EX-99.2 3 c92548_ex99-2.txt Exhibit 99.2 Cancara Asset Securitisation Limited Financial statements for the year ended 31 December 2004 Registered number: 84185 Contents Page Directors and advisors 1 Directors' report 2-3 Independent auditors' report 4 Profit and loss account 5 Balance sheet 6 Cash flow statement 7 Notes to the financial statements 8-15 CANCARA ASSET SECURITISATION LIMITED Directors and Advisors Directors Richard Charles Gerwat Michael Henry Richardson Secretary Bedell Cristin Secretaries Limited Lawyers Bedell Cristin PO Box 75 26 New Street St. Helier Jersey JE4 8PP Channel Islands Bankers JP Morgan Chase Bank Trinity Tower 9 Thomas Moore Street London E1W 1YT Registered office 26 New Street St Helier Jersey JE2 3RA Auditors Deloitte & Touche LLP Chartered Accountants London CANCARA ASSET SECURITISATION LIMITED 1 Directors' report For the year ended 31 December 2004 The directors have pleasure in presenting their annual report and the audited financial statements for the year ended 31 December 2004. Principal activities and review of the business The Company is a Jersey limited liability company which was formed on 15 October 2002 and commenced operations on 5 December 2002. The Company is a special purpose vehicle in a conduit programme (the "Programme") sponsored by Lloyds TSB Bank plc. The Company issues European and United States of America Commercial Paper, the proceeds of which are advanced to associated purchaser companies which in turn acquire financial assets, including receivables originated by corporations resident in Organisation for Economic Co-operation and Development countries, either through the purchase of ownership interests in receivables or debt securities or through making secured loans. All advances are collateralised by the purchased assets, or other securities. The Company jointly issues the US$ Commercial Paper with Cancara Asset Securitisation LLC (a subsidiary of the Company) (the "Co-Issuer") under a US Commercial Paper Issuance Agreement pursuant to which the Company agrees to pay the expenses of the Co-Issuer related to the issuance of US$ Commercial Paper and all other expenses incurred in its business. The Co-Issuer does not receive any of the proceeds realised from the offering of the US$ Commercial Paper and does not hold any assets. Shortly after formation, the Company entered into several agreements including an Administration Agreement and a Commissioning Agreement (being the mechanism to fund purchaser companies). Pursuant to the original agreements and subsequent amendments, the Company engaged Lloyds TSB Bank plc to provide administration, structuring, documenting, monitoring and surveillance services. Lloyds TSB Bank plc are compensated as Administrative Agent. Bedell SPV Management (Jersey) Limited provides corporate administration services to the Company pursuant to a Corporate Services Agreement, for which it receives compensation. Future prospects The Administrative Agent has actively continued to market the Programme and has identified additional business both in respect of receivables as well as the investment in asset backed securities. Dividends and transfers to reserves The directors recommend the payment of a dividend of $1,920 (2003: $1,791). Directors and their interests The following acted as directors throughout the year: Richard Charles Gerwat Michael Henry Richardson None of the directors held any interest in the Company at any time during the year. CANCARA ASSET SECURITISATION LIMITED 2 Directors' report (continued) Directors' responsibilities Companies (Jersey) Law 1991 requires the directors to prepare financial statements for each financial year which give a true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that year. In preparing those financial statements, the directors are required to: - select suitable accounting policies and then apply them consistently; - make judgements and estimates that are reasonable and prudent; - state whether applicable accounting standards have been followed; and - 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 accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the financial statements comply with the Companies (Jersey) Law 1991. They are also responsible for the system of internal control, for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. Auditors Deloitte & Touche LLP have expressed their willingness to continue as auditors and a resolution to reappoint them will be proposed at the forthcoming Annual General Meeting. Approved by the Board of Directors and signed on behalf of the Board Authorised signatory Bedell Cristin Secretaries Limited Company Secretary 4 May 2005 CANCARA ASSET SECURITISATION LIMITED 3 INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF CANCARA ASSET SECURITISATON LIMITED We have audited the financial statements of Cancara Asset Securitisation Limited for the year ended 31 December 2004 which comprise the profit and loss account, the balance sheet, the cash flow statement and the related notes 1 to 16. These financial statements have been prepared under the accounting policies set out therein. This report is made solely to the Company's members, as a body, in accordance with Article 110 of Companies (Jersey) Law 1991. Our audit work has been undertaken so that we might state to the Company's members those matters we are required to state to them in an auditors' report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company's members as a body, for our audit work, for this report, or for the opinions we have formed. Respective responsibilities of directors and auditors As described in the statement of directors' responsibilities, the Company's directors are responsible for the preparation of the financial statements in accordance with applicable Jersey company law and United Kingdom accounting standards. Our responsibility is to audit the financial statements in accordance with relevant Jersey legal and regulatory requirements and United Kingdom auditing standards. We report to you our opinion as to whether the financial statements give a true and fair view and are properly prepared in accordance with the Companies (Jersey) Law 1991. We also report if, in our opinion, the directors' report is not consistent with the financial statements, if the Company has not kept proper accounting records, if we have not received all the information and explanations we require for our audit, or if information specified by law regarding directors' remuneration and transactions with the Company is not disclosed. We read the directors' report and consider the implications for our report if we become aware of any apparent misstatements. Basis of audit opinion We conducted our audit in accordance with United Kingdom auditing standards issued by the Auditing Practices Board. An audit includes examination, on a test basis, of evidence relevant to the amounts and disclosures in the financial statements. It also includes an assessment of the significant estimates and judgements made by the directors in the preparation of the financial statements and of whether the accounting policies are appropriate to the Company's circumstances, consistently applied and adequately disclosed. We planned and performed our audit so as to obtain all the information and explanations which we considered necessary in order to provide us with sufficient evidence to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or other irregularity or error. In forming our opinion, we also evaluated the overall adequacy of the presentation of information in the financial statements. Opinion In our opinion the financial statements give a true and fair view of the state of affairs of the Company as at 31 December 2004 and of the result of the Company for the year then ended and have been properly prepared in accordance with the Companies (Jersey) Law 1991. Deloitte & Touche LLP Chartered Accountants London Date:........................ CANCARA ASSET SECURITISATION LIMITED 4 Profit and loss account For the year ended 31 December 2004

All of the amounts above are in respect of continuing operations. There are no recognised gains or losses for the current year or prior period other than as stated above, therefore a statement of recognised gains and losses has not been presented. The accompanying notes are an integral part of this profit and loss account. CANCARA ASSET SECURITISATION LIMITED 5 Balance sheet As at 31 December 2004

Signed on behalf of the Board ----------------------- ----------------------- Director Director 4 May 2005 The accompanying notes are an integral part of this balance sheet. CANCARA ASSET SECURITISATION LIMITED 6 Cash flow statement For the year ended 31 December 2004

The accompanying notes are an integral part of this cash flow statement. CANCARA ASSET SECURITISATION LIMITED 7 Notes to the financial statements For the year ended 31 December 2004 1 Accounting policies The financial statements of the Company have been prepared under the historical cost convention and in accordance with the provisions of Companies (Jersey) Law 1991, as amended. a) Accounting convention The financial statements have been prepared in accordance with applicable United Kingdom accounting standards and pronouncements of the Urgent Issues Task Force, and in accordance with applicable Jersey law. The particular accounting policies adopted are described below. Based on the terms of the US Commercial Paper Issuance Agreement made between the Company and the Co-Issuer, pursuant to which the Company agrees to pay the expenses of the Co-Issuer related to the issuance of US$ Commercial Paper and all other expenses incurred in its business, the financial statements have been prepared on the basis that the Co-Issuer acts as agent for the Company. The Co-Issuer does not receive any of the proceeds realised from the offering of the US$ Commercial Paper and does not hold any assets. b) Turnover Turnover relates to interest receivable on the advancements to other companies. Turnover is accounted for on an accruals basis. c) Taxation The Company has been granted 'Exempt Company Status' in Jersey and is therefore liable to an annual fee of (pound)600. This is included as an expense in the profit and loss account as it is not dependent on the Company's results. The Company intends to maintain such status for as long as possible pending the introduction of a general zero rate of corporation tax in Jersey. d) Foreign currency translation The functional currency of the Company is the US dollar. Transactions denominated in foreign currencies are translated into US dollars at the exchange rates ruling on the date of the transactions. Monetary and hedged assets and liabilities denominated in foreign currency at the balance sheet date are translated at the rates of exchange ruling at that date or contracted rates where appropriate and movements are recorded in the profit and loss account. e) Derivative financial instruments The Company uses derivative financial instruments to reduce exposure to foreign exchange risk and interest rate movements. The Company does not hold or issue derivative financial instruments for speculative purposes. For a forward foreign exchange contract to be treated as a hedge the instrument must be related to actual foreign currency assets or liabilities or to a probable commitment. It must involve the same currency or similar currencies as the hedged item and must also reduce the risk of foreign currency exchange movements on the Company's operations. Gains and losses arising on these contracts are deferred and recognised in the profit and loss account, or as adjustments to the carrying amount of the fixed assets, only when the hedged transaction has itself been reflected in the Company's financial statements. CANCARA ASSET SECURITISATION LIMITED 8 Notes to the financial statements (continued) For an interest rate swap to be treated as a hedge the instrument must be related to actual assets or liabilities or a probable commitment and must change the nature of the interest rate by converting a fixed rate to a variable rate or vice versa. Interest differentials under these swaps are recognised by adjusting net interest payable over the periods of the contracts. If an instrument ceases to be accounted for as a hedge, for example because the underlying hedged position is eliminate, the instrument is marked to market and any resulting profit or loss recognised at that time. f) Advances Advances are initially stated at the amount of funds advanced to borrowers. The carrying amount is increased by the finance costs in respect of the accounting period and reduced by payments made in the period by the borrower. g) Short term borrowings Debt is initially stated at the amount of proceeds received. The carrying amount is increased by the finance costs in respect of the accounting period and reduced by payments made in the period. 2 Directors' emoluments None of the directors had any material interest in any contract of significance in relation to the business of the Company and none of the directors received any direct emoluments for their services in either the current year or prior year. 3 Employees During the year and previous period, the Company had no employees. The Company has outsourced the administration of its operations to third parties, on an arms-length basis. 4 Profit on ordinary activities before taxation

CANCARA ASSET SECURITISATION LIMITED 9 Notes to the financial statements (continued)

CANCARA ASSET SECURITISATION LIMITED 10 Notes to the financial statements (continued)

CANCARA ASSET SECURITISATION LIMITED 11 Notes to the financial statements (continued) 12 Called-up share capital 2004 2003 $ $ Authorised 2 ordinary shares of (pound)1 each 3 3 ---------- ---------- 3 3 ---------- ---------- Allotted, called-up and fully paid 2 ordinary shares of (pound)1 each 3 3 ---------- ---------- 3 3 ---------- ---------- 13 Profit and loss account 2004 2003 $'000 $'000 - - As at 31 December/ date of incorporation Retained profit for the year/ period - - ---------- ---------- As at 31 December - - ---------- ---------- 14 Financial instruments The Company's financial instruments comprise principally of amounts due from advances to special purchase vehicles, each a "Purchaser" and collectively "Purchasers", who have in turn purchased investments in receivables, asset backed securities and various tranches of floating rate loan notes. Cash, accrued interest income, accrued interest payable and other items arise directly from the Company's operations. It is, and has been throughout the year, the Company's policy that no trading in derivative financial instruments shall be undertaken. The main risks arising from the Company's financial instruments are default risk, interest rate risk, currency risk and liquidity risk. The Board reviews and agrees policies for managing each of these risks and these are summarised below. These policies have remained unchanged since the Company commenced operations. CANCARA ASSET SECURITISATION LIMITED 12 Notes to the financial statements (continued) 14 Financial instruments (continued) a) Default risk The Company's exposure to default risk is primarily that the respective Purchasers' assets/loan financing acquired or provided by them using the funding obtained via the Company's Commercial Paper issuance, will default, thereby potentially impairing the ability of the respective purchasers to meet their obligations to the Company under the relevant Commercial Paper Funding Agreement entered into with the Company. This default risk is mitigated through various forms of transaction specific credit enhancement available to the Purchasers. The form of credit enhancement varies from Purchaser to Purchaser depending upon the circumstances but such credit enhancement is determined in conjunction with Standard & Poor's and Moody's Investor Services Limited (the "Rating Agencies"). The Rating Agencies will determine with the Company's advisors that the credit enhancement is in such form and such amount as to ensure that the Commercial Paper issued by the Company achieves A-1+/P-1 rating. In order to mitigate losses, certain triggers are predefined in the Receivable Purchase Agreements between the respective seller and the respective Purchaser and also in the Commercial Paper Funding Agreements between the Purchaser and the Company. These triggers are designed to provide for the early termination of the Receivable Purchase Agreements and/or the Commercial Paper Funding Agreements to avoid and/or limit the potential loss by both the purchasers and the Company. b) Interest Rate Risk The Company finances its operations through the short term borrowings in the US and Euro Commercial Paper markets. At the year-end, all of the Company's borrowings and assets were at floating rates. The financial instruments earn interest based on the funding cost. c) Currency Risk The functional currency of the Company is the US dollar. The Company provides asset securitisation financing to companies operating in OECD countries. These agreements are denominated in the currencies of the customers involved. The Company's policy is to eliminate all currency exposures on transactions through spot and forward currency contracts. As at 31 December 2004, after taking into account the effects of forward foreign exchange contracts the Company had no currency exposures. d) Liquidity Risk Funding has been obtained through the issuance of US dollar and Euro denominated Commercial Paper. The Company has recourse to the assets pledged under the terms of the Commissioning Agreements with the Purchaser entities. There is a liquidity facility to meet any timing gaps between issuing new Commercial Paper and making repayments on maturing Commercial Paper. CANCARA ASSET SECURITISATION LIMITED 13 Notes to the financial statements (continued) 14 Financial instruments (continued) e) Maturity of financial assets and liabilities The maturity profile of the Company's financial assets at 31 December 2004 and 31 December 2003 was as follows:

f) Fair values Set out below is a comparison of book and fair values of the Company's financial assets and liabilities as at 31 December.

The fair values of forward foreign currency contracts have been determined by reference to prices available from the markets on which the instruments involved are traded. All other fair values shown have been calculated by discounting cash flows at prevailing interest rates. CANCARA ASSET SECURITISATION LIMITED 14 Notes to the financial statements (continued) g) Gains and losses on hedges The Company enters into forward foreign currency contracts to eliminate the currency exposures that arise on transactions denominated in foreign currencies immediately at the time of entering into the transaction. Hedges are not recognised in the financial statements until the hedged position matures. 15 Ultimate controlling party The directors regard Bedell Cristin Trustees Limited, in the capacity as trustee of the Cancara Charitable Trust, to be the ultimate controlling party. 16 Related party transactions Corporate administration services are provided to the Company by Bedell SPV Management (Jersey) Limited. The directors of the Company are also directors of Bedell SPV Management (Jersey) Limited, Bedell Cristin Trustees Limited and Bedell Cristin Secretaries Limited. The directors' fees are included in the corporate administration services fee. CANCARA ASSET SECURITISATION LIMITED 15 CANCARA ASSET SECURITISATION LIMITED Financial statements for the period since incorporation to 31 December 2003 Registered number: 84185 Contents Page Directors and advisors 1 Directors' report 2-3 Independent auditors' report 4 Profit and loss account 5 Balance sheet 6 Cash flow statement 7 Notes to the financial statements 8-15 CANCARA ASSET SECURITISATION LIMITED Directors and Advisors DIRECTORS Richard Charles Gerwat Michael Henry Richardson SECRETARY Bedell Cristin Secretaries Limited LAWYERS Bedell Cristin PO Box 75 26 New Street St. Helier Jersey JE4 8PP Channel Islands BANKERS JP Morgan Chase Bank Trinity Tower 9 Thomas Moore Street London E1W 1YT REGISTERED OFFICE 26 New Street St Helier Jersey JE2 3RA AUDITORS Deloitte & Touche LLP Chartered Accountants London 1 CANCARA ASSET SECURITISATION LIMITED Directors' report For the period ended 31 December 2003 The directors have pleasure in presenting their first annual report and the audited financial statements for the period from incorporation on 15 October 2002 to 31 December 2003. PRINCIPAL ACTIVITIES AND REVIEW OF THE BUSINESS The Company is a Jersey limited liability company which was formed on 15 October 2002 and commenced operations on 5 December 2002. The Company is a special purpose vehicle in a conduit programme (the "Programme") sponsored by Lloyds TSB Bank plc. The Company issues European and United States of America Commercial Paper, the proceeds of which are advanced to associated purchaser companies which in turn acquire financial assets, including receivables originated by corporations resident in Organisation for Economic Co-operation and Development countries, either through the purchase of ownership interests in receivables or debt securities or through making secured loans. All advances are collateralised by the purchased assets, or other securities. The Company jointly issues the US$ Commercial Paper with Cancara Asset Securitisation LLC (a subsidiary of the Company) (the "Co-Issuer") under a US Commercial Paper Issuance Agreement pursuant to which the Company agrees to pay the expenses of the Co-Issuer related to the issuance of US$ Commercial Paper and all other expenses incurred in its business. The Co-Issuer does not receive any of the proceeds realised from the offering of the US$ Commercial Paper and does not hold any assets. Shortly after formation, the Company entered into several agreements including an Administration Agreement and a Commissioning Agreement (being the mechanism to fund purchaser companies). Pursuant to the original agreements and subsequent amendments, the Company engaged Lloyds TSB Bank plc to provide administration, structuring, documenting, monitoring and surveillance services. Lloyds TSB Bank plc are compensated as Administrative Agent. Bedell SPV Management (Jersey) Limited provides corporate administration services to the Company pursuant to a Corporate Services Agreement, for which it receives compensation. FUTURE PROSPECTS The Administrative Agent has actively continued to market the Programme and has identified additional business both in respect of receivables as well as the investment in asset backed securities. DIVIDENDS AND TRANSFERS TO RESERVES The directors recommend the payment of a dividend of $1,791. DIRECTORS AND THEIR INTERESTS The following acted as directors in the year: Richard Charles Gerwat(appointed 18 October 2002) Michael Henry Richardson(appointed 18 October 2002) None of the directors holds any interest in the Company. 2 CANCARA ASSET SECURITISATION LIMITED Directors' report (continued) DIRECTORS' RESPONSIBILITIES Companies (Jersey) Law 1991 requires the directors to prepare financial statements for each financial year which give a true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that period. In preparing those financial statements, the directors are required to: - select suitable accounting policies and then apply them consistently; - make judgements and estimates that are reasonable and prudent; - state whether applicable accounting standards have been followed; and - 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 accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the financial statements comply with the Companies (Jersey) Law 1991. They are also responsible for the system of internal control, for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. AUDITORS Deloitte & Touche LLP have expressed their willingness to continue as auditors and a resolution to reappoint them will be proposed at the forthcoming Annual General Meeting. Approved by the Board of Directors and signed on behalf of the Board Authorised signatory Bedell Cristin Secretaries Limited Company Secretary 27 July 2004 3 CANCARA ASSET SECURITISATION LIMITED INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF CANCARA ASSET SECURITISATON LIMITED We have audited the financial statements of Cancara Asset Securitisation Limited for the period from incorporation on 15 October 2002 to 31 December 2003 which comprise the profit and loss account, the balance sheet, the cash flow statement, reconciliation of movement in shareholders' funds and the related notes 1 to 16. These financial statements have been prepared under the accounting policies set out therein. This report is made solely to the Company's members, as a body, in accordance with Article 110 of Companies (Jersey) Law 1991. Our audit work has been undertaken so that we might state to the Company's members those matters we are required to state to them in an auditors' report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company's members as a body, for our audit work, for this report, or for the opinions we have formed. RESPECTIVE RESPONSIBILITIES OF DIRECTORS AND AUDITORS As described in the statement of directors' responsibilities, the Company's directors are responsible for the preparation of the financial statements in accordance with applicable Jersey law and United Kingdom accounting standards. Our responsibility is to audit the financial statements in accordance with relevant Jersey legal and regulatory requirements and United Kingdom auditing standards. We report to you our opinion as to whether the financial statements give a true and fair view and are properly prepared in accordance with the Companies (Jersey) Law 1991. We also report if, in our opinion, the directors' report is not consistent with the financial statements, if the Company has not kept proper accounting records, if we have not received all the information and explanations we require for our audit, or if information specified by law regarding directors' remuneration and transactions with the Company is not disclosed. We read the directors' report and consider the implications for our report if we become aware of any apparent misstatements. BASIS OF AUDIT OPINION We conducted our audit in accordance with United Kingdom auditing standards issued by the Auditing Practices Board. An audit includes examination, on a test basis, of evidence relevant to the amounts and disclosures in the financial statements. It also includes an assessment of the significant estimates and judgements made by the directors in the preparation of the financial statements and of whether the accounting policies are appropriate to the Company's circumstances, consistently applied and adequately disclosed. We planned and performed our audit so as to obtain all the information and explanations which we considered necessary in order to provide us with sufficient evidence to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or other irregularity or error. In forming our opinion, we also evaluated the overall adequacy of the presentation of information in the financial statements. OPINION In our opinion the financial statements give a true and fair view of the state of affairs of the Company as at 31 December 2003 and of the profit of the Company for the period from incorporation on 15 October 2002 to 31 December 2003 and have been properly prepared in accordance with the Companies (Jersey) Law 1991. DELOITTE & TOUCHE LLP Chartered Accountants 27 July 2004 London 4 CANCARA ASSET SECURITISATION LIMITED Profit and loss account For the period ended 31 December 2003 Notes Date of incorporation of 15 October 2002 to 31 December 2003 $'000 TURNOVER - Interest receivable 1 81,436 __________` 81,436 Operating costs - Interest payable (78,609) - Administration expenses (2,943) __________ OPERATING LOSS (116) Other interest 5 118 receivable and similar income 6 __________ PROFIT ON ORDINARY 4 2 ACTIVITIES BEFORE TAXATION Tax on profit on ordinary 1 - activities __________ PROFIT FOR THE FINANCIAL 2 PERIOD Dividends (2) __________ RETAINED PROFIT FOR THE 13 - FINANCIAL PERIOD __________ All of the amounts above are in respect of continuing operations. There are no recognised gains or losses for the current period other than as stated above, therefore a statement of recognised gains and losses has not been presented. The accompanying notes are an integral part of this profit and loss account. 5 CANCARA ASSET SECURITISATION LIMITED Balance sheet As at 31 December 2003 Notes 2003 $'000 CURRENT ASSETS Debtors 6 6,847,956 Cash at bank and in hand 15,302 __________ 6,863,258 __________ CREDITORS: AMOUNTS FALLING DUE WITHIN ONE YEAR Short term funding 7 (6,795,789) Other creditors 8 (67,469) __________ (6,863,258) __________ TOTAL ASSETS LESS CURRENT LIABILITIES - __________ NET ASSETS - __________ Capital and reserves Share capital called-up 12 - Profit and loss account 13 - __________ SHAREHOLDER'S FUNDS: EQUITY INTERESTS - __________ Signed on behalf of the Board ________________ ___________________ Director Director 27 July 2004 The accompanying notes are an integral part of this balance sheet. 6 CANCARA ASSET SECURITISATION LIMITED Cash flow statement For the period ended 31 December 2003 Notes Date of incorporation to 31 December 2003 $'000 NET CASH OUTFLOW FROM OPERATING 9 (6,780,605) ACTIVITIES Returns on investments and servicing 10 118 of finance Capital expenditure and financial 10 - investment Equity dividends paid - __________ CASH OUTFLOW BEFORE FINANCING (6,780,487) __________ Financing 10 6,795,789 __________ INCREASE IN CASH IN THE YEAR 11 15,302 __________ The accompanying notes are an integral part of this cash flow statement. 7 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements For the period ended 31 December 2003 1 ACCOUNTING POLICIES The financial statements of the Company have been prepared under the historical cost convention and in accordance with the provisions of Companies (Jersey) Law 1991, as amended. a)Accounting convention The financial statements have been prepared in accordance with applicable United Kingdom accounting standards and pronouncements of the Urgent Issues Task Force, and in accordance with applicable Jersey law. The particular accounting policies adopted are described below. Based on the terms of the US Commercial Paper Issuance Agreement made between the Company and the Co-Issuer, pursuant to which the Company agrees to pay the expenses of the Co-Issuer related to the issuance of US$ Commercial Paper and all other expenses incurred in its business, the financial statements have been prepared on the basis that the Co-Issuer acts as agent for the Company. The Co-Issuer does not receive any of the proceeds realised from the offering of the US$ Commercial Paper and does not hold any assets. b)Turnover Turnover relates to interest receivable on the advancements to other companies. Turnover is accounted for on an accruals basis. c)Taxation The Company has been granted 'Exempt Company Status' in Jersey and is therefore liable to an annual fee of *600. This is included as an expense in the profit and loss account as it is not dependent on the Company's results. The Company intends to maintain such status for as long as possible pending the introduction of a general zero rate of corporation tax in Jersey. d)Foreign currency translation The functional currency of the Company is the US dollar. Transactions denominated in foreign currencies are translated into US dollars at the exchange rates ruling on the date of the transactions. Monetary and hedged assets and liabilities denominated in foreign currency at the balance sheet date are translated at the rates of exchange ruling at that date or contracted rates where appropriate and movements are recorded in the profit and loss account. e)Advances Advances are initially stated at the amount of funds advanced to borrowers. The carrying amount is increased by the finance costs in respect of the accounting period and reduced by payments made in the period by the borrower. f)Short term borrowings Debt is initially stated at the amount of proceeds. The carrying amount is increased by the finance costs in respect of the accounting period and reduced by payments made in the period. 8 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements (continued) 2 DIRECTORS' EMOLUMENTS None of the directors had any material interest in any contract of significance in relation to the business of the Company and none of the directors received any direct emoluments for their services. 3 EMPLOYEES During the period the Company had no employees. The Company has outsourced the administration of its operations to third parties, on an arms-length basis. 4 PROFIT ON ORDINARY ACTIVITIES BEFORE TAXATION Profit on ordinary activities before taxation is stated after 2003 charging: $'000 Amounts paid to auditors: - audit services 13 - non-audit services - __________ 5 OTHER INTEREST RECEIVABLE AND SIMILAR INCOME 2003 $'000 Bank interest receivable 118 __________ 118 __________ 6 DEBTORS $'000 Debtors - advances to companies 6,783,581 Interest receivable on advances 64,306 Interest receivable on cash balances 49 Prepayments 20 __________ 6,847,956 __________ The advances are provided as security for the obligations arising under the short term borrowings. 9 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements (continued) 7 BORROWINGS $'000 Short term borrowings 6,795,789 __________ 6,795,789 __________ Short term borrowings consist of Commercial Paper notes issued in the US and Euro market. 8 OTHER CREDITORS $'000 Other creditors 67,467 Dividend payable 2 __________ 67,469 __________ 9 RECONCILIATION OF OPERATING LOSS TO NET CASH OUTFLOW FROM OPERATING ACTIVITIES 2002 $'000 Operating loss (118) Increase in debtors (6,847,956) Increase in creditors 67,469 __________ NET CASH OUTFLOW FROM OPERATING ACTIVITIES (6,780,605) __________ 10 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements (continued) 10 ANALYSIS OF CASH FLOWS 2003 $'000 Returns on investments and servicing of finance Interest received 118 __________ NET CASH INFLOW 118 __________ Financing Increase in short term borrowings 6,795,789 __________ NET CASH INFLOW 6,795,789 __________ 11 ANALYSIS AND RECONCILIATION OF NET DEBT 15 October 31 December 2002 Cash flow 2003 $'000 $'000 $'000 Cash in hand and at bank - 15,302 15,302 Debt due within 1 year - (6,795,789) (6,795,789) __________ __________ __________ Net debt - (6,780,487)(6,780,487) __________ __________ __________ 11 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements (continued) 12 CALLED-UP SHARE CAPITAL 2003 $ Authorised 2 ordinary shares of {pound}1 each 3 __________ 3 __________ Allotted, called-up and fully paid 2 ordinary shares of {pound}1 each 3 __________ 3 __________ 13 PROFIT AND LOSS ACCOUNT $'000 As at 15 October 2002 - Retained profit for the period - __________ As at 31 December 2003 - __________ 14 FINANCIAL INSTRUMENTS The Company's financial instruments comprise principally of amounts due from advances to special purchase vehicles, each a "Purchaser" and collectively "Purchasers", who have in turn purchased investments in receivables, asset backed securities and various tranches of floating rate loan notes. Cash, accrued interest income, accrued interest payable and other items arise directly from the Company's operations. It is, and has been throughout the period, the Company's policy that no trading in derivative financial instruments shall be undertaken. The main risks arising from the Company's financial instruments are credit risk, interest rate risk, currency risk and liquidity risk. The Board reviews and agrees policies for managing each of these risks and these are summarised below. These policies have remained unchanged since the Company commenced operations. 12 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements (continued) 14 FINANCIAL INSTRUMENTS (CONTINUED) a) Default risk The Company's exposure to default risk is primarily that the respective Purchasers' assets/loan financing acquired or provided by them using the funding obtained via the Company's Commercial Paper issuance, will default, thereby potentially impairing the ability of the respective purchasers to meet their obligations to the Company under the relevant Commercial Paper Funding Agreement entered into with the Company. This default risk is mitigated through various forms of transaction specific credit enhancement available to the Purchasers. The form of credit enhancement varies from Purchaser to Purchaser depending upon the circumstances but such credit enhancement is determined in conjunction with Standard & Poor's and Moody's Investor Services Limited (the "Rating Agencies"). The Rating Agencies will determine with the Company's advisors that the credit enhancement is in such form and such amount as to ensure that the Commercial Paper issues by the Company achieves A-1+/P-1 rating. In order to mitigate losses, certain triggers are predefined in the Receivable Purchase Agreements between the respective seller and the respective Purchaser and also in the Commercial Paper Funding Agreements between the Purchaser and the Company. These triggers are designed to provide for the early termination of the Receivable Purchase Agreements and/or the Commercial Paper Funding Agreements to avoid and/or limit the potential loss by both the purchasers and the Company. b) Interest Rate Risk The Company finances its operations through the short term borrowings in the US and Euro Commercial Paper markets. At the year-end, all of the Company's borrowings and assets were at floating rates. The financial instruments earn interest based on the funding cost. c) Currency Risk The functional currency of the Company is the US dollar. The Company provides asset securitisation financing to companies operating in OECD countries. These agreements are denominated in the currencies of the customers involved. The Company's policy is to eliminate all currency exposures on transactions through spot and forward currency contracts. As at 31 December 2003, after taking into account the effects of forward foreign exchange contracts the Company had no currency exposures. d) Liquidity Risk Funding has been obtained through the issuance of US dollar and Euro denominated Commercial Paper. The Company has recourse to the assets pledged under the terms of the Commissioning Agreements with the Purchaser entities. There is a liquidity facility to meet any timing gaps between issuing new Commercial Paper and making repayments on maturing Commercial Paper. 13 CANCARA ASSET SECURITISATION LIMITED Notes to the financial statements (continued) - 14 FINANCIAL INSTRUMENTS (CONTINUED) e)Maturity of financial assets and liabilities The maturity profile of the Company's financial assets at 31 December 2003 was as follows: 2003 $'000 In one year or less, or on demand 6,863,258 __________ 6,863,258 __________ The maturity profile of the Company's financial liabilities at 31 December 2003 was as follows: 2003 $'000 In one year or less, or on demand, dependent on cash receipts from 6,863,258 the assets __________ 6,863,258 __________ f) Fair values Set out below is a comparison of book and fair values of the Company's financial assets and liabilities. 2003 ------------------------------- BOOK FAIR VALUE VALUE $'000 $'000 PRIMARY FINANCIAL ASSETS AND LIABILITIES HELD OR ISSUED TO FINANCE THE COMPANY'S OPERATIONS Financial assets 6,863,258 6,863,258 Financial liabilities 6,863,258 6,863,258 DERIVATIVE FINANCIAL INSTRUMENTS HELD TO MANAGE THE CURRENCY PROFILE Forward foreign currency contracts (net) - - The fair values of forward foreign currency contracts have been determined by reference to prices available from the markets on which the instruments involved are traded. All other fair values shown have been calculated by discounting cashflows at prevailing interest rates. 14 CANCARA ASSET SECURITISATION LIMITED f)Gains and losses on hedges The Company enters into forward foreign currency contracts to eliminate the currency exposures that arise on transactions denominated in foreign currencies immediately at the time of entering into the transaction. Hedges are not recognised in the financial statements until the hedged position matures. 15 ULTIMATE CONTROLLING PARTY The directors regard Bedell Cristin Trustees Limited, in the capacity as trustee of the Cancara Charitable Trust, to be the ultimate controlling party. 16 RELATED PARTY TRANSACTIONS Corporate administration services are provided to the Company by Bedell SPV Management (Jersey) Limited. The directors of the Company are also directors of Bedell SPV Management (Jersey) Limited, Bedell Cristin Trustees Limited and Bedell Cristin Secretaries Limited. The directors' fees are included in the corporate administration services fee. 15 CANCARA ASSET SECURITISATION LIMITED CANCARA ASSET SECURITISATION LIMITED Non-Statutory consolidated financial statements for the year ended 31 December 2004 CANCARA ASSET SECURITISATION LIMITED Contents

CANCARA ASSET SECURITISATION LIMITED 1 CANCARA ASSET SECURITISATION LIMITED STATEMENT OF DIRECTORS' RESPONSIBILITIES The directors are required to prepare accounts for the purposes of filing them with the SEC under form 6K by Granite Master Issuer Plc ("GMI") which present fairly the affairs of Cancara Asset Securitisation Limited and subsidiary ("the Group") and of the profit or loss of the Group for that year. In preparing those financial statements, the directors are required to: - select suitable accounting policies and then apply them consistently; - make judgements and estimates that are reasonable and prudent; - state whether applicable accounting standards have been followed; and - 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 accounting records which disclose with reasonable accuracy at any time the financial position of the Company. They are also responsible for the system of internal control, for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. CANCARA ASSET SECURITISATION LIMITED 2 CANCARA ASSET SECURITISATION LIMITED INDEPENDENT AUDITORS REPORT TO THE SHAREHOLDERS OF CANCARA ASSET SECURITISATION LIMITED We have audited the accompanying consolidated balance sheets of Cancara Asset Securitisation Limited and subsidiary as of 31 December 2004 and 2003, and the related consolidated profit and loss accounts and cash flow statements for the years ended 31 December 2004 and 2003. These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the non-statutory financial statements are free of material misstatement. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in all material respects, the financial position of Cancara Asset Securitisation Limited and subsidiary as of 31 December 2004 and 2003, and the results of its operations and its cash flows for the years ended 31 December 2004 and the year ended 31 December 2003 in conformity with accounting principles generally accepted in the United Kingdom. Accounting principles generally accepted in the United Kingdom vary in certain significant respects from accounting principles generally accepted in the United States of America. Information relating to the nature and effect of such differences is presented in Note 18 to the consolidated financial statements. DELOITTE & TOUCHE LLP Chartered Accountants London, England 22 August 2005 CANCARA ASSET SECURITISATION LIMITED 3 CANCARA ASSET SECURITISATION LIMITED Consolidated profit and loss accounts

All of the amounts above are in respect of continuing operations. There are no recognised gains or losses for the current or prior years other than as stated above, therefore statements of recognised gains and losses have not been presented. The accompanying notes are an integral part of these profit and loss accounts. CANCARA ASSET SECURITISATION LIMITED 4 CANCARA ASSET SECURITISATION LIMITED Consolidated balance sheets

The accompanying notes are an integral part of these balance sheets. CANCARA ASSET SECURITISATION LIMITED 5 CANCARA ASSET SECURITISATION LIMITED Consolidated cash flow statements

The accompanying notes are an integral part of these cash flow statements. CANCARA ASSET SECURITISATION LIMITED 6 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements 1 NATURE OF BUSINESS The Company issues European and United States of America Commercial Paper, the proceeds of which are advanced to associated purchaser companies which in turn acquire financial assets, including receivables originated by corporations resident in Organisation for Economic Co-operation and Development countries, either through the purchase of ownership interests in receivables or debt securities or through making secured loans. All advances are collateralised by the purchased assets, or other securities. The Company jointly issues the US$ Commercial Paper with Cancara Asset Securitisation LLC (the sole subsidiary of the Company) (the "Co-Issuer") under a US Commercial Paper Issuance Agreement pursuant to which the Company agrees to pay the expenses of the Co-Issuer related to the issuance of US$ Commercial Paper and all other expenses incurred in its business. The Co-Issuer does not receive any of the proceeds realised from the offering of the US$ Commercial Paper and does not hold any assets. 2 ACCOUNTING POLICIES The non-statutory consolidated financial statements of the Company have been prepared under the historical cost convention. The non-statutory group financial statements consolidate the financial statements of the Company and its sole subsidiary, Cancara Asset Securitisation LLC, made up to 31 December each year under the acquisition method of accounting. The Company was incorporated on 15 October 2002; however, it did not commence funding operations until 15 January 2003. A) ACCOUNTING CONVENTION The non-statutory consolidated financial statements have been prepared in accordance with applicable United Kingdom accounting standards and pronouncements of the Urgent Issues Task Force. The accompanying financial statements of the Company do not comprise "statutory accounts" within the meaning of Companies (Jersey) Law 1991. The Company's statutory accounts for the year ended 31 December 2004 prepared in accordance with UK GAAP have been delivered to the Jersey Financial Services Commission. The particular accounting policies adopted are described below. Based on the terms of the US Commercial Paper Issuance Agreement made between the Company and the Co-Issuer, pursuant to which the Company agrees to pay the expenses of the Co-Issuer related to the issuance of US$ Commercial Paper and all other expenses incurred in its business, the financial statements have been prepared on the basis that the Co-Issuer acts as agent for the Company. The Co-Issuer does not receive any of the proceeds realised from the offering of the US$ Commercial Paper and does not hold any assets. B) TURNOVER Turnover relates to interest receivable on the advancements to other companies. Turnover is accounted for on an accruals basis. C) TAXATION The Company has been granted 'Exempt Company Status' in Jersey and is therefore liable to an annual fee of (pound)600. This is included as an expense in the profit and loss account as it is not dependent on the Company's results. The Company intends to maintain such status for as long as possible pending the introduction of a general zero rate of corporation tax in Jersey. CANCARA ASSET SECURITISATION LIMITED 7 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 2 ACCOUNTING POLICIES (CONTINUED) D) FOREIGN CURRENCY TRANSLATION The functional currency of the Company is the US dollar. Transactions denominated in foreign currencies are translated into US dollars at the exchange rates ruling on the date of the transactions. Monetary and hedged assets and liabilities denominated in foreign currency at the balance sheet date are translated at the rates of exchange ruling at that date or contracted rates where appropriate and movements are recorded in the profit and loss account. E) DERIVATIVE FINANCIAL INSTRUMENTS The Company uses derivative financial instruments to reduce exposure to foreign exchange risk and interest rate movements. The Company does not hold or issue derivative financial instruments for speculative purposes. For a forward foreign exchange contract to be treated as a hedge the instrument must be related to actual foreign currency assets or liabilities or to a probable commitment. It must involve the same currency or similar currencies as the hedged item and must also reduce the risk of foreign currency exchange movements on the Company's operations. Gains and losses arising on these contracts are deferred and recognised in the profit and loss account, or as adjustments to the carrying amount of the fixed assets, only when the hedged position has itself been reflected in the Company's financial statements. For an interest rate swap to be treated as a hedge the instrument must be related to actual assets or liabilities or a probable commitment and must change the nature of the interest rate by converting a fixed rate to a variable rate or vice versa. Interest differentials under these swaps are recognised by adjusting net interest payable over the periods of the contracts. If an instrument ceases to be accounted for as a hedge, for example because the underlying hedged position is eliminated, the instrument is marked to market and any resulting profit or loss recognised at that time. F) ADVANCES Advances are initially stated at the amount of funds advanced to borrowers. The carrying amount is increased by the finance costs in respect of the accounting period and reduced by payments made in the period by the borrower. G) SHORT TERM BORROWINGS Debt is initially stated at the amount of proceeds received. The carrying amount is increased by the finance costs in respect of the accounting period and reduced by payments made in the period. H) USE OF ESTIMATES The preparation of the financial requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3 DIRECTORS' EMOLUMENTS None of the directors had any material interest in any contract of significance in relation to the business of the Company and none of the directors received any direct emoluments for their services in either the current year or prior year. CANCARA ASSET SECURITISATION LIMITED 8 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 4 EMPLOYEES During the current and previous years, the Company had no employees. The Company has outsourced the administration of its operations to third parties, on an arms-length basis. 5 PROFIT ON ORDINARY ACTIVITIES BEFORE TAXATION

6 OTHER INTEREST RECEIVABLE AND SIMILAR INCOME

7 DEBTORS

The advances are provided as security for the obligations arising under the short term borrowings. CANCARA ASSET SECURITISATION LIMITED 9 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 8 BORROWINGS

Short term borrowings consist of Commercial Paper issued in the US and Euro markets. 9 OTHER CREDITORS

10 RECONCILIATION OF OPERATING LOSS TO NET CASH OUTFLOW FROM OPERATING ACTIVITIES

CANCARA ASSET SECURITISATION LIMITED 10 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 11 ANALYSIS OF CASH FLOWS

12 ANALYSIS AND RECONCILIATION OF NET DEBT

CANCARA ASSET SECURITISATION LIMITED 11 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 13 CALLED-UP SHARE CAPITAL

14 PROFIT AND LOSS ACCOUNT

15 FINANCIAL INSTRUMENTS The Company's financial instruments comprise principally of amounts due from advances to special purchase vehicles, each a "Purchaser" and collectively "Purchasers", who have in turn purchased investments in receivables, asset backed securities and various tranches of floating rate loan notes. Cash, accrued interest income, accrued interest payable and other items arise directly from the Company's operations. It is, and has been throughout the year, the Company's policy that no trading in derivative financial instruments shall be undertaken. The main risks arising from the Company's financial instruments are default risk, interest rate risk, currency risk and liquidity risk. The Board reviews and agrees policies for managing each of these risks and these are summarised below. These policies have remained unchanged since the Company commenced operations. CANCARA ASSET SECURITISATION LIMITED 12 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 15 FINANCIAL INSTRUMENTS (CONTINUED) A) DEFAULT RISK The Company's exposure to default risk is primarily that the respective Purchasers' assets/loan financing acquired or provided by them using the funding obtained via the Company's Commercial Paper issuance, will default, thereby potentially impairing the ability of the respective purchasers to meet their obligations to the Company under the relevant Commercial Paper Funding Agreement entered into with the Company. This default risk is mitigated through various forms of transaction specific credit enhancement available to the Purchasers. The form of credit enhancement varies from Purchaser to Purchaser depending upon the circumstances but such credit enhancement is determined in conjunction with Standard & Poor's and Moody's Investor Services Limited (the "Rating Agencies"). The Rating Agencies will determine with the Company's advisors that the credit enhancement is in such form and such amount as to ensure that the Commercial Paper issued by the Company achieves A-1+/P-1 rating. In order to mitigate losses, certain triggers are predefined in the Receivable Purchase Agreements between the respective seller and the respective Purchaser and also in the Commercial Paper Funding Agreements between the Purchaser and the Company. These triggers are designed to provide for the early termination of the Receivable Purchase Agreements and/or the Commercial Paper Funding Agreements to avoid and/or limit the potential loss by both the purchasers and the Company. B) INTEREST RATE RISK The Company finances its operations through the short term borrowings in the US and Euro Commercial Paper markets. At the year-end, all of the Company's borrowings and assets were at floating rates. The financial instruments earn interest based on the funding cost. The Company enters into interest rate swaps in order to hedge its exposure to interest rate risk. C) CURRENCY RISK The functional currency of the Company and the Group is the US dollar. The Company provides asset securitisation financing to companies operating in Organisation for Economic Co-operation and Development ("OECD") countries. These agreements are denominated in the currencies of the customers involved. The Company's policy is to eliminate all currency exposures on transactions through spot and forward currency contracts. As at 31 December 2004, after taking into account the effects of forward foreign exchange contracts the Company had no currency exposures. D) LIQUIDITY RISK Funding has been obtained through the issuance of US dollar and Euro denominated Commercial Paper. The Company has recourse to the assets pledged under the terms of the Commissioning Agreements with the Purchaser entities. There is a liquidity facility to meet any timing gaps between issuing new Commercial Paper and making repayments on maturing Commercial Paper. CANCARA ASSET SECURITISATION LIMITED 13 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 15 FINANCIAL INSTRUMENTS (CONTINUED) E) MATURITY OF FINANCIAL ASSETS AND LIABILITIES The maturity profile of the Company's financial assets at 31 December 2004 and 31 December 2003 was as follows:

The maturity profile of the Company's financial liabilities at 31 December 2004 and 31 December 2003 was as follows:

F) FAIR VALUES Set out below is a comparison of book and fair values of the Company's financial assets and liabilities as at 31 December.

The book and fair values of interest rate swaps and foreign forward currency contracts have been revised since the company's statutory accounts were issued on 4th May 2005. CANCARA ASSET SECURITISATION LIMITED 14 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 15 FINANCIAL INSTRUMENTS (CONTINUED) F) FAIR VALUES (CONTINUED) The fair values of forward foreign currency contracts have been determined by reference to prices available from the markets on which the instruments involved are traded. All other fair values shown have been calculated by discounting cash flows at prevailing interest rates. G) GAINS AND LOSSES ON HEDGES The Company enters into forward foreign currency contracts to eliminate the currency exposures that arise on transactions denominated in foreign currencies immediately at the time of entering into the transaction. The Company also enters into interest rate swaps to eliminate the interest rate risk on transactions. Hedges are recognised when the hedged position itself has been recognised in the financial statements. 16 ULTIMATE CONTROLLING PARTY The directors regard Bedell Cristin Trustees Limited, in the capacity as trustee of the Cancara Charitable Trust, to be the ultimate controlling party. 17 RELATED PARTY TRANSACTIONS Corporate administration services are provided to the Company by Bedell SPV Management (Jersey) Limited. The directors of the Company are also directors of Bedell SPV Management (Jersey) Limited, Bedell Cristin Trustees Limited and Bedell Cristin Secretaries Limited. The directors' fees are included in the corporate administration services fee. 18 DIFFERENCES BETWEEN UK AND US GAAP The Company's financial statements have been prepared in accordance with UK GAAP, which differ in certain significant respects from accounting principles generally accepted in the United States of America ("US GAAP"). The differences which have a significant effect on the consolidated net profit, shareholders' equity and the financial position of the Company are set out below: RECONCILIATION OF NET INCOME

CANCARA ASSET SECURITISATION LIMITED 15 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 18. DIFFERENCES BETWEEN UK AND US GAAP (CONTINUED) RECONCILIATION OF SHAREHOLDERS' EQUITY

The significant differences applicable to the Company's financial statements are summarised below. Derivatives and Hedging Activities Under UK GAAP, the Company has no derivatives classified as trading. Derivatives classified as non-trading are entered into for the purpose of hedging risk from potential movements in foreign exchange rates and interest rates inherent in the company's non-trading assets and liabilities. Non-trading derivatives are accounted for in a manner consistent with the assets or liabilities being hedged. Income and expense on non-trading derivatives are recognised on an accruals basis. Under UK GAAP, the fair value of derivatives treated as hedges is not recorded on the Balance Sheet. Under US GAAP, Statement of Financial Accounting Standard 133, "Accounting for Derivatives Instruments and Hedging Activities", requires that all derivative instruments be designated as hedging an underlying asset or liability on inception in order for hedge accounting to apply. The Company elected not to designate the hedges to an underlying asset or liability. As a result, hedge accounting cannot be applied and thus changes in the fair value of derivatives are recorded each period in current earnings. As a result, the Company recorded an increase in shareholders' equity of $3,201,000 related to foreign forward exchange contracts and an decrease in shareholders' equity of $104,000 for interest rate swaps for the year ended 31 December 2003 with a related gain of $3,201,000 on foreign forward exchange contracts and an expense of $104,000 on interest rate swaps recognised in the profit and loss account. During the year ended 31 December 2004, the Company recorded a loss of $844,000 related to foreign forward exchange contracts and a gain of $151,000 related to interest rate swaps, with a related decrease in shareholders' equity of $693,000. All the Company's hedging contracts are transacted with external parties. Ordinary dividends In the Company's consolidated financial statements, ordinary dividends are provided for in the period in respect of which they are proposed on the basis of the recommendation made by the directors. Under US GAAP, ordinary dividends are not provided for until formally declared. CANCARA ASSET SECURITISATION LIMITED 16 CANCARA ASSET SECURITISATION LIMITED Notes to the consolidated financial statements (continued) 18 DIFFERENCES BETWEEN UK AND US GAAP (CONTINUED) Statement of Cash Flows The net cash flows under UK GAAP are materially consistent with cash flows under US GAAP. However, certain classification differences exist in the presentation of statements of cash flow. Under US GAAP interest received would be regarded as an operating cash flow. Accordingly, operating cash outflows under US GAAP would be $1,657,481,000 in the year ended 31 December 2004 and $6,780,487,000 in the year ended 31 December 2003. Cash inflow from financing activities under US GAAP was $1,644,135,000 in the year ended 31 December 2004 (year ended 31 December 2003 - cash inflow of $6,795,789,000). There was no cash flow from investing activities in the year ended 31 December 2004 (year ended 31 December 2003 - $nil). CANCARA ASSET SECURITISATION LIMITED 17

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