap Counterparty amounts equal to the interest received in respect of the collateral, and on the maturity date of the collateral will deliver the portfolio or the proceeds of its redemption to the Swap Counterparty.

The Swap Counterparty delivers the collateral to the account of the Company and pays the Company amounts equal to the interest payable under the debt securities, and if the swap agreement has not terminated prior to the maturity date of the respective Debt Securities, a sum equal to the redemption amount payable on the debt securities.

The Debt securities issued are initially recorded at fair value which equates to the net proceeds received in euros and are subsequently carried at fair value through profit or loss.

The ultimate amount repaid to the Note holders of these debt securities will depend on the proceeds from the investment securities and any payment the Swap Counterparty is obliged to make under the terms of the swap agreement of each individual series.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 19 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(b) Risk management framework The Board of Directors has overall responsibility for the establishment and oversight of the Company’s risk management framework.

The risk profile of the Company is such that market, credit, liquidity and other risks relating to the investment securities and derivatives are borne fully by the holders of debt securities issued.

The Company has exposure to the following risks from its use of financial instruments: (i) Credit risk; (ii) Liquidity risk; (iii) Market risks; and (iv) Swap counterparty risk.

This note presents information about the Company’s exposure to each of the above risks, the Company’s objectives, policies and processes for measuring and managing risk and the Company’s management of capital. Further quantitative disclosures are included in note 22 to these financial statements.

The Company does not have any externally imposed capital requirements.

(i) Credit risk Credit risk is the risk of a financial loss to the Company if the counterparty to a financial instrument fails to meet its contractual obligations, and arises principally from the Company’s credit linked securities which are divided into underlying reference entities and also from the derivative contracts which the Company has entered into.

The Company limits its exposure to credit risk by only investing in corporate bonds, loans and government bonds with counterparties that have a credit rating defined in the documentation of the relevant series. The risk of default on these assets and on the underlying reference entities is borne by the swap counterparty, or the holders of the debt securities of the relevant series that the Company has in issue.

The credit quality of the Company’s investment assets has been disclosed in note 22(a). As at December 31, 2016, the investment securities held by the Company are rated in the range from AA+ to BBB+ (S&P), from Aa2u to Baa2u (Moody) and the remaining 36.5% or are not rated. Compared to last year, none of the corporate bonds have been downgraded. None of the investments were in default or required early redemption during the year or at year end.

The credit risk relating to underlying reference entities as shown in note 22(d) arises principally from the investment assets which the Company holds which are credit-linked to a portfolio of underlying reference entities. Any default or “credit events” in the underlying portfolio of reference entities may trigger a reduction in the nominal amounts of the debt instrument which the Company holds depending on the loss amounts, as well as, other terms and conditions on the debt. Because of the limited recourse of the debt issued by the Company, any such losses would ultimately be borne by either the Company’s swap counterparty or the Company’s holders of Debt Securities for that particular series.

Secondly, the company has also sold credit protection to swap counterparties in return for a premium. These Debt Securities are credit-linked to the credit quality of the underlying portfolio of reference entities. Therefore any default or “credit events” in the underlying portfolio of reference entities might require a specific amount of the collateral i.e. certain investment securities held by the Company to be delivered to the swap counterparty that has purchased the credit protection from the Company. However, due to the ring-fenced nature of the debt securities issued by the Company any such losses on investment securities would ultimately be borne by the holders of debt securities by way of corresponding reduction in the nominal amounts of those debt securities Amsterdam, August 11, 2017 PBA\LGE\JPR Page 20 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016 depending on the terms and conditions attached to debt securities issued.

The linking of the Company’s issued debt securities to the underlying portfolio of reference entities is achieved by entering into credit default swap agreements with swap counterparties. The credit default swap is a leveraged arrangement.

The aggregate reference portfolio notional amounts are usually substantially higher than the notional amounts of the credit default swaps and the nominal amounts of the debt securities issued.

This leverage increases the risk of loss to the Company and, therefore, to the holders of Debt Securities.

Refer to the table in note 22(d) “Fair values” for further details.

(ii) Liquidity risk Liquidity risk is the risk that the Company will encounter difficulties in meeting obligations arising from its financial liabilities that are settled by delivering cash or another financial asset, or that such obligation will have to be settled in a manner disadvantageous to the Company.

The Company’s obligation to the holders of debt securities issued of a particular series is limited to the net proceeds upon realization of the collateral of that series. Should the net proceeds be insufficient to make all payments due in respect of a particular series of Debt Securities, the other assets of the Company are not contractually required to be made available to meet payment and the deficit is instead borne by the holders of debt securities issued and the Swap Counterparty according to established priorities.

The expediency and proceed amounts from realizing the collateral of each series is subject to market conditions.

There were no liquidity issues experienced by the Company or the swap counterparty in respect to meeting its obligations to holders of Debt Securities or to swap counterparties. The Company or the swap counterparty did not default on any of its contractual commitments during the year.

(iii) Market risks Market risk is the risk that changes in market prices, such as foreign exchange rate, interest rates and equity prices will affect the Company’s income or the value of its holdings of financial instruments.

The objective of market risk management is to manage and control market risk exposures within acceptable parameters while optimizing the return on risks.

Foreign exchange risk and interest rate risk are economically hedged through asset swaps.

(iv) Swap counterparty risk The Company has entered into swap agreements with Deutsche Bank AG London. There is a risk that the swap counterparty is not able to perform. To the extent that the Swap Counterparty fails to make payments due to the Issuer under the Swap Agreement, the Company will be unable to meet its obligations in respect of the Notes, Receipts and Coupons. In such event, the Swap Agreement may be terminated and upon any such termination the Notes will become repayable in accordance with Condition 8.3 of the base prospectus.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 21 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(1) Portfolio of investment securities

The movements in financial assets are comprised as follows: 2016 2015

Balance as at January 1 928,186,409 1,132,620,331 Investments 239,224,058 232,380,705 Fair value changes 19,459,849 (16,633,398) Currency result (3,063,973) 67,614,146 Disposals / maturities (89,943,467) (480,733,599) Realised gains / losses 4,092,987 (7,061,776)

Balance as at December 31 1,097,955,863 928,186,409

Investment securities at fair value through profit or loss 12/31/16 12/31/15

Corporate bonds and loans at nominal value 904,341,583 781,052,722 Adjustment of the portfolio to M2M 193,614,280 147,133,687 2 1,097,955,863 928,186,409

Maturity analysis of investment securities 12/31/16 12/31/15

Within two years 112,988,283 125,849,413 Two to five years - 48,013,751 Greater than five years 984,967,580 754,323,245

1,097,955,863 928,186,409

The carrying value of the assets of the company represents their maximum exposure to credit risk. The credit risk is eventually transferred to the swap counterparty or the noteholders through the credit default swap.

No defaults were reported.

Refer to note 22(a) for credit risk disclosure relating to the investment securities.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 22 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(2) Derivatives The derivatives are comprised as follows: 12/31/16 12/31/15

FV of derivatives - assets 3,590,269 -

The Company entered into asset swap agreements for each series of debt securities issued to eliminate the mismatch between the amounts payable in respect of those issued debt securities and the return from the investment securities held by the company as collateral.

The Company has also entered into credit default swaps in order to provide an asset risk profile which is suited to the needs of the investors (the holders of the debt securities).

2016 Less 2016 Greater 2016 Total 2015 Less 2015 Greater 2015 Total than one than one year than one than one year year year Derivative Assets Credit Default Swaps ------Asset Swaps - 3,590,269 3,590,269 - - - - 3,590,269 3,590,269 - - -

Derivative liabilities Credit Default Swaps ------Asset Swaps (15,678,718) (173,500,563) (189,179,281) (1,102,259) (160,844,977) (161,947,236) (15,678,718) (173,500,563) (189,179,281) (1,102,259) (160,844,977) (161,947,236)

(3) Other receivables 12/31/16 12/31/15

Receivables relating to creditors, taxes, and other liabilities 72,422 48,577 Other receivables 18,000 18,000 2 90,422 66,577

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 23 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(4) Taxation and social security premiums The Taxation and Social Security Premiums are comprised as follows: 12/31/16 12/31/15

Corporate income tax 116 - Dividend tax - 2,100 2 116 2,100

The Corporate Income Tax receivable is comprises of a payable of EUR 288 for the year 2015 and a receivable of EUR 404 for the year 2016.

(5) Interest receivable 12/31/16 12/31/15

Interest receivable 1 13,831,093 10,855,175

(6) Cash and cash equivalents Cash at bank is comprised as follows: 12/31/16 12/31/15

DB Amsterdam 1 4,631 7,595 BNYM cash accounts 1 - 446,545,498 2 4,631 446,553,093

Cash at bank balances are held with Deutsche Bank AG Amsterdam, and are at free disposal of the Company.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 24 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(7) Debt securities issued 12/31/16 12/31/15

Debt securities at nominal value 1 913,684,203 1,225,477,453 Adjustment to fair value of debt securities 1 1,943,319 (9,453,863) 2 915,627,522 1,216,023,590

Movements in debt securities issued 2016 2015

Opening balance 1,216,023,590 1,010,947,704 Issues in the year 209,720,191 176,848,255 Redemptions / maturities in the year (536,561,668) (16,722,738) Fair value movements in the year 26,445,409 44,950,369

Closing balance 915,627,522 1,216,023,590

Maturity analysis of debt securities issued 12/31/16 12/31/15

Less than one year 96,057,299 456,115,416 Within two years - 102,394,686 Two to five years - 48,013,125 Greater than five years 819,570,223 609,500,363

915,627,522 1,216,023,590

The Company’s obligations under the debt securities issued and related derivative financial instruments are secured by collateral held as noted in Note 1. The investors’ recourse per series is limited to the assets of that particular series. The fair value of debt securities is calculated based on the net asset value of derivatives and assets of the respective series.

The debt securities issued are listed on the Irish stock exchange (3 series), Cayman Islands stock exchange (1 series), Luxembourg stock exchange (1 series) or not listed (8 series).

(8) Derivatives The derivatives payable at fair value are comprised as follows: 12/31/16 12/31/15

FV of derivatives - liabilities 1 189,179,281 161,947,236

Derivatives with positive fair values are presented as assets at fair value through profit and loss. For more specifications on derivatives, see note 2 (Derivatives Assets).

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 25 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(9) Taxation Taxation is comprised as follows: 12/31/16 12/31/15

Corporate income tax payable 1 - 288

For the year 2016, please refer to note 4, Corporate Income Tax receivable.

(10) Interest payable Short-term liabilities are comprised as follows: 12/31/16 12/31/15

Coupon payable on debt securities issued 10,570,422 7,616,256 1 10,570,422 7,616,256

(11) Other payables and accrued expenses The Accrued Expenses and Deferred Income are comprised as follows: 12/31/16 12/31/15

Creditors 1 72,538 50,389 Swap re movements on local bank accounts 1 4,631 7,595 2 77,169 57,984

(12) Financial income and expenses loans portfolio 01/01/16 - 01/01/15 - 12/31/16 12/31/15

Interest income on investment securities 1 33,243,328 46,059,878 Interest income total return swaps 1 - 3,991 Fair value changes on assets 1 22,176,192 44,363,909 3 55,419,520 90,427,778

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 26 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(13) Financial expenses Debt Securities 01/01/16 - 01/01/15 - 12/31/16 12/31/15

Interest expenses on debt securities 1 (28,365,379) (34,219,844) Fair value changes on debt securities 1 (26,445,409) (44,950,369) 2 (54,810,788) (79,170,213)

(14) Net gain / loss from derivative financial instruments 01/01/16 - 01/01/15 - 12/31/16 12/31/15

Fair value changes on derivatives (608,732) (11,257,565)

(15) Other income 01/01/16 - 01/01/15 - 12/31/16 12/31/15

Operational cost remuneration 1 208,835 185,479 Recharged corporate income tax 1 2,600 2,900 2 211,435 188,379

(16) Administrative expenses 01/01/16 - 01/01/15 - 12/31/16 12/31/15

Legal fees 1 (4,000) (4,106) Audit and audit-related fees 1 (42,108) (27,709) Managing directors fee 1 (119,089) (98,931) Program administration fees 1 (17,126) (16,438) Other expenses 1 (26,512) (38,295) 2 (208,835) (185,479)

The audit fee mentioned solely comprises the fee of external auditor KPMG Accountants N.V. The external auditor has not charged any fees relating to other assurance related services, tax, consulting or any other consulting services.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 27 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(17) Income tax expense 01/01/16 - 01/01/15 - 12/31/16 12/31/15

Corporate income tax 1 (2,600) (2,900)

Provisions for taxation have been made in accordance with the tax ruling practice in the Netherlands. Income tax 2016: EUR 2,600.

(18) Consequences DB downgrade Due to the downgrade in recent years, DB as Paying Agent, Custodian and Purchaser did no longer meet the credit rating requirements for series 15 and 16, and as a consequence certain measures had to be taken, as summarized below:

Paying Agent: Required rating (short term) P-1 Moody’s / A-1 S&P per documentation. Actual ratings are P-2 / A- 2. As a consequence of the downgrade, DB was replaced by Bank of New York Mellon, actual ratings P-1 / A-1+

Custodian: Required rating (short term) P-1 Moody’s / A-1 S&P per documentation. Actual ratings are P-2 / A-2. As a consequence of the downgrade, DB was replaced by Bank of New York Mellon, actual ratings P-1 / A-1+

Purchaser: Required rating (short term) P-1 Moody’s / A-1 S&P per documentation. Actual ratings are P-2 / A-2. As a consequence of the downgrade, the documentation was adjusted and the required rating lowered to A-3 S&P.

The consequences of the downgrade do not have any financial impact to the Company.

(19) Ownership of the Company The issued shares are held by Stichting Asset Repackaging Trust Six. Stichting Asset Repackaging Trust Six has appointed a Board of Directors to run the day-to-day activities of the Company.

The Board of Directors have considered the issue as to who is the controlling party of the Company. It has determined that the control of the day-to-day activities of the Company rests with the Board. The Board is composed of three directors.

No transactions with Stichting Asset Repackaging Trust Six have occurred in 2016.

(20) Charges The Debt Securities issued by the Company are secured by way of mortgage over the collateral purchased in respect of each of the debt securities issued, and by the assignment of a fixed first charge of the Company’s rights, title and interest under the respective Swap Agreement for each series.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 28 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(21) Related parties Under a Series Proposal Agreement entered into for each series by the Company and Deutsche Bank AG London, Deutsche Bank AG London, as Arranger for each Series, will pay the Company a Series Fee of EUR 1,000 per series on commencement of the series and agree to reimburse the Company against any costs, fees, expenses or out- goings incurred, refer to Note 16 for details. Deutsche Bank AG London is also the Swap counterparty for all series containing asset swap agreements and holds positions as Noteholder in certain series.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 29 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(22) Financial Instruments (a) Credit risk. The carrying amount of financial assets represents the maximum credit exposure. The maximum exposure to the credit risk at the reporting date was: 12/31/16 12/31/15

Cash and cash equivalents 4,631 446,553,093 Portfolio of investment securities 1,097,955,863 928,186,409 Derivatives 3,590,269 - Interest receivable 13,831,093 10,855,175 Corporate income tax 116 - Other taxation - 2,100 Other receivables 90,422 66,577 2 1,115,472,394 1,385,663,354

Cash and cash equivalents: The Company’s cash and cash equivalents are held mainly with the Deutsche Bank AG London which is rated A- and A-2 by Standard and Poor's (S&P) per December 31, 2016 (BBB+/A-2 per December 31, 2015).

Derivative assets: The Company has entered into derivative transactions with swap counterparties to eliminate the mismatch between the amount payable in respect of the debt securities and the return from the investments securities as collateral. Derivative financial instruments are transacted with Deutsche Bank as counterparty which is rated at A- and A-2 by Standard and Poor's (S&P) per December 31, 2016 (BBB+/A-2 per December 31, 2015).

Investment securities:

Rating Rating Agency 2016 2015 AA+ S&P 2.29% 0% A+ S&P 0% 4.94% A- S&P 3.93% 0% Aa2u MDY 28.03% 31.35% Baa2u MDY 25.47% 30.84% BBB+ S&P 0.40% 0.46% B- S&P 0% 0.74% NR 39.88% 31.67% 100.00% 100.00%

The ‘u’ (ratings Aa2u and Baa2u) indicates it is an unsolicited rating (assigned at the initiative of credit rating agency not the issuer)

None of the investments held were past due or defaulted.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 30 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

At the reporting date, the Company's investment securities were concentrated in the following assets types:

2016 2015 Asset backed 45.68% 29.95% Loans 18.72% 26.07% Government 35.60% 43.98% 100.00% 100.00%

Thirty two (32%) of the investment securities are domiciled in France, twenty nine (29%) in Italy, and fifteen (15%) in the USA. The remaining 24% of the investments are domiciled in the Germany, Luxembourg and Israel.

Other assets: The other assets mainly include income receivable from investments held by the Company as at year end. The credit ratings and concentration of the investment securities as at year end are disclosed under investment securities above.

(b) Liquidity risk The following are the contractual maturities of financial assets and liabilities including undiscounted interest payments and excluding the impact of netting agreements:

December 31, 2016 Carrying Gross Less than one Two to five More than amounts contractual year years five years cash flows Cash and cash 4,631 4,631 4,631 0 0 equivalents Investment securities 1,097,955,863 1,243,348,881 133,608,203 85,839,469 1,023,901,209 Other assets 13,921,631 13,921,631 13,921,631 0 0 Derivatives (185,589,012) (101,889,555) (6,143,321) (23,830,962) (71,915,272) Debt securities issued (915,627,522) (1,144,719,997) (130,743,553) (62,008,507) (951,967,937) Other liabilities (10,647,591) (10,647,591) (10,647,591) 0 0 18,000 18,000 0 0 18,000

December 31, 2015 Carrying Gross Less than one Two to five More than amounts contractual year years five years cash flows Cash and cash 446,553,093 446,553,093 446,553,093 0 0 equivalents Investment securities 928,186,409 1,537,301,229 478,131,777 233,690,632 825,478,820 Other assets 10,923,852 10,923,852 10,923,852 0 0 Derivatives (161,947,236) (504,086,493) (445,854,109) 1,926,192 (60,158,576) Debt securities issued (1,216,023,590) (1,482,999,153) (482,080,085) (235,616,824) (765,302,244) Other liabilities (7,674,528) (7,674,528) (7,674,528) 0 0 18,000 18,000 0 0 18,000

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 31 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(c) Market risk Market risk embodies the potential for both loss and gains and includes currency risk, interest rate risk and price risk.

(i) Currency risk The company is exposed to movements in exchange rates between its functional currency - euro and foreign currency denominated financial instruments. At the reporting date, the Company's had the following exposure to foreign currency risk:

Monetary Assets 2016 in EUR EUR USD GBP JPY NOK TOTAL Cash 4,631 0 0 0 0 4,631 Derivative assets 0 0 0 0 3,590,269 3,590,269 Investment 733,698,736 137,341,377 68,272,951 158,642,799 0 1,097,955,863 securities Other assets 9,439,993 679,779 1,450,132 2,351,727 0 13,921,631 743,143,360 138,021,156 69,723,083 160,994,526 3,590,269 1,115,472,394

Monetary 2016 in EUR Liabilities EUR USD GBP JPY NOK TOTAL Debt securities 602,068,927 22,412,957 0 0 291,145,638 915,627,522 Derivative liabilities 143,336,468 24,827,326 0 0 21,015,487 189,179,281 Other liabilities 6,545,043 453,434 0 0 3,649,114 10,647,591 751,950,438 47,693,717 0 0 315,810,239 1,115,454,394

Net Exposure (8,807,078) 90,327,439 69,723,083 160,994,526 (312,219,970) 18,000

Monetary Assets 2015 in EUR EUR USD GBP JPY NOK TOTAL Cash 7,595 446,545,498 0 0 0 446,553,093 Derivative assets 0 0 0 0 0 0 Investment 740,115,467 0 93,826,903 94,244,039 0 928,186,409 securities Other assets 9,549,566 0 1,044,396 329,890 0 10,923,852 749,672,628 446,545,498 94,871,299 94,573,929 0 1,385,663,354

Monetary 2015 in EUR Liabilities EUR USD GBP JPY NOK TOTAL Debt securities 578,196,161 470,470,841 48,013,125 0 119,343,463 1,216,023,590 Derivative liabilities 114,938,687 20,258,591 0 0 26,749,958 161,947,236 Other liabilities 6,389,909 435,111 504,443 0 345,065 7,674,528 699,524,757 491,164,543 48,517,568 0 146,438,486 1,385,645,354

Net Exposure 50,147,871 (44,619,045) 46,353,731 94,573,929 (146,438,486) 18,000

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 32 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

The following significant exchange rates applied during the year:

Average rate Closing rate 2016 2015 2016 2015 USD 1.1066 1.1101 1.0568 1.0891 GBP 0.8193 0.7265 0.8583 0.7350 JPY 120.2638 134.3515 123.6488 131.1173 NOK 9.2947 8.9424 9.0901 9.5991

Sensitivity analysis The impact of any change in the exchange rates on the investment securities relating to any series is offset by the foreign exchange rate changes on the debt securities issued under the series. Any difference is borne by the swap counterparty and thus the exchange rate changes have no net impact on the equity or the profit or loss of the Company.

(ii) Interest rate risk At the reporting date, the interest rate risk profile of the Company's interest bearing financial instruments was:

Fixed rate instruments 2016 2015 Investment securities 1,056,100,585 827,550,780 Debt securities issued (599,587,593) (395,845,321) 456,512,992 431,705,459 Variable rate instruments Investment securities 4,390,350 4,256,342 Debt securities issued (316,039,929) (820,178,269) (311,649,579) (815,921,927)

Sensitivity analysis The Company does not bear any interest rate risk as the interest rate risk associated with the debt securities issued by the Company is neutralized by entering into swap agreements whereby the swap counterparty pays the Company amounts equal to the interest payable to the holders of the debt securities issued in return for the interest earned by the Company on its investment securities. Therefore any change in the interest rates would not affect the equity or the profit or loss of the Company.

The Company has designated its fixed rate financial assets and liabilities at fair value through profit or loss. Any changes in interest rates would also effect the fair value of the fixed rate financial assets and liabilities which in turn would impact on the profit or loss and the equity of the Company. However, the Company has also neutralized this risk by entering into swap agreements whereby all fair value changes are borne by the swap counterparty.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 33 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

(iii) Other price risk Other price risk is the risk that value of the instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its issuer or all factors affecting all instruments traded in the market.

Other price risk may include risks such as equity price risk, commodity price risk, repayment risk (i.e. the risk that one party to a financial asset will incur a financial loss because the other party repays earlier or later than expected), and residual value risk.

(d) Fair values

2016 2015 Quote price in Valuation Valuation Quote price in Valuation Valuation active market technique technique active market technique technique level 1 observable unobservable level 1 observable unobservable parameters parameters parameters parameters level 2 Level 3 level 2 Level 3 Investment 834,858,584 47,449,101 215,648,178 625,601,237 49,160,902 253,424,270 securities Derivative 3,590,269 financial assets Derivative (189,179,281) (161,947,236) financial liabilities Debt (745,571,278) (170,056,244) (1,021,615,421) (194,408,169) securities issued 834,858,584 (883,711,189) 45,591,934 625,601,237 (1,134,401,755) 59,016,101

Level 3 movements for derivative assets 2016 2015 Opening balance - - Sum of settlements - - Transfers in - - Transfers out - - Fair value movements - - - -

Level 3 movements for derivative liabilities 2016 2015 Opening balance - (976,451) Sum of settlements - - Transfers in - - Transfers out - 976,451 Fair value movements - - - -

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 34 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

Realized and unrealized Gain / Loss 2016 2015 Investment securities 9,226,753 46,753,899 Derivative financial instruments - - Debt securities issued (11,654,417) 6,659,303 (2,427,664) 53,413,202

Unrealized Gain / Loss 2016 2015 Investment securities 12,414,906 (7,341,630) Derivative financial instruments - - Debt securities issued (18,511,756) 7,323,601 (6,096,850) (18,029)

Level 3 movements for debt securities 2016 2015 Opening balance (194,408,169) (469,530,985) Acquisition (32,458,892) (122,539,037) Maturities 40,415,445 - Disposal 740,341 16,722,738 Transfers in - (29,727,194) Transfers out 27,309,448 404,007,006 Fair value movements (11,654,417) 6,659,303 Closing balance (170,056,244) (194,408,169)

Level 3 movements for investment securities 2016 2015 Opening balance 253,424,270 498,187,831 Acquisition 53,573,760 162,504,592 Maturities (359,582) (2,429,201) Disposal (48,377,572) (477,794,054) Transfers in - 49,194,115 Transfers out (51,839,451) (22,992,912) Fair value movements 9,226,753 46,753,899 Closing balance 215,648,178 253,424,270

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 35 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

NOTES, COMPRISING A SUMMARY OF THE SIGNIFICANT ACCOUNTING POLICIES AND OTHER EXPLANATORY INFORMATION December 31, 2016

Other disclosures

There were 2 partial additions (variable funding Notes) after balance sheet date.

We have not identified any defaults after balance sheet date.

Amsterdam, August 11, 2017

P.T.W. Rutovitz J.C.P. van Uffelen

TMF Netherlands B.V.

Amsterdam, August 11, 2017 PBA\LGE\JPR Page 36 (Expressed in Euro)

ASSET REPACKAGING TRUST SIX B.V. (Amsterdam)

OTHER INFORMATION December 31, 2016

Independent Auditor's report

The independent auditor's report is included on the next page.

Statutory provision regarding appropriation of Result

In accordance with article 18 of the articles of association, profit shall be at the disposal of the annual general meeting of shareholders. Profit distribution can only be made to the extent that shareholder's equity exceeds the issued and paid-up share capital and legal reserves.

Amsterdam, August 11, 2017 PBA\LGE\JPR

Independent auditor’s report

To: the General Meeting of Shareholders of Asset Repackaging Trust Six B.V.

Report on the accompanying financial statements 2016 Our opinion In our opinion the financial statements give a true and fair view of the financial position of Asset Repackaging Trust Six B.V. as at 31 December 2016, and of its result and its cash flows for 2016 in accordance with International Financial Reporting Standards as adopted by the European Union (EU- IFRS) and with Part 9 of Book 2 of the Netherlands Civil Code. What we have audited We have audited the financial statements 2016 of Asset Repackaging Trust Six B.V., based in Amsterdam. The financial statements comprise: 1 the statement of financial position at 31 December 2016; 2 the following statements for 2016: the statements of comprehensive income, shareholders’ equity and cash flows; and 3 the notes comprising a summary of the significant accounting policies and other explanatory information. Basis for our opinion We conducted our audit in accordance with Dutch law, including the Dutch Standards on Auditing. Our responsibilities under those standards are further described in the ‘Our responsibilities for the audit of the financial statements’ section of our report. We are independent of Asset Repackaging Trust Six B.V. in accordance with the ‘Verordening inzake de onafhankelijkheid van accountants bij assurance-opdrachten’ (ViO, Code of Ethics for Professional Accountants, a regulation with respect to independence) and other relevant independence regulations in the Netherlands. Furthermore, we have complied with the ‘Verordening gedrags- en beroepsregels accountants’ (VGBA, Dutch Code of Ethics). We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Audit approach Summary

Unqualified audit opinion

Materiality ■ Overall materiality of EUR 11.1 million ■ Approximately 1% of total assets

Key audit matter Valuation of the portfolio of investment securities and derivatives

KPMG Accountants N.V., registered with the trade register in the Netherlands under number 33263683, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity.

1179546/17W00153828AVN

Materiality Based on our professional judgement we determined the materiality for the financial statements as a whole at EUR 11.1 million (Prior year: EUR 13.8 million). The materiality is determined with reference to total assets (approximately 1%). We consider total assets as the most appropriate benchmark, as the holders of the Notes issued by the company are entitled to the proceeds from the assets of the entity. Due to the nature and objective of the Entity total assets have reduced to last year, resulting in a different materiality this year. We have also taken into account misstatements and/or possible misstatements that in our opinion are material for qualitative reasons for the users of the financial statements. We agreed with Management that misstatements in excess of EUR 0.55 million (Prior year: EUR 0.69 million) which are identified during the audit, would be reported to them, as well as smaller misstatements that in our view must be reported on qualitative grounds. Our key audit matter Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements. We have communicated the key audit matter to Management. The key audit matter is not a comprehensive reflection of all matters discussed. This matter was addressed in the context of our audit of the financial statements as a whole and in forming our opinion thereon, and we do not provide a separate opinion on this matter. Given the company’s activities are of a long-term, predefined nature, the matters that have the greatest effect on our audit are subject to little change year on year. As a result, there have not been any significant changes in our key audit matters compared to prior year.

Estimation uncertainty in relation to the valuation of the portfolio of investment securities and derivatives

Description The company uses the market value as the valuation policy for the portfolio of investment securities and derivatives. For investment securities and derivatives for which observable market prices or parameters are not available, the market value is subject to estimation uncertainty as significant judgement is applied to estimate market value. Changes in assumptions and estimates used to value these investment securities and derivatives may have a significant effect on the entity’s ability to fully redeem the noteholder. The valuation of this part of the portfolio of investment securities and derivatives has therefore been identified as a key audit matter.

Our response We challenged the key assumptions used by Management in determining the market value of this part of the portfolio of investment securities and derivatives, with assistance from our own valuation specialists. Our procedures included, amongst others, a comparison of the discount rate and cash flow assumptions against contractual and externally derived market data and inspection and analyses of post year-end events indicative for possible credit defaults. Furthermore, we considered the adequacy of Managements ‘disclosures in note A.F. “Use of estimates and judgements”, and note B. “Fair value measurement principles” to the financial statements in respect of the sensitivity of the determined market value to changes in these key assumptions.

Our observation We observed that the market value of this part of the portfolio of investment securities and derivatives has been estimated in a balanced manner for the purpose of the financial statements and that the disclosures in 1,2 and 21 meet the requirements of IFRS and appropriately describe the inherent degree of subjectivity in the estimates.

Report on the other information included in the annual report In addition to the financial statements and our auditor’s report thereon, the annual report contains other information that consists of: • the Managing Directors’ Report; • statement of Director’s responsibilities in respect of Director’s report and the financial statements • other information pursuant to Part 9 of Book 2 of the Netherlands Civil Code;

1179546/17W00153828AVN

Based on the below procedures performed, we conclude that the other information: • is consistent with the financial statements and does not contain material misstatements; • contains the information as required by Part 9 of Book 2 of the Netherlands Civil Code. We have read the other information. Based on our knowledge and understanding obtained through our audit of the financial statements or otherwise, we have considered whether the other information contains material misstatements. By performing these procedures, we comply with the requirements of Part 9 of Book 2 of the Netherlands Civil Code and the Dutch Standard 720. The scope of the procedures performed is substantially less than the scope of those performed in our audit of the financial statements. Management is responsible for the preparation of the other information, including the Managing Directors’ Report in accordance with Part 9 of Book 2 of the Netherlands Civil Code and other Information pursuant to Part 9 of Book 2 of the Netherlands Civil Code.

Report on other legal and regulatory requirements Engagement We were engaged in 2007 by Management for the first time as auditor of Asset Repackaging Trust Six B.V. and operated as statutory auditor since then.

Description of the responsibilities for the financial statements Responsibilities of Management and the Audit Committee for the financial statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with EU-IFRS and Part 9 of Book 2 of the Netherlands Civil Code. Furthermore, Management is responsible for such internal control as Management determines is necessary to enable the preparation of the financial statements that are free from material misstatement, whether due to errors or fraud. As part of the preparation of the financial statements, Management is responsible for assessing the company’s ability to continue as a going concern. Based on the financial reporting framework mentioned, Management should prepare the financial statements using the going concern basis of accounting unless Management either intends to liquidate the company or to cease operations, or has no realistic alternative but to do so. Management should disclose events and circumstances that may cast significant doubt on the company’s ability to continue as a going concern in the financial statements. The Audit Committee is responsible for overseeing the company’s financial reporting process. Our responsibilities for the audit of financial statements Our objective is to plan and perform the audit to obtain sufficient and appropriate audit evidence for our opinion. Our audit has been performed with a high, but not absolute, level of assurance, which means we may not have detected all material errors and fraud during the audit. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. The materiality affects the nature, timing and extent of our audit procedures and the evaluation of the effect of identified misstatements on our opinion.

1179546/17W00153828AVN

For a further description of our responsibilities in respect of an audit of financial statements we refer to the website of the professional body for accountants in the Netherlands (NBA) https://www.nba.nl/Engels_oob_2016 Amstelveen, 11 August 2017 KPMG Accountants N.V. E.H.R. Schuit RA

1179546/17W00153828AVN