AIFMD ANNUAL REPORT

_________________________________________________________

2020 Annual Report for the purposes of Article 22 AIFMD by

in respect of

Blackstone Loan Financing Limited

(the “Fund” or “Investment Advisor”)

_________________________________________________________

June 2021

DEFINITIONS

1. This section of the Annual Report sets out the meaning of certain defined terms used in thisAnnual Report and makes provisions regarding the interpretation of certain references in the Annual Report. For the purpose of this Annual Report, references to the EU and the EEA should include references to the United Kingdom.

2. In this Annual Report, the following capitalised terms shall have the following meanings,

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unless the context otherwise requires:

(A) “AIF” means an alternative investment fund (or AIF) for the purposes of and as defined in the AIFMD.

(B) “AIFM” means an alternative investment fund manager (or AIFM) for the purposes of and as defined in the AIFMD.

(C) “AIFMD” means Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and such directive as it forms part of the domestic law of the United kingdom.

(D) “Annual Report” means this AIFMD Annual Report.

(E) “Blackstone” has the meaning set forth in Annex 4 hereto.

(F) “Blackstone Senior Management” has the meaning set forth in Annex 4 hereto.

(G) “EEA” means the European Economic Area.

(H) “ESMA Guidelines” has the meaning set forth in Annex 4 hereto.

(I) “EU” means the European Union.

(J) “Fund” means Blackstone Loan Financing Limited.

(K) “ICs” has the meaning set forth in Annex 4 hereto.

(L) “Investment Advisor” means Blackstone Loan Financing Limited.

(M) “Investment Advisor Senior Management” has the meaning set forth in Annex 4 hereto.

(N) “Offering Memorandum” means the prospectus of the Fund in respect of its Shares, as amended, restated or supplemented from time to time.

(O) “Policies” has the meaning set forth in Annex 4 hereto.

(P) “Professional Investor” has the meaning ascribed to it in article 4(1)(AG) of the AIFMD.

(Q) “Regulation” means Commission Delegated Regulation (EU) No 231/2013 of 19 December 2012.

(R) “Reporting Period” means 1 January 2020 through 31 December 2020.

(S) “SMDs” has the meaning set forth in Annex 4 hereto.

IMPORTANT NOTICES TO RECIPIENTS

3. This Annual Report is confidential.

4. This Annual Report is being provided to investors of the Fund and regulatory bodies, as necessary, solely for the purpose of providing disclosures in connection with the requirements

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of the AIFMD. By accepting this Annual Report, you expressly acknowledge that the accounting and certain other information contained in this Annual Report is as of 31 December2020 unless otherwise indicated and that more recent information, including performance data, is available and has been provided by the AIFM to the investors of the Fund and that other material changes with respect to the Fund and its investments may not be reflected in this Annual Report. The delivery of this Annual Report does not under any circumstances create an assumption that the information presented herein is correct as of any time subsequent to 31 December 2020. This Annual Report is not, and may not be relied upon in any manner as, legal, tax, financial or investment advice or as an offer to sell or a solicitation of an offer to buy any security, product or service or to provide investment advice. This Annual Report does not purport to contain all of the information that may be required to evaluate an investment in the Fund and each recipient is urged to consult its tax, legal, financial, accounting and other advisors about the matters discussed herein. Any investment performance information contained in this Annual Report is presented for informational purposes only and is not indicative of future results. Due to various risks and uncertainties, actual events or results and the actual performance of the Fund may differ materially from those reflected or contemplated herein. It should not be assumed that the specific investments identified and discussed herein were or will be profitable or that any investments made in the future will equal the performance of the investments identified herein. No guarantee of investment performance is being provided and no inference to the contrary should be made. There can be no assurance that the Fund will be able to obtain comparable returns, be able to implement its investment strategy, achieve its investment objective or avoid substantial losses.

DISCLOSURE OBLIGATION

5. The Investment Advisor is the alternative investment fund manager of the Fund for the purposes of the AIFMD and is a non-EU AIFM. Article 42 of the AIFMD allows member states to permit a non-EU AIFM to market the Fund to Professional Investors in that member state subject to compliance with, amongst others, the requirement to make available an annual report containing the information in Article 22 and, if applicable, the disclosures required under Article 29. As a consequence of its marketing activities within certain jurisdictions of the EEA, the Investment Advisor is required to make this Annual Report available to (i)investors in the Fund who are domiciled in such jurisdictions upon request, and (ii) the competent authorities of certain member states where the Fund has been marketed, no later than six (6) months following the end of the Fund’s financial year.

SUBSTANCE OF DISCLOSURES REQUIREMENTS

6. As a non-EU AIFM, the Investment Advisor is only required to comply with limited provisions of the AIFMD. Save where a member state has imposed requirements additional to those of Article 42 of the AIFMD, the Investment Advisor is not subject to some of the AIFMD’s detailed requirements relating to, e.g., operating and organisational requirements relating to capital, indemnity insurance, remuneration, conflicts, risk management, liquidity management, investment in securitisation positions, human and technical resources, valuation, and delegation. Certain disclosures required under Article 22 and certain periodic disclosures required under Article 23 specifically relate to the subject matter of these other requirements, in particular, remuneration, risk management, and liquidity management. In the interests of providing “materially relevant, reliable, comparable and clear information”, the Investment Advisor has in certain instances addressed the substance of the relevant disclosure requirement based on its own procedures and policies, where applicable.

INTERPRETATION

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7. References to statutory provisions, regulations, notices or the AIFMD includes those provisions, regulations, notices or the AIFMD as amended, extended, consolidated, substituted, re-issued or re-enacted from time to time.

8. Unless the context otherwise requires and except as varied or otherwise specified in this Annual Report, words and expressions contained in this Annual Report shall bear the same meaning as in the Offering Memorandum; provided that, if there is any conflict between words defined in this Annual Report and the Offering Memorandum, this Annual Report shall prevail.

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AIFMD ANNUAL REPORT

The following information has been included in this Annual Report in order to comply with the obligations set out in the AIFMD and the Regulation.

AIFMD Reference

Information Requirement Required Disclosure

Article 22.2 (a)

Balance sheet or statement of assets and liabilities

Please see Annex 1 for disclosure of the balance sheet / statement of assets and liabilities of the Fund.

Article 22.2 (b)

Income and expenditure account Please see Annex 1 for disclosure of the Fund’s income and expenditure account.

Article 22.2 (c)

Report on activities for the financial year

Please see Annex 2 setting out the report on the activities for the Fund for the period through 31 December 2020.

Article 22.2(d)

Any material changes in the information listed in Article 23 during the financial year

Please see Annex 3 for disclosure on the material changes in the information listed in Article 23 during the financial year.

Article 22.2(e)

The total amount of remuneration for the financial year split into fixed and variable remuneration, paid by the AIFM to its staff and number of beneficiaries and, where relevant, carried interest paid by the AIF

Please see Annex 4 for the remuneration disclosures.

Article 22.2(f)

The aggregate amount of remuneration broken down by senior management and members of staff of the AIFM and Investment Advisor whose actions have a material impact on the risk profile of the AIF

Please see Annex 4 for the remuneration disclosures.

Article 29 Specific provisions regarding the annual report of non-listed companies established in the EEA of which the Fund has acquired control

Please see Annex 5 for the Article 29 disclosures.

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ANNEX 1

AIF AUDITED FINANCIAL STATEMENTS FOR THE FINANCIAL YEAR ENDING 31 DECEMBER 2020

1. Please see Appendix 1 for the Fund’s audited financial statements and Independent Auditors’ Report for the financial year ended 31 December 2020.

2. Please see page 66 of the Fund’s audited financial statements for a balance sheet / statement of assets and liabilities of the Fund as at the end of the Reporting Period.

3. Please see page 67 of the Fund’s audited financial statements for the income and expenditure for the Reporting Period.

Realized/Unrealized Gains/Losses

4. Please see Note 6 on page 77 of the Fund’s audited financial statements for realized gains, realized losses, unrealized gains and unrealized losses for the Fund for the Reporting Period.

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ANNEX 2

REPORT ON THE ACTIVITIES OF THE FINANCIAL YEAR

Activities of the Financial Year

1. This section of the Annual Report sets out a report on the activities of the Fund for the Reporting Period. This report is prepared as at the end of the Reporting Period.

Investment Activities

2. In overview, the Fund engaged in the following key investment activities during the Reporting Period:

The Fund’s investment objective is to provide shareholders with stable and growing income returns and to grow the capital value of the investment portfolio by exposure to floating rate senior secured loans and bonds directly and indirectly through securities in collateralised loan obligation transactions (“CLOs” and such securities, “CLO Securities”) and investments in special purpose vehicles incorporated for the purpose of warehousing senior secured loans and/or bonds (“Loan Warehouses”). The Fund seeks to achieve its investment objective through exposure (directly or indirectly) to one or more companies or entities established from time to time to, among other things, directly or indirectly purchase, hold, and/or provide funding for the purchase of CLO Securities (each, an “Underlying Company”). The Fund is an investment company providing investors with exposure to a loan investment company, Blackstone Corporate Funding Designated Activity Company (“BCF”).

The Fund’s investment policy is to invest (directly, or indirectly through one or more Underlying Companies) in a diverse portfolio of senior secured loans (including broadly syndicated, middle market or other loans, with such investments being made by the Underlying Companies directly or through investments in Loan Warehouses), bonds and CLO Securities, and generate attractive risk-adjusted returns from such portfolios. The Fund intends to pursue its investment policy by investing through one or more subsidiaries in profit participating instruments or similar securities issued by one or more Underlying Companies.

Each Underlying Company will use the proceeds from the issue of the profit participating instruments or similar securities, together with the proceeds from other funding or financing arrangements it has in place currently or may have in the future, to invest in: (i) senior secured loans, bonds, CLO Securities and Loan Warehouses; or (ii) other Underlying Companies which, themselves, invest in senior secured loans, bonds, CLO Securities and Loan Warehouses. The Underlying Companies may invest in European or U.S. senior secured loans, bonds, CLO Securities, Loan Warehouses and other assets in accordance with the investment policy of the Underlying Companies. Investments in Loan Warehouses, which are generally expected to be subordinated to senior financing provided by third party banks, will typically be in the form of an obligation to purchase preference shares or a subordinated loan.

There is no limit on the maximum U.S. or European exposure. The Underlying Companies are not expected to invest substantially directly in senior secured loans or bonds domiciled outside North America or Western Europe.

In 2020, the Fund focused on the objectives and strategy outlined previously.

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In recognition of a credit cycle that extended well beyond the average cycle, we had been proactively reducing risk within the loan portfolios in the years leading up to 2020. As such, the BCF CLOs were well positioned for the unexpected dislocation related to the economic shutdowns due to COVID-19 and demonstrated greater resilience relative to the broader universe of CLOs both in the US and in Europe(1). BCF CLOs experienced lower CCC exposures and fewer CLO tranche downgrades versus peers in 2020. All 45 BCF CLO equity positions continued to receive uninterrupted cash flows, with none of the BCF CLOs experiencing a breach in either their minimum OC or interest diversion tests during the year.

Performance of Blackstone managed CLOs was broadly recognised by the market in 2020(2).Blackstone was able to access the capital markets and reopen the CLO market with the first new CLO issuance after the market had been shut for several weeks in the first quarter. Additionally, in 2020, as CLO debt investors re-engaged in the CLO market, they recognised and compensated for superior portfolio quality and manager performance with lower cost of CLO liabilities.

Throughout 2020, BCF purchased €6.8 billion of assets (€3.9 billion net of sales).

Additionally, BCF grew its CLO portfolio, through investments in four European CLOs, and four US CLOs, together representing €2.9 billion of loan assets. BCF also invested in $32.1 million in a US CLO warehouse, a portion of which was termed out into a CLO during the year. These new CLOs further diversified the portfolio across vintages and while their reinvestment periods were zero to three years and shorter than the four-to-five-year reinvestment periods of prior years, the addition of new CLOs to the portfolio helped to offset the effect of the passage of time within the existing the CLO portfolio. Overall, the pro-forma year end portfolio reinvestment period was 1.9 years versus 2.6 years in January 2020.

Through its investment in BCF, BGLF took advantage of improved liquidity and equity valuations in the market and sold down certain positions in which the holding quantities were in excess of required retention or majority level. These market transactions demonstrated a depth of demand for the positions sold, with executed prices that exceeded modelled marks, as well as mark-to-market bid prices. We believe this strong execution was in part due to scarcity of Blackstone CLO equity, as well as in recognition of expected future performance. We view the successful sale of the excess CLO positions as a validation of the mark-to-model valuation used by BCF.

As the impact of COVID-19 on the global economy became apparent in early 2020, our analyst team engaged with management of our borrowers and sponsors in an effort to re-underwrite the risk across our loan portfolio and better understand the economic impact of the pandemic on our borrowers, as well as the risk of potential downgrade and default. These views were then utilised to help forecast for each CLO, the potential failures of interest diversion or OC tests in order to determine the potential for CLO equity cash flow disruptions,

(1) Demonstrated by the BCF portfolio recorded a loss rate below that of both US and European loans as measured by Credit Suisse (2) Demonstrated by demand for BXC CLO Equity positions sold during the year and pricing achieved on new issue CLOs.

9

if any. This analysis has continued to be updated each quarter and provides guidance on projected net income available to BGLF.

Importantly, because every CLO owned within this strategy is also managed by Blackstone Credit, we have underwritten in detail every loan to which each CLO is exposed. This, in conjunction with our team and proprietary tools, allows us to conduct the type of bottom’s up analysis which differentiates BGLF relative to peer funds. This analysis is a critical component of our investment process, and as a result, is one of our core competencies. While individual company analysis is clearly central to what we do, aggregating this into a portfolio view and then a CLO view is central to our day-to-day CLO management process.

We continue to focus on liability management and while 2020 did not afford many opportunities to refinance liabilities or extend maturities, as we look ahead, we find the portfolio well positioned to take advantage of the current technical strength in the CLO liability market. So far in 2021, there has been a steady volume of CLO refinancings and resets of all vintages. Within our portfolio, we continue to actively evaluate each CLO that is callable in this calendar year and anticipate a busy year of CLO activity including new issues and refinancings and resets where accretive to do so. As it relates to liability management, we are focused on improving the portfolio net interest margins in the near term and ensure that the structures provide for sufficient flexibility in portfolio and risk management over the longer term.

Portfolio

3. In overview, the Fund’s portfolio as at the end of the Reporting Period comprised the following investments:

As of 31 December 2020, 41% of BCF’s portfolio was composed of US CLO Income Notes (the most subordinated tranche of debt issued by a CLO) and CLO warehouses (first loss positions), compared to 45% in December 2019. European CLO Income Notes increased to 41% from 36% at the end of 2019. Exposure to directly held loans, net of leverage, reduced from 19% to 13%(3).

Performance

4. During the Reporting Period the Fund delivered an International Financial Reporting Standards (“IFRS”) NAV total return per Ordinary share of 8.85% in 2020, ending the year at €0.8557 per share. This return was composed of 9.11% from dividend income and -0.26% from net portfolio movement.

On a Published NAV basis, the Fund delivered a total return per Ordinary share of -0.22% in 2020, ending the year at €0.8435 per share. This return was composed of 8.63% from dividend income and -8.85% from net portfolio movement.

(3) Portfolio percentages are based on BCF NAV as of 31 December 2020.

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The Fund’s performance was impacted by actual and expected downgrade stresses arising from the onset of COVID-19 on the global economy in the first quarter, before largely recovering in the second half of the year.

The NAV is influenced by both the actual performance of loans and CLOs as well as by forward views and assumptions for credit performance. Loans performed throughout the year and the default loss rate for the portfolio was 0.08%, compared to 0.48% for European Loans and 2.46% for US loans(4). Following the initial dislocation in the broader markets in March, swift response by governments with fiscal stimulus provided an ample injection of liquidity to financial markets, which in turn had the effect of positively shifting the market sentiment and outlook for credit with each subsequent quarter. These factors supported a continued improvement in the NAV and by year end, while the NAV had not fully recovered to pre-COVID levels, the outlook remains positive both for further recovery.

CLOs continued to generate positive cashflow in BCF during 2020 albeit net income declined year-over-year due in part to a second quarter LIBOR mismatch experienced in the US CLOs which was subsequently corrected by the third quarter. The weighted average annualised cash-on-cash distribution rates for European and US CLO income notes was 15.6% and 17.1%, respectively, with strong contributions across vintages.

An explanation of the difference between the IFRS NAV and the published NAV is included on page 5 of the Fund’s Annual Report and Audited Financial Statements for the year ended 31 December 2020.

Past performance is not necessarily indicative of future results, and there can be no assurance that the Fund will achieve comparable results, will meet its target returns, achieve its investment objectives, or be able to implement its investment strategy.

Principal Risks and Uncertainties

5. The principal risks and investment or economic uncertainties that may be faced by the Fundare as follows:

Please refer to “Section VIII – Certain Risk Factors” of the Prospectus, Part 2A of the Investment Manager’s Form ADV on file with the U.S. Securities and Exchange Commission and pages 32 to 35 and pages 83 to 103 of the Annual Report and Audited Financial Statements of the Fund for a statement of risk factors associated with the Fund.

The Investment Advisor’s Form ADV is available at the SEC’s website www.adviserinfo.sec.gov (click on the link “Investment Adviser Search”, select “Investment Adviser Firm” and type in “Blackstone Ireland Limited”).

(4) Source: Credit Suisse, as of 31 December 2020.

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ANNEX 3

MATERIAL CHANGES TO ARTICLE 23 DISCLOSURES

Material Changes

1. Please note that no material changes have been made to the information disclosed to investors pursuant to Article 23 AIFMD as included in the Offering Memorandum for the Fund.

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ANNEX 4 – REMUNERATION DISCLOSURE

Remuneration – Procedures and Practices

1. The Investment Advisor is not subject to the requirements in the AIFMD that would require it, among other things, to implement and apply a remuneration policy that is compliant with Article 13 of the AIFMD (including Annex II) or the ESMA Guidelines on sound remuneration policies (ESMA/2013/232) (the “ESMA Guidelines”) (but is required in thosejurisdictions where the Fund has been notified under Article 42 of the AIFMD to comply withSection XIII of the ESMA Guidelines for these purposes). The description below of remuneration attributable to the Fund during the Reporting Period is therefore not representative of information compiled by the Investment Advisor for its own internal management purposes, has not been audited, and has not been prepared on the basis of a set of compensation policies and procedures that would be required were the Investment Advisor otherwise subject to Article 13 of the AIFMD.

2. The Investment Advisor is subject to the remuneration policies and practices (the “Policies”) of The Blackstone Group Inc. (“Blackstone”). The staff included in the aggregate figures disclosed below are rewarded in line with the Policies.

3. Blackstone uses financial measures as a basis for compensation decisions across its businesses. Relevant senior management of Blackstone (the “Blackstone Senior Management”) make operating decisions and assess the performance of each of Blackstone’s business segments based on financial and operating metrics. Such Blackstone Senior Management would include the global heads of the businesses as well as the CEO and the COO of Blackstone. The Blackstone Senior Management ensure that compensation decisions are consistently taken across Blackstone, with consideration for the overall risk profile and appetite of Blackstone.

4. The Policies reflect Blackstone’s ethos of good governance and encapsulates the following principal objectives:

- Remuneration is comprised of fixed and variable elements, as described below, with a level of total reward that is competitive within Blackstone’s peers;

- Variable performance-driven compensation must be closely aligned with the principles of Blackstone, supportive of Blackstone’s strategy and must not incentivise inappropriate risk taking.

5. The Policies apply to staff globally. While Blackstone Senior Management is involved in determining and implementing the Policies, no individual is involved in setting his or her own remuneration.

6. The Investment Advisor classifies as Investment Advisor Senior Management:

- The Direct Owners and Executive Officers who appear on Part 1 of Schedule A of the Investment Advisor’s Form ADV;

- Senior Managing Directors (“SMDs”) and risk related C-suite roles (i.e., Chief Investment Officer, Chief Financial Officer, General Counsel and Chief Operating Officer of business unit); and

- Chief Compliance Officer.

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The Investment Advisor classifies as other risk takers:

- Members of investment committees (“ICs”) who are not SMDs (if any);- Heads of Institutional Client Solutions; and- Professionals (other than SMDs or IC members) with independent investment approval

authority (i.e. which is not subject to prior approval of an SMD or IC/IC member).

7. Blackstone assesses various risk factors which it is exposed to when considering and implementing remuneration for staff and considers whether any potential award would give rise to a conflict of interest. Mechanisms are in place to ensure that remuneration does not reward failure, whether on the early termination of a contract or otherwise. Where awards of carried interest and incentive payments are made, these are inherently risk-adjusted given that they are directly tied to the performance of investments or portfolios. In some cases, these payments are subject to a clawback obligation in the event of subsequent underperformance.

8. Blackstone operates an annual total compensation process dependent on individual and business performance, taking into account financial and non-financial criteria. This includes the performance of Blackstone as a whole, performance of each business unit within Blackstone - which would include regional businesses - as well as the individual’s performance. The individual’s performance is evaluated through an annual comprehensive performance management process known as “360”. The “360” performance process provides an evaluation of an individual’s performance based on feedback from peers, managers and subordinates and assesses individuals quantitatively and qualitatively on a wide range of criteria including skills, values, collaboration and leadership. An individual’s performance is also compared to agreed objectives and contribution to business strategy. The results of the performance evaluation process are used to produce total compensation recommendations for each individual which are subject to the review and approval by the Blackstone Senior Management. An individual’s compensation is designed to align employee incentives with theinterests of Blackstone’s clients, shareholders and business strategy. Total compensation payable to an individual, including determination of awards, is based on an assessment of a sustainable and risk adjusted performance of the business and applicable business risks from time to time. Bonus deferral awards are a deferred component of year-end discretionary bonus awards, if awarded. These awards are intended to encourage retention, align the recipient to the performance of Blackstone globally and incentivise long-term financial performance. Special equity awards are a retention tool/long term incentive plan for select individuals who demonstrate exceptional performance, and are subject to a vesting schedule weighted to encourage retention. Carried interest and incentive payment participation is generally reserved for most investment professionals who may significantly influence the performance of investments made by the funds managed by Blackstone.

9. The Investment Advisor has adopted a methodology for the purposes of determining, or allocating, the remuneration paid that can be reasonably attributed to the services provided by the Investment Advisor to the AIFM in relation to the Fund.

10. The disclosure below reflects the proportion of the total remuneration of the staff of the Investment Advisor attributable to the Fund only. For these purposes, the total remuneration attributable to the activities of the Investment Advisor has been allocated to each fund under management in proportion to the assets under management of each applicable fund, hence the figures included below are an approximation only. While the Investment Advisor believes that the information and the sources used are reliable for the purposes of this Annual Report, it

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should be specifically noted that the remuneration information presented herein is subject to the “Important Notices to Recipients” set out above.

Remuneration – amount of remuneration paid

For the Investment Advisor

The remuneration paid by the Investment Advisor to its staff in respect of the Reporting Period (as attributable to the Fund in accordance with the methodology described above is as follows):

Total remuneration of Investment Advisor staff

Total fixed remuneration

Total variable remuneration

Number of beneficiaries

Carried interest realized during the

Reporting Period included with the total

variable remuneration specified above

Total remuneration paid to the Investment Advisor Senior Management

Total remuneration paid to staff whose

actions have a material impact on the risk

profile of the Fund

USD 886,224

USD 241,903

USD 644,320

476

USD 66,998

USD 397,029

USD 397,029

ANNEX 5

Disclosure obligations under Article 29 of the AIFMD

With respect to the disclosure obligations under Article 29 of the AIFMD, the Fund has not acquired control of any non-listed company established in the EEA.

APPENDIX 1

Financial Statements

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rge

t ra

te

of

cen

tral

ban

ks.

All

thre

e o

f th

ese

ass

um

pti

on

s ar

e le

ss t

han

ce

rtai

n

an

d t

he

infl

atio

n a

ssu

mp

tio

n n

ow

loo

kin

g p

arti

cula

rly

su

spe

ct.

Un

til

(5)

So

urc

e: I

MF,

as

of

Jan

ua

ry 2

02

1

(6)

Th

e d

isco

un

t h

as

be

en

ca

lcu

late

d w

ith

re

fere

nc

e t

o t

he

Pu

blis

he

d N

AV

pe

rta

inin

g t

o t

he

re

po

rtin

g p

eri

od

s e

nd

ing

ea

ch

mo

nth

en

d d

ate

(7)

Re

pre

sen

ts t

he

BG

LF

Eu

ro s

ha

re p

ric

e

rece

ntl

y in

ve

sto

rs d

ism

isse

d t

he

ide

a o

f a

rap

id r

eco

ve

ry, b

elie

vin

g

that

th

e r

ece

ssio

n le

d t

o s

ign

ific

ant

scar

rin

g a

nd

a r

etu

rn t

o n

orm

alit

y

wo

uld

ta

ke t

ime

. Th

e p

ace

of

the

re

cov

ery

ha

s th

ere

fore

ta

ken

ma

rke

t p

arti

cip

an

ts b

y s

urp

rise

. As

de

ma

nd

su

rge

s, in

flat

ion

ary

pre

ssu

res

will

ris

e a

nd

leav

e p

olic

y m

ake

rs in

th

e u

ne

nv

iab

le

po

siti

on

of

ba

lan

cin

g in

fla

tio

n a

nd

th

e e

con

om

ic r

eco

ve

ry.

Dis

co

un

t M

an

ag

em

en

t

Th

e s

har

e p

rice

dis

cou

nt

to P

ub

lish

ed

NA

V w

as in

th

e r

an

ge

8.8

1%(6

)

to 3

6.7

1%(6

) an

d a

vera

ge

d 2

1.9

1%(6

) th

rou

gh

ou

t 2

02

0 a

nd

en

de

d t

he

ye

ar t

rad

ing

at

a d

isco

un

t o

f 2

0.5

7%

(6) (

ve

rsu

s d

isco

un

t o

f 10

.20

%

at 2

019

ye

ar-

en

d).

Th

is w

as

mai

nly

du

e t

o t

he

mar

ket

un

cert

ain

ty

bro

ug

ht

ab

ou

t b

y t

he

CO

VID

-19

pa

nd

em

ic. A

s a

Bo

ard

, we

re

gu

larl

y

we

igh

th

e b

ala

nce

be

twe

en

ma

inta

inin

g li

qu

idit

y o

f th

e s

ha

res,

the

sta

bili

ty o

f an

y d

isco

un

t, a

nd

th

e d

esi

re o

f S

ha

reh

old

ers

to

se

e

the

Ord

ina

ry S

ha

res

tra

de

as

clo

sely

as

po

ssib

le t

o t

he

ir in

trin

sic

val

ue

(7) . D

uri

ng

20

20

, th

e C

om

pa

ny

re

pu

rch

ase

d 3

,49

8,5

07

sh

are

s

for

€2

,118

,74

9 a

t a

n a

ve

rag

e d

isco

un

t o

f 2

5.1

8%

usi

ng

av

aila

ble

cash

wit

h t

he

go

al o

f re

du

cin

g t

he

dis

cou

nt.

Fro

m 1

Jan

ua

ry 2

02

1 to

28

Ap

ril 2

02

1, t

he

Co

mp

any

fu

rth

er

rep

urc

ha

sed

12

5,0

00

sh

are

s

for

€8

1,2

50

at

an

av

era

ge

dis

cou

nt

of

23

.02

%. A

s o

f 2

8 A

pri

l 20

21,

the

sh

are

pri

ce d

isco

un

t to

Pu

blis

he

d N

AV

wa

s 8

.17

%.

Bla

ckst

on

e L

oa

n F

ina

nci

ng

C S

ha

re U

pd

ate

On

7 J

an

uar

y 2

02

0, t

he

co

nv

ers

ion

of

the

BG

LF

C s

ha

res

into

Ord

ina

ry s

ha

res

wa

s co

mp

lete

d. T

he

inte

nti

on

to

un

de

rtak

e t

his

con

ve

rsio

n w

as a

nn

ou

nce

d b

y B

GL

F o

n 2

4 O

cto

be

r 2

019

, fo

llow

ing

the

inv

est

me

nt

of

€6

2.6

mill

ion

into

BC

F w

ith

pro

cee

ds

fro

m t

he

sale

of

rele

va

nt

asse

ts a

cqu

ire

d u

nd

er

the

C S

har

e r

ollo

ve

r p

roce

ss,

wh

ich

re

pre

sen

ted

85

.8%

(8

7.3

% in

clu

din

g c

ash

) o

f th

e v

alu

e o

f

ass

ets

in t

he

C s

ha

re p

oo

l. T

he

Co

nv

ers

ion

Rat

io w

as

ba

sed

on

th

e

ne

t a

sse

ts a

ttri

bu

tab

le t

o t

he

Ord

ina

ry S

har

es

and

C S

ha

res

as

at

clo

se o

f b

usi

ne

ss o

n 2

9 N

ov

em

be

r 2

019

.

Bre

xit

Up

da

te

Th

e B

oar

d c

lose

ly m

on

ito

red

th

e B

rex

it t

rad

e d

eal

ne

go

tia

tio

ns

du

rin

g 2

02

0, w

hic

h c

ulm

ina

ted

wit

h a

de

al b

ein

g f

ina

lise

d o

n

30

De

cem

be

r 2

02

0. T

he

po

ten

tia

l im

plic

ati

on

s o

f a

�ha

rd B

rex

it�

as

a r

esu

lt o

f n

o t

rad

e d

ea

l be

ing

ag

ree

d b

efo

re t

he

ye

ar e

nd

de

ad

line

to B

GL

F w

as

ev

alu

ate

d a

cro

ss it

s se

rvic

e p

rov

ide

rs, i

ncl

ud

ing

are

as

such

as

hu

man

re

sou

rce

s, c

ou

nte

rpa

rty

re

lati

on

ship

s, s

up

ply

ch

ain

s,

ma

cro

eco

no

mic

, an

d r

eg

ula

tory

po

licy,

as

we

ll a

s w

ith

re

ga

rds

to

its

mar

keti

ng

re

gis

tra

tio

ns,

an

d w

as d

ee

me

d t

o h

av

e a

ne

glig

ible

imp

ac

t o

n t

he

lon

g-t

erm

su

sta

ina

bili

ty o

f th

e C

om

pan

y.

Ch

air

’s

Sta

tem

en

t

(4)

Pa

st p

erf

orm

an

ce

is n

ot

ne

ce

ssa

rily

ind

ica

tiv

e o

f fu

ture

re

sult

s, a

nd

th

ere

ca

n b

e n

o a

ssu

ran

ce

th

at

the

Co

mp

an

y w

ill a

ch

iev

e c

om

pa

rab

le r

esu

lts,

will

me

et

its

targ

et

retu

rns,

ac

hie

ve

its

inv

est

me

nt

ob

jec

tiv

es,

or

be

ab

le t

o im

ple

me

nt

its

inv

est

me

nt

stra

teg

y

Co

mp

an

y R

etu

rns

an

d N

et

Ass

et

Va

lue

(4)

Th

e C

om

pa

ny

de

live

red

an

IFR

S N

AV

to

tal r

etu

rn p

er

Ord

ina

ry S

ha

re o

f 8

.85

% in

20

20

((18

.31)

% in

20

19),

en

din

g t

he

ye

ar

at

€0

.85

57

pe

r sh

are

(€

0.8

54

3 a

t 3

1 D

ece

mb

er

20

19).

Th

is r

etu

rn w

as c

om

po

sed

of

9.1

1% f

rom

div

ide

nd

s an

d (0

.26

)% f

rom

ne

t p

ort

folio

mo

vem

en

t.

On

a P

ub

lish

ed

NA

V b

asi

s, t

he

Co

mp

an

y d

eliv

ere

d a

to

tal r

etu

rn p

er

Ord

ina

ry S

har

e o

f

(0.2

2)%

in 2

02

0 (

14.4

6%

in 2

019

), e

nd

ing

th

e y

ea

r at

€0

.84

35

pe

r sh

are

(€

0.9

187

at

31

De

cem

be

r 2

019

). T

his

re

turn

was

co

mp

ose

d o

f 8

.63

% f

rom

div

ide

nd

s an

d (

8.8

5)%

fro

m n

et

po

rtfo

lio m

ov

em

en

t.

Th

e C

om

pa

ny

�s p

erf

orm

an

ce w

as

imp

ac

ted

by

act

ua

l an

d e

xpe

cte

d d

ow

ng

rad

e s

tre

sse

s

ari

sin

g f

rom

th

e o

nse

t o

f C

OV

ID-1

9 o

n t

he

glo

bal

eco

no

my

in t

he

fir

st q

ua

rte

r, b

efo

re

larg

ely

re

cov

eri

ng

in t

he

se

con

d h

alf

of

the

ye

ar.

An

ex

pla

na

tio

n o

f th

e d

iffe

ren

ce b

etw

ee

n t

he

IFR

S N

AV

an

d t

he

Pu

blis

he

d N

AV

is

incl

ud

ed

on

pa

ge

5.

On

23

Ap

ril 2

02

0, t

he

Bo

ard

an

no

un

ced

th

at t

he

Co

mp

any

ha

d a

do

pte

d a

re

vis

ed

20

20

div

ide

nd

po

licy

ta

rge

tin

g a

to

tal a

nn

ua

l div

ide

nd

of

be

twe

en

€0

.06

an

d €

0.0

7 p

er

Ord

ina

ry S

har

e, u

ltim

ate

ly a

chie

vin

g t

he

to

p e

nd

of

this

ta

rge

t ra

ng

e. T

he

po

licy

was

rev

ise

d d

ow

nw

ard

s to

pre

pa

re f

or

po

ten

tia

l lo

sse

s a

nd

re

du

cti

on

in e

xp

ec

ted

ca

sh f

low

s

fro

m t

he

un

de

rly

ing

CL

Os

as

a r

esu

lt o

f th

e im

pa

ct o

f C

OV

ID-1

9. T

he

Co

mp

an

y d

ecl

are

d

fou

r d

ivid

en

ds

in r

esp

ect

of

the

ye

ar

en

de

d 3

1 D

ece

mb

er

20

20

, to

talli

ng

€0

.07

pe

r sh

are

.

De

tails

of

all d

ivid

en

d p

ay

me

nts

ca

n b

e f

ou

nd

wit

hin

th

e D

ivid

en

d H

isto

ry s

ec

tio

n a

t th

e

fro

nt

of

this

An

nu

al R

ep

ort

.

His

tori

cal B

GL

F N

AV

an

d S

ha

re P

rice

Th

e g

rap

h s

ho

ws

cum

ula

tiv

e P

ub

lish

ed

NA

V a

nd

Ord

ina

ry S

har

e p

rice

to

tal r

etu

rns

and

cum

ula

tive

re

turn

s o

n E

uro

pe

an a

nd

US

loan

s.

-20

%

-10

%

0%

10%

20

%

30

%

40

%

50

%

60

%

Au

g 1

4F

eb

15

Au

g 1

5F

eb

16

Au

g 1

6F

eb

17

Au

g 1

7F

eb

18

Au

g 1

8Fe

b 1

9A

ug

19

20

20

AN

NU

AL

RE

PO

RT

| B

LA

CK

ST

ON

E L

OA

N F

INA

NC

ING

LIM

ITE

D8

ST

RA

Te

gIC

Re

Po

RT

: C

hA

IR'S

ST

AT

em

eN

TS

TR

AT

eg

IC R

eP

oR

T:

Ch

AIR

'S S

TA

Te

me

NT

9

8.8

5%

IFR

S N

AV

to

tal r

etu

rn

pe

r O

rdin

ary

Sh

are

(0.2

2)%

Pu

blis

he

d N

AV

to

tal r

etu

rn

pe

r O

rdin

ary

Sh

are

Po

rtfo

lio

Ad

vis

er’

s R

ev

iew

We

are

ple

ase

d t

o p

rese

nt

ou

r re

vie

w o

f 20

20

an

d o

utl

oo

k fo

r 2

02

1.

(8)

So

urc

e: C

red

it S

uis

se L

ev

era

ge

d L

oa

n I

nd

ex

, Cre

dit

Su

isse

We

ste

rn E

uro

pe

an

Le

ve

rag

ed

Lo

an

In

de

x (

He

dg

ed

to E

uro

), C

red

it S

uis

se D

efa

ult

Re

po

rt, 3

1 D

ece

mb

er

20

20

(9)

So

urc

e: B

lac

kst

on

e C

red

it a

na

lysi

s a

s at

31

De

cem

be

r 2

02

0. C

ert

ain

tra

nch

es

of

CL

Os

may

ha

ve

be

en

pla

ced

on

ne

ga

tiv

e w

atc

h, a

ffir

me

d, o

r d

ow

ng

rad

ed

by

mo

re t

ha

n o

ne

ra

tin

g a

ge

nc

y. A

na

lysi

s in

clu

de

s n

on

-BC

F C

LO

s

(10

)B

lac

kst

on

e C

red

it, I

nte

x. A

s a

t 7

Ja

nu

ary

20

21

(11)

So

urc

e: S

&P

LC

D, d

ata

as

of

31

De

ce

mb

er

20

20

(12

)S

ou

rce

: Cre

dit

Su

isse

, as

of

31

De

cem

be

r 2

02

0. U

S lo

an

s a

nd

Eu

rop

ea

n lo

an

s a

re r

ep

rese

nte

d b

y th

e C

red

it S

uis

se

Le

ve

rag

ed

Lo

an

Ind

ex

and

Cre

dit

Su

isse

We

ste

rn E

uro

pe

an

Le

ve

rag

ed

Lo

an

Ind

ex

(H

ed

ge

d t

o E

uro

), r

esp

ec

tiv

ely

(13

)S

ou

rce

: S&

P L

CD

, da

ta a

s o

f 3

1 D

ec

em

be

r 2

02

0

Fo

llow

ing

th

e e

xtr

em

e m

arke

t vo

lati

lity

ind

uce

d b

y th

e C

OV

ID-1

9 p

and

em

ic a

nd

su

bse

qu

en

t

reco

very

in g

lob

al c

red

it m

arke

ts, i

nve

sto

rs e

xpe

rie

nce

d a

fu

ll m

arke

t cy

cle

th

rou

gh

ou

t 2

02

0.

US

loan

s an

d E

uro

pe

an lo

ans

retu

rne

d 2

.78

% a

nd

2.3

8%

in 2

02

0 a

nd

exp

eri

en

ced

a d

efa

ult

rate

of

4.4

% a

nd

1.2

%, r

esp

ec

tiv

ely

(8) . B

y t

he

en

d o

f th

e y

ea

r, U

S a

nd

Eu

rop

ean

CL

O

liab

ility

sp

rea

ds

no

rmal

ise

d t

o p

re-C

OV

ID-1

9 le

ve

ls in

tan

de

m w

ith

a lo

an m

arke

t re

cov

ery

.

Bla

ckst

on

e C

red

it C

LO

s o

utp

erf

orm

ed

pe

ers

wit

h r

esp

ec

t to

ra

tin

gs

ac

tio

ns.

Fo

llow

ing

the

CO

VID

-19

sh

ock

to

cre

dit

ma

rke

ts, o

nly

1.4

% o

f B

lack

sto

ne

Cre

dit

US

CL

O b

on

ds

we

re d

ow

ng

rad

ed

, co

mp

are

d t

o 9

.6%

fo

r th

e m

ark

et.

Fo

r E

uro

pe

an

CL

Os,

1.4

% o

f B

XC

CL

O b

on

ds

we

re d

ow

ng

rad

ed

, co

mp

are

d t

o 2

.5%

fo

r th

e m

ark

et(9

) .

CL

O s

ecu

riti

sati

on

s in

BC

F g

en

era

ted

po

siti

ve

cas

hfl

ow

ov

er

20

20

. Th

e w

eig

hte

d a

ve

rag

e

an

nu

alis

ed

ca

sh o

n c

ash

dis

trib

uti

on

ra

tes

for

Eu

rop

ean

an

d U

S C

LO

inco

me

no

tes

wa

s

15.6

% a

nd

17.

1%, r

esp

ec

tiv

ely

, wit

h s

tro

ng

co

ntr

ibu

tio

ns

acr

oss

vin

tag

es(1

0) .

BC

F u

sed

th

e r

ob

ust

ma

rke

t te

chn

ica

l in

th

e f

ou

rth

qu

art

er

to r

ed

uce

a n

um

be

r o

f C

LO

exc

ess

po

siti

on

s at

lev

els

ab

ov

e b

oth

th

e m

ark

-to

-mo

de

l an

d m

ark

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by

th

e t

hir

d q

ua

rte

r. T

he

we

igh

ted

av

era

ge

an

nu

alis

ed

ca

sh-o

n-c

ash

dis

trib

uti

on

rat

es

for

Eu

rop

ea

n a

nd

US

CL

O in

com

e n

ote

s w

as

15.6

% a

nd

17.

1%, r

esp

ect

ive

ly, w

ith

str

on

g

con

trib

uti

on

s a

cro

ss v

inta

ge

s.

As

of

31

De

cem

be

r 2

02

0, 4

1% o

f B

CF

�s p

ort

folio

wa

s co

mp

ose

d o

f

US

CL

O In

com

e N

ote

s (t

he

mo

st s

ub

ord

ina

ted

tra

nch

e o

f d

eb

t

issu

ed

by

a C

LO

) a

nd

CL

O w

are

ho

use

s (f

irst

loss

po

siti

on

s),

com

pa

red

to

45

% in

De

cem

be

r 2

019

. Eu

rop

ea

n C

LO

Inco

me

No

tes

incr

eas

ed

to

41%

fro

m 3

6%

at

the

en

d o

f 2

019

. Ex

po

sure

to

dir

ec

tly

he

ld lo

an

s, n

et

of

lev

era

ge

, re

du

ced

fro

m 1

9%

to

13

%(2

1).

Th

rou

gh

its

inv

est

me

nt

in B

CF,

BG

LF

to

ok

ad

va

nta

ge

of

imp

rov

ed

liqu

idit

y a

nd

eq

uit

y v

alu

ati

on

s in

th

e m

ark

et

and

so

ld d

ow

n c

ert

ain

po

siti

on

s in

wh

ich

th

e h

old

ing

qu

anti

tie

s w

ere

in e

xce

ss o

f re

qu

ire

d

rete

nti

on

or

maj

ori

ty le

ve

l. T

he

se m

arke

t tr

ansa

ctio

ns

de

mo

nst

rate

d

a d

ep

th o

f d

em

and

fo

r th

e p

osi

tio

ns

sold

, wit

h e

xecu

ted

pri

ces

that

exc

ee

de

d m

od

elle

d m

ark

s, a

s w

ell

as m

ark

-to

-ma

rke

t b

id p

rice

s.

We

be

lie

ve

th

is s

tro

ng

ex

ecu

tio

n w

as

in p

art

du

e t

o s

ca

rcit

y o

f

Bla

ck

sto

ne

CL

O e

qu

ity,

as

we

ll a

s in

re

cog

nit

ion

of

ex

pe

cte

d

futu

re p

erf

orm

an

ce

. We

vie

w t

he

su

cce

ssfu

l sa

le o

f th

e e

xce

ss

CL

O p

osi

tio

ns

as

a v

ali

da

tio

n o

f th

e m

ark

-to

-mo

de

l va

lua

tio

n

use

d b

y B

CF.

As

the

imp

act

of

CO

VID

-19

on

th

e g

lob

al e

con

om

y b

eca

me

ap

par

en

t

in e

arl

y 2

02

0, o

ur

an

aly

st t

ea

m e

ng

ag

ed

wit

h m

ana

ge

me

nt

of

ou

r

bo

rro

we

rs a

nd

sp

on

sors

in a

n e

ffo

rt t

o r

e-u

nd

erw

rite

th

e r

isk

acr

oss

ou

r lo

an

po

rtfo

lio a

nd

be

tte

r u

nd

ers

tan

d t

he

eco

no

mic

imp

ac

t o

f th

e p

an

de

mic

on

ou

r b

orr

ow

ers

, as

we

ll a

s th

e r

isk

of

po

ten

tia

l do

wn

gra

de

an

d d

efa

ult

. Th

ese

vie

ws

we

re t

he

n u

tilis

ed

to h

elp

fo

rec

ast

fo

r e

ach

CL

O, t

he

po

ten

tia

l fa

ilure

s o

f in

tere

st

div

ers

ion

or

OC

te

sts

in o

rde

r to

de

term

ine

th

e p

ote

nti

al f

or

CL

O

eq

uit

y c

ash

flo

w d

isru

pti

on

s, if

an

y. T

his

an

aly

sis

ha

s co

nti

nu

ed

to

be

up

dat

ed

ea

ch q

ua

rte

r a

nd

pro

vid

es

gu

ida

nce

on

pro

ject

ed

ne

t

inco

me

av

aila

ble

to

BG

LF.

(21)

Po

rtfo

lio

pe

rce

nta

ge

s a

re b

ase

d o

n B

CF

NA

V a

s o

f 3

1 D

ec

em

be

r 2

02

0

(22

)S

ou

rce

: Cre

dit

Su

isse

, as

of

31

De

cem

be

r 2

02

0

Imp

ort

an

tly,

be

cau

se e

ve

ry C

LO

ow

ne

d w

ith

in t

his

str

ate

gy

is a

lso

ma

nag

ed

by

Bla

ckst

on

e C

red

it, w

e h

av

e u

nd

erw

ritt

en

in d

eta

il

ev

ery

loan

to

wh

ich

ea

ch C

LO

is e

xpo

sed

. Th

is, i

n c

on

jun

cti

on

wit

h o

ur

team

an

d p

rop

rie

tary

to

ols

, allo

ws

us

to c

on

du

ct

the

typ

e o

f b

ott

om

up

an

aly

sis

wh

ich

dif

fere

nti

ate

s B

GL

F r

ela

tiv

e t

o

pe

er

fun

ds.

Th

is a

na

lysi

s is

a c

riti

cal c

om

po

ne

nt

of

ou

r in

ve

stm

en

t

pro

cess

, an

d a

s a

re

sult

, is

on

e o

f o

ur

core

co

mp

ete

nci

es.

Wh

ile

ind

ivid

ua

l co

mp

any

an

aly

sis

is c

lea

rly

ce

ntr

al t

o w

ha

t w

e d

o,

ag

gre

ga

tin

g t

his

into

a p

ort

folio

vie

w a

nd

th

en

a C

LO

vie

w is

cen

tra

l to

ou

r d

ay-t

o-d

ay C

LO

ma

nag

em

en

t p

roce

ss.

Th

e N

AV

is in

flu

en

ced

by

bo

th t

he

act

ua

l pe

rfo

rma

nce

of

loa

ns

an

d C

LO

s a

s w

ell

as

by

fo

rwa

rd v

iew

s an

d a

ssu

mp

tio

ns

for

cre

dit

pe

rfo

rman

ce. L

oa

ns

pe

rfo

rme

d t

hro

ug

ho

ut

the

ye

ar

an

d t

he

de

fau

lt lo

ss r

ate

fo

r th

e p

ort

folio

was

0.0

8%

, co

mp

are

d t

o 0

.48

%

for

Eu

rop

ean

Lo

an

s an

d 2

.46

% f

or

US

loa

ns(2

2) . F

ollo

win

g t

he

init

ial d

islo

cat

ion

in t

he

bro

ad

er

mar

kets

in M

arc

h, s

wif

t re

spo

nse

by

go

ve

rnm

en

ts w

ith

fis

cal

sti

mu

lus

pro

vid

ed

an

am

ple

inje

ctio

n

of

liqu

idit

y t

o f

inan

cia

l ma

rke

ts, w

hic

h in

tu

rn h

ad

th

e e

ffe

ct

of

po

siti

ve

ly s

hif

tin

g t

he

mar

ket

sen

tim

en

t a

nd

ou

tlo

ok

for

cre

dit

wit

h e

ach

su

bse

qu

en

t q

ua

rte

r. T

he

se f

ac

tors

su

pp

ort

ed

a

con

tin

ue

d im

pro

ve

me

nt

in t

he

NA

V a

nd

by

ye

ar e

nd

, wh

ile t

he

NA

V h

ad

no

t fu

lly r

eco

ve

red

to

pre

-CO

VID

lev

els

, th

e o

utl

oo

k

rem

ain

s p

osi

tiv

e f

or

furt

he

r re

cov

ery

.

We

co

nti

nu

e t

o f

ocu

s o

n li

abili

ty m

anag

em

en

t a

nd

wh

ile 2

02

0 d

id

no

t af

ford

ma

ny

op

po

rtu

nit

ies

to r

efi

nan

ce li

abili

tie

s o

r e

xte

nd

mat

uri

tie

s, a

s w

e lo

ok

ah

ea

d, w

e f

ind

th

e p

ort

folio

we

ll p

osi

tio

ne

d

to t

ake

ad

van

tag

e o

f th

e c

urr

en

t te

chn

ica

l str

en

gth

in t

he

CL

O

liab

ility

ma

rke

t. S

o f

ar

in 2

02

1, t

he

re h

as

be

en

a s

tea

dy

vo

lum

e o

f

CL

O r

efi

na

nci

ng

s an

d r

ese

ts o

f a

ll v

inta

ge

s. W

ith

in o

ur

po

rtfo

lio,

we

co

nti

nu

e t

o a

ctiv

ely

ev

alu

ate

ea

ch C

LO

th

at is

cal

lab

le in

th

is

cal

en

da

r y

ea

r a

nd

an

tici

pa

te a

bu

sy y

ear

of

CL

O a

ctiv

ity

incl

ud

ing

ne

w is

sue

s a

nd

re

fin

an

cin

gs

an

d r

ese

ts w

he

re a

ccre

tiv

e t

o d

o s

o.

As

it r

ela

tes

to li

ab

ility

ma

na

ge

me

nt,

we

are

fo

cuse

d o

n im

pro

vin

g

the

po

rtfo

lio n

et

inte

rest

ma

rgin

s in

th

e n

ea

r te

rm a

nd

en

sure

that

th

e s

tru

ctu

res

pro

vid

e f

or

suff

icie

nt

fle

xib

ility

in p

ort

folio

an

d

risk

ma

nag

em

en

t o

ve

r th

e lo

ng

er

term

.

Glo

bal

loan

sp

rea

ds

div

erg

ed

in 2

02

0. T

he

US

loan

sp

rea

d n

arro

we

d

by

1b

p t

o e

nd

th

e y

ear

at

35

8b

p (c

om

par

ed

to

11b

p w

ide

nin

g in

20

19),

wh

ile t

he

Eu

rop

ean

loa

n m

ark

et

spre

ad

wid

en

ed

by

14

bp

in 2

02

0

(co

mp

are

d t

o 4

bp

wid

en

ing

in 2

019

) to

en

d t

he

ye

ar a

t 3

63

bp

(14

) .

Glo

ba

l lo

an d

efa

ult

rat

es

we

re m

anag

ea

ble

th

rou

gh

ou

t 2

02

0.

Aft

er

pe

ak

ing

at

4.5

%, t

he

US

loa

n L

TM

pa

r-w

eig

hte

d d

efa

ult

ra

te

en

de

d t

he

ye

ar

at 4

.4%

(15

) . De

fau

lts

in E

uro

pe

we

re m

ore

mu

ted

wit

h t

he

LT

M d

efa

ult

rat

e p

ea

kin

g a

t ju

st 1

.3%

fo

r E

uro

pe

an

loa

ns

an

d e

nd

ing

th

e y

ear

at

1.2

%. I

n 2

02

1, d

efa

ult

ra

te f

ore

cas

ts a

re

pre

dic

ted

to

de

cre

ase

by

mo

re t

han

hal

f in

th

e U

S t

o 2

.0%

an

d f

all

to 1

.1%

in E

uro

pe

(16

) .

CL

O M

ark

et

Ov

erv

iew

(17

)

De

ma

nd

fo

r b

oth

US

an

d E

uro

pe

an

CL

Os

was

slo

we

r to

mat

eri

alis

e

follo

win

g t

he

ma

rke

t d

ow

ntu

rn r

esu

ltin

g in

hig

he

r C

LO

liab

ility

spre

ad

s. G

lob

al i

ssu

an

ce o

f C

LO

s fe

ll in

20

20

to

$11

8 b

illio

n (

do

wn

fro

m t

he

$15

1 b

illio

n in

20

19).

Re

gio

na

lly, U

S C

LO

s re

cord

ed

20

20

gro

ss is

suan

ce o

f $

93

bill

ion

, do

wn

21%

on

20

19�s

issu

an

ce o

f

$11

8b

illio

n. E

uro

pe

an C

LO

issu

ance

fe

ll in

tan

de

m w

ith

th

e U

S,

reco

rdin

g g

ross

issu

an

ce o

f €

22

bill

ion

wh

ich

wa

s a

26

% d

ecr

ea

se

on

th

e €

30

bill

ion

re

cord

ed

in 2

019

(18

) . Wh

en

de

man

d r

esu

rfa

ced

it w

as

for

CL

Os

wit

h s

ho

rte

r re

inv

est

me

nt

an

d n

on

-ca

ll p

eri

od

s.

Th

is a

llow

ed

eq

uit

y in

vest

ors

th

e o

pti

on

alit

y to

re

set

liab

ility

sp

read

s

in a

tig

hte

r sp

rea

d e

nv

iro

nm

en

t if

on

e m

ate

ria

lise

d, a

nd

in d

oin

g

so p

ote

nti

ally

bo

ost

ing

fu

ture

CL

O e

qu

ity

re

turn

s. B

y y

ea

r e

nd

, US

an

d E

uro

pe

an

CL

O li

ab

ility

sp

rea

ds

no

rmal

ise

d t

o p

re-C

OV

ID-1

9

lev

els

, as

the

glo

bal

loa

n m

ark

et

reco

ve

red

an

d d

efa

ult

s sl

ow

ed

.

CL

O r

efi

na

nci

ng

s a

nd

re

sets

we

re li

mit

ed

pri

ma

rily

to

ea

rly

Q1

an

dla

te Q

4 w

he

n t

he

en

vir

on

me

nt

wa

s m

ore

fav

ou

rab

le. U

S C

LO

ma

na

ge

rs c

om

ple

ted

$3

2 b

illio

n in

CL

O r

efi

nan

cin

gs

an

d r

ese

ts

in2

02

0, w

hile

Eu

rop

ea

n C

LO

issu

ers

re

cord

ed

just

€1

bill

ion

of

refi

na

nci

ng

s a

nd

re

sets

.

US

CLO

fu

nd

ame

nta

ls m

ost

ly d

ete

rio

rate

d in

20

20

du

e t

o d

iffi

cult

ies

ex

pe

rie

nce

d b

y t

he

un

de

rly

ing

co

mp

an

ies.

Ye

ar o

n y

ea

r, m

inim

um

OC

cu

shio

ns

fell

(fro

m 4

10b

p t

o 2

77

bp

), W

AR

F le

ve

ls d

ete

rio

rate

d

(fro

m 2

86

2 in

20

19 t

o 3

116

in 2

02

0),

an

d e

xp

osu

re t

o C

CC

ass

ets

rose

(fr

om

3.7

% in

20

19 t

o 7

.7%

in 2

02

0).

Alt

ho

ug

h a

de

teri

ora

tio

n

wh

en

co

mp

are

d t

o 2

019

ye

ar

en

d, t

he

se f

un

da

me

nta

ls im

pro

ve

d

sig

nif

ica

ntl

y f

rom

th

eir

Ju

ne

20

20

lev

els

. We

igh

ted

Av

era

ge

Ass

et

Pri

ce (

�WA

P�)

en

de

d 2

02

0 a

t 9

7.3

%, b

roa

dly

in-l

ine

wit

h D

ece

mb

er

20

19 le

ve

ls a

nd

We

igh

ted

Av

era

ge

Sp

rea

ds

(�W

AS

�) in

cre

ase

d b

y

27

bp

to

37

7b

p.

(14

)S

ou

rce

: Bla

ck

sto

ne

Cre

dit

an

aly

sis

as

at

31

De

ce

mb

er

20

20

. Ce

rta

in t

ran

ch

es

of

CL

Os

ma

y h

av

e b

ee

n p

lac

ed

on

ne

ga

tiv

e w

atc

h, a

ffir

me

d, o

r d

ow

ng

rad

ed

by

mo

re t

ha

n

on

e r

ati

ng

ag

en

cy.

An

aly

sis

inc

lud

es

no

n-B

CF

CL

Os

(15

)S

ou

rce

: Cre

dit

Su

isse

, as

of

31

De

cem

be

r 2

02

0

(16

)S

ou

rce

: Cre

dit

Su

isse

, as

of

31

De

cem

be

r 2

02

0, J

.P.M

org

an

, as

of

1 M

arc

h 2

02

1

(17

)S

ou

rce

s: S

&P

/LC

D, B

arc

lay

s, d

ata

as

of

31

De

cem

be

r 2

02

0

(18

)S

ou

rce

: LC

D, d

ata

as

of

31

De

cem

be

r 2

02

0

(19

)D

em

on

stra

ted

by

th

e B

CF

po

rtfo

lio r

ec

ord

ed

a lo

ss r

ate

be

low

th

at

of

bo

th U

S a

nd

Eu

rop

ea

n lo

an

s a

s m

ea

sure

d b

y C

red

it S

uis

se

(20

)D

em

on

stra

ted

by

de

ma

nd

fo

r B

X C

red

it C

LO

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uit

y p

osi

tio

ns

sold

du

rin

g t

he

ye

ar

an

d p

ric

ing

ac

hie

ve

d o

n n

ew

issu

e C

LO

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Eu

rop

ean

CLO

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nd

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ls a

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ted

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cre

ase

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rom

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48

bp

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ea

sed

fro

m 2

96

4 t

o

32

61

an

d C

CC

bu

cke

ts in

cre

ase

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ll to

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, alt

ho

ug

h r

em

ain

ed

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low

th

e 2

019

lev

el

of

98

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, wh

ile W

AS

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cre

ase

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y 2

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to

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un

da

me

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l

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O d

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rio

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on

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oth

th

e U

S a

nd

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rop

e d

uri

ng

20

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re

sult

ed

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om

e C

LO

s in

th

e m

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t b

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hin

g t

he

ir O

C o

r in

tere

st d

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n

test

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nd

imp

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tin

g c

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flo

ws

to in

ve

sto

rs.

Gro

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rim

ary

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nce

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sts

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th

e U

S a

nd

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rop

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or

20

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as

a re

sult

of

fav

ou

rab

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qu

ity

arb

itra

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, an

cho

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g o

f th

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sp

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d a

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co

nti

nu

ed

imp

rov

em

en

t in

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n f

un

dam

en

tals

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sua

nce

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ore

ca

st t

o g

row

by

9-1

9%

to $

100

-$11

0 b

illio

n. I

n E

uro

pe

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e 2

02

1 C

LO

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sua

nce

is

fore

cas

t to

re

turn

to

th

e 2

019

lev

els

of

be

twe

en

€2

5-€

30

bill

ion

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Incl

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ing

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rec

asts

fo

r re

fin

an

cin

g/r

ese

t v

olu

me

s fo

r 2

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rop

ea

n C

LO

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an

ce c

ou

ld r

ea

ch a

ne

w r

eco

rd o

f b

etw

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n

€5

4-€

64

bill

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.

Po

rtfo

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te

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cog

nit

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of

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it c

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e t

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nd

ed

we

ll b

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nd

th

e

ave

rag

e c

ycl

e, w

e h

ad

be

en

pro

ac

tiv

ely

re

du

cin

g r

isk

wit

hin

th

e

loa

n p

ort

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s in

th

e y

ea

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ad

ing

up

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. As

such

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re w

ell

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siti

on

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r th

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ne

xp

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ted

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loca

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the

US

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CF

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r C

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ers

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pe

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ll 4

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uit

y p

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tin

ue

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ece

ive

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inte

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pte

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on

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pe

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ng

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r

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ir m

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rin

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he

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ly r

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by

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20

(20

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on

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as a

ble

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ts a

nd

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en

th

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ith

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irst

ne

w C

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r th

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ark

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ee

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ally

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20

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vest

ors

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ed

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he

CL

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ark

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th

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re

cog

nis

ed

an

d c

om

pe

nsa

ted

BX

Cre

dit

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ua

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nts

are

als

o m

ad

e a

nd

re

alis

ed

in o

the

r cu

rre

nci

es.

Ch

an

ge

s in

rat

es

of

exc

han

ge

may

hav

e a

n a

dv

ers

e e

ffe

ct o

n t

he

val

ue

, pri

ce, o

r in

com

e

of

the

inv

est

me

nts

of

BC

F. B

CF

may

uti

lise

dif

fere

nt

fin

an

cia

l

inst

rum

en

ts t

o s

ee

k t

o h

ed

ge

ag

ain

st d

ecl

ine

s in

th

e v

alu

e o

f it

s

po

siti

on

s a

s a

resu

lt o

f ch

ang

es

in c

urr

en

cy

exc

ha

ng

era

tes.

Th

rou

gh

th

e c

on

stru

ctio

n o

f so

lid c

red

it p

ort

folio

s an

d o

ur

em

ph

asis

on

ris

k m

an

age

me

nt,

ca

pit

al p

rese

rvat

ion

, an

d f

un

dam

en

tal c

red

it

rese

arch

, we

be

lieve

th

e C

om

pan

y�s

inve

stm

en

t st

rate

gy

will

co

nti

nu

e

to b

e s

ucc

ess

ful.

Bla

ckst

on

e R

esp

on

sib

le I

nv

est

ing

Ap

pro

ach

Th

e Im

po

rta

nce

of

Re

spo

nsi

ble

Inv

est

ing

Fo

r o

ve

r 3

5 y

ear

s, B

lack

sto

ne

has

be

en

co

mm

itte

d t

o b

ein

g a

resp

on

sib

le in

ve

sto

r. T

his

co

mm

itm

en

t is

aff

irm

ed

acr

oss

th

e

org

an

isa

tio

n a

nd

gu

ide

s o

ur

app

roa

ch t

o in

ve

stin

g. W

e b

elie

ve

th

at

ad

eq

uat

e c

on

sid

era

tio

n o

f e

nv

iro

nm

en

tal,

soci

al,

an

d g

ov

ern

an

ce

(�E

SG

�) f

ac

tors

fo

r e

ach

po

ten

tia

l in

ve

stm

en

t e

nh

an

ces

ou

r

ass

ess

me

nt

of

risk

an

d a

lso

he

lps

us

ide

nti

fy o

pp

ort

un

itie

s fo

r

tran

sfo

rmat

ion

at

ea

ch c

om

pa

ny

wh

ere

we

inv

est

. Co

nse

qu

en

tly,

we

be

liev

e t

hat

a c

om

pre

he

nsi

ve

ES

G p

rog

ram

dri

ve

s v

alu

e a

nd

en

ha

nce

s re

turn

s. W

e a

lso

be

liev

e t

hat

un

de

rsta

nd

ing

ES

G f

ac

tors

he

lps

us

un

de

rsta

nd

tre

nd

s a

nd

ho

w t

he

y w

ill s

hap

e d

em

an

d a

nd

ma

rke

ts in

ye

ars

to

co

me

. Ou

r fr

am

ew

ork

ap

plie

s to

all

inv

est

me

nt

op

po

rtu

nit

ies,

th

ou

gh

th

e e

xact

ap

plic

atio

n o

f th

at f

ram

ew

ork

var

ies

by

ass

et

clas

s, in

ve

stm

en

t o

bje

ctiv

e a

nd

th

e u

niq

ue

ch

ara

cte

rist

ics

of

ea

ch in

ve

stm

en

t.

20

20

AN

NU

AL

RE

PO

RT

| B

LA

CK

ST

ON

E L

OA

N F

INA

NC

ING

LIM

ITE

D18

ST

RA

Te

gIC

Re

Po

RT

: P

oR

TF

ol

Io A

dV

ISe

R’S

Re

VIe

wS

TR

AT

eg

IC R

eP

oR

T:

Po

RT

Fo

lIo

Ad

VIS

eR

’S R

eV

Iew

19

Str

ate

gic

O

verv

iew

Pu

rpo

se

Th

e C

om

pa

ny

�s p

urp

ose

is t

o p

rov

ide

pe

rma

ne

nt

ca

pit

al t

o B

CF,

aco

mp

an

y e

sta

blis

he

d b

y B

lack

sto

ne

Ire

lan

d L

imit

ed

(�B

IL�)

(fo

rme

rly

Bla

ckst

on

e/G

SO

De

bt

Fun

ds

Man

age

me

nt

Eu

rop

e L

imit

ed

)

as

pa

rt o

f it

s lo

an

fin

an

cin

g p

rog

ram

me

, wit

h a

vie

w t

o g

en

era

tin

g

stab

le a

nd

gro

win

g t

ota

l re

turn

s fo

r S

har

eh

old

ers

th

rou

gh

div

ide

nd

s

an

d v

alu

e g

row

th.

Th

e B

oa

rd d

eliv

ers

th

e C

om

pan

y�s

pu

rpo

se b

y w

ork

ing

in li

ne

wit

h

ou

r v

alu

es,

wh

ich

fo

rm t

he

ba

ckb

on

e o

f w

hat

th

e C

om

pan

y d

oe

s

an

d a

re a

n im

po

rta

nt

pa

rt o

f o

ur

cult

ure

.

Va

lue

s

Inte

gri

ty a

nd

Tru

st �

Th

e C

om

pan

y s

ee

ks

to a

ct

wit

h in

teg

rity

in

ev

ery

thin

g it

do

es

an

d t

o b

e t

rust

wo

rth

y. W

e s

ee

k t

o u

ph

old

th

e

hig

he

st s

tan

da

rds

of

pro

fess

ion

alis

m d

riv

en

by

ou

r co

rpo

rate

go

ve

rnan

ce p

roce

sse

s.

Tra

nsp

are

nc

y �

Th

e C

om

pa

ny

aim

s to

en

sure

all

of

its

ac

tiv

itie

s

are

un

de

rta

ken

wit

h t

he

utm

ost

tra

nsp

are

nc

y a

nd

op

en

ne

ss t

o

sust

ain

tru

st.

Op

po

rtu

nit

y �

Th

e a

bili

ty t

o s

ee

an

d t

o s

eiz

e o

pp

ort

un

itie

s w

hic

h

are

in t

he

be

st in

tere

sts

of

ou

r sh

are

ho

lde

rs.

Su

sta

ina

bil

ity

� A

s an

inv

est

me

nt

com

pan

y w

e a

im t

o m

ain

tain

an

d

de

live

r at

tra

ctiv

e a

nd

su

sta

ina

ble

re

turn

s fo

r o

ur

sha

reh

old

ers

.

Pri

nc

ipa

l Ac

tiv

itie

s

Th

e C

om

pan

y w

as in

corp

ora

ted

on

30

Ap

ril 2

014

as

a c

lose

d-e

nd

ed

inv

est

me

nt

com

pa

ny

lim

ite

d b

y s

ha

res

un

de

r th

e la

ws

of

Jers

ey

an

d is

au

tho

rise

d a

s a

list

ed

fu

nd

un

de

r th

e C

olle

cti

ve

Inv

est

me

nt

Fu

nd

s (J

ers

ey)

Law

19

88

. Th

e C

om

pan

y c

on

tin

ue

s to

be

re

gis

tere

d

an

d d

om

icile

d in

Je

rse

y. T

he

Co

mp

an

y�s

Ord

inar

y S

ha

res

are

qu

ote

d o

n t

he

Pre

miu

m S

eg

me

nt

of

the

Mai

n M

arke

t o

f th

e L

SE

.

Up

un

til t

he

ir c

on

ve

rsio

n in

to O

rdin

ary

Sh

are

s o

n 7

Jan

ua

ry 2

02

0,

the

Co

mp

any

�s C

Sh

are

s w

ere

qu

ote

d o

n t

he

SF

S o

f th

e M

ain

Mar

ket

of

the

LS

E. R

efe

r to

Co

rpo

rate

Act

ivit

y f

or

furt

he

r d

eta

ils o

n t

he

CS

ha

re c

on

ve

rsio

n.

Th

e C

om

pa

ny

�s a

uth

ori

sed

sh

are

cap

ita

l co

nsi

sts

of

an u

nlim

ite

d

nu

mb

er

of

sha

res

of

any

cla

ss. A

s at

31

De

cem

be

r 2

02

0, t

he

Co

mp

an

y�s

issu

ed

sh

are

cap

ital

wa

s 4

77,

02

3,3

31

Ord

inar

y S

ha

res.

Th

e C

om

pa

ny

als

o h

eld

5,8

79

,46

3 O

rdin

ary

Sh

are

s in

tre

asu

ry.

Th

e C

om

pa

ny

ha

s a

wh

olly

-ow

ne

d L

uxe

mb

ou

rg s

ub

sid

iary

,

Bla

ckst

on

e/G

SO

Lo

an

Fin

an

cin

g (

Lu

xem

bo

urg

) S

.àr.

l. w

hic

h h

as

an

issu

ed

sh

are

ca

pit

al o

f 2

,00

0,0

00

Cla

ss A

sh

are

s a

nd

1 C

lass

B

sha

re. A

s at

31

De

cem

be

r 2

02

0 a

ll o

f th

e C

lass

A a

nd

Cla

ss B

sh

are

s

we

re h

eld

by

th

e C

om

pa

ny

to

ge

the

r w

ith

28

4,8

79

,85

4 C

lass

B

CS

Ws

issu

ed

by

th

e L

ux

Su

bsi

dia

ry. T

he

Lu

x S

ub

sid

iary

inv

est

s

inP

PN

s is

sue

d b

y B

CF,

wh

ich

in t

urn

inv

est

s in

CL

Os

an

d lo

ans.

Th

e C

om

pa

ny

als

o h

old

s d

ire

ctl

y h

eld

CL

O M

ezz

an

ine

No

tes

wh

ich

form

ed

pa

rt o

f th

e R

ollo

ve

r A

sse

ts a

nd

are

ye

t to

be

re

alis

ed

an

d

rein

ve

ste

d in

CS

Ws.

Th

e C

om

pa

ny

is a

se

lf-m

ana

ge

d c

om

pa

ny.

BIL

ac

ts a

s P

ort

folio

Ad

vis

er

to t

he

Co

mp

an

y a

nd

, pu

rsu

ant

to t

he

Ad

vis

ory

Ag

ree

me

nt,

pro

vid

es

ad

vic

e a

nd

ass

ista

nce

to

th

e C

om

pa

ny

in c

on

ne

cti

on

wit

h

its

inv

est

me

nt

in t

he

CS

Ws.

Bla

ckst

on

e L

iqu

id C

red

it S

trat

eg

ies

LL

C

(�B

LC

S�)

(fo

rme

rly

GS

O/B

lack

sto

ne

De

bt

Fu

nd

s M

an

ag

em

en

t L

LC

)

acts

as

Po

rtfo

lio M

anag

er

in r

ela

tio

n t

o t

he

Ro

llove

r A

sse

ts (a

s d

efi

ne

d

in t

he

Co

mp

any

�s P

rosp

ec

tus

pu

blis

he

d o

n 2

3 N

ov

em

be

r 2

018

).

BN

P P

arib

as

Se

curi

tie

s S

erv

ice

s S

.C.A

., Je

rse

y B

ran

ch a

cts

as

Ad

min

istr

ato

r, C

om

pan

y S

ecr

eta

ry, C

ust

od

ian

an

d D

ep

osi

tary

to

the

Co

mp

any.

Inve

stm

en

t O

bje

cti

ve

As

ou

tlin

ed

in t

he

Co

mp

any

�s P

rosp

ec

tus,

th

e C

om

pa

ny

�s

inv

est

me

nt

ob

jec

tiv

e is

to

pro

vid

e S

har

eh

old

ers

wit

h s

tab

le a

nd

gro

win

g in

com

e r

etu

rns,

an

d t

o g

row

th

e c

ap

ital

va

lue

of

the

inv

est

me

nt

po

rtfo

lio b

y e

xp

osu

re t

o f

loa

tin

g r

ate

se

nio

r se

cure

d

loa

ns

and

bo

nd

s d

ire

ctl

y a

nd

ind

ire

ctly

th

rou

gh

CL

O S

ecu

riti

es

an

d in

ve

stm

en

ts in

Lo

an

Wa

reh

ou

ses.

Th

e C

om

pa

ny

se

ek

s to

ach

iev

e it

s in

ve

stm

en

t o

bje

cti

ve

th

rou

gh

exp

osu

re (

dir

ec

tly

or

ind

ire

ctl

y) t

o o

ne

or

mo

re c

om

pan

ies

or

en

titi

es

est

ab

lish

ed

fro

m

tim

e t

o t

ime

(�U

nd

erl

yin

g C

om

pan

ies�

), s

uch

as

BC

F.

Bla

ckst

on

e C

red

it’s

Co

mm

itm

en

t to

ES

G

BX

Cre

dit

be

liev

es

that

a k

ey

co

mp

on

en

t o

f b

ein

g a

pru

de

nt

inv

est

or

is a

n a

cti

ve

ev

alu

atio

n o

f th

e E

SG

co

mp

on

en

ts o

f it

s in

ve

stm

en

ts

to a

sse

ss t

he

po

ten

tia

l eco

no

mic

eff

ec

ts t

he

reo

f. R

ev

iew

of

ES

G

risk

s to

inv

est

me

nt

pe

rfo

rman

ce is

inte

gra

ted

into

BX

Cre

dit

�s

inv

est

me

nt

ana

lysi

s a

nd

de

cisi

on

-mak

ing

pro

cess

es

fro

m

pre

-in

ve

stm

en

t d

ilig

en

ce t

o p

ost

-in

ve

stm

en

t m

on

ito

rin

g. B

X C

red

it

reco

gn

ise

s th

e v

alu

e t

ha

t in

corp

ora

tin

g E

SG

fa

cto

rs in

ou

r

inv

est

me

nt

rese

arc

h c

reat

es

bo

th in

te

rms

of

mit

iga

tin

g r

isk

an

d

en

ha

nci

ng

lon

g-t

erm

pe

rfo

rman

ce a

cro

ss o

ur

va

rio

us

inv

est

me

nts

.

To

th

at

en

d, B

X C

red

it in

teg

rate

s re

vie

w a

nd

co

nsi

de

rati

on

of

ap

plic

ab

le E

SG

fa

cto

rs in

to it

s d

eci

sio

n-m

akin

g p

roce

sse

s, a

s

sum

ma

rise

d b

elo

w:

1 d

ue

dil

ige

nce

Pro

cess

Inv

est

me

nt

tea

ms

wit

hin

BX

Cre

dit

co

nsi

de

r E

SG

fa

cto

rs t

hat

may

imp

ac

t in

ve

stm

en

t p

erf

orm

an

ce d

uri

ng

th

e d

ue

dili

ge

nce

ph

ase

of

an

inv

est

me

nt.

ES

G d

ue

dili

ge

nce

will

va

ry b

ase

d o

n (

i)th

e n

atu

re

of

BX

Cre

dit

�s in

ve

stm

en

t, (

ii) t

he

tra

nsa

cti

on

pro

cess

an

d t

ime

line

,

(iii)

th

e le

ve

l of

acc

ess

to

info

rmat

ion

, sp

eci

fic

ally

as

it p

ert

ain

s to

ES

G f

ac

tors

, an

d (

iv)

the

ta

rge

t p

ort

folio

co

mp

an

y�s

(th

e �

Ta

rge

t�)

sec

tor

or

bu

sin

ess

mo

de

l. F

or

all i

nve

stm

en

ts, B

XC

red

it e

nd

eav

ou

rs

to r

ev

iew

all

syn

dic

atio

n m

ate

ria

ls a

nd

oth

er

pu

blic

so

urc

es

of

info

rmat

ion

to

de

ve

lop

insi

gh

ts in

to t

he

Tar

ge

t�s

bu

sin

ess

an

d

op

era

tio

ns

and

to

fa

cilit

ate

th

e id

en

tifi

cat

ion

of

en

vir

on

me

nta

l,

soci

al o

r g

ov

ern

ance

mat

ters

th

at h

ave

aff

ec

ted

or

may

be

aff

ec

tin

g

the

Tar

ge

t.

2R

ep

ort

ing

to

In

ve

stm

en

t C

om

mit

tee

Mat

eri

al E

SG

issu

es

ari

sin

g f

rom

dili

ge

nce

are

de

scri

be

d in

th

e

ap

pro

pri

ate

inv

est

me

nt

com

mit

tee

mat

eri

als

an

d d

iscu

sse

d in

th

e

rele

van

t in

ve

stm

en

t co

mm

itte

e f

oru

m.

3P

ost

-In

ve

stm

en

t m

on

ito

rin

gO

n a

n o

ng

oin

g b

asis

, in

ve

stm

en

t te

ams

mo

nit

or

the

pe

rfo

rman

ce

of

BX

Cre

dit

�s in

ve

stm

en

ts, w

hic

h in

clu

de

s, b

ut

is n

ot

limit

ed

to

,

ass

ess

ing

fin

anci

al, o

pe

rati

on

al, i

nd

ust

ry-s

pe

cifi

c an

d E

SG

-re

late

d

fac

tors

, as

ap

plic

ab

le. P

eri

od

ica

lly, B

X C

red

it in

ve

stm

en

t te

am

s

will

up

da

te t

he

inv

est

me

nt

com

mit

tee

on

th

e p

erf

orm

an

ce o

f

issu

ers

an

d h

igh

ligh

t an

y m

ate

rial

ES

G c

on

sid

era

tio

ns

that

war

ran

t

inv

est

me

nt

com

mit

tee

dis

cuss

ion

, bo

th in

th

e c

on

tex

t o

f th

e

com

pa

ny

�s in

du

stry

an

d o

n a

sta

nd

-alo

ne

ba

sis.

As

a cr

ed

it in

ve

sto

r, B

X C

red

it w

ill h

ave

less

co

ntr

ol o

ve

r p

ort

folio

com

pan

ies

than

eq

uit

y in

ve

sto

rs; h

ow

ev

er,

we

may

se

ek

to

rein

forc

e c

ert

ain

asp

ect

s o

f v

alu

e-e

nh

an

cin

g E

SG

co

mp

lian

ce

thro

ug

h c

on

tra

ctu

al o

blig

ati

on

s a

nd

co

ve

na

nts

in g

ov

ern

ing

ag

ree

me

nts

wit

h p

ort

folio

co

mp

anie

s. U

nd

erw

riti

ng

du

e d

ilig

en

ce

incl

ud

es

am

on

g o

the

r th

ing

s, m

ate

ria

l en

vir

on

me

nta

l, p

ub

lic

he

alt

h, s

afe

ty, s

oci

al a

nd

go

ve

rnan

ce is

sue

s a

sso

ciat

ed

wit

h

len

din

g t

o a

co

mp

an

y.

At

this

tim

e t

he

BX

Cre

dit

do

es

no

t e

xplic

itly

tra

ck e

xp

osu

re t

o

clim

ate

ris

k o

r m

on

ito

r th

e c

arb

on

fo

otp

rin

t o

f a

n in

ve

stm

en

t.

Inp

rac

tice

, we

ta

ke t

he

ES

G f

ac

tors

th

at m

ay im

pa

ct

inv

est

me

nt

pe

rfo

rman

ce in

to c

on

sid

era

tio

n a

nd

inco

rpo

rate

su

ch f

ac

tors

into

ou

r in

itia

l ev

alu

atio

n o

f a

n in

ve

stm

en

t an

d o

ur

on

go

ing

inv

est

me

nt

mo

nit

ori

ng

pro

cess

. Ou

r e

val

uat

ion

cri

teri

a a

re b

ase

d o

n t

he

mat

eri

alit

y o

f th

e E

SG

ris

k co

nsi

de

rin

g (

a) w

he

the

r it

has

a c

urr

en

t

imp

ac

t o

r a

po

ten

tia

l fu

ture

imp

ac

t a

nd

(b

) an

y m

itig

atin

g a

cti

on

s

the

issu

er

un

de

rta

kes

to a

dd

ress

th

e r

isk

. In

ge

ne

ral,

ind

ust

rie

s

wit

h a

hig

h c

arb

on

fo

otp

rin

t fa

ce s

ign

ific

ant

tra

nsi

tio

n r

isk

wit

h

reg

ard

to

clim

ate

ch

an

ge

, an

d t

hat

ris

k w

ou

ld n

ee

d t

o b

e

ev

alu

ate

d b

efo

re m

ak

ing

an

inv

est

me

nt

de

cisi

on

.

Fu

rth

erm

ore

, in

20

20

, BX

Cre

dit

wo

rke

d w

ith

a t

hir

d p

art

y E

SG

con

sult

ing

fir

m t

o d

raft

a s

et

of

ES

G s

ect

or-

spe

cifi

c g

uid

elin

es.

Th

ese

se

cto

r g

uid

elin

es

are

inte

nd

ed

to

he

lp a

na

lyst

s co

nd

uc

t

focu

sed

du

e d

ilig

en

ce o

n t

he

issu

ers

in w

hic

h w

e in

ve

st t

hro

ug

h

ac

tiv

e e

ng

ag

em

en

t w

ith

th

e c

om

pa

ny

an

d, i

f a

pp

lica

ble

, th

e

spo

nso

r. B

X C

red

it is

wo

rkin

g t

o d

ire

ctl

y in

teg

rate

th

e s

ec

tor

gu

ide

line

s in

to o

ur

inv

est

me

nt

pro

ced

ure

s d

uri

ng

20

21.

bla

ckst

on

e Ir

ela

nd

lim

ite

d2

9 A

pri

l 20

21

20

20

AN

NU

AL

RE

PO

RT

| B

LA

CK

ST

ON

E L

OA

N F

INA

NC

ING

LIM

ITE

D2

0

ST

RA

Te

gIC

Re

Po

RT

: P

oR

TF

ol

Io A

dV

ISe

R’S

Re

VIe

wS

TR

AT

eg

IC R

eP

oR

T:

ST

RA

Te

gIC

oV

eR

VIe

w

21

Max

imu

m E

xpo

sure

% o

f an

Un

de

rlyi

ng

Co

mp

any�

s G

ross

Ass

et V

alu

e

Pe

r o

blig

or

5

Pe

r in

du

stry

sec

tor

15

(Wit

h t

he

exc

ep

tio

n

of

on

e in

du

stry

,

wh

ich

may

be

up

to 2

0%

)

To o

blig

ors

wit

h a

rat

ing

low

er t

han

B-/

B3

/B-

7.5

To s

eco

nd

lien

loan

s, u

nse

cure

d lo

ans,

me

zzan

ine

loan

s an

d

hig

h y

ield

bo

nd

s10

Fo

r th

e p

urp

ose

s o

f th

ese

Elig

ibili

ty C

rite

ria

, �g

ross

ass

et

val

ue

�

shal

l me

an g

ross

ass

ets

, in

clu

din

g a

ny

inv

est

me

nts

in C

LO

Se

curi

tie

s

an

d a

ny

un

dra

wn

co

mm

itm

en

t am

ou

nt

of

any

ge

ari

ng

un

de

r a

ny

de

bt

faci

lity.

Fu

rth

er,

fo

r th

e a

vo

ida

nce

of

do

ub

t, t

he

�m

ax

imu

m

ex

po

sure

s� s

et

ou

t in

th

e E

ligib

ility

Cri

teri

a s

ha

ll a

pp

ly o

n a

tra

de

dat

e b

asi

s.

Ea

ch o

f th

ese

Elig

ibili

ty C

rite

ria

will

be

me

asu

red

at

the

clo

se o

f

ea

ch B

usi

ne

ss D

ay o

n w

hic

h a

ne

w in

ve

stm

en

t is

ma

de

, an

d t

he

re

will

be

no

re

qu

ire

me

nt

to s

ell

do

wn

in t

he

ev

en

t th

e li

mit

s ar

e

bre

ach

ed

at

an

y s

ub

seq

ue

nt

po

int

(fo

r in

sta

nce

, as

a r

esu

lt o

f

mo

ve

me

nt

in t

he

gro

ss a

sse

t v

alu

e, o

r th

e s

ale

or

do

wn

gra

din

g

of

an

y a

sse

ts h

eld

by

an

Un

de

rly

ing

Co

mp

an

y).

In a

dd

itio

n, e

ach

CL

O in

wh

ich

an

Un

de

rly

ing

Co

mp

an

y h

old

s C

LO

Se

curi

tie

s an

d e

ach

Lo

an W

are

ho

use

in w

hic

h a

n U

nd

erl

yin

g

Co

mp

any

inv

est

s w

ill h

av

e it

s o

wn

elig

ibili

ty c

rite

ria

an

d p

ort

folio

limit

s. T

he

se li

mit

s a

re d

esi

gn

ed

to

en

sure

th

at: (

i) t

he

po

rtfo

lio o

f

ass

ets

wit

hin

th

e C

LO

me

ets

a p

resc

rib

ed

lev

el o

f d

ive

rsit

y a

nd

qu

alit

y a

s se

t b

y t

he

re

lev

ant

rati

ng

ag

en

cie

s th

at

rate

se

curi

tie

s

issu

ed

by

su

ch C

LO

, or

(ii)

in t

he

ca

se o

f a

Lo

an W

are

ho

use

, th

at

the

wa

reh

ou

sed

ass

ets

will

ev

en

tua

lly b

e e

ligib

le f

or

a ra

ted

CL

O.

Th

e C

LO

Ma

na

ge

r w

ill s

ee

k t

o id

en

tify

an

d a

cti

ve

ly m

an

age

ass

ets

wh

ich

me

et

tho

se c

rite

ria

an

d li

mit

s w

ith

in e

ach

CL

O o

r L

oa

n

Wa

reh

ou

se. T

he

elig

ibili

ty c

rite

ria

an

d p

ort

folio

lim

its

wit

hin

a C

LO

or

Lo

an

War

eh

ou

se m

ay in

clu

de

th

e f

ollo

win

g:

A li

mit

on

th

e w

eig

hte

d a

ve

rag

e li

fe o

f th

e p

ort

folio

;

A li

mit

on

th

e w

eig

hte

d a

ve

rag

e r

ati

ng

of

the

po

rtfo

lio;

A li

mit

on

th

e m

ax

imu

m a

mo

un

t o

f p

ort

folio

ass

ets

wit

h a

rat

ing

low

er

tha

n B

-/B

3/B

-; a

nd

A li

mit

on

th

e m

inim

um

div

ers

ity

of

the

po

rtfo

lio.

CL

Os

in w

hic

h a

n U

nd

erl

yin

g C

om

pa

ny

may

ho

ld C

LO

Se

curi

tie

s

or

Lo

an

War

eh

ou

ses

in w

hic

h a

nU

nd

erl

yin

g C

om

pa

ny

may

inv

est

als

o h

ave

ce

rtai

n o

the

r cr

ite

ria

and

lim

its,

wh

ich

may

incl

ud

e:

A li

mit

on

th

e m

inim

um

we

igh

ted

av

era

ge

of

the

pre

scri

be

d

rati

ng

ag

en

cy

re

cov

ery

ra

te;

A li

mit

on

th

e m

inim

um

am

ou

nt

of

sen

ior

secu

red

ass

ets

;

A li

mit

on

th

e m

axim

um

ag

gre

gat

e e

xp

osu

re t

o s

eco

nd

lie

n

loa

ns,

hig

h y

ield

bo

nd

s, m

ezz

anin

e lo

ans

an

d u

nse

cure

d lo

ans;

A li

mit

on

th

e m

axi

mu

m p

ort

folio

exp

osu

re t

o c

ov

en

ant-

lite

loan

s;

An

exc

lusi

on

of

pro

jec

t fi

nan

ce lo

an

s;

An

exc

lusi

on

of

stru

ctu

red

fin

ance

se

curi

tie

s;

An

exc

lusi

on

on

inv

est

ing

in t

he

de

bt

of

com

pa

nie

s d

om

icile

d in

cou

ntr

ies

wit

h a

loc

al c

urr

en

cy

su

b-i

nv

est

me

nt

gra

de

rat

ing

; an

d

An

exc

lusi

on

of

leas

es.

Th

is is

no

t an

ex

ha

ust

ive

list

of

the

elig

ibili

ty c

rite

ria

an

d p

ort

folio

limit

s w

ith

in a

ty

pic

al C

LO

or

Lo

an

Wa

reh

ou

se a

nd

th

e in

clu

sio

n

or

exc

lusi

on

of

such

lim

its

an

d t

he

ir a

bso

lute

lev

els

are

su

bje

ct

toch

an

ge

de

pe

nd

ing

on

ma

rke

t co

nd

itio

ns.

An

y s

uch

lim

its

app

lied

sh

all b

e m

ea

sure

d a

t th

e t

ime

of

inv

est

me

nt

in e

ach

CL

O

or

Lo

an

Wa

reh

ou

se.

Ch

ang

es

to In

ve

stm

en

t P

olic

y

An

y m

ate

rial

ch

an

ge

to

th

e in

ve

stm

en

t p

olic

y o

f th

e C

om

pan

y

wo

uld

be

ma

de

on

ly w

ith

th

e a

pp

rov

al o

f O

rdin

ary

Sh

are

ho

lde

rs.

It is

inte

nd

ed

th

at t

he

inv

est

me

nt

po

licy

of

ea

ch s

ub

stan

tia

l

Un

de

rly

ing

Co

mp

any

will

mir

ror

the

Co

mp

any

�s in

ve

stm

en

t p

olic

y,

sub

jec

t to

su

ch a

dd

itio

na

l re

stri

cti

on

s as

may

be

ad

op

ted

by

a

sub

stan

tia

l Un

de

rly

ing

Co

mp

an

y f

rom

tim

e t

o t

ime

. Th

e C

om

pa

ny

will

re

ceiv

e p

eri

od

ic r

ep

ort

s fr

om

ea

ch s

ub

sta

nti

al U

nd

erl

yin

g

Co

mp

an

y in

re

lati

on

to

th

e im

ple

me

nta

tio

n o

f su

ch s

ub

sta

nti

al

Un

de

rly

ing

Co

mp

any

�s in

ve

stm

en

t p

olic

y t

o e

na

ble

th

e C

om

pa

ny

to h

ave

ov

ers

igh

t o

f it

s a

cti

vit

ies.

If a

su

bst

anti

al U

nd

erl

yin

g C

om

pa

ny

pro

po

ses

to m

ake

an

y c

han

ge

s

(mat

eri

al o

r o

the

rwis

e)

to it

s in

ve

stm

en

t p

olic

y, t

he

Dir

ec

tors

will

see

k O

rdin

ary

Sh

are

ho

lde

r ap

pro

val o

f an

y ch

ang

es

wh

ich

are

eit

he

r

mat

eri

al in

th

eir

ow

n r

igh

t o

r, w

he

n v

iew

ed

as

a w

ho

le t

og

eth

er

wit

h p

rev

iou

s n

on

-mat

eri

al c

ha

ng

es,

co

nst

itu

te a

mat

eri

al c

ha

ng

e

fro

m t

he

pu

blis

he

d in

ve

stm

en

t p

olic

y o

f th

e C

om

pa

ny.

If O

rdin

ary

Sh

are

ho

lde

rs d

o n

ot

ap

pro

ve

th

e c

ha

ng

e in

inv

est

me

nt

po

licy

of

the

Co

mp

an

y s

uch

th

at

it is

on

ce a

ga

in m

ate

ria

lly c

on

sist

en

t w

ith

that

of

such

su

bst

an

tia

l Un

de

rly

ing

Co

mp

an

y, t

he

Dir

ect

ors

will

red

ee

m t

he

Co

mp

any

�s in

ve

stm

en

t in

su

ch s

ub

stan

tia

l Un

de

rly

ing

Co

mp

an

y (

eit

he

r d

ire

ctl

y o

r, if

th

e C

om

pan

y�s

inv

est

me

nt

in

asu

bsi

dia

ry is

inv

est

ed

by

su

ch s

ub

sid

iary

in s

uch

su

bst

an

tial

Un

de

rly

ing

Co

mp

an

y (

eit

he

r d

ire

ctl

y o

r th

rou

gh

on

e o

r m

ore

oth

er

Un

de

rly

ing

Co

mp

anie

s), b

y r

ed

ee

min

g t

he

se

curi

tie

s h

eld

by

th

e

Co

mp

an

y in

su

ch s

ub

sid

iary

an

d p

rocu

rin

g t

hat

th

e s

ub

sid

iary

red

ee

ms

its

inv

est

me

nt

in s

uch

su

bst

an

tia

l Un

de

rly

ing

Co

mp

an

ies

(eit

he

r d

ire

ctl

y o

r th

rou

gh

on

e o

r m

ore

oth

er

Un

de

rly

ing

Co

mp

an

ies)

), a

s so

on

as

reas

on

ab

ly p

rac

tic

able

bu

t a

tal

l tim

es

sub

ject

to

th

e r

ele

van

t le

gal

, re

gu

lato

ry a

nd

co

ntr

actu

al o

blig

atio

ns.

Th

e B

oa

rd c

on

sid

ers

BC

F t

o b

e a

su

bst

an

tial

Un

de

rly

ing

Co

mp

an

y.

Inv

est

me

nt

Po

lic

y

ov

erv

iew

As

ou

tlin

ed

in t

he

Co

mp

an

y�s

Pro

spe

ctu

s, t

he

Co

mp

an

y�s

inv

est

me

nt

po

licy

is t

o in

ve

st (

dir

ec

tly,

or

ind

ire

ctl

y t

hro

ug

h o

ne

or

mo

re U

nd

erl

yin

g C

om

pa

nie

s) in

a d

ive

rse

po

rtfo

lio o

f se

nio

r

secu

red

loan

s (i

ncl

ud

ing

bro

ad

ly s

yn

dic

ate

d, m

idd

le m

ark

et

or

oth

er

loa

ns)

(su

ch in

ve

stm

en

ts b

ein

g m

ad

e b

y t

he

Un

de

rly

ing

Co

mp

anie

s d

ire

ctl

y o

r th

rou

gh

inv

est

me

nts

in L

oa

n W

are

ho

use

s),

bo

nd

s a

nd

CL

O S

ecu

riti

es,

an

d g

en

era

te a

ttra

cti

ve

ris

k-a

dju

ste

d

retu

rns

fro

m s

uch

po

rtfo

lios.

Th

e C

om

pa

ny

inte

nd

s to

pu

rsu

e it

s

inv

est

me

nt

po

licy

by

inv

est

ing

(th

rou

gh

on

e o

r m

ore

su

bsi

dia

rie

s)

in p

rofi

t p

art

icip

atin

g in

stru

me

nts

(o

r si

mila

r se

curi

tie

s) is

sue

d b

y

on

e o

r m

ore

Un

de

rly

ing

Co

mp

an

ies.

Ea

ch U

nd

erl

yin

g C

om

pa

ny

will

use

th

e p

roce

ed

s fr

om

th

e is

sue

of

the

pro

fit

pa

rtic

ipat

ing

inst

rum

en

ts (

or

sim

ilar

secu

riti

es)

, to

ge

the

r

wit

h t

he

pro

cee

ds

fro

m o

the

r fu

nd

ing

or

fin

an

cin

g a

rra

ng

em

en

ts

it h

as

in p

lace

cu

rre

ntl

y o

r m

ay h

ave

in t

he

fu

ture

, to

inv

est

in:

(i)

sen

ior

secu

red

loan

s, b

on

ds,

CL

O S

ecu

riti

es

and

Lo

an W

are

ho

use

s;

or

(ii)

oth

er

Un

de

rly

ing

Co

mp

anie

s w

hic

h, t

he

mse

lve

s, in

ve

st in

sen

ior

secu

red

loan

s, b

on

ds,

CL

O S

ecu

riti

es

an

d L

oan

Wa

reh

ou

ses.

Th

e U

nd

erl

yin

g C

om

pa

nie

s m

ay in

ve

st in

Eu

rop

ea

n o

r U

S s

en

ior

secu

red

loan

s, b

on

ds,

CL

O S

ecu

riti

es,

Lo

an

Wa

reh

ou

ses

and

oth

er

ass

ets

in a

cco

rdan

ce w

ith

th

e in

ve

stm

en

t p

olic

y o

f th

e U

nd

erl

yin

g

Co

mp

anie

s. In

ve

stm

en

ts in

Lo

an

Wa

reh

ou

ses,

wh

ich

are

ge

ne

rally

ex

pe

cte

d t

o b

e s

ub

ord

inat

ed

to

se

nio

r fi

na

nce

pro

vid

ed

by

thir

d-p

arty

ban

ks,

will

ty

pic

ally

be

in t

he

fo

rm o

f a

n o

blig

atio

n t

o

pu

rch

ase

pre

fere

nce

sh

are

s o

r a

sub

ord

inat

ed

loa

n. T

he

re is

no

limit

on

th

e m

ax

imu

m U

S o

r E

uro

pe

an

ex

po

sure

. Th

e U

nd

erl

yin

g

Co

mp

anie

s d

o n

ot

inv

est

su

bst

anti

ally

dir

ec

tly

in s

en

ior

secu

red

loan

s o

r b

on

ds

do

mic

iled

ou

tsid

e N

ort

h A

me

rica

or

We

ste

rn E

uro

pe

.

Inv

est

me

nt

lim

its

an

d R

isk

div

ers

ific

ati

on

Th

e C

om

pan

y�s

inv

est

me

nt

stra

teg

y is

to

imp

lem

en

t it

s in

ve

stm

en

t

po

licy

by

inv

est

ing

dir

ec

tly

or

ind

ire

ctl

y t

hro

ug

h t

he

Un

de

rly

ing

Co

mp

anie

s, in

a p

ort

folio

of

sen

ior

secu

red

loa

ns

an

d b

on

ds

or

inL

oan

Wa

reh

ou

ses

con

tain

ing

se

nio

r se

cure

d lo

ans

an

d b

on

ds

an

d,i

n c

on

ne

cti

on

wit

h s

uch

str

ate

gy,

to

ow

n d

eb

t a

nd

eq

uit

y

tra

nch

es

of

CL

Os

an

d, i

n t

he

ca

se o

f E

uro

pe

an C

LO

s an

d c

ert

ain

US

CL

Os,

to

be

th

e r

isk

rete

nti

on

pro

vid

er

in e

ach

.

Th

e U

nd

erl

yin

g C

om

pa

nie

s m

ay p

eri

od

ica

lly s

ecu

riti

se a

po

rtio

n

of

the

loa

ns,

or

a L

oa

n W

are

ho

use

in w

hic

h t

he

y in

ve

st, i

nto

CL

Os

wh

ich

may

be

ma

na

ge

d e

ith

er

by

su

ch U

nd

erl

yin

g C

om

pa

ny

itse

lf,

by

BIL

or

BL

CS

(o

r o

ne

of

the

ir a

ffili

ate

s), i

n t

he

ir c

apa

city

as

the

CL

O M

an

ag

er.

Wh

ere

co

mp

lian

ce w

ith

th

e E

uro

pe

an R

isk

Re

ten

tio

n R

eq

uir

em

en

ts

is s

ou

gh

t (w

hic

h m

ay in

clu

de

bo

th E

UR

an

d U

S C

LO

s) t

he

Un

de

rly

ing

Co

mp

anie

s w

ill r

eta

in e

xpo

sure

s o

f e

ach

CLO

, wh

ich

may

be

he

ld a

s:

CL

O In

com

e N

ote

s e

qu

al t

o: (

i) b

etw

ee

n 5

1% a

nd

10

0%

of

the

CL

O

Inco

me

No

tes

issu

ed

by

ea

ch s

uch

CL

O in

th

e c

ase

of

Eu

rop

ean

CL

Os;

or

(ii)

CL

O In

com

e N

ote

s re

pre

sen

tin

g a

t le

ast

5%

of

the

cre

dit

ris

k r

ela

tin

g t

o t

he

ass

ets

co

llate

ralis

ing

th

e C

LO

in t

he

cas

e o

f U

S C

LO

s (e

ach

of

(i)

and

(ii)

, (th

e �

ho

rizo

nta

l str

ip�)

; or

No

t le

ss t

ha

n 5

% o

f th

e p

rin

cip

al a

mo

un

t o

f e

ach

of

the

tra

nch

es

of

CL

O S

ecu

riti

es

in e

ach

su

ch C

LO

(th

e �

ve

rtic

al s

trip

�).

In t

he

ca

se o

f d

ea

ls s

tru

ctu

red

to

be

co

mp

lian

t w

ith

th

e E

uro

pe

an

Ris

k R

ete

nti

on

Re

qu

ire

me

nts

, th

e a

pp

lica

ble

Un

de

rly

ing

Co

mp

an

y

may

de

term

ine

th

at,

du

e t

o it

s ro

le a

s a

n �

ori

gin

ato

r� w

ith

re

spe

ct

to s

uch

tra

nsa

cti

on

, su

ch U

nd

erl

yin

g C

om

pan

y s

ho

uld

als

o c

om

ply

wit

h t

he

US

Ris

k R

ete

nti

on

Re

gu

lati

on

s. In

ad

dit

ion

, an

Un

de

rly

ing

Co

mp

an

y m

ay in

ve

st in

CL

Os,

su

ch a

s m

idd

le m

ark

et

CL

Os,

wh

ich

are

no

t e

xem

pt

fro

m t

he

US

Ris

k R

ete

nti

on

Re

gu

lati

on

s an

d, a

s

are

sult

, may

be

re

qu

ire

d t

o r

eta

in e

xpo

sure

to

su

ch C

LO

s in

acc

ord

ance

wit

h s

uch

ru

les.

In s

uch

a s

cen

ario

, th

e U

nd

erl

yin

g

Co

mp

an

y w

ill r

eta

in e

xp

osu

res

to s

uch

tra

nsa

cti

on

s fo

r th

e

pu

rpo

se o

f co

mp

lyin

g w

ith

th

e U

S R

isk

Re

ten

tio

n R

eg

ula

tio

ns,

wh

ich

may

be

he

ld a

s:

CL

O In

com

e N

ote

s re

pre

sen

tin

g a

t le

ast

5%

of

the

fa

ir m

arke

t

va

lue

of

the

CL

O S

ecu

riti

es

(in

clu

din

g C

LO

Inco

me

No

tes)

issu

ed

by

su

ch C

LO

(th

e �

US

ho

rizo

nta

l str

ip�)

;

A v

ert

ical

str

ip; o

r

A c

om

bin

ati

on

of

a v

ert

ical

str

ip a

nd

US

ho

rizo

nta

l str

ip.

To

th

e e

xte

nt

attr

ibu

tab

le t

o t

he

Co

mp

an

y, t

he

va

lue

of

the

CL

O

Inco

me

No

tes

reta

ine

d b

y U

nd

erl

yin

g C

om

pa

nie

s in

an

y C

LO

will

no

t e

xce

ed

25

% o

f th

e P

ub

lish

ed

NA

V o

f th

e C

om

pan

y a

t th

e t

ime

of

inv

est

me

nt.

Inv

est

me

nts

in C

LO

Inco

me

No

tes

and

loa

n w

are

ho

use

s a

re h

igh

ly

lev

era

ge

d. G

ain

s a

nd

loss

es

rela

tin

g t

o u

nd

erl

yin

g s

en

ior

secu

red

loan

s w

ill g

en

era

lly b

e m

agn

ifie

d. F

urt

he

r, t

o t

he

ex

ten

t at

trib

uta

ble

to t

he

Co

mp

an

y, t

he

ag

gre

gat

e v

alu

e o

f in

ve

stm

en

ts m

ad

e b

y

Un

de

rly

ing

Co

mp

anie

s in

ve

rtic

al s

trip

s o

f C

LO

s (n

et

of

an

y d

ire

ctl

y

attr

ibu

tab

le f

ina

nci

ng

) w

ill n

ot

exc

ee

d 1

5%

of

the

Pu

blis

he

d N

AV

of

the

Co

mp

an

y a

t th

e t

ime

of

inv

est

me

nt.

Th

is li

mit

atio

n s

hal

l ap

ply

to U

nd

erl

yin

g C

om

pa

nie

s in

ag

gre

ga

te a

nd

no

t to

Un

de

rly

ing

Co

mp

an

ies

ind

ivid

ua

lly.

Lo

an W

are

ho

use

s m

ay e

ve

ntu

ally

be

se

curi

tise

d in

to C

LO

s m

anag

ed

eit

he

r b

y a

n U

nd

erl

yin

g C

om

pa

ny

itse

lf o

r b

y B

IL o

r B

LC

S (

or

on

e o

f

the

ir a

ffili

ate

s), i

n t

he

ir c

ap

aci

ty a

s th

e C

LO

Ma

nag

er.

To

th

e e

xte

nt

attr

ibu

tab

le t

o t

he

Co

mp

an

y, t

he

ag

gre

gat

e v

alu

e o

f in

ve

stm

en

ts

ma

de

by

Un

de

rly

ing

Co

mp

an

ies

in a

ny

sin

gle

ex

tern

ally

fin

ance

d

wa

reh

ou

se (

ne

t o

f an

y d

ire

ctl

y a

ttri

bu

tab

le f

ina

nci

ng

) sh

all

no

t

exc

ee

d 2

0%

of

the

NA

V o

f th

e C

om

pan

y a

t th

e t

ime

of

inv

est

me

nt,

an

d in

all

ex

tern

ally

fin

ance

d w

are

ho

use

s ta

ken

to

ge

the

r (n

et

of

an

y d

ire

ctl

y a

ttri

bu

tab

le f

ina

nci

ng

) sh

all

no

t e

xce

ed

30

% o

f th

e

NA

V o

f th

e C

om

pa

ny

at

the

tim

e o

f in

ve

stm

en

t. T

he

se li

mit

ati

on

s

shal

l ap

ply

to

Un

de

rly

ing

Co

mp

an

ies

in a

gg

reg

ate

an

d n

ot

to

Un

de

rly

ing

Co

mp

an

ies

ind

ivid

ua

lly.

Th

e f

ollo

win

g li

mit

s (t

he

�E

ligib

ility

Cri

teri

a�)

ap

ply

to

se

nio

r

secu

red

loa

ns

an

d b

on

ds

(an

d, t

o t

he

ex

ten

t a

pp

licab

le, o

the

r

corp

ora

te d

eb

t in

stru

me

nts

) d

ire

ctl

y h

eld

by

an

y U

nd

erl

yin

g

Co

mp

an

y (

an

d n

ot

thro

ug

h C

LO

Se

curi

tie

s o

r L

oan

Wa

reh

ou

ses)

:

20

20

AN

NU

AL

RE

PO

RT

| B

LA

CK

ST

ON

E L

OA

N F

INA

NC

ING

LIM

ITE

D2

2

ST

RA

Te

gIC

Re

Po

RT

: S

TR

AT

eg

ICo

Ve

RV

Iew

ST

RA

Te

gIC

Re

Po

RT

: S

TR

AT

eg

ICo

Ve

RV

Iew

23

Se

cti

on

17

2(1

) S

tate

me

nt

Th

e C

om

pan

y, b

ein

g a

me

mb

er

of

the

AIC

, co

mp

lies

wit

h P

rov

isio

n 5

of

the

AIC

Co

de

an

d

con

seq

ue

ntl

y v

olu

nta

rily

co

mp

lies

wit

h s

ect

ion

17

2(1

) o

f th

e U

K C

om

pan

ies

Act

20

06

to

act

in a

way

th

at p

rom

ote

s th

e s

ucc

ess

of

the

Co

mp

any

fo

r th

e b

en

efi

t o

f it

s sh

are

ho

lde

rs a

s a

wh

ole

, hav

ing

re

gar

d t

o (a

mo

ng

st o

the

r th

ing

s):

the

like

ly c

on

seq

ue

nce

s o

f a

ny

de

cisi

on

in t

he

lon

g-t

erm

;

the

inte

rest

s o

f th

e C

om

pan

y�s

em

plo

ye

es;

the

ne

ed

to

fo

ste

r th

e C

om

pa

ny

�s b

usi

ne

ss r

ela

tio

nsh

ips

wit

h s

up

plie

rs, c

ust

om

ers

an

do

the

rs;

the

imp

ac

t o

f th

e C

om

pa

ny

�s o

pe

rati

on

s o

n t

he

co

mm

un

ity

an

d t

he

en

vir

on

me

nt;

the

de

sira

bili

ty o

f th

e C

om

pa

ny

ma

inta

inin

g a

re

pu

tati

on

fo

r h

igh

sta

nd

ard

s o

f b

usi

ne

ss

con

du

ct;

an

d

the

ne

ed

to

act

fa

irly

as

be

twe

en

me

mb

ers

of

the

Co

mp

an

y.

Th

e B

oar

d m

ain

tain

s a

re

pu

tati

on

fo

r h

igh

sta

nd

ard

s o

f b

usi

ne

ss c

on

du

ct

an

d e

nd

eav

ou

rs

to a

ct f

air

ly a

s b

etw

ee

n m

em

be

rs o

f th

e C

om

pa

ny

by

ac

tin

g w

ith

inte

gri

ty a

nd

est

ab

lish

ing

tru

st a

s re

ferr

ed

to

in t

he

Co

mp

any

�s V

alu

es.

Ad

dit

ion

ally

, th

e C

om

pan

y c

om

plie

s w

ith

th

e

Pri

nci

ple

s a

nd

Pro

vis

ion

s o

f th

e A

IC C

od

e a

s d

eta

iled

in t

he

Sta

tem

en

t o

f C

om

plia

nce

wit

h

Co

rpo

rate

Go

ve

rna

nce

on

pag

e 4

7. I

nfo

rmat

ion

on

ho

w t

he

Bo

ard

ha

s e

ng

ag

ed

wit

h it

s

stak

eh

old

ers

an

d p

rom

ote

d t

he

su

cce

ss o

f th

e C

om

pan

y, w

hils

t h

avin

g r

eg

ard

to

th

e a

bo

ve

,

is o

utl

ine

d o

n p

ag

es

26

to

28

. Th

is c

ov

ers

th

e k

ey

de

cisi

on

s th

e B

oa

rd h

as t

ake

n d

uri

ng

the

ye

ar.

Co

mp

an

y B

orr

ow

ing

Lim

it

Th

e C

om

pa

ny

will

no

t u

tilis

e b

orr

ow

ing

s fo

r in

ve

stm

en

t p

urp

ose

s.

Ho

we

ve

r, t

he

Dir

ec

tors

are

pe

rmit

ted

to

bo

rro

w u

p t

o 1

0%

of

the

Co

mp

any

�s P

ub

lish

ed

NA

V f

or

day

-to

-day

ad

min

istr

ati

on

an

d c

ash

ma

na

ge

me

nt

pu

rpo

ses.

Fo

r th

e a

vo

idan

ce o

f d

ou

bt,

th

is li

mit

on

ly

ap

plie

s to

th

e C

om

pa

ny

an

d n

ot

the

Un

de

rly

ing

Co

mp

an

ies.

In a

cco

rda

nce

wit

h t

he

Co

mp

an

y�s

Pro

spe

ctu

s, t

he

Co

mp

any

may

use

he

dg

ing

or

de

riv

ativ

es

(bo

th lo

ng

an

d s

ho

rt)

for

the

pu

rpo

ses

of

eff

icie

nt

po

rtfo

lio m

ana

ge

me

nt.

It is

inte

nd

ed

th

at u

p t

o 1

00

%

(as

ap

pro

pri

ate

) o

f th

e C

om

pa

ny

�s e

xp

osu

re t

o a

ny

no

n-E

uro

ass

ets

will

be

he

dg

ed

, su

bje

ct

to s

uit

ab

le h

ed

gin

g c

on

tra

cts

be

ing

av

aila

ble

at

ap

pro

pri

ate

tim

es

and

on

acc

ep

tab

le t

erm

s.

Inv

est

me

nt

Str

ate

gy

Wh

eth

er

the

se

nio

r se

cure

d lo

ans,

bo

nd

s o

r o

the

r as

sets

are

he

ld

dir

ec

tly

by

an

Un

de

rly

ing

Co

mp

an

y o

r v

ia C

LO

Se

curi

tie

s o

r L

oa

n

Wa

reh

ou

ses,

it is

inte

nd

ed

th

at, i

n a

ll c

ase

s, t

he

po

rtfo

lios

will

be

ac

tiv

ely

ma

na

ge

d (

by

th

e U

nd

erl

yin

g C

om

pa

nie

s o

r th

e C

LO

Ma

nag

er,

as

the

cas

e m

ay b

e)

to m

inim

ise

de

fau

lt r

isk

and

po

ten

tial

loss

th

rou

gh

co

mp

reh

en

siv

e c

red

it a

na

lysi

s p

erf

orm

ed

by

th

e

Un

de

rly

ing

Co

mp

anie

s o

r th

e C

LO

Ma

nag

er

(as

ap

plic

ab

le).

Ve

rtic

al s

trip

s in

CL

Os

in w

hic

h U

nd

erl

yin

g C

om

pa

nie

s m

ay in

ve

st

are

ex

pe

cte

d t

o b

e f

ina

nce

d p

artl

y t

hro

ug

h t

erm

fin

an

ce f

or

inv

est

me

nt-

gra

de

CL

O S

ecu

riti

es,

wit

h t

he

ba

lan

ce b

ein

g p

rov

ide

d

by

th

e r

ele

va

nt

Un

de

rly

ing

Co

mp

an

y in

ve

stin

g in

su

ch C

LO

. Th

is

term

fin

anci

ng

may

be

fu

ll-re

cou

rse

, no

n-m

ark

to m

ark

et,

lon

g-t

erm

fin

an

cin

g w

hic

h m

ay, a

mo

ng

oth

er

thin

gs,

mat

ch t

he

ma

turi

ty o

f

the

re

lev

an

t C

LO

or

mat

ch t

he

re

inv

est

me

nt

pe

rio

d o

r n

on

-cal

l

pe

rio

d o

f th

e r

ele

va

nt

CL

O. I

n p

art

icu

lar,

an

d a

lth

ou

gh

no

t fo

rmin

g

pa

rt o

f th

e C

om

pa

ny

�s in

ve

stm

en

t p

olic

y, t

he

fo

llow

ing

lev

els

of,

or

limit

atio

ns

on

, le

ve

rag

e a

re e

xp

ec

ted

in r

ela

tio

n t

o in

ve

stm

en

ts

ma

de

by

Un

de

rly

ing

Co

mp

an

ies:

Se

nio

r se

cure

d lo

an

s a

nd

bo

nd

s m

ay b

e le

ve

red

up

to

2.5

x w

ith

term

fin

an

ce;

Inv

est

me

nts

in �

firs

t lo

ss�

po

siti

on

s o

r th

e �

wa

reh

ou

se e

qu

ity

�

inL

oa

n W

are

ho

use

s w

ill n

ot

be

lev

ere

d;

CL

O I

nco

me

No

tes

will

no

t b

e le

ve

red

;

Inv

est

me

nts

in C

LO

Se

curi

tie

s ra

ted

B-

an

d a

bo

ve

at

the

tim

e

of

issu

e m

ay

be

fu

nd

ed

en

tire

ly w

ith

te

rm f

ina

nce

; an

d

Inv

est

me

nts

in a

ve

rtic

al s

trip

may

be

lev

ere

d 6

.0-7

.0x

, wit

h

term

fin

an

ce a

s d

esc

rib

ed

ab

ov

e.

To

th

e e

xte

nt

tha

t th

ey

are

fin

ance

d, v

ert

ica

l str

ips

are

an

tici

pat

ed

to r

eq

uir

e le

ss c

ap

ital

th

an

ho

rizo

nta

l str

ips,

wh

ich

is e

xp

ec

ted

to

resu

lt in

mo

re e

ffic

ien

t u

se o

f th

e U

nd

erl

yin

g C

om

pa

nie

s� c

apit

al.

In a

dd

itio

n, s

ince

th

e r

etu

rn p

rofi

le o

n f

ina

nce

d v

ert

ica

l str

ips

is

dif

fere

nt

to r

eta

ine

d C

LO

Inco

me

No

tes,

BX

Cre

dit

be

liev

es

tha

t

ve

rtic

al s

trip

s m

ay b

e m

ore

ro

bu

st t

hro

ug

h a

ma

rke

t d

ow

ntu

rn,

alt

ho

ug

h p

roje

cte

d IR

Rs

may

be

slig

htl

y lo

we

r. H

ow

ev

er,

an

inv

est

me

nt

in v

ert

ica

l str

ips

is n

ot

ex

pe

cte

d t

o im

pa

ct t

he

Co

mp

an

y�s

sta

ted

ta

rge

t re

turn

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Fro

m t

ime

to

tim

e, a

s p

art

of

its

on

go

ing

po

rtfo

lio m

an

ag

em

en

t,

the

Un

de

rly

ing

Co

mp

an

ies

may

se

ll p

osi

tio

ns

as a

nd

wh

en

su

ita

ble

op

po

rtu

nit

ies

aris

e. W

he

re n

ot

bo

un

d b

y ri

sk r

ete

nti

on

re

qu

ire

me

nts

,

it is

th

e in

ten

tio

n t

hat

th

e U

nd

erl

yin

g C

om

pan

ies

wo

uld

se

ek

to

ma

inta

in c

on

tro

l of

the

ca

ll o

pti

on

of

an

y C

LO

s se

curi

tise

d.

Wit

h r

esp

ec

t to

inv

est

me

nts

in C

LO

Se

curi

tie

s, w

hile

th

e

Un

de

rly

ing

Co

mp

an

ies

ma

inta

in a

fo

cus

on

inv

est

ing

in n

ew

ly

issu

ed

CL

Os,

it w

ill a

lso

ev

alu

ate

th

e s

eco

nd

ary

ma

rke

t fo

r

sou

rcin

g p

ote

nti

al i

nv

est

me

nt

op

po

rtu

nit

ies

in C

LO

Se

curi

tie

s.

Wh

ilst

the

inte

nti

on

is t

o p

urs

ue

an

ac

tiv

e, n

on

-be

nch

ma

rk t

ota

l

retu

rn s

trat

eg

y, t

he

Co

mp

an

y is

co

gn

isan

t o

f th

e p

osi

tio

nin

g o

f

the

loa

n p

ort

folio

s a

ga

inst

re

lev

an

t in

dic

es.

Acc

ord

ing

ly, t

he

Un

de

rly

ing

Co

mp

an

ies

will

tra

ck t

he

re

turn

s a

nd

vo

lati

lity

of

such

ind

ice

s, w

hile

se

eki

ng

to

ou

tpe

rfo

rm t

he

m o

n a

co

nsi

ste

nt

ba

sis.

In-d

ep

th, f

un

dam

en

tal c

red

it r

ese

arc

h d

icta

tes

na

me

se

lec

tio

n

an

d s

ec

tor

ov

er-

we

igh

tin

g/u

nd

er-

we

igh

tin

g r

ela

tiv

e t

o t

he

be

nch

mar

k, b

ack

sto

pp

ed

by

co

nst

ant

po

rtfo

lio m

on

ito

rin

g a

nd

risk

ov

ers

igh

t. T

he

Un

de

rly

ing

Co

mp

an

ies

will

ty

pic

ally

loo

k t

o

div

ers

ify

th

eir

po

rtfo

lios

to a

vo

id t

he

ris

k th

at a

ny

on

e o

blig

or

or

ind

ust

ry w

ill a

dv

ers

ely

imp

ac

t o

ve

rall

retu

rns.

Th

e U

nd

erl

yin

g

Co

mp

an

ies

als

o p

lace

an

em

ph

asi

s o

n lo

an

po

rtfo

lio li

qu

idit

y t

o

en

sure

th

at

if t

he

ir c

red

it o

utl

oo

k c

ha

ng

es,

th

ey

are

fre

e t

o

resp

on

d q

uic

kly

an

d e

ffe

cti

ve

ly t

o r

ed

uce

or

mit

iga

te r

isk

in t

he

ir

po

rtfo

lio. T

he

Co

mp

an

y b

elie

ve

s th

is in

ve

stm

en

t st

rate

gy

will

be

succ

ess

ful i

n t

he

fu

ture

as

a re

sult

of

its

em

ph

asis

on

ris

k

man

age

me

nt,

ca

pit

al p

rese

rvat

ion

an

d f

un

dam

en

tal c

red

it r

ese

arch

.

Th

e D

ire

cto

rs b

elie

ve

th

e b

est

way

to

co

ntr

ol a

nd

mit

igat

e r

isk

is

by

re

ma

inin

g d

isci

plin

ed

in m

arke

t c

ycl

es,

by

mak

ing

ca

refu

l cre

dit

de

cisi

on

s a

nd

ma

inta

inin

g a

de

qu

ate

div

ers

ific

ati

on

.

Th

e p

ort

folio

of

the

Un

de

rly

ing

Co

mp

an

ies

in w

hic

h t

he

Co

mp

an

y

inv

est

s (t

hro

ug

h it

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ho

lly-o

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dia

ry)

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ain

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roa

dly

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ide

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etw

ee

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uro

pe

an

CL

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LO

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Th

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rpo

rate

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SG

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cto

rs a

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art

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est

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nt

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ge

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fo

r fu

rth

er

de

tails

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Th

e C

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pa

ny

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h E

uro

as

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fun

cti

on

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urr

en

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Th

eR

ollo

ve

r A

sse

ts a

nd

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ign

ific

an

t p

rop

ort

ion

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the

po

rtfo

lio

of

ass

ets

he

ld b

y U

nd

erl

yin

g C

om

pa

nie

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wh

ich

th

e C

om

pa

ny

ha

s e

xp

osu

re m

ay,

fro

m t

ime

to

tim

e, b

e d

en

om

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ted

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curr

en

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the

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ro. I

n a

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uir

ed

, su

ch a

s te

lep

ho

ne

an

d e

ma

il

corr

esp

on

de

nce

, dis

cuss

ing

ad

-ho

c m

atte

rs w

hic

h m

ay a

rise

;

b)

mo

nth

ly m

ee

tin

gs

to r

ece

ive

up

dat

es

on

th

e p

erf

orm

an

ce o

f th

e p

ort

folio

;

c)q

uar

terl

y b

oar

d m

ee

tin

gs

to r

ece

ive

de

taile

d u

pd

ate

s o

n, b

ut

no

t lim

ite

d t

o, t

he

loan

an

d C

LO

mar

kets

an

d a

ctiv

ity

up

dat

es

for

the

Un

de

rly

ing

Co

mp

any.

Th

is in

clu

de

s d

iscu

ssio

ns

ab

ou

t

ca

pit

al i

nfl

ow

s, p

erf

orm

ance

of

curr

en

t in

ve

stm

en

ts a

nd

re

turn

att

rib

uti

on

;

d)

du

e d

ilig

en

ce m

ee

tin

gs

wit

h s

en

ior

rep

rese

nta

tiv

es

of

the

Po

rtfo

lio A

dv

ise

r h

eld

vir

tua

lly

in 2

02

0; a

nd

e)ad

-ho

c m

ee

tin

gs

to d

iscu

ss v

ario

us

day

-to

-day

op

era

tio

nal

mat

ters

or

stra

teg

ic m

atte

rs.

Th

e B

oa

rd e

ng

age

s w

ith

its

Ad

min

istr

ato

r o

n a

n o

n-g

oin

g b

asi

s in

clu

din

g:

a)R

eg

ula

r co

mm

un

icat

ion

wit

h r

ep

rese

nta

tiv

es,

su

ch a

s te

lep

ho

ne

an

d e

ma

il

corr

esp

on

de

nce

, to

dis

cuss

an

y a

d-h

oc

mat

ters

;

b)

mo

nth

ly m

ee

tin

gs

to d

iscu

ss t

he

Pu

blis

he

d N

AV

as

com

pu

ted

by

th

e A

dm

inis

tra

tor;

c)q

uar

terl

y B

oa

rd m

ee

tin

gs

at

wh

ich

th

e B

oa

rd r

ece

ive

s a

cco

un

tin

g, c

om

pa

ny

se

cre

tari

al

an

d c

om

plia

nce

up

dat

es

an

d li

aise

s w

ith

th

e A

dm

inis

tra

tor

on

an

y p

ert

ine

nt

mat

ters

;

d)

pro

du

cti

on

of

the

Co

mp

an

y�s

Ha

lf-Y

ea

rly

Fin

an

cial

Re

po

rt a

nd

An

nu

al R

ep

ort

an

d A

ud

ite

d

Fin

an

cial

Sta

tem

en

ts;

e)

ad

-ho

c m

ee

tin

gs

to d

iscu

ss v

ario

us

day

-to

-day

op

era

tio

na

l mat

ters

; an

d

f)a

nn

ua

l se

rvic

e r

ev

iew

me

eti

ng

s.

Th

e C

om

pa

ny

�s R

eg

istr

ar is

re

spo

nsi

ble

fo

r m

ain

tain

ing

th

e C

om

pa

ny

�s s

har

e r

eg

iste

r a

nd

fo

r

pro

cess

ing

an

y c

orp

ora

te a

ctio

ns.

Th

e R

eg

istr

ar�s

re

po

rts

are

av

aila

ble

via

an

on

line

pla

tfo

rm,

an

d t

he

Co

mp

an

y o

the

rwis

e e

ng

age

s as

ne

cess

ary

wit

h t

he

Re

gis

trar

via

em

ail

and

te

lep

ho

ne

.

ou

tco

me

Th

e C

om

pan

y is

we

ll m

an

age

d a

nd

th

e B

oa

rd r

ece

ive

s ap

pro

pri

ate

an

d t

ime

ly a

dv

ice

an

d g

uid

an

ce, t

og

eth

er

wit

h r

esp

on

ses

to a

ny

qu

eri

es

the

Bo

ard

ha

s. T

he

Bo

ard

�s e

ng

age

me

nt

wit

h it

s se

rvic

e p

rov

ide

rs e

na

ble

s it

to

he

lp f

aci

lita

te t

he

eff

ec

tiv

e r

un

nin

g o

f th

e

Co

mp

an

y. T

his

in-t

urn

he

lps

pro

mo

te t

he

Co

mp

an

y�s

su

stai

na

bili

ty.

Sta

ke

ho

lde

r e

ng

ag

em

en

t

Sh

are

ho

lde

rs

wh

y w

e e

ng

ag

eh

ow

we

en

ga

ge

Sh

are

ho

lde

rs p

rov

ide

th

e

ne

ce

ssa

ry c

ap

ita

l fo

r th

e

Co

mp

an

y t

o p

urs

ue

its

pu

rpo

se

an

d s

tra

teg

y a

s o

utl

ine

d i

n t

he

Co

mp

an

y’s

Pro

spe

ctu

s.

Th

e C

om

pa

ny

als

o a

ims

to e

nsu

re

its

lon

g-t

erm

su

cc

ess

an

d

sust

ain

ab

ilit

y t

hro

ug

h i

ts

sha

reh

old

er

rela

tio

nsh

ips,

ba

sed

on

tra

nsp

are

nc

y a

nd

op

en

ne

ss,

an

d t

he

reb

y f

ost

eri

ng

sha

reh

old

er

co

nfi

de

nc

e.

Th

is

in-t

urn

be

ne

fits

th

e l

iqu

idit

y o

f

the

Co

mp

an

y’s

sh

are

s a

nd

th

e

Co

mp

an

y’s

re

pu

tati

on

as

an

est

ee

me

d m

ark

et

pa

rtic

ipa

nt.

Th

e B

oa

rd e

ng

age

s w

ith

its

sha

reh

old

ers

by:

a)p

ub

lish

ing

:

i)an

no

un

cem

en

ts o

n t

he

LS

E, i

ncl

ud

ing

:

th

e C

om

pa

ny

�s P

ub

lish

ed

NA

V p

erf

orm

ance

, an

no

un

ced

on

a m

on

thly

ba

sis;

up

dat

ed

div

ide

nd

gu

idan

ce, a

s an

no

un

ced

wit

h r

eg

ard

to

th

e C

om

pan

y�s

up

dat

ed

div

ide

nd

po

licy

on

23

Ap

ril 2

02

0;

ii)m

on

thly

pe

rfo

rman

ce r

ep

ort

s, o

n t

he

Co

mp

any

�s w

eb

site

, co

ve

rin

g t

he

pe

rfo

rman

ce o

f

the

Co

mp

an

y a

nd

its

un

de

rly

ing

po

rtfo

lio, a

nd

incl

ud

ing

info

rmat

ion

on

th

e

com

po

siti

on

of

the

un

de

rly

ing

po

rtfo

lio;

iii)

mo

nth

ly m

arke

t co

mm

en

tary

re

po

rts

issu

ed

by

BX

Cre

dit

an

d p

ub

lish

ed

on

th

e

Co

mp

any�

s w

eb

site

(si

nce

Ju

ly 2

02

0)

cove

rin

g U

S a

nd

EU

loan

, hig

h y

ield

an

d C

LO

pe

rfo

rman

ce f

igu

res

wit

h c

om

me

nta

ry, a

s w

ell

as t

he

mar

ket

ou

tlo

ok;

iv)

qu

art

erl

y in

ve

sto

r re

po

rts,

pu

blis

he

d o

n t

he

Co

mp

an

y�s

we

bsi

te, w

hic

h p

rov

ide

an

ov

erv

iew

of

the

Co

mp

an

y�s

an

d t

he

Un

de

rly

ing

Co

mp

an

y�s

qu

art

erl

y r

esu

lts,

to

ge

the

r

wit

h a

ma

rke

t o

ve

rvie

w;

v)th

e C

om

pa

ny

�s H

alf

-Ye

arly

Fin

an

cial

Re

po

rt a

nd

th

e A

nn

ual

Re

po

rt a

nd

Au

dit

ed

Fin

an

cia

l Sta

tem

en

ts;

vi)

the

Co

mp

an

y�s

Ke

y I

nfo

rma

tio

n D

ocu

me

nt

an

d a

me

mo

ran

du

m o

n c

ost

s;

vii)

ad

-ho

c re

po

rts,

on

th

e C

om

pa

ny

�s w

eb

site

, as

and

wh

en

re

qu

ire

d t

o p

rov

ide

fu

rth

er

insi

gh

ts in

to t

he

re

lev

an

t m

ark

et

situ

ati

on

;

b)

the

Bo

ard

an

d r

ep

rese

nta

tive

s o

f th

e P

ort

folio

Ad

vis

er

ho

ldin

g in

ve

sto

r c

alls

to

pro

vid

e

ma

rke

t u

pd

ate

s. In

ad

dit

ion

to

qu

art

erl

y u

pd

ate

s th

e C

om

pa

ny

sch

ed

ule

d a

n a

d h

oc

cal

l on

27

Mar

ch 2

02

0 t

o p

rov

ide

all

sha

reh

old

ers

wit

h a

co

rpo

rate

up

dat

e in

lig

ht

of

the

Co

ron

avir

us

pa

nd

em

ic a

nd

its

exp

ec

ted

imp

ac

t o

n t

he

glo

bal

eco

no

my.

Go

ing

fo

rwa

rd it

is

an

tici

pat

ed

th

at

inv

est

or

calls

will

be

sch

ed

ule

d a

s re

qu

ire

d;

c)te

lep

ho

ne

dis

cuss

ion

s b

etw

ee

n D

ire

cto

rs a

nd

ind

ivid

ual

sh

are

ho

lde

rs. F

ou

r su

ch c

alls

we

re h

eld

at s

har

eh

old

ers

� re

qu

est

du

rin

g 2

02

0, o

n w

hic

h t

he

mat

ters

dis

cuss

ed

incl

ud

ed

:

i)to

tal r

etu

rn �

Sh

are

ho

lde

rs� r

etu

rn s

ince

ince

pti

on

;

ii)E

SG

� S

ha

reh

old

ers

� de

sire

an

d e

xpe

cta

tio

ns

for

ES

G-c

om

plia

nt

inv

est

me

nts

an

d

gre

ate

r tr

an

spa

ren

cy;

iii)

mar

keti

ng

� t

he

leve

l of

mar

keti

ng

be

ing

do

ne

an

d t

he

ne

ed

to

en

sure

th

is is

su

ffic

ien

t;

iv)

dis

cou

nt

ma

nag

em

en

t �

ac

tio

ns

be

ing

un

de

rta

ken

by

th

e C

om

pa

ny

to

re

me

dy

th

e

shar

e p

rice

dis

cou

nt

and

th

e t

ime

line

ss o

f a

ny

su

ch a

cti

on

s;

v)liq

uid

ity

� h

ow

liq

uid

ity

in t

he

Co

mp

an

y�s

sh

are

s co

uld

be

imp

rov

ed

, in

clu

din

g t

he

po

ssib

ility

of

liqu

idit

y e

ve

nts

an

d r

est

ruc

turi

ng

; an

d

vi)

Dir

ec

tors

� sh

are

ho

ldin

gs

� w

ith

a v

iew

to

pro

mo

tin

g t

he

alig

nm

en

t o

f D

ire

cto

rs� a

nd

shar

eh

old

ers

� in

tere

sts;

vii)

tra

nsp

are

nc

y in

th

e C

om

pa

ny

�s r

ep

ort

ing

� d

iscl

osu

re o

f u

nd

erl

yin

g lo

an

s a

nd

ab

ility

to

dis

clo

se e

xpe

cte

d IR

R u

nd

er

dif

fere

nt

sce

na

rio

s; a

nd

viii

)co

nfi

rmat

ion

of

the

fo

reig

n e

xch

an

ge

ra

te a

pp

lied

wh

ere

sh

are

ho

lde

rs h

ave

ele

cte

d t

o

rece

ive

th

eir

div

ide

nd

in S

terl

ing

.

d)

the

Bo

ard

en

ga

gin

g w

ith

its

sha

reh

old

ers

th

rou

gh

its

Po

rtfo

lio A

dv

ise

r a

nd

Bro

kers

wh

o

com

mu

nic

ate

pe

rtin

en

t in

form

ati

on

fro

m a

ny

dis

cuss

ion

s th

ey

ha

ve

ha

d w

ith

th

e

Co

mp

any

�s s

ha

reh

old

ers

; an

d

e)w

ritt

en

co

mm

un

icat

ion

wit

h s

har

eh

old

ers

in r

esp

on

se t

o q

ue

rie

s re

ceiv

ed

, as

app

licab

le.

Ad

dit

ion

ally

, th

e B

oa

rd (

incl

ud

ing

th

e d

iffe

ren

t co

mm

itte

e C

hai

rs)

is a

vai

lab

le a

t th

e A

GM

to

answ

er

qu

est

ion

s in

th

eir

are

as

of

resp

on

sib

ility

an

d t

he

Ch

air

en

cou

rag

es

shar

eh

old

ers

to

con

tac

t h

er

or

any

oth

er

Dir

ec

tor

wit

h a

ny

qu

eri

es

or

com

me

nts

th

ey

may

hav

e.

20

20

AN

NU

AL

RE

PO

RT

| B

LA

CK

ST

ON

E L

OA

N F

INA

NC

ING

LIM

ITE

D2

6

ST

RA

Te

gIC

Re

Po

RT

: S

eC

TIo

N 1

72

(1)

ST

AT

em

eN

TS

TR

AT

eg

IC R

eP

oR

T:

Se

CT

IoN

17

2(1

) S

TA

Te

me

NT

27

Co

rpo

rate

A

cti

vit

y

Th

e p

rin

cip

al d

eci

sio

ns

take

n a

s d

eta

iled

be

low

an

d o

n p

ag

es

30

an

d 3

1 ar

e t

he

on

es

that

th

e B

oa

rd c

on

sid

ers

hav

e t

he

gre

ate

st im

pa

ct

on

th

e C

om

pa

ny

�s lo

ng

-te

rm s

ucc

ess

. Th

e B

oa

rd c

on

sid

ers

th

e f

act

ors

ou

tlin

ed

un

de

r th

e S

ec

tio

n 1

72

(1)

Sta

tem

en

t a

nd

th

e w

ide

r in

tere

sts

of

stak

eh

old

ers

as

a w

ho

le in

all

de

cisi

on

s it

ta

kes

on

be

ha

lf o

f th

e C

om

pa

ny.

C S

ha

re C

on

ve

rsio

n

de

sc

rip

tio

n

On

7 J

an

ua

ry 2

02

0, t

he

Co

mp

an

y a

nn

ou

nce

d t

he

co

mp

leti

on

of

the

co

nv

ers

ion

of

its

C S

ha

res

into

Ord

ina

ry S

ha

res.

13

3,4

51,

107

C

Sh

are

s w

ere

co

nv

ert

ed

into

78

,20

2,3

48

Ord

inar

y S

ha

res

bas

ed

on

a C

on

ve

rsio

n R

ati

o o

f 0

.58

60

Ord

ina

ry S

har

es

pe

r C

Sh

are

.

Imp

ac

t o

n l

on

g-t

erm

su

cc

es

sS

tak

eh

old

er

co

nsi

de

rati

on

s

Th

e is

sue

an

d s

ub

seq

ue

nt

con

ve

rsio

n o

f th

e C

sh

are

s w

ere

un

de

rta

ken

wit

h a

vie

w t

o in

cre

asi

ng

th

e C

om

pa

ny

�s s

ize

th

ere

by

imp

rov

ing

div

ers

ific

ati

on

of

the

Co

mp

an

y�s

po

rtfo

lio a

nd

imp

rov

ing

liq

uid

ity.

An

incr

ea

se in

th

e n

um

be

r o

f O

rdin

ary

Sh

are

s in

issu

e s

pre

ad

s

the

Co

mp

any

�s f

ixe

d c

ost

s o

ve

r a

wid

er

shar

eh

old

er

ba

se t

he

reb

y

red

uci

ng

th

e t

ota

l ex

pe

nse

rat

io.

bro

ke

r u

pd

ate

de

sc

rip

tio

n

On

4 M

arc

h 2

02

0, t

he

Bo

ard

an

no

un

ced

th

at W

inte

rflo

od

Se

curi

tie

s L

imit

ed

ha

d b

ee

n a

pp

oin

ted

as

join

t co

rpo

rate

bro

ker

an

d jo

int

fin

an

cial

ad

vis

er

wit

h im

me

dia

te e

ffe

ct.

Win

terf

loo

d S

ecu

riti

es

Lim

ite

d a

cts

alo

ng

sid

e N

plu

s1 S

ing

er

Ad

vis

ory

LL

P.

Imp

ac

t o

n l

on

g-t

erm

su

cc

es

sS

tak

eh

old

er

co

nsi

de

rati

on

s

To

incr

ea

se t

he

str

en

gth

an

d d

ep

th o

f th

e b

roke

r a

dv

ice

re

ceiv

ed

by

th

e C

om

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sse

ssm

en

t. H

ow

ev

er,

it is

wo

rth

no

tin

g t

hat

th

ere

is n

o in

ten

tio

n f

or

the

life

of

the

Co

mp

any

to

be

limit

ed

to

th

is f

ive

-ye

ar p

eri

od

.

Pri

nc

ipa

l ri

sk

Co

VId

-19

co

mm

en

tary

Inc

om

e d

istr

ibu

tio

n m

od

el

Th

e C

om

pan

y r

ece

ive

s c

ash

flo

ws

fro

m it

s u

nd

erl

yin

g e

xp

osu

re

to d

eb

t a

nd

CL

O in

ve

stm

en

ts h

eld

by

BC

F. E

ach

un

de

rly

ing

CL

O

will

pay

ou

t a

mix

ture

of

inco

me

an

d c

ap

ita

l re

turn

ov

er

its

life

wit

h a

te

rmin

al c

ap

ita

l va

lue

in t

he

70

to

80

% r

an

ge

. BC

F a

ims

tod

istr

ibu

te m

ost

of

the

pro

cee

ds

that

it r

ece

ive

s fr

om

CL

O

inv

est

me

nts

to

th

e C

om

pa

ny

(v

ia P

PN

s) w

hils

t re

inv

est

ing

so

me

of

the

pro

cee

ds

ba

ck in

to C

LO

s to

ma

inta

in c

ap

ita

l in

ve

ste

d.

Intu

rn, t

he

Co

mp

an

y a

ims

to d

istr

ibu

te in

com

e r

ece

ive

d t

o

sha

reh

old

ers

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acc

ord

an

ce w

ith

its

dis

trib

uti

on

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licy,

wit

ho

ut

ero

din

g c

ap

ital

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ere

is a

ris

k th

at t

he

dis

trib

uti

on

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licy

at

the

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mp

any

leve

l may

be

to

o g

en

ero

us

or

re-i

nv

est

me

nt

at t

he

BC

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ve

l ma

y n

ot

be

suff

icie

nt,

re

sult

ing

in t

he

ero

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n o

f u

nd

erl

yin

g c

ap

ital

inv

est

ed

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Th

e D

ire

cto

rs u

se t

he

ir ju

dg

em

en

t, w

ith

th

e a

ssis

tan

ce o

f th

e

Po

rtfo

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dv

ise

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se

ttin

g t

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mp

any

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pro

pri

ate

giv

en

th

e p

erf

orm

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ce o

f th

e

un

de

rly

ing

CL

Os.

As

a re

sult

of

the

init

ial C

OV

ID-1

9 im

pac

t as

sess

me

nt

con

du

cte

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y

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Po

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lio A

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pri

l 20

20

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e C

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pan

y d

eci

de

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to a

me

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its

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ide

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po

licy.

Th

e t

arg

et

for

20

20

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ide

nd

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as

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no

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ced

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ge

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nsu

re t

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ffic

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ve

r fo

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rea

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do

wn

sid

e s

cen

ario

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en

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th

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ort

folio

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vis

er.

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e t

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st p

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ce o

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ced

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r 2

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era

tio

na

l

Th

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pan

y h

as

no

em

plo

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es,

sy

ste

ms

or

pre

mis

es

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d is

relia

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rtfo

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rvic

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de

live

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f it

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ve

stm

en

t o

bje

cti

ve

an

d s

tra

teg

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Th

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OV

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an

de

mic

me

ans

that

all

of

the

Co

mp

any

�s s

erv

ice

pro

vid

ers

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op

era

tin

g u

nd

er

bu

sin

ess

co

nti

nu

ity

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ced

ure

s

wit

h s

taff

mai

nly

wo

rkin

g f

rom

ho

me

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cre

ase

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e r

isk

of

con

tro

l bre

akd

ow

ns,

err

ors

an

d o

mis

sio

ns

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re

gu

lato

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reac

he

s.

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pa

nd

em

ic t

ake

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s co

urs

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re is

als

o a

n in

cre

ase

d r

isk

tha

t ke

y in

div

idu

als

at

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Po

rtfo

lio A

dv

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nd

oth

er

serv

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pro

vid

ers

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ill o

r o

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rwis

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nab

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ork

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ill r

ed

uce

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ca

pa

city

fo

r th

e C

om

pan

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pe

rate

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isk

Co

mm

itte

e h

as

rev

iew

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th

e a

rran

ge

me

nts

pu

t in

pla

ce

by

ke

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erv

ice

pro

vid

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en

sure

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nti

nu

ity

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serv

ice

to

th

e

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mp

an

y a

nd

is c

urr

en

tly

sa

tisf

ied

th

at t

he

y a

re s

uff

icie

nt.

Th

is

will

be

ke

pt

un

de

r re

gu

lar

rev

iew

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Bre

xit

Th

e D

ire

cto

rs d

o n

ot

be

liev

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hat

th

e U

K�s

de

pa

rtu

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rom

th

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nio

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sig

nif

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go

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ris

k t

o t

he

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mp

any

oth

er

than

an

y im

pa

ct r

efl

ec

ted

ge

ne

rally

in in

tern

atio

na

l mar

kets

an

d t

he

glo

ba

l eco

no

my.

La

st y

ea

r, t

he

Dir

ec

tors

he

ld d

iscu

ssio

ns

wit

h t

he

Po

rtfo

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dv

ise

r�s

Bre

xit

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nn

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te

am t

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ain

co

mfo

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tha

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ny

oth

er

Bre

xit

ass

oci

ate

d r

isk

wa

s m

itig

ate

d. I

n a

dd

itio

n,

the

Po

rtfo

lio A

dv

ise

r�s

fun

da

me

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dit

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f 3

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inv

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vie

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d B

CF

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ort

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UK

-ex

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sed

on

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ct

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Bre

xit

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en

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sid

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Bre

xit

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ct o

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aly

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ain

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ks

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ess

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d e

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incl

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d

reg

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th

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y�s

inve

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nt

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sse

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ex

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its

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me

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wh

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act

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eco

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y b

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rre

nt

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ry

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rea

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exi

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y

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he

r M

ac

Ca

llum

bri

ng

s fi

na

nci

al e

xp

eri

en

ce in

clu

din

g t

ec

hn

ica

l

kn

ow

led

ge

of

acc

ou

nti

ng

an

d a

ud

itin

g, e

spe

cial

ly

in t

he

co

nte

xt

of

fin

an

cia

l se

rvic

es,

an

d in

pa

rtic

ula

r th

e in

ve

stm

en

t m

an

ag

em

en

t se

cto

r.

Ste

ven

Wil

de

rsp

in, F

CA

, IM

C

Po

siti

on

: C

ha

ir o

f th

e R

isk

Co

mm

itte

e

(no

n-e

xecu

tiv

e a

nd

ind

ep

en

de

nt

dir

ec

tor,

resi

de

nt

in J

ers

ey)

Da

te o

f a

pp

oin

tme

nt:

11

Au

gu

st 2

017

Ste

ve

n W

ilde

rsp

in, a

qu

alif

ied

Ch

art

ere

d

Ac

cou

nta

nt,

ha

s b

ee

n t

he

Pri

nci

pa

l of

Wild

ers

pin

In

de

pe

nd

en

t G

ov

ern

an

ce

, wh

ich

pro

vid

es

ind

ep

en

de

nt

dir

ec

tors

hip

se

rvic

es,

sin

ce 2

00

7. H

e h

as

serv

ed

on

a n

um

be

r o

f

pri

va

te e

qu

ity,

pro

pe

rty

an

d h

ed

ge

fu

nd

bo

ard

s a

s w

ell

as

com

me

rcia

l co

mp

an

ies.

In F

eb

ruar

y 2

02

1 St

eve

n W

ilde

rsp

in w

as a

pp

oin

ted

as

a d

ire

cto

r o

f F

TS

E 2

50

GC

P I

nfr

ast

ruc

ture

Inv

est

me

nts

Ltd

an

d in

Ma

y 2

018

Ste

ve

n

Wild

ers

pin

wa

s a

pp

oin

ted

as

a d

ire

cto

r o

f F

TS

E

25

0 H

arb

ou

rVe

st G

lob

al P

riv

ate

Eq

uit

y L

imit

ed

.

In D

ec

em

be

r 2

017

Ste

ve

n W

ilde

rsp

in s

tep

pe

d

do

wn

fro

m t

he

bo

ard

of

FT

SE

25

0 3

i

Infr

astr

uc

ture

plc

, wh

ere

he

was

ch

airm

an o

f th

e

aud

it a

nd

ris

k co

mm

itte

e, a

fte

r te

n y

ea

rs� s

erv

ice

.

Fro

m 2

00

1 u

nti

l 20

07,

Ste

ve

n W

ilde

rsp

in w

as

a

dir

ec

tor

of

fun

d a

dm

inis

tra

tor

Ma

ple

s F

ina

nce

Jers

ey

Lim

ite

d w

he

re h

e w

as

resp

on

sib

le f

or

fun

d a

nd

se

cu

riti

sati

on

str

uc

ture

s. B

efo

re t

ha

t,

fro

m 1

99

7, S

tev

en

Wild

ers

pin

wa

s H

ea

d o

f

Acc

ou

nti

ng

at

Pe

rpe

tua

l Fu

nd

Ma

na

ge

me

nt

(Je

rse

y) L

imit

ed

.

Ste

ve

n W

ilde

rsp

in h

as

sig

nif

ica

nt

liste

d

corp

ora

te g

ov

ern

an

ce

ex

pe

rie

nce

, pa

rtic

ula

rly

in t

he

are

a o

f ri

sk m

an

age

me

nt,

so

is w

ell

pla

ced

to

lea

d t

he

bo

ard

th

rou

gh

th

e

de

ve

lop

me

nt

of

its

risk

fra

me

wo

rk.

Ma

rk M

off

at

Po

siti

on

: N

on

-ex

ecu

tiv

e a

nd

ind

ep

en

de

nt

dir

ec

tor

(re

sid

en

t in

UK

)

Da

te o

f a

pp

oin

tme

nt:

8 J

an

ua

ry 2

019

Ma

rk M

off

at h

as

be

en

inv

olv

ed

in s

tru

ctu

rin

g,

man

agin

g a

nd

inve

stin

g in

CL

Os

for

ov

er

20

ye

ars.

Ma

rk M

off

at le

ft G

SO

Ca

pit

al P

artn

ers

LP

(n

ow

Bla

ckst

on

e C

red

it),

par

t o

f th

e c

red

it b

usi

ne

sse

s

of

Th

e B

lack

sto

ne

Gro

up

L.P

., in

Ap

ril 2

015

to

pu

rsu

e o

the

r in

tere

sts.

Wh

ilst

at

GS

O C

apit

al P

art

ne

rs L

P M

r M

off

at w

as

a s

en

ior

ma

na

gin

g d

ire

cto

r a

nd

th

e p

ort

folio

ma

na

ge

r re

spo

nsi

ble

fo

r in

ve

stin

g in

str

uc

ture

d

cre

dit

an

d c

o-h

ea

d o

f th

e E

uro

pe

an

ac

tiv

itie

s

of

the

Cu

sto

mis

ed

Cre

dit

Str

ate

gie

s d

ivis

ion

.

Ma

rk M

off

at jo

ine

d G

SO

Ca

pit

al P

art

ne

rs L

P in

Jan

ua

ry 2

012

fo

llow

ing

th

e a

cqu

isit

ion

by

GS

O

Ca

pit

al P

art

ne

rs L

P o

f H

arb

ou

rma

ste

r C

ap

ita

l

Ma

na

ge

me

nt

Lim

ite

d w

he

re h

e w

as

co

-he

ad

.

Pri

or

to jo

inin

g H

arb

ou

rma

ste

r in

20

07,

Ma

rk

Mo

ffa

t w

as

he

ad

of

Eu

rop

ea

n d

eb

t a

nd

eq

uit

y

ca

pit

al m

ark

ets

an

d t

he

Eu

rop

ea

n C

LO

bu

sin

ess

of

Be

ar

Ste

arn

s. A

t B

ea

r S

tea

rns,

Mr

Mo

ffa

t w

as

resp

on

sib

le f

or

the

ori

gin

ati

on

,

stru

ctu

rin

g a

nd

exe

cu

tio

n o

f C

LO

s in

Eu

rop

e

ov

er

a s

ev

en

-ye

ar

pe

rio

d. P

rio

r to

Be

ar

Ste

arn

s,

Ma

rk M

off

at

wa

s g

lob

al h

ea

d o

f C

LO

s at

AB

N

AM

RO

an

d a

Dir

ec

tor

in t

he

pri

nci

pa

l fin

an

ce

tea

m o

f G

ree

nw

ich

Nat

We

st.

Wit

h o

ve

r 2

0 y

ea

rs o

f e

xp

eri

en

ce s

tru

ctu

rin

g,

ma

na

gin

g a

nd

inv

est

ing

in C

LO

s M

ark

Mo

ffa

t

bri

ng

s a

de

ep

kn

ow

led

ge

of

ho

w C

LO

str

uc

ture

s

an

d m

ark

ets

pe

rfo

rm o

ve

r th

e c

red

it c

ycl

e.

Dir

ec

tors

’ R

ep

ort

Th

e D

ire

cto

rs p

rese

nt

the

An

nu

al R

ep

ort

an

d A

ud

ite

d F

inan

cial

Sta

tem

en

ts fo

rth

eC

om

pan

y fo

r th

e y

ear

en

de

d 3

1 D

ece

mb

er

20

20

.

Dir

ec

tors

Th

e D

ire

cto

rs o

f th

e C

om

pa

ny

on

th

e d

ate

th

e f

ina

nci

al s

tate

me

nts

we

re a

pp

rov

ed

are

de

taile

d o

n p

ag

es

43

to

44

. All

dir

ec

tors

we

red

ire

cto

rs o

f th

e C

om

pan

y t

hro

ug

ho

ut

the

ye

ar e

nd

ed

31

De

cem

be

r2

02

0.

Th

e B

oa

rd a

nd

Em

plo

yee

s

Th

e B

oa

rd c

urr

en

tly

co

mp

rise

s th

ree

ma

le a

nd

tw

o f

em

ale

Dir

ec

tors

. Th

e C

om

pa

ny

ha

s n

o e

mp

loy

ee

s a

nd

th

ere

fore

th

ere

isn

oth

ing

fu

rth

er

to r

ep

ort

in r

esp

ect

of

ge

nd

er

rep

rese

nta

tio

n

wit

hin

th

e C

om

pan

y.

Fu

ll d

eta

ils o

f th

e C

om

pan

y�s

po

licy

on

Bo

ard

Div

ers

ity

can

be

fo

un

d

in t

he

Co

rpo

rate

Go

ve

rnan

ce R

ep

ort

on

pa

ge

49

.

Sh

are

Ca

pit

al

Th

e C

om

pa

ny

�s s

ha

re c

ap

ita

l co

nsi

sts

of

an

un

limit

ed

nu

mb

er

of

sha

res.

As

at

31

De

cem

be

r 2

02

0, t

he

Co

mp

any

�s is

sue

d s

har

e

ca

pit

al c

on

sist

ed

of

47

7,0

23

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1 O

rdin

ary

Sh

are

s, e

xclu

din

g

5,8

79

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3 t

rea

sury

sh

are

s (3

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ece

mb

er

20

19: 4

02

,319

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0

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ina

ry S

har

es

an

d 1

33

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are

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xclu

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0,9

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tre

asu

ry s

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res)

.

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are

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pu

rch

ase

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gra

mm

e

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the

20

19 A

GM

, he

ld o

n 1

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ly 2

019

, th

e D

ire

cto

rs w

ere

gra

nte

d

au

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rity

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pu

rch

ase

up

to

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es

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eq

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l to

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reg

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nu

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issu

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t th

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ate

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the

AG

M)

for

ca

nce

llati

on

, or

to b

e h

eld

as

tre

asu

ry s

ha

res.

Un

de

r th

is a

uth

ori

ty, t

he

Co

mp

an

y h

as

rep

urc

has

ed

a t

ota

l of

105

,00

0 O

rdin

ary

Sh

are

s a

t a

to

tal c

ost

of

€7

0,1

00

(e

xclu

din

g

fee

s an

d c

om

mis

sio

ns)

.

At

the

20

20

AG

M, h

eld

on

16

Ju

ly 2

02

0, t

he

Dir

ect

ors

we

re g

ran

ted

au

tho

rity

to

re

pu

rch

ase

up

to

72

,014

,48

4 O

rdin

ary

Sh

are

s (b

ein

g

eq

ua

l to

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f th

e a

gg

reg

ate

nu

mb

er

of

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ina

ry S

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res

in

issu

e a

t th

e d

ate

of

the

AG

M)

for

ca

nce

llati

on

, or

to b

e h

eld

as

tre

asu

ry s

ha

res.

Un

de

r th

is a

uth

ori

ty, t

he

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mp

any

has

re

pu

rch

ase

d a

to

tal o

f

3,3

93

,50

7 O

rdin

ary

Sh

are

s at

a t

ota

l co

st o

f €

2,0

48

,64

9 (

exc

lud

ing

fee

s a

nd

co

mm

issi

on

s) d

uri

ng

th

e y

ear

en

de

d 3

1D

ece

mb

er

20

20

.

Un

de

r th

is a

uth

ori

ty, t

he

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mp

any

has

re

pu

rch

ase

d a

to

tal o

f

125

,00

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rdin

ary

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are

s at

a t

ota

l co

st o

f €

81,

25

0 (

exc

lud

ing

fee

sa

nd

co

mm

issi

on

s) d

uri

ng

th

e p

eri

od

fro

m 1

Ja

nu

ary

20

21

to

28

Ap

ril 2

02

1.

Th

e D

ire

cto

rs in

ten

d t

o s

ee

k a

nn

ua

l re

ne

wal

of

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au

tho

rity

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m S

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old

ers

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tho

rity

to

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the

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ect

ors

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re g

ran

ted

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tho

rity

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t,

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er,

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po

se o

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p t

o 4

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in is

sue

at

the

dat

e o

f th

e A

GM

). T

his

au

tho

rity

will

ex

pir

e a

t th

e 2

02

1 A

GM

.

Sh

are

ho

lde

rs’ I

nte

rest

s

As

at 3

1 D

ece

mb

er

20

20

, th

e C

om

pa

ny

ha

d b

ee

n n

oti

fie

d, i

n

acc

ord

an

ce w

ith

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ap

ter

5 o

f th

e D

iscl

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re G

uid

an

ce a

nd

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nsp

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y R

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s (w

hic

h c

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ers

th

e a

cqu

isit

ion

an

d d

isp

osa

l

of

ma

jor

sha

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old

ing

s a

nd

vo

tin

g r

igh

ts),

of

the

fo

llow

ing

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lde

rs w

ith

an

inte

rest

of

gre

ate

r th

an 5

% in

th

e C

om

pan

y�s

issu

ed

sh

are

ca

pit

al:

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areh

old

er

Per

cen

tag

e o

f

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tin

g R

igh

ts

Bla

ckR

ock

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22

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ilte

r p

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ckst

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e T

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te L

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ited

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twe

en

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r 2

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o n

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fic

atio

ns

we

re r

ece

ive

d.

44

go

Ve

RN

AN

Ce

: d

IRe

CT

oR

S'

bIo

gR

AP

hIe

Sg

oV

eR

NA

NC

e:

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eP

oR

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45

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rpo

rate

Go

vern

an

ce

Re

po

rt

Sta

tem

en

t o

f C

om

pli

an

ce w

ith

C

orp

ora

teG

ove

rna

nce

Th

e B

oa

rd o

f th

e C

om

pa

ny

has

co

nsi

de

red

th

e P

rin

cip

les

an

d

Pro

vis

ion

s o

f th

e A

IC C

od

e. T

he

AIC

Co

de

ad

dre

sse

s th

e P

rin

cip

les

an

d P

rov

isio

ns

set

ou

t in

th

e U

K C

od

e, a

s w

ell

as s

ett

ing

ou

t

ad

dit

ion

al P

rov

isio

ns

on

issu

es

that

are

of

spe

cifi

c re

lev

ance

to

the

Co

mp

an

y, a

s an

inv

est

me

nt

com

pan

y.

Th

e B

oa

rd c

on

sid

ers

th

at r

ep

ort

ing

ag

ain

st t

he

Pri

nci

ple

s a

nd

Pro

vis

ion

s o

f th

e A

IC C

od

e, w

hic

h h

as

be

en

en

do

rse

d b

y t

he

FR

C

an

d s

up

po

rte

d b

y t

he

Je

rse

y F

ina

nci

al S

erv

ice

s C

om

mis

sio

n

pro

vid

es

mo

re r

ele

va

nt

info

rmat

ion

to

sh

are

ho

lde

rs.

Th

e C

om

pa

ny

ha

s co

mp

lied

wit

h t

he

Pri

nci

ple

s a

nd

Pro

vis

ion

s o

f

the

AIC

Co

de

as

the

y a

pp

ly t

o t

he

Co

mp

an

y.

Th

e A

IC C

od

e is

av

aila

ble

on

th

e A

IC w

eb

site

(w

ww

.th

ea

ic.c

o.u

k).

It in

clu

de

s an

exp

lan

atio

n o

f h

ow

th

e A

IC C

od

e a

dap

ts t

he

Pri

nci

ple

s

an

d P

rov

isio

ns

set

ou

t in

th

e U

K C

od

e t

o m

ake

th

em

re

lev

an

t fo

r

inv

est

me

nt

com

pa

nie

s.

Th

e B

oa

rd

Th

e B

oar

d c

on

sist

s o

f fi

ve n

on

-exe

cuti

ve d

ire

cto

rs. T

he

ir b

iog

rap

hie

s

ca

n b

e f

ou

nd

on

pag

es

43

to

44

.

Th

e B

oa

rd m

ee

ts a

t le

ast

fo

ur

tim

es

a y

ea

r an

d is

in r

eg

ula

r co

nta

ct

wit

h t

he

Po

rtfo

lio A

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02

0).

Th

ere

hav

e b

ee

n n

o o

the

r ch

an

ge

s to

th

e D

ire

cto

rs� I

nte

rest

s as

at

the

dat

e o

f th

e a

pp

rov

al o

f th

ese

fin

an

cial

sta

tem

en

ts.

Se

rvic

e C

on

tra

cts

an

d P

oli

cy

on

P

ay

me

nt

of

Lo

ss o

f O

ffic

e

No

Dir

ec

tor

has

a s

erv

ice

co

ntr

act

wit

h t

he

Co

mp

an

y. T

he

Dir

ec

tors

ha

ve

ea

ch e

nte

red

into

a le

tte

r o

f e

ng

ag

em

en

t w

ith

th

e C

om

pa

ny

sett

ing

ou

t th

e t

erm

s o

f th

eir

ap

po

intm

en

t. D

ire

cto

rs� a

pp

oin

tme

nts

ma

y b

e t

erm

inat

ed

at

an

y t

ime

by

giv

ing

th

ree

mo

nth

�s w

ritt

en

no

tice

, wit

h n

o c

om

pe

nsa

tio

n p

ayab

le u

po

n le

avin

g o

ffic

e f

or

wh

ate

ve

r re

aso

n.

ga

ry C

lark

Re

mu

ne

rati

on

an

d N

om

ina

tio

n C

om

mit

tee

Ch

air

29

Ap

ril 2

02

1

54

go

Ve

RN

AN

Ce

: d

IRe

CT

oR

S’

Re

mu

Ne

RA

TIo

N R

eP

oR

Tg

oV

eR

NA

NC

e:

Au

dIT

Co

mm

ITT

ee

Re

Po

RT

55

In a

dv

ance

of

the

co

mm

en

cem

en

t o

f th

e a

nn

ua

l au

dit

, th

e A

ud

it

Co

mm

itte

e r

ev

iew

ed

a s

tate

me

nt

pro

vid

ed

by

th

e A

ud

ito

r

con

firm

ing

th

eir

ind

ep

en

de

nce

as

de

fin

ed

un

de

r re

lev

ant

reg

ula

tio

n

an

d p

rofe

ssio

na

l sta

nd

ard

s. In

ad

dit

ion

, in

ord

er

to s

atis

fy it

self

reg

ard

ing

th

e A

ud

ito

r�s

ind

ep

en

de

nce

, th

e A

ud

it C

om

mit

tee

un

de

rto

ok

a re

vie

w o

f th

e A

ud

ito

r�s

com

pe

nsa

tio

n a

nd

th

e

ba

lan

ce b

etw

ee

n a

ud

it a

nd

no

n-a

ud

it f

ee

s.

Du

rin

g 2

019

, th

e A

ud

it C

om

mit

tee

re

vie

we

d it

s p

olic

y w

ith

re

spe

ct

to n

on

-au

dit

se

rvic

es

an

d c

on

tin

ua

lly m

on

ito

red

th

e le

ve

l of

no

n-a

ud

it s

erv

ice

s p

rov

ide

d b

y t

he

Au

dit

or

to e

nsu

re a

lign

me

nt

an

d c

om

plia

nce

wit

h b

est

pra

cti

ce. T

he

Co

mp

an

y�s

po

licy

se

ts o

ut

the

pe

rmit

ted

ty

pe

s o

f n

on

-au

dit

se

rvic

es

that

can

be

pro

vid

ed

by

De

loit

te, w

hic

h a

re c

on

sist

en

t w

ith

th

e F

RC

�s R

ev

ise

d E

thic

al

Sta

nd

ard

(2

019

). A

ll p

rop

ose

d n

on

-au

dit

se

rvic

es

req

uir

ed

ex

plic

it

ap

pro

va

l fro

m t

he

Au

dit

Co

mm

itte

e. D

uri

ng

th

e y

ea

r, D

elo

itte

we

re

con

tra

cte

d t

o r

ev

iew

th

e C

om

pan

y�s

inte

rim

fin

an

cia

l sta

tem

en

ts.

Au

dit

fe

es

for

the

ye

ar

en

de

d 3

1 D

ece

mb

er

20

20

hav

e in

cre

ase

d

by

5%

co

mp

are

d t

o 2

019

(re

fer

to N

ote

3 f

or

furt

he

r d

eta

ils).

Th

is is

ma

inly

du

e t

o t

he

ad

dit

ion

al w

ork

un

de

rtak

en

by

th

e A

ud

ito

r w

ith

resp

ect

to

go

ing

co

nce

rn a

nd

va

luat

ion

s d

ue

to

th

e u

nce

rta

inty

cre

ate

d b

y t

he

CO

VID

-19

pan

de

mic

. Au

dit

-re

late

d s

erv

ice

s d

ecr

eas

ed

17%

ye

ar o

n y

ea

r. In

th

e p

rio

r y

ea

r th

e A

ud

ito

r h

ad u

nd

ert

ake

n

ad

dit

ion

al w

ork

as

Re

po

rtin

g A

cco

un

tan

t a

nd

re

vie

win

g t

he

C S

har

e

Co

nv

ers

ion

Rat

io a

s re

qu

ire

d b

y t

he

Art

icle

s. A

n a

mo

un

t o

f €

12,0

95

was

als

o in

curr

ed

du

rin

g t

he

ye

ar a

nd

th

is r

ela

ted

to

ad

dit

ion

al f

ee

s

for

the

au

dit

fo

r th

e y

ea

r e

nd

ed

31

De

cem

be

r 2

019

. Th

ese

ite

ms

ha

s b

ee

n g

ive

n d

ue

co

nsi

de

rati

on

by

th

e A

ud

it C

om

mit

tee

, wh

o

rev

iew

ed

inte

r-a

lia t

he

ro

le o

f th

e r

esp

ect

ive

en

gag

em

en

t te

am

s

an

d t

he

ind

ep

en

de

nce

of

ind

ivid

ua

ls f

rom

th

e a

ud

it e

ng

ag

em

en

t

tea

m a

nd

co

ncl

ud

ed

it w

as s

atis

fie

d t

he

Au

dit

or

ha

d a

cte

d in

an

ind

ep

en

de

nt

and

pro

fess

ion

al m

an

ne

r.

he

ath

er

ma

cCa

llu

mA

ud

it C

om

mit

tee

Ch

air

29

Ap

ril 2

02

1

Sig

nif

ica

nt

Acc

ou

nti

ng

Ma

tte

rs

Th

e C

om

mit

tee

co

nsi

de

red

th

e k

ey

acc

ou

nti

ng

issu

es,

ma

tte

rs a

nd

jud

ge

me

nts

re

ga

rdin

g t

he

Co

mp

any

�s 2

02

0 A

nn

ual

Re

po

rt a

nd

Fin

an

cia

l Sta

tem

en

ts a

nd

dis

clo

sure

s in

clu

din

g t

ho

se r

ela

tin

g t

o:

Sig

nif

ica

nt

Are

ah

ow

Ad

dre

ss

ed

Va

lua

tio

n o

f in

ve

stm

en

ts

Th

e in

ve

stm

en

t in

th

e L

ux

Su

bsi

dia

ry is

acc

ou

nte

d f

or

at f

air

va

lue

th

rou

gh

pro

fit

or

loss

an

d t

he

inv

est

me

nt

in P

PN

s is

sue

d b

y B

CF

he

ld b

y t

he

Lu

x S

ub

sid

iary

are

at

fair

va

lue

. In

ve

stm

en

ts in

BC

F (

the

PP

Ns)

are

illiq

uid

inv

est

me

nts

, no

t tr

ade

d o

n a

n a

ctiv

e m

arke

t an

d a

re v

alu

ed

usi

ng

val

uat

ion

te

chn

iqu

es

de

term

ine

d b

y t

he

Dir

ect

ors

an

d c

lass

ifie

d a

s L

ev

el 3

un

de

r IF

RS

13

�Fa

ir V

alu

e M

ea

sure

me

nt.

�

Val

uat

ion

is t

he

refo

re c

on

sid

ere

d a

sig

nif

ica

nt

are

a an

d is

mo

nit

ore

d b

y t

he

Bo

ard

, th

e A

ud

it C

om

mit

tee

,

the

Po

rtfo

lio A

dv

ise

r a

nd

th

e A

dm

inis

tra

tor.

Th

e A

ud

it C

om

mit

tee

re

ceiv

es

an

d r

ev

iew

s re

po

rts

on

th

e

pro

cess

es

for

the

va

luat

ion

of

inv

est

me

nts

. Fo

llow

ing

dis

cuss

ion

, we

we

re s

atis

fie

d t

hat

th

e ju

dg

em

en

ts

ma

de

an

d m

eth

od

olo

gie

s a

pp

lied

we

re p

rud

en

t a

nd

ap

pro

pri

ate

an

d t

ha

t a

n a

pp

rop

riat

e a

cco

un

tin

g

tre

atm

en

t h

as

be

en

ad

op

ted

in a

cco

rdan

ce w

ith

IF

RS

9.

Ple

ase

se

e N

ote

s 2

, 6, 1

0 a

nd

16

in t

he

fin

an

cia

l sta

tem

en

ts f

or

furt

he

r d

eta

ils

Ass

ess

me

nt

of

Ris

ks

an

d U

nce

rta

inti

es

Th

e r

isk

s a

sso

ciat

ed

wit

h t

he

Co

mp

any

�s f

ina

nci

al in

stru

me

nts

,

as

dis

clo

sed

in t

he

fin

an

cia

l sta

tem

en

ts, p

arti

cula

rly

in N

ote

10

,

rep

rese

nt

a k

ey

acc

ou

nti

ng

dis

clo

sure

. Th

e A

ud

it C

om

mit

tee

an

d

the

Ris

k C

om

mit

tee

re

vie

w c

riti

cal

ly, o

n t

he

bas

is o

f in

pu

t fr

om

the

se

rvic

e p

rov

ide

rs, t

he

pro

cess

of

on

go

ing

ide

nti

fic

atio

n a

nd

me

asu

rem

en

t o

f th

ese

ris

ks

dis

clo

sure

s.

Oth

er

Ma

tte

rs

Du

rin

g t

he

ye

ar, t

he

Co

mm

itte

e c

on

sid

ere

d c

om

plia

nce

wit

h r

ele

van

t

leg

isla

tio

n, p

erf

orm

ance

me

tric

s an

d r

ela

ted

dis

clo

sure

s in

th

e

Co

mp

any

�s f

inan

cial

sta

tem

en

ts.

Ris

k M

an

ag

em

en

t a

nd

In

tern

al C

on

tro

ls

Th

e B

oa

rd a

s a

wh

ole

is r

esp

on

sib

le f

or

the

Co

mp

an

y�s

sy

ste

m o

f

inte

rnal

co

ntr

ols

; ho

we

ve

r, t

he

Au

dit

Co

mm

itte

e a

ssis

ts t

he

Bo

ard

in m

ee

tin

g it

s o

blig

ati

on

s in

th

is r

eg

ard

. Th

e d

aily

op

era

tio

na

l

ac

tiv

itie

s o

f th

e C

om

pan

y w

ere

de

leg

ate

d t

o it

s se

rvic

e p

rov

ide

rs

an

d a

s a

re

sult

th

e C

om

pa

ny

ha

s n

o d

ire

ct

inte

rna

l au

dit

fu

nc

tio

n

an

d in

ste

ad

pla

ces

relia

nce

on

th

e e

xte

rna

l an

d in

tern

al a

ud

it

con

tro

ls o

f th

e s

erv

ice

pro

vid

ers

as

reg

ula

ted

en

titi

es.

Ho

we

ve

r,

the

Au

dit

Co

mm

itte

e r

ev

iew

s p

eri

od

ic r

ep

ort

s fr

om

th

e s

erv

ice

pro

vid

ers

to

en

sure

th

at n

o m

ate

ria

l iss

ue

s h

ave

ari

sen

in r

esp

ec

t

of

the

sy

ste

m o

f in

tern

al c

on

tro

ls a

nd

ris

k m

an

age

me

nt

op

era

ted

by

th

e C

om

pa

ny

�s s

erv

ice

pro

vid

ers

. Th

e C

om

mit

tee

co

nfi

rms

tha

t th

is is

an

on

go

ing

pro

cess

co

nd

uc

ted

in o

rde

r to

man

ag

e

the

risk

s fa

ced

by

th

e C

om

pa

ny.

We

de

em

th

at,

to

da

te, t

he

re

are

no

sig

nif

ica

nt

issu

es

in t

his

are

a w

hic

h n

ee

d t

o b

e b

rou

gh

t to

yo

ur

atte

nti

on

.

Ex

tern

al A

ud

it

It is

th

e r

esp

on

sib

ility

of

the

Au

dit

Co

mm

itte

e t

o m

on

ito

r th

e

pe

rfo

rman

ce, i

nd

ep

en

de

nce

, ob

jec

tiv

ity

and

re

-ap

po

intm

en

t o

f th

e

Au

dit

or.

Th

e A

ud

it C

om

mit

tee

me

t w

ith

De

loit

te L

LP

(�D

elo

itte

�)

to c

on

sid

er

the

au

dit

str

ate

gy

an

d p

lan

fo

r th

e a

ud

it. T

he

au

dit

pla

n

for

the

re

po

rtin

g p

eri

od

wa

s re

vie

we

d, i

ncl

ud

ing

co

nsi

de

rati

on

of

the

ke

y f

ina

nci

al s

tate

me

nt

an

d a

ud

it r

isk

s, t

o s

ee

k t

o e

nsu

re t

ha

t

the

au

dit

wa

s a

pp

rop

riat

ely

fo

cuse

d.

Th

e A

ud

ito

r at

ten

ds

the

Au

dit

Co

mm

itte

e m

ee

tin

gs

thro

ug

ho

ut

the

ye

ar, a

s ap

plic

able

, wh

ich

allo

ws

the

op

po

rtu

nit

y t

o d

iscu

ss a

ny

mat

ters

th

e A

ud

ito

r m

ay w

ish

to

ra

ise

wit

ho

ut

the

Po

rtfo

lio A

dv

ise

r

or

oth

er

serv

ice

pro

vid

ers

be

ing

pre

sen

t. T

he

Au

dit

or

pro

vid

es

fee

db

ack

at

rele

va

nt

Au

dit

Co

mm

itte

e m

ee

tin

gs

on

to

pic

s su

ch a

s

the

ke

y a

cco

un

tin

g m

atte

rs, m

an

dat

ory

co

mm

un

icat

ion

s a

nd

th

e

con

tro

l en

vir

on

me

nt.

Th

e A

ud

it C

om

mit

tee

als

o d

iscu

sse

s th

e

pe

rfo

rman

ce o

f th

e A

ud

ito

r in

de

pe

nd

en

tly

of

the

Au

dit

or.

De

loit

te w

as

form

ally

ap

po

inte

d a

s A

ud

ito

r fo

r th

e C

om

pa

ny

�s

20

14 p

eri

od

-en

d a

ud

it f

ollo

win

g a

co

mp

eti

tiv

e t

en

de

r p

roce

ss

du

rin

g 2

014

. Th

e le

ad

au

dit

pa

rtn

er

is r

ota

ted

ev

ery

fiv

e y

ea

rs t

o

en

sure

co

nti

nu

ed

ind

ep

en

de

nce

an

d o

bje

cti

vit

y; c

on

seq

ue

ntl

y a

ne

w le

ad

au

dit

pa

rtn

er

ha

s b

ee

n in

pla

ce s

ince

th

e in

teri

m r

ev

iew

to 3

0 J

un

e 2

019

.

Th

e A

ud

it C

om

mit

tee

co

nti

nu

es

to b

e s

atis

fie

d w

ith

th

e p

erf

orm

ance

of

the

Au

dit

or.

We

hav

e t

he

refo

re r

eco

mm

en

de

d t

o t

he

Bo

ard

th

at

the

Au

dit

or,

in a

cco

rdan

ce w

ith

ag

ree

d t

erm

s o

f e

ng

age

me

nt

an

d

rem

un

era

tio

n, s

ho

uld

co

nti

nu

e a

s th

e C

om

pa

ny

�s a

ud

ito

r af

ter

the

fort

hco

min

g A

nn

ual

Ge

ne

ral M

ee

tin

g. A

cco

rdin

gly

, a r

eso

luti

on

pro

po

sin

g t

he

re

app

oin

tme

nt

of

De

loit

te a

s th

e C

om

pan

y�s

au

dit

or

will

be

pu

t to

th

e S

ha

reh

old

ers

at

the

20

20

AG

M.

56

go

Ve

RN

AN

Ce

: A

ud

IT C

om

mIT

Te

e R

eP

oR

Tg

oV

eR

NA

NC

e:

Au

dIT

Co

mm

ITT

ee

Re

Po

RT

57

Ind

ep

en

de

nt

Au

dit

or’

s R

ep

ort

to

th

e S

ha

reh

old

ers

of

Bla

ck

sto

ne

Lo

an

Fin

an

cin

g L

imit

ed

Re

po

rt o

n t

he

au

dit

of

the

fin

an

cia

l sta

tem

en

ts

1 o

pin

ion

In o

ur

op

inio

n t

he

fin

an

cial

sta

tem

en

ts o

f B

lack

sto

ne

Lo

an

Fin

an

cin

g L

imit

ed

(th

e �c

om

pan

y�)

:

giv

e a

tru

e a

nd

fa

ir v

iew

of

the

sta

te o

f th

e c

om

pa

ny

�s a

ffa

irs

as

at 3

1 D

ece

mb

er

20

20

an

d o

f th

e C

om

pa

ny

�s p

rofi

t fo

r th

e y

ear

the

n e

nd

ed

;

hav

e b

ee

n p

rop

erl

y p

rep

are

d in

acc

ord

an

ce w

ith

Inte

rna

tio

na

l

Fin

anci

al R

ep

ort

ing

Sta

nd

ard

s (I

FR

Ss)

as

ad

op

ted

by

th

e

Eu

rop

ea

n U

nio

n; a

nd

hav

e b

ee

n p

rop

erl

y p

rep

are

d in

acc

ord

an

ce w

ith

Co

mp

an

ies

(Je

rse

y) L

aw, 1

99

1.

We

hav

e a

ud

ite

d t

he

fin

anci

al s

tate

me

nts

wh

ich

co

mp

rise

:

the

co

mp

any

sta

tem

en

t o

f co

mp

reh

en

siv

e in

com

e;

the

co

mp

any

sta

tem

en

t o

f fi

na

nci

al p

osi

tio

n;

the

co

mp

any

sta

tem

en

t o

f ch

an

ge

s in

eq

uit

y;

the

co

mp

any

ca

sh f

low

sta

tem

en

t; a

nd

the

re

late

d n

ote

s 1

to 2

1.

Th

e f

inan

cia

l re

po

rtin

g f

ram

ew

ork

th

at h

as b

ee

n a

pp

lied

in t

he

ir

pre

par

atio

n is

ap

plic

ab

le la

w a

nd

IFR

Ss

as

ad

op

ted

by

th

e

Eu

rop

ean

Un

ion

.

2

ba

sis

for

op

inio

nW

e c

on

du

cte

d o

ur

aud

it in

acc

ord

ance

wit

h In

tern

atio

na

l Sta

nd

ard

s

on

Au

dit

ing

(U

K)

(IS

As

(UK

)) a

nd

ap

plic

able

law

. Ou

r re

spo

nsi

bili

tie

s

un

de

r th

ose

sta

nd

ard

s a

re f

urt

he

r d

esc

rib

ed

in t

he

au

dit

or�

s

resp

on

sib

iliti

es

for

the

au

dit

of

the

fin

an

cia

l sta

tem

en

ts s

ec

tio

n o

f

ou

r re

po

rt.

We

are

ind

ep

en

de

nt

of

the

Co

mp

any

in a

cco

rda

nce

wit

h t

he

eth

ica

l re

qu

ire

me

nts

th

at a

re r

ele

va

nt

to o

ur

aud

it o

f th

e f

ina

nci

al

stat

em

en

ts in

th

e U

K, i

ncl

ud

ing

th

e F

ina

nci

al R

ep

ort

ing

Co

un

cil�s

(th

e �F

RC

�s�)

Eth

ica

l Sta

nd

ard

as

ap

plie

d t

o li

ste

d e

nti

tie

s, a

nd

we

hav

e f

ulf

ille

d o

ur

oth

er

eth

ica

l re

spo

nsi

bili

tie

s in

acc

ord

an

ce w

ith

the

se r

eq

uir

em

en

ts.

We

be

liev

e t

ha

t th

e a

ud

it e

vid

en

ce w

e h

ave

ob

tain

ed

is s

uff

icie

nt

an

d a

pp

rop

riat

e t

o p

rov

ide

a b

asis

fo

r o

ur

op

inio

n.

3S

um

ma

ry o

f o

ur

au

dit

ap

pro

ach

Ke

y a

ud

it m

att

ers

Th

e k

ey

au

dit

ma

tte

r th

at w

e id

en

tifi

ed

in t

he

cu

rre

nt

ye

ar w

as t

he

va

luat

ion

of

inv

est

me

nts

in t

he

Lu

xem

bo

urg

sub

sid

iary

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Wit

hin

th

is r

ep

ort

, ke

y a

ud

it m

atte

rs a

re id

en

tifi

ed

as

follo

ws:

Ne

wly

ide

nti

fie

d

Incr

ea

sed

lev

el o

f ri

sk

Sim

ilar

lev

el o

f ri

sk

De

cre

ase

d le

ve

l of

risk

Ma

teri

ali

tyT

he

mat

eri

alit

y t

ha

t w

e u

sed

fo

r th

e f

inan

cia

l sta

tem

en

ts in

th

e c

urr

en

t y

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r w

as E

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term

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n t

he

bas

is o

f N

et

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ets

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lue

of

the

co

mp

any.

Sc

op

ing

All

of

the

au

dit

wo

rk t

o r

esp

on

d t

o t

he

ris

ks

of

ma

teri

al m

isst

ate

me

nt

was

pe

rfo

rme

d d

ire

ctl

y b

y t

he

au

dit

en

ga

ge

me

nt

tea

m.

Sig

nif

ica

nt

ch

an

ge

s in

ou

ra

pp

roa

ch

Th

ere

are

no

sig

nif

ica

nt

chan

ge

s in

ou

r a

pp

roa

ch in

th

e c

urr

en

t ye

ar.

4C

on

clu

sio

ns

rela

tin

g t

o g

oin

g c

on

cern

In a

ud

itin

g t

he

fin

an

cial

sta

tem

en

ts, w

e h

ave

co

ncl

ud

ed

th

at

the

dir

ec

tors

� use

of

the

go

ing

co

nce

rn b

asi

s o

f a

cco

un

tin

g in

th

e

pre

pa

rati

on

of

the

fin

an

cial

sta

tem

en

ts is

ap

pro

pri

ate

.

Ou

r e

val

uat

ion

of

the

dir

ec

tors

� ass

ess

me

nt

of

the

co

mp

any

�s a

bili

ty

to c

on

tin

ue

to

ad

op

t th

e g

oin

g c

on

cern

bas

is o

f ac

cou

nti

ng

incl

ud

ed

:

Ca

rry

ing

ou

t th

e f

ollo

win

g o

n t

he

fo

rec

asts

pro

vid

ed

by

the

dir

ec

tors

�:

−T

est

ing

th

e a

rith

me

tic

acc

ura

cy

an

d in

teg

rity

of

the

mo

de

l

use

d f

or

pre

par

atio

n o

f th

e f

ore

cas

ts;

−A

sse

ssin

g w

he

the

r th

e c

ash

flo

ws

incl

ud

ed

in t

he

fo

reca

st w

ere

in li

ne

wit

h r

ele

van

t ag

ree

me

nts

an

d m

ark

et

exp

ec

tati

on

s; a

nd

−A

sse

ssin

g t

he

oth

er

key

inp

uts

use

d in

th

e f

ore

cas

ts f

or

reas

on

ab

len

ess

an

d c

on

sist

en

cy

wit

h p

rio

r y

ear

s an

d

ind

ust

ryn

orm

s.

Ev

alu

atin

g t

he

fo

reca

sts

pre

par

ed

by

the

dir

ect

ors

� in

pri

or

year

s to

ass

ess

wh

eth

er

the

y a

re in

lin

e w

ith

ac

tua

l re

sult

s in

cu

rre

nt

ye

ar;

Ev

alu

atin

g t

he

dir

ect

ors

� ass

ess

me

nt

of

the

imp

ac

t o

f B

rex

it a

nd

Co

vid

-19

on

th

e o

pe

rati

on

s o

f th

e c

om

pa

ny

an

d it

s re

gu

lato

ry

an

d li

qu

idit

y r

eq

uir

em

en

ts.

Ass

ess

ing

th

e a

pp

rop

riat

en

ess

of

the

go

ing

co

nce

rn d

iscl

osu

res

in t

he

fin

an

cia

l sta

tem

en

ts.

Ba

sed

on

th

e w

ork

we

hav

e p

erf

orm

ed

, we

hav

e n

ot

ide

nti

fie

d

an

y m

ate

ria

l un

cert

ain

tie

s re

lati

ng

to

ev

en

ts o

r co

nd

itio

ns

tha

t,

ind

ivid

ual

ly o

r co

llec

tiv

ely

, ma

y c

ast

sig

nif

ica

nt

do

ub

t o

n t

he

com

pan

y�s

ab

ility

to

co

nti

nu

e a

s a

go

ing

co

nce

rn f

or

a p

eri

od

of

atle

ast

tw

elv

e m

on

ths

fro

m w

he

n t

he

fin

anci

al s

tate

me

nts

are

au

tho

rise

d f

or

issu

e.

In r

ela

tio

n t

o t

he

re

po

rtin

g o

n h

ow

th

e c

om

pa

ny

ha

s a

pp

lied

th

e

UK

Co

rpo

rate

Go

ve

rna

nce

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de

, we

hav

e n

oth

ing

mat

eri

al t

o a

dd

or

dra

w a

tte

nti

on

to

in r

ela

tio

n t

o t

he

dir

ec

tors

� sta

tem

en

t in

th

e

fin

an

cia

l sta

tem

en

ts a

bo

ut

wh

eth

er

the

dir

ec

tors

co

nsi

de

red

it

ap

pro

pri

ate

to

ad

op

t th

e g

oin

g c

on

cern

bas

is o

f a

cco

un

tin

g.

Ou

r re

spo

nsi

bili

tie

s a

nd

th

e r

esp

on

sib

iliti

es

of

the

dir

ect

ors

wit

h

resp

ec

t to

go

ing

co

nce

rn a

re d

esc

rib

ed

in t

he

re

lev

an

t se

cti

on

s o

f

this

re

po

rt.

5K

ey

au

dit

ma

tte

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ey

au

dit

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tte

rs a

re t

ho

se m

atte

rs t

hat

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ou

r p

rofe

ssio

na

l

jud

ge

me

nt,

we

re o

f m

ost

sig

nif

ican

ce in

ou

r a

ud

it o

f th

e f

inan

cia

l

stat

em

en

ts o

f th

e c

urr

en

t p

eri

od

an

d in

clu

de

th

e m

ost

sig

nif

ica

nt

ass

ess

ed

ris

ks

of

mat

eri

al m

isst

ate

me

nt

(wh

eth

er

or

no

t d

ue

to

fra

ud

) th

at w

e id

en

tifi

ed

. Th

ese

ma

tte

rs in

clu

de

d t

ho

se w

hic

h h

ad

the

gre

ate

st e

ffe

ct o

n: t

he

ov

era

ll a

ud

it s

tra

teg

y, t

he

allo

cat

ion

of

reso

urc

es

in t

he

au

dit

; an

d d

ire

cti

ng

th

e e

ffo

rts

of

the

en

gag

em

en

t te

am

.

Th

ese

ma

tte

rs w

ere

ad

dre

sse

d in

th

e c

on

tex

t o

f o

ur

aud

it o

f th

e

fin

anci

al s

tate

me

nts

as

a w

ho

le, a

nd

in f

orm

ing

ou

r o

pin

ion

th

ere

on

,

an

d w

e d

o n

ot

pro

vid

e a

se

pa

rate

op

inio

n o

n t

he

se m

atte

rs.

5.1

Val

uat

ion

of

inv

est

me

nts

in L

uxe

mb

ou

rg s

ub

sid

iary

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y a

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it

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tte

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de

scri

pti

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Th

e in

ve

stm

en

ts in

su

bsi

dia

ry a

re a

cco

un

ted

at

Fair

Va

lue

Th

rou

gh

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fit

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d L

oss

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est

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nts

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lack

sto

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te 6

to

th

e f

inan

cial

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tem

en

ts, a

re il

liqu

id in

ve

stm

en

ts, n

ot

tra

de

d o

n a

n a

cti

ve

mar

ket

an

d a

re v

alu

ed

usi

ng

va

luat

ion

te

chn

iqu

es

de

term

ine

d b

y t

he

Dir

ec

tors

an

d c

lass

ifie

d

as le

ve

l III

un

de

r IF

RS

: Fa

ir V

alu

e M

eas

ure

me

nt

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RS

13

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alu

atio

n is

th

ere

fore

a k

ey

are

a o

f ju

dg

em

en

t a

nd

ha

s

a si

gn

ific

ant

imp

act

on

th

e N

et

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ets

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ue

(�N

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hic

h is

th

e m

ost

sig

nif

ican

t K

ey

Pe

rfo

rma

nce

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icat

or

(�K

PI�

)

of

the

Co

mp

an

y a

nd

has

a d

ire

ct

eff

ec

t o

n t

he

re

cog

nit

ion

of

ga

ins

an

d lo

sse

s o

n in

ve

stm

en

ts.

Th

e in

ve

stm

en

ts, c

om

mit

me

nts

an

d o

blig

atio

ns

con

tra

cte

d b

y B

lack

sto

ne

Co

rpo

rate

Fu

nd

ing

De

sig

nat

ed

Ac

tiv

ity

Co

mp

an

y (

�BC

F�)

are

dri

vin

g t

he

pe

rfo

rman

ce o

f it

s N

AV

, th

e v

alu

atio

n o

f th

e in

ve

stm

en

ts in

BC

F a

nd

ult

imat

ely

the

pe

rfo

rman

ce o

f th

e C

om

pa

ny

an

d it

s lis

ted

sh

are

s. W

e c

on

sid

er

BC

F a

s th

e p

rin

cip

al s

ou

rce

of

risk

s a

nd

re

war

ds

for

the

Co

mp

any

wit

h B

CF

�s f

ina

nci

al s

itu

ati

on

re

pre

sen

ted

by

its

Ne

t A

sse

t V

alu

e a

s th

e m

ain

co

mp

on

en

t fo

r th

e

fair

va

lua

tio

n o

f th

e in

ve

stm

en

ts.

Th

e C

ov

id-1

9 p

an

de

mic

led

init

ially

to

a d

ea

rth

of

tran

sac

tio

n a

cti

vit

y f

or

Co

llate

ralis

ed

Lo

an

Ob

liga

tio

ns

(�C

LO

�)

eq

uit

y n

ote

s. In

co

mp

ari

son

to

th

e h

alf

ye

ar, b

y y

ea

r e

nd

ac

tiv

ity

lev

els

ha

d r

eco

ve

red

wh

ich

he

lpe

d p

rov

ide

mar

ket

ev

ide

nce

mo

re a

kin

to

th

at s

ee

n in

pri

or

ye

ars.

Re

vie

win

g r

isk

mo

nit

ori

ng

, pe

rfo

rma

nce

an

d t

he

inv

est

me

nts

� va

lua

tio

n f

or

the

Co

mp

an

y, r

eq

uir

es

an

ass

ess

me

nt

of

the

po

siti

on

s w

ith

in B

CF.

BC

F�s

inv

est

me

nt

po

siti

on

s in

de

bt

inst

rum

en

ts, r

ela

ted

cre

dit

ris

k a

nd

liq

uid

ity

ex

po

sure

s sh

ou

ld b

e c

om

plia

nt

wit

h t

he

qu

alit

y, d

ive

rsif

icat

ion

an

d o

ve

rall

limit

atio

ns

imp

ose

d b

y t

he

Pro

spe

ctu

s.

60

FIN

AN

CIA

l S

TA

Te

me

NT

S:

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RT

61

6.2

Pe

rfo

rman

ce m

ate

ria

lity

We

se

t p

erf

orm

an

ce m

ate

ria

lity

at

a le

ve

l lo

we

r th

an

ma

teri

alit

y

tore

du

ce t

he

pro

ba

bili

ty t

ha

t, in

ag

gre

gat

e, u

nco

rre

cte

d a

nd

un

de

tec

ted

mis

stat

em

en

ts e

xce

ed

th

e m

ate

ria

lity

fo

r th

e f

ina

nci

al

stat

em

en

ts a

s a

wh

ole

. Pe

rfo

rma

nce

mat

eri

alit

y w

as

set

at

70

%

of

ma

teri

alit

y f

or

the

20

20

au

dit

(2

019

: 70

%).

In d

ete

rmin

ing

pe

rfo

rma

nce

mat

eri

alit

y, w

e c

on

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ere

d o

ur

risk

ass

ess

me

nt,

incl

ud

ing

ou

r a

sse

ssm

en

t o

f th

e C

om

pa

ny

�s o

ve

rall

con

tro

l

en

vir

on

me

nt

incl

ud

ing

imp

act

of

Co

vid

-19

an

d o

ur

pas

t e

xpe

rie

nce

of

the

au

dit

, wh

ich

has

ind

icat

ed

a lo

w n

um

be

r o

f co

rre

cte

d a

nd

un

corr

ec

ted

mis

stat

em

en

ts id

en

tifi

ed

in p

rio

r p

eri

od

s.

6.3

Err

or

rep

ort

ing

th

resh

old

We

ag

ree

d w

ith

th

e A

ud

it C

om

mit

tee

th

at w

e w

ou

ld r

ep

ort

to

the

Co

mm

itte

e a

ll a

ud

it d

iffe

ren

ces

in e

xce

ss o

f E

UR

410

,00

0

(20

19: E

UR

410

,00

0),

as

we

ll a

s d

iffe

ren

ces

be

low

th

at t

hre

sho

ld

that

, in

ou

r v

iew

, wa

rra

nte

d r

ep

ort

ing

on

qu

alit

ativ

e g

rou

nd

s.

We

also

re

po

rt t

o t

he

Au

dit

Co

mm

itte

e o

n d

iscl

osu

re m

atte

rs t

hat

we

ide

nti

fie

d w

he

n a

sse

ssin

g t

he

ov

era

ll p

rese

nta

tio

n o

f th

e

fin

an

cia

l sta

tem

en

ts.

7A

n o

ve

rvie

w o

f th

e s

cop

e o

f o

ur

au

dit

7.1

Sco

pin

g

Ou

r au

dit

wa

s sc

op

ed

by

ob

tain

ing

an

un

de

rsta

nd

ing

of

the

en

tity

an

d it

s e

nv

iro

nm

en

t, in

clu

din

g in

tern

al c

on

tro

l, a

nd

ass

ess

ing

th

e

risk

s o

f m

ate

ria

l mis

sta

tem

en

t. A

ud

it w

ork

to

re

spo

nd

to

th

e r

isk

s

of

ma

teri

al m

isst

ate

me

nt

was

pe

rfo

rme

d d

ire

ctl

y b

y t

he

au

dit

en

ga

ge

me

nt

tea

m.

7.2

Ou

r co

nsi

de

rati

on

of

the

co

ntr

ol e

nv

iro

nm

en

t

A t

hir

d p

arty

ad

min

istr

ato

r m

ain

tain

s th

e b

oo

ks

an

d r

eco

rds

of

the

Co

mp

an

y. O

ur

au

dit

th

ere

fore

incl

ud

ed

ob

tain

ing

an

un

de

rsta

nd

ing

of

the

co

ntr

ols

at

this

se

rvic

e o

rga

nis

ati

on

, to

th

e e

xte

nt

that

th

ey

are

re

lev

an

t to

th

e C

om

pan

y.

8

oth

er

info

rma

tio

nT

he

oth

er

info

rmat

ion

co

mp

rise

s th

e in

form

ati

on

incl

ud

ed

in

the

ann

ua

l re

po

rt, o

the

r th

an

th

e f

ina

nci

al s

tate

me

nts

an

d o

ur

au

dit

or�

s re

po

rt t

he

reo

n. T

he

dir

ec

tors

are

re

spo

nsi

ble

fo

r th

e

oth

er

info

rmat

ion

co

nta

ine

d w

ith

in t

he

an

nu

al r

ep

ort

.

Ou

r o

pin

ion

on

th

e f

ina

nci

al s

tate

me

nts

do

es

no

t co

ve

r th

e o

the

r

info

rmat

ion

an

d w

e d

o n

ot

ex

pre

ss a

ny

fo

rm o

f a

ssu

ran

ce

con

clu

sio

n t

he

reo

n.

Ou

r re

spo

nsi

bili

ty is

to

re

ad

th

e o

the

r in

form

atio

n a

nd

, in

do

ing

so

,

con

sid

er

wh

eth

er

the

oth

er

info

rmat

ion

is m

ate

rial

ly in

con

sist

en

t

wit

h t

he

fin

an

cial

sta

tem

en

ts o

r o

ur

kn

ow

led

ge

ob

tain

ed

in t

he

cou

rse

of

the

au

dit

, or

oth

erw

ise

ap

pe

ars

to b

e m

ate

rial

ly m

isst

ate

d.

If w

e id

en

tify

su

ch m

ate

ria

l in

con

sist

en

cie

s o

r a

pp

are

nt

ma

teri

al

mis

stat

em

en

ts, w

e a

re r

eq

uir

ed

to

de

term

ine

wh

eth

er

this

giv

es

rise

to

a m

ate

ria

l mis

stat

em

en

t in

th

e f

ina

nci

al s

tate

me

nts

the

mse

lve

s. If

, ba

sed

on

th

e w

ork

we

hav

e p

erf

orm

ed

, we

con

clu

de

th

at t

he

re is

a m

ate

ria

l mis

sta

tem

en

t o

f th

is o

the

r

info

rma

tio

n, w

e a

re r

eq

uir

ed

to

re

po

rt t

ha

t fa

ct.

We

ha

ve

no

thin

g t

o r

ep

ort

in r

esp

ec

t o

f th

ese

mat

ters

.

9R

esp

on

sib

ilit

ies

of

dir

ec

tors

As

exp

lain

ed

mo

re f

ully

in t

he

dir

ect

ors

� re

spo

nsi

bili

tie

s st

ate

me

nt,

the

dir

ect

ors

are

re

spo

nsi

ble

fo

r th

e p

rep

arat

ion

of

the

fin

anci

al

stat

em

en

ts a

nd

fo

r b

ein

g s

atis

fie

d t

hat

th

ey

giv

e a

tru

e a

nd

fai

r v

iew

,

and

fo

r su

ch in

tern

al c

on

tro

l as

the

dir

ect

ors

de

term

ine

is n

ece

ssar

y

to e

nab

le t

he

pre

par

atio

n o

f fi

nan

cial

sta

tem

en

ts t

hat

are

fre

e f

rom

mat

eri

al m

isst

ate

me

nt,

wh

eth

er

du

e t

o f

rau

d o

r e

rro

r.

In p

rep

arin

g t

he

fin

anci

al s

tate

me

nts

, th

e d

ire

cto

rs a

re r

esp

on

sib

le

for

asse

ssin

g t

he

co

mp

any

�s a

bili

ty t

o c

on

tin

ue

as

a g

oin

g c

on

cern

,

dis

clo

sin

g a

s ap

plic

able

, mat

ters

re

late

d t

o g

oin

g c

on

cern

an

d u

sin

g

the

go

ing

co

nce

rn b

asis

of

acco

un

tin

g u

nle

ss t

he

dir

ect

ors

eit

he

r

inte

nd

to

liq

uid

ate

th

e c

om

pan

y o

r to

ce

ase

op

era

tio

ns,

or

hav

e n

o

real

isti

c al

tern

ativ

e b

ut

to d

o s

o.

10A

ud

ito

r’s

resp

on

sib

ilit

ies

for

the

au

dit

of

the

fi

na

nci

als

tate

me

nts

Ou

r o

bje

cti

ve

s ar

e t

o o

bta

in r

ea

son

ab

le a

ssu

ran

ce a

bo

ut

wh

eth

er

the

fin

an

cia

l sta

tem

en

ts a

s a

wh

ole

are

fre

e f

rom

ma

teri

al

mis

stat

em

en

t, w

he

the

r d

ue

to

fra

ud

or

err

or,

an

d t

o is

sue

an

au

dit

or�

s re

po

rt t

hat

incl

ud

es

ou

r o

pin

ion

. Re

aso

na

ble

ass

ura

nce

is a

hig

h le

ve

l of

assu

ran

ce, b

ut

is n

ot

a g

ua

ran

tee

th

at a

n a

ud

it

con

du

cte

d in

acc

ord

an

ce w

ith

ISA

s (U

K)

will

alw

ay

s d

ete

ct

a

mat

eri

al m

isst

ate

me

nt

wh

en

it e

xis

ts. M

isst

ate

me

nts

ca

n a

rise

fro

m f

rau

d o

r e

rro

r an

d a

re c

on

sid

ere

d m

ate

rial

if, i

nd

ivid

ua

lly o

r

in t

he

ag

gre

gat

e, t

he

y c

ou

ld r

ea

son

ab

ly b

e e

xpe

cte

d t

o in

flu

en

ce

the

eco

no

mic

de

cisi

on

s o

f u

sers

ta

ken

on

th

e b

asi

s o

f th

ese

fin

an

cial

sta

tem

en

ts.

A f

urt

he

r d

esc

rip

tio

n o

f o

ur

resp

on

sib

iliti

es

for

the

au

dit

of

the

fin

an

cial

sta

tem

en

ts is

loc

ate

d o

n t

he

FR

C�s

we

bsi

te a

t:

ww

w.f

rc.o

rg.u

k/a

ud

ito

rsre

spo

nsi

bili

tie

s. T

his

de

scri

pti

on

fo

rms

pa

rt o

f o

ur

au

dit

or�

s re

po

rt.

Th

e D

ire

cto

rs u

se t

he

ir ju

dg

me

nt,

wit

h t

he

ass

ista

nce

of

the

Ad

vis

er,

Bla

ckst

on

e Ir

ela

nd

Lim

ite

d (

�BIL

�), i

n s

ele

cti

ng

an a

pp

rop

riat

e v

alu

atio

n t

ech

niq

ue

an

d r

efe

r to

te

chn

iqu

es

com

mo

nly

use

d b

y m

arke

t p

ract

itio

ne

rs. F

or

inv

est

me

nts

in B

CF

an

d t

he

un

de

rly

ing

co

llate

ralis

ed

loa

n o

blig

atio

ns

(CL

Os)

an

d t

he

eq

uit

y t

ran

che

s re

tain

ed

by

th

at c

om

pa

ny,

assu

mp

tio

ns

are

ma

de

bas

ed

on

qu

ote

d m

arke

t ra

tes

ad

just

ed

fo

r sp

eci

fic

fea

ture

s o

f a

ny

inst

rum

en

t. B

CF

use

s

Mar

kit

to

pri

ce lo

an

ass

et

po

rtfo

lio.

Th

ere

is a

ris

k t

ha

t a

thir

d p

art

y v

alu

er

has

use

d a

n in

corr

ec

t m

eth

od

olo

gy,

ina

ccu

rate

dat

a is

su

pp

lied

by

th

e

CL

O M

an

ag

er

of

the

Ori

gin

ato

r o

r in

ap

pro

pri

ate

ass

um

pti

on

s a

re u

sed

co

nce

rnin

g m

ark

et

info

rmat

ion

. Th

e k

ey

assu

mp

tio

ns

incl

ud

e d

isco

un

t, p

rep

aym

en

t, r

ein

ve

stm

en

t a

nd

de

fau

lt r

ate

s.

Re

fer

to p

age

55

to

57

(a

ud

it c

om

mit

tee

re

po

rt),

pag

es

70

to

73

(S

ign

ific

ant

Acc

ou

nti

ng

Po

licie

s) a

nd

pag

es

75

to

79

(N

ote

6 t

o t

he

Fin

anci

al s

tate

me

nts

).

Ho

w t

he

sc

op

e

of

ou

r a

ud

it

resp

on

de

d

toth

e k

ey

au

dit

ma

tte

r

In r

esp

on

se t

o t

his

ke

y a

ud

it m

att

er:

We

ob

tain

ed

un

de

rsta

nd

ing

of

the

re

lev

an

t co

ntr

ols

ov

er

the

va

lua

tio

n p

roce

ss.

We

ass

ess

ed

th

e v

alu

ati

on

me

tho

do

log

y f

or

the

fin

an

cial

inst

rum

en

ts is

sue

d b

y B

CF

ag

ain

st in

du

stry

sta

nd

ard

s

an

d I

FR

S 1

3.

We

inv

olv

ed

ou

r fi

na

nci

al in

stru

me

nts

sp

eci

alis

ts t

o a

sse

ss t

he

va

lua

tio

n o

f in

ve

stm

en

ts a

nd

re

late

d d

iscl

osu

res

in t

he

fin

an

cia

l sta

tem

en

ts.

We

inv

olv

ed

ou

r o

wn

CL

O v

alu

atio

n s

pe

cia

lists

to

re

vie

w t

he

te

st o

f v

alu

atio

ns

pe

rfo

rme

d b

y t

he

au

dit

ors

of

BC

F, c

om

pa

rin

g in

form

atio

n a

nd

ass

um

pti

on

s u

sed

by

ma

na

ge

me

nt

to in

form

atio

n a

va

ilab

le f

rom

ex

tern

al

ind

ep

en

de

nt

relia

ble

so

urc

es

such

as

Blo

om

be

rg o

r In

tex

, in

clu

din

g a

ny

imp

act

of

dis

cou

nt

/ p

rem

ium

to

NA

V.

We

te

ste

d t

he

ca

lcu

lati

on

of

the

ch

an

ge

in v

alu

e o

f in

ve

stm

en

ts f

or

the

ye

ar

an

d it

s re

cog

nit

ion

in t

he

stat

em

en

t o

f co

mp

reh

en

siv

e in

com

e.

We

ass

ess

ed

th

e a

pp

rop

riat

en

ess

of

dis

clo

sure

s (i

ncl

ud

ing

dis

clo

sure

s re

late

d t

o s

en

siti

vit

y) m

ad

e b

y t

he

Co

mp

an

y in

acc

ord

an

ce w

ith

re

qu

ire

me

nts

of

IFR

S 1

3.

Ke

y

ob

se

rva

tio

ns

Ba

sed

on

th

e w

ork

pe

rfo

rme

d w

e c

on

clu

de

d t

hat

th

e v

alu

atio

n o

f in

ve

stm

en

ts in

th

e L

uxe

mb

ou

rg s

ub

sid

iary

is

ap

pro

pri

ate

.

6

ou

r a

pp

lica

tio

n o

f m

ate

ria

lity

6.1

Ma

teri

alit

y

We

de

fin

e m

ate

ria

lity

as

the

ma

gn

itu

de

of

mis

stat

em

en

t in

th

e

fin

an

cia

l sta

tem

en

ts t

ha

t m

ake

s it

pro

ba

ble

th

at t

he

eco

no

mic

de

cisi

on

s o

f a

re

aso

na

bly

kn

ow

led

ge

ab

le p

ers

on

wo

uld

be

cha

ng

ed

or

infl

ue

nce

d. W

e u

se m

ate

rial

ity

bo

th in

pla

nn

ing

th

e

sco

pe

of

ou

r a

ud

it w

ork

an

d in

ev

alu

atin

g t

he

re

sult

s o

f o

ur

wo

rk.

Ba

sed

on

ou

r p

rofe

ssio

na

l ju

dg

em

en

t, w

e d

ete

rmin

ed

ma

teri

alit

y

for

the

fin

an

cial

sta

tem

en

ts a

s a

wh

ole

as

follo

ws:

Ma

teri

ali

tyE

UR

8,2

00

,00

0

(20

19: E

UR

8,2

00

,00

0)

Ba

sis

for

de

term

inin

g

ma

teri

ali

ty

We

de

term

ine

d m

ate

ria

lity

fo

r th

e C

om

pan

y,

wh

ich

is a

pp

rox

imat

ely

2%

(2

019

: 2%

) o

f th

e

Ne

t A

sse

t V

alu

e o

f th

e C

om

pa

ny.

Ra

tio

na

le

for

the

be

nc

hm

ark

ap

pli

ed

Ne

t A

sse

t V

alu

e is

th

e k

ey

pe

rfo

rma

nce

ind

icat

or

for

inv

est

me

nts

in t

he

Co

mp

any

an

d

is t

he

refo

re s

ele

cte

d a

s th

e a

pp

rop

ria

te

be

nch

ma

rk.

62

FIN

AN

CIA

l S

TA

Te

me

NT

S:

INd

eP

eN

de

NT

Au

dIT

oR

’S R

eP

oR

TF

INA

NC

IAl

ST

AT

em

eN

TS

: IN

de

Pe

Nd

eN

T A

ud

ITo

R’S

Re

Po

RT

63

11.

e x

ten

t to

wh

ich

th

e a

ud

it w

as

con

sid

ere

d c

ap

ab

le

of

de

tec

tin

g ir

reg

ula

riti

es,

incl

ud

ing

fra

ud

Irre

gu

lari

tie

s, in

clu

din

g f

rau

d, a

re in

sta

nce

s o

f n

on

-co

mp

lian

ce

wit

h la

ws

an

d r

eg

ula

tio

ns.

We

de

sig

n p

roce

du

res

in li

ne

wit

h o

ur

resp

on

sib

iliti

es,

ou

tlin

ed

ab

ov

e, t

o d

ete

ct

mat

eri

al m

isst

ate

me

nts

in r

esp

ec

t o

f ir

reg

ula

riti

es,

incl

ud

ing

fra

ud

. Th

e e

xte

nt

to w

hic

h

ou

r p

roce

du

res

are

ca

pab

le o

f d

ete

cti

ng

irre

gu

lari

tie

s, in

clu

din

g

fra

ud

is d

eta

iled

be

low

.

11.1

. Id

en

tify

ing

an

d a

sse

ssin

g p

ote

nti

al r

isk

s re

late

d t

o ir

reg

ula

riti

es

In id

en

tify

ing

an

d a

sse

ssin

g r

isk

s o

f m

ate

rial

mis

stat

em

en

t in

resp

ec

t o

f ir

reg

ula

riti

es,

incl

ud

ing

fra

ud

an

d n

on

-co

mp

lian

ce w

ith

law

s a

nd

re

gu

lati

on

s, w

e c

on

sid

ere

d t

he

fo

llow

ing

:

the

na

ture

of

the

ind

ust

ry a

nd

se

cto

r, c

on

tro

l en

vir

on

me

nt

an

d

bu

sin

ess

pe

rfo

rma

nce

incl

ud

ing

th

e d

esi

gn

of

the

co

mp

an

y�s

rem

un

era

tio

n p

olic

ies,

ke

y d

riv

ers

fo

r d

ire

cto

rs� r

em

un

era

tio

n,

bo

nu

s le

ve

ls a

nd

pe

rfo

rma

nce

ta

rge

ts;

resu

lts

of

ou

r e

nq

uir

ies

of

ma

nag

em

en

t, t

he

bo

ard

of

dir

ect

ors

,

the

au

dit

co

mm

itte

e a

nd

ris

k c

om

mit

tee

ab

ou

t th

eir

ow

n

ide

nti

fica

tio

n a

nd

ass

ess

me

nt

of

the

ris

ks

of

irre

gu

lari

tie

s;

an

y m

atte

rs w

e id

en

tifi

ed

hav

ing

ob

tain

ed

an

d r

ev

iew

ed

th

e

com

pan

y�s

do

cum

en

tati

on

of

the

ir p

olic

ies

an

d p

roce

du

res

rela

tin

g t

o:

−id

en

tify

ing

, ev

alu

atin

g a

nd

co

mp

lyin

g w

ith

law

s an

d

reg

ula

tio

ns

an

d w

he

the

r th

ey

we

re a

wa

re o

f an

y in

sta

nce

s

of

no

n-c

om

plia

nce

;

−d

ete

ctin

g a

nd

re

spo

nd

ing

to

th

e r

isk

s o

f fr

au

d a

nd

wh

eth

er

the

y

hav

e k

no

wle

dg

e o

f an

y a

ctu

al,

susp

ec

ted

or

alle

ge

d f

rau

d;

−th

e in

tern

al c

on

tro

ls e

sta

blis

he

d t

o m

itig

ate

ris

ks

of

fra

ud

or

no

n-c

om

plia

nce

wit

h la

ws

an

d r

eg

ula

tio

ns;

the

mat

ters

dis

cuss

ed

am

on

g t

he

au

dit

en

gag

em

en

t te

am a

nd

incl

ud

ing

sig

nif

ican

t co

mp

on

en

t au

dit

te

ams

and

re

lev

ant

inte

rnal

spe

cia

lists

, in

clu

din

g; t

ax

an

d v

alu

atio

ns

spe

cia

lists

re

ga

rdin

g

ho

w a

nd

wh

ere

fra

ud

mig

ht

occ

ur

in t

he

fin

an

cia

l sta

tem

en

ts

an

d a

ny

po

ten

tial

ind

icat

ors

of

fra

ud

.

As

a re

sult

of

the

se p

roce

du

res,

we

co

nsi

de

red

th

e o

pp

ort

un

itie

s

an

d in

cen

tiv

es

tha

t m

ay e

xis

t w

ith

in t

he

org

an

isat

ion

fo

r fr

au

d a

nd

ide

nti

fie

d t

he

gre

ate

st p

ote

nti

al f

or

fra

ud

ex

ists

in t

he

va

lua

tio

n o

f

inv

est

me

nts

in t

he

Lu

xem

bo

urg

su

bsi

dia

ry. I

n c

om

mo

n w

ith

all

au

dit

s u

nd

er

ISA

s (U

K),

we

are

als

o r

eq

uir

ed

to

pe

rfo

rm s

pe

cifi

c

pro

ced

ure

s to

re

spo

nd

to

th

e r

isk

of

man

age

me

nt

ov

err

ide

.

We

als

o o

bta

ine

d a

n u

nd

ers

tan

din

g o

f th

e le

ga

l an

d r

eg

ula

tory

fram

ew

ork

th

at t

he

co

mp

an

y o

pe

rate

s in

, fo

cusi

ng

on

pro

vis

ion

s

of

tho

se la

ws

and

re

gu

lati

on

s th

at h

ad

a d

ire

ct

eff

ec

t o

n t

he

de

term

inat

ion

of

mat

eri

al a

mo

un

ts a

nd

dis

clo

sure

s in

th

e f

ina

nci

al

stat

em

en

ts. T

he

ke

y la

ws

an

d r

eg

ula

tio

ns

we

co

nsi

de

red

in t

his

con

tex

t in

clu

de

d t

he

Co

mp

an

ies

(Je

rse

y) L

aw, 1

99

1, L

isti

ng

Ru

les

an

d t

ax

leg

isla

tio

n.

In a

dd

itio

n, w

e c

on

sid

ere

d p

rov

isio

ns

of

oth

er

law

s an

d r

eg

ula

tio

ns

that

do

no

t h

av

e a

dir

ec

t e

ffe

ct

on

th

e f

ina

nci

al s

tate

me

nts

bu

t

com

plia

nce

wit

h w

hic

h m

ay

be

fu

nd

ame

nta

l to

th

e c

om

pan

y�s

ab

ility

to

op

era

te o

r to

av

oid

a m

ate

rial

pe

na

lty.

Th

ese

incl

ud

ed

the

co

mp

any

�s c

om

plia

nce

wit

h t

he

Je

rse

y F

ina

nci

al S

erv

ice

s

Co

mm

issi

on

(JF

SC

) re

gu

lato

ry r

eq

uir

em

en

ts.

11.2

. Au

dit

re

spo

nse

to

ris

ks

ide

nti

fie

d

As

a r

esu

lt o

f p

erf

orm

ing

th

e a

bo

ve

, we

ide

nti

fie

d v

alu

atio

n o

f

inv

est

me

nts

in t

he

Lu

xem

bo

urg

su

bsi

dia

ry a

s a

ke

y a

ud

it m

atte

r

rela

ted

to

th

e p

ote

nti

al r

isk

of

fra

ud

. Th

e k

ey

au

dit

mat

ters

se

cti

on

of

ou

r re

po

rt e

xp

lain

s th

e m

atte

r in

mo

re d

eta

il an

d a

lso

de

scri

be

s

the

sp

eci

fic

pro

ced

ure

s w

e p

erf

orm

ed

in r

esp

on

se t

o t

hat

ke

y

au

dit

ma

tte

r.

In a

dd

itio

n t

o t

he

ab

ov

e, o

ur

pro

ced

ure

s to

re

spo

nd

to

ris

ks

ide

nti

fie

d in

clu

de

d t

he

fo

llow

ing

:

rev

iew

ing

th

e f

inan

cia

l sta

tem

en

t d

iscl

osu

res

and

te

stin

g t

o

sup

po

rtin

g d

ocu

me

nta

tio

n t

o a

sse

ss c

om

plia

nce

wit

h p

rov

isio

ns

of

rele

va

nt

law

s a

nd

re

gu

lati

on

s d

esc

rib

ed

as

hav

ing

a d

ire

ct

eff

ec

t o

n t

he

fin

an

cial

sta

tem

en

ts;

en

qu

irin

g o

f m

an

ag

em

en

t an

d t

he

au

dit

co

mm

itte

e c

on

cern

ing

act

ua

l an

d p

ote

nti

al li

tig

ati

on

an

d c

laim

s;

pe

rfo

rmin

g a

na

lyti

cal p

roce

du

res

to id

en

tify

an

y u

nu

sua

l or

un

ex

pe

cte

d r

ela

tio

nsh

ips

that

may

ind

ica

te r

isk

s o

f m

ate

ria

l

mis

sta

tem

en

t d

ue

to

fra

ud

;

rea

din

g m

inu

tes

of

me

eti

ng

s o

f th

ose

ch

arg

ed

wit

h g

ov

ern

an

ce,

rev

iew

ing

inte

rnal

au

dit

re

po

rts

and

re

vie

win

g c

orr

esp

on

de

nce

wit

h t

he

JF

SC

;

in a

dd

ress

ing

th

e r

isk

of

fra

ud

th

rou

gh

ma

nag

em

en

t o

ve

rrid

e

of

con

tro

ls, t

est

ing

th

e a

pp

rop

riat

en

ess

of

jou

rnal

en

trie

s an

d

oth

er

ad

just

me

nts

; ass

ess

ing

wh

eth

er

the

jud

ge

me

nts

ma

de

inm

ak

ing

acc

ou

nti

ng

est

imat

es

are

ind

icat

ive

of

a p

ote

nti

al

bia

s;an

d e

val

uat

ing

th

e b

usi

ne

ss r

atio

na

le o

f a

ny

sig

nif

ica

nt

tra

nsa

cti

on

s th

at a

re u

nu

sua

l or

ou

tsid

e t

he

no

rma

l co

urs

e

of

bu

sin

ess

.

We

als

o c

om

mu

nic

ate

d r

ele

van

t id

en

tifi

ed

law

s an

d r

eg

ula

tio

ns

and

po

ten

tial

fra

ud

ris

ks

to a

ll e

ng

ag

em

en

t te

am m

em

be

rs

incl

ud

ing

inte

rna

l sp

eci

alis

ts a

nd

sig

nif

ica

nt

com

po

ne

nt

au

dit

tea

ms,

an

d r

em

ain

ed

ale

rt t

o a

ny

ind

ica

tio

ns

of

fra

ud

or

no

n-

com

plia

nce

wit

h la

ws

and

re

gu

lati

on

s th

rou

gh

ou

t th

e a

ud

it.

Re

po

rt o

n o

the

r le

ga

l an

d r

eg

ula

tory

re

qu

ire

me

nts

12C

orp

ora

te g

ov

ern

an

ce S

tate

me

nt

Th

e L

isti

ng

Ru

les

req

uir

e u

s to

re

vie

w t

he

dir

ec

tors

� sta

tem

en

t in

rela

tio

n t

o g

oin

g c

on

cern

, lo

ng

er-

term

via

bili

ty a

nd

th

at p

art

of

the

Co

rpo

rate

Go

ve

rnan

ce S

tate

me

nt

rela

tin

g t

o t

he

co

mp

an

y�s

com

plia

nce

wit

h t

he

pro

vis

ion

s o

f th

e U

K C

orp

ora

te G

ov

ern

an

ce

Co

de

sp

eci

fie

d f

or

ou

r re

vie

w.

Ba

sed

on

th

e w

ork

un

de

rta

ken

as

pa

rt o

f o

ur

au

dit

, we

hav

e

con

clu

de

d t

ha

t e

ach

of

the

fo

llow

ing

ele

me

nts

of

the

Co

rpo

rate

Go

ve

rna

nce

Sta

tem

en

t is

mat

eri

ally

co

nsi

ste

nt

wit

h t

he

fin

an

cial

stat

em

en

ts a

nd

ou

r kn

ow

led

ge

ob

tain

ed

du

rin

g t

he

au

dit

:

the

dir

ec

tors

� sta

tem

en

t w

ith

re

ga

rds

to t

he

ap

pro

pri

ate

ne

ss o

f

ad

op

tin

g t

he

go

ing

co

nce

rn b

asi

s o

f a

cco

un

tin

g a

nd

an

y m

ate

ria

l

un

cert

ain

tie

s id

en

tifi

ed

se

t o

ut

on

pa

ge

34

;

the

dir

ec

tors

� ex

pla

nat

ion

as

to it

s a

sse

ssm

en

t o

f th

e c

om

pa

ny

�s

pro

spe

cts,

th

e p

eri

od

th

is a

sse

ssm

en

t co

ve

rs a

nd

wh

y t

he

pe

rio

d

is a

pp

rop

riat

e s

et

ou

t o

n p

age

35

;

the

dir

ec

tors

� sta

tem

en

t o

n f

air,

bal

an

ced

an

d u

nd

ers

tan

dab

le s

et

ou

t o

n p

age

59

;

the

bo

ard

�s c

on

firm

atio

n t

hat

it h

as

car

rie

d o

ut

a ro

bu

st

asse

ssm

en

t o

f th

e e

me

rgin

g a

nd

pri

nci

pal

ris

ks

set

ou

t o

n p

age

35

;

the

se

ctio

n o

f th

e a

nn

ua

l re

po

rt t

hat

de

scri

be

s th

e r

ev

iew

of

eff

ec

tiv

en

ess

of

risk

man

ag

em

en

t a

nd

inte

rna

l co

ntr

ol s

yst

em

s

set

ou

t o

n p

age

56

; an

d

the

se

cti

on

de

scri

bin

g t

he

wo

rk o

f th

e a

ud

it c

om

mit

tee

se

t o

ut

on

pag

es

55

to

57.

13

m a

tte

rs o

n w

hic

h w

e a

re r

eq

uir

ed

to

re

po

rt

by

ex

cep

tio

n13

.1. A

de

qu

acy

of

ex

pla

na

tio

ns

rece

ive

d a

nd

acc

ou

nti

ng

re

cord

s

Un

de

r th

e C

om

pa

nie

s (J

ers

ey)

La

w, 1

99

1 w

e a

re r

eq

uir

ed

to

rep

ort

to

yo

u if

, in

ou

r o

pin

ion

:

we

hav

e n

ot

rece

ive

d a

ll th

e in

form

ati

on

an

d e

xpla

nat

ion

s w

e

req

uir

e f

or

ou

r a

ud

it; o

r

pro

pe

r a

cco

un

tin

g r

eco

rds

hav

e n

ot

be

en

ke

pt,

or

pro

pe

r re

turn

s

for

ou

r a

ud

it h

ave

no

t b

ee

n r

ece

ive

d f

rom

bra

nch

es

no

t v

isit

ed

by

us;

or

the

fin

anci

al s

tate

me

nts

are

no

t in

ag

ree

me

nt

wit

h t

he

acc

ou

nti

ng

reco

rds

and

re

turn

s.

We

hav

e n

oth

ing

to

re

po

rt in

re

spe

ct

of

the

se m

att

ers

.

14

use

of

ou

r re

po

rtT

his

re

po

rt is

ma

de

so

lely

to

th

e c

om

pa

ny

�s m

em

be

rs, a

s a

bo

dy,

in a

cco

rda

nce

wit

h A

rtic

le 1

13A

of

the

Co

mp

an

ies

(Je

rse

y) L

aw

,

199

1. O

ur

au

dit

wo

rk h

as

be

en

un

de

rta

ken

so

th

at w

e m

igh

t st

ate

to t

he

co

mp

an

y�s

me

mb

ers

th

ose

ma

tte

rs w

e a

re r

eq

uir

ed

to

sta

te

to t

he

m in

an

au

dit

or�

s re

po

rt a

nd

fo

r n

o o

the

r p

urp

ose

. To

th

e

fulle

st e

xte

nt

pe

rmit

ted

by

law

, we

do

no

t a

cce

pt

or

ass

um

e

resp

on

sib

ility

to

an

yon

e o

the

r th

an t

he

co

mp

any

an

d t

he

co

mp

any

�s

me

mb

ers

as

a b

od

y, f

or

ou

r a

ud

it w

ork

, fo

r th

is r

ep

ort

, or

for

the

op

inio

ns

we

ha

ve

fo

rme

d.

ma

rc C

lee

ve

, bA

, FC

AF

or

an

d o

n b

eh

alf

of

De

loit

te L

LP

Re

cog

nis

ed

Au

dit

or

Jers

ey

29

Ap

ril 2

02

1

64

FIN

AN

CIA

l S

TA

Te

me

NT

S:

INd

eP

eN

de

NT

Au

dIT

oR

’S R

eP

oR

TF

INA

NC

IAl

ST

AT

em

eN

TS

: IN

de

Pe

Nd

eN

T A

ud

ITo

R’S

Re

Po

RT

65

Sta

tem

en

t o

fF

ina

nci

al P

osi

tio

n

(28

)R

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s (3

1 D

ece

mb

er

20

19: 1

33

,45

1,10

7 C

Sh

are

s o

f n

o

pa

r v

alu

e, c

arry

ing

no

vo

tin

g r

igh

ts).

Th

e C

om

pan

y m

ay is

sue

on

e

or

mo

re a

dd

itio

na

l cla

sse

s o

f sh

are

s in

acc

ord

an

ce w

ith

th

e

Art

icle

s o

f A

sso

cia

tio

n.

Th

e C

om

pa

ny

has

a w

ho

lly o

wn

ed

Lu

xem

bo

urg

su

bsi

dia

ry,

Bla

ckst

on

e/G

SO

Lo

an

Fin

an

cin

g (

Lu

xem

bo

urg

) S

.à r

.l., w

hic

h h

as

an

issu

ed

sh

are

ca

pit

al o

f 2

,00

0,0

00

Cla

ss A

sh

are

s a

nd

1 C

lass

B

sha

re h

eld

by

th

e C

om

pa

ny

as

at

31

De

cem

be

r 2

02

0 a

nd

31

De

cem

be

r 2

019

. Th

e C

om

pa

ny

als

o h

old

s 2

84

,87

9,8

54

Cla

ss B

CS

Ws

(31

De

cem

be

r 2

019

: 319

,75

8,5

84

) is

sue

d b

y th

e L

ux

Su

bsi

dia

ry.

Th

e C

om

pa

ny

als

o h

old

s tw

o d

ire

ctl

y h

eld

CL

O M

ez

zan

ine

No

tes

(31

De

cem

be

r 2

019

: 6 d

ire

ctly

he

ld C

LO

In

com

e N

ote

s a

nd

2

dir

ec

tly

he

ld M

ezz

an

ine

No

tes)

wh

ich

fo

rme

d p

art

of

the

Ro

llov

er

Ass

ets

an

d a

re y

et

to b

e r

ea

lise

d a

nd

re

inv

est

ed

in C

SW

s.

Th

e C

om

pan

y�s

re

gis

tere

d a

dd

ress

is IF

C 1

, Th

e E

spla

na

de

, St

He

lier,

Jers

ey,

JE

1 4

BP,

Ch

an

ne

l Isl

an

ds.

2S

ign

ific

an

t a

cco

un

tin

g p

oli

cie

s

2.1

Sta

tem

en

t o

f co

mp

lia

nce

Th

e A

nn

ua

l Re

po

rt a

nd

Au

dit

ed

Fin

an

cial

Sta

tem

en

ts (

the

�A

nn

ua

l

Re

po

rt�)

are

pre

pa

red

in a

cco

rdan

ce w

ith

th

e D

iscl

osu

re G

uid

an

ce

an

d T

ran

spa

ren

cy

Ru

les

of

the

FC

A a

nd

wit

h IF

RS

as

ad

op

ted

by

the

EU

. Th

e f

inan

cia

l sta

tem

en

ts g

ive

a t

rue

an

d f

air

vie

w o

f th

e

Co

mp

any

�s a

ffa

irs

and

co

mp

ly w

ith

th

e r

eq

uir

em

en

ts o

f th

e

Co

mp

anie

s (J

ers

ey)

Law

19

91,

as

am

en

de

d.

Th

e p

rin

cip

al a

cco

un

tin

g p

olic

ies

app

lied

in t

he

pre

pa

rati

on

of

the

se f

ina

nci

al s

tate

me

nts

are

se

t o

ut

be

low

an

d o

n p

ag

es

71

to

73

. Th

ese

po

licie

s h

ave

be

en

ap

plie

d c

on

sist

en

tly

to t

he

Co

mp

any

�s

fin

anci

al s

tate

me

nts

fo

r al

l ye

ars

pre

sen

ted

exc

ep

t fo

r th

e a

do

pti

on

of

ne

w a

nd

am

en

de

d s

tan

da

rds

as s

et

ou

t a

s se

t o

ut

on

pa

ge

71.

2.2

b

asi

s o

f p

rep

ara

tio

nT

he

Co

mp

an

y�s

fin

an

cia

l sta

tem

en

ts h

ave

be

en

pre

pa

red

on

a

his

tori

cal

co

st b

asis

, exc

ep

t fo

r fi

na

nci

al i

nst

rum

en

ts m

eas

ure

d a

t

fair

val

ue

th

rou

gh

pro

fit

or

loss

.

Th

e C

om

pa

ny

�s f

un

cti

on

al c

urr

en

cy

is t

he

Eu

ro, w

hic

h is

th

e

curr

en

cy

of

the

pri

ma

ry e

con

om

ic e

nv

iro

nm

en

t in

wh

ich

it

op

era

tes.

Th

e C

om

pa

ny

�s p

erf

orm

an

ce is

ev

alu

ate

d a

nd

its

liqu

idit

y is

man

age

d in

Eu

ro. T

he

refo

re, E

uro

is c

on

sid

ere

d a

s th

e

curr

en

cy

th

at m

ost

fa

ith

fully

re

pre

sen

ts t

he

eco

no

mic

eff

ec

ts o

f

the

un

de

rly

ing

tra

nsa

cti

on

s, e

ve

nts

an

d c

on

dit

ion

s. T

he

fin

an

cia

l

stat

em

en

ts a

re p

rese

nte

d in

Eu

ro, e

xce

pt

wh

ere

oth

erw

ise

ind

icat

ed

.

Th

e f

ina

nci

al s

tate

me

nts

hav

e b

ee

n p

rep

are

d o

n a

go

ing

co

nce

rn

ba

sis.

Th

e d

iscl

osu

res

wit

h r

esp

ect

to

th

e D

ire

cto

rs� a

sse

ssm

en

t

on

th

e u

se o

f th

e g

oin

g c

on

cern

ba

sis

are

pro

vid

ed

on

pa

ge

34

in

the

�S

trat

eg

ic R

ep

ort

� R

isk

Ov

erv

iew

� se

cti

on

.

No

n-c

on

solid

atio

n o

f B

CF

To

de

term

ine

co

ntr

ol,

the

re h

as

to b

e a

lin

kag

e b

etw

ee

n p

ow

er

and

the

ex

po

sure

to

ris

ks

and

re

wa

rds.

Th

e m

ain

lin

k fr

om

ow

ne

rsh

ip

wo

uld

allo

w a

co

mp

any

to

co

ntr

ol t

he

pay

me

nts

of

retu

rns

and

op

era

tin

g p

olic

ies

an

d d

eci

sio

ns

of

a s

ub

sid

iary

. To

me

et

the

de

fin

itio

n o

f a

sub

sid

iary

un

de

r th

e s

ing

le c

on

tro

l mo

de

l of

IFR

S10

,

the

inv

est

or

ha

s to

co

ntr

ol t

he

inv

est

ee

.

Co

ntr

ol i

nv

olv

es

po

we

r, e

xp

osu

re t

o v

ari

ab

ility

of

retu

rns

an

d a

linka

ge

be

twe

en

th

e t

wo

:

the

inv

est

or

ha

s e

xis

tin

g r

igh

ts t

hat

giv

e it

th

e a

bili

ty t

o d

ire

ct t

he

rele

va

nt

ac

tiv

itie

s th

at s

ign

ific

antl

y a

ffe

ct

the

inv

est

ee

�s r

etu

rns;

the

inv

est

or

has

ex

po

sure

or

rig

hts

to

var

iab

le r

etu

rns

fro

m it

s

inv

olv

em

en

t w

ith

th

e in

ve

ste

e; a

nd

the

inv

est

or

has

th

e a

bili

ty t

o u

se it

s p

ow

er

ov

er

the

inv

est

ee

to

affe

ct

the

am

ou

nt

of

the

inv

est

or�

s re

turn

s.

In t

he

ca

se o

f B

CF,

th

e r

ele

van

t a

ctiv

itie

s ar

e t

he

inv

est

me

nt

de

cisi

on

s m

ad

e b

y it

. Ho

we

ve

r, in

th

e L

ux

Su

bsi

dia

ry�s

cas

e, t

he

po

we

r to

infl

ue

nce

or

dir

ec

t th

e r

ele

va

nt

ac

tiv

itie

s o

f B

CF

is n

ot

attr

ibu

tab

le t

o t

he

Lu

x S

ub

sid

iary

. Th

e L

ux

Su

bsi

dia

ry d

oe

s n

ot

hav

e t

he

ab

ility

to

dir

ec

t o

r st

op

inv

est

me

nts

by

BC

F; t

he

refo

re,

itd

oe

s n

ot

hav

e t

he

ab

ility

to

co

ntr

ol t

he

var

iab

ility

of

retu

rns.

Acc

ord

ing

ly, B

CF

ha

s b

ee

n d

ete

rmin

ed

no

t to

be

a s

ub

sid

iary

un

de

rta

kin

g a

s d

efi

ne

d u

nd

er

IFR

S 1

0 a

nd

th

e L

ux

Su

bsi

dia

ry�s

inv

est

me

nt

in t

he

PP

Ns

issu

ed

by

BC

F a

re a

cco

un

ted

fo

r a

t fa

ir

val

ue

th

rou

gh

pro

fit

or

loss

.

No

n-c

on

solid

ati

on

of

CL

Os

Th

e C

om

pa

ny

has

co

ncl

ud

ed

th

at

CL

Os

in w

hic

h it

inv

est

s, t

hat

are

no

t su

bsi

dia

rie

s fo

r fi

nan

cial

re

po

rtin

g p

urp

ose

s, m

ee

t th

e d

efi

nit

ion

of

stru

ctu

red

en

titi

es

be

cau

se:

the

vo

tin

g r

igh

ts in

th

e C

LO

s a

re n

ot

do

min

an

t ri

gh

ts in

de

cid

ing

wh

o c

on

tro

ls t

he

m, a

s th

ey

re

late

to

ad

min

istr

ativ

e t

ask

s o

nly

;

ea

ch C

LO

�s a

cti

vit

ies

are

re

stri

cte

d b

y it

s P

rosp

ec

tus;

an

d

the

CL

Os

hav

e n

arr

ow

an

d w

ell-

de

fin

ed

ob

ject

ive

s to

pro

vid

e

inv

est

me

nt

op

po

rtu

nit

ies

to in

ve

sto

rs.

2.3

Ne

w s

tan

da

rds,

am

en

dm

en

ts a

nd

inte

rpre

tati

on

s is

sue

d a

nd

eff

ect

ive

fo

r th

e f

ina

nci

al y

ea

r b

eg

inn

ing

1

Jan

ua

ry 2

02

0D

efi

nit

ion

of

ma

teri

al (

ame

nd

me

nts

to

IAS

1 a

nd

IAS

8)

Th

e In

tern

ati

on

al A

cco

un

tin

g S

tan

da

rds

Bo

ard

has

re

de

fin

ed

its

de

fin

itio

n o

f m

ate

ria

l, is

sue

d p

rac

tic

al g

uid

an

ce o

n a

pp

lyin

g t

he

con

cep

t o

f m

ate

ria

lity

an

d is

sue

d p

rop

osa

ls f

ocu

sed

on

th

e

ap

plic

atio

n o

f m

ate

rial

ity

to

dis

clo

sure

of

oth

er

acco

un

tin

g p

olic

ies.

Th

e a

me

nd

me

nts

do

no

t h

ave

a m

ate

rial

imp

act

on

th

e C

om

pa

ny

�s

fin

an

cia

l sta

tem

en

ts.

Th

ere

are

no

sta

nd

ard

s, a

me

nd

me

nts

to

sta

nd

ard

s an

d in

terp

reta

tio

ns

that

are

eff

ec

tiv

e f

or

the

fin

an

cia

l ye

ar

be

gin

nin

g 1

Jan

ua

ry 2

02

0

that

hav

e a

mat

eri

al e

ffe

ct o

n t

he

fin

anci

al s

tate

me

nts

of

the

Co

mp

any.

2.4

Ne

w s

tan

da

rds,

am

en

dm

en

ts a

nd

inte

rpre

tati

on

s is

sue

d b

ut

no

t e

ffe

cti

ve

fo

r th

e f

ina

nci

al y

ea

r b

eg

inn

ing

1

Jan

ua

ry 2

02

0 a

nd

no

t e

arl

y a

do

pte

dT

he

re a

re n

o s

tan

da

rds,

am

en

dm

en

ts a

nd

inte

rpre

tati

on

s w

hic

h

hav

e b

ee

n is

sue

d b

ut

are

no

t y

et

eff

ec

tiv

e a

nd

no

t e

arl

y a

do

pte

d,

that

will

aff

ect

th

e C

om

pa

ny

�s f

inan

cia

l sta

tem

en

ts.

2.5

Inco

me

2.5

a In

tere

st in

com

e a

nd

ex

pe

nse

Inte

rest

inco

me

an

d e

xpe

nse

is r

eco

gn

ise

d u

nd

er

IFR

S 9

se

par

ate

ly

thro

ug

h p

rofi

t o

r lo

ss in

th

e S

tate

me

nt

of

Co

mp

reh

en

siv

e I

nco

me

,

on

an

eff

ec

tiv

e in

tere

st r

ate

yie

ld b

asi

s.

2.5

b In

com

e d

istr

ibu

tio

ns

fro

m C

LO

s

Inco

me

fro

m t

he

fin

anci

al a

sse

ts a

t fa

ir v

alu

e t

hro

ug

h p

rofi

t o

r lo

ss

� C

LOs

is r

eco

gn

ise

d u

nd

er

IFR

S 9

in t

he

Sta

tem

en

t o

f C

om

pre

he

nsi

ve

Inco

me

as

Inco

me

dis

trib

uti

on

s fr

om

CL

Os.

Inco

me

fro

m t

he

CL

Os

is r

eco

gn

ise

d o

n a

n a

ccru

als

ba

sis.

2.6

Sh

are

s in

issu

eT

he

sh

are

s o

f th

e C

om

pa

ny

are

cla

ssif

ied

as

eq

uit

y, b

ase

d o

n t

he

sub

stan

ce o

f th

e c

on

tra

ctu

al a

rran

ge

me

nts

an

d in

acc

ord

an

ce

wit

h t

he

de

fin

itio

n o

f e

qu

ity

inst

rum

en

ts u

nd

er

IAS

32

Fin

an

cia

l

Inst

rum

en

ts: P

rese

nta

tio

n (

�IA

S 3

2�)

.

Th

e p

roce

ed

s fr

om

th

e is

sue

of

sha

res

are

re

cog

nis

ed

in t

he

Sta

tem

en

t o

f C

han

ge

s in

Eq

uit

y, n

et

of

the

incr

em

en

tal i

ssu

ance

co

sts.

Sh

are

re

pu

rch

ase

d b

y t

he

Co

mp

any

are

de

du

cte

d f

rom

eq

uit

y.

No

ga

in o

r lo

ss is

re

cog

nis

ed

in t

he

Sta

tem

en

t o

f C

om

pre

he

nsi

ve

Inco

me

on

th

e p

urc

has

e, s

ale

or

can

cella

tio

n o

f th

e C

om

pa

ny

�s

ow

n e

qu

ity

inst

rum

en

ts. T

he

co

nsi

de

rati

on

pai

d o

r re

ceiv

ed

is

reco

gn

ise

d d

ire

ctl

y in

th

e S

tate

me

nt

of

Ch

an

ge

s in

Eq

uit

y. S

ha

res

rep

urc

ha

sed

are

re

cog

nis

ed

on

th

e t

rad

e d

ate

.

2.7

Fe

es

an

d c

ha

rge

sE

xp

en

ses

are

ch

arg

ed

th

rou

gh

pro

fit

or

loss

in t

he

Sta

tem

en

t o

f

Co

mp

reh

en

siv

e I

nco

me

on

an

acc

rua

ls b

asis

.

2.8

Ca

sh a

nd

ca

sh e

qu

iva

len

tsC

ash

co

mp

rise

s cu

rre

nt

de

po

sits

wit

h b

an

ks.

Ca

sh e

qu

iva

len

ts a

re s

ho

rt-t

erm

, hig

hly

liq

uid

inv

est

me

nts

th

at

are

re

ad

ily c

on

ve

rtib

le t

o k

no

wn

am

ou

nts

of

cash

an

d a

re s

ub

jec

t

to a

n in

sig

nif

ica

nt

risk

of

cha

ng

es

in v

alu

e. C

ash

eq

uiv

ale

nts

are

rev

alu

ed

at

the

en

d o

f th

e r

ep

ort

ing

pe

rio

d u

sin

g m

arke

t ra

tes

an

d a

ny

incr

ea

ses

/ d

ecr

eas

es

are

re

cog

nis

ed

in t

he

Sta

tem

en

t o

f

Co

mp

reh

en

siv

e I

nco

me

. Th

ere

we

re n

o s

uch

ho

ldin

gs

du

rin

g t

he

ye

ar e

nd

ed

31

De

cem

be

r 2

02

0 (

31

De

cem

be

r 2

019

: €N

il).

2.9

Fin

an

cia

l in

stru

me

nts

Inv

est

me

nts

an

d o

the

r fi

nan

cial

ass

ets

i.In

itia

l re

cog

nit

ion

Th

e C

om

pa

ny

re

cog

nis

es

a f

ina

nci

al a

sse

t o

r a

fin

anci

al l

iab

ility

init

s S

tate

me

nt

of

Fin

anci

al P

osi

tio

n w

he

n, a

nd

on

ly w

he

n, t

he

Co

mp

an

y b

eco

me

s p

art

y t

o t

he

co

ntr

ac

tua

l pro

vis

ion

s o

f th

e

inst

rum

en

t. P

urc

has

es

and

sa

les

of

inv

est

me

nts

are

re

cog

nis

ed

on

the

tra

de

dat

e �

th

e d

ate

on

wh

ich

th

e C

om

pa

ny

co

mm

its

to

pu

rch

ase

or

sell

the

inv

est

me

nt.

ii.C

lass

ific

ati

on

Th

e C

om

pa

ny

cla

ssif

ies

its

fin

anci

al a

sse

ts in

th

e f

ollo

win

g

me

asu

rem

en

t c

ate

go

rie

s:

tho

se t

o b

e m

eas

ure

d s

ub

seq

ue

ntl

y a

t fa

ir v

alu

e (

eit

he

r th

rou

gh

OC

I, o

r th

rou

gh

pro

fit

or

loss

); a

nd

tho

se t

o b

e m

eas

ure

d a

t am

ort

ise

d c

ost

.

Th

e c

lass

ific

atio

n d

ep

en

ds

on

th

e e

nti

ty�s

bu

sin

ess

mo

de

l fo

r

ma

nag

ing

th

e f

ina

nci

al a

sse

ts a

nd

th

e c

on

tra

ctu

al t

erm

s o

f th

e

cas

h f

low

s.

Fo

r a

sse

ts m

eas

ure

d a

t fa

ir v

alu

e, g

ain

s an

d lo

sse

s a

re e

ith

er

to

be

reco

rde

d in

pro

fit

or

loss

or

OC

I. F

or

inv

est

me

nts

in e

qu

ity

inst

rum

en

ts t

ha

t ar

e n

ot

he

ld f

or

tra

din

g, t

his

will

de

pe

nd

on

wh

eth

er

the

co

mp

any

has

ma

de

an

irre

vo

cab

le e

lec

tio

n a

t th

e t

ime

of

init

ial r

eco

gn

itio

n t

o a

cco

un

t fo

r th

e e

qu

ity

inst

rum

en

t at

FV

OC

I.

Th

e C

om

pa

ny

re

cla

ssif

ies

de

bt

inst

rum

en

ts w

he

n a

nd

on

ly w

he

n

its

bu

sin

ess

mo

de

l fo

r m

ana

gin

g t

ho

se a

sse

ts c

ha

ng

es.

70

No

Te

ST

o T

he

FIN

AN

CIA

l S

TA

Te

me

NT

SN

oT

eS

To

Th

e F

INA

NC

IAl

ST

AT

em

eN

TS

71

iii.

Me

asu

rem

en

t

At

init

ial r

eco

gn

itio

n, t

he

Co

mp

any

me

asu

res

a f

ina

nci

al a

sse

t

at

its

fair

va

lue

plu

s, in

th

e c

ase

of

a f

inan

cia

l ass

et

no

t a

t F

VP

L,

tra

nsa

cti

on

co

sts

tha

t a

re d

ire

ctl

y a

ttri

bu

tab

le t

o t

he

acq

uis

itio

n

of

the

fin

an

cia

l ass

et.

Tra

nsa

cti

on

co

sts

of

fin

an

cia

l ass

ets

car

rie

d

at

FV

PL

are

ex

pe

nse

d in

pro

fit

or

loss

.

De

bt

inst

rum

en

ts

Su

bse

qu

en

t m

ea

sure

me

nt

of

de

bt

inst

rum

en

ts d

ep

en

ds

on

th

e

Co

mp

any

�s b

usi

ne

ss m

od

el f

or

ma

na

gin

g t

he

ass

et

an

d t

he

cas

h

flo

w c

ha

rac

teri

stic

s o

f th

e a

sse

t. T

he

Co

mp

any

�s b

usi

ne

ss m

od

el i

s

to m

an

ag

e it

s d

eb

t in

stru

me

nts

an

d t

o e

va

luat

e t

he

ir p

erf

orm

ance

on

a f

air

val

ue

ba

sis.

Th

e C

om

pa

ny

�s p

olic

y r

eq

uir

es

the

Po

rtfo

lio

Ad

vis

er

an

d t

he

Bo

ard

to

ev

alu

ate

th

e in

form

ati

on

ab

ou

t th

ese

fin

an

cia

l ass

ets

on

a f

air

va

lue

bas

is t

og

eth

er

wit

h o

the

r re

late

d

fin

an

cia

l in

form

atio

n. C

on

seq

ue

ntl

y, t

he

se d

eb

t in

stru

me

nts

are

me

asu

red

at

fair

va

lue

th

rou

gh

pro

fit

or

loss

.

Eq

uit

y in

stru

me

nts

Th

e C

om

pan

y s

ub

seq

ue

ntl

y m

eas

ure

s al

l eq

uit

y in

ve

stm

en

ts a

t fa

ir

va

lue

. Div

ide

nd

s fr

om

su

ch in

ve

stm

en

ts a

re r

eco

gn

ise

d in

pro

fit

or

loss

as

oth

er

inco

me

wh

en

th

e C

om

pan

y�s

rig

ht

to r

ece

ive

pay

me

nts

is e

stab

lish

ed

.

Ch

an

ge

s in

fai

r v

alu

e o

f fi

nan

cia

l ass

ets

at

FV

PL

are

re

cog

nis

ed

in

�ne

t g

ain

/(lo

ss)

on

fin

an

cia

l ass

ets

at

fair

val

ue

th

rou

gh

pro

fit

or

loss

� in

th

e S

tate

me

nt

of

Co

mp

reh

en

siv

e In

com

e.

iv.

De

reco

gn

itio

n

Fin

an

cia

l ass

ets

are

de

reco

gn

ise

d w

he

n t

he

rig

hts

to

re

ceiv

e c

ash

flo

ws

fro

m t

he

inv

est

me

nts

hav

e e

xp

ire

d o

r th

e C

om

pa

ny

ha

s

tra

nsf

err

ed

su

bst

an

tia

lly a

ll ri

sks

and

re

wa

rds

of

ow

ne

rsh

ip.

v.F

air

va

lue

est

ima

tio

n

Fair

va

lue

is t

he

pri

ce t

hat

wo

uld

be

re

ceiv

ed

to

se

ll an

ass

et

or

pa

id t

o t

ran

sfe

r a

lia

bili

ty in

an

ord

erl

y t

ran

sac

tio

n b

etw

ee

n

ma

rke

t p

art

icip

an

ts a

t th

e m

eas

ure

me

nt

dat

e.

As

at 3

1 D

ece

mb

er

20

20

, th

e C

om

pa

ny

he

ld 2

84

,87

9,8

54

CS

Ws,

2,0

00

,00

0 C

lass

A s

ha

res

an

d 1

Cla

ss B

sh

are

issu

ed

by

th

e L

ux

Su

bsi

dia

ry (

the

�In

ve

stm

en

ts�)

(3

1 D

ece

mb

er

20

19: 3

19,7

58

,58

4

CS

Ws,

2,0

00

,00

0 C

lass

A s

ha

res

an

d 1

Cla

ss B

sh

are

). T

he

se

Inv

est

me

nts

are

no

t lis

ted

or

qu

ote

d o

n a

ny

se

curi

tie

s e

xch

ang

e,

are

no

t tr

ad

ed

re

gu

larl

y a

nd

, on

th

is b

asi

s, n

o a

cti

ve

ma

rke

t e

xis

ts.

Th

e C

om

pa

ny

is n

ot

en

titl

ed

to

an

y v

oti

ng

rig

hts

in r

esp

ec

t o

f th

e

Lu

x S

ub

sid

iary

by

re

aso

n o

f th

eir

ow

ne

rsh

ip o

f th

e C

SW

s, h

ow

ev

er,

the

Co

mp

an

y c

on

tro

ls t

he

Lu

x S

ub

sid

iary

th

rou

gh

its

100

%

ho

ldin

g o

f th

e s

har

es

in t

he

Lu

x S

ub

sid

iary

.

Th

e f

air

val

ue

of

the

CS

Ws

and

th

e C

lass

A a

nd

Cla

ss B

sh

are

s a

re

ba

sed

on

th

e n

et

ass

ets

of

the

Lu

x S

ub

sid

iary

wh

ich

is b

ase

d

sub

sta

nti

ally

in t

urn

on

th

e f

air

val

ue

of

the

PP

Ns

issu

ed

by

BC

F.

Th

e C

om

pa

ny

de

term

ine

s th

e f

air

va

lue

of

the

CL

Os

he

ld d

ire

ctl

y

usi

ng

th

ird

pa

rty

val

uat

ion

s.

vi.

Va

lua

tio

n p

roce

ss

Th

e D

ire

cto

rs h

ave

he

ld d

iscu

ssio

ns

wit

h B

IL in

ord

er

to g

ain

com

fort

aro

un

d t

he

va

lua

tio

n o

f th

e C

LO

s, t

he

un

de

rly

ing

ass

ets

in t

he

BC

F p

ort

folio

an

d t

hro

ug

h t

his

, th

e v

alu

atio

n o

f th

e P

PN

s

an

d C

SW

s as

of

the

Sta

tem

en

t o

f F

ina

nci

al P

osi

tio

n d

ate

.

Th

e D

ire

cto

rs, t

hro

ug

h o

ng

oin

g c

om

mu

nic

atio

n w

ith

th

e P

ort

folio

Ad

vis

er

incl

ud

ing

qu

art

erl

y m

ee

tin

gs,

dis

cuss

th

e p

erf

orm

an

ce o

f

the

Po

rtfo

lio A

dv

ise

r a

nd

th

e u

nd

erl

yin

g p

ort

folio

an

d in

ad

dit

ion

rev

iew

mo

nth

ly in

ve

stm

en

t p

erf

orm

an

ce r

ep

ort

s. T

he

Dir

ect

ors

an

aly

se t

he

BC

F p

ort

folio

in t

erm

s o

f th

e in

ve

stm

en

t m

ix in

th

e

po

rtfo

lio. T

he

Dir

ect

ors

als

o c

on

sid

er

the

imp

ac

t o

f g

en

era

l cre

dit

con

dit

ion

s a

nd

mo

re s

pe

cifi

cally

cre

dit

ev

en

ts in

th

e U

S a

nd

Eu

rop

ea

n c

orp

ora

te e

nv

iro

nm

en

t o

n t

he

va

lua

tio

n o

f th

e C

SW

s,

PP

Ns

an

d t

he

BC

F p

ort

folio

.

Po

rtfo

lio

Th

e D

ire

cto

rs d

iscu

ss t

he

va

luat

ion

pro

cess

to

un

de

rsta

nd

th

e

me

tho

do

log

y r

eg

ard

ing

th

e v

alu

atio

n o

f it

s u

nd

erl

yin

g p

ort

folio

an

d

dir

ec

t C

LO

ho

ldin

g, b

oth

co

mp

risi

ng

Le

ve

l 3 a

sse

ts. T

he

ma

jori

ty

of

Le

ve

l 3 a

sse

ts in

BC

F a

re c

om

pri

sed

of

CL

Os.

In r

ev

iew

ing

th

e

fair

val

ue

of

the

se a

sse

ts, t

he

Dir

ec

tors

loo

k a

t th

e a

ssu

mp

tio

ns

use

d a

nd

an

y s

ign

ific

an

t fa

ir v

alu

e c

ha

ng

es

du

rin

g t

he

pe

rio

d

un

de

r a

na

lysi

s.

Net

Ass

et V

alu

e

Th

e I

FR

S N

AV

of

the

Co

mp

an

y is

ca

lcu

late

d b

y t

he

Ad

min

istr

ato

r

ba

sed

on

info

rmat

ion

fro

m t

he

Po

rtfo

lio A

dv

ise

r a

nd

is r

ev

iew

ed

an

d a

pp

rov

ed

by

th

e D

ire

cto

rs, t

aki

ng

into

co

nsi

de

rati

on

a r

an

ge

of

fac

tors

incl

ud

ing

th

e u

na

ud

ite

d IF

RS

NA

V o

f b

oth

th

e L

ux

Su

bsi

dia

ry a

nd

BC

F, a

nd

oth

er

rele

van

t av

aila

ble

info

rma

tio

n. T

he

oth

er

rele

van

t in

form

atio

n in

clu

de

s th

e r

ev

iew

of

ava

ilab

le f

ina

nci

al

an

d t

rad

ing

info

rmat

ion

of

BC

F a

nd

its

un

de

rly

ing

po

rtfo

lio, a

dv

ice

rece

ive

d f

rom

th

e P

ort

folio

Ad

vis

er

an

d s

uch

oth

er

fac

tors

as

the

Dir

ec

tors

, in

th

eir

so

le d

iscr

eti

on

, de

em

re

lev

an

t in

co

nsi

de

rin

g a

po

siti

ve

or

ne

ga

tiv

e a

dju

stm

en

t to

th

e v

alu

atio

n.

Th

e e

stim

ate

d f

air

va

lue

s m

ay d

iffe

r fr

om

th

e v

alu

es

that

wo

uld

hav

e b

ee

n r

eal

ise

d h

ad

a r

ea

dy

ma

rke

t e

xist

ed

an

d t

he

dif

fere

nce

cou

ld b

e m

ate

ria

l.

Th

e f

air

val

ue

of

the

CL

Os

he

ld d

ire

ctl

y, C

SW

s a

nd

th

e C

lass

A a

nd

Cla

ss B

sh

are

s ar

e a

sse

sse

d o

n a

n o

ng

oin

g b

asi

s b

y t

he

Bo

ard

.

No

tes

to t

he

Fin

an

cia

l Sta

tem

en

ts c

on

tin

ue

dF

inan

cial

lia

bili

tie

s

vii.

Cla

ssif

ica

tio

n

Fin

an

cial

lia

bili

tie

s in

clu

de

pay

ab

les

wh

ich

are

he

ld a

t am

ort

ise

d

cost

usi

ng

th

e e

ffe

cti

ve

inte

rest

rat

e m

eth

od

.

Th

e e

ffe

cti

ve

inte

rest

me

tho

d is

a m

eth

od

of

ca

lcu

lati

ng

th

e

am

ort

ise

d c

ost

of

a f

ina

nci

al li

ab

ility

an

d o

f a

lloca

tin

g in

tere

st

ex

pe

nse

ov

er

the

re

lev

an

t p

eri

od

. Th

e e

ffe

cti

ve

inte

rest

ra

te is

the

ra

te t

hat

ex

ac

tly

dis

cou

nts

est

imat

ed

fu

ture

ca

sh p

aym

en

ts

(in

clu

din

g a

ll fe

es

and

po

ints

pa

id o

r re

ceiv

ed

th

at f

orm

an

inte

gra

l

pa

rt o

f th

e e

ffe

cti

ve

inte

rest

ra

te, t

ran

sac

tio

n c

ost

s an

d o

the

r

pre

miu

ms

or

dis

cou

nts

) th

rou

gh

th

e e

xp

ec

ted

life

of

the

fin

an

cial

liab

ility

, or

wh

ere

ap

pro

pri

ate

a s

ho

rte

r p

eri

od

, to

th

e n

et

car

ryin

g

am

ou

nt

on

init

ial r

eco

gn

itio

n.

viii.

Re

cog

nit

ion

, me

asu

rem

en

t a

nd

de

reco

gn

itio

n

Fin

an

cial

lia

bili

tie

s a

re m

ea

sure

d in

itia

lly a

t th

eir

fa

ir v

alu

e p

lus

an

y

dir

ec

tly

att

rib

uta

ble

incr

em

en

tal c

ost

s o

f a

cqu

isit

ion

or

issu

e.

Gai

ns

and

loss

es

are

re

cog

nis

ed

in t

he

Sta

tem

en

t o

f C

om

pre

he

nsi

ve

Inco

me

wh

en

th

e li

ab

iliti

es

are

de

reco

gn

ise

d.

Th

e C

om

pa

ny

de

reco

gn

ise

s a

fin

an

cia

l lia

bili

ty w

he

n t

he

ob

ligat

ion

spe

cifi

ed

in t

he

co

ntr

ac

t is

dis

cha

rge

d, c

ance

lled

or

exp

ire

s.

2.1

0F

ore

ign

cu

rre

ncy

tra

nsl

ati

on

sT

ran

sac

tio

ns

in f

ore

ign

cu

rre

nci

es

are

tra

nsl

ate

d a

t th

e f

ore

ign

exc

ha

ng

e r

ate

ru

ling

at

the

dat

e o

f th

e t

ran

sac

tio

n. M

on

eta

ry

ass

ets

an

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e o

f is

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qu

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th

at t

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sid

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de

em

s al

l

or

pa

rt o

f th

e C

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s a

t th

e r

ed

em

pti

on

pri

ce (

see

be

low

), b

y d

eliv

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a r

ed

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pti

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no

tice

, pro

vid

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th

at t

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de

mp

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n p

rice

will

be

du

e a

nd

pay

able

on

ly if

an

d t

o t

he

ex

ten

t th

at (

a) t

he

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x S

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sid

iary

will

hav

e s

uff

icie

nt

fun

ds

avai

lab

le t

o s

ett

le it

s lia

bili

tie

s to

all

oth

er

ord

inar

y o

r su

bo

rdin

ate

d c

red

ito

rs, w

he

the

r p

riv

ileg

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, se

cure

d o

r u

nse

cure

d, p

rio

r in

ran

kin

g t

o t

he

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aft

er

any

su

ch p

aym

en

t, a

nd

(b)

the

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x S

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sid

iary

will

no

t b

e in

solv

en

t a

fte

r p

aym

en

t o

f th

e r

ed

em

pti

on

pri

ce.

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e r

ed

em

pti

on

pri

ce is

th

e a

mo

un

t p

ayab

le b

y t

he

Lu

x S

ub

sid

iary

on

th

e r

ed

em

pti

on

of

CS

Ws

ou

tsta

nd

ing

, wh

ich

sh

all

be

at

an

y t

ime

eq

ua

l to

th

e f

air

mar

ket

va

lue

of

the

ord

ina

ry s

ha

res

(th

at w

ou

ld h

ave

be

en

issu

ed

in c

ase

of

exe

rcis

e o

f a

ll C

SW

s), a

s d

ete

rmin

ed

by

th

e

Bo

ard

on

a f

ully

dilu

ted

ba

sis

on

th

e d

ate

of

red

em

pti

on

, le

ss a

ma

rgin

(d

ete

rmin

ed

by

th

e B

oa

rd o

n t

he

ba

sis

of

a tr

an

sfe

r p

rici

ng

re

po

rt

pre

pa

red

by

an

ind

ep

en

de

nt

ad

vis

or)

, an

d t

he

re

de

mp

tio

n p

rice

fo

r e

ach

CS

W s

ha

ll b

e o

bta

ine

d b

y d

ivid

ing

th

e a

mo

un

t d

ete

rmin

ed

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acc

ord

an

ce w

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g s

en

ten

ce b

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he

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tua

l nu

mb

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s d

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oo

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ait

h b

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x S

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sid

iary

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ard

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ut

for

this

pu

rpo

se o

nly

),

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x S

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sid

iary

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au

tom

ati

cally

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de

em

, to

th

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xte

nt

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exc

ess

ca

sh, a

ll o

r p

art

of

the

CS

Ws

at

the

re

de

mp

tio

n p

rice

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vid

ed

the

re

qu

ire

me

nts

in t

he

pre

vio

us

pa

rag

rap

h a

re m

et,

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less

th

e C

om

pan

y n

oti

fie

s th

e L

ux

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bsi

dia

ry o

the

rwis

e. F

or

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avo

idan

ce o

f d

ou

bt,

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he

ex

ten

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e s

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scri

pti

on

pri

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e r

ed

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me

d h

as

no

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ee

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tim

e t

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re is

sue

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su

bsc

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or

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ha

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e d

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m t

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mp

tio

n P

rice

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rcis

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oti

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em

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ss A

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bsi

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lass

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ss B

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re r

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ive

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r ce

nt

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ne

t p

rofi

ts o

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ux

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bsi

dia

ry w

hic

h is

allo

cate

d t

o t

he

ge

ne

ral r

ese

rve

, un

til t

his

re

serv

e a

mo

un

ts t

o t

en

pe

r

cen

t o

f th

e L

ux

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bsi

dia

ry�s

no

min

al s

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re c

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ide

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s a

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llow

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pri

ori

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ide

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y in

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en

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t fo

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loca

tio

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all b

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on

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s.

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ord

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n 1

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gra

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uth

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p t

o 1

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issu

ed

sh

are

cap

ital

as

at

the

dat

e o

f th

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or

can

cella

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s. U

nd

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tho

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rin

g t

he

ye

ar

en

de

d 3

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mb

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of

no

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at

a t

ota

l co

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f €

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he

se O

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re b

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on

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ly 2

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he

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ec

tors

we

re g

ran

ted

au

tho

rity

to

re

pu

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ase

up

to

14

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f th

e is

sue

d s

ha

re c

ap

ita

l as

at

the

dat

e o

f th

e 2

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fo

r c

ance

llati

on

or

to b

e h

eld

as

tre

asu

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har

es.

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de

r th

is a

uth

ori

ty, d

uri

ng

th

e y

ea

r e

nd

ed

31

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cem

be

r 2

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the

Co

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an

y p

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3,3

93

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f it

s O

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are

s o

f n

o p

ar

val

ue

at

a to

tal c

ost

of

€2

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. Th

ese

Ord

ina

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ha

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are

be

ing

he

ld a

s tr

ea

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sh

are

s.

At

the

20

20

AG

M, t

he

Dir

ec

tors

we

re g

ran

ted

au

tho

rity

to

allo

t, g

ran

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pti

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s o

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r o

r o

the

rwis

e d

isp

ose

of

up

to

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Sh

are

s

(be

ing

eq

ua

l to

10

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% o

f th

e S

ha

res

in is

sue

at

the

dat

e o

f th

e A

GM

). T

his

au

tho

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will

ex

pir

e a

t th

e 2

02

1 A

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As

at 3

1 D

ece

mb

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20

20

, th

e C

om

pan

y h

ad

47

7,0

23

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1 O

rdin

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Sh

are

s in

issu

e a

nd

5,8

79

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rdin

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Sh

are

s in

tre

asu

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31

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rdin

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are

s in

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e a

nd

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are

s in

tre

asu

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fer

to N

ote

21

for

furt

he

r d

eta

ils o

n r

ep

urc

ha

ses

of

Ord

ina

ry S

ha

res

un

de

r th

e 2

02

0 A

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au

tho

rity

su

bse

qu

en

t to

th

e r

ep

ort

ing

pe

rio

d.

Th

is a

uth

ori

ty w

ill e

xpir

e a

t th

e 2

02

1 A

GM

. Th

e D

ire

cto

rs in

ten

d t

o s

ee

k a

nn

ua

l re

ne

wa

l of

this

au

tho

rity

fro

m S

ha

reh

old

ers

.

Vo

tin

g r

igh

ts –

ord

ina

ry S

ha

res

Ho

lde

rs o

f O

rdin

ary

Sh

are

s h

ave

th

e r

igh

t to

re

ceiv

e in

com

e a

nd

ca

pit

al f

rom

ass

ets

att

rib

uta

ble

to

su

ch c

lass

. Ord

ina

ry S

har

eh

old

ers

hav

e

the

rig

ht

to r

ece

ive

no

tice

of

ge

ne

ral m

ee

tin

gs

of

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Co

mp

an

y a

nd

hav

e t

he

rig

ht

to a

tte

nd

an

d v

ote

at

all

ge

ne

ral m

ee

tin

gs.

No

tes

to t

he

Fin

an

cia

l Sta

tem

en

ts c

on

tin

ue

d

80

No

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ST

o T

he

FIN

AN

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l S

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me

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e F

INA

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div

ide

nd

sT

he

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mp

any

may

, by

re

solu

tio

n, d

ecl

are

div

ide

nd

s in

acc

ord

an

ce w

ith

th

e r

esp

ec

tiv

e r

igh

ts o

f th

e S

har

eh

old

ers

, bu

t n

o s

uch

div

ide

nd

sh

all

exc

ee

d t

he

am

ou

nt

reco

mm

en

de

d b

y t

he

Dir

ec

tors

. Th

e D

ire

cto

rs m

ay

pay

fix

ed

rat

e a

nd

inte

rim

div

ide

nd

s.

A g

en

era

l me

eti

ng

de

clar

ing

a d

ivid

en

d m

ay, u

po

n t

he

re

com

me

nd

atio

n o

f th

e D

ire

cto

rs, d

ire

ct

that

pay

me

nt

of

a d

ivid

en

d s

ha

ll b

e

sati

sfie

d w

ho

lly o

r p

art

ly b

y t

he

issu

e o

f O

rdin

ary

sh

are

s o

r th

e d

istr

ibu

tio

n o

f a

sse

ts a

nd

th

e D

ire

cto

rs s

ha

ll g

ive

eff

ec

t to

su

ch r

eso

luti

on

.

Exc

ep

t a

s o

the

rwis

e p

rov

ide

d b

y t

he

rig

hts

att

ach

ing

to

or

term

s o

f is

sue

of

an

y S

ha

res,

all

div

ide

nd

s sh

all

be

ap

po

rtio

ne

d a

nd

pai

d p

ro

rata

acc

ord

ing

to

th

e a

mo

un

ts p

aid

on

th

e S

ha

res

du

rin

g a

ny

po

rtio

n o

r p

ort

ion

s o

f th

e p

eri

od

in r

esp

ec

t o

f w

hic

h t

he

div

ide

nd

is p

aid

. No

div

ide

nd

or

oth

er

mo

nie

s p

aya

ble

in r

esp

ec

t o

f an

y S

har

e s

ha

ll b

ea

r in

tere

st a

ga

inst

th

e C

om

pa

ny.

Th

e D

ire

cto

rs m

ay d

ed

uc

t fr

om

an

y d

ivid

en

d o

r o

the

r m

on

ies

pay

ab

le t

o a

Sh

are

ho

lde

r a

ll su

ms

of

mo

ne

y (

if a

ny)

pre

sen

tly

pay

ab

le b

y

the

ho

lde

r to

th

e C

om

pa

ny

on

acc

ou

nt

of

cal

ls o

r o

the

rwis

e in

re

lati

on

to

su

ch S

ha

res.

An

y d

ivid

en

d u

ncl

aim

ed

aft

er

a p

eri

od

of

10 y

ea

rs f

rom

th

e d

ate

on

wh

ich

it b

ec

am

e p

aya

ble

sh

all,

if t

he

Dir

ec

tors

so

re

solv

e, b

e f

orf

eit

ed

an

d c

ea

se t

o r

em

ain

ow

ing

by

th

e C

om

pa

ny.

Th

e d

ivid

en

ds

de

cla

red

by

th

e B

oa

rd d

uri

ng

th

e y

ear

are

de

taile

d o

n p

ag

e 6

.

Re

fer

to N

ote

21

for

div

ide

nd

s d

ecl

are

d a

fte

r th

e y

ea

r e

nd

.

Re

pu

rch

ase

of

ord

ina

ry S

ha

res

Th

e B

oa

rd in

ten

ds

to s

ee

k a

nn

ua

l re

ne

wa

l of

this

au

tho

rity

fro

m t

he

Ord

ina

ry S

ha

reh

old

ers

at

the

Co

mp

an

y�s

AG

M, t

o m

ake

on

e o

r m

ore

on

-mar

ket

pu

rch

ase

s o

f S

ha

res

in t

he

Co

mp

an

y f

or

can

cella

tio

n o

r to

be

he

ld a

s T

rea

sury

sh

are

s.

Th

e B

oa

rd m

ay, a

t it

s ab

solu

te d

iscr

eti

on

, use

av

aila

ble

ca

sh t

o p

urc

has

e S

ha

res

in is

sue

in t

he

se

con

da

ry m

ark

et

at a

ny

tim

e.

Rig

hts

as

to C

ap

ita

lO

n a

win

din

g u

p, t

he

Co

mp

an

y m

ay, w

ith

th

e s

anc

tio

n o

f a

sp

eci

al r

eso

luti

on

an

d a

ny

oth

er

san

ctio

n r

eq

uir

ed

by

th

e C

om

pa

nie

s L

aw,

div

ide

th

e w

ho

le o

r a

ny

pa

rt o

f th

e a

sse

ts o

f th

e C

om

pa

ny

am

on

g t

he

Sh

are

ho

lde

rs in

sp

eci

e p

rov

ide

d t

ha

t n

o h

old

er

shal

l be

co

mp

elle

d

to a

cce

pt

an

y a

sse

ts u

po

n w

hic

h t

he

re is

a li

abili

ty. O

n r

etu

rn o

f a

sse

ts o

n li

qu

ida

tio

n o

r c

apit

al r

ed

uc

tio

n o

r o

the

rwis

e, t

he

ass

ets

of

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Co

mp

any

re

mai

nin

g a

fte

r p

aym

en

ts o

f it

s lia

bili

tie

s sh

all

sub

jec

t to

th

e r

igh

ts o

f th

e h

old

ers

of

oth

er

cla

sse

s o

f sh

are

s, t

o b

e a

pp

lied

to

the

Sh

are

ho

lde

rs e

qu

ally

pro

rat

a t

o t

he

ir h

old

ing

s o

f S

har

es.

Ca

pit

al m

an

ag

em

en

tT

he

Co

mp

an

y is

clo

sed

-en

de

d a

nd

ha

s n

o e

xte

rna

lly im

po

sed

cap

ital

re

qu

ire

me

nts

. Th

e C

om

pa

ny

�s c

apit

al a

s at

31

De

cem

be

r 2

02

0

com

pri

ses

sha

reh

old

ers

� eq

uit

y a

t a

tota

l of

€4

08

,20

5,1

75

(3

1 D

ece

mb

er

20

19: €

410

,50

5,9

91)

.

Th

e C

om

pa

ny

�s o

bje

cti

ve

s fo

r m

an

ag

ing

ca

pit

al a

re:

to in

ve

st t

he

cap

ital

in in

ve

stm

en

ts m

ee

tin

g t

he

de

scri

pti

on

, ris

k e

xp

osu

re a

nd

exp

ec

ted

re

turn

ind

ica

ted

in it

s p

rosp

ec

tus;

to a

chie

ve

co

nsi

ste

nt

retu

rns

wh

ile s

afe

gu

ard

ing

cap

ital

by

inv

est

ing

via

th

e L

ux

Su

bsi

dia

ry in

BC

F a

nd

oth

er

Un

de

rly

ing

Co

mp

an

ies;

to m

ain

tain

su

ffic

ien

t liq

uid

ity

to

me

et

the

ex

pe

nse

s o

f th

e C

om

pa

ny

an

d t

o m

ee

t d

ivid

en

d c

om

mit

me

nts

; an

d

to m

ain

tain

su

ffic

ien

t si

ze t

o m

ake

th

e o

pe

rati

on

of

the

Co

mp

an

y c

ost

eff

icie

nt.

Th

e B

oa

rd m

on

ito

rs t

he

cap

ital

ad

eq

ua

cy

of

the

Co

mp

an

y o

n a

n o

n-g

oin

g b

asis

an

d t

he

Co

mp

an

y�s

ob

jec

tiv

es

reg

ard

ing

cap

ital

ma

na

ge

me

nt

hav

e b

ee

n m

et.

Re

fer

to N

ote

10

C L

iqu

idit

y R

isk

for

furt

he

r d

iscu

ssio

n o

n c

ap

ital

ma

na

ge

me

nt,

pa

rtic

ula

rly

on

ho

w t

he

dis

trib

uti

on

po

licy

is m

an

ag

ed

.

C S

ha

res

On

7 J

an

ua

ry 2

019

, th

e C

om

pa

ny

issu

ed

13

3,4

51,

107

C S

ha

res

in s

pe

cie

as

a r

esu

lt o

f th

e R

ollo

ve

r O

ffe

r. T

he

Ro

llov

er

Off

er

incl

ud

ed

a

tra

nsf

er

of

ass

ets

am

ou

nti

ng

to

€7

0,6

04

,46

9, c

ash

pro

cee

ds

amo

un

tin

g t

o €

7,4

46

,20

4 a

nd

incu

rre

d €

78

0,5

06

in c

ost

s. T

he

C S

har

es

we

re a

dm

itte

d t

o t

rad

ing

on

th

e S

FS

of

the

mai

n m

ark

et

of

the

LS

E. A

s a

t 3

1 D

ece

mb

er

20

20

, th

e C

om

pan

y h

ad

no

C S

ha

res

in is

sue

(3

1

De

cem

be

r 2

019

: 13

3,4

51,

107

) fo

llow

ing

th

e c

on

ve

rsio

n a

nd

ca

nce

llati

on

as

de

scri

be

d o

n t

he

fo

llow

ing

pa

ge

.

Vo

tin

g r

igh

ts –

C C

lass

Ho

lde

rs o

f C

Sh

are

s h

av

e t

he

rig

ht

to r

ece

ive

inco

me

an

d c

ap

ita

l fro

m t

he

C S

har

e a

sse

ts a

ttri

bu

tab

le t

o s

uch

cla

ss. C

Sh

are

ho

lde

rs d

o n

ot

hav

e t

he

rig

ht

to r

ece

ive

no

tice

of

or

to a

tte

nd

or

vo

te a

t a

ny

ge

ne

ral m

ee

tin

g o

f th

e C

om

pan

y.

div

ide

nd

sH

old

ers

of

C S

ha

res

are

en

titl

ed

to

div

ide

nd

s as

de

scri

be

d in

th

e s

ect

ion

�D

ivid

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y

may

he

dg

e t

he

cu

rre

nc

y e

xp

osu

re o

f th

e d

ire

ctl

y h

eld

CL

Os

of

the

Co

mp

an

y w

ith

th

e u

se o

f d

eri

vat

ive

s. T

he

Co

mp

an

y d

id n

ot

hav

e a

ny

de

riv

ativ

es

at t

he

ye

ar

en

d.

iii.

Pri

ce r

isk

Pri

ce r

isk

is t

he

ris

k th

at

the

va

lue

of

the

Co

mp

any

�s in

dir

ec

t in

ve

stm

en

ts in

BC

F t

hro

ug

h it

s h

old

ing

in t

he

Lu

x S

ub

sid

iary

do

es

no

t re

fle

ct

the

tru

e v

alu

e o

f B

CF

�s u

nd

erl

yin

g in

ve

stm

en

t p

ort

folio

.

BC

F�s

po

rtfo

lio m

ay a

t an

y g

ive

n t

ime

incl

ud

e s

ecu

riti

es

or

oth

er

fin

anci

al i

nst

rum

en

ts o

r o

blig

ati

on

s w

hic

h a

re v

ery

th

inly

tra

de

d, f

or

wh

ich

a li

mit

ed

ma

rke

t e

xis

ts o

r w

hic

h a

re r

est

ric

ted

as

to t

he

ir t

ran

sfe

rab

ility

un

de

r a

pp

lica

ble

se

curi

tie

s la

ws.

Th

ese

inv

est

me

nts

may

be

ex

tre

me

ly d

iffi

cult

to

va

lue

acc

ura

tely

.

Fu

rth

er,

be

cau

se o

f o

ve

rall

size

or

con

cen

trat

ion

in p

art

icu

lar

ma

rke

ts o

f p

osi

tio

ns

he

ld b

y B

CF,

th

e v

alu

e o

f it

s in

ve

stm

en

ts w

hic

h c

an

be

liqu

ida

ted

may

dif

fer,

so

me

tim

es

sig

nif

ica

ntl

y, f

rom

th

eir

val

uat

ion

s. T

hir

d-p

arty

pri

cin

g in

form

ati

on

may

no

t b

e a

va

ilab

le f

or

cert

ain

po

siti

on

s h

eld

by

BC

F. In

ve

stm

en

ts h

eld

by

BC

F m

ay

tra

de

wit

h s

ign

ific

an

t b

id-a

sk s

pre

ad

s. B

CF

is e

nti

tle

d t

o r

ely

, wit

ho

ut

ind

ep

en

de

nt

inv

est

igat

ion

, up

on

pri

cin

g in

form

atio

n a

nd

val

uat

ion

s fu

rnis

he

d t

o B

CF

by

th

ird

par

tie

s, in

clu

din

g p

rici

ng

se

rvic

es

an

d v

alu

atio

n s

ou

rce

s.

No

tes

to t

he

Fin

an

cia

l Sta

tem

en

ts c

on

tin

ue

d

84

No

Te

ST

o T

he

FIN

AN

CIA

l S

TA

Te

me

NT

SN

oT

eS

To

Th

e F

INA

NC

IAl

ST

AT

em

eN

TS

85

Ab

sen

t b

ad

fai

th o

r m

an

ife

st e

rro

r, v

alu

atio

n d

ete

rmin

atio

ns

in a

cco

rdan

ce w

ith

BC

F�s

va

lua

tio

n p

olic

y a

re c

on

clu

siv

e a

nd

bin

din

g. I

n li

gh

t

of

the

fo

reg

oin

g, t

he

re is

a r

isk

th

at

the

Co

mp

an

y, in

re

de

em

ing

all

or

pa

rt o

f it

s in

ve

stm

en

t w

hile

BC

F h

old

s su

ch in

ve

stm

en

ts, c

ou

ld b

e

pa

id a

n a

mo

un

t le

ss t

ha

n it

wo

uld

oth

erw

ise

be

pai

d if

th

e a

ctu

al v

alu

e o

f B

CF

�s in

ve

stm

en

t w

as h

igh

er

tha

n t

he

va

lue

de

sig

na

ted

fo

r th

at

inv

est

me

nt

by

BC

F. S

imila

rly,

th

ere

is a

ris

k t

hat

a r

ed

ee

min

g B

CF

inte

rest

ho

lde

r m

igh

t, in

eff

ec

t, b

e o

ve

r-p

aid

at

the

tim

e o

f th

e

ap

plic

ab

le r

ed

em

pti

on

if t

he

ac

tual

va

lue

of

BC

F�s

inv

est

me

nt

wa

s lo

we

r th

an

th

e v

alu

e d

esi

gn

ate

d f

or

that

inv

est

me

nt

by

BC

F, in

wh

ich

ca

se t

he

val

ue

of

BC

F in

tere

sts

to t

he

re

mai

nin

g B

CF

inte

rest

ho

lde

rs w

ou

ld b

e r

ed

uce

d. R

efe

r to

No

te 1

2 f

or

furt

he

r d

eta

ils.

Th

e C

om

pa

ny

is e

xp

ose

d t

o p

rice

ris

k o

n it

s in

ve

stm

en

ts in

th

e d

ire

ctl

y h

eld

CL

Os.

Th

e p

rice

ris

k th

at a

pp

lies

to t

he

dir

ec

tly

he

ld C

LO

s is

limit

ed

an

d is

re

stri

cte

d t

o t

he

co

nce

ntr

ati

on

ris

k o

f th

e in

ve

stm

en

ts b

etw

ee

n a

sse

t cl

ass

and

ge

og

rap

hic

al e

xp

osu

re. T

he

dir

ec

tly

he

ld

CL

Os

wh

ich

fo

rme

d p

art

of

the

Ro

llov

er

Ass

ets

hav

e b

ee

n r

ea

lise

d b

y t

he

Po

rtfo

lio M

an

ag

er

in a

man

ne

r th

at

ma

xim

ise

s th

e v

alu

e f

rom

the

Co

mp

an

y�s

inv

est

me

nts

in t

ho

se d

ire

ctl

y h

eld

CL

Os.

Th

e B

oa

rd m

on

ito

rs a

nd

re

vie

ws

the

Co

mp

an

y�s

NA

V p

rod

uc

tio

n p

roce

ss o

n a

n o

ng

oin

g b

asi

s.

10b

C

red

it r

isk

Cre

dit

ris

k is

th

e r

isk

tha

t a

co

un

terp

art

y t

o a

fin

an

cial

inst

rum

en

t w

ill f

ail

to d

isch

arg

e a

n o

blig

ati

on

or

com

mit

me

nt

tha

t it

has

en

tere

d

into

wit

h t

he

Co

mp

an

y. T

he

Bo

ard

ha

s in

pla

ce m

on

ito

rin

g p

roce

du

res

in r

esp

ec

t o

f cr

ed

it r

isk

wh

ich

is r

ev

iew

ed

on

an

on

go

ing

ba

sis.

Th

e C

om

pa

ny

�s c

red

it r

isk

is a

ttri

bu

tab

le t

o it

s c

ash

an

d c

ash

eq

uiv

ale

nts

, oth

er

rece

iva

ble

s a

nd

fin

an

cial

ass

ets

at

fair

val

ue

th

rou

gh

pro

fit

or

loss

. An

allo

wan

ce f

or

imp

air

me

nt

is m

ad

e w

he

re t

he

re is

an

ide

nti

fie

d lo

ss e

ve

nt

wh

ich

, bas

ed

on

pre

vio

us

ex

pe

rie

nce

, is

ev

ide

nce

of

a r

ed

uc

tio

n in

th

e r

eco

ve

rab

ility

of

the

cas

h f

low

s.

BIL

mo

nit

ors

fo

r th

e C

om

pan

y, t

he

Lu

x S

ub

sid

iary

, BC

F a

nd

its

sub

sid

iari

es

the

cre

dit

wo

rth

ine

ss o

f fi

na

nci

al in

stit

uti

on

s w

ith

wh

om

ca

sh

is h

eld

, or

wit

h w

ho

m in

ve

stm

en

t o

r d

eri

vat

ive

tra

nsa

cti

on

s a

re e

nte

red

into

, on

a r

eg

ula

r b

asi

s.

Th

e c

arr

yin

g a

mo

un

ts o

f fi

na

nci

al a

sse

ts b

est

re

pre

sen

t th

e m

ax

imu

m c

red

it r

isk

exp

osu

re a

t th

e S

tate

me

nt

of

Fin

an

cia

l Po

siti

on

dat

e. A

t

the

re

po

rtin

g d

ate

, th

e C

om

pa

ny

�s f

inan

cia

l ass

ets

ex

po

sed

to

cre

dit

ris

k a

mo

un

ted

to

th

e f

ollo

win

g:

As

at

31

De

cem

ber

20

20

As

at

31

De

cem

ber

20

19

€€

Cas

h a

nd

cas

h e

qu

ival

en

ts

20

,72

5,8

1911

,46

4,0

88

Oth

er r

ecei

vab

les

151,0

38

23

2,4

74

Fin

anci

al a

sse

ts a

t fa

ir v

alu

e t

hro

ug

h p

rofi

t o

r lo

ss3

88

,54

9,5

83

399

,58

5,0

43

To

tal a

sse

ts4

09

,42

6,4

40

411

,28

1,6

05

Th

e C

om

pa

ny

is e

xp

ose

d t

o a

po

ten

tia

l mat

eri

al s

ing

ula

r cr

ed

it r

isk

in t

he

ev

en

t th

at it

re

qu

est

s a

rep

ay

me

nt

of

the

CS

Ws

fro

m t

he

Lu

x

Su

bsi

dia

ry a

nd

re

ceiv

es

an a

cce

pta

nce

of

that

re

pay

me

nt

req

ue

st. U

nd

er

the

CS

W a

gre

em

en

t b

etw

ee

n t

he

Co

mp

any

an

d t

he

Lu

x S

ub

sid

iary

,

an

y p

aym

en

t o

blig

ati

on

by

th

e L

ux

Su

bsi

dia

ry t

o t

he

Co

mp

an

y is

co

nd

itio

na

l up

on

th

e r

ece

ipt

of

an e

qu

iva

len

t am

ou

nt

by

th

e L

ux

Su

bsi

dia

ry w

hic

h is

de

riv

ed

fro

m t

he

PP

Ns

issu

ed

by

BC

F. T

he

Bo

ard

is a

wa

re o

f th

is r

isk

an

d t

he

co

nce

ntr

atio

n r

isk

to

th

e L

ux

Su

bsi

dia

ry

an

d in

dir

ec

tly

to

BC

F.

Ad

dit

ion

ally

, un

de

r th

e P

rofi

t P

art

icip

atin

g N

ote

Issu

ing

an

d P

urc

ha

se A

gre

em

en

t (�

PP

NIP

A�)

be

twe

en

th

e L

ux

Su

bsi

dia

ry a

nd

BC

F, if

th

e n

et

pro

cee

ds

fro

m a

liq

uid

ati

on

of

the

co

llate

ral o

blig

atio

ns

as

de

fin

ed

in t

he

PP

NIP

A a

vai

lab

le t

o u

nse

cure

d c

red

ito

rs o

f B

CF

(th

e �

Liq

uid

atio

n

Fu

nd

s�)

are

less

th

an t

he

ag

gre

ga

te a

mo

un

t p

aya

ble

by

BC

F in

re

spe

ct

of

its

ob

liga

tio

ns

to it

s u

nse

cure

d c

red

ito

rs, i

ncl

ud

ing

to

th

e L

ux

Su

bsi

dia

ry a

nd

th

e o

the

r p

arti

es

to t

he

PP

NIP

A (

such

ne

gat

ive

am

ou

nt

be

ing

re

ferr

ed

to

as

a �s

ho

rtfa

ll�),

th

e a

mo

un

t p

ay

ab

le b

y B

CF

to

the

Lu

x S

ub

sid

iary

an

d t

he

oth

er

par

tie

s to

th

e P

PN

IPA

in r

esp

ec

t o

f B

CF

�s o

blig

ati

on

s u

nd

er

the

PP

Ns

will

be

re

du

ced

to

su

ch a

mo

un

t

of

the

Liq

uid

atio

n F

un

ds

wh

ich

is a

va

ilab

le in

acc

ord

ance

wit

h t

he

re

gu

lato

ry r

eq

uir

em

en

ts a

nd

th

e s

en

ior

de

bt

rest

ric

tiv

e c

ov

en

an

ts t

o

sati

sfy

su

ch p

ay

me

nt

ob

liga

tio

n u

po

n t

he

dis

trib

uti

on

of

the

Liq

uid

atio

n F

un

ds

am

on

g a

ll o

f B

CF

�s u

nse

cure

d c

red

ito

rs o

n a

par

i pa

ssu

an

d p

ro r

ata

ba

sis,

an

d s

hal

l be

ap

plie

d f

or

the

be

ne

fit

of

the

Lu

x S

ub

sid

iary

an

d t

he

oth

er

par

tie

s to

th

e P

PN

IPA

. In

su

ch c

ircu

mst

an

ces

the

oth

er

asse

ts o

f B

CF

will

no

t b

e a

va

ilab

le f

or

the

pay

me

nt

of

such

sh

ort

fall,

an

d t

he

rig

hts

of

the

Lu

x S

ub

sid

iary

an

d t

he

oth

er

pa

rtie

s

to t

he

PP

NIP

A t

o r

ece

ive

an

y f

urt

he

r a

mo

un

ts in

re

spe

ct

of

such

ob

ligat

ion

s sh

all

be

ex

tin

gu

ish

ed

an

d t

he

No

teh

old

ers

an

d t

he

oth

er

pa

rtie

s to

th

e P

PN

IPA

ma

y n

ot

take

an

y f

urt

he

r a

cti

on

to

re

cov

er

such

am

ou

nts

.

Th

e C

om

pan

y is

exp

ose

d t

o c

red

it r

isk

on

its

inve

stm

en

ts in

th

e d

ire

ctly

he

ld C

LO

s. T

he

dir

ect

ly h

eld

CL

Os

wh

ich

fo

rme

d p

art

of

the

Ro

llov

er

Ass

ets

hav

e b

ee

n r

ea

lise

d b

y t

he

Po

rtfo

lio M

anag

er

in a

man

ne

r th

at m

axi

mis

es

the

va

lue

fro

m t

he

Co

mp

an

y�s

inv

est

me

nts

in t

ho

se d

ire

ctl

y

he

ld C

LO

s. A

dd

itio

na

lly, t

he

Po

rtfo

lio M

an

ag

er

ge

ne

rally

tra

de

s v

ia t

he

DT

C o

r E

uro

cle

ar,

wh

ich

on

th

e w

ho

le, l

imit

s co

un

terp

arty

ris

k.

Du

rin

g t

he

ye

ars

en

de

d 3

1 D

ece

mb

er

20

20

an

d 3

1 D

ece

mb

er

20

19 a

ll ca

sh w

as

pla

ced

wit

h B

NP

Par

ibas

Se

curi

tie

s S

.C.A

, as

Cu

sto

dia

n.

Th

e u

ltim

ate

par

en

t o

f B

NP

Pa

rib

as

Se

curi

tie

s S

.C.A

is B

NP

Pa

rib

as w

hic

h is

pu

blic

ly t

rad

ed

wit

h a

cre

dit

ra

tin

g o

f A

+ (

Sta

nd

ard

& P

oo

r�s)

.

Th

e c

red

it r

isk

ass

oci

ate

d w

ith

de

bto

rs is

lim

ite

d t

o o

the

r re

ceiv

able

s. C

red

it r

isk

is m

itig

ate

d b

y t

he

Co

mp

an

y�s

po

licy

to

on

ly u

nd

ert

ake

sig

nif

ica

nt

tra

nsa

cti

on

s w

ith

lea

din

g c

om

me

rcia

l co

un

terp

arti

es.

It is

th

e o

pin

ion

of

the

Bo

ard

th

at

the

car

ryin

g a

mo

un

ts o

f th

ese

fin

an

cia

l

ass

ets

re

pre

sen

t th

e m

axi

mu

m c

red

it r

isk

ex

po

sure

as

at t

he

re

po

rtin

g d

ate

.

Th

e B

oa

rd c

on

tin

ue

s to

mo

nit

or

the

Co

mp

an

y�s

ex

po

sure

to

cre

dit

ris

k.

Re

fer

to N

ote

12

wh

ich

de

tails

BC

F�s

exp

osu

re t

o c

red

it r

isk.

10C

l

iqu

idit

y r

isk

Liq

uid

ity

risk

is t

he

ris

k th

at t

he

Co

mp

any

will

en

cou

nte

r d

iffi

cult

ies

in r

eal

isin

g a

sse

ts o

r o

the

rwis

e r

aisi

ng

fu

nd

s to

me

et

fin

anci

al c

om

mit

me

nts

.

Th

e C

om

pa

ny

ha

s b

ee

n e

stab

lish

ed

as

a c

lose

d-e

nd

ed

ve

hic

le. A

cco

rdin

gly

, th

ere

is n

o r

igh

t o

r e

nti

tle

me

nt

atta

chin

g t

o t

he

Co

mp

an

y�s

sha

res

tha

t al

low

s th

em

to

be

re

de

em

ed

or

rep

urc

has

ed

by

th

e C

om

pan

y a

t th

e o

pti

on

of

the

Sh

are

ho

lde

r. T

his

sig

nif

ica

ntl

y r

ed

uce

s th

e

liqu

idit

y r

isk

of

the

Co

mp

any.

Un

de

r th

e t

erm

s o

f th

e u

nse

cure

d P

PN

s is

sue

d t

o it

s in

ve

sto

rs, B

CF

is c

on

tra

ctu

ally

ob

lige

d t

o e

nsu

re t

hat

its

po

rtfo

lio is

ma

nag

ed

in

acc

ord

an

ce w

ith

th

e C

om

pa

ny

�s in

ve

stm

en

t o

bje

cti

ve

an

d p

olic

y. In

th

e e

ve

nt

tha

t B

CF

fa

ils t

o c

om

ply

wit

h t

he

se c

on

tra

ctu

al o

blig

atio

ns,

the

Co

mp

an

y, t

hro

ug

h t

he

Lu

x S

ub

sid

iary

, co

uld

ele

ct

for

the

un

secu

red

PP

Ns

to b

eco

me

imm

ed

iate

ly d

ue

an

d r

ep

aya

ble

to

it f

rom

BC

F,

sub

jec

t to

an

y a

pp

lica

ble

leg

al,

con

tra

ctu

al a

nd

re

gu

lato

ry r

est

ric

tio

ns.

Giv

en

th

e n

atu

re o

f th

e in

ve

stm

en

ts h

eld

by

BC

F t

he

re is

no

gu

ara

nte

e a

nd

ind

ee

d, i

t is

hig

hly

un

like

ly t

hat

th

e a

pp

lica

ble

leg

al, c

on

trac

tual

an

d r

eg

ula

tory

re

stri

cti

on

s w

ou

ld p

erm

it B

CF

to

imm

ed

iate

ly

rep

ay

th

e u

nse

cure

d P

PN

s o

n t

he

Co

mp

an

y m

aki

ng

su

ch a

n e

lec

tio

n.

If t

he

Co

mp

an

y w

ere

to

ele

ct

for

the

un

secu

red

PP

Ns

to b

e r

ep

aid

, BC

F�s

fa

ilure

to

fu

lly c

om

ply

wit

h it

s co

ntr

ac

tual

ob

liga

tio

ns

to d

o s

o o

r

BC

F b

ein

g r

est

rict

ed

fro

m d

oin

g s

o b

y la

w, r

eg

ula

tio

n o

r co

ntr

ac

t co

uld

hav

e a

sig

nif

ican

t a

dv

ers

e e

ffe

ct

on

th

e C

om

pa

ny

�s b

usi

ne

ss,

fin

an

cia

l co

nd

itio

n, r

esu

lts

of

op

era

tio

ns

and

/or

the

ma

rke

t p

rice

of

the

sh

are

s.

Th

e P

PN

s ar

e u

nse

cure

d o

blig

atio

ns

of

BC

F a

nd

am

ou

nts

pay

ab

le o

n t

he

PP

Ns

will

be

ma

de

so

lely

fro

m a

mo

un

ts r

ece

ive

d in

re

spe

ct

of

the

ass

ets

of

BC

F a

va

ilab

le f

or

dis

trib

uti

on

to

its

un

secu

red

cre

dit

ors

. BC

F is

pe

rmit

ted

to

incu

r le

ve

rag

e in

th

e f

orm

of

secu

red

de

bt

by

way

of

on

e o

r m

ore

re

vo

lvin

g c

red

it f

aci

litie

s. S

uch

se

cure

d d

eb

t w

ill r

ank

ah

ea

d o

f th

e P

PN

s in

re

spe

ct

of

an

y d

istr

ibu

tio

ns

or

pay

me

nts

by

BC

F. I

n a

n e

nfo

rce

me

nt

sce

na

rio

un

de

r a

ny

re

vo

lvin

g c

red

it f

aci

lity,

th

e p

rov

ide

r(s)

of

such

fa

cilit

ies

will

hav

e t

he

ab

ility

to

en

forc

e t

he

ir

secu

rity

ov

er

the

ass

ets

of

BC

F a

nd

to

dis

po

se o

f o

r liq

uid

ate

, on

th

eir

ow

n b

eh

alf

or

thro

ug

h a

se

curi

ty t

rust

ee

or

rece

ive

r, t

he

ass

ets

of

BC

F in

a m

an

ne

r w

hic

h is

be

yon

d t

he

co

ntr

ol o

f th

e C

om

pa

ny.

In

su

ch a

n e

nfo

rce

me

nt

sce

na

rio

, th

ere

is n

o g

ua

ran

tee

th

at t

he

re w

ill b

e

suff

icie

nt

pro

cee

ds

fro

m t

he

dis

po

sal o

r liq

uid

atio

n o

f B

CF

�s a

sse

ts t

o r

ep

ay a

ny

am

ou

nts

du

e a

nd

pay

ab

le o

n t

he

PP

Ns

an

d t

his

may

ad

ve

rse

ly a

ffe

ct

the

pe

rfo

rma

nce

of

the

Co

mp

an

y�s

bu

sin

ess

, fin

an

cia

l co

nd

itio

n a

nd

re

sult

s o

f o

pe

rati

on

s.

Co

nse

qu

en

tly,

in t

he

ev

en

t o

f a

mat

eri

ally

ad

ve

rse

ev

en

t o

ccu

rrin

g in

re

lati

on

to

BC

F o

r th

e m

ark

et

ge

ne

rally

, th

e a

bili

ty o

f th

e C

om

pa

ny

to r

ea

lise

its

inv

est

me

nt

an

d p

rev

en

t th

e p

oss

ibili

ty o

f fu

rth

er

loss

es

cou

ld, t

he

refo

re, b

e li

mit

ed

by

its

rest

rict

ed

ab

ility

to

re

alis

e it

s

inv

est

me

nt

via

th

e L

ux

Su

bsi

dia

ry in

BC

F. T

his

de

lay

co

uld

ma

teri

ally

aff

ect

th

e v

alu

e o

f th

e P

PN

s a

nd

th

e t

imin

g o

f w

he

n B

CF

is a

ble

to

rea

lise

its

inv

est

me

nts

, wh

ich

may

ad

ve

rse

ly a

ffe

ct

the

Co

mp

any

�s b

usi

ne

ss, f

inan

cia

l co

nd

itio

n, r

esu

lts

of

op

era

tio

ns

an

d/o

r th

e m

ark

et

pri

ce o

f th

e s

ha

res.

Th

e d

ire

ctly

he

ld C

LO

s h

ave

be

en

act

ive

ly s

old

by

th

e P

ort

folio

Man

ag

er

to f

aci

lita

te r

ein

ve

stm

en

t in

to C

SW

s is

sue

d b

y t

he

Lu

x S

ub

sid

iary

,

wh

ich

may

in t

urn

be

re

inv

est

ed

into

PP

Ns

issu

ed

by

BC

F.

Th

e li

qu

idit

y p

rofi

le o

f B

CF

as

at 3

1 D

ece

mb

er

20

20

is in

No

te 1

2.

To

me

et

the

Co

mp

an

y�s

ta

rge

t d

ivid

en

d, t

he

Co

mp

an

y w

ill r

eq

uir

e s

uff

icie

nt

pay

me

nts

fro

m t

he

CS

Ws

he

ld a

nd

in t

he

ev

en

t th

ese

are

no

t

rece

ive

d, t

he

Bo

ard

has

th

e d

iscr

eti

on

to

de

term

ine

th

e a

mo

un

t o

f d

ivid

en

ds

pa

id t

o S

har

eh

old

ers

.

No

tes

to t

he

Fin

an

cia

l Sta

tem

en

ts c

on

tin

ue

d

86

No

Te

ST

o T

he

FIN

AN

CIA

l S

TA

Te

me

NT

SN

oT

eS

To

Th

e F

INA

NC

IAl

ST

AT

em

eN

TS

87

11In

tere

sts

in o

the

r e

nti

tie

s

Inte

rest

s in

un

con

soli

da

ted

str

uct

ure

d e

nti

tie

sIF

RS

12

�D

iscl

osu

re o

f In

tere

sts

in O

the

r E

nti

tie

s� d

efi

ne

s a

str

uc

ture

d e

nti

ty a

s a

n e

nti

ty t

ha

t h

as b

ee

n d

esi

gn

ed

so

th

at

vo

tin

g o

r si

mila

r

rig

hts

are

no

t th

e d

om

inan

t fa

cto

r in

de

cid

ing

wh

o c

on

tro

ls t

he

en

tity

, su

ch a

s w

he

n a

ny

vo

tin

g r

igh

ts r

ela

te t

o t

he

ad

min

istr

ativ

e t

ask

s

on

ly a

nd

th

e r

ele

va

nt

ac

tiv

itie

s a

re d

ire

cte

d b

y m

ea

ns

of

con

tra

ctu

al a

gre

em

en

ts. A

str

uc

ture

d e

nti

ty o

fte

n h

as

som

e o

f th

e f

ollo

win

g

fea

ture

s o

r at

trib

ute

s:

rest

ric

ted

ac

tiv

itie

s;

a n

arr

ow

an

d w

ell-

de

fin

ed

ob

jec

tiv

e;

insu

ffic

ien

t e

qu

ity

to

pe

rmit

th

e s

tru

ctu

red

en

tity

to

fin

an

ce it

s a

cti

vit

ies

wit

ho

ut

sub

ord

inat

ed

fin

an

cia

l su

pp

ort

; an

d

fin

anci

ng

in t

he

fo

rm o

f m

ult

iple

co

ntr

act

ua

lly li

nke

d in

stru

me

nts

th

at c

reat

e c

on

cen

trat

ion

s o

f cr

ed

it o

r o

the

r ri

sks.

Inv

olv

em

en

t w

ith

un

con

soli

da

ted

str

uc

ture

d e

nti

tie

sT

he

Dir

ec

tors

hav

e c

on

clu

de

d t

hat

th

e C

SW

s a

nd

vo

tin

g s

har

es

of

the

Lu

x S

ub

sid

iary

in w

hic

h t

he

Co

mp

an

y in

ve

sts,

bu

t th

at it

do

es

no

t

con

solid

ate

, me

et

the

de

fin

itio

n o

f a

str

uct

ure

d e

nti

ty.

Th

e D

ire

cto

rs h

ave

als

o c

on

clu

de

d t

hat

BC

F a

lso

me

ets

th

e d

efi

nit

ion

of

a s

tru

ctu

red

en

tity

.

Th

e D

ire

cto

rs h

ave

co

ncl

ud

ed

th

at

CL

Os

in w

hic

h t

he

Co

mp

an

y in

ve

sts,

th

at a

re n

ot

sub

sid

iari

es

for

fin

anci

al r

ep

ort

ing

pu

rpo

ses,

me

et

the

de

fin

itio

n o

f st

ruc

ture

d e

nti

tie

s b

ec

ause

:

the

vo

tin

g r

igh

ts in

th

e C

LO

s a

re n

ot

do

min

an

t ri

gh

ts in

de

cid

ing

wh

o c

on

tro

ls t

he

m, a

s th

ey

re

late

to

ad

min

istr

ativ

e t

ask

s o

nly

;

ea

ch C

LO

�s a

cti

vit

ies

are

re

stri

cte

d b

y it

s P

rosp

ec

tus;

an

d

the

CL

Os

hav

e n

arr

ow

an

d w

ell-

de

fin

ed

ob

jec

tiv

es

to p

rov

ide

inv

est

me

nt

op

po

rtu

nit

ies

to in

ve

sto

rs.

Inte

rest

s in

su

bsi

dia

ryA

s at

31

De

cem

be

r 2

02

0, t

he

Co

mp

an

y o

wn

s 10

0%

of

the

Cla

ss A

an

d C

lass

B s

ha

res

in t

he

Lu

x S

ub

sid

iary

co

mp

risi

ng

2,0

00

,00

0 C

lass

A

sha

res

an

d o

ne

Cla

ss B

sh

are

(3

1 D

ece

mb

er

20

19: 2

,00

0,0

00

Cla

ss A

sh

are

s an

d o

ne

Cla

ss B

sh

are

).

Th

e L

ux

Su

bsi

dia

ry�s

pri

nci

pal

pla

ce o

f b

usi

ne

ss is

Lu

xem

bo

urg

.

Oth

er

tha

n t

he

inv

est

me

nts

no

ted

ab

ov

e, t

he

Co

mp

an

y d

id n

ot

pro

vid

e a

ny

fin

an

cial

su

pp

ort

fo

r th

e y

ea

rs e

nd

ed

31

De

cem

be

r 2

02

0 a

nd

31

De

cem

be

r 2

019

, no

r h

ad

it a

ny

inte

nti

on

of

pro

vid

ing

fin

an

cial

or

oth

er

sup

po

rt.

Th

e C

om

pa

ny

has

an

inte

rco

mp

an

y lo

an

pay

ab

le t

o t

he

Lu

x S

ub

sid

iary

as

at

31

De

cem

be

r 2

02

0. R

efe

r to

No

te 7

fo

r fu

rth

er

de

tails

.

12F

ina

nci

al a

nd

oth

er

info

rma

tio

n o

n B

CF

Th

e B

oa

rd h

as p

rov

ide

d t

he

fo

llow

ing

info

rma

tio

n o

n B

CF,

wh

ich

ha

s b

ee

n e

xtr

ac

ted

fro

m it

s a

ud

ite

d f

inan

cia

l sta

tem

en

ts f

or

the

ye

ar

en

de

d 3

1 D

ece

mb

er

20

20

, as

it b

elie

ve

s th

is w

ill p

rov

ide

fu

rth

er

insi

gh

t to

th

e C

om

pa

ny

�s S

har

eh

old

ers

into

th

e o

pe

rati

on

s o

f B

CF,

th

e

ass

et

mix

in it

s p

ort

folio

an

d t

he

ris

ks

to w

hic

h B

CF

is e

xp

ose

d.

As

at 3

1 D

ece

mb

er

20

20

, th

e L

ux

Su

bsi

dia

ry h

eld

a 3

5.4

% (

31

De

cem

be

r 2

019

: 37.

4%

) in

tere

st in

th

e P

PN

s is

sue

d b

y B

CF.

Th

e d

iscl

osu

res

ha

ve

no

t b

ee

n a

pp

ort

ion

ed

acc

ord

ing

to

th

e L

ux

Su

bsi

dia

ry�s

PP

N h

old

ing

, as

the

Bo

ard

be

liev

es

to d

o s

o w

ou

ld b

e m

isle

ad

ing

an

d n

ot

an

acc

ura

te r

ep

rese

nta

tio

n o

f th

e C

om

pan

y�s

inv

est

me

nt

in B

CF.

Pri

nci

pa

l act

ivit

ies

BC

F w

as e

stab

lish

ed

as

an

ori

gin

ato

r v

eh

icle

un

de

r E

uro

pe

an

ris

k r

ete

nti

on

ru

les

for

CL

O s

ecu

riti

sati

on

s. It

may

als

o in

ve

st in

se

nio

r

secu

red

loan

s, e

ith

er

dir

ec

tly

or

ind

ire

ctl

y t

hro

ug

h C

LO

wa

reh

ou

ses,

an

d u

nd

erl

yin

g c

om

pa

nie

s. B

CF

is f

un

de

d b

y p

roce

ed

s fr

om

th

e

issu

an

ce o

f P

PN

s to

ge

the

r w

ith

oth

er

fin

an

cial

re

sou

rce

s av

aila

ble

to

it, s

uch

as

the

BC

F F

aci

lity.

Inv

est

me

nt

po

licy

BC

F's

inv

est

me

nt

po

licy

is t

o in

ve

st (

dir

ec

tly,

or

ind

ire

ctl

y t

hro

ug

h o

ne

or

mo

re U

nd

erl

yin

g C

om

pa

nie

s) in

a d

ive

rse

po

rtfo

lio o

f se

nio

r

secu

red

loan

s (i

ncl

ud

ing

bro

ad

ly s

yn

dic

ate

d, m

idd

le m

ark

et

or

oth

er

loan

s) (

such

inv

est

me

nts

be

ing

ma

de

by

th

e U

nd

erl

yin

g C

om

pa

nie

s

dir

ec

tly

or

thro

ug

h in

ve

stm

en

ts in

Lo

an

Wa

reh

ou

ses)

bo

nd

s a

nd

CL

O S

ecu

riti

es,

an

d g

en

era

te a

ttra

cti

ve

ris

k-a

dju

ste

d r

etu

rns

fro

m s

uch

po

rtfo

lios.

BC

F in

ten

ds

to p

urs

ue

its

inv

est

me

nt

po

licy

by

usi

ng

th

e p

roce

ed

s fr

om

th

e is

sue

of

PP

Ns

(to

ge

the

r w

ith

pro

cee

ds

fro

m o

the

r

fin

an

cia

l re

sou

rce

s av

aila

ble

to

it)

to in

ve

st in

su

ch a

sse

ts.

BC

F m

ay in

ve

st (

dir

ec

tly

or

thro

ug

h o

the

r U

nd

erl

yin

g C

om

pan

ies)

pre

do

min

antl

y in

Eu

rop

ean

or

US

se

nio

r se

cure

d lo

an

s, C

LO

Inco

me

No

te s

ecu

riti

es

(th

e m

ost

su

bo

rdin

ate

d t

ran

che

of

de

bt

issu

ed

by

a C

LO

issu

er)

, lo

an

wa

reh

ou

ses

an

d o

the

r a

sse

ts. I

nv

est

me

nts

in lo

an

wa

reh

ou

ses

will

ty

pic

ally

be

in t

he

fo

rm o

f an

ob

ligat

ion

to

pu

rch

ase

pre

fere

nce

sh

are

s o

r a

su

bo

rdin

ate

d lo

an. T

he

re is

no

lim

it o

n t

he

max

imu

m E

uro

pe

an

or

US

ex

po

sure

. BC

F is

no

t e

xp

ec

ted

to

inv

est

(d

ire

ctl

y o

r th

rou

gh

oth

er

Un

de

rly

ing

Co

mp

an

ies)

in s

en

ior

secu

red

loa

ns

do

mic

iled

ou

tsid

e N

ort

h A

me

ric

a o

r W

est

ern

Eu

rop

e.

A C

LO

is a

po

ole

d in

ve

stm

en

t v

eh

icle

wh

ich

may

inv

est

in a

div

ers

ifie

d g

rou

p o

f d

eb

t se

curi

tie

s, in

th

is c

ase

pre

do

min

antl

y s

en

ior

secu

red

loa

ns.

To

fin

an

ce it

s in

ve

stm

en

ts, t

he

CL

O v

eh

icle

issu

es

de

bt

in t

he

fo

rm o

f S

en

ior

No

tes

an

d C

LO

Inco

me

No

te s

ecu

riti

es

to in

ve

sto

rs.

Th

e s

erv

icin

g a

nd

re

pay

me

nt

of

the

se n

ote

s is

lin

ked

dir

ect

ly t

o t

he

pe

rfo

rma

nce

of

the

un

de

rly

ing

po

rtfo

lio o

f a

sse

ts.

Th

e p

ort

folio

of

asse

ts u

nd

erl

yin

g t

he

CL

O In

com

e N

ote

se

curi

tie

s co

nsi

st m

ain

ly o

f se

nio

r se

cure

d lo

an

s, m

ezz

anin

e lo

an

s, s

eco

nd

lie

n

loa

ns

an

d h

igh

yie

ld b

on

ds.

Th

e p

ort

folio

of

ass

ets

wit

hin

BC

F c

on

sist

s m

ain

ly o

f C

LO

Inco

me

No

te s

ecu

riti

es.

Dis

trib

uti

on

s o

n t

he

CL

O

Inco

me

No

te s

ecu

riti

es,

by

way

of

inte

rest

pay

me

nts

, are

pay

ab

le o

n a

qu

art

erl

y b

asi

s o

n d

ate

s e

stab

lish

ed

in t

he

fo

rmat

ion

do

cum

en

ts

of

the

CL

Os.

As

at 3

1 D

ece

mb

er

20

20

an

d 3

1 D

ece

mb

er

20

19, B

CF

ha

d n

o e

xp

osu

re t

o C

LO

s h

eld

as

a v

ert

ica

l str

ip (

as

de

fin

ed

in t

he

Co

mp

an

y�s

Inv

est

me

nt

Str

ate

gy)

.

Su

bsi

dia

rie

sB

CF

ha

s a

cqu

ire

d t

he

ma

jori

ty, o

r a

ll, o

f th

e C

LO

In

com

e N

ote

se

curi

tie

s is

sue

d b

y a

nu

mb

er

of

Eu

rop

ea

n C

LO

issu

ers

(th

e �

Dir

ec

t C

LO

Su

bsi

dia

rie

s�).

Th

e t

we

nty

-fiv

e D

ire

ct

CL

O S

ub

sid

iari

es

(in

corp

ora

ted

in Ir

ela

nd

) a

re p

rese

nte

d b

elo

w:

Nam

e o

f su

bsi

dia

ryC

urr

ency

De

al S

ize

(mill

ion

)

% S

ub

ord

inat

ed

Eq

uit

y N

ote

s H

eld

31

De

cem

ber

20

20

Ph

oe

nix

Par

k C

LO D

AC

EU

R€

417

51.4

%

So

rren

to P

ark

CLO

DA

CE

UR

€3

105

1.8%

Cas

tle

Par

k C

LO D

AC

EU

R€

26

15

2.1%

Dar

try

Par

k C

LO D

AC

EU

R€

33

85

1.1%

Do

rch

est

er P

ark

CLO

DA

CU

SD

$5

03

67.

0%

Orw

ell

Par

k C

LO D

AC

EU

R€

35

75

1.0%

Tym

on

Par

k C

LO D

AC

EU

R€

375

51.0

%

Elm

Par

k C

LO D

AC

EU

R€

54

35

6.1%

Gri

ffit

h P

ark

CLO

DA

CE

UR

€4

56

53.

4%

Pal

me

rsto

n P

ark

CLO

DA

CE

UR

€4

1553

.3%

Cla

rin

da

Par

k C

LO D

AC

E

UR

€4

1551

.2%

Clo

nta

rf P

ark

CLO

DA

CE

UR

€4

146

6.9

%

Will

ow

Par

k C

LO D

AC

EU

R€

412

60

.9%

Nam

e o

f su

bsi

dia

ryC

urr

en

cy

Dea

l Siz

e

(mill

ion

)

% S

ub

ord

inat

ed

Eq

uit

y N

ote

s H

eld

31

De

cem

be

r 2

02

0

Mar

lay

Par

k C

LO D

AC

EU

R€

413

60

.0%

Mill

tow

n P

ark

CLO

DA

CE

UR

€4

09

65.

0%

Ric

hm

on

d P

ark

CLO

DA

CE

UR

€5

48

68

.3%

Su

tto

n P

ark

CLO

DA

CE

UR

€4

08

66

.7%

Cro

sth

wai

te P

ark

CLO

DA

CE

UR

€5

136

4.7

%

Du

ned

in P

ark

CLO

DA

CE

UR

€4

08

52

.9%

Se

apo

int

Par

k C

LO D

AC

EU

R€

40

670

.5%

Ho

llan

d P

ark

CLO

DA

CE

UR

€4

28

72.1%

Ve

sey

Par

k C

LO D

AC

EU

R€

40

58

0.3

%

Avo

nd

ale

Par

k C

LO D

AC

EU

R€

28

46

3.0

%

Dee

r P

ark

CLO

DA

CE

UR

€3

44

100

.0%

Mar

ino

Par

k C

LO D

AC

EU

R€

324

70.8

%

No

tes

to t

he

Fin

an

cia

l Sta

tem

en

ts c

on

tin

ue

d

88

No

Te

ST

o T

he

FIN

AN

CIA

l S

TA

Te

me

NT

SN

oT

eS

To

Th

e F

INA

NC

IAl

ST

AT

em

eN

TS

89

BC

F h

as

also

acq

uir

ed

10

0%

of

the

PP

Ns

issu

ed

by

BG

CM

DA

C, w

hic

h w

as

est

ab

lish

ed

on

1 A

ug

ust

20

19. B

GC

M D

AC

ho

lds

100

% o

f th

e

Se

rie

s 2

an

d S

eri

es

3 in

tere

sts

of

BC

M L

LC

, a U

S m

an

age

r-o

rig

inat

or

ve

hic

le e

sta

blis

he

d o

n 1

4 M

ay 2

019

. Th

e e

stab

lish

me

nt

of

BC

M L

LC

cre

ate

d a

str

uc

ture

ca

pa

ble

of

me

eti

ng

po

ten

tial

de

ma

nd

fo

r U

S C

LO

s fr

om

Eu

rop

ean

inst

itu

tio

na

l in

ve

sto

rs r

eq

uir

ing

co

mp

lian

ce w

ith

Eu

rop

ea

n r

isk

rete

nti

on

ru

les.

BC

M L

LC

ho

lds

CL

O In

com

e N

ote

se

curi

tie

s in

six

US

CL

Os

(th

e �

Ind

ire

ct

CL

O S

ub

sid

iari

es�

) as

list

ed

be

low

an

d p

refe

ren

ce s

har

es

in o

ne

wa

reh

ou

se, T

allm

an

Par

k C

LO

wa

reh

ou

se.

Nam

e o

f su

bsi

dia

ryC

urr

ency

De

al S

ize

(mill

ion

)

% S

ub

ord

inat

ed

Eq

uit

y N

ote

s H

eld

31

De

cem

ber

20

20

So

uth

wic

h P

ark

CLO

Lim

ited

US

D$

50

36

0.0

%

Bee

chw

oo

d P

ark

CLO

Lim

ited

US

D$

810

61.1

%

Str

atu

s C

LO 2

02

0-2

Lim

ited

US

D$

29

910

0.0

%

Nam

e o

f su

bsi

dia

ryC

urr

en

cy

Dea

l Siz

e

(mill

ion

)

% S

ub

ord

inat

ed

Eq

uit

y N

ote

s H

eld

31 D

ecem

be

r 2

02

0

Har

rim

an P

ark

CLO

Lim

ited

US

D$

50

270

.0%

Cay

ug

a P

ark

CLO

Lim

ited

US

D$

393

72.0

%

Alle

gan

y P

ark

CLO

Lim

ite

dU

SD

$5

05

66

.2%

Pri

or

to 1

Ju

ly 2

02

0, B

CM

LL

C a

lso

he

ld C

lass

A p

refe

ren

ce s

ha

res

in t

he

US

MO

A. O

n 1

Ju

ly 2

02

0, t

he

US

MO

A w

as

me

rge

d in

to B

CM

LL

C,

at

wh

ich

tim

e 8

6.0

2%

(re

pre

sen

tin

g B

CM

LL

C�s

ow

ne

rsh

ip o

f th

e U

S M

OA

) o

f e

ach

un

de

rly

ing

US

CL

O o

f th

e U

S M

OA

wa

s tr

ansf

err

ed

to

BC

M L

LC

. As

this

re

sult

ed

in B

CM

LL

C h

old

ing

less

th

an t

he

ma

jori

ty o

f ce

rta

in C

LO

po

siti

on

s, B

CM

LL

C p

urc

ha

sed

asm

all a

mo

un

t o

f

the

se U

S C

LO

s in

ord

er

to m

ain

tain

a m

ajo

rity

eco

no

mic

po

siti

on

in e

ach

CL

O in

ve

stm

en

t. A

s a

re

sult

of

this

me

rge

r, f

rom

1 J

uly

20

20

,

the

un

de

rly

ing

US

CL

Os

tha

t w

ere

pre

vio

usl

y h

eld

by

BC

F t

hro

ug

h t

he

US

MO

A a

re n

ow

he

ld b

y B

CF

th

rou

gh

BC

M L

LC

.

In a

cco

rdan

ce w

ith

IFR

S 1

0, t

he

Dir

ect

CL

O S

ub

sid

iari

es,

th

e In

dir

ect

CL

O S

ub

sid

iari

es,

BG

CM

DA

C a

nd

BC

M L

LC

, are

all

de

em

ed

to

be

sub

sid

iari

es

of

BC

F a

nd

are

co

nso

lidat

ed

un

de

r it

s fi

nan

cial

re

po

rtin

g f

ram

ew

ork

. Du

rin

g t

he

ye

ar e

nd

ed

31

De

cem

be

r 2

019

, th

e d

ire

cto

rs o

f

BC

F d

ete

rmin

ed

th

at B

CM

LL

C d

id n

ot

con

tro

l th

e U

S M

OA

, as

de

fin

ed

in IF

RS

10

, an

d t

he

refo

re, t

he

US

MO

A a

nd

its

un

de

rly

ing

US

CL

O

inv

est

me

nts

we

re n

ot

con

solid

ate

d. A

s d

eta

iled

ab

ov

e, e

ffe

cti

ve

1 J

uly

20

20

, th

e U

S M

OA

was

me

rge

d in

to B

CM

LL

C a

nd

th

e U

S M

OA

�s

inv

est

me

nts

in t

he

US

CL

Os

we

re t

ran

sfe

rre

d t

o B

CM

LL

C. F

or

the

ye

ar e

nd

ed

31

De

cem

be

r 2

02

0, t

he

dir

ect

ors

of

BC

F d

ete

rmin

ed

th

at

BC

M L

LC

did

no

t co

ntr

ol s

uch

US

CL

Os

tra

nsf

err

ed

fro

m t

he

US

MO

A, a

nd

th

ere

fore

, are

no

t co

nso

lida

ted

.

As

at 3

1 D

ece

mb

er

20

20

, BC

M L

LC

he

ld in

ve

stm

en

ts in

th

e f

ollo

win

g n

on

-co

nso

lidat

ed

US

CL

Os:

Nam

e

Gilb

ert

Par

k C

LO L

imit

ed

Ste

war

t P

ark

CLO

Lim

ite

d

Cat

skill

Par

k C

LO L

imit

ed

De

wo

lf P

ark

CLO

Lim

ite

d

Lon

g P

oin

t P

ark

CLO

Lim

ited

Nam

e

Gre

enw

oo

d P

ark

CLO

Lim

ite

d

Gri

pp

en

Par

k C

LO L

imit

ed

Th

aye

r P

ark

CLO

Lim

ited

Co

ok

Par

k C

LO L

imit

ed

BC

F a

lso

dir

ec

tly

ho

lds

CL

O I

nco

me

No

te s

ecu

riti

es

in U

S C

LO

s w

hic

h it

was

no

t re

spo

nsi

ble

fo

r o

rig

ina

tin

g. A

s a

t 3

1 D

ece

mb

er

20

20

, BC

F

ha

d d

ire

ct h

old

ing

s in

th

e f

ollo

win

g U

S C

LO

s (t

og

eth

er

wit

h t

he

no

n-c

on

solid

ate

d U

S C

LO

s h

eld

th

rou

gh

BC

M L

LC

, th

e �

No

n-C

on

solid

ate

d

US

CL

Os�

):

Nam

e

Bu

ckh

orn

Par

k C

LO L

imit

ed

Film

ore

Par

k C

LO L

imit

ed

Har

bo

r P

ark

CLO

Lim

ited

Nam

e

Nia

gara

Par

k C

LO L

imit

ed

Mye

rs P

ark

CLO

Lim

ited

Th

e d

ire

cto

rs o

f B

CF

hav

e d

ete

rmin

ed

th

at B

CF

did

no

t co

ntr

ol t

he

US

MO

A (

thro

ug

h B

GC

M D

AC

an

d B

CM

LL

C),

no

r d

oe

s it

co

ntr

ol a

ny

of

the

No

n-C

on

solid

ate

d U

S C

LO

s o

r U

S C

LO

wa

reh

ou

ses

he

ld d

ire

ctl

y b

y B

CF

or

thro

ug

h B

CM

LL

C, a

s d

efi

ne

d in

IFR

S 1

0. T

he

refo

re,

the

se e

nti

tie

s h

av

e n

ot

be

en

co

nso

lida

ted

fo

r th

e p

urp

ose

s o

f p

rese

nti

ng

BC

F�s

co

nso

lida

ted

fin

an

cial

sta

tem

en

ts. T

he

se in

ve

stm

en

ts

ha

ve

be

en

cla

ssif

ied

as

fin

an

cia

l ass

ets

he

ld a

t fa

ir v

alu

e t

hro

ug

h p

rofi

t o

r lo

ss.

Th

e d

ire

cto

rs o

f B

CF

do

no

t an

tici

pat

e a

ny

ch

an

ge

in it

s st

ruc

ture

or

inv

est

me

nt

ob

jec

tiv

es.

Va

lua

tio

n o

f fi

na

nci

al i

nst

rum

en

tsA

s at

31

De

cem

be

r 2

02

0 a

nd

20

19, t

he

loa

ns

he

ld w

ere

bro

ker

pri

ced

th

rou

gh

Mar

kit

, an

d t

he

bo

nd

inv

est

me

nts

we

re v

alu

ed

by

pri

ces

pro

vid

ed

by

IDC

. Th

e m

ajo

rity

of

the

se a

sse

ts w

ere

cla

ssif

ied

as

Le

ve

l 2 s

ince

th

e in

pu

t in

to t

he

Ma

rkit

pri

ce c

on

sist

ed

of

at le

ast

tw

o

qu

ote

s, h

ow

ev

er,

a s

ma

ll n

um

be

r o

f h

old

ing

s p

rice

d t

hro

ug

h M

ark

it c

on

sist

ed

of

on

ly o

ne

qu

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of

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Co

mp

an

y. T

he

pe

rfo

rman

ce o

f th

e P

PN

s is

dri

ve

n s

ole

ly b

y t

he

un

de

rly

ing

po

rtfo

lio o

f B

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an

d t

he

refo

re

con

sid

era

tio

n o

f th

e r

isk

s to

wh

ich

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po

sed

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hav

e a

lso

be

en

ma

de

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ma

rke

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sk

Mar

ket

risk

is t

he

cu

rre

nt

or

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spe

cti

ve

ris

k to

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gs

or

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ita

l of

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risi

ng

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m c

ha

ng

es

in in

tere

st r

ate

s, f

ore

ign

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ng

e r

ate

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mo

dit

y p

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qu

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pri

ces.

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rke

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sk e

mb

od

ies

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po

ten

tial

fo

r b

oth

loss

es

an

d g

ain

s.

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ket

pri

ce r

isk

ari

ses

mai

nly

fro

m u

nce

rta

inty

ab

ou

t fu

ture

pri

ces

of

fin

an

cia

l in

stru

me

nts

he

ld. I

t re

pre

sen

ts t

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po

ten

tial

loss

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F

mig

ht

suff

er

thro

ug

h h

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ing

mar

ket

po

siti

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s in

th

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ace

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pri

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en

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ect

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cal

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gio

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or

glo

ba

l ev

en

ts m

ay h

ave

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ign

ific

ant

imp

ac

t o

n B

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an

d t

he

pri

ce o

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ve

stm

en

ts.

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an

cia

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stru

me

nts

are

car

rie

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t fa

ir v

alu

e t

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ug

h p

rofi

t o

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ss, a

ll ch

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ge

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ma

rke

t co

nd

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ec

tly

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ac

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lua

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n o

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gh

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est

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de

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er

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en

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ct

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rice

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mo

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ors

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erv

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t h

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rily

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du

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isk

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ve

stm

en

ts. F

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inim

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y t

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tes

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e t

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xp

osu

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use

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e N

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e N

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ts t

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ture

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rice

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tte

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age

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qu

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se

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atio

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d r

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st t

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ma

nag

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ors

th

e a

sse

ts w

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in e

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CL

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to e

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rea

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he

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d p

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ere

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e r

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fro

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nt

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th

ere

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ks

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tin

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cre

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ails

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me

nt,

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k in

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anci

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rise

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h a

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qu

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late

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g t

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n t

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rly

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ass

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use

cre

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re

sear

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use

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ng

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d t

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dit

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alit

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ted

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ior

secu

red

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BC

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re c

on

cen

tra

ted

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fo

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ing

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rate

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red

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nd

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ct

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sid

iari

es

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re c

on

cen

trat

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ing

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rie

s:

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od

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:

Th

e s

en

ior

secu

red

loan

s a

nd

bo

nd

s h

eld

by

th

e I

nd

ire

ct

CL

O S

ub

sid

iari

es

are

co

nce

ntr

ate

d in

th

e f

ollo

win

g in

du

stri

es:

* BF

I&R

E �

Ba

nk

ing

, Fin

an

ce

, In

sura

nce

an

d R

ea

l Est

ate

Du

rin

g t

he

ye

ar,

BC

F h

eld

(d

ire

ctl

y a

nd

ind

ire

ctl

y) C

LO

In

com

e N

ote

s in

US

CL

Os

wh

ich

are

no

t co

nso

lidat

ed

as

sub

sid

iari

es.

Pri

or

to 1

Ju

ly

20

20

, th

e U

S C

LO

s th

at a

re h

eld

ind

ire

ctl

y b

y B

CF

we

re h

eld

th

rou

gh

th

e U

S M

OA

. Fro

m 1

Ju

ly 2

02

0, s

uch

US

CL

Os

are

he

ld in

dir

ec

tly

thro

ug

h B

CM

LL

C, f

ollo

win

g a

de

cisi

on

to

me

rge

BC

M L

LC

wit

h t

he

US

MO

A. A

cco

rdin

gly

, BC

F is

ex

po

sed

to

th

e c

red

it r

isk

on

th

e u

nd

erl

yin

g

US

se

nio

r se

cure

d lo

an

s a

nd

bo

nd

s h

eld

by

su

ch U

S C

LO

s. In

ad

dit

ion

, th

e C

LO

Inco

me

No

tes

are

lim

ite

d r

eco

urs

e o

blig

ati

on

s o

f th

e U

S

CL

Os

wh

ich

are

pay

able

so

lely

ou

t o

f am

ou

nts

re

ceiv

ed

by

th

e U

S C

LO

in r

esp

ec

t o

f th

e f

ina

nci

al a

sse

ts h

eld

.

Th

e u

nd

erl

yin

g in

ve

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en

ts in

se

nio

r se

cure

d lo

ans

and

bo

nd

s re

cog

nis

ed

as

fin

an

cia

l ass

ets

of

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US

CL

Os

(wh

ose

Inco

me

No

tes

are

he

ld d

ire

ctl

y a

nd

ind

ire

ctly

by

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ha

d t

he

fo

llow

ing

cre

dit

qu

alit

y a

s ra

ted

by

Mo

od

y�s

:

Th

e u

nd

erl

yin

g f

inan

cia

l ass

ets

of

the

US

CL

Os

(wh

ose

Inco

me

No

tes

are

he

ld d

ire

ctl

y a

nd

ind

ire

ctl

y b

y B

CF

)) e

xp

ose

d t

o c

red

it r

isk

we

re

con

cen

trat

ed

in t

he

fo

llow

ing

ind

ust

rie

s:

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I&R

E �

Ba

nk

ing

, Fin

an

ce, I

nsu

ran

ce

an

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ea

l Est

ate

^C

P&

R �

Ch

em

ica

ls, P

last

ic a

nd

Ru

bb

er

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P&

G �

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nta

ine

rs, P

ac

ka

gin

g a

nd

Gla

ss�H

&P

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ea

lth

ca

re a

nd

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arm

ace

uti

ca

ls

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tes

to t

he

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l Sta

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en

ts c

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ue

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ab

le t

o m

ee

t it

s fi

na

nci

al o

blig

ati

on

s a

s th

ey

fal

l du

e. T

he

ab

ility

of

BC

F t

o m

ee

t it

s o

blig

ati

on

s is

de

pe

nd

en

t o

n t

he

re

ceip

t o

f in

tere

st a

nd

pri

nci

pa

l fro

m t

he

un

de

rly

ing

co

llate

ral p

ort

folio

s. O

blig

atio

ns

may

ari

se f

rom

: fin

an

cia

l lia

bili

tie

s

at

fair

va

lue

, pay

ab

le f

or

inv

est

me

nts

pu

rch

ase

d, B

CF

Fa

cilit

y, in

tere

st p

aya

ble

on

CL

O In

com

e N

ote

s, d

eri

va

tiv

e f

ina

nci

al l

iab

iliti

es,

oth

er

pa

ya

ble

s an

d a

ccru

ed

ex

pe

nse

s.

At

the

re

po

rtin

g d

ate

, th

e f

ina

nci

al o

blig

atio

ns

ex

po

sed

to

liq

uid

ity

ris

k a

re a

s fo

llow

s:

Fin

anci

al li

ab

iliti

es

me

asu

red

at

fair

val

ue

th

rou

gh

pro

fit

or

loss

Fin

an

cia

l lia

bili

tie

s at

fa

ir v

alu

e c

om

pri

se P

PN

s is

sue

d b

y B

CF.

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PP

Ns

issu

ed

are

lim

ite

d r

eco

urs

e. T

he

re

cou

rse

of

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no

teh

old

ers

, wh

ich

incl

ud

es

BG

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th

rou

gh

th

e L

ux

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bsi

dia

ry, i

s lim

ite

d t

o t

he

pro

cee

ds

ava

ilab

le t

o u

nse

cure

d c

red

ito

rs a

t su

ch t

ime

fro

m t

he

de

bt

ob

liga

tio

ns,

CL

O I

nco

me

No

tes

an

d o

the

r o

blig

atio

ns

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ich

co

mp

ly

wit

h t

he

inv

est

me

nt

po

licy.

Th

ere

fore

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m t

he

pe

rsp

ect

ive

of

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he

ass

oci

ate

d li

qu

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isk

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l re

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ga

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