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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,
2
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
3
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
4
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.
5
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.
6
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.
7
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.
8
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.
11
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.
12
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.
13
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
14
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.
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108
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Fro
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r: iS
tock
Pa
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nd
41:
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En
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Div
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H
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Wh
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rmin
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art
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the
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Ap
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02
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po
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sse
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glo
ba
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mic
no
t m
atch
ed
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ov
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a ce
ntu
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o q
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ll th
e s
kyro
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acr
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th
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lob
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ctiv
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sh
utt
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d t
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con
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ct
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itiz
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�s li
ve
s. T
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no
mic
imp
ac
t o
f th
ese
eff
ort
s w
as
sev
ere
an
d r
esu
lte
d in
sig
nif
ica
nt
fin
anci
al a
nd
so
cia
l re
pe
rcu
ssio
ns.
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e c
on
tra
ctio
n o
f g
lob
al g
row
th f
or
20
20
is e
stim
ate
d a
t (3
.5)%
(5) .
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he
fac
e o
f su
ch u
np
rece
de
nte
d e
ve
nts
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ntr
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ank
s an
d f
ed
era
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go
ve
rnm
en
ts r
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d o
ut
sup
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to in
sula
te e
con
om
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as
be
st t
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ld. A
dv
ance
d e
con
om
ies,
less
co
nst
rain
ed
by
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va
ted
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bt
lev
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ne
rally
we
re b
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er
ab
le t
o d
eliv
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larg
e
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ec
t sp
en
din
g a
nd
liq
uid
ity
su
pp
ort
s re
lati
ve
to
GD
P.
In w
hat
un
do
ub
ted
ly w
ou
ld o
the
rwis
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en
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ntr
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tag
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ifn
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for
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ve
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30
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atin
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d p
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d
cert
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ty t
o b
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sse
s ar
ou
nd
tra
de
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d t
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In t
he
US
, Jo
e
Bid
en
wo
n t
he
pre
sid
en
tial
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cti
on
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d w
as s
wo
rn in
as
the
46
th
Pre
sid
en
t o
f th
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nit
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Sta
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As
pa
rt o
f P
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llio
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rt
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ckag
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hic
h s
ho
uld
sp
ur
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eco
no
my
fo
rwa
rd in
20
21.
Fin
an
cial
ma
rke
ts e
nd
ed
th
e y
ea
r st
ron
gly
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ull
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ew
hig
hs
and
US
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d E
uro
pe
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red
it a
sse
ts f
inis
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d t
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ye
ar
in p
osi
tiv
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err
ito
ry. T
his
is e
ve
n m
ore
imp
ress
ive
giv
en
th
e
dra
mat
ic s
ello
ff in
ris
k as
sets
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rin
g Q
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vo
lati
lity
reac
hin
g le
vels
no
t re
cord
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sin
ce t
he
glo
bal
fin
anci
al c
risi
s. T
he
Co
mp
any,
th
rou
gh
its
inv
est
me
nt
in B
CF
was
no
t im
mu
ne
to
th
is v
ola
tilit
y, h
ow
ev
er,
wit
h it
s d
ive
rsif
ied
an
d d
efe
nsi
ve
ly p
osi
tio
ne
d p
ort
folio
, in
ve
ste
d
acr
oss
mu
ltip
le s
ec
tors
, ge
og
rap
hie
s a
nd
vin
tag
es,
it w
as
ab
le t
o
nav
igat
e t
he
wo
rst
of
this
vo
lati
lity.
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bal
ce
ntr
al b
ank
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terv
en
tio
n
an
d in
div
idu
al g
ov
ern
me
nt
sup
po
rt p
ack
ag
es
he
lpe
d t
o a
llay
mar
ket
con
cern
s a
rou
nd
liq
uid
ity
an
d c
orp
ora
te f
un
dam
en
tals
,
wh
ich
pro
vid
ed
a t
ailw
ind
to
ris
k as
sets
as
the
ye
ar
pro
gre
sse
d.
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oki
ng
ah
ea
d, w
ith
gro
win
g v
acc
ine
av
aila
bili
ty a
nd
imp
rov
ed
te
st
an
d t
raci
ng
ca
pa
bili
tie
s, lo
ca
l tra
nsm
issi
on
of
the
vir
us
is e
xp
ect
ed
to f
all.
As
eco
no
mie
s re
op
en
an
d f
isc
al s
up
po
rt p
ack
age
s re
mai
n in
pla
ce, e
con
om
ic a
cti
vit
y s
ho
uld
incr
ea
se a
nd
fis
cal d
efi
cits
in m
ost
cou
ntr
ies
sho
uld
de
clin
e a
s re
ve
nu
es
rise
an
d e
xpe
nd
itu
res
de
clin
e
in li
ne
wit
h t
he
re
cov
ery
. Th
e IM
F p
roje
cts
glo
ba
l eco
no
mic
gro
wth
of
5.5
% in
20
21.
Th
is is
pre
dic
ate
d o
n a
su
cce
ssfu
l su
pp
ress
ion
of
the
vir
us,
a c
on
sist
en
t re
cov
ery
in g
lob
al t
rad
e a
cti
vit
y (
8%
gro
wth
in
20
21)
an
d in
flat
ion
to
re
ma
in s
ub
du
ed
be
low
th
e 1
.5%
ta
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
-to
-ma
rke
t b
id p
rice
s
for
tho
se p
osi
tio
ns.
By
fre
ein
g u
p c
apit
al, B
CF
wa
s a
ble
to
ex
ten
d r
ein
ve
stm
en
t p
eri
od
s,
inv
est
in h
igh
er
retu
rn p
rop
osi
tio
ns,
incr
ea
se v
inta
ge
div
ers
ity,
an
d b
e b
ett
er
pre
pa
red
for
po
ten
tial
vo
lati
lity.
Ba
nk
Lo
an
Ma
rke
t O
verv
iew
(11)
, (12
)
In 2
02
0, g
lob
al lo
an
mar
kets
ex
pe
rie
nce
d t
he
wo
rst
bo
ut
of
vo
lati
lity
an
d m
arke
t d
isru
pti
on
sin
ce t
he
20
08
fin
anci
al c
risi
s. T
his
dis
rup
tio
n w
as c
au
sed
by
th
e r
apid
sp
rea
d o
f C
OV
ID-1
9
acr
oss
th
e g
lob
e in
th
e f
irst
qu
art
er
an
d t
he
dra
ma
tic
slo
wd
ow
n in
eco
no
mic
ac
tiv
ity
resu
ltin
g f
rom
re
late
d b
usi
ne
ss s
hu
tdo
wn
s a
nd
tra
ve
l re
stri
cti
on
s. C
en
tra
l ban
ks
be
ga
n t
o
inte
rve
ne
on
an
un
pre
ced
en
ted
sc
ale
in M
arc
h t
o e
nsu
re s
uff
icie
nt
liqu
idit
y a
nd
ord
erl
y
mar
ket
fun
cti
on
ing
. At
the
sa
me
tim
e, U
S a
nd
Eu
rop
ea
n g
ov
ern
me
nts
en
ac
ted
ag
gre
ssiv
e
fisc
al s
tim
ulu
s m
eas
ure
s to
he
lp e
ase
inve
sto
rs� a
nd
bu
sin
ess
ow
ne
rs� f
un
dam
en
tal c
on
cern
s.
Bo
th t
he
US
an
d E
uro
pe
an
cre
dit
ma
rke
ts r
eb
ou
nd
ed
at
an
imp
ress
ive
ra
te in
th
e m
on
ths
follo
win
g M
arc
h a
nd
en
de
d t
he
ye
ar
wit
h p
osi
tiv
e r
etu
rns.
US
loa
ns
an
d E
uro
pe
an
loa
ns
retu
rne
d 2
.78
% a
nd
2.3
8%
in 2
02
0, r
esp
ec
tiv
ely
.
De
spit
e e
con
om
ic u
nce
rta
inty
an
d a
pa
use
on
ne
w is
sue
loan
su
pp
ly in
Mar
ch 2
02
0, t
he
glo
ba
l cre
dit
ma
rke
ts q
uic
kly
re
op
en
ed
to
issu
ers
in n
ee
d o
f ca
pit
al.
Ma
ny
co
rpo
rati
on
s
firs
t b
ols
tere
d t
he
ir li
qu
idit
y b
y d
raw
ing
do
wn
re
vo
lvin
g li
ne
s o
f cr
ed
it a
nd
th
en
re
fin
an
ced
ex
isti
ng
de
bt
at
fav
ou
rab
le r
ate
s g
ive
n t
he
do
wn
wa
rd s
hif
t in
tre
asu
rie
s an
d t
he
str
on
g
inv
est
or
de
ma
nd
fo
r co
rpo
rate
cre
dit
. Iss
ua
nce
in t
he
US
an
d E
uro
pe
an lo
an
mar
kets
de
cre
ase
d y
ear
-ov
er-
ye
ar; g
ross
US
loa
n is
suan
ce t
ota
lled
$9
6.6
bill
ion
, a 2
0%
de
cre
ase
,
wh
ile E
uro
pe
an
loa
n is
sua
nce
als
o d
ecr
ea
sed
by
20
% in
20
20
to
€6
5 b
illio
n(1
3) . W
e e
xpe
ct
issu
ance
to
incr
eas
e in
bo
th r
eg
ion
s in
20
21.
CO
VID
-19
Th
e D
ire
cto
rs c
on
tin
ue
to
car
efu
lly m
on
ito
r th
e o
ng
oin
g d
eve
lop
me
nts
reg
ard
ing
CO
VID
-19
, wh
ich
co
nti
nu
es
to a
dv
ers
ely
imp
ac
t g
lob
al
com
me
rcia
l act
ivit
y a
nd
ha
s co
ntr
ibu
ted
to
sig
nif
ica
nt
vo
lati
lity
in
fin
an
cia
l mar
kets
. Th
e g
lob
al i
mp
act
of
the
ou
tbre
ak
con
tin
ue
s to
ev
olv
e, h
ow
ev
er,
th
e s
ucc
ess
ful d
ev
elo
pm
en
t o
f m
ult
iple
va
ccin
es
an
d t
he
ro
llou
t o
f v
acc
inat
ion
pro
gra
mm
es
acr
oss
th
e g
lob
e is
en
cou
rag
ing
. Ne
ve
rth
ele
ss, C
OV
ID-1
9 c
on
tin
ue
s to
pre
sen
t
ma
teri
al u
nce
rta
inty
an
d r
isk
wit
h r
esp
ect
to
po
rtfo
lio a
sse
t
pe
rfo
rma
nce
an
d f
inan
cia
l re
sult
s o
f th
e C
om
pa
ny.
In a
dd
itio
n t
o
the
fa
cto
rs d
esc
rib
ed
ab
ov
e, o
the
r fa
cto
rs t
hat
may
aff
ec
t m
ark
et,
eco
no
mic
an
d g
eo
po
litic
al c
on
dit
ion
s, a
nd
th
ere
by
ad
ve
rse
ly a
ffe
ct
the
Co
mp
an
y in
clu
de
, wit
ho
ut
limit
ati
on
, a s
low
do
wn
in e
con
om
ic
reco
ve
ry in
Eu
rop
e a
nd
inte
rnat
ion
ally
, ch
an
ge
s in
inte
rest
ra
tes
an
d/o
r a
lack
of
ava
ilab
ility
of
cre
dit
in E
uro
pe
an
din
tern
atio
nal
ly,
com
mo
dit
y p
rice
vo
lati
lity
an
d c
han
ge
s in
law
an
d/o
r re
gu
lati
on
,
an
d u
nce
rta
inty
re
gar
din
g g
ov
ern
me
nt
and
re
gu
lato
ry p
olic
y.
ES
G
Th
e p
rac
tice
of
resp
on
sib
le in
ve
stin
g r
em
ain
s a
ke
y f
ocu
s fo
r
inv
est
ors
. Th
e B
oar
d r
eg
ula
rly
en
gag
es
wit
h t
he
Co
mp
any
�s P
ort
folio
Ad
vis
er
reg
ard
ing
th
eir
ES
G p
olic
y. B
lack
sto
ne
has
co
mm
itte
d t
o
be
ing
a r
esp
on
sib
le in
ve
sto
r fo
r o
ve
r 3
5 y
ea
rs. T
his
co
mm
itm
en
t
is a
ffir
me
d a
cro
ss t
he
org
an
isa
tio
n a
nd
gu
ide
s it
s a
pp
roa
ch t
o
inve
stin
g. A
su
mm
ary
of
Bla
ckst
on
e�s
re
spo
nsi
ble
inv
est
ing
ap
pro
ach
ca
n b
e f
ou
nd
on
pag
es
18 t
o 2
0.
Th
e B
oa
rd
Go
od
go
ve
rna
nce
re
ma
ins
at t
he
he
art
of
ou
r w
ork
as
a B
oa
rd a
nd
is t
ake
n v
ery
se
rio
usl
y. W
e b
elie
ve
th
at t
he
Co
mp
any
mai
nta
ins
hig
h s
tan
da
rds
of
corp
ora
te g
ov
ern
an
ce. T
he
Bo
ard
was
ve
ry
ac
tiv
e d
uri
ng
th
e y
ear
, co
nv
en
ing
a t
ota
l of
13 B
oar
d m
ee
tin
gs
an
d3
0 C
om
mit
tee
me
eti
ng
s, a
s w
ell
as u
nd
ert
ak
ing
a v
irtu
al d
ue
dili
ge
nce
re
vie
w in
Se
pte
mb
er
20
20
of
ou
r P
ort
folio
Ad
vis
er.
Th
eB
oa
rd u
sed
th
ese
me
eti
ng
s to
dis
cuss
va
rio
us
asp
ec
ts o
f
op
era
tio
nal
ris
k a
nd
co
ntr
ols
, th
e lo
an a
nd
CL
O m
ark
ets
, an
d t
he
curr
en
t m
ark
et
con
dit
ion
s.
In a
dd
itio
n, a
s c
an b
e s
ee
n f
rom
th
e c
orp
ora
te a
cti
vit
y d
uri
ng
th
e
ye
ar,
th
e B
oa
rd a
nd
its
ad
vis
ers
hav
e w
ork
ed
ha
rd t
o e
nsu
re t
he
con
tin
ue
d s
ucc
ess
an
d g
row
th o
f th
e C
om
pa
ny
to
pu
t it
in t
he
be
st p
osi
tio
n t
o t
ake
ad
van
tag
e o
f a
ll ap
pro
pri
ate
op
po
rtu
nit
ies.
Th
e w
ork
of
the
Bo
ard
is a
ssis
ted
by
th
e A
ud
it C
om
mit
tee
, NA
V
Re
vie
w C
om
mit
tee
, Ma
nag
em
en
t E
ng
age
me
nt
Co
mm
itte
e, t
he
Re
mu
ne
rati
on
an
d N
om
inat
ion
Co
mm
itte
e, t
he
Ris
k C
om
mit
tee
an
d t
he
In
sid
e In
form
atio
n C
om
mit
tee
. Th
e jo
int
wo
rk o
f th
e R
isk
an
d A
ud
it c
om
mit
tee
s h
as
giv
en
va
luab
le s
up
po
rt t
o t
he
lon
ge
r-
term
via
bili
ty c
on
sid
era
tio
ns
of
the
Bo
ard
as
de
scri
be
d u
nd
er
the
Via
bili
ty S
tate
me
nt
in R
isk
Ov
erv
iew
.
Th
e C
om
pa
ny
is a
me
mb
er
of
the
AIC
an
d a
dh
ere
s to
th
e A
IC
Co
de
wh
ich
is e
nd
ors
ed
by
th
e F
RC
, an
d m
ee
ts t
he
Co
mp
an
y�s
ob
ligat
ion
s in
re
lati
on
to
th
e U
K C
od
e.
Sh
are
ho
lde
r C
om
mu
nic
ati
on
s
Du
rin
g 2
02
0, u
sin
g o
ur
Po
rtfo
lio A
dv
ise
r an
d B
roke
rs, w
e c
on
tin
ue
d
ou
r p
rog
ram
me
of
en
ga
ge
me
nt
wit
h c
urr
en
t a
nd
pro
spe
cti
ve
Sh
are
ho
lde
rs. W
e s
ince
rely
ho
pe
th
at y
ou
fo
un
d t
he
mo
nth
ly
fact
she
ets
, qu
art
erl
y le
tte
rs, q
ua
rte
rly
up
dat
e w
eb
cast
s a
nd
ma
rke
t co
mm
en
tary
va
lua
ble
. We
are
alw
ay
s p
lea
sed
to
hav
e
con
tac
t w
ith
Sh
are
ho
lde
rs, a
nd
we
we
lco
me
an
y o
pp
ort
un
ity
to
me
et
wit
h y
ou
an
d o
bta
in y
ou
r fe
ed
ba
ck.
Pro
spe
cts
an
d O
pp
ort
un
itie
s in
20
21
Sa
les
of
Cl
o p
osi
tio
ns
Th
e C
om
pa
ny
so
ld p
art
of
the
ir e
qu
ity
po
siti
on
in o
ne
CL
O in
Fe
bru
ary
20
21
an
d c
om
ple
tely
so
ld t
he
ir e
qu
ity
po
siti
on
s in
tw
o
CL
Os
in M
arch
20
21.
All
thre
e s
ale
s w
ere
at
lev
els
acc
reti
ve
to
th
e
Pu
blis
he
d N
AV
an
d f
avo
ura
ble
to
ma
rk-t
o-m
ark
et
val
uat
ion
s.
As
of
28
Ap
ril 2
02
1, t
he
late
st P
ub
lish
ed
NA
V w
as €
0.8
49
4
pe
rsh
are
.
Th
e B
oar
d�s
ou
tlo
ok
fo
r 2
02
1 is
op
tim
isti
c b
ut
rem
ain
s u
nce
rtai
n a
s
it is
pre
dic
ate
d o
n t
he
su
cce
ssfu
l ro
llou
t o
f C
OV
ID-1
9 in
ocu
lati
on
s
an
d a
re
du
cti
on
in t
he
vir
us
infe
cti
on
rat
e. H
ow
ev
er,
we
be
liev
e
ast
ron
g r
eb
ou
nd
will
like
ly o
ccu
r d
uri
ng
th
e s
eco
nd
hal
f o
f 2
02
1
du
e t
o a
dd
itio
nal
sti
mu
lus,
pe
nt-
up
co
nsu
me
r d
em
an
d, a
nd
th
e
con
tin
ue
d r
oll-
ou
t o
f v
acc
inat
ion
s. W
ith
th
is u
nce
rtai
n t
raje
cto
ry o
f
the
ma
rke
ts a
nd
glo
ba
l eco
no
my
in 2
02
1, t
he
Bo
ard
ga
ins
com
fort
fro
m t
he
ro
bu
st in
ve
stm
en
t a
pp
roa
ch o
f th
e C
om
pa
ny
�s P
ort
folio
Ad
vis
er
tha
t se
lec
ts a
n u
nd
erl
yin
g p
ort
folio
of
hig
h-q
ua
lity
com
pan
ies
sup
po
rte
d b
y r
ob
ust
un
de
rly
ing
pro
tect
ion
s.
Th
e B
oar
d w
ish
es
to e
xpre
ss it
s th
an
ks
for
the
su
pp
ort
of
the
Co
mp
an
y�s
Sh
are
ho
lde
rs.
Ch
arl
ott
e V
ale
ur
Ch
air
29
Ap
ril 2
02
1
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D10
ST
RA
Te
gIC
Re
Po
RT
: C
hA
IR'S
ST
AT
em
eN
TS
TR
AT
eg
IC R
eP
oR
T:
Po
RT
Fo
lIo
Ad
VIS
eR
’S R
eV
Iew
11
Th
rou
gh
ou
t 2
02
0, B
CF
pu
rch
ase
d €
5.6
bill
ion
of
asse
ts (
€2
.2 b
illio
n
ne
t o
f sa
les)
. Ad
dit
ion
ally
, BC
F g
rew
its
CL
O p
ort
folio
, th
rou
gh
inv
est
me
nts
in f
ou
r E
uro
pe
an
CL
Os,
an
d f
ou
r U
S C
LO
s, t
og
eth
er
rep
rese
nti
ng
€2
.9 b
illio
n o
f lo
an a
sse
ts. B
CF
als
o in
ve
ste
d
$3
2.1
mill
ion
in a
US
CL
O w
are
ho
use
, a p
ort
ion
of
wh
ich
was
te
rme
d
ou
t in
to a
CL
O d
uri
ng
th
e y
ear
. Th
ese
ne
w C
LO
s fu
rth
er
div
ers
ifie
d
the
po
rtfo
lio a
cro
ss v
inta
ge
s a
nd
wh
ile t
he
ir r
ein
ve
stm
en
t p
eri
od
s
we
re z
ero
to
th
ree
ye
ars
an
d s
ho
rte
r th
an
th
e f
ou
r-to
-fiv
e-y
ea
r
rein
ve
stm
en
t p
eri
od
s o
f p
rio
r y
ear
s, t
he
ad
dit
ion
of
ne
w C
LO
s to
the
po
rtfo
lio h
elp
ed
to
off
set
the
eff
ec
t o
f th
e p
ass
age
of
tim
e
wit
hin
th
e e
xis
tin
g C
LO
po
rtfo
lio. O
ve
rall,
th
e p
ro-f
orm
a y
ea
r e
nd
po
rtfo
lio r
ein
ve
stm
en
t p
eri
od
wa
s 1.
9 y
ea
rs v
ers
us
2.6
ye
ars
in
Jan
ua
ry 2
02
0.
CL
Os
con
tin
ue
d t
o g
en
era
te p
osi
tiv
e c
ash
flo
w in
BC
F d
uri
ng
20
20
alb
eit
ne
t in
com
e d
ecl
ine
d y
ea
r-o
ve
r-y
ea
r d
ue
in p
art
to a
se
con
d
qu
art
er
LIB
OR
mis
mat
ch e
xp
eri
en
ced
in t
he
US
CL
Os
wh
ich
wa
s
sub
seq
ue
ntl
y c
orr
ect
ed
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
Eq
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
s
Eu
rop
ean
CLO
fu
nd
ame
nta
ls a
lso
de
teri
ora
ted
in 2
02
0. O
C c
ush
ion
s
de
cre
ase
d f
rom
43
0b
p t
o 3
48
bp
, WA
RF
incr
ea
sed
fro
m 2
96
4 t
o
32
61
an
d C
CC
bu
cke
ts in
cre
ase
d f
rom
1.9
% in
20
19 t
o 6
.4%
. WA
P
reco
ve
red
we
ll to
97.
9%
, alt
ho
ug
h r
em
ain
ed
be
low
th
e 2
019
lev
el
of
98
.8%
, wh
ile W
AS
de
cre
ase
d b
y 2
bp
to
37
7b
p. F
un
da
me
nta
l
CL
O d
ete
rio
rati
on
in b
oth
th
e U
S a
nd
Eu
rop
e d
uri
ng
20
20
re
sult
ed
in s
om
e C
LO
s in
th
e m
arke
t b
reac
hin
g t
he
ir O
C o
r in
tere
st d
ive
rsio
n
test
s a
nd
imp
ac
tin
g c
ash
flo
ws
to in
ve
sto
rs.
Gro
ss p
rim
ary
CL
O is
sua
nce
fo
reca
sts
are
up
in b
oth
th
e U
S a
nd
Eu
rop
e f
or
20
21
as
a re
sult
of
fav
ou
rab
le e
qu
ity
arb
itra
ge
, an
cho
red
in a
tig
hte
nin
g o
f th
e A
AA
sp
rea
d a
nd
co
nti
nu
ed
imp
rov
em
en
t in
loa
n f
un
dam
en
tals
. US
CL
O is
sua
nce
is f
ore
ca
st t
o g
row
by
9-1
9%
to $
100
-$11
0 b
illio
n. I
n E
uro
pe
, th
e 2
02
1 C
LO
gro
ss is
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
.
Incl
ud
ing
fo
rec
asts
fo
r re
fin
an
cin
g/r
ese
t v
olu
me
s fo
r 2
02
1,
Eu
rop
ea
n C
LO
issu
an
ce c
ou
ld r
ea
ch a
ne
w r
eco
rd o
f b
etw
ee
n
€5
4-€
64
bill
ion
.
Po
rtfo
lio
Up
da
te
bC
FIn
re
cog
nit
ion
of
a cr
ed
it c
ycl
e t
ha
t e
xte
nd
ed
we
ll b
eyo
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
folio
s in
th
e y
ea
rs le
ad
ing
up
to
20
20
. As
such
, th
e B
CF
CL
Os
we
re w
ell
po
siti
on
ed
fo
r th
e u
ne
xp
ec
ted
dis
loca
tio
n r
ela
ted
to t
he
eco
no
mic
sh
utd
ow
ns
du
e t
o C
OV
ID-1
9 a
nd
de
mo
nst
rate
d
gre
ate
r re
silie
nce
re
lati
ve
to
th
e b
roa
de
r u
niv
ers
e o
f C
LO
s b
oth
in
the
US
an
d in
Eu
rop
e(1
9) . B
CF
CLO
s e
xpe
rie
nce
d lo
we
r C
CC
exp
osu
res
an
d f
ew
er
CL
O t
ran
che
do
wn
gra
de
s v
ers
us
pe
ers
in 2
02
0. A
ll 4
5
BC
F C
LO
eq
uit
y p
osi
tio
ns
con
tin
ue
d t
o r
ece
ive
un
inte
rru
pte
d c
ash
flo
ws,
wit
h n
on
e o
f th
e B
CF
CL
Os
ex
pe
rie
nci
ng
a b
rea
ch in
eit
he
r
the
ir m
inim
um
OC
or
inte
rest
div
ers
ion
te
sts
du
rin
g t
he
ye
ar.
Pe
rfo
rma
nce
of
Bla
ckst
on
e m
anag
ed
CL
Os
was
bro
ad
ly r
eco
gn
ise
d
by
th
e m
arke
t in
20
20
(20
) . Bla
ckst
on
e w
as a
ble
to
acc
ess
th
e c
apit
al
ma
rke
ts a
nd
re
op
en
th
e C
LO
ma
rke
t w
ith
th
e f
irst
ne
w C
LO
issu
an
ce a
fte
r th
e m
ark
et
ha
d b
ee
n s
hu
t fo
r se
ve
ral w
ee
ks
in t
he
firs
t q
uar
ter.
Ad
dit
ion
ally
, in
20
20
, as
CL
O d
eb
t in
vest
ors
re
-en
gag
ed
in t
he
CL
O m
ark
et,
th
ey
re
cog
nis
ed
an
d c
om
pe
nsa
ted
BX
Cre
dit
for
sup
eri
or
po
rtfo
lio q
ua
lity
an
d p
erf
orm
an
ce w
ith
low
er
cost
of
CL
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abili
tie
s to
th
e b
en
efi
t o
f B
X C
red
it s
ub
ord
ina
ted
no
te
inv
est
ors
, in
clu
din
g B
CF
an
d B
GL
F.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D12
ST
RA
Te
gIC
Re
Po
RT
: P
oR
TF
ol
Io A
dV
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R’S
Re
VIe
wS
TR
AT
eg
IC R
eP
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T:
Po
RT
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lIo
Ad
VIS
eR
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eV
Iew
13
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sin
g
Dat
e
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l
Siz
e
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siti
on
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ne
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f
Tran
che
% o
f
BC
F N
AV
Re
inve
st
Per
iod
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s)
Cu
rre
nt
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et
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up
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rren
t
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bili
ty
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st
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rre
nt
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t
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rest
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gin
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or
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rou
gh L
ast
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ate
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As
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20
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, th
e p
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folio
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est
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cco
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nce
wit
h B
CF
�s in
vest
me
nt
po
licy
and
was
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cro
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82
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thro
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ld lo
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CL
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rese
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e o
ve
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nd
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.
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y P
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foli
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t W
A
Ass
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up
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A
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s (C
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che
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ate
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he
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216
05,
237
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pec
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mm
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chem
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mer
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thyl
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ves,
po
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hem
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ncl
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ata
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lym
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dd
itiv
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ust
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clu
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alk
ali
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ust
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nd
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lp a
nd
per
form
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ce c
hem
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incl
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ydro
gen
per
oxi
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an
d o
ther
ble
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ch
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d v
ari
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go
215
44
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Med
ia B
road
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and
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bsc
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9
Zig
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ne
of
the
larg
est
cab
le o
per
ato
rs in
th
e N
eth
erla
nd
s. T
he
com
pa
ny
pro
vid
es r
ad
io, t
elev
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nte
rnet
, an
d t
elep
ho
ne
serv
ices
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e co
mp
an
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as
crea
ted
as
are
sult
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mer
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r b
etw
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ltik
ab
el, @
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me
an
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ase
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fee
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C2
152
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ech
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tate
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8
McA
fee,
LLC
is t
he
seco
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larg
est
secu
rity
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ftw
are
ven
do
r g
lob
ally
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er S
yma
nte
c. M
cAfe
e se
rves
bo
th t
he
con
sum
er a
nd
en
terp
rise
sec
uri
ty m
ark
ets,
wit
h a
fo
cus
on
con
sum
er e
nd
po
int
pro
tect
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.
Vir
gin
Me
dia
414
75,
26
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Vir
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mp
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hic
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tel
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e, t
elev
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nd
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rnet
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s in
th
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irg
in M
edia
is a
su
bsi
dia
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f
Lib
erty
Glo
ba
l, a
n in
tern
ati
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al t
elev
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tel
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mm
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ica
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pa
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145
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44
Ban
kin
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and
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Ion
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a g
lob
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ina
nci
al s
oft
wa
re a
nd
ser
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s co
mp
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y th
at
off
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mis
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rad
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infr
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luti
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s to
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nks
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fin
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l in
stit
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s. In
pa
rtic
ula
r, th
e co
mp
an
y p
rovi
des
hig
h p
erfo
rma
nce
tra
din
g s
olu
tio
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for
elec
tro
nic
fix
ed in
com
e m
ark
ets,
incl
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pp
ort
fo
r ca
sh, f
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os,
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ney
ma
rket
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inte
rest
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te s
wa
ps
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it d
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ap
s. T
he
gro
up
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ves
80
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mer
s w
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ide.
Fro
ne
ri4
133
4,7
97
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erag
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oo
d a
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To
bac
coU
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ing
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m9
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Fro
ner
i is
a g
lob
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ce c
rea
m m
an
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ctu
rer
wit
h it
s h
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qu
art
ers
in N
ort
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ork
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lan
d. I
t is
th
e se
con
d la
rges
t ic
e cr
eam
pro
du
cer
by
volu
me
in t
he
wo
rld
, aft
er
Un
ileve
r. Fr
on
eri w
as
crea
ted
in 2
016
as
a jo
int
ven
ture
bet
wee
n N
estl
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nd
PA
I Pa
rtn
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to c
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bin
e th
eir
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crea
m a
ctiv
itie
s.
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IMS
Inco
rpo
rate
d
513
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8H
ealt
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re a
nd
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arm
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uti
cals
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Sta
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99
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9%
3.7
Qu
inti
les
IMS
Inco
rpo
rate
d p
rovi
des
info
rma
tio
n a
nd
tec
hn
olo
gy
serv
ices
to
th
e p
ha
rma
ceu
tica
l an
d h
ealt
hca
re in
du
stri
es. T
he
com
pa
ny
off
ers
serv
ices
su
ch a
s p
rod
uct
an
d p
ort
folio
ma
na
gem
ent
cap
ab
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es, c
om
mer
cia
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ecti
ven
ess
solu
tio
ns,
ma
na
ged
ca
re, a
nd
co
nsu
mer
hea
lth
. Qu
inti
les
IMS
op
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tes
in t
he
Un
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Sta
tes.
TD
C A
/S2
117
2,9
50
Tele
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mu
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ns
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nm
ark
99
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TD
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rou
p is
th
e D
an
ish
tel
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cum
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t o
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ell a
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tert
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t se
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he
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pa
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seg
men
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s a
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3,8
97
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UP
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per
ato
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lan
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t o
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roa
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d, T
V a
nd
mo
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ser
vice
s.
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ro F
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s
Inte
rna
tio
na
l plc
511
23,
92
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igh
Te
ch In
du
stri
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Un
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Sta
tes
99
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Mic
ro F
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s In
tern
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s a
so
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bu
sin
ess
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t sp
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an
ag
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ort
folio
of
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so
ftw
are
ass
ets
an
d p
rovi
des
cu
sto
mer
s w
ith
ap
plic
ati
on
ma
na
gem
ent
solu
tio
ns
to im
pro
ve t
he
effe
ctiv
enes
s a
nd
eff
icie
ncy
of
thei
r co
re IT
sys
tem
s. It
pro
vid
es e
nte
rpri
se a
pp
lica
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olu
tio
ns,
sp
ecif
ica
lly s
oft
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re s
olu
tio
ns
for
ass
essi
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pin
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esti
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na
gin
g a
nd
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ing
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ro F
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ns
off
er c
ost
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ve w
ays
fo
r o
rga
nis
ati
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s to
avo
id r
epla
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thei
r m
issi
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cri
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ith
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isky
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pa
cka
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re im
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110
3,8
59C
apit
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qu
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rman
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Th
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nkr
up
p is
th
e n
um
ber
fo
ur
pla
yer
in t
he
glo
ba
l ma
rket
fo
rel
eva
tor
an
d e
sca
lato
r te
chn
olo
gy.
Th
e co
mp
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y d
esig
ns,
ma
nu
fact
ure
rs, i
nst
alls
, ser
vice
s, a
nd
mo
der
nis
es e
leva
tors
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ala
tors
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d p
latf
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lift
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os
Fin
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lc4
108
4,2
80
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ub
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8
Ineo
s, t
hro
ug
h it
s su
bsi
dia
ries
, ma
nu
fact
ure
s sp
ecia
lty
an
d in
term
edia
te c
hem
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ls s
uch
as
eth
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xid
e, a
ceta
te e
ster
s, g
lyco
l, a
nd
sp
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lty
po
lym
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s se
rves
cust
om
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wo
rld
wid
e.
To
p 1
0 I
nd
ust
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Ind
ust
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% o
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31
De
cem
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20
20
Hea
lth
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rvic
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h T
ech
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%
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kin
g, F
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l Est
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8.7
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and
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bsc
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tels
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isu
re6
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%
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last
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and
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bb
er6
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nst
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an
d B
uild
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5.2
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mu
nic
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ns
4.5
5%
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rvic
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Co
nsu
me
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72%
Ind
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% o
f Po
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31
Dec
emb
er
20
19
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alth
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vice
s B
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h T
ech
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uild
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4.9
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dia
Bro
adca
stin
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nd
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bsc
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%
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vice
s C
on
sum
er3.
92
%
To
p 5
Co
un
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s
% o
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rtfo
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31
De
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20
20
31
De
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20
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52
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54
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63
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Net
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op
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s a
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. Ge
rma
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t 3
1 D
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To
p 2
0 I
ssu
ers
#
Faci
litie
s
Po
rtfo
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Par
(€M
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l Par
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Mat
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ty
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Pay
safe
42
162
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anki
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sura
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stat
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4%
4.3
Pa
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fe is
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s to
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sin
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s a
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co
nsu
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per
ati
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acr
oss
th
ree
seg
men
ts i)
pa
ymen
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roce
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rep
aid
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luti
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gro
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rack
rec
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cqu
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Re
fin
itiv
217
67,
62
0S
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s B
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Ref
init
iv is
a le
ad
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pla
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in t
he
fin
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cia
l da
ta a
nd
tec
hn
olo
gy
ma
rket
s w
ith
str
on
g p
osi
tio
ns
in d
ata
fee
ds,
des
kto
p, c
om
plia
nce
an
d r
isk
serv
ices
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d t
rad
ing
vo
lum
es.
It p
rovi
des
cri
tica
l new
s, in
form
ati
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d a
na
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cs, e
na
blin
g t
ran
sact
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s a
nd
co
nn
ecti
ng
co
mm
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itie
s o
f tr
ad
ing
, in
vest
men
t, f
ina
nci
al a
nd
co
rpo
rate
pro
fess
ion
als
. It
als
o p
rovi
des
lea
din
g r
egu
lato
ry a
nd
op
era
tio
na
l ris
k m
an
ag
emen
t so
luti
on
s.
Eu
ro G
ara
ge
s5
170
4,8
29
Re
tail
(Glo
bal
Pe
tro
l Sta
tio
ns)
Un
ited
Kin
gd
om
98
.64
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%4
.15%
4.1
Eu
ro G
ara
ges
is t
he
lea
din
g g
lob
al i
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nve
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nce
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ail
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uel
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tio
n o
per
ato
r w
ith
a f
uel
, co
nve
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ail
an
d F
oo
d-t
o-G
o o
ffer
ing
wit
h p
art
ner
ship
s
wit
h le
ad
ing
bra
nd
s su
ch a
s E
sso
, BP,
Sh
ell,
Du
nki
n D
on
uts
an
d P
izza
Hu
t a
mo
ng
oth
ers.
Sie
me
ns
Au
dio
216
92
,911
Hea
lth
care
an
d P
har
mac
euti
cals
De
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ark
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96
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2
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Au
dio
log
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iem
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s cr
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ollo
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g t
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ple
tio
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f th
e m
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er b
etw
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d W
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. Th
e co
mb
ined
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mp
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y o
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ate
s in
12
5 m
ark
ets
an
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ho
lds
the
thir
d p
osi
tio
n in
th
e h
eari
ng
aid
ma
rket
glo
ba
lly.
Nu
me
rica
ble
416
24
,88
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edia
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ub
scri
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on
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ce9
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%3.
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Nu
mer
ica
ble
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ne
of
the
larg
est
tele
com
mu
nic
ati
on
s o
per
ato
rs in
Fra
nce
by
reve
nu
es a
nd
nu
mb
er o
f su
bsc
rib
ers,
wit
h m
ajo
r p
osi
tio
ns
in r
esid
enti
al f
ixed
, res
iden
tia
l
mo
bile
, B2
B, w
ho
lesa
le a
nd
med
ia.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D16
ST
RA
Te
gIC
Re
Po
RT
: P
oR
TF
ol
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dV
ISe
R’S
Re
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TR
AT
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IC R
eP
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T:
Po
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lIo
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VIS
eR
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eV
Iew
17
ob
ject
ive
sB
lack
sto
ne
�s r
esp
on
sib
le in
ve
stin
g o
bje
cti
ve
s a
re o
utl
ine
d b
elo
w:
Inte
gra
tio
n
Co
nsi
de
r e
nv
iro
nm
en
tal,
soci
al, a
nd
go
ve
rna
nce
issu
es
wh
en
ev
alu
atin
g in
ve
stm
en
t o
pp
ort
un
itie
s a
nd
wh
en
ma
na
gin
g/
mo
nit
ori
ng
po
rtfo
lios
and
ass
ets
. Pu
rsu
e h
igh
-qu
alit
y s
ou
rce
s o
f
ES
G d
ata
an
d in
telli
ge
nce
; wh
ere
ap
pro
pri
ate
, in
teg
rate
th
at d
ata
into
ou
r re
sea
rch
pro
cess
an
d a
lso
use
th
at
da
ta t
o e
nh
an
ce o
ur
un
de
rsta
nd
ing
of
ma
rke
ts a
nd
co
nsu
me
r tr
en
ds.
Ac
tiv
ely
use
ES
G
con
sid
era
tio
ns
to t
ran
sfo
rm o
ur
po
rtfo
lio c
om
pa
nie
s in
way
s th
at
bo
th m
an
age
ris
k a
nd
are
val
ue
acc
reti
ve
fo
r o
ur
inv
est
me
nt
po
rtfo
lios.
In a
dd
itio
n, i
nte
gra
te E
SG
co
nsi
de
rati
on
s in
to o
ur
bu
sin
ess
pra
cti
ces
ou
tsid
e o
f th
e in
ve
stm
en
t p
roce
ss.
En
gag
em
en
t
Wo
rk t
og
eth
er
wit
h o
ur
po
rtfo
lio e
nti
tie
s, m
an
age
rs, t
ran
sac
tio
n
pa
rtn
ers
, pe
ers
, an
d o
the
r p
art
ne
rs t
o a
dv
an
ce p
rin
cip
les
of
resp
on
sib
le in
ve
stm
en
t a
nd
co
rpo
rate
so
cial
re
spo
nsi
bili
ty. S
har
e
ou
r E
SG
ph
iloso
ph
y b
roa
dly
an
d u
se o
ur
lea
de
rsh
ip p
osi
tio
n t
o
infl
ue
nce
oth
ers
an
d a
dv
an
ce t
he
dia
log
ue
of
the
imp
ort
an
ce o
f
ES
G in
teg
rati
on
in f
ina
nce
an
d f
or
corp
ora
te a
cto
rs g
en
era
lly.
Re
po
rtin
g
Be
tra
nsp
are
nt
wit
h o
ur
inv
est
ors
an
d o
the
r st
ake
ho
lde
rs a
bo
ut
Bla
ckst
on
e�s
re
spo
nsi
ble
inv
est
ing
init
iati
ve
s, s
ucc
ess
es,
an
d g
oa
ls.
Ap
pro
ach
an
d R
esp
on
sib
ilit
ies
Acr
oss
all
of
Bla
ckst
on
e�s
bu
sin
ess
es,
ES
G is
co
re t
o w
hat
we
do
.Ou
r a
pp
roa
ch in
clu
de
s a
n e
va
luat
ion
of
ES
G c
on
sid
era
tio
ns
(pre
- a
nd
po
st-i
nv
est
me
nt
de
cisi
on
ma
kin
g)
as a
sta
nd
ard
pa
rt o
f
the
inv
est
me
nt
and
th
e a
sse
t/p
ort
folio
ma
na
ge
me
nt
pro
cess
es.
Pri
mar
y r
esp
on
sib
ility
lie
s w
ith
ou
r in
ve
stm
en
t te
am
s b
ec
au
se
the
se c
on
sid
era
tio
ns
sup
po
rt in
ve
stm
en
t d
eci
sio
ns.
To
ge
the
r
wit
h P
ort
folio
Op
era
tio
ns
and
ou
r a
sse
t m
an
ag
em
en
t te
ams,
th
e
inv
est
me
nt
team
s a
re a
lso
ex
pe
cte
d t
o c
on
tin
ue
to
ke
ep
th
ese
issu
es
fro
nt
of
min
d t
hro
ug
h t
he
life
of
the
inv
est
me
nt.
BX
Cre
dit
�s C
hie
f S
ust
ain
ab
ility
Off
ice
r su
pp
ort
s th
e in
ve
stm
en
t
an
d a
sse
t m
an
age
me
nt
tea
ms
by
dri
vin
g in
itia
tiv
es
that
are
aim
ed
at im
pro
vin
g o
pe
rati
on
al a
nd
en
vir
on
me
nta
l pe
rfo
rma
nce
acr
oss
the
po
rtfo
lio. O
the
r fu
nct
ion
al e
xp
ert
s w
ith
in P
ort
folio
Op
era
tio
ns
(in
clu
din
g T
ale
nt
Ma
nag
em
en
t, P
rocu
rem
en
t a
nd
He
alt
hc
are
Co
st
Co
nta
inm
en
t) a
re e
xp
ec
ted
to
co
nsi
de
r E
SG
insi
gh
ts in
de
live
rin
g
op
era
tin
g in
terv
en
tio
n c
ap
ab
iliti
es
acr
oss
th
e p
ort
folio
.
Th
e E
SG
te
am
co
ord
inat
es
ES
G in
itia
tiv
es
acro
ss t
he
fir
m t
o e
nsu
re
con
sist
en
cy
in a
pp
roa
ch a
nd
, wit
h t
he
ass
ista
nce
of
the
Le
gal
&
Co
mp
lian
ce d
ep
artm
en
t, c
om
plia
nce
wit
h t
his
po
licy.
Th
e E
SG
te
am
is a
lso
re
spo
nsi
ble
fo
r e
sta
blis
hin
g a
nd
/or
rev
isin
g t
his
Po
licy
in
con
sult
atio
n w
ith
BX
Cre
dit
�s E
SG
Ste
eri
ng
Co
mm
itte
e w
hic
h is
com
pri
sed
of
pro
fess
ion
als
fro
m a
cro
ss t
he
fir
m�s
bu
sin
ess
un
its
an
d f
un
cti
on
al g
rou
ps,
inv
est
or
rep
ort
ing
, an
d a
lso
fo
r re
po
rtin
g
on
ES
G in
teg
rati
on
acr
oss
BX
Cre
dit
to
Bla
ckst
on
e�s
Pre
sid
en
t a
nd
Ch
ief
Op
era
tin
g O
ffic
er.
eS
g S
tru
ctu
re
#
Faci
litie
s
Po
rtfo
lio
Par
(€M
)
Tota
l Par
Ou
tsta
nd
ing
(€M
) M
oo
dy�
s In
du
stry
Co
un
try
WA
Pri
ce
WA
Sp
read
WA
Co
up
on
(A
ll-In
Rat
e)
WA
Mat
uri
ty
(Yea
rs)
Ne
ts –
Ev
erg
oo
d3
106
2,5
02
Ban
kin
g, F
inan
ce, I
nsu
ran
ce a
nd
Rea
l Est
ate
De
nm
ark
100
.03.
38
%3
.42
%4
.1
Ba
sed
in D
enm
ark
, Net
s is
th
e n
um
ber
on
e o
per
ato
r in
th
e N
ord
ic r
egio
n a
nd
nu
mb
er t
wo
in t
he
Eu
rop
ean
pa
ymen
ts s
pa
ce (
beh
ind
Wo
rld
pa
y). T
he
bu
sin
ess
is
vert
ica
llyin
teg
rate
d a
cro
ss t
he
ca
rd a
nd
acc
ou
nt-
ba
sed
pa
ymen
ts v
alu
e ch
ain
, op
era
tin
g a
cro
ss 3
seg
men
ts; M
erch
an
t A
cqu
irin
g; F
ina
nci
al a
nd
Net
wo
rk S
ervi
ces
an
dC
orp
ora
te S
ervi
ces.
Tip
ico
210
31,4
37H
ote
ls, G
amin
g an
d L
eis
ure
Lu
xem
bo
urg
99
.73
.54
%3.
54
%1.9
Tip
ico
is t
he
ma
rket
lea
der
in G
erm
an r
eta
il a
nd
on
line
spo
rtsb
etti
ng
. It
op
era
tes
its
reta
il ch
an
nel
th
rou
gh
its
1250
ou
tlet
s. T
he
com
pa
ny
is p
rim
ari
ly a
ctiv
e in
sp
ort
sbet
tin
g.
Xe
lla In
tern
atio
nal
S.A
210
11,6
73
Co
nst
ruct
ion
an
d B
uild
ing
Lu
xem
bo
urg
99
.63.
95%
3.9
5%5.
3
Xel
la In
tern
ati
on
al i
s a
lea
din
g E
uro
pea
n p
rod
uce
r o
f w
all
bu
ildin
g m
ate
ria
ls a
nd
insu
lati
on
pro
du
cts.
Th
e co
mp
an
y o
per
ates
95
pla
nts
acr
oss
17
cou
ntr
ies
an
d k
ey c
ou
ntr
ies
of
op
era
tio
n in
clu
de
Ger
ma
ny,
Fra
nce
, Po
lan
d a
nd
th
e N
eth
erla
nd
s.
Dir
ec
tly
He
ld C
LO
s
Th
e m
ajo
rity
of
the
ou
tsta
nd
ing
po
siti
on
s o
f R
ollo
ve
r A
sse
ts w
ere
sold
wit
hin
th
e f
irst
qu
art
er
of
20
20
. As
of
31
De
cem
be
r 2
02
0, t
he
ma
rke
t v
alu
e o
f R
ollo
ve
r A
sse
ts t
ota
lled
€5
49
,43
7 o
r 0
.13
% o
fN
AV
.
Re
gu
lato
ry U
pd
ate
In E
uro
pe
, th
e E
uro
pe
an
Re
gu
lati
on
on
su
stai
na
bili
ty-r
ela
ted
dis
clo
sure
s in
th
e f
ina
nci
al s
erv
ice
s se
cto
r (�
SF
DR
�) w
as
pu
blis
he
d
on
27
No
ve
mb
er
20
19. W
ith
an
eff
ec
tiv
e d
ate
of
10 M
arc
h 2
02
1,
SF
DR
re
qu
ire
s ce
rta
in f
irm
s, in
clu
din
g p
riv
ate
ban
ks,
we
alth
ma
na
ge
rs a
nd
ad
vis
ers
to
co
mp
ly w
ith
ne
w r
ule
s o
n d
iscl
osu
re
as
reg
ard
s su
sta
ina
ble
inv
est
me
nts
an
d s
ust
ain
ab
ility
ris
ks.
Ass
et
ma
na
ge
rs, i
ncl
ud
ing
Bla
ckst
on
e C
red
it (
�BX
Cre
dit
�) (
form
erl
y
GS
OC
ap
ital
Pa
rtn
ers
LP
), h
ave
be
en
wo
rkin
g t
o im
ple
me
nt
pro
ced
ure
s w
hic
h w
ill a
llow
us
to c
om
ply
wit
h t
he
SF
DR
wh
en
th
e
reg
ula
tory
re
po
rtin
g r
eq
uir
em
en
ts c
om
e in
to e
ffe
ct in
Jan
uar
y 2
02
2.
BX
Cre
dit
co
nti
nu
es
to m
on
ito
r re
gu
lato
ry d
ev
elo
pm
en
ts w
ith
reg
ard
s to
SF
DR
, in
clu
din
g t
he
pu
blic
atio
n o
f a
dd
itio
nal
Re
gu
lato
ry
Te
chn
ica
l Sta
nd
ard
s.
In c
on
ne
ctio
n w
ith
th
e S
ecu
riti
sati
on
Re
gu
lati
on
, wid
ely
an
tici
pat
ed
seco
nd
ary
leg
isla
tio
n s
ett
ing
ou
t th
e p
resc
rib
ed
fo
rm o
f re
po
rtin
g
tem
pla
tes
wa
s p
ub
lish
ed
on
3 S
ep
tem
be
r 2
02
0 a
nd
use
of
the
se
rep
ort
ing
te
mp
late
s b
ec
ame
man
da
tory
to
inv
est
ors
fro
m
23
Se
pte
mb
er
20
20
. BX
Cre
dit
was
we
ll p
osi
tio
ne
d t
o t
ran
siti
on
to
the
use
of
the
se f
orm
al r
ep
ort
ing
te
mp
late
s, a
nd
th
ese
re
po
rtin
g
tem
pla
tes
are
use
d in
re
spe
ct
of
all
in-s
cop
e C
LO
s.
Ris
k M
an
ag
em
en
t
Giv
en
th
e n
atu
ral a
sym
me
try
of
fixe
d in
com
e, o
ur
exp
eri
en
ced
cre
dit
team
fo
cuse
s o
n t
run
cat
ing
do
wn
sid
e r
isk
an
d a
vo
idin
g p
rin
cip
al
imp
air
me
nt
an
d b
elie
ve
s th
at t
he
be
st w
ay
to
co
ntr
ol a
nd
mit
iga
te
risk
is b
y r
em
ain
ing
dis
cip
line
d in
all
ma
rke
t c
ycl
es
an
d b
y m
akin
g
car
efu
l cre
dit
de
cisi
on
s w
hile
ma
inta
inin
g a
de
qu
ate
div
ers
ific
atio
n.
BC
F�s
po
rtfo
lio is
ma
nag
ed
to
min
imis
e d
efa
ult
ris
k an
d c
red
it
rela
ted
loss
es,
wh
ich
is a
chie
ve
d t
hro
ug
h in
-de
pth
fu
nd
am
en
tal
cre
dit
an
aly
sis
and
div
ers
ifie
d p
ort
folio
s in
ord
er
to a
vo
id t
he
ris
k o
f
any
on
e is
sue
r o
r in
du
stry
ad
vers
ely
imp
acti
ng
ov
era
ll p
erf
orm
ance
.
As
ou
tlin
ed
in t
he
Po
rtfo
lio U
pd
ate
se
ctio
n, B
CF
is b
road
ly d
ive
rsif
ied
acr
oss
issu
ers
, in
du
stri
es,
an
d c
ou
ntr
ies.
BC
F�s
ba
se c
urr
en
cy
is d
en
om
inat
ed
in E
uro
, th
ou
gh
inv
est
me
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
.
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
s w
ho
lly-o
wn
ed
su
bsi
dia
ry)
rem
ain
s b
roa
dly
div
ide
d b
etw
ee
n E
uro
pe
an
CL
Os
an
d U
S C
LO
s.
Th
e C
om
pa
ny
inco
rpo
rate
s E
SG
fa
cto
rs a
s p
art
of
its
inv
est
me
nt
stra
teg
y. R
efe
r to
pa
ge
46
fo
r fu
rth
er
de
tails
.
Th
e C
om
pa
ny
op
era
tes
wit
h E
uro
as
its
fun
cti
on
al c
urr
en
cy.
Th
eR
ollo
ve
r A
sse
ts a
nd
a s
ign
ific
an
t p
rop
ort
ion
of
the
po
rtfo
lio
of
ass
ets
he
ld b
y U
nd
erl
yin
g C
om
pa
nie
s to
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
ina
ted
in
curr
en
cie
s o
the
r th
an
Eu
ro. I
n a
cco
rda
nce
wit
h t
he
Co
mp
an
y�s
inv
est
me
nt
po
licy,
up
to
10
0 p
er
cen
t. (
as
app
rop
riat
e)
of
the
Co
mp
an
y�s
ex
po
sure
to
su
ch n
on
-Eu
ro a
sse
ts is
he
dg
ed
, su
bje
ct
to s
uit
able
he
dg
ing
co
ntr
ac
ts b
ein
g a
va
ilab
le a
t a
pp
rop
riat
e t
ime
s
an
d o
n a
cce
pta
ble
te
rms.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D24
ST
RA
Te
gIC
Re
Po
RT
: S
TR
AT
eg
ICo
Ve
RV
Iew
ST
RA
Te
gIC
Re
Po
RT
: S
eC
TIo
N 1
72
(1)
ST
AT
em
eN
T
25
ou
tco
me
Sh
are
ho
lde
rs r
ece
ive
re
lev
an
t in
form
ati
on
allo
win
g t
he
m t
o m
ake
info
rme
d d
eci
sio
ns
ab
ou
t th
eir
sh
are
ho
ldin
g(s
), a
nd
to
en
gag
e w
ith
the
Co
mp
any
an
d it
s a
dv
ise
rs o
n a
ny
ma
tte
rs t
he
y c
on
sid
er
rele
van
t.
Du
rin
g t
he
ye
ar, a
cti
on
s ta
ken
by
th
e B
oa
rd f
ollo
win
g o
n f
rom
sh
are
ho
lde
r d
iscu
ssio
ns
incl
ud
e:
en
ha
nce
d E
SG
an
d r
esp
on
sib
le in
ve
stm
en
t d
iscl
osu
re in
th
is A
nn
ua
l Re
po
rt;
the
ince
pti
on
of
qu
art
erl
y in
ve
sto
r c
alls
;
bu
yb
ack
s an
d t
he
sh
are
re
pu
rch
ase
pro
gra
mm
e u
nd
ert
ake
n, p
lea
se r
efe
r to
th
e C
hai
r�s
Sta
tem
en
t o
n p
ag
e 9
an
d t
he
sh
are
re
pu
rch
ase
pro
gra
mm
e c
ov
era
ge
on
pag
e 3
1;
Th
e B
oa
rd, B
roke
rs a
nd
Po
rtfo
lio A
dv
ise
r d
iscu
ss li
qu
idit
y a
nd
dis
cou
nt
man
ag
em
en
t o
n b
oth
an
on
go
ing
an
d f
req
ue
nt
ba
sis;
an
d
En
han
cem
en
t o
f p
ort
folio
info
rma
tio
n c
ov
ere
d o
n t
he
qu
art
erl
y in
ve
sto
r ca
ll; a
nd
Th
e a
nn
ou
nce
me
nt
of
the
fo
reig
n e
xch
ang
e r
ate
ap
plie
d f
or
sha
reh
old
ers
wh
o h
ave
ele
cte
d t
o r
ece
ive
th
eir
div
ide
nd
in S
terl
ing
.
Th
ere
was
no
imp
ac
t o
n t
he
Dir
ec
tors
� re
mu
ne
rati
on
as
a r
esu
lt o
f th
e a
bo
ve
dis
cuss
ion
s.
All
Dir
ect
ors
are
ke
pt
info
rme
d o
f sh
are
ho
lde
r e
ng
ag
em
en
t, a
s n
ece
ssa
ry, s
o t
hat
th
ey
are
aw
are
of
an
d u
nd
ers
tan
d t
he
vie
ws
com
mu
nic
ate
d. A
ny
pe
rtin
en
t m
atte
rs a
re f
ollo
we
d u
p o
n b
y t
he
Bo
ard
an
d s
ha
reh
old
er
vie
ws
are
co
nsi
de
red
as
pa
rt o
f th
e D
ire
cto
rs�
de
cisi
on
-mak
ing
pro
cess
es.
Se
rvic
e P
rov
ide
rs
wh
y w
e e
ng
ag
eh
ow
we
en
ga
ge
As
an
in
ve
stm
en
t c
om
pa
ny
wit
h
no
em
plo
ye
es,
th
e C
om
pa
ny
is
reli
an
t o
n i
ts s
erv
ice
pro
vid
ers
to
co
nd
uc
t it
s b
usi
ne
ss.
Th
e B
oa
rd
co
nsi
de
rs t
he
Po
rtfo
lio
Ad
vis
er,
the
Ad
min
istr
ato
r a
nd
th
e
Re
gis
tra
r to
be
cri
tic
al
to t
he
Co
mp
an
y’s
da
y-t
o-d
ay
op
era
tio
ns.
Th
e B
oa
rd v
iew
s th
e C
om
pa
ny
’s
oth
er
serv
ice
pro
vid
ers
, su
ch
as
bro
ke
rs,
au
dit
ors
an
d l
aw
ye
rs a
s
be
ing
hig
hly
im
po
rta
nt
in
en
ab
lin
g t
he
Co
mp
an
y t
o m
ee
t it
s
reg
ula
tory
an
d l
eg
al
req
uir
em
en
ts a
s n
ec
ess
ary
.
Th
e B
oa
rd e
ng
age
s w
ith
its
Po
rtfo
lio A
dv
ise
r o
n a
n o
n-g
oin
g b
asi
s th
rou
gh
:
a)R
eg
ula
r co
mm
un
icat
ion
wit
h r
ep
rese
nta
tiv
es
as
req
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
pa
ny
an
d t
he
sco
pe
of
the
Jo
int
Bro
kers
� ma
rke
t
cov
era
ge
, wit
h t
he
inte
nti
on
of
imp
rov
ing
th
e li
qu
idit
y o
f th
e
Co
mp
an
y�s
sh
are
s.
Th
e B
oar
d v
iew
s th
e a
pp
oin
tme
nt
of
Win
terf
loo
d a
s co
mp
lime
nta
ry
to t
he
Co
mp
an
y�s
ex
isti
ng
en
gag
em
en
t w
ith
N+
1 S
ing
er,
an
d
de
em
s th
is t
o b
e in
th
e b
est
inte
rest
s o
f st
ake
ho
lde
rs f
or
the
incr
ea
se in
kn
ow
led
ge
an
d c
on
tac
ts a
va
ilab
le t
o t
he
Co
mp
an
y.
un
de
rly
ing
Co
mp
an
y
wh
y w
e e
ng
ag
eh
ow
we
en
ga
ge
Th
e B
oa
rd’s
pu
rpo
se a
nd
str
ate
gy
is
imp
lem
en
ted
th
rou
gh
inv
est
me
nt
in t
he
Un
de
rly
ing
Co
mp
an
y, B
CF.
Un
de
rsta
nd
ing
th
e c
ap
ita
l
req
uir
em
en
ts,
spe
cif
ica
lly
th
e
tim
ing
an
d q
ua
ntu
m,
of
the
Un
de
rly
ing
Co
mp
an
y is
imp
ort
an
t
to t
he
Bo
ard
to
en
sure
th
e C
om
pa
ny
ca
n p
rov
ide
ca
pit
al a
s re
qu
ire
d
an
d s
o t
ha
t re
de
mp
tio
ns
of
Ca
sh
Se
ttle
me
nt
Wa
rra
nts
are
ap
pro
pri
ate
ly f
ac
tore
d in
so
as
to
no
t a
dv
ers
ely
imp
act
th
e o
pe
rati
on
s
of
the
Un
de
rly
ing
Co
mp
an
y.
Ad
dit
ion
all
y, u
nd
ers
tan
din
g t
he
pe
rfo
rma
nce
of
the
Un
de
rly
ing
Co
mp
an
y is
vit
al t
o e
nsu
rin
g t
he
Co
mp
an
y c
an
de
liv
er
on
its
inv
est
me
nt
ob
jec
tiv
e o
f in
com
e
an
d c
ap
ita
l ap
pre
cia
tio
n.
Th
e B
oa
rd e
ng
age
s w
ith
th
e P
ort
folio
Ad
vis
er
an
d t
he
bo
ard
of
dir
ec
tors
of
the
Un
de
rly
ing
Co
mp
an
y t
o u
nd
ers
tan
d t
he
ir c
apit
al r
eq
uir
em
en
ts a
nd
pe
rfo
rman
ce. I
t d
oe
s so
th
rou
gh
th
e
me
tho
ds
de
scri
be
d a
bo
ve
.
Th
e B
oa
rd a
lso
ha
d a
vir
tua
l me
eti
ng
wit
h t
he
bo
ard
of
BC
F d
uri
ng
20
20
.
ou
tco
me
Th
e B
oar
d k
ee
ps
ab
rea
st o
f c
ap
ita
l re
qu
ire
me
nts
an
d t
he
pe
rfo
rma
nce
of
the
Un
de
rly
ing
Co
mp
an
y. In
do
ing
so
th
e B
oar
d a
ims
to
un
de
rsta
nd
th
e U
nd
erl
yin
g C
om
pan
y�s
pa
st p
erf
orm
ance
an
d c
on
trib
uti
ng
fa
cto
rs t
o t
his
, to
ge
the
r w
ith
th
eir
pro
spe
cti
ve
ou
tlo
ok
. Fro
m
this
pro
cess
th
e B
oar
d lo
ok
s to
he
lp e
nsu
re e
ffe
cti
ve
ne
ss o
f th
e P
ort
folio
Ad
vis
er
and
so
pro
mo
te t
he
lon
g-t
erm
su
cce
ss o
f th
e C
om
pan
y.
wid
er
So
cie
ty
wh
y w
e e
ng
ag
eh
ow
we
en
ga
ge
As
a r
esp
on
sib
le c
orp
ora
te c
itiz
en
the
Co
mp
an
y r
ec
og
nis
es
tha
t it
s
op
era
tio
ns
ha
ve
an
en
vir
on
me
nta
l
foo
tpri
nt
an
d a
n i
mp
ac
t o
n
wid
er
soc
iety
.
Th
e B
oa
rd w
elc
om
es
the
vie
ws
of
sta
keh
old
ers
to
re
ma
in c
urr
en
t in
th
eir
un
de
rsta
nd
ing
of
sta
keh
old
er
vie
ws
rela
tin
g t
o e
nv
iro
nm
en
tal a
nd
so
cia
l mat
ters
.
Th
e B
oa
rd s
ee
ks
to u
ph
old
th
e h
igh
est
sta
nd
ard
s o
f p
rofe
ssio
na
lism
an
d c
orp
ora
te g
ov
ern
an
ce
an
d e
mb
race
s d
ive
rsit
y, in
clu
sio
n a
nd
ES
G. T
he
Bo
ard
ex
pe
cts
th
e s
am
e f
rom
its
serv
ice
pro
vid
ers
, an
d a
sks
its
serv
ice
pro
vid
ers
to
pro
vid
e a
n o
ve
rvie
w o
f th
eir
div
ers
ity
an
d E
SG
po
licie
s o
n a
n a
nn
ua
l ba
sis.
Mr
Cla
rk h
as
take
n r
esp
on
sib
ility
fo
r E
SG
ite
ms
at B
oar
d-l
ev
el.
Du
rin
g 2
02
0 M
r C
lark
liai
sed
wit
h B
X C
red
it t
o b
ett
er
un
de
rsta
nd
th
eir
pro
cess
es
for
up
ho
ldin
g
hig
h s
tan
da
rds
of
ES
G a
nd
re
spo
nsi
ble
inv
est
ing
; su
ch d
iscu
ssio
ns
rem
ain
on
go
ing
as
ES
G
pro
ced
ure
s an
d r
eq
uir
em
en
ts e
vo
lve
.
In e
nd
eav
ou
rin
g t
o e
xem
plif
y b
est
co
rpo
rate
go
ve
rna
nce
pra
cti
ce, t
he
Bo
ard
aim
s to
po
siti
ve
ly
infl
ue
nce
th
e w
ide
r co
rpo
rate
an
d e
con
om
ic e
nv
iro
nm
en
t a
nd
insp
ire
sta
keh
old
er
tru
st.
In li
gh
t o
f th
e C
OV
ID-1
9 p
and
em
ic in
20
20
th
e m
ajo
rity
of
the
Co
mp
an
y�s
me
eti
ng
s w
ere
he
ld
vir
tua
lly, m
ea
nin
g a
re
du
ced
am
ou
nt
of
trav
el a
nd
co
rre
spo
nd
ing
em
issi
on
s.
ou
tco
me
Th
e B
oar
d is
co
nsc
iou
s o
f th
e im
po
rtan
ce o
f g
oo
d g
ov
ern
an
ce, i
ncl
ud
ing
div
ers
ity,
incl
usi
on
an
d E
SG
sp
eci
fic
ally
an
d s
ee
ks
to p
osi
tiv
ely
infl
ue
nce
th
e w
ide
r so
cie
ty a
nd
its
serv
ice
pro
vid
ers
.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D2
8
ST
RA
Te
gIC
Re
Po
RT
: S
eC
TIo
N 1
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(1)
ST
AT
em
eN
TS
TR
AT
eg
IC R
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CT
IoN
17
2(1
) S
TA
Te
me
NT
29
Sh
are
Re
pu
rch
ase
Pro
gra
mm
e
de
sc
rip
tio
n
Fro
m 3
0 J
un
e 2
02
0 t
o 2
7 N
ov
em
be
r 2
02
0 t
he
Co
mp
an
y u
nd
ert
oo
k 3
0 s
ha
re r
ep
urc
ha
ses
and
re
pu
rch
ase
d a
to
tal o
f 3
,49
8,5
07
sh
are
s
at
a w
eig
hte
d a
ve
rag
e p
rice
of
€0
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pe
r sh
are
. Th
e r
ep
urc
has
ed
sh
are
s w
ere
he
ld in
tre
asu
ry d
uri
ng
20
20
an
d r
em
ain
in t
reas
ury
.
On
21
Oc
tob
er
20
20
th
e C
om
pan
y a
nn
ou
nce
d t
hat
it in
ten
de
d t
o c
on
tin
ue
re
pu
rch
asin
g s
ha
res
in t
he
ma
rke
t u
sin
g a
va
ilab
le c
ash
wit
h a
vie
w t
o r
ed
uci
ng
th
e d
isco
un
t to
NA
V a
t w
hic
h t
he
Co
mp
an
y�s
Ord
ina
ry S
har
es
we
re c
urr
en
tly
tra
din
g, n
oti
ng
th
e D
ire
cto
rs� a
bili
ty t
o d
o
this
usi
ng
av
aila
ble
ca
sh, s
ub
jec
t to
hav
ing
be
en
gra
nte
d a
uth
ori
ty t
o d
o s
o, s
ho
uld
th
e O
rdin
ary
Sh
are
s tr
ad
e a
t a
n a
ve
rag
e d
isco
un
t to
NA
V p
er
Sh
are
of
mo
re t
ha
n 7
.5 p
er
cen
t. a
s m
ea
sure
d e
ach
mo
nth
ov
er
the
pre
ced
ing
six
mo
nth
tra
din
g p
eri
od
, as
cov
ere
d b
y t
he
Co
mp
an
y�s
pro
spe
ctu
s is
sue
d o
n 2
3 N
ov
em
be
r 2
018
.
It w
as
no
ted
th
at t
he
Dir
ec
tors
we
re c
on
scio
us
of
the
dis
cou
nt
at
wh
ich
th
e C
om
pan
y�s
Ord
ina
ry S
ha
res
we
re t
rad
ing
an
d t
he
y w
ou
ld
con
tin
ue
to
mo
nit
or
the
Co
mp
an
y�s
sh
are
pri
ce a
nd
re
lev
ant
fac
tors
su
ch a
s th
e C
om
pa
ny
�s a
va
ilab
le c
ash
re
sou
rce
s, in
co
nn
ect
ion
wit
h
an
y d
eci
sio
n t
o r
ep
urc
ha
se s
har
es,
to
ge
the
r w
ith
th
e C
om
pa
ny
�s a
pp
roa
ch t
o s
ha
re r
ep
urc
ha
ses.
Sin
ce 3
1 D
ece
mb
er
20
20
th
e C
om
pan
y h
as
rep
urc
ha
sed
12
5,0
00
sh
are
s at
a p
rice
of
€8
1,2
50
.
Imp
ac
t o
n l
on
g-t
erm
su
cc
es
sS
tak
eh
old
er
co
nsi
de
rati
on
s
Incr
ea
sin
g t
he
NA
V p
er
Ord
ina
ry S
ha
re a
nd
ass
isti
ng
to
min
imis
e
the
dis
cou
nt
to t
he
NA
V p
er
Ord
ina
ry S
har
e a
t w
hic
h t
he
Ord
ina
ry
Sh
are
s a
re t
rad
ing
.
Th
e B
oar
d b
elie
ve
s th
at u
nd
ert
aki
ng
re
pu
rch
ase
s o
f O
rdin
ary
Sh
are
s a
dd
ress
es
an
y im
ba
lan
ce b
etw
ee
n t
he
su
pp
ly o
f, a
nd
de
ma
nd
fo
r, t
he
Ord
ina
ry S
har
es.
Co
VId
-19
de
sc
rip
tio
n
As
ex
pla
ine
d in
th
e C
ha
ir�s
Sta
tem
en
t, d
uri
ng
20
20
, CO
VID
-19
ad
ve
rse
ly im
pa
cte
d g
lob
al c
om
me
rcia
l ac
tiv
ity
an
d p
rese
nte
d s
ign
ific
ant
vo
lati
lity
in f
ina
nci
al m
ark
ets
. Re
fer
als
o t
o t
he
Po
rtfo
lio A
dv
ise
r�s
Re
vie
w.
In li
gh
t o
f th
e C
OV
ID-1
9 p
an
de
mic
th
e D
ire
cto
rs s
po
ke r
eg
ula
rly
wit
h B
X C
red
it r
eg
ard
ing
ma
rke
t co
nd
itio
ns
and
th
e p
erf
orm
an
ce o
f th
e
po
rtfo
lio, a
nd
pu
blis
he
d t
he
fo
llow
ing
up
dat
es
to in
ve
sto
rs, t
og
eth
er
wit
h h
ost
ing
an
ad
ho
c in
vest
or
cal
l on
27
Mar
ch 2
02
0. T
he
Co
mp
an
y
als
o a
me
nd
ed
its
div
ide
nd
po
licy,
as
de
taile
d b
elo
w. T
he
latt
er
ha
lf o
f th
e y
ea
r sa
w m
ore
ce
rta
inty
in t
he
ma
rke
ts a
nd
an
y u
pd
ate
s w
ere
cov
ere
d a
s p
art
of
the
ro
uti
ne
qu
art
erl
y in
ve
sto
r c
alls
.
On
23
Ma
rch
20
20
, th
e C
om
pa
ny
an
no
un
ced
a d
eta
iled
re
vie
w o
f th
e c
om
pan
ies
wit
hin
th
e B
CF
po
rtfo
lio t
o d
ete
rmin
e t
he
po
ten
tia
l
imp
ac
t o
f C
OV
ID-1
9 o
n t
he
se b
usi
ne
sse
s a
nd
an
inv
est
or
ca
ll o
n 2
7 M
arch
20
20
to
pro
vid
e a
ma
rke
t u
pd
ate
.
On
23
Ap
ril 2
02
0, t
he
Co
mp
any
an
no
un
ced
an
up
da
te o
n t
he
sta
tus
of
the
Po
rtfo
lio A
dv
ise
r�s
po
rtfo
lio r
ev
iew
, to
ge
the
r w
ith
an
am
en
de
d
div
ide
nd
po
licy
an
d s
ub
seq
ue
nt
div
ide
nd
de
cla
rati
on
in li
gh
t o
f C
OV
ID-1
9. T
he
Co
mp
any
an
no
un
ced
th
at B
X C
red
it h
ad
co
nd
uc
ted
a
de
taile
d, b
ott
om
up
re
vie
w o
f a
ll c.
97
0 c
om
pan
ies
wit
hin
th
e B
CF
po
rtfo
lio a
nd
th
e li
kely
imp
act
of
CO
VID
-19
on
cas
hfl
ow
s. W
hile
th
e
me
diu
m a
nd
lon
g-t
erm
imp
ac
ts o
f th
e g
lob
al p
and
em
ic r
em
ain
ed
un
cert
ain
, in
th
e s
ho
rt-t
erm
BX
Cre
dit
exp
ec
ted
th
at r
ati
ng
ag
en
cy
do
wn
gra
de
s a
nd
co
rpo
rate
de
fau
lts
may
lea
d t
o t
em
po
rary
cas
hfl
ow
div
ers
ion
s aw
ay f
rom
su
bo
rdin
ate
no
te d
istr
ibu
tio
ns
as
a r
esu
lt o
f
bre
ach
es
in in
tere
st d
ive
rsio
n a
nd
/or
ov
er-
colla
tera
lisa
tio
n r
ati
os
wit
hin
a n
um
be
r o
f C
LO
s to
wh
ich
th
e C
om
pan
y h
as
ex
po
sure
(th
rou
gh
BC
F).
Pu
rsu
ant
to t
his
, BX
Cre
dit
to
ok
nu
me
rou
s st
ep
s to
se
ek
to m
itig
ate
th
e im
pac
t o
f C
OV
ID-1
9 o
n t
he
pe
rfo
rma
nce
of
the
BC
F p
ort
folio
an
d m
on
ito
red
th
e e
con
om
ic e
nv
iro
nm
en
t to
ide
nti
fy r
isk
s a
nd
op
po
rtu
nit
ies.
Imp
ac
t o
n l
on
g-t
erm
su
cc
es
sS
tak
eh
old
er
co
ns
ide
rati
on
s
A r
ev
iew
, to
ge
the
r w
ith
re
lev
an
t a
cti
on
s, w
ere
ta
ken
to
he
lp
mit
igat
e t
he
imp
ac
t o
f C
OV
ID-1
9 a
nd
wit
h a
vie
w t
o a
vo
idin
g a
sig
nif
ica
nt
red
uc
tio
n o
r si
gn
ific
an
t v
ola
tilit
y in
th
e C
om
pa
ny
�s
pe
rfo
rman
ce d
uri
ng
a p
eri
od
of
hig
h u
nce
rta
inty
.
Th
e B
oar
d k
ep
t st
ake
ho
lde
rs in
form
ed
of
the
re
vie
w; t
he
like
ly
imp
ac
t o
f C
OV
ID-1
9 o
n t
he
BC
F p
ort
folio
; an
d a
ny
ac
tio
ns
take
n
by
th
e B
oa
rd a
nd
BX
Cre
dit
to
mit
igat
e s
uch
imp
ac
ts t
o e
na
ble
sta
keh
old
ers
to
ma
ke in
form
ed
de
cisi
on
s d
uri
ng
a d
iffi
cult
pe
rio
d.
Re
vis
ed
div
ide
nd
Po
lic
y
de
sc
rip
tio
n
On
23
Ap
ril 2
02
0, t
he
Co
mp
an
y a
nn
ou
nce
d t
ha
t p
urs
uan
t to
th
e r
ev
iew
of
BC
F�s
po
rtfo
lio in
lig
ht
of
CO
VID
-19
, th
e B
oa
rd h
ad
ad
op
ted
a
rev
ise
d D
ivid
en
d P
olic
y t
arg
eti
ng
a t
ota
l 20
20
an
nu
al d
ivid
en
d o
f b
etw
ee
n €
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6 a
nd
€0
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pe
r o
rdin
ary
sh
are
, to
co
nsi
st o
f q
ua
rte
rly
pay
me
nts
of
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pe
r o
rdin
ary
sh
are
fo
r th
e f
irst
th
ree
qu
art
ers
an
d a
fin
al q
ua
rte
r p
ay
me
nt
of
a v
ari
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le a
mo
un
t to
be
de
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ine
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t
tha
t ti
me
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er
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red
as
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or
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20
20
. Th
e C
om
pan
y f
urt
he
r a
nn
ou
nce
d t
hat
it w
ou
ld k
ee
p t
he
div
ide
nd
po
licy
un
de
r cl
ose
rev
iew
as
the
imp
act
of
the
CO
VID
-19
pa
nd
em
ic u
nfo
lde
d.
On
21
Jan
ua
ry 2
02
1, t
he
Bo
ard
an
no
un
ced
th
at t
he
Co
mp
an
y h
as a
do
pte
d a
re
vis
ed
div
ide
nd
po
licy
tar
ge
tin
g a
to
tal 2
02
1 an
nu
al d
ivid
en
d
of
be
twe
en
€0
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d €
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8 p
er
Ord
ina
ry S
ha
re, w
hic
h w
ill c
on
sist
of
qu
art
erl
y p
aym
en
ts o
f €
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175
pe
r O
rdin
ary
Sh
are
fo
r th
e f
irst
thre
e q
ua
rte
rs a
nd
a f
ina
l qu
art
er
pay
me
nt
of
a v
ari
ab
le a
mo
un
t to
be
de
term
ine
d a
t th
at
tim
e.
Imp
ac
t o
n l
on
g-t
erm
su
cc
es
sS
tak
eh
old
er
co
ns
ide
rati
on
s
Am
en
din
g t
he
div
ide
nd
to
en
sure
th
e lo
ng
-te
rm s
ust
ain
abili
ty o
f
the
Co
mp
any,
pa
rtic
ula
rly
in li
gh
t o
f an
y u
nce
rta
inty
pre
sen
ted
by
the
CO
VID
-19
pa
nd
em
ic. A
t th
e s
am
e t
ime
th
e r
ev
ise
d d
ivid
en
d
po
licy
pro
vid
es
suff
icie
nt
fle
xib
ility
to
pay
mo
re o
r le
ss f
or
Q4
de
pe
nd
en
t o
n t
he
ye
ar�
s re
sult
s.
Sta
keh
old
ers
are
pro
vid
ed
wit
h a
de
gre
e o
f ce
rtai
nty
as
to t
he
lev
el o
f sh
are
ho
lde
r d
ivid
en
ds
an
d t
he
su
sta
inab
ility
of
the
Co
mp
an
y is
als
o e
nh
an
ced
.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
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ING
LIM
ITE
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RA
Te
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Po
RT
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Po
RT
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31
Pri
nc
ipa
l ri
skC
oV
Id-1
9 c
om
me
nta
ry
Inv
est
me
nt
pe
rfo
rma
nc
e
A k
ey
risk
to
th
e C
om
pan
y is
un
sati
sfac
tory
inv
est
me
nt
pe
rfo
rman
ce
du
e t
o a
n e
con
om
ic d
ow
ntu
rn a
lon
g w
ith
co
nti
nu
ed
po
litic
al
un
cert
ain
ty w
hic
h c
ou
ld n
eg
ati
ve
ly im
pa
ct
glo
ba
l cre
dit
mar
kets
an
d t
he
ris
k re
war
d c
ha
ract
eri
stic
s fo
r C
LO
str
uc
turi
ng
. Th
is
cou
ld d
ire
ctl
y im
pa
ct
the
pe
rfo
rma
nce
of
the
un
de
rly
ing
CL
Os
tha
t th
e C
om
pa
ny
inv
est
s in
an
d it
co
uld
als
o r
esu
lt in
a r
ed
uce
d
nu
mb
er
of
suit
ab
le in
ve
stm
en
t o
pp
ort
un
itie
s a
nd
/or
low
er
sha
reh
old
er
de
ma
nd
.
Cre
dit
ma
rke
ts, a
lon
g w
ith
mo
st o
the
r a
sse
t cl
asse
s, w
ere
init
ially
ba
dly
hit
by
th
e e
xpe
cte
d im
pa
ct
of
CO
VID
-19
on
co
mp
an
ies
an
d
ma
rke
ts. H
ow
ev
er,
as
the
ac
tua
l im
pa
ct
of
the
pa
nd
em
ic o
n
spe
cifi
c co
mp
anie
s a
nd
ma
rke
ts h
as b
eco
me
cle
are
r, m
ark
ets
hav
e a
dju
ste
d a
nd
re
bo
un
de
d s
om
ew
hat
.
Th
e P
ort
folio
Ad
vis
er
con
du
cte
d d
eta
iled
re
vie
ws
of
the
co
mp
anie
s
be
hin
d t
he
Co
mp
an
y�s
un
de
rly
ing
po
rtfo
lio a
nd
, wit
hin
th
e
pa
ram
ete
rs o
f th
e C
LO
s, t
rad
ed
in a
nd
ou
t o
f d
iffe
ren
t n
am
es
to
re-o
rie
nta
te t
he
po
rtfo
lios
for
the
CO
VID
-19
en
vir
on
me
nt.
Th
e B
oar
d t
ake
s co
mfo
rt f
rom
th
e p
ed
igre
e o
f B
lack
sto
ne
Cre
dit
as
Po
rtfo
lio A
dv
ise
rs a
nd
th
eir
ab
ility
to
tra
de
an
d m
ana
ge
ris
k in
the
po
rtfo
lios
in d
iffi
cult
cir
cum
sta
nce
s, a
s d
em
on
stra
ted
in t
he
GF
C a
nd
as
see
n in
20
20
.
Sh
are
pri
ce
dis
co
un
t
Th
e p
rice
of
the
Co
mp
an
y�s
sh
are
s m
ay t
rad
e a
t a
dis
cou
nt
rela
tiv
e t
o t
he
un
de
rly
ing
ne
t a
sse
t v
alu
e o
f th
e s
ha
res.
Du
e t
o t
he
inh
ere
nt
un
cert
ain
ty c
reat
ed
by
the
on
set
of
the
CO
VID
-19
pa
nd
em
ic, t
he
Co
mp
an
y�s
dis
cou
nt
init
ially
wid
en
ed
as
far
as
36
.71%
, alt
ho
ug
h t
he
re h
ad
be
en
no
su
stai
ne
d s
elli
ng
pre
ssu
re.
Th
e d
isco
un
t su
bse
qu
en
tly
nar
row
ed
so
me
wh
at
bu
t re
ma
ine
d in
the
ra
ng
e 1
6%
� 3
0%
fo
r th
e r
est
of
the
ye
ar.
As
the
like
ly im
pac
t o
f th
e p
and
em
ic b
eca
me
cle
are
r in
mid
-20
20
,
the
Bo
ard
co
mm
en
ced
bu
yin
g b
ack
so
me
of
the
Co
mp
any
�s s
har
es.
Th
e B
oar
d a
lso
be
ga
n c
on
sult
ing
wit
h a
dv
ise
rs t
o f
orm
ula
te a
cle
are
r p
olic
y r
eg
ard
ing
th
e a
pp
lica
tio
n o
f c
ash
ge
ne
rate
d b
y t
he
un
de
rly
ing
po
rtfo
lio b
etw
ee
n d
istr
ibu
tio
ns
to s
ha
reh
old
ers
,
am
ou
nts
re
-in
ve
ste
d in
to t
he
po
rtfo
lio a
nd
am
ou
nts
av
aila
ble
to
bu
y b
ack
th
e C
om
pan
y�s
sh
are
s w
he
re t
he
re is
a d
isco
un
t. R
efe
r
to t
he
se
ctio
ns
Dis
cou
nt
Ma
na
ge
me
nt
in t
he
Ch
air
�s S
tate
me
nt
an
d S
ha
re R
ep
urc
ha
se P
rog
ram
me
in C
orp
ora
te A
cti
vit
y.
Inv
est
me
nt
va
lua
tio
n
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
thro
ug
h p
rofi
t o
r lo
ss a
nd
th
e in
ve
stm
en
t in
PP
Ns
issu
ed
by
BC
F
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
(th
e P
PN
s) 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
lua
tio
n t
ech
niq
ue
s d
ete
rmin
ed
by
th
e
Dir
ect
ors
. Th
e u
nd
erl
yin
g C
LO
inv
est
me
nts
he
ld b
y B
CF
are
val
ue
d u
sin
g m
od
elli
ng
me
tho
do
log
ies,
de
scri
be
d in
th
e C
om
pan
y�s
Pro
spe
ctu
s, t
hat
are
ba
sed
up
on
ma
ny
ass
um
pti
on
s.
Th
e v
alu
ati
on
of
the
Co
mp
any
�s in
ve
stm
en
ts t
he
refo
re r
eq
uir
es
a
sig
nif
ica
nt
jud
ge
me
nt
an
d t
he
re is
a r
isk
th
at
the
y a
re in
corr
ec
tly
va
lue
d d
ue
to
cal
cula
tio
n e
rro
rs o
r in
corr
ec
t a
ssu
mp
tio
ns.
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
lio A
dv
ise
r, in
se
lect
ing
an
ap
pro
pri
ate
va
lua
tio
n t
ech
niq
ue
an
d r
efe
r to
te
chn
iqu
es
com
mo
nly
use
d b
y m
ark
et
pra
cti
tio
ne
rs.
Th
e b
oa
rd o
f d
ire
cto
rs o
f B
CF
like
wis
e u
se t
he
ir ju
dg
em
en
t in
de
term
inin
g t
he
va
luat
ion
of
inv
est
me
nts
an
d u
nd
erl
yin
g C
LO
s
an
d e
qu
ity
tra
nch
es
reta
ine
d b
y B
CF.
In
de
pe
nd
en
t v
alu
atio
n
serv
ice
pro
vid
ers
are
inv
olv
ed
in d
ete
rmin
ing
th
e f
air
va
lue
of
un
de
rly
ing
CL
Os.
Th
e B
oar
d a
nd
Po
rtfo
lio A
dv
ise
r h
ave
pai
d c
lose
att
en
tio
n t
o
de
ve
lop
ing
mar
ket
ex
pe
cta
tio
ns
an
d a
ssu
mp
tio
ns
thro
ug
h
the
pa
nd
em
ic, t
o e
nsu
re t
ha
t v
alu
atio
ns
refl
ec
t re
aso
nab
le
futu
resc
en
ario
s.
Sal
es
of
eq
uit
y p
osi
tio
ns,
an
no
un
ced
to
th
e s
tock
ma
rke
t o
n
11D
ece
mb
er
20
20
, in
th
e C
LO
s h
eld
by
BC
F, t
o t
hir
d p
arti
es,
du
rin
g t
he
ye
ar
hav
e v
alid
ate
d t
hat
th
e C
om
pa
ny
�s v
alu
ati
on
po
licy
is r
ea
son
ab
le.
Th
e R
isk
Co
mm
itte
e R
ep
ort
me
nti
on
s a
va
lua
tio
n a
ssu
mp
tio
n
err
or
tha
t w
as a
nn
ou
nce
d in
Se
pte
mb
er
20
20
. Th
is w
as
fully
inv
est
igat
ed
by
th
e P
ort
folio
Ad
vis
er
an
d t
he
Ris
k C
om
mit
tee
wa
s
sati
sfie
d w
ith
th
e a
cti
on
tak
en
to
pre
ve
nt
such
an
err
or
recu
rrin
g.
Ris
k
Ove
rvie
w
Ea
ch D
ire
cto
r is
aw
are
of
the
ris
ks
inh
ere
nt
in t
he
Co
mp
any
�s
bu
sin
ess
an
d u
nd
ers
tan
ds
the
imp
ort
ance
of
ide
nti
fyin
g, e
val
uat
ing
an
d m
on
ito
rin
g t
he
se r
isk
s. T
he
Bo
ard
has
ad
op
ted
pro
ced
ure
s
an
d c
on
tro
ls t
o e
na
ble
it t
o m
ana
ge
th
ese
ris
ks
wit
hin
acc
ep
tab
le
limit
s an
d t
o m
ee
t al
l of
its
leg
al a
nd
re
gu
lato
ry o
blig
atio
ns.
Th
e B
oa
rd c
on
sid
ers
th
e p
roce
ss f
or
ide
nti
fyin
g, e
val
uat
ing
an
d
man
agin
g a
ny
sig
nif
ican
t ri
sks
face
d b
y th
e C
om
pan
y o
n a
n o
ng
oin
g
bas
is a
nd
th
ese
ris
ks
are
re
po
rte
d a
nd
dis
cuss
ed
at
Bo
ard
me
eti
ng
s.
It e
nsu
res
that
eff
ect
ive
co
ntr
ols
are
in p
lace
to
mit
igat
e t
he
se
risk
s a
nd
th
at a
sat
isfa
cto
ry c
om
plia
nce
re
gim
e e
xist
s to
en
sure
all
ap
plic
ab
le lo
cal
an
d in
tern
ati
on
al l
aws
and
re
gu
lati
on
s a
re u
ph
eld
.
Ris
k A
pp
eti
te
Th
e B
oa
rd�s
str
ate
gic
ris
k a
pp
eti
te is
to
ba
lan
ce t
he
am
ou
nt
of
inco
me
dis
trib
ute
d b
y t
he
Co
mp
an
y b
y w
ay
of
div
ide
nd
wit
h t
he
op
po
rtu
nit
y t
o r
ein
ve
st t
he
re
turn
s re
ceiv
ed
fro
m t
he
un
de
rly
ing
CL
O in
ve
stm
en
ts in
fu
rth
er
CL
O e
qu
ity
th
rou
gh
th
e s
tru
ctu
re.
Th
eB
oa
rd s
ee
ks
to e
nsu
re t
hat
th
e d
ivid
en
d p
olic
y is
su
stai
na
ble
wit
ho
ut
ero
din
g c
ap
ita
l. W
he
re t
he
Co
mp
an
y�s
sh
are
pri
ce is
at
a
ma
teri
al d
isco
un
t to
th
e N
AV
pe
r sh
are
th
e B
oar
d m
ay
de
cid
e t
o
rep
urc
has
e s
ha
res
in a
cco
rdan
ce w
ith
its
shar
e b
uy
ba
ck p
olic
y
inst
ea
d o
f, o
r as
we
ll a
s, r
ein
ve
stm
en
t in
to C
LO
s.
Wh
en
co
nsi
de
rin
g o
the
r ri
sks,
th
e B
oar
d�s
ris
k ap
pe
tite
is e
ffe
cti
ve
ly
go
ve
rne
d b
y a
co
st b
en
efi
t an
aly
sis
wh
en
ass
ess
ing
mit
igat
ion
me
asu
res.
Ho
we
ve
r, a
t a
ll ti
me
s th
e C
om
pa
ny
will
se
ek
to f
ollo
w
be
st p
ract
ice
an
d r
em
ain
co
mp
lian
t w
ith
all
ap
plic
ab
le la
ws,
ru
les
an
d r
eg
ula
tio
ns.
Pri
nci
pa
l Ris
ks
an
d U
nc
ert
ain
tie
s
As
reco
mm
en
de
d b
y t
he
Ris
k C
om
mit
tee
, th
e B
oar
d h
as
ad
op
ted
a r
isk
ma
na
ge
me
nt
fra
me
wo
rk t
o g
ov
ern
ho
w t
he
Bo
ard
: id
en
tifi
es
ex
isti
ng
an
d e
me
rgin
g r
isk
s; d
ete
rmin
es
risk
ap
pe
tite
; id
en
tifi
es
mit
iga
tio
n a
nd
co
ntr
ols
; ass
ess
es,
mo
nit
ors
an
d m
eas
ure
s ri
sk;
an
d r
ep
ort
s o
n r
isk
s.
Th
e B
oar
d r
ev
iew
s ri
sks
at le
ast
twic
e a
ye
ar a
nd
re
ceiv
es
de
ep
-div
e
rep
ort
s o
n s
pe
cifi
c ri
sks
as
reco
mm
en
de
d b
y t
he
Ris
k C
om
mit
tee
(re
fer
to t
he
Ris
k C
om
mit
tee
Re
po
rt).
Th
rou
gh
ou
t th
e y
ea
r u
nd
er
rev
iew
th
e B
oa
rd c
on
sid
ere
d 1
5 m
ain
ris
ks
wh
ich
hav
e a
hig
he
r
pro
bab
ility
an
d a
sig
nif
ican
t p
ote
nti
al i
mp
ac
t o
n p
erf
orm
ance
,
stra
teg
y, r
ep
uta
tio
n, o
r o
pe
rati
on
s (C
ate
go
ry A
ris
ks)
. Of
the
se,
the
fir
st f
ou
r ri
sks
ide
nti
fie
d o
n p
age
s 3
3 a
nd
34
we
re c
on
sid
ere
d
the
pri
nci
pa
l ris
ks
face
d b
y t
he
Co
mp
an
y w
he
re t
he
co
mb
inat
ion
of
pro
ba
bili
ty a
nd
imp
act
wa
s as
sess
ed
as
be
ing
mo
st s
ign
ific
ant.
Th
e B
oar
d a
lso
co
nsi
de
red
an
oth
er
14 le
ss s
ign
ific
an
t e
xis
tin
g
or
em
erg
ing
ris
ks
(Cat
eg
ory
B r
isk
s) w
hic
h a
re m
on
ito
red
on
a
wat
ch li
st.
Du
rin
g t
he
ye
ar,
as
the
CO
VID
-19
pan
de
mic
gre
w, t
he
Bo
ard
an
d
the
Ris
k C
om
mit
tee
co
nsi
de
red
th
e im
pa
ct
that
th
e s
itu
atio
n
wo
uld
hav
e o
n t
he
Co
mp
an
y�s
bu
sin
ess
an
d it
s se
rvic
e p
rov
ide
rs.
As
a r
esu
lt, t
he
Bo
ard
ele
vat
ed
ris
ks
rela
tin
g t
o R
elia
nce
on
Se
rvic
e
Pro
vid
ers
an
d B
usi
ne
ss C
on
tin
uit
y f
rom
Ca
teg
ory
B t
o C
ate
go
ry A
an
d d
ow
ng
rad
ed
ris
k r
ela
tin
g t
o T
hir
d P
art
y In
ve
sto
rs in
th
e
Ori
gin
ato
r fr
om
Cat
eg
ory
A t
o C
ate
go
ry B
. Cat
eg
ory
A r
isk
s re
lati
ng
to R
ep
ort
ing
an
d F
ilin
g D
ea
dlin
es
an
d T
ax
, Le
gal
an
d R
eg
ula
tory
Re
qu
ire
me
nts
we
re m
erg
ed
. Du
e t
o t
he
mat
eri
al i
mp
act
th
at t
he
ep
ide
mic
wa
s e
xp
ec
ted
to
hav
e o
n t
he
Co
mp
any,
so
cie
ty a
nd
th
e
eco
no
my,
th
e e
xis
tin
g f
ou
r p
rin
cip
al r
isk
s o
n p
ag
es
33
an
d 3
4
we
re c
on
sid
ere
d t
hro
ug
h t
he
len
s o
f C
OV
ID-1
9 a
nd
a f
ifth
pri
nci
pa
l
risk
wa
s a
dd
ed
re
ga
rdin
g o
pe
rati
on
al r
isk
, th
at a
gg
reg
ate
s a
nu
mb
er
of
Ca
teg
ory
A r
isk
s th
at
are
op
era
tio
na
l in
nat
ure
.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D3
2
ST
RA
Te
gIC
Re
Po
RT
: C
oR
Po
RA
Te
AC
TIV
ITy
ST
RA
Te
gIC
Re
Po
RT
: R
ISK
oV
eR
VIe
w
33
Via
bil
ity
Sta
tem
en
t
At
lea
st o
nce
a y
ear
th
e D
ire
cto
rs c
arry
ou
t a
rob
ust
ass
ess
me
nt
of
the
pri
nci
pa
l ris
ks
faci
ng
th
e C
om
pan
y, in
clu
din
g t
ho
se t
ha
t
wo
uld
th
rea
ten
its
bu
sin
ess
mo
de
l, fu
ture
pe
rfo
rman
ce, s
olv
en
cy
an
d li
qu
idit
y. T
he
Dir
ect
ors
als
o a
sse
ssth
e C
om
pa
ny
�s p
olic
ies
an
d p
roce
du
res
for
mo
nit
ori
ng
, ma
nag
ing
an
d m
itig
ati
ng
its
ex
po
sure
to
th
ese
ris
ks.
In a
sse
ssin
g v
iab
ility
th
e D
ire
cto
rs h
ave
con
sid
ere
d t
he
pri
nci
pal
ris
ks
of
the
Co
mp
an
y a
s d
eta
iled
on
pa
ge
s 3
2 t
o 3
4 a
lon
g w
ith
th
e e
vo
luti
on
of
ma
rke
t co
nd
itio
ns
pu
rsu
ant
to t
he
ou
tbre
ak o
f th
e C
OV
ID-1
9 p
and
em
ic, t
he
Co
mp
any
�s
curr
en
t p
osi
tio
n, i
nv
est
me
nt
ob
jec
tiv
e a
nd
str
ate
gy
an
d t
he
pe
rfo
rma
nce
of
the
Po
rtfo
lio A
dv
ise
r.
As
ex
pla
ine
d o
n p
age
s 2
1 to
24
, th
e C
om
pan
y�s
un
de
rly
ing
inv
est
me
nt
exp
osu
re is
to
th
e in
ve
stm
en
t p
ort
folio
of
BC
F. B
CF
�s
po
rtfo
lio c
om
pri
ses
the
fo
llow
ing
cat
eg
ori
es
of
inv
est
me
nts
: (i)
CL
O
De
bt
an
d C
LO
Inco
me
No
tes
secu
riti
sed
by
BC
F, (
ii)a
po
rtfo
lio o
f
sen
ior
secu
red
loa
ns
an
d b
on
ds;
an
d (
iii)
pre
fere
nce
sh
are
s. T
he
ma
jori
ty o
f C
LO
inv
est
me
nts
in t
he
po
rtfo
lio h
ave
a n
on
-cal
l pe
rio
d
of
ap
pro
xim
ate
ly t
wo
ye
ars
fro
m t
he
ir o
rig
ina
tio
n d
ate
an
d c
an
no
t
be
re
de
em
ed
un
til t
he
se e
xp
ire
. Th
e D
ire
cto
rs h
ave
co
nsi
de
red
ea
ch o
f th
e p
rin
cip
al r
isk
s o
f th
e C
om
pa
ny
th
at
cou
ld m
ate
ria
lly
aff
ec
t th
e c
ash
flo
ws
de
riv
ed
fro
m t
he
se in
ve
stm
en
ts a
nd
he
nce
ho
w t
he
se c
ou
ld im
pa
ct t
he
cas
h f
low
s re
ceiv
ed
by
BG
LF
fro
m B
CF.
Th
e D
ire
cto
rs a
dju
ste
d t
he
Co
mp
an
y�s
div
ide
nd
po
licy
fo
r th
e
ca
len
dar
ye
ar
20
20
, pu
rsu
ant
to t
he
co
mp
reh
en
siv
e d
iscu
ssio
ns
be
twe
en
th
e D
ire
cto
rs a
nd
th
e P
ort
folio
Ad
vis
er
reg
ard
ing
th
e
po
rtfo
lio r
ev
iew
an
d u
nce
rtai
n n
ear
-te
rm o
utl
oo
k. O
n 2
3 A
pri
l 20
20
,
the
Dir
ec
tors
an
no
un
ced
th
ey
ha
d a
do
pte
d a
re
vis
ed
div
ide
nd
po
licy
ta
rge
tin
g a
to
tal 2
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l div
ide
nd
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en
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d €
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er
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ry S
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re, t
o c
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r O
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ary
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are
fo
r th
e f
irst
th
ree
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art
ers
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d a
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al
qu
art
er
pay
me
nt
of
a v
ari
ab
le a
mo
un
t to
be
de
term
ine
d a
t th
at
tim
e. T
he
ad
just
me
nt
to t
he
Co
mp
any
�s d
ivid
en
d p
olic
y h
ad
a
po
siti
ve
eff
ec
t o
n t
he
Co
mp
an
y�s
ca
sh a
nd
cas
h e
qu
ival
en
ts w
hile
allo
win
g t
he
Dir
ec
tors
to
ass
ess
th
e im
pa
ct
of
the
CO
VID
-19
pa
nd
em
ic a
nd
pro
vid
e f
or
an
y u
nfo
rese
en
co
nse
qu
en
ces.
As
the
ye
ar
pro
gre
sse
d a
nd
mo
re in
form
atio
n b
eca
me
av
aila
ble
on
th
e
imp
act
of
CO
VID
-19
on
BC
F�s
po
rtfo
lio, i
n li
ne
wit
h t
he
re
vis
ed
div
ide
nd
po
licy,
th
e B
oar
d d
ecl
are
d d
ivid
en
ds
of
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r
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ina
ry S
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e f
or
the
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arte
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ivid
en
d o
f
€0
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er
Ord
ina
ry S
ha
re f
or
the
fo
urt
h q
ua
rte
r.
On
23
Ap
ril 2
02
0 t
he
Dir
ec
tors
an
no
un
ced
th
ey
ha
d a
do
pte
d a
rev
ise
d d
ivid
en
d p
olic
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arg
eti
ng
a t
ota
l 20
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al d
ivid
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of
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er
Ord
inar
y S
ha
re f
or
the
fir
st
thre
e q
ua
rte
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nd
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ina
l qu
art
er
pay
me
nt
of
a v
aria
ble
am
ou
nt
to b
e d
ete
rmin
ed
at
that
tim
e. I
n li
ne
wit
h t
his
po
licy,
th
e B
oar
d
de
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ide
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s o
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er
Ord
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re f
or
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of
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ide
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of
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er
Ord
ina
ry S
ha
re
for
the
fo
urt
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uar
ter.
Th
e D
ire
cto
rs c
on
tin
ue
to
re
gu
larl
y r
ev
iew
th
e r
ev
ise
d d
ivid
en
d
po
licy,
bu
t a
t p
rese
nt
are
sa
tisf
ied
th
at
the
ou
tco
me
s m
od
elle
d b
y
the
Po
rtfo
lio A
dv
ise
r u
nd
er
ex
tre
me
ma
rke
t sc
en
ari
os,
in li
gh
t o
f
CO
VID
-19
an
d t
he
ad
op
tio
n o
f a
rev
ise
d d
ivid
en
d p
olic
y w
ill a
llow
the
Co
mp
any
to
ge
ne
rate
su
ffic
ien
t ca
sh f
low
an
d e
nsu
re t
hat
th
e
Co
mp
an
y w
ou
ld b
e a
ble
to
me
et
its
liab
iliti
es,
as
the
y f
all
du
e.
Th
e D
ire
cto
rs h
ave
ass
ess
ed
th
e p
rosp
ect
s o
f th
e C
om
pa
ny
ov
er
the
fiv
e-y
ea
r p
eri
od
to
30
Ap
ril 2
02
6, w
hic
h t
he
Dir
ec
tors
hav
e
de
term
ine
d c
on
stit
ute
s an
ap
pro
pri
ate
pe
rio
d t
o p
rov
ide
its
via
bili
ty
stat
em
en
t. T
he
Dir
ect
ors
re
gu
larl
y r
ece
ive
fin
an
cia
l fo
reca
sts
fro
m
the
Po
rtfo
lio A
dv
ise
r p
rese
nte
d o
n a
qu
art
erl
y b
asi
s fo
r at
lea
st t
he
ne
xt
fou
r to
fiv
e y
ea
rs. T
he
Dir
ect
ors
be
lieve
th
at f
inan
cial
fo
reca
sts
to s
up
po
rt it
s in
ve
stm
en
t st
rate
gy
can
be
su
bje
ct
to c
ha
ng
es
de
pe
nd
en
t u
po
n in
ve
stm
en
t p
erf
orm
an
ce, d
ep
loy
me
nt
of
ca
pit
al
an
d r
eg
ula
tory
, le
ga
l an
d t
ax
de
ve
lop
me
nts
fo
r w
hic
h t
he
imp
ac
t
be
yon
d a
fiv
e y
ea
r te
rm is
dif
ficu
lt t
o a
sse
ss. I
n a
dd
itio
n, t
he
ex
ten
t to
wh
ich
ma
cro
eco
no
mic
, po
litic
al,
soci
al, t
ech
no
log
ica
l
an
d r
eg
ula
tory
ch
an
ge
s b
ey
on
d a
fiv
e-y
ear
te
rm m
ay h
ave
a
pla
usi
ble
imp
act
on
th
e C
om
pa
ny
are
dif
ficu
lt t
o e
nv
isag
e.
Th
e D
ire
cto
rs a
lso
co
nsi
de
red
oth
er
key
ris
ks.
Wh
ilst
ea
ch o
f th
ese
key
ris
ks
cou
ld h
ave
an
imp
ac
t o
n t
he
lon
g-t
erm
su
stai
na
bili
ty o
f
the
Co
mp
any,
th
e D
ire
cto
rs c
on
clu
de
d t
ha
t e
ach
wa
s su
ffic
ien
tly
mit
igat
ed
an
d w
ou
ld t
he
refo
re n
ot
imp
ac
t th
e v
iab
ility
of
the
Co
mp
an
y o
ve
r a
fiv
e-y
ear
pe
rio
d.
On
th
e b
asis
of
this
ass
ess
me
nt
of
the
pri
nci
pal
ris
ks
faci
ng
th
e
Co
mp
an
y a
nd
th
e m
od
elle
d e
xtr
em
e m
ark
et
sce
na
rio
s b
y t
he
Po
rtfo
lio A
dv
ise
r, in
clu
din
g t
he
po
ten
tia
l im
pa
ct
of
CO
VID
-19
,
use
d t
o a
sse
ss t
he
Co
mp
an
y�s
pro
spe
cts
, an
d in
th
e a
bse
nce
of
an
y u
nfo
rese
en
cir
cum
stan
ces,
th
e D
ire
cto
rs c
on
firm
th
at
the
y
hav
e a
re
aso
na
ble
ex
pe
cta
tio
n t
hat
th
e C
om
pan
y w
ill b
e a
ble
to
con
tin
ue
in o
pe
rati
on
an
d m
ee
t it
s lia
bili
tie
s as
th
ey
fa
ll d
ue
ov
er
the
fiv
e-y
ea
r p
eri
od
of
the
ir a
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
, in
acc
ord
an
ce w
ith
its
dis
trib
uti
on
po
licy,
wit
ho
ut
ero
din
g c
ap
ital
.
Th
ere
is a
ris
k th
at t
he
dis
trib
uti
on
po
licy
at
the
Co
mp
any
leve
l may
be
to
o g
en
ero
us
or
re-i
nv
est
me
nt
at t
he
BC
F le
ve
l ma
y n
ot
be
suff
icie
nt,
re
sult
ing
in t
he
ero
sio
n o
f u
nd
erl
yin
g c
ap
ital
inv
est
ed
.
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
lio A
dv
ise
r, in
se
ttin
g t
he
Co
mp
any
�s d
istr
ibu
tio
n p
olic
y
toe
nsu
re t
hat
it is
ap
pro
pri
ate
giv
en
th
e p
erf
orm
an
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
d b
y
the
Po
rtfo
lio A
dv
ise
r in
Mar
ch/A
pri
l 20
20
, th
e C
om
pan
y d
eci
de
d
to a
me
nd
its
div
ide
nd
po
licy.
Th
e t
arg
et
for
20
20
div
ide
nd
s w
as
an
no
un
ced
as
a r
an
ge
fro
m €
0.0
6 t
o €
0.0
7 p
er
sha
re. T
his
was
to e
nsu
re t
hat
th
ere
wa
s su
ffic
ien
t co
ve
r fo
r d
istr
ibu
tio
ns
in t
he
rea
son
able
do
wn
sid
e s
cen
ario
s id
en
tifi
ed
by
th
e P
ort
folio
Ad
vis
er.
Du
e t
o t
he
ro
bu
st p
erf
orm
an
ce o
f th
e u
nd
erl
yin
g p
ort
folio
re
lati
ve
to t
he
mo
de
lled
do
wn
sid
e s
cen
ario
s, t
he
Co
mp
any
was
ab
le t
o p
ay
div
ide
nd
s fo
r 2
02
0 o
f €
0.0
7 p
er
sha
re a
nd
an
no
un
ced
a t
arg
et
ran
ge
fo
r 2
02
1 o
f €
0.0
7 t
o €
0.0
8 p
er
sha
re.
Op
era
tio
na
l
Th
e C
om
pan
y h
as
no
em
plo
ye
es,
sy
ste
ms
or
pre
mis
es
an
d is
relia
nt
on
its
Po
rtfo
lio A
dv
ise
r a
nd
se
rvic
e p
rov
ide
rs f
or
the
de
live
ry o
f it
s in
ve
stm
en
t o
bje
cti
ve
an
d s
tra
teg
y.
Th
e C
OV
ID-1
9 p
an
de
mic
me
ans
that
all
of
the
Co
mp
any
�s s
erv
ice
pro
vid
ers
are
op
era
tin
g u
nd
er
bu
sin
ess
co
nti
nu
ity
pro
ced
ure
s
wit
h s
taff
mai
nly
wo
rkin
g f
rom
ho
me
. Th
is in
cre
ase
s th
e r
isk
of
con
tro
l bre
akd
ow
ns,
err
ors
an
d o
mis
sio
ns
and
re
gu
lato
ry b
reac
he
s.
As
the
pa
nd
em
ic t
ake
s it
s co
urs
e t
he
re is
als
o a
n in
cre
ase
d r
isk
tha
t ke
y in
div
idu
als
at
the
Po
rtfo
lio A
dv
ise
r a
nd
oth
er
serv
ice
pro
vid
ers
will
be
ill o
r o
the
rwis
e u
nab
le t
o w
ork
. Th
is w
ill r
ed
uce
the
ca
pa
city
fo
r th
e C
om
pan
y t
o o
pe
rate
.
Th
e R
isk
Co
mm
itte
e h
as
rev
iew
ed
th
e a
rran
ge
me
nts
pu
t in
pla
ce
by
ke
y s
erv
ice
pro
vid
ers
to
en
sure
co
nti
nu
ity
of
serv
ice
to
th
e
Co
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
.
Bre
xit
Th
e D
ire
cto
rs d
o n
ot
be
liev
e t
hat
th
e U
K�s
de
pa
rtu
re f
rom
th
e
Eu
rop
ea
n U
nio
n p
ose
s a
sig
nif
ica
nt
on
go
ing
ris
k t
o t
he
Co
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
lio A
dv
ise
r�s
Bre
xit
pla
nn
ing
te
am t
o g
ain
co
mfo
rt
tha
t a
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
nta
l cre
dit
re
sea
rch
te
am o
f 3
5
inv
est
me
nt
pro
fess
ion
als
re
vie
we
d B
CF
�s p
ort
folio
of
UK
-ex
po
sed
issu
ers
, ba
sed
on
po
ten
tia
l im
pa
ct
as
a re
sult
of
Bre
xit
. Wh
en
con
sid
eri
ng
Bre
xit
�s im
pa
ct o
n t
he
po
rtfo
lio, i
t is
imp
ort
ant
to lo
ok
at
no
t ju
st w
he
re t
he
cre
dit
is d
om
icile
d, b
ut
wh
at t
he
ex
po
sure
is
to t
he
UK
an
d t
he
imp
ac
t o
f B
rex
it s
pe
cifi
cally
re
late
d t
o t
ha
t
bu
sin
ess
. Th
e t
eam
ide
nti
fie
d a
nd
an
aly
sed
wh
at t
he
y b
elie
ve
d t
o
be
th
e m
ain
ris
ks
for
UK
bu
sin
ess
es
tha
t co
uld
po
ten
tia
lly h
ave
an
imp
ac
t o
n m
arg
ins,
av
aila
bili
ty o
f g
oo
ds,
an
d e
mp
loy
ee
s, w
hic
h
incl
ud
e b
ut
are
no
t lim
ite
d t
o: f
ore
ign
exc
han
ge
ris
k, t
arif
fs, s
up
ply
cha
in im
pa
cts
, av
aila
bili
ty o
f w
ork
ers
, co
nsu
me
r co
nfi
de
nce
, an
d
reg
ula
tory
ch
ang
es.
Go
ing
Co
nce
rn
Th
e D
ire
cto
rs h
ave
co
nsi
de
red
th
e C
om
pan
y�s
inve
stm
en
t o
bje
ctiv
e,
risk
ma
nag
em
en
t a
nd
cap
ital
ma
na
ge
me
nt
po
licie
s, it
s a
sse
ts a
nd
the
ex
pe
cte
d in
com
e f
rom
its
inv
est
me
nts
wh
ile f
act
ori
ng
in t
he
eco
no
mic
imp
ac
t th
e o
utb
rea
k o
f C
OV
ID-1
9 h
ad
du
rin
g 2
02
0 a
nd
con
tin
ue
s to
hav
e in
to 2
02
1, a
s d
iscu
sse
d f
urt
he
r in
th
e C
ha
ir�s
Sta
tem
en
t a
nd
th
e P
ort
folio
Ad
vis
er�
s R
ev
iew
. Th
e D
ire
cto
rs a
re
of
the
op
inio
n t
ha
t th
e C
om
pa
ny
is a
ble
to
me
et
its
liab
iliti
es
an
d
on
go
ing
ex
pe
nse
s a
s th
ey
fal
l du
e a
nd
th
ey
hav
e a
re
aso
na
ble
ex
pe
cta
tio
n t
hat
th
e C
om
pan
y h
as a
de
qu
ate
re
sou
rce
s to
co
nti
nu
e
in o
pe
rati
on
al e
xist
en
ce f
or
the
fo
rese
ea
ble
fu
ture
. Acc
ord
ing
ly,
the
se f
inan
cial
sta
tem
en
ts h
ave
be
en
pre
pa
red
on
a g
oin
g c
on
cern
ba
sis
an
d t
he
Dir
ec
tors
be
liev
e it
is a
pp
rop
riat
e t
o c
on
tin
ue
to
ad
op
t th
is b
asis
fo
r a
pe
rio
d o
f a
t le
ast
12 m
on
ths
fro
m t
he
dat
e
of
app
rov
al o
f th
ese
fin
anci
al s
tate
me
nts
.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D3
4
ST
RA
Te
gIC
Re
Po
RT
: R
ISK
oV
eR
VIe
wS
TR
AT
eg
IC R
eP
oR
T:
RIS
Ko
Ve
RV
Iew
35
Pe
rfo
rma
nce
A
na
lysi
s
IFR
S N
AV
Pe
rfo
rma
nce
An
aly
sis
for
the
ye
ars
en
de
d 3
1 d
ece
mb
er
20
20
an
d 3
1 d
ece
mb
er
20
19 –
Co
ntr
ibu
tors
to
Ch
an
ge
Pu
blis
he
d N
AV
Pe
rfo
rma
nce
An
aly
sis
for
the
ye
ars
en
de
d 3
1 d
ece
mb
er
20
20
an
d 3
1 d
ece
mb
er
20
19 –
Co
ntr
ibu
tors
to
Ch
an
ge
�Ne
t g
ain
on
FA
FV
PL
� L
ux
Co
� fo
r th
e y
ea
rs e
nd
ed
31
De
ce
mb
er
20
20
an
d 3
1 D
ec
em
be
r 2
019
re
fle
cts
th
e C
om
pa
ny
�s p
ro-r
ate
d s
ha
re o
f th
e u
nd
erl
yin
g a
cti
vit
y o
f B
CF.
�Ne
t lo
ss o
n F
AF
VT
PL
� C
LO
s� a
nd
�In
co
me
dis
trib
uti
on
s fr
om
CL
Os�
fo
r th
e y
ea
rs e
nd
ed
31
De
ce
mb
er
20
20
an
d 3
1 D
ece
mb
er
20
19 r
ela
te t
o t
he
dir
ec
tly
he
ld C
LO
s fr
om
th
e
Ro
llo
ve
r O
ffe
r.
Fu
rth
er
com
me
nta
ry o
n t
he
Co
mp
any
�s p
erf
orm
ance
is c
on
tain
ed
in t
he
Ch
air�
s S
tate
me
nt
an
d t
he
Po
rtfo
lio A
dv
ise
r�s
Re
vie
w.
Oth
er
Info
rma
tio
n
Va
lua
tio
n M
eth
od
olo
gy
As
no
ted
on
pag
e 5
, th
e P
ub
lish
ed
NA
V a
nd
th
e I
FR
S N
AV
ma
y d
ive
rge
be
ca
use
of
dif
fere
nt
key
ass
um
pti
on
s u
sed
to
de
term
ine
th
e
va
lua
tio
n o
f th
e B
CF
po
rtfo
lio. K
ey
ass
um
pti
on
s w
hic
h a
re d
iffe
ren
t b
etw
ee
n t
he
tw
o b
ase
s a
s at
31
De
cem
be
r 2
02
0 a
nd
31
De
cem
be
r
20
19 a
re d
eta
iled
be
low
:
Ass
et
Val
uat
ion
Met
ho
do
log
yIn
pu
t
IFR
S
NA
V
Pu
blis
he
d
NA
V
IFR
S
NA
V
Pu
blis
he
d
NA
V
31
Dec
emb
er
20
20
31 D
ecem
be
r 2
019
CLO
Sec
uri
ties
D
isco
un
ted
Cas
h F
low
sC
on
stan
t d
efa
ult
rat
e1.7
5%1.8
3%1.9
8%
2.0
0%
Co
nd
itio
nal
pre
pay
me
nt
rate
23%
24%
25
%2
0%
Rei
nve
stm
ent
spre
ad (
bp
ove
r L
IBO
R)
370
.00
359
.23
35
4.7
73
80
.82
Re
cove
ry r
ate
loan
s6
0.0
0%
60
.00
%70
.00
%70
.00
%
Re
cove
ry la
g (M
on
ths)
012
012
Dis
cou
nt
rate
14.5
5%
14.0
0%
15.6
7%
12.0
4%
All
of
the
ass
um
pti
on
s ab
ov
e a
re b
ase
d o
n w
eig
hte
d a
ve
rag
es.
Ce
rta
in a
ssu
mp
tio
ns,
wh
ich
un
de
rpin
th
e y
ear
-en
d P
ub
lish
ed
NA
V, s
uch
as
a lo
we
r co
nd
itio
nal
pre
pay
me
nt
rate
, dis
cou
nt
rate
an
d a
12-m
on
th r
eco
ve
ry la
g o
n a
ssu
me
d d
efa
ult
ed
ass
ets
, are
ge
ne
rally
mo
re c
on
serv
ati
ve
. Th
e b
elo
w t
ab
le f
urt
he
r e
xp
lain
s th
e r
atio
na
le
reg
ard
ing
th
e d
iffe
ren
ces
in t
he
ass
um
pti
on
s th
at s
ign
ific
an
tly
co
ntr
ibu
ted
to
th
e v
alu
atio
n d
ive
rge
nce
as
at 3
1 D
ece
mb
er
20
20
.
As
su
mp
tio
ns
IFR
S N
AV
Pu
bli
sh
ed
NA
V
Re
inv
est
me
nt
Sp
rea
d
Lar
ge
ly w
eig
hte
d b
y a
CL
O's
cu
rre
nt
po
rtfo
lio w
eig
hte
d
ave
rag
e s
pre
ad, w
hic
h a
ssu
me
s th
at t
he
CL
O in
vest
me
nt
man
ag
er
will
co
nti
nu
e t
o r
ein
ve
st in
co
llate
ral w
ith
a
sim
ilar
spre
ad
an
d r
atin
g c
om
po
siti
on
to
th
e e
xist
ing
colla
tera
l po
ol.
In a
dd
itio
n, w
eig
hti
ng
ma
y b
e g
ive
n t
o
pri
ma
ry lo
an
sp
rea
ds
to t
he
ex
ten
t cu
rre
nt
pri
ma
ry
mar
ket
op
po
rtu
nit
ies
sug
ge
st d
iffe
ren
t sp
rea
ds
tha
n
the
exi
stin
g p
ort
folio
.
Re
pre
sen
ts a
no
rmal
ise
d, l
on
g-t
erm
vie
w o
f lo
an
spre
ad
s to
be
ach
iev
ed
ov
er
the
life
of
the
CL
O's
rem
ain
ing
re
inv
est
me
nt
pe
rio
d. I
nit
ially
info
rme
d b
y
the
un
de
rwri
tin
g m
od
el a
t is
sua
nce
, th
e a
ssu
mp
tio
n
is p
eri
od
ica
lly r
ev
iew
ed
an
d u
pd
ate
d t
o t
he
ex
ten
t o
f
secu
lar
cha
ng
es
in lo
an
sp
rea
ds.
Dis
co
un
t R
ate
Inte
nd
ed
to
re
fle
ct
the
ma
rke
t re
qu
ire
d r
ate
of
retu
rn
for
sim
ilar
secu
riti
es
and
is in
form
ed
by
mar
ket
rese
arch
,
BW
ICs,
mar
ket
colo
ur
for
com
pa
rab
le t
ran
sac
tio
ns,
and
de
ale
r ru
ns.
Th
e d
isco
un
t ra
te m
ay v
ary
bas
ed
on
un
de
rly
ing
loan
pri
ces,
exp
osu
re t
o d
istr
ess
ed
ass
ets
or
ind
ust
rie
s, m
an
age
r p
erf
orm
an
ce, a
nd
tim
e r
em
ain
ing
in r
ein
ve
stm
en
t p
eri
od
. Dis
cou
nt
rate
s h
ave
tig
hte
ne
d
mat
eri
ally
sin
ce Q
1 2
02
0 g
ive
n t
he
re
cov
ery
of
the
loa
n m
arke
t a
nd
ce
ntr
al b
an
k s
tim
ulu
s. T
he
Co
mp
an
y
com
ple
ted
se
ve
ral o
pp
ort
un
isti
c tr
ad
es
of
exc
ess
po
siti
on
s in
Q4
20
20
. Th
e d
isco
un
t ra
tes
imp
lied
by
such
tra
de
s h
elp
ed
info
rm t
he
dis
cou
nt
rate
s a
ssu
me
d
for
ma
rk t
o m
arke
t v
alu
atio
ns.
Ba
sed
on
th
e e
xp
ec
ted
rat
e o
f re
turn
fo
r a
ne
wly
ori
gin
ate
d C
LO
eq
uit
y s
ecu
rity
on
a h
old
to
ma
turi
ty
bas
is. T
he
ex
pe
cte
d r
ate
of
retu
rn is
bas
ed
on
a
lon
g-t
erm
mar
ket
ave
rag
e a
nd
is p
eri
od
ical
ly r
ev
iew
ed
and
up
da
ted
to
th
e e
xte
nt
of
secu
lar
cha
ng
es
in
the
ma
rke
t.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D3
6
ST
RA
Te
gIC
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Po
RT
: R
ISK
oV
eR
VIe
wS
TR
AT
eg
IC R
eP
oR
T:
Pe
RF
oR
mA
NC
e A
NA
ly
SIS
37
So
urc
e o
f th
e C
om
pa
ny
’s D
ivid
en
d –
Ord
ina
ry C
lass
Th
e C
om
pa
ny
th
rou
gh
its
inv
est
me
nts
in t
he
Lu
x S
ub
sid
iary
rece
ive
s in
com
e, o
n a
qu
art
erl
y b
asi
s, o
n t
he
PP
Ns
he
ld b
y t
he
latt
er
in B
CF,
wh
ich
co
nti
nu
es
to g
en
era
te p
osi
tiv
e c
ash
flo
ws
fro
m it
s C
LO
In
com
e N
ote
inv
est
me
nts
an
d f
rom
its
po
rtfo
lio o
f
dir
ec
tly
he
ld a
nd
wa
reh
ou
sed
loa
ns.
Th
e C
om
pa
ny
re
de
em
s C
SW
s o
n a
qu
art
erl
y b
asi
s to
tra
nsf
er
the
inco
me
fro
m t
he
Lu
x S
ub
sid
iary
. As
de
taile
d o
n p
ag
e 7
, th
e
Co
mp
any
re
de
em
ed
41,
67
8,7
30
CS
Ws
in t
he
Lu
x S
ub
sid
iary
du
rin
g t
he
ye
ar
wit
h a
fa
ir v
alu
e o
f €
51,
84
0,5
11 t
o f
un
d t
he
qu
art
erl
y d
ivid
en
d.
(25
)P
ub
lish
ed
NA
V is
an
AP
M f
rom
wh
ich
th
ese
me
tric
s a
re d
eri
ve
d
(26
)R
efe
r to
de
tails
on
ma
na
ge
me
nt
of
the
dis
co
un
t in
th
e C
ha
ir�s
Sta
tem
en
t
Alt
ern
ati
ve I
nv
est
me
nt
Fu
nd
Ma
na
ge
rs’ D
ire
ctiv
e
Th
e A
lte
rnat
ive
Inv
est
me
nt
Fu
nd
Ma
na
ge
rs� D
ire
cti
ve
(�A
IFM
D�)
req
uir
es
cert
ain
info
rmat
ion
to
be
ma
de
av
aila
ble
to
inv
est
ors
in
alt
ern
ativ
e in
ve
stm
en
t fu
nd
s (�
AIF
s�)
be
fore
th
ey
inv
est
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d
req
uir
es
that
mat
eri
al c
ha
ng
es
to t
his
info
rma
tio
n b
e d
iscl
ose
d in
the
an
nu
al r
ep
ort
of
ea
ch A
IF. T
he
re h
ave
be
en
no
ma
teri
al
cha
ng
es
(oth
er
tha
n t
ho
se r
efl
ec
ted
in t
he
se f
ina
nci
al s
tate
me
nts
)
to t
his
info
rmat
ion
re
qu
irin
g d
iscl
osu
re.
Alt
ern
ati
ve
Pe
rfo
rma
nce
Me
asu
res
In a
cco
rda
nce
wit
h E
SM
A G
uid
elin
es
on
AP
Ms,
th
e B
oa
rd h
as
con
sid
ere
d w
hic
h A
PM
s a
re in
clu
de
d in
th
e A
nn
ual
Re
po
rt a
nd
Au
dit
ed
Fin
an
cial
Sta
tem
en
ts a
nd
re
qu
ire
fu
rth
er
cla
rifi
cat
ion
. An
AP
M is
de
fin
ed
as
a f
inan
cia
l me
asu
re o
f h
isto
rica
l or
futu
re
fin
an
cia
l pe
rfo
rma
nce
, fin
an
cia
l po
siti
on
, or
cash
flo
ws,
oth
er
tha
n
a f
inan
cia
l me
asu
re d
efi
ne
d o
r sp
eci
fie
d in
th
e a
pp
lica
ble
fin
anci
al
rep
ort
ing
fra
me
wo
rk. A
PM
s in
clu
de
d in
th
e f
ina
nci
al s
tate
me
nts
,
wh
ich
are
un
au
dit
ed
an
d o
uts
ide
th
e s
cop
e o
f IF
RS
, are
de
taile
d in
the
ta
ble
be
low
.
Pu
blis
he
d N
AV
to
tal r
etu
rn p
er O
rdin
ary
Sh
are
(25
)P
ub
lish
ed
NA
V p
er
Ord
inar
y S
har
e(2
5)(D
isco
un
t)/P
rem
ium
pe
r O
rdin
ary
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De
fin
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nT
he
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eas
e in
th
e P
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lish
ed N
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pe
r
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inar
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har
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lus
the
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l div
iden
ds
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d
pe
r O
rdin
ary
Sh
are
du
rin
g th
e p
eri
od
, wit
h
such
div
ide
nd
s p
aid
be
ing
re
-in
vest
ed a
t N
AV
,
as a
pe
rce
nta
ge o
f th
e N
AV
per
sh
are
as a
t
pe
rio
d e
nd
Gro
ss a
sse
ts le
ss li
abili
tie
s (in
clu
din
g ac
cru
ed
bu
t u
np
aid
fee
s) d
ete
rmin
ed
in a
cco
rdan
ce
wit
h t
he
se
ctio
n e
nti
tle
d �
Ne
t A
sset
Val
ue�
in
Par
t I o
f th
e C
om
pan
y�s
Pro
spe
ctu
s, d
ivid
ed
by
the
nu
mb
er
of
Ord
inar
y S
har
es
at t
he
rele
van
t ti
me
BG
LF
�s c
losi
ng
sh
are
pri
ce o
n t
he
LS
E le
ss
the
Pu
blis
he
d N
AV
pe
r sh
are
as a
t th
e p
eri
od
end
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ided
by
the
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blis
he
d N
AV
pe
r sh
are
as a
t th
at d
ate
Re
aso
nN
AV
to
tal r
etu
rn s
um
mar
ise
s th
e C
om
pan
y�s
tru
e g
row
th o
ver
tim
e w
hile
tak
ing
into
acco
un
t b
oth
cap
ital
ap
pre
ciat
ion
an
d
div
ide
nd
yie
ld
Th
e P
ub
lish
ed
NA
V p
er s
har
e is
an
ind
icat
or
of
the
intr
insi
c va
lue
of
the
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mp
any.
Th
e d
isco
un
t o
r p
rem
ium
pe
r O
rdin
ary
Sh
are
is a
key
ind
icat
or
of
the
dis
crep
ancy
be
twe
en
the
mar
ket
valu
e a
nd
th
e in
trin
sic
valu
e o
f
the
Co
mp
any
Ta
rge
t~1
1%+
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t ap
plic
able
Max
imu
m d
isco
un
t o
f 7.
5%
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rfo
rma
nce
20
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(0.2
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0.8
43
5(2
0.5
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(26
)
20
1914
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0.2
0)%
20
186
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63
(15.
21)
%
20
171.3
8%
0.9
378
5.0
3%
20
1613
.28
%1.0
23
8(1
.10)%
A r
eco
nci
liati
on
of
the
ab
ov
e-m
en
tio
ne
d A
PM
s to
th
e m
ost
dir
ec
tly
re
con
cila
ble
lin
e it
em
s p
rese
nte
d in
th
e f
inan
cia
l sta
tem
en
ts f
or
the
ye
ar
en
de
d 3
1 D
ece
mb
er
20
20
is p
rese
nte
d b
elo
w:
Pu
bli
she
d N
AV
to
tal r
etu
rn p
er
ord
ina
ry S
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re
31 D
ecem
be
r 20
20
31
Dec
emb
er
20
19
Op
en
ing
Pu
blis
hed
NA
V p
er O
rdin
ary
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are
(A)
€0
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7€
0.8
96
3
Ad
just
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nts
pe
r O
rdin
ary
Sh
are
(B)
€(0
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44
)€
(0.0
89
8)
Op
en
ing
IFR
S N
AV
per
Ord
inar
y S
har
e (C
=A
+B
)€
0.8
54
3€
0.8
06
5
Clo
sin
g P
ub
lish
ed
NA
V p
er
Ord
inar
y S
har
e (D
)€
0.8
43
5€
0.9
187
Ad
just
me
nts
pe
r O
rdin
ary
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are
(E)
€0
.012
2€
(0.0
64
4)
Clo
sin
g IF
RS
NA
V p
er
Ord
inar
y S
har
e (F
=D
+E
)€
0.8
557
€0
.85
43
Div
iden
ds
pai
d d
uri
ng
th
e ye
ar (
G)
€0
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0€
0.10
00
Pu
blis
he
d N
AV
to
tal r
etu
rn p
er
Ord
inar
y S
har
e
(H=
(D-A
+G
)/A
)(0
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)%13
.66
%
Imp
act
of
div
ide
nd
re-
inve
stm
ent
(I)
0.3
5%
0.8
0%
Pu
blis
he
d N
AV
to
tal r
etu
rn p
er
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inar
y S
har
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ith
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iden
ds
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nve
ste
d (J
=H
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(0.2
2)%
14.4
6%
IFR
S N
AV
to
tal r
etu
rn p
er O
rdin
ary
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are
(K=
(F-C
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)/C
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.36
%18
.33
%
Imp
act
of d
ivid
en
d r
e-in
vest
men
t (L
)0
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%(0
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)%
IFR
S N
AV
to
tal r
etu
rn p
er O
rdin
ary
Sh
are
wit
h
div
ide
nd
s re
-in
vest
ed (M
=K
+L
)8
.85%
18.3
1%
Re
fer
to N
ote
16
fo
r fu
rth
er
de
tails
on
th
e a
dju
stm
en
ts p
er
Ord
ina
ry S
ha
re.
Pu
bli
she
d N
AV
pe
r o
rdin
ary
Sh
are
31 D
ecem
be
r 20
20
31
Dec
emb
er
20
19
Pu
blis
he
d N
AV
pe
r O
rdin
ary
Sh
are
(A)
€0
.84
35
€0
.918
7
Ad
just
me
nts
pe
r O
rdin
ary
Sh
are
(B)
€0
.012
2€
(0.0
64
4)
IFR
S N
AV
pe
r O
rdin
ary
Sh
are
(C=
A+
B)
€0
.85
57€
0.8
54
3
Re
fer
to N
ote
16
fo
r fu
rth
er
de
tails
on
th
e a
dju
stm
en
ts p
er
Ord
ina
ry S
ha
re.
(dis
cou
nt)
/Pre
miu
m p
er
ord
ina
ry S
ha
re
31 D
ecem
be
r 20
20
31
Dec
emb
er
20
19
Pu
blis
he
d N
AV
pe
r O
rdin
ary
Sh
are
(A)
€0
.84
35
€0
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7
Ad
just
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nts
pe
r O
rdin
ary
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are
(B)
€0
.012
2€
(0.0
64
4)
IFR
S N
AV
pe
r O
rdin
ary
Sh
are
(C=
A+
B)
€0
.85
57€
0.8
54
3
Clo
sin
g sh
are
pri
ce a
s at
31
Dec
emb
er
pe
r th
e L
SE
(D)
€0
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0€
0.8
25
0
Dis
cou
nt
to P
ub
lish
ed
NA
V p
er
Ord
inar
y S
har
e (E
=(D
-A)/
A)
(20
.57
)%(1
0.2
0)%
Dis
cou
nt
to IF
RS
NA
V p
er
Ord
inar
y S
har
e (F
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-C)/
C)
(21.7
0)%
(3.4
3)%
Re
fer
to N
ote
16
fo
r fu
rth
er
de
tails
on
th
e a
dju
stm
en
ts p
er
Ord
ina
ry S
ha
re.
20
20
AN
NU
AL
RE
PO
RT
| B
LA
CK
ST
ON
E L
OA
N F
INA
NC
ING
LIM
ITE
D3
8
ST
RA
Te
gIC
Re
Po
RT
: o
Th
eR
IN
Fo
Rm
AT
IoN
ST
RA
Te
gIC
Re
Po
RT
: o
Th
eR
IN
Fo
Rm
AT
IoN
39
He
ath
er
Ma
cC
all
um
, CA
Po
siti
on
: C
ha
ir o
f th
e A
ud
it C
om
mit
tee
(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:
7 S
ep
tem
be
r 2
017
He
ath
er
Ma
cC
allu
m is
a C
ha
rte
red
Acc
ou
nta
nt
an
d w
as
a p
art
ne
r o
f K
PM
G C
ha
nn
el I
sla
nd
s fo
r
15 y
ea
rs b
efo
re r
eti
rin
g f
rom
th
e p
art
ne
rsh
ip
in2
016
.
He
ath
er
Ma
cC
allu
m n
ow
ho
lds
a p
ort
folio
of
no
n-e
xecu
tiv
e d
ire
cto
rsh
ips
incl
ud
ing
Ab
erd
ee
n
La
tin
Am
eri
ca
n I
nco
me
Fu
nd
Lim
ite
d a
nd
Cit
y
Me
rch
an
ts H
igh
Yie
ld T
rust
Lim
ite
d, b
oth
of
wh
ich
are
inv
est
me
nt
co
mp
an
ies
liste
d o
n t
he
Lo
nd
on
Sto
ck
Exc
ha
ng
e. S
he
is t
he
Ch
air
of
Jers
ey
Wat
er,
an
un
liste
d J
ers
ey
uti
lity
co
mp
an
y.
Sh
e is
a m
em
be
r o
f th
e I
nst
itu
te o
f D
ire
cto
rs
an
d t
he
In
stit
ute
of
Ch
art
ere
d A
cco
un
tan
ts o
f
Sco
tla
nd
(IC
AS
). S
he
is a
lso
a p
ast
pre
sid
en
t
of
the
Je
rse
y S
oci
ety
of
Ch
art
ere
d a
nd
Ce
rtif
ied
Acc
ou
nta
nts
.
Wit
h 2
0 y
ea
rs� e
xp
eri
en
ce g
ain
ed
in a
glo
ba
l
pro
fess
ion
al s
erv
ice
s fi
rm, H
eat
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
,33
1 O
rdin
ary
Sh
are
s, e
xclu
din
g
5,8
79
,46
3 t
rea
sury
sh
are
s (3
1 D
ece
mb
er
20
19: 4
02
,319
,49
0
Ord
ina
ry S
har
es
an
d 1
33
,45
1,10
7 C
Sh
are
s, e
xclu
din
g 2
,38
0,9
56
tre
asu
ry s
ha
res)
.
Sh
are
Re
pu
rch
ase
Pro
gra
mm
e
At
the
20
19 A
GM
, he
ld o
n 1
1 Ju
ly 2
019
, th
e D
ire
cto
rs w
ere
gra
nte
d
au
tho
rity
to
re
pu
rch
ase
up
to
60
,30
7,6
91
Ord
ina
ry S
har
es
(be
ing
eq
ua
l to
14
.99
% o
f th
e a
gg
reg
ate
nu
mb
er
of
Ord
ina
ry S
ha
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
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
14
.99
% o
f th
e a
gg
reg
ate
nu
mb
er
of
Ord
ina
ry S
ha
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
Co
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
Co
mp
any
has
re
pu
rch
ase
d a
to
tal o
f
125
,00
0 O
rdin
ary
Sh
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
this
au
tho
rity
fro
m S
ha
reh
old
ers
.
Au
tho
rity
to
All
ot
At
the
20
20
AG
M, t
he
Dir
ect
ors
we
re g
ran
ted
au
tho
rity
to
allo
t,
gra
nt
op
tio
ns
ov
er,
or
oth
erw
ise
dis
po
se o
f u
p t
o 4
8,0
41,
68
3
Ord
ina
ry S
ha
res
(be
ing
eq
ual
to
10
.00
% o
f th
e a
gg
reg
ate
nu
mb
er
of
Ord
inar
y S
ha
res
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
Ch
ap
ter
5 o
f th
e D
iscl
osu
re G
uid
an
ce a
nd
Tra
nsp
are
nc
y R
ule
s (w
hic
h c
ov
ers
th
e a
cqu
isit
ion
an
d d
isp
osa
l
of
ma
jor
sha
reh
old
ing
s a
nd
vo
tin
g r
igh
ts),
of
the
fo
llow
ing
Sh
are
ho
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:
Sh
areh
old
er
Per
cen
tag
e o
f
Vo
tin
g R
igh
ts
Bla
ckR
ock
Inc
22
.95
%
Qu
ilte
r p
lc2
1.26
%
Bla
ckst
on
e T
reas
ury
Asi
a P
te L
td9
.01%
FIL
Lim
ited
6.8
9%
Be
twe
en
31
De
cem
be
r 2
02
0 a
nd
28
Ap
ril 2
02
1, n
o n
oti
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:
dIR
eC
To
RS
' R
eP
oR
T
45
Co
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
dv
ise
r, t
he
Po
rtfo
lio M
anag
er,
th
e A
dm
inis
trat
or
an
d t
he
Co
mp
an
y S
ecr
eta
ry. F
urt
he
rmo
re, t
he
Bo
ard
is s
up
plie
d
wit
h in
form
atio
n in
a t
ime
ly m
an
ne
r fr
om
th
e P
ort
folio
Ad
vis
er,
Po
rtfo
lio M
an
ag
er,
th
e C
om
pa
ny
Se
cre
tary
an
d o
the
r a
dv
ise
rs in
afo
rm a
nd
of
a q
ua
lity
ap
pro
pri
ate
fo
r it
to
be
ab
le t
o d
isch
arg
e
its
du
tie
s.
Bo
ard
Ap
pre
nti
ces
Th
e B
oa
rd p
art
icip
ate
s in
th
e B
oar
d A
pp
ren
tice
sch
em
e a
nd
to
ok
on
2 B
oar
d A
pp
ren
tice
s fr
om
1 A
pri
l 20
21,
hav
ing
pre
vio
usl
y ta
ken
on
tw
o B
oar
d A
pp
ren
tice
s fo
r o
ne
ye
ar
in O
cto
be
r 2
018
. Th
e B
oar
d
con
sid
er
this
a v
alu
able
exe
rcis
e in
me
nto
rin
g a
lre
ad
y a
cco
mp
lish
ed
ind
ivid
ual
s to
be
fu
ture
dir
ec
tors
, fo
ste
rin
g e
qu
alit
y an
d d
ev
elo
pin
g
bo
ard
cu
ltu
re.
Du
tie
s a
nd
Re
spo
nsi
bil
itie
s
Th
e B
oa
rd h
as
ov
era
ll re
spo
nsi
bili
ty f
or
ma
xim
isin
g t
he
Co
mp
an
y�s
succ
ess
by
dir
ect
ing
an
d s
up
erv
isin
g t
he
aff
airs
of
the
bu
sin
ess
an
d
me
eti
ng
th
e a
pp
rop
riat
e in
tere
sts
of
Sh
are
ho
lde
rs a
nd
re
lev
an
t
stak
eh
old
ers
, wh
ile e
nh
an
cin
g t
he
va
lue
of
the
Co
mp
an
y a
nd
als
o
en
suri
ng
th
e p
rote
cti
on
of
inv
est
ors
. A s
um
ma
ry o
f th
e B
oa
rd�s
resp
on
sib
iliti
es
is a
s fo
llow
s:
sta
tuto
ry o
blig
atio
ns
an
d p
ub
lic d
iscl
osu
re;
stra
teg
ic m
atte
rs a
nd
fin
an
cia
l re
po
rtin
g;
risk
ass
ess
me
nt
an
d m
an
ag
em
en
t in
clu
din
g r
ep
ort
ing
,
com
plia
nce
, go
ve
rna
nce
, mo
nit
ori
ng
an
d c
on
tro
l; a
nd
oth
er
mat
ters
hav
ing
a m
ate
ria
l eff
ec
t o
n t
he
Co
mp
an
y.
Th
e B
oar
d is
re
spo
nsi
ble
to
Sh
are
ho
lde
rs f
or
the
ove
rall
man
age
me
nt
of
the
Co
mp
an
y. T
he
Bo
ard
has
de
leg
ate
d c
ert
ain
op
era
tio
nal
ac
tiv
itie
s o
f th
e C
om
pa
ny
to
th
e P
ort
folio
Ad
vis
er,
Ad
min
istr
ato
r
and
Co
mp
any
Se
cre
tary
. Th
e B
oar
d r
ese
rve
s th
e p
ow
er
of
de
cisi
on
s
rela
tin
g t
o t
he
de
term
inat
ion
of
inv
est
me
nt
po
licy,
th
eap
pro
va
l of
cha
ng
es
in s
trat
eg
y, c
apit
al s
tru
ctu
re, s
tatu
tory
ob
ligat
ion
s a
nd
pu
blic
dis
clo
sure
, an
d t
he
en
teri
ng
into
of
an
y m
ate
ria
l co
ntr
ac
ts
by
th
e C
om
pa
ny.
Sta
tem
en
t o
f D
iscl
osu
re o
f In
form
ati
on
to
the
Au
dit
or
Th
e D
ire
cto
rs w
ho
he
ld o
ffic
e a
s at
th
e d
ate
of
ap
pro
val
of
this
Dir
ec
tors
� Re
po
rt c
on
firm
th
at, s
o f
ar
as
the
y a
re e
ach
aw
are
, th
ere
is n
o r
ele
va
nt
au
dit
info
rmat
ion
of
wh
ich
th
e C
om
pan
y�s
au
dit
or
isu
naw
are
an
d t
hat
th
ey
hav
e t
ake
n t
he
ste
ps
that
th
ey
ou
gh
t to
ha
ve
ta
ken
as
Dir
ec
tors
to
ma
ke t
he
mse
lve
s aw
are
of
any
re
lev
ant
au
dit
info
rma
tio
n a
nd
to
est
ab
lish
th
at t
he
Co
mp
an
y�s
au
dit
or
is
aw
are
of
that
info
rma
tio
n.
En
vir
on
me
nta
l, E
mp
loye
e, S
oci
al,
Co
mm
un
ity
a
nd
Hu
ma
n R
igh
ts M
att
ers
Th
e C
om
pa
ny
is a
clo
sed
en
de
d in
ve
stm
en
t co
mp
an
y w
ith
no
em
plo
ye
es,
an
d t
he
refo
re it
s e
nv
iro
nm
en
tal a
nd
clim
atic
imp
ac
t is
min
imal
. Th
e B
oa
rd n
ote
s th
at t
he
co
mp
an
ies
in w
hic
h B
CF
inv
est
s
(eit
he
r d
ire
ctl
y o
r in
dir
ect
ly)
may
hav
e a
n e
nv
iro
nm
en
tal,
soci
al
an
d g
ov
ern
ance
imp
ac
t. T
he
Bo
ard
hav
e o
bta
ine
d a
nd
re
vie
we
d
BX
Cre
dit
�s R
esp
on
sib
le In
ve
stin
g P
olic
y a
nd
co
nsi
de
red
th
eir
pe
rsp
ec
tiv
e o
n c
limat
e c
ha
ng
e. T
he
Bo
ard
no
ted
th
at B
X C
red
it is
of
the
be
lief
tha
t a
ke
y c
om
po
ne
nt
of
be
ing
a r
esp
on
sib
le in
ve
sto
r
is a
n a
ctiv
e e
valu
atio
n o
f E
SG
co
mp
on
en
ts o
f it
s in
vest
me
nts
. He
nce
,
a r
ev
iew
of
ES
G r
isk
s is
inte
gra
ted
into
BX
Cre
dit
�s in
ve
stm
en
t
an
aly
sis
and
de
cisi
on
-ma
kin
g p
roce
sse
s fr
om
pre
-in
ve
stm
en
t
dili
ge
nce
to
po
st-i
nv
est
me
nt
mo
nit
ori
ng
. BX
Cre
dit
re
cog
nis
es
the
va
lue
th
at in
corp
ora
tin
g E
SG
fa
cto
rs in
inv
est
me
nt
rese
arc
h
cre
ate
s b
oth
in t
erm
s o
f m
itig
atin
g r
isk
an
d e
nh
an
cin
g lo
ng
-te
rm
pe
rfo
rma
nce
acr
oss
inv
est
me
nts
. BX
Cre
dit
inte
gra
tes
rev
iew
an
d
con
sid
era
tio
n o
f a
pp
lica
ble
ES
G f
ac
tors
into
its
de
cisi
on
-ma
kin
g
pro
cess
es.
Re
fer
to t
he
Po
rtfo
lio A
dv
ise
r�s
Re
vie
w o
n p
ag
es
18 t
o
20
fo
r fu
rth
er
de
tails
on
th
e P
ort
folio
Ad
vis
er�
s E
SG
po
licy.
Mo
de
rn s
lave
ry
Th
e C
om
pa
ny
wo
uld
no
t fa
ll in
to t
he
sco
pe
of
the
UK
Mo
de
rn
Sla
ve
ry A
ct
20
15 (
as
the
Co
mp
an
y d
oe
s n
ot
hav
e a
ny
tu
rno
ve
r
de
riv
ed
fro
m g
oo
ds
an
d s
erv
ice
s) if
it w
as
inco
rpo
rate
d in
th
e U
K.
Fu
rth
erm
ore
, as
a cl
ose
d-e
nd
ed
inve
stm
en
t co
mp
any,
th
e C
om
pan
y
ha
s n
o e
mp
loye
es
an
d it
s su
pp
ly c
ha
in is
co
nsi
de
red
to
be
low
ris
k
giv
en
th
at s
up
plie
rs a
re t
yp
ical
ly p
rofe
ssio
na
l ad
vis
ers
ba
sed
in
eit
he
r th
e C
ha
nn
el I
sla
nd
s o
r th
e U
K. B
ase
d o
n t
he
se f
ac
tors
, th
e
Bo
ard
hav
e c
on
sid
ere
d t
ha
t it
is n
ot
ne
cess
ary
fo
r th
e C
om
pa
ny
to m
ake
a s
lav
ery
an
d h
um
an t
raff
ick
ing
sta
tem
en
t.
ga
ry C
lark
Dir
ec
tor
29
Ap
ril 2
02
1
46
go
Ve
RN
AN
Ce
: d
IRe
CT
oR
S'
Re
Po
RT
go
Ve
RN
AN
Ce
: C
oR
Po
RA
Te
go
Ve
RN
AN
Ce
Re
Po
RT
47
Au
dit
Co
mm
itte
e
Th
e A
ud
it C
om
mit
tee
co
mp
rise
s a
ll d
ire
cto
rs, e
xce
pt
Ch
arl
ott
e V
ale
ur,
an
d is
ch
air
ed
by
he
ath
er
ma
cCa
llu
m.
Th
e t
erm
s o
f re
fere
nce
sta
te t
ha
t th
e A
ud
it C
om
mit
tee
will
me
et
no
t le
ss t
han
th
ree
tim
es
a y
ea
r a
nd
will
me
et
wit
h t
he
Au
dit
or
at
leas
t o
nce
a y
ear
. Th
e r
ep
ort
on
th
e r
ole
an
d a
cti
vit
ies
of
this
com
mit
tee
an
d it
s re
lati
on
ship
wit
h t
he
Au
dit
or
is in
clu
de
d in
th
e
Au
dit
Co
mm
itte
e R
ep
ort
on
pag
es
55
to
57.
Ma
na
ge
me
nt
En
ga
ge
me
nt
Co
mm
itte
e
Th
e m
an
ag
em
en
t e
ng
ag
em
en
t C
om
mit
tee
co
mp
rise
s a
ll
dir
ect
ors
an
d is
ch
air
ed
by
Ch
arl
ott
e V
ale
ur.
Th
e t
erm
s o
f re
fere
nce
sta
te t
ha
t th
e M
an
ag
em
en
t E
ng
ag
em
en
t
Co
mm
itte
e s
hal
l me
et
at
leas
t o
nce
a y
ea
r; w
ill h
ave
re
spo
nsi
bili
ty
for
mo
nit
ori
ng
an
d r
ev
iew
ing
th
e P
ort
folio
Ad
vis
er�
s p
erf
orm
an
ce;
an
d w
ill r
eco
mm
en
d t
o t
he
Bo
ard
wh
eth
er
the
co
nti
nu
ed
ap
po
intm
en
t o
f th
e P
ort
folio
Ad
vis
er
is in
th
e b
est
inte
rest
s o
f th
e
Co
mp
any
an
d S
har
eh
old
ers
.
NA
V R
ev
iew
Co
mm
itte
e
Th
e N
AV
Re
vie
w C
om
mit
tee
co
mp
rise
s a
ll d
ire
cto
rs,
ex
cep
t C
ha
rlo
tte
Va
leu
r, a
nd
is c
ha
ire
d b
y g
ary
Cla
rk.
Th
e t
erm
s o
f re
fere
nce
sta
te t
ha
t th
e N
AV
Re
vie
w C
om
mit
tee
sha
ll m
ee
t at
lea
st o
nce
a m
on
th t
o r
ev
iew
an
d c
on
sid
er
the
Co
mp
any
�s N
AV
ca
lcu
lati
on
, fa
ct
she
et
an
d r
ela
ted
sto
ck
exc
ha
ng
e a
nn
ou
nce
me
nt(
s).
Re
mu
ne
rati
on
an
d N
om
ina
tio
n C
om
mit
tee
Th
e R
em
un
era
tio
n a
nd
No
min
ati
on
Co
mm
itte
e
com
pri
ses
all
dir
ect
ors
an
d is
ch
air
ed
by
ga
ry C
lark
.T
he
te
rms
of
refe
ren
ce s
tate
th
at t
he
Re
mu
ne
rati
on
an
d N
om
inat
ion
Co
mm
itte
e w
ill m
ee
t n
ot
less
th
an
tw
ice
a y
ear
an
d s
ha
ll b
e
resp
on
sib
le f
or
all
asp
ec
ts o
f th
e a
pp
oin
tme
nt
and
re
mu
ne
rati
on
of
Dir
ect
ors
. Th
e r
em
un
era
tio
n d
uti
es
of
the
co
mm
itte
e in
clu
de
de
term
inin
g a
nd
ag
ree
ing
wit
h t
he
Bo
ard
th
e f
ram
ew
ork
or
bro
ad
po
licy
fo
r th
e r
em
un
era
tio
n o
f th
e D
ire
cto
rs a
nd
to
re
vie
w it
s
on
go
ing
ap
pro
pri
ate
ne
ss a
nd
re
lev
an
ce.
Th
e n
om
inat
ion
du
tie
s o
f th
e c
om
mit
tee
incl
ud
e r
eg
ula
rly
re
vie
win
g
the
str
uc
ture
, siz
e a
nd
co
mp
osi
tio
n o
f th
e B
oa
rd, i
ncl
ud
ing
th
e
ba
lan
ce o
f sk
ills,
exp
eri
en
ce, i
nd
ep
en
de
nce
an
d k
no
wle
dg
e, a
s w
ell
as
ide
nti
fyin
g, n
om
ina
tin
g a
nd
re
com
me
nd
ing
fo
r th
e a
pp
rov
al o
f
the
Bo
ard
, ca
nd
idat
es
to f
ill B
oa
rd v
aca
nci
es
as
the
y a
rise
.
dir
ect
or
Re
-ele
ctio
n a
nd
Te
nu
re
Th
e R
em
un
era
tio
n a
nd
No
min
ati
on
Co
mm
itte
e a
nd
th
e B
oa
rd a
re
stro
ng
ly c
om
mit
ted
to
str
ikin
g t
he
co
rre
ct
ba
lan
ce b
etw
ee
n t
he
be
ne
fits
of
con
tin
uit
y a
nd
th
ose
th
at c
om
e f
rom
th
e in
tro
du
cti
on
of
ne
w p
ers
pe
cti
ve
s to
th
e B
oa
rd.
It is
th
e in
ten
tio
n o
f th
e B
oar
d t
ha
t e
ach
Dir
ec
tor
will
re
tire
aft
er
no
lon
ge
r th
an
nin
e y
ea
rs in
th
eir
ro
le a
nd
th
e B
oa
rd h
as a
do
pte
d
a p
olic
y w
he
reb
y a
ll D
ire
cto
rs w
ill b
e p
ut
up
fo
r re
-ele
cti
on
ev
ery
ye
ar. A
cco
rdin
gly
, all
Dir
ec
tors
will
be
pu
t fo
rwar
d f
or
re-e
lec
tio
n
at t
he
fo
rth
com
ing
AG
M. E
ach
of
the
Dir
ec
tors
ha
s d
em
on
stra
ted
a st
ron
g c
om
mit
me
nt
to t
he
Co
mp
an
y a
nd
th
e B
oar
d b
elie
ve
s e
ach
Dir
ec
tor�
s re
-ele
cti
on
to
be
in t
he
be
st in
tere
sts
of
the
Co
mp
an
y.
Th
e B
oar
d a
lso
mai
nta
ins
a s
ucc
ess
ion
pla
nn
ing
mat
rix
cov
eri
ng
th
e
Dir
ec
tors
� sk
ills,
th
e B
oa
rd�s
div
ers
ity,
an
d t
he
Dir
ect
ors
� ex
pe
cte
d
ye
ar o
f re
tire
me
nt
sho
uld
th
ey
ho
ld o
ffic
e f
or
nin
e y
ea
rs. T
he
mat
rix
is u
sed
by
th
e R
em
un
era
tio
n a
nd
No
min
ati
on
Co
mm
itte
e
to id
en
tify
an
y a
dd
itio
nal
sk
ills
that
wo
uld
be
ne
fit
the
Bo
ard
an
d
to h
elp
th
e R
em
un
era
tio
n a
nd
No
min
atio
n C
om
mit
tee
est
ab
lish
wh
en
to
be
gin
re
cru
itin
g f
or
an
y n
ew
dir
ect
ors
. Th
e B
oa
rd a
lso
kee
ps
its
div
ers
ity
un
de
r re
vie
w.
Ris
k C
om
mit
tee
Th
e R
isk
Co
mm
itte
e c
om
pri
ses
all
dir
ect
ors
an
d is
ch
air
ed
b
y S
tev
en
wil
de
rsp
in.
Th
e t
erm
s o
f re
fere
nce
sta
te t
hat
th
e R
isk
Co
mm
itte
e s
ha
ll m
ee
t a
t
lea
st t
wo
tim
es
a y
ea
r. T
he
ac
tiv
itie
s o
f th
is c
om
mit
tee
are
ou
tlin
ed
in t
he
Ris
k C
om
mit
tee
Re
po
rt o
n p
age
s 5
1 a
nd
52
.
Insi
de
In
form
ati
on
Co
mm
itte
e
Th
e In
sid
e I
nfo
rma
tio
n C
om
mit
tee
co
mp
rise
s a
ny
tw
o
me
mb
ers
of
the
bo
ard
.T
he
In
sid
e In
form
atio
n C
om
mit
tee
is r
esp
on
sib
le f
or
con
sid
eri
ng
wh
eth
er
an
yth
ing
bro
ug
ht
to it
s a
tte
nti
on
co
nst
itu
tes
insi
de
info
rma
tio
n a
nd
mo
nit
ori
ng
th
e d
iscl
osu
re a
nd
co
ntr
ol o
f
such
info
rmat
ion
.
Bo
ard
Div
ers
ity
Th
e B
oar
d b
elie
ve
s in
an
d v
alu
es
the
imp
ort
ance
of
a b
road
ran
ge
of
skill
s, e
xp
eri
en
ce a
nd
div
ers
ity,
incl
ud
ing
ge
nd
er,
fo
r th
e e
ffe
cti
ve
fun
cti
on
ing
of
the
Bo
ard
, all
of
wh
ich
are
co
nsi
de
red
wh
en
de
term
inin
g t
he
op
tim
um
co
mp
osi
tio
n o
f th
e B
oar
d. T
he
Bo
ard
ha
s a
po
licy
th
at
aim
s to
hav
e a
min
imu
m o
f 4
0%
of
eit
he
r g
en
de
r
rep
rese
nte
d o
n t
he
Bo
ard
, an
d a
lso
re
cog
nis
es
the
imp
ort
an
ce o
f
incl
usi
vit
y in
its
div
ers
ity
po
licy.
Th
e B
oar
d e
nsu
res
com
plia
nce
wit
h it
s p
olic
y in
re
spe
ct o
f a
ny
ap
po
intm
en
ts t
o t
he
Bo
ard
. At
31
De
cem
be
r 2
02
0 a
nd
at
the
da
te o
f ap
pro
va
l of
the
se f
inan
cia
l
stat
em
en
ts, 6
0%
of
the
Dir
ec
tors
we
re m
ale
an
d 4
0%
we
re f
em
ale
.
Bo
ard
Att
en
da
nce
Th
e f
ollo
win
g t
ab
le s
ho
ws
the
nu
mb
er
of
me
eti
ng
s h
eld
by
th
e B
oa
rd a
nd
ea
ch c
om
mit
tee
fo
r th
e y
ea
r e
nd
ed
31
De
cem
be
r 2
02
0, a
s w
ell
as
the
Dir
ect
ors
� an
d C
om
mit
tee
Me
mb
ers
� att
en
da
nce
.
Me
etin
gTo
tal
Ch
arlo
tte
Val
eu
rG
ary
Cla
rkS
teve
n W
ilde
rsp
inH
eat
her
Mac
Cal
lum
Mar
k M
off
at
Qu
arte
rly
Bo
ard
44
44
44
Ad
Ho
c B
oar
d5
45
55
5
Ad
Ho
c b
oar
d (D
ivid
en
d D
ecl
arat
ion
)4
44
44
4
Au
dit
Co
mm
itte
e6
N/A
66
66
Man
age
me
nt
En
gag
emen
t C
om
mit
tee
11
11
11
NA
V R
evie
w C
om
mit
tee
12N
/A11
1212
12
Re
mu
ne
rati
on
an
d N
om
inat
ion
Co
mm
itte
e4
44
44
4
Ris
k C
om
mit
tee
44
44
44
Insi
de
Info
rmat
ion
Co
mm
itte
e(27
)3
12
32
2
(27
)T
he
In
sid
e I
nfo
rma
tio
n C
om
mit
tee
is a
co
mm
itte
e o
f a
ny
tw
o D
ire
cto
rs
Ch
air
Th
e C
ha
ir is
re
spo
nsi
ble
fo
r le
ad
ers
hip
of
the
Bo
ard
, en
suri
ng
its
eff
ec
tiv
en
ess
on
all
asp
ec
ts o
f it
s ro
le a
nd
se
ttin
g it
s a
ge
nd
a.
Th
eC
ha
ir is
als
o r
esp
on
sib
le f
or
en
suri
ng
th
at t
he
Dir
ec
tors
rece
ive
acc
ura
te, t
ime
ly a
nd
cle
ar in
form
atio
n a
nd
fo
r e
ffe
cti
ve
com
mu
nic
ati
on
wit
h S
ha
reh
old
ers
.
Bo
ard
In
de
pe
nd
en
ce
Fo
r th
e p
urp
ose
of
ass
ess
ing
co
mp
lian
ce w
ith
pri
nci
ple
G,
pro
vis
ion
s 10
an
d 1
3 o
f th
e A
IC C
od
e, t
he
Bo
ard
co
nsi
de
rs a
ll o
f
the
cu
rre
nt
Dir
ec
tors
to
be
ind
ep
en
de
nt.
Th
e D
ire
cto
rs c
on
sid
er
that
th
ere
are
no
fa
cto
rs, a
s se
t o
ut
in
pro
vis
ion
13
in t
he
AIC
Co
de
, wh
ich
co
mp
rom
ise
th
e o
the
r D
ire
cto
rs�
ind
ep
en
de
nce
an
d t
hat
all
Dir
ec
tors
co
ntr
ibu
te c
om
pre
he
nsi
ve
ly t
o
the
aff
air
s o
f th
e C
om
pa
ny.
Th
e B
oa
rd r
ev
iew
s th
e in
de
pe
nd
en
ce
of
all
Dir
ec
tors
an
nu
ally
. Th
e C
om
pa
ny
Se
cre
tary
ac
ts a
s se
cre
tary
to t
he
Bo
ard
an
d C
om
mit
tee
s a
nd
, in
do
ing
so
, ass
ists
th
e C
hai
r
ine
nsu
rin
g t
hat
all
Dir
ec
tors
hav
e f
ull
and
tim
ely
acc
ess
to
all
rele
van
t d
ocu
me
nta
tio
n, o
rgan
ise
s in
du
cti
on
of
ne
w D
ire
cto
rs, i
s
resp
on
sib
le f
or
en
suri
ng
th
at t
he
co
rre
ct B
oa
rd p
roce
du
res
are
follo
we
d a
nd
ad
vis
es
the
Bo
ard
on
co
rpo
rate
go
ve
rna
nce
mat
ters
.
Bo
ard
Ev
alu
ati
on
Du
rin
g 2
02
0, t
he
Bo
ard
co
nd
uc
ted
th
eir
ow
n r
ev
iew
usi
ng
Bo
ard
Me
trix
, a b
oar
d e
va
luat
ion
to
ol.
Th
is e
val
uat
ion
ass
ess
ed
the
Bo
ard
�s p
erf
orm
an
ce in
th
e f
ollo
win
g a
reas
:
bo
ard
co
mp
osi
tio
n/s
kill
s;
stra
teg
ic r
ev
iew
;
wo
rkin
gs
of
the
bo
ard
;
risk
ov
ers
igh
t;
pe
rfo
rma
nce
ov
ers
igh
t; a
nd
sta
keh
old
er
man
age
me
nt.
Th
e p
erf
orm
an
ce o
f e
ach
Dir
ec
tor
an
d t
he
Co
mm
itte
es
of
the
Bo
ard
we
re a
lso
ass
ess
ed
as
pa
rt o
f th
is e
va
luat
ion
.
Th
e e
val
uat
ion
co
ncl
ud
ed
th
at t
he
Bo
ard
was
str
on
g a
cro
ss a
ll o
f th
e
abo
ve
are
as
and
th
at t
he
Dir
ec
tors
an
d t
he
Bo
ard
�s C
om
mit
tee
s
we
re p
erf
orm
ing
eff
ect
ive
ly. N
o s
ign
ific
an
t re
com
me
nd
atio
ns
we
re m
ad
e w
hic
h a
re r
eq
uir
ed
to
be
bro
ug
ht
to t
he
att
en
tio
n o
f
the
Sh
are
ho
lde
rs.
Co
mm
itte
es
of
the
Bo
ard
Th
e B
oar
d h
as
est
ab
lish
ed
six
co
mm
itte
es:
an
Au
dit
Co
mm
itte
e;
aM
anag
em
en
t E
ng
age
me
nt
Co
mm
itte
e; a
NA
V R
ev
iew
Co
mm
itte
e;
a R
em
un
era
tio
n a
nd
No
min
atio
n C
om
mit
tee
; a R
isk
Co
mm
itte
e;
and
an
Insi
de
Info
rmat
ion
Co
mm
itte
e. E
ach
co
mm
itte
e h
as f
orm
ally
de
leg
ate
d d
uti
es
and
re
spo
nsi
bili
tie
s w
ith
in w
ritt
en
te
rms
of
refe
ren
ce. T
he
se a
re a
va
ilab
le o
n t
he
Co
mp
an
y�s
we
bsi
te,
bla
ckst
on
e.c
om
/bg
lf, u
nd
er
�Te
rms
of
Re
fere
nce
�.
Th
e c
urr
en
t co
mm
itte
e m
em
be
rsh
ips
are
de
taile
d o
n t
he
follo
win
g p
age
.
48
go
Ve
RN
AN
Ce
: C
oR
Po
RA
Te
go
Ve
RN
AN
Ce
Re
Po
RT
go
Ve
RN
AN
Ce
: C
oR
Po
RA
Te
go
Ve
RN
AN
Ce
Re
Po
RT
49
Ris
k C
om
mit
tee
R
ep
ort
Me
mb
ers
hip
Th
e R
isk
Co
mm
itte
e c
om
pri
ses
Ste
ve
n W
ilde
rsp
in (
Ch
air)
, Ch
arlo
tte
Va
leu
r, H
eat
he
r M
acC
allu
m, G
ary
Cla
rk a
nd
Ma
rk M
off
at.
Ke
y O
bje
cti
ve
s
Th
e R
isk
Co
mm
itte
e h
as
be
en
est
ablis
he
d t
o a
ssis
t th
e B
oa
rd in
its
ov
ers
igh
t o
f ri
sk t
hro
ug
h e
nsu
rin
g t
he
Co
mp
an
y m
ain
tain
s a
hig
h s
tan
da
rd o
f ri
sk id
en
tifi
cati
on
, mo
nit
ori
ng
an
d m
an
ag
em
en
t
so a
s to
min
imis
e in
ve
stm
en
t ri
sks
an
d a
ny
oth
er
risk
s n
ot
cov
ere
d
by
th
e A
ud
it C
om
mit
tee
.
Re
spo
nsi
bil
itie
s
Th
e R
isk
Co
mm
itte
e�s
ke
y r
esp
on
sib
iliti
es
are
:
en
suri
ng
th
e C
om
pan
y�s
co
mp
lian
ce w
ith
its
inv
est
me
nt
ob
jec
tiv
es,
po
licie
s, r
est
ric
tio
ns
and
bo
rro
win
g li
mit
s;
en
suri
ng
th
at
app
rop
riat
e p
olic
ies
an
d r
ep
ort
ing
exi
sts
for
the
mo
nit
ori
ng
of
the
Co
mp
an
y�s
ke
y r
isk
s;
de
ve
lop
ing
an
d m
ain
tain
ing
a r
isk
re
gis
ter
do
cum
en
tin
g id
en
tifi
ed
risk
s, t
he
ir m
itig
an
ts, l
ike
liho
od
an
d im
pa
ct, w
hic
h is
re
vie
we
d
reg
ula
rly
by
th
e B
oa
rd w
ith
ac
tio
n p
oin
ts a
nd
ne
wly
ide
nti
fie
d
risk
s b
ein
g a
pp
rop
riat
ely
de
alt
wit
h;
de
fin
ing
ris
k r
ev
iew
ac
tiv
itie
s re
ga
rdin
g in
ve
stm
en
t d
eci
sio
ns,
tran
sac
tio
ns
and
ex
po
sure
s fo
r a
pp
rov
al b
y t
he
Bo
ard
; an
d
en
suri
ng
du
e r
eg
ard
is g
ive
n t
o a
ll re
gu
lati
on
s, c
od
es,
an
d la
ws
that
th
e C
om
pa
ny
is s
ub
jec
t to
.
Co
mm
itte
e M
ee
tin
gs
In 2
02
0, t
he
Ris
k C
om
mit
tee
me
t o
n f
ou
r o
cca
sio
ns.
Th
e s
pe
cifi
c
are
as o
f fo
cus
for
the
Co
mm
itte
e d
uri
ng
th
e y
ear
incl
ud
ed
:
Th
e i
mp
ac
t o
f th
e C
OV
ID-1
9 p
an
de
mic
. T
he
Co
mm
itte
e
rev
iew
ed
th
e o
pe
rati
on
al r
esi
lien
ce o
f th
e C
om
pa
ny
�s k
ey
serv
ice
pro
vid
ers
to
en
sure
th
at t
he
y c
ou
ld c
on
tin
ue
pro
vid
ing
serv
ice
s th
rou
gh
ou
t th
e y
ear
, pa
rtic
ula
rly
du
rin
g p
eri
od
s o
f
lock
do
wn
. Th
e C
om
mit
tee
re
vie
we
d a
ll o
f th
e C
om
pan
y�s
ris
ks
thro
ug
h t
he
len
s o
f th
e p
an
de
mic
to
en
sure
th
at
an
y n
ew
or
he
igh
ten
ed
ris
k w
as
ide
nti
fie
d a
nd
ap
pro
pri
ate
ly d
ea
lt w
ith
�
see
th
e R
isk
Ov
erv
iew
on
pa
ge
32
. Oth
er
than
th
e h
eig
hte
ne
d
op
era
tio
na
l ris
k, t
he
mo
st m
ate
rial
incr
ea
se in
ris
k r
ela
ted
to
th
e
sust
ain
abili
ty o
f th
e C
om
pa
ny
�s d
ivid
en
d a
nd
lev
el o
f th
e
Co
mp
an
y�s
sh
are
pri
ce d
isco
un
t to
Pu
blis
he
d N
AV
. Th
ese
are
as
we
re a
dd
ress
ed
by
th
e B
oar
d a
s d
esc
rib
ed
on
pa
ge
s 3
2 t
o 3
4.
Th
e s
tru
ctu
rin
g o
f th
e C
om
pa
ny
’s i
nv
est
me
nts
th
rou
gh
Lu
xe
mb
ou
rg a
nd
go
ve
rna
nce
of
the
Co
mp
an
y’s
Lu
xe
mb
ou
rg
sub
sid
iary
. Ju
st b
efo
re t
he
CO
VID
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pa
nd
em
ic h
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arl
y in
20
20
, th
e C
hai
rs o
f th
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isk
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d A
ud
it C
om
mit
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nd
uc
ted
a
du
e d
ilig
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ce v
isit
to
th
e s
ub
sid
iary
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uxe
mb
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rg a
nd
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d m
em
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e P
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folio
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vis
er�
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uxe
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rg t
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m.
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e v
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ery
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h t
he
en
ga
ge
me
nt
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su
bsi
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nd
th
e s
tre
ng
th o
f th
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rati
on
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m
inL
uxe
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ou
rg.
Cy
be
r R
isk
. T
he
Co
mm
itte
e c
on
sid
ere
d a
re
po
rt, c
om
mis
sio
ne
d
fro
m K
PM
G, t
hat
fo
cuse
d o
n t
he
cy
be
r th
rea
t re
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nce
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mp
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y�s
mai
n s
erv
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lack
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ort
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Ad
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P P
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d L
ink
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eg
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. Min
or
acti
on
po
ints
fro
m t
his
re
po
rt w
ere
fo
llow
ed
up
by
the
Co
mm
itte
e.
KP
MG
als
o m
ad
e s
om
e g
en
era
l re
com
me
nd
atio
ns
reg
ard
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th
e
risk
aro
un
d t
he
act
ivit
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the
Bo
ard
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d c
on
seq
ue
ntl
y th
e b
oar
d
has
en
ga
ge
d a
de
dic
ate
d I
T s
erv
ice
pro
vid
er
in J
ers
ey
to
man
ag
e
an e
mai
l se
rvic
e f
or
the
dir
ec
tors
as
we
ll as
pro
vid
ing
ba
ck-u
p
and
acc
ess
to
mo
re s
ecu
re d
ocu
me
nt
ma
nag
em
en
t c
ap
abili
tie
s.
Re
gis
tra
tio
n S
erv
ice
s. T
he
Co
mm
itte
e c
on
sid
ere
d a
re
aso
nab
ly
stra
igh
t fo
rwa
rd d
ata
issu
e t
hat
aro
se a
t th
e R
eg
istr
ar
wh
o
con
firm
ed
th
ere
was
no
loss
of
dat
a o
r d
ata
sen
t e
xte
rnal
ly. T
akin
g
acc
ou
nt
of
the
ir le
ng
th o
f se
rvic
e s
ince
IPO
, th
e C
om
mit
tee
reco
mm
en
de
d t
o t
he
Bo
ard
th
at t
he
re
gis
tra
tio
n s
erv
ice
be
re-t
en
de
red
. Th
is p
roce
ss w
ill b
e c
om
ple
ted
in 2
02
1.
Inte
rna
l Co
ntr
ols
Th
e B
oa
rd h
as a
pp
lied
pri
nci
ple
O o
f th
e A
IC C
od
e b
y e
stab
lish
ing
a c
on
tin
uo
us
pro
cess
fo
r id
en
tify
ing
, ev
alu
atin
g a
nd
ma
na
gin
g t
he
pri
nci
pa
l ris
ks
tha
t th
e C
om
pa
ny
fa
ces.
Th
e B
oar
d is
re
spo
nsi
ble
for
the
Co
mp
an
y�s
sy
ste
m o
f in
tern
al c
on
tro
ls a
nd
fo
r re
vie
win
g
its
eff
ec
tiv
en
ess
. Su
ch a
sy
ste
m is
de
sig
ne
d t
o m
an
ag
e r
ath
er
tha
n e
limin
ate
th
e r
isk
of
failu
re t
o a
chie
ve
bu
sin
ess
ob
jec
tiv
es,
an
d c
an
on
ly p
rov
ide
re
aso
na
ble
an
d n
ot
ab
solu
te a
ssu
ran
ce
ag
ain
st m
ate
ria
l mis
sta
tem
en
t o
r lo
ss.
Th
e B
oa
rd�s
mo
nit
ori
ng
co
ve
rs a
ll co
ntr
ols
, in
clu
din
g f
inan
cia
l,
op
era
tio
nal
an
d c
om
plia
nce
co
ntr
ols
an
d r
isk
man
age
me
nt.
It is
ba
sed
pri
nci
pa
lly o
n r
ev
iew
ing
re
po
rts
fro
m t
he
Po
rtfo
lio A
dv
ise
r
an
d B
CF
to
co
nsi
de
r w
he
the
r si
gn
ific
an
t ri
sks
are
ide
nti
fie
d,
ev
alu
ate
d, m
ana
ge
d a
nd
co
ntr
olle
d a
nd
wh
eth
er
an
y s
ign
ific
an
t
we
ak
ne
sse
s a
re p
rom
ptl
y r
em
ed
ied
an
d in
dic
ate
a n
ee
d f
or
mo
re
ex
ten
siv
e m
on
ito
rin
g.
Th
e A
ud
it C
om
mit
tee
ass
ists
th
e B
oar
d in
dis
cha
rgin
g it
s
mo
nit
ori
ng
re
spo
nsi
bili
tie
s.
Du
rin
g t
he
co
urs
e o
f th
e B
oa
rd�s
re
vie
w o
f th
e s
yst
em
of
inte
rna
l
con
tro
ls, i
t h
as
no
t id
en
tifi
ed
no
r b
ee
n a
dv
ise
d o
f a
ny
fai
ling
s o
r
we
ak
ne
sse
s w
hic
h it
ha
s d
ete
rmin
ed
to
be
sig
nif
ican
t. T
he
refo
re,
no
co
nfi
rma
tio
n in
re
spe
ct
of
ne
cess
ary
ac
tio
ns
ha
s b
ee
n m
ad
e.
Th
e B
oa
rd is
als
o r
esp
on
sib
le f
or
sett
ing
th
e o
ve
rall
inv
est
me
nt
po
licy
an
d m
on
ito
rs t
he
se
rvic
es
pro
vid
ed
by
th
e P
ort
folio
Ad
vis
er
at
reg
ula
r B
oa
rd m
ee
tin
gs.
Th
e B
oa
rd r
ece
ive
s re
gu
lar
rep
ort
s
fro
m t
he
Po
rtfo
lio A
dv
ise
r, t
og
eth
er
wit
h q
uar
terl
y r
ep
ort
s fr
om
the
Ad
min
istr
ato
r, t
he
Co
mp
any
Se
cre
tary
, th
e D
ep
osi
tary
,
Co
mp
lian
ce (
incl
ud
ing
th
e M
on
ey
Lau
nd
eri
ng
Co
mp
lian
ce O
ffic
er
an
d M
on
ey
Lau
nd
eri
ng
Re
po
rtin
g O
ffic
er)
an
d f
rom
th
e P
ort
folio
Ad
vis
er
cov
eri
ng
co
mp
lian
ce m
att
ers
.
Th
e D
ire
cto
rs c
lea
rly
de
fin
e t
he
du
tie
s a
nd
re
spo
nsi
bili
tie
s o
f th
eir
ag
en
ts a
nd
ad
vis
ers
, wh
ose
ap
po
intm
en
ts a
re m
ad
e a
fte
r d
ue
con
sid
era
tio
n, a
nd
mo
nit
or
the
ir o
ng
oin
g p
erf
orm
an
ce, w
hic
h is
do
ne
wit
h t
he
ass
ista
nce
of
the
Man
ag
em
en
t E
ng
ag
em
en
t
Co
mm
itte
e. A
ll o
f th
e C
om
pan
y�s
ag
en
ts a
nd
ad
vis
ers
mai
nta
in
the
ir o
wn
sy
ste
ms
of
inte
rna
l co
ntr
ol o
n w
hic
h t
he
y r
ep
ort
to
th
e
Bo
ard
. Th
ese
sy
ste
ms
are
de
sig
ne
d t
o e
nsu
re e
ffe
cti
ve
ne
ss a
nd
eff
icie
nt
op
era
tio
n, i
nte
rna
l co
ntr
ol a
nd
co
mp
lian
ce w
ith
law
s an
d
reg
ula
tio
ns.
In e
sta
blis
hin
g t
he
sy
ste
ms
of
inte
rna
l co
ntr
ol,
reg
ard
is p
aid
to
th
e m
ate
ria
lity
of
rele
van
t ri
sks,
th
e li
kelih
oo
d o
f co
sts
be
ing
incu
rre
d a
nd
th
e c
ost
s o
f co
ntr
ol.
It f
ollo
ws,
th
ere
fore
, th
at
the
sy
ste
ms
of
inte
rna
l co
ntr
ol c
an o
nly
pro
vid
e r
ea
son
able
bu
t
no
t ab
solu
te a
ssu
ran
ce a
gai
nst
th
e r
isk
of
ma
teri
al m
isst
ate
me
nt
or
loss
.
Th
e D
ire
cto
rs a
re s
atis
fie
d t
hat
th
e c
on
tin
ue
d a
pp
oin
tme
nt
of
the
rele
va
nt
serv
ice
pro
vid
ers
is in
th
e b
est
inte
rest
s o
f th
e
Sh
are
ho
lde
rs.
Th
e B
oar
d h
as
rev
iew
ed
th
e n
ee
d f
or
an
inte
rna
l au
dit
fu
nc
tio
n
an
d h
as
de
cid
ed
th
at t
he
sy
ste
ms
an
d p
roce
du
res
em
plo
ye
d b
y
the
Ad
min
istr
ato
r a
nd
Po
rtfo
lio A
dv
ise
r, in
clu
din
g t
he
ir o
wn
inte
rna
l co
ntr
ols
an
d p
roce
du
res,
pro
vid
e s
uff
icie
nt
ass
ura
nce
that
a s
ou
nd
sy
ste
m o
f ri
sk m
ana
ge
me
nt
and
inte
rna
l co
ntr
ol,
to
safe
gu
ard
th
e S
ha
reh
old
ers
� in
ve
stm
en
t a
nd
th
e C
om
pan
y�s
ass
ets
, is
mai
nta
ine
d. A
n in
tern
al a
ud
it f
un
ctio
n s
pe
cifi
c to
th
e
Co
mp
an
y is
th
ere
fore
co
nsi
de
red
un
ne
cess
ary
. Fu
ll d
eta
ils a
re s
et
ou
t in
th
e A
ud
it C
om
mit
tee
Re
po
rt o
n p
ag
es
55
to
57.
Th
e C
om
pa
ny
ha
s a
pp
oin
ted
Np
lus
1 S
ing
er
Ad
vis
ory
LL
P a
nd
Win
terf
loo
d In
ve
stm
en
t T
rust
s a
s it
s jo
int
bro
kers
. To
ge
the
r w
ith
the
bro
kers
, th
e P
ort
folio
Ad
vis
er
ass
ists
th
e B
oa
rd in
com
mu
nic
atin
g w
ith
an
d u
nd
ers
tan
din
g t
he
vie
ws
of
the
Co
mp
an
y�s
ma
jor
Sh
are
ho
lde
rs.
50
go
Ve
RN
AN
Ce
: C
oR
Po
RA
Te
go
Ve
RN
AN
Ce
Re
Po
RT
go
Ve
RN
AN
Ce
: R
ISK
Co
mm
ITT
ee
Re
Po
RT
51
Dir
ec
tors
’ Re
mu
ne
rati
on
R
ep
ort
Dir
ec
tors
’ Re
mu
ne
rati
on
Th
is r
ep
ort
pro
vid
es
rele
va
nt
info
rma
tio
n in
re
spe
ct
of
the
Dir
ec
tors
� re
mu
ne
rati
on
.
Th
e t
ab
les
be
low
ou
tlin
es
the
re
mu
ne
rati
on
th
e D
ire
cto
rs w
ere
en
titl
ed
to
du
rin
g t
he
ye
ar
en
de
d 3
1 D
ece
mb
er
20
20
fo
r th
eir
se
rvic
es.
Tota
l fix
ed r
emu
ner
atio
n fo
r th
e ye
ar e
nd
ed 3
1 D
ecem
ber
20
20
Tota
l fix
ed
re
mu
ne
rati
on
fo
r th
e y
ear
en
de
d 3
1 D
ece
mb
er
20
19
££
Ch
arlo
tte
Val
eur
61,0
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46
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nag
em
en
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ng
age
me
nt
Co
mm
itte
e, N
AV
Re
vie
w C
om
mit
tee
, Re
mu
ne
rati
on
an
d N
om
ina
tio
n C
om
mit
tee
,
Au
dit
Co
mm
itte
e a
nd
Ris
k C
om
mit
tee
ea
ch r
ece
ive
d a
dd
itio
nal
fee
s, w
hic
h a
re in
clu
de
d in
th
e a
mo
un
ts a
bo
ve
, fo
r th
e a
dd
itio
na
l
resp
on
sib
iliti
es
and
tim
e c
om
mit
me
nt
req
uir
ed
in u
nd
ert
ak
ing
the
se r
ole
s. A
dd
itio
na
lly, t
he
Se
nio
r In
de
pe
nd
en
t D
ire
cto
r re
ceiv
ed
ad
dit
ion
al f
ee
s fo
r th
e a
dd
itio
na
l re
spo
nsi
bili
tie
s a
nd
tim
e
com
mit
me
nt
req
uir
ed
in u
nd
ert
ak
ing
th
is r
ole
.
Th
e R
em
un
era
tio
n a
nd
No
min
atio
n C
om
mit
tee
incr
ea
sed
He
ath
er
Mac
Cal
lum
�s a
dd
itio
nal
fe
e f
or
serv
ice
s p
rov
ide
d a
s A
ud
it C
om
mit
tee
Ch
air
by
£5
,00
0 e
ffe
cti
ve
1 A
ug
ust
20
20
to
re
fle
ct
the
incr
ea
sed
tim
e c
om
mit
me
nt
req
uir
ed
. Th
e t
ab
le a
bo
ve
incl
ud
es
a p
ro-r
ate
d
am
ou
nt
of
£2
,09
0.
Dir
ec
tors
� re
mu
ne
rati
on
is p
aya
ble
in S
terl
ing
qu
art
erl
y in
arr
ear
s.
No
oth
er
rem
un
era
tio
n (
fixe
d o
r v
ari
able
) o
r co
mp
en
sati
on
was
pai
d
or
is p
ayab
le b
y th
e C
om
pan
y d
uri
ng
th
e y
ear
to
an
y o
f th
e D
ire
cto
rs.
Th
ere
has
be
en
no
ch
an
ge
to
th
e C
om
pa
ny
�s r
em
un
era
tio
n p
olic
y.
Th
e C
om
pan
y h
as n
o e
mp
loye
es,
acc
ord
ing
ly, t
he
re is
no
dif
fere
nce
in p
olic
y o
n t
he
re
mu
ne
rati
on
of
Dir
ec
tors
an
d t
he
re
mu
ne
rati
on
of
em
plo
ye
es.
No
Dir
ec
tor
is e
nti
tle
d t
o r
ece
ive
an
y r
em
un
era
tio
n
wh
ich
is p
erf
orm
an
ce-r
ela
ted
.
Th
e R
em
un
era
tio
n a
nd
No
min
atio
n C
om
mit
tee
re
vie
ws
the
Re
mu
ne
rati
on
Po
licy
and
Dir
ect
ors
� re
mu
ne
rati
on
on
an
an
nu
al b
asis
.
Re
mu
ne
rati
on
Po
lic
y
Dir
ect
ors
� fe
es
are
de
term
ine
d b
y th
e R
em
un
era
tio
n a
nd
No
min
atio
n
Co
mm
itte
e u
nd
er
the
te
rms
of
the
re
mu
ne
rati
on
po
licy
(th
e
�Re
mu
ne
rati
on
Po
licy
�) a
pp
rov
ed
on
11
July
20
19, a
s d
eri
ve
d f
rom
the
Co
mp
any
�s A
rtic
les
of
Ass
oci
atio
n. T
he
Re
mu
ne
rati
on
an
d
No
min
atio
n C
om
mit
tee
als
o c
on
sid
ers
th
e r
em
un
era
tio
n le
ve
ls
of
sim
ilar
com
pa
nie
s an
d c
on
sult
s e
xte
rna
l re
mu
ne
rati
on
con
sult
ants
wh
ere
th
is is
de
em
ed
ap
pro
pri
ate
.
Th
e R
em
un
era
tio
n a
nd
No
min
ati
on
Co
mm
itte
e c
on
sist
s o
f a
ll
Dir
ec
tors
an
d is
inv
olv
ed
in d
eci
din
g D
ire
cto
rs� r
em
un
era
tio
n
an
de
nsu
rin
g t
ha
t re
mu
ne
rati
on
re
ceiv
ed
re
fle
cts
th
e D
ire
cto
rs�
du
tie
s, r
esp
on
sib
iliti
es
an
d t
he
va
lue
of
the
ir t
ime
.
Th
e C
om
pa
ny
do
es
no
t p
rov
ide
pe
nsi
on
s o
r o
the
r re
tire
me
nt
or
sup
era
nn
uat
ion
be
ne
fits
, de
ath
or
dis
ab
ility
be
ne
fits
, or
oth
er
allo
wa
nce
s o
r g
ratu
itie
s to
th
e D
ire
cto
rs o
r sp
eci
fie
d c
on
ne
cte
d
pa
rtie
s. T
he
Re
mu
ne
rati
on
Po
licy
als
o p
roh
ibit
s p
aym
en
ts t
o a
Dir
ec
tor
for
loss
of
off
ice
or
as
con
sid
era
tio
n f
or,
or
in c
on
ne
cti
on
wit
h, h
is o
r h
er
reti
rem
en
t fr
om
off
ice
. Wh
ilst
the
Re
mu
ne
rati
on
Po
licy
pe
rmit
s p
art
of
the
ir f
ee
to
be
pa
id in
th
e f
orm
of
fully
-pai
d
up
sh
are
s in
th
e c
ap
ita
l of
the
Co
mp
an
y, t
he
Dir
ec
tors
� fe
es
are
no
t cu
rre
ntl
y p
aid
th
is w
ay.
In a
dd
itio
n, t
he
Re
mu
ne
rati
on
Po
licy
allo
ws
for
rea
son
able
tra
ve
l,
ho
tel a
nd
oth
er
ex
pe
nse
s in
curr
ed
by
th
e D
ire
cto
rs in
th
e c
ou
rse
of
pe
rfo
rmin
g t
he
ir d
uti
es
or
fro
m t
he
ir p
erf
orm
an
ce o
f a
spe
cia
l
serv
ice
on
be
hal
f o
f th
e C
om
pa
ny.
Th
e li
mit
fo
r th
e a
gg
reg
ate
fe
es
pay
ab
le t
o t
he
Dir
ec
tors
is
£3
00
,00
0 p
er
an
nu
m.
Gu
ida
nc
e f
or
Ris
k C
om
mit
tee
s is
sue
d b
y t
he
Ris
k C
oa
liti
on
.
Du
rin
g t
he
ye
ar t
he
Ch
air
of
the
Co
mm
itte
e c
on
sid
ere
d t
he
gu
idan
ce f
or
risk
co
mm
itte
es
pu
blis
he
d b
y t
he
Ris
k C
oa
litio
n
an
d e
ng
age
d w
ith
th
e a
uth
ors
an
d t
he
AIC
re
ga
rdin
g it
s
ap
plic
ati
on
to
In
ve
stm
en
t C
om
pa
nie
s. A
s a
re
sult
, aft
er
the
ye
ar-e
nd
, in
Fe
bru
ary
20
21
the
Co
mm
itte
e a
pp
rov
ed
ne
w t
erm
s
of
refe
ren
ce f
or
the
Ris
k C
om
mit
tee
inco
rpo
rati
ng
its
key
pri
nci
ple
s, b
ut
no
t it
s d
eta
iled
pro
vis
ion
s w
hic
h w
ill in
ste
ad
be
use
d f
or
refe
ren
ce p
urp
ose
s.
Th
e p
ote
nti
al
Bre
xit
im
pa
ct
on
th
e C
om
pa
ny
an
d i
ts
inv
est
me
nts
, a
nd
on
th
e o
pe
rati
on
s o
f th
e P
ort
foli
o A
dv
ise
r.
Alt
ho
ug
h t
his
wa
s ke
pt
un
de
r re
vie
w, B
rex
it w
as
no
t co
nsi
de
red
like
ly t
o h
ave
a m
ajo
r im
pa
ct
on
th
e C
om
pa
ny,
an
d t
he
Po
rtfo
lio
Ad
vis
er
wa
s w
ell-
pla
ced
to
arr
an
ge
its
aff
air
s b
etw
ee
n D
ub
lin,
Lo
nd
on
an
d L
uxe
mb
ou
rg t
o m
itig
ate
an
y o
pe
rati
on
al r
isk
to
its
bu
sin
ess
. No
issu
es
for
the
Co
mp
an
y a
ctu
ally
aro
se w
he
n t
he
UK
left
th
e E
U o
r at
th
e e
nd
of
the
tra
nsi
tio
n p
eri
od
.
Va
lua
tio
n A
ssu
mp
tio
n E
rro
r. T
he
Co
mm
itte
e in
ve
stig
ate
d t
he
circ
um
sta
nce
s g
ivin
g r
ise
to
th
e v
alu
atio
n a
ssu
mp
tio
n e
rro
r
an
no
un
ced
to
th
e s
tock
mar
ket
on
1 S
ep
tem
be
r 2
02
0. F
ollo
win
g
the
ide
nti
fica
tio
n o
f th
is v
alu
atio
n a
ssu
mp
tio
n e
rro
r, n
o a
dju
stm
en
t
was
ma
de
to
th
e P
ub
lish
ed
NA
V. T
he
Co
mm
itte
e s
atis
fie
d it
self
that
th
e P
ort
folio
Ad
vis
er
ha
d e
stab
lish
ed
ro
bu
st n
ew
pro
ced
ure
s
wit
h t
he
th
ird
-pa
rty
va
lua
tio
n a
ge
nt
to p
rev
en
t su
ch e
rro
rs
recu
rrin
g. A
fte
r th
e y
ea
r-e
nd
a n
ew
th
ird
-pa
rty
val
uat
ion
ag
en
t
was
en
ga
ge
d.
Ris
k M
on
ito
rin
g
Be
ing
inte
rna
lly m
anag
ed
, th
e C
om
pa
ny
is r
esp
on
sib
le f
or
bo
th
po
rtfo
lio a
nd
ris
k m
an
ag
em
en
t. H
ow
ev
er,
du
e t
o t
he
nat
ure
of
the
inv
est
me
nt
and
th
e li
mit
ed
ab
ility
to
loo
k t
hro
ug
h, t
rad
itio
na
l
ma
rke
t a
nd
cre
dit
ris
k t
ech
niq
ue
s d
o n
ot
ap
ply
at
the
Co
mp
an
y
lev
el.
Th
at s
aid
, th
e B
oar
d r
eg
ula
rly
en
ga
ge
s w
ith
th
e b
oa
rd o
f
BC
F a
nd
dis
cuss
es
wit
h t
he
m k
ey
are
as
of
risk
.
Inv
est
me
nt
risk
ma
nag
em
en
t a
nd
mo
nit
ori
ng
, to
en
sure
th
e
succ
ess
ful p
urs
ua
nce
of
ou
r in
ve
stm
en
t o
bje
cti
ve
, is
the
refo
re
ma
inly
th
rou
gh
th
e C
om
pan
y�s
mo
nth
ly N
AV
re
po
rtin
g p
roce
ss
an
d t
he
mo
nit
ori
ng
of
inv
est
me
nt
rest
ric
tio
ns
an
d e
ligib
ility
crit
eri
a a
s ca
rrie
d o
ut
by
th
e D
ep
osi
tary
.
Ste
ve
n w
ild
ers
pin
Ris
k C
om
mit
tee
Ch
air
29
Ap
ril 2
02
1
52
go
Ve
RN
AN
Ce
: R
ISK
Co
mm
ITT
ee
Re
Po
RT
go
Ve
RN
AN
Ce
: d
IRe
CT
oR
S’
Re
mu
Ne
RA
TIo
N R
eP
oR
T
53
Au
dit
Co
mm
itte
e
Re
po
rt
Au
dit
Co
mm
itte
e
Th
e A
ud
it C
om
mit
tee
co
mp
rise
s H
eat
he
r M
acC
allu
m, M
ark
Mo
ffat
,
Ste
ve
n W
ilde
rsp
in a
nd
Ga
ry C
lark
an
d is
ch
air
ed
by
He
ath
er
Ma
cCa
llum
. He
ath
er
Ma
cCa
llum
has
re
cen
t an
d r
ele
van
t fi
nan
cia
l
ex
pe
rie
nce
in a
cco
un
tin
g a
nd
au
dit
ing
, an
d t
he
Au
dit
Co
mm
itte
e
as
a w
ho
le h
as c
om
pe
ten
ce r
ele
va
nt
to t
he
se
cto
r in
wh
ich
th
e
Co
mp
any
op
era
tes.
In a
dd
itio
n t
o f
orm
al m
ee
tin
gs,
th
e A
ud
it C
om
mit
tee
ha
s w
ork
ed
wit
h t
he
Po
rtfo
lio A
dv
ise
r an
d A
ud
ito
r to
ass
ess
th
e o
pe
rati
on
s
an
d c
on
tro
ls o
f B
CF
an
d t
o a
sse
ss in
pa
rtic
ula
r w
hat
re
lian
ce t
he
Au
dit
Co
mm
itte
e c
an
pla
ce o
n t
he
co
ntr
ol e
nv
iro
nm
en
t. T
he
Ch
air
has
als
o h
ad
a n
um
be
r o
f d
iscu
ssio
ns
wit
h t
he
Au
dit
or,
th
e P
ort
folio
Ad
vis
er
and
th
e A
dm
inis
trat
or
aro
un
d t
he
an
nu
al a
ud
it a
nd
hal
f y
ear
fin
an
cia
l re
po
rtin
g p
roce
sse
s.
Ro
le o
f th
e A
ud
it C
om
mit
tee
Th
e f
un
ctio
n o
f th
e A
ud
it C
om
mit
tee
is t
o e
nsu
re t
hat
th
e C
om
pan
y
mai
nta
ins
hig
h s
tan
dar
ds
of
inte
gri
ty, f
inan
cia
l re
po
rtin
g a
nd
inte
rnal
co
ntr
ols
.
Th
e A
ud
it C
om
mit
tee
�s m
ain
ro
les
an
d r
esp
on
sib
iliti
es
incl
ud
e, b
ut
are
no
t lim
ite
d t
o, t
he
fo
llow
ing
:
mo
nit
ori
ng
th
e in
teg
rity
of
the
fin
anci
al s
tate
me
nts
an
d a
ny
fo
rmal
ann
ou
nce
me
nts
re
lati
ng
to
th
e C
om
pan
y�s
fin
anci
al p
erf
orm
ance
;
rev
iew
ing
an
d r
ep
ort
ing
to
th
e B
oa
rd o
n a
ny
sig
nif
ica
nt
fin
an
cia
l
rep
ort
ing
issu
es
an
d ju
dg
em
en
ts;
rev
iew
ing
an
d m
on
ito
rin
g t
he
eff
ec
tiv
en
ess
of
the
Co
mp
an
y�s
risk
ma
na
ge
me
nt
an
d in
tern
al c
on
tro
l arr
an
ge
me
nts
;
mo
nit
ori
ng
th
e s
tatu
tory
au
dit
of
the
an
nu
al f
ina
nci
al s
tate
me
nts
of
the
Co
mp
an
y a
nd
its
eff
ec
tiv
en
ess
;
rev
iew
ing
th
e e
xte
rna
l au
dit
or�
s p
erf
orm
an
ce, i
nd
ep
en
de
nce
an
d o
bje
cti
vit
y;
ma
kin
g r
eco
mm
en
da
tio
ns
to t
he
Bo
ard
in r
ela
tio
n t
o t
he
ap
po
intm
en
t, r
ea
pp
oin
tme
nt
an
d/o
r re
mo
va
l of
the
ex
tern
al
au
dit
or,
th
e a
pp
rov
al o
f th
e e
xte
rna
l au
dit
or�
s re
mu
ne
rati
on
an
d
the
te
rms
of
the
en
ga
ge
me
nt;
imp
lem
en
tin
g p
olic
ies
surr
ou
nd
ing
th
e e
ng
ag
em
en
t o
f th
e
ex
tern
al a
ud
ito
r to
su
pp
ly n
on
-au
dit
se
rvic
es,
wh
ere
ap
pro
pri
ate
;
rev
iew
ing
an
d c
hal
len
gin
g w
he
re n
ece
ssa
ry s
ign
ific
ant
acco
un
tin
g
po
licie
s a
nd
pra
cti
ces;
an
d
rep
ort
ing
to
th
e B
oar
d o
n h
ow
it h
as d
isch
arg
ed
its
resp
on
sib
iliti
es.
Ho
w t
he
Au
dit
Co
mm
itte
e H
as
Dis
cha
rge
d It
s R
esp
on
sib
ilit
ies
Th
e A
ud
it C
om
mit
tee
me
t si
x ti
me
s d
uri
ng
th
e y
ear
. Re
pre
sen
tati
ve
s
of
the
Po
rtfo
lio A
dv
ise
r, C
om
pa
ny
�s A
ud
ito
r an
d t
he
Ad
min
istr
ato
r
we
re in
vit
ed
to
th
e m
ee
tin
gs
as
ap
pro
pri
ate
.
Mo
nit
ori
ng
th
e I
nte
gri
ty o
f th
e F
ina
nci
al
Sta
tem
en
ts I
ncl
ud
ing
Sig
nif
ica
nt
Jud
ge
me
nts
We
re
vie
we
d t
he
Co
mp
an
y�s
An
nu
al R
ep
ort
an
d 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
19 a
nd
the
Ha
lf
Ye
arl
y F
ina
nci
al R
ep
ort
fo
r th
e s
ix m
on
ths
en
de
d 3
0 J
un
e 2
02
0
pri
or
to d
iscu
ssio
n a
nd
ap
pro
va
l by
th
e B
oar
d, a
nd
th
e s
ign
ific
ant
fin
an
cial
re
po
rtin
g is
sue
s a
nd
jud
ge
me
nts
wh
ich
th
ey
co
nta
in. W
e
als
o r
ev
iew
ed
th
e e
xte
rna
l au
dit
or�
s re
po
rts
the
reo
n, w
hic
h w
ere
dis
cuss
ed
wit
h t
he
Au
dit
or.
We
re
vie
we
d t
he
ap
pro
pri
ate
ne
ss o
f
the
Co
mp
any
�s a
cco
un
tin
g p
rin
cip
les
and
po
licie
s, a
nd
mo
nit
ore
d
cha
ng
es
to, a
nd
co
mp
lian
ce w
ith
, acc
ou
nti
ng
sta
nd
ard
s o
n a
n
on
go
ing
ba
sis.
Aft
er
the
ye
ar
en
d, w
e h
ad
fu
rth
er
me
eti
ng
s a
nd
we
re
vie
we
d,
pri
or
to m
ak
ing
an
y r
eco
mm
en
dat
ion
s to
th
e B
oa
rd, t
he
An
nu
al
Re
po
rt a
nd
Au
dit
ed
Fin
anci
al S
tate
me
nts
fo
r th
e y
ear
en
de
d
31
De
cem
be
r 2
02
0. I
n u
nd
ert
ak
ing
th
is r
ev
iew
, we
dis
cuss
ed
wit
h
the
Au
dit
or,
th
e P
ort
folio
Ad
vis
er
an
d t
he
Ad
min
istr
ato
r th
e
crit
ica
l acc
ou
nti
ng
po
licie
s a
nd
jud
ge
me
nts
th
at h
ave
be
en
app
lied
.
Th
e A
ud
ito
r re
po
rte
d t
o t
he
Co
mm
itte
e o
n a
ny
no
n-t
riv
ial
mis
stat
em
en
ts t
hat
th
ey
ha
d f
ou
nd
du
rin
g t
he
co
urs
e o
f th
eir
wo
rk a
nd
co
nfi
rme
d t
hat
un
de
r IS
A (
UK
) n
o m
ate
ria
l am
ou
nts
rem
ain
ed
un
ad
just
ed
.
As
req
ue
ste
d b
y t
he
Bo
ard
, we
als
o r
ev
iew
ed
th
e A
nn
ua
l Re
po
rt
an
d a
re a
ble
to
co
nfi
rm t
o t
he
Bo
ard
th
at, i
n o
ur
vie
w, t
he
An
nu
al
Re
po
rt, t
ake
n a
s a
wh
ole
, is
fair
, ba
lan
ced
an
d u
nd
ers
tan
da
ble
an
d
pro
vid
ed
th
e in
form
atio
n n
ece
ssar
y f
or
Sh
are
ho
lde
rs t
o a
sse
ss t
he
Co
mp
an
y�s
po
siti
on
, pe
rfo
rman
ce, b
usi
ne
ss m
od
el a
nd
str
ate
gy.
Dir
ec
tors
’ In
tere
sts
Th
e D
ire
cto
rs h
eld
th
e f
ollo
win
g n
um
be
r o
f O
rdin
ary
sh
are
s in
th
e C
om
pan
y a
s a
t th
e y
ea
r e
nd
:
Sh
are
sTy
pe
As
at
31
De
cem
ber
20
20
As
at
31
De
cem
ber
20
19
Ch
arlo
tte
Val
eur
Ord
inar
y11
,50
011
,50
0
Gar
y C
lark
O
rdin
ary
168
,20
010
8,2
00
Hea
the
r M
acC
allu
mO
rdin
ary
--
Ste
ven
Wild
ers
pin
Ord
inar
y2
0,0
00
20
,00
0
Mar
k M
off
at
Ord
inar
y7
71,
593
60
1,02
8
Mar
k M
off
atC
-2
91,0
68
Pri
or
to 8
Jan
uar
y 2
02
0, M
ark
Mo
ffat
he
ld 6
01,
02
8 O
rdin
ary
Sh
are
s
an
d 2
91,
06
8 C
Sh
are
s. T
he
Co
mp
an
y�s
C S
ha
res
we
re c
on
ve
rte
d t
o
Ord
ina
ry S
har
es
wit
h e
ffe
ct f
rom
8 J
an
ua
ry 2
02
0 a
nd
Mr
Mo
ffa
t�s
resu
ltin
g O
rdin
ary
Sh
are
ho
ldin
g is
incl
ud
ed
ab
ov
e (
this
is u
nch
ang
ed
fro
m 8
Ja
nu
ary
20
20
to
31
De
cem
be
r 2
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
.
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
ea
r w
as E
UR
8,2
00
,00
0, w
hic
h w
as
de
term
ine
d o
n t
he
bas
is o
f N
et
Ass
ets
Va
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
Co
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
rsK
ey
au
dit
ma
tte
rs a
re t
ho
se m
atte
rs t
hat
, in
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
Ke
y a
ud
it
ma
tte
r
de
scri
pti
on
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
Pro
fit
an
d L
oss
.
Inv
est
me
nts
in B
lack
sto
ne
/GS
O L
oa
n F
inan
cin
g (
Lu
xem
bo
urg
) S
.a.r
.l. w
hic
h t
ota
l EU
R 3
88
,00
0,1
46
(20
19:E
UR
39
6,3
92
,27
1) a
s d
eta
iled
on
pag
e 7
5 in
no
te 6
to
th
e f
inan
cial
sta
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
(�IF
RS
13
�). V
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
Ass
ets
Val
ue
(�N
AV
�) w
hic
h is
th
e m
ost
sig
nif
ican
t K
ey
Pe
rfo
rma
nce
Ind
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:
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
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
sid
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
efe
r to
No
te 1
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150
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5 f
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70
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66
FIN
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67
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Re
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20
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Ad
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65
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110
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173
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9,2
61,
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11,4
64
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780
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68
FIN
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69
No
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Fin
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Th
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wit
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n 3
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62
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any
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20
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.
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at 3
1 D
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20
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e C
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d
47
7,0
23
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19,4
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9,4
63
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ld in
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31
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: 2,3
80
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6);
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are
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
d li
ab
iliti
es
de
no
min
ate
d in
fo
reig
n c
urr
en
cie
s at
th
e
Sta
tem
en
t o
f F
ina
nci
al P
osi
tio
n d
ate
are
tra
nsl
ate
d t
o E
uro
at
the
fore
ign
exc
ha
ng
e r
ate
ru
ling
at
tha
t d
ate
. Fo
reig
n e
xch
an
ge
dif
fere
nce
s a
risi
ng
on
tra
nsl
atio
n a
re r
eco
gn
ise
d in
th
e S
tate
me
nt
of
Co
mp
reh
en
siv
e I
nco
me
.
Fo
reig
n c
urr
en
cy
gai
ns
an
d lo
sse
s ar
e in
clu
de
d in
pro
fit
or
loss
on
the
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tem
en
t o
f C
om
pre
he
nsi
ve
Inco
me
as
pa
rt o
f �R
eal
ise
d g
ain
/
(lo
ss)
on
fo
reig
n e
xch
an
ge
�. F
ore
ign
cu
rre
nc
y g
ain
s an
d lo
sse
s o
n
fin
an
cia
l ass
ets
cla
ssif
ied
at
fair
val
ue
th
rou
gh
pro
fit
or
loss
� C
LO
s
are
incl
ud
ed
in p
rofi
t o
r lo
ss o
n t
he
Sta
tem
en
t o
f C
om
pre
he
nsi
ve
Inco
me
as
par
t o
f �N
et
loss
on
fin
an
cial
ass
ets
at
fair
val
ue
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rou
gh
pro
fit
or
loss
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LO
s� f
or
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ye
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de
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.
2.1
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ax
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on
Pro
fit
ari
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g in
th
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om
pa
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r th
e y
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r o
f as
sess
me
nt
will
be
sub
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t to
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rse
y t
ax
at
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nd
ard
co
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rate
inco
me
ta
x r
ate
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1 D
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20
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2.1
2
div
ide
nd
sD
ivid
en
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to S
ha
reh
old
ers
are
re
cord
ed
th
rou
gh
th
e S
tate
me
nt
of
Ch
an
ge
s in
Eq
uit
y w
he
n t
he
y a
re d
ecl
are
d t
o S
ha
reh
old
ers
.
2.1
3C
riti
ca
l acc
ou
nti
ng
jud
ge
me
nts
an
d e
stim
ate
sT
he
pre
pa
rati
on
of
the
fin
anci
al s
tate
me
nts
in c
on
form
ity
wit
h
IFR
S r
eq
uir
es
man
ag
em
en
t to
mak
e ju
dg
em
en
ts, e
stim
ate
s an
d
ass
um
pti
on
s th
at a
ffe
ct
ite
ms
rep
ort
ed
in t
he
Sta
tem
en
t o
f
Fin
an
cia
l Po
siti
on
an
d S
tate
me
nt
of
Co
mp
reh
en
siv
e I
nco
me
.
Ita
lso
re
qu
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s m
an
ag
em
en
t to
exe
rcis
e it
s ju
dg
em
en
t in
th
e
pro
cess
of
app
lyin
g t
he
Co
mp
any
�s a
cco
un
tin
g p
olic
ies.
Un
cert
ain
ty
ab
ou
t th
ese
ass
um
pti
on
s a
nd
est
imat
es
cou
ld r
esu
lt in
ou
tco
me
s
that
re
qu
ire
a m
ate
ria
l ad
just
me
nt
to t
he
car
ryin
g a
mo
un
t o
f
ass
ets
an
d li
abili
tie
s a
ffe
cte
d in
fu
ture
pe
rio
ds.
Est
imat
es
and
un
de
rly
ing
ass
um
pti
on
s a
re r
ev
iew
ed
on
an
on
go
ing
ba
sis.
Re
vis
ion
s to
est
imat
es
are
re
cog
nis
ed
pro
spe
cti
ve
ly.
Est
ima
tes
a.
Fair
va
lue
Fo
r th
e f
air
val
ue
of
all
fin
an
cia
l in
stru
me
nts
he
ld, t
he
Co
mp
an
y
de
term
ine
s fa
ir v
alu
es
usi
ng
ap
pro
pri
ate
te
chn
iqu
es.
Re
fer
to N
ote
2.9
an
d N
ote
12
fo
r fu
rth
er
de
tails
on
th
e s
ign
ific
an
t
est
imat
es
app
lied
in t
he
va
luat
ion
of
the
co
mp
an
ies�
fin
an
cia
l
inst
rum
en
ts a
nd
th
e u
nd
erl
yin
g f
ina
nci
al i
nst
rum
en
ts in
BC
F.
Jud
ge
me
nts
b.
No
n-c
on
solid
ati
on
of
the
Lu
x S
ub
sid
iary
Th
e C
om
pa
ny
me
ets
th
e d
efi
nit
ion
of
an
Inv
est
me
nt
En
tity
as
de
fin
ed
by
IFR
S 1
0 a
nd
is r
eq
uir
ed
to
acc
ou
nt
for
its
inv
est
me
nts
at f
air
va
lue
th
rou
gh
pro
fit
or
loss
.
Th
e C
om
pa
ny
ha
s m
ult
iple
un
rela
ted
inv
est
ors
an
d h
old
s m
ult
iple
inv
est
me
nts
in t
he
Lu
x S
ub
sid
iary
. Th
e C
om
pan
y h
as b
ee
n d
ee
me
d
to m
ee
t th
e d
efi
nit
ion
of
an
Inv
est
me
nt
En
tity
pe
r IF
RS
10 a
s th
e
follo
win
g c
on
dit
ion
s e
xist
:
the
Co
mp
an
y h
as
ob
tain
ed
fu
nd
s fo
r th
e p
urp
ose
of
pro
vid
ing
inv
est
ors
wit
h in
ve
stm
en
t m
an
age
me
nt
serv
ice
s;
the
Co
mp
an
y�s
bu
sin
ess
pu
rpo
se, w
hic
h h
as
be
en
co
mm
un
icat
ed
dir
ec
tly
to
inv
est
ors
, is
inv
est
ing
so
lely
fo
r re
turn
s fr
om
ca
pit
al
app
reci
ati
on
, in
ve
stm
en
t in
com
e, o
r b
oth
; an
d
the
pe
rfo
rma
nce
of
inv
est
me
nts
ma
de
th
rou
gh
th
e L
ux
Su
bsi
dia
ry a
re m
ea
sure
d a
nd
ev
alu
ate
d o
n a
fa
ir v
alu
e b
asi
s.
Th
e C
om
pa
ny
ha
s a
lso
co
nsi
de
red
th
e t
yp
ica
l ch
ara
cte
rist
ics
of
an
inv
est
me
nt
en
tity
pe
r IF
RS
10
in a
sse
ssin
g w
he
the
r it
me
ets
th
e
de
fin
itio
n o
f an
In
ve
stm
en
t E
nti
ty.
Th
e C
om
pa
ny
co
ntr
ols
th
e L
ux
Su
bsi
dia
ry t
hro
ug
h it
s 10
0%
ho
ldin
g o
f th
e v
oti
ng
rig
hts
an
d o
wn
ers
hip
. Th
e L
ux
Su
bsi
dia
ry is
inco
rpo
rate
d in
Lu
xem
bo
urg
.
Re
fer
to N
ote
11
for
furt
he
r d
iscl
osu
res
rela
tin
g t
o t
he
Co
mp
an
y�s
inte
rest
in t
he
Lu
x S
ub
sid
iary
.
72
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ST
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FIN
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To
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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).
Fin
an
cia
l ass
ets
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
� C
LO
s co
nsi
sts
of
2 d
ire
ctl
y h
eld
CL
O M
ezz
an
ine
No
tes
(31
De
cem
be
r
20
19: 6
dir
ec
tly
he
ld C
LO
Inco
me
No
tes
an
d 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
. Th
ese
hav
e y
et
to b
e r
ea
lise
d a
nd
re
-in
ve
ste
d in
CS
Ws
and
th
en
use
d b
y t
he
Lu
x S
ub
sid
iary
to
inv
est
in P
PN
s is
sue
d b
y B
CF.
CS
ws
Th
e C
om
pa
ny
ha
s th
e r
igh
t, a
t a
ny
tim
e d
uri
ng
th
e e
xerc
ise
pe
rio
d (
be
ing
th
e p
eri
od
fro
m t
he
dat
e o
f is
sua
nce
an
d e
nd
ing
on
ea
rlie
r o
f
the
3 F
eb
rua
ry 2
04
6 o
r th
e d
ate
on
wh
ich
th
e li
qu
idat
ion
of
the
Lu
x S
ub
sid
iary
is c
lose
d),
to
re
qu
est
th
at t
he
Lu
x S
ub
sid
iary
re
de
em
s al
l
or
pa
rt o
f th
e C
SW
s a
t th
e r
ed
em
pti
on
pri
ce (
see
be
low
), b
y d
eliv
eri
ng
a r
ed
em
pti
on
no
tice
, pro
vid
ed
th
at t
he
re
de
mp
tio
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
Lu
x S
ub
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
ed
, se
cure
d o
r u
nse
cure
d, p
rio
r in
ran
kin
g t
o t
he
CS
Ws,
aft
er
any
su
ch p
aym
en
t, a
nd
(b)
the
Lu
x S
ub
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.
Th
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
in
acc
ord
an
ce w
ith
th
e p
rece
din
g s
en
ten
ce b
y t
he
ac
tua
l nu
mb
er
of
CS
Ws
ou
tsta
nd
ing
.
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
74
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
75
If a
t th
e e
nd
of
an
y f
inan
cia
l ye
ar
the
re is
exc
ess
ca
sh, a
s d
ete
rmin
ed
in g
oo
d f
ait
h b
y t
he
Lu
x S
ub
sid
iary
bo
ard
(b
ut
for
this
pu
rpo
se o
nly
),
the
Lu
x S
ub
sid
iary
will
au
tom
ati
cally
re
de
em
, to
th
e e
xte
nt
of
such
exc
ess
ca
sh, a
ll o
r p
art
of
the
CS
Ws
at
the
re
de
mp
tio
n p
rice
pro
vid
ed
the
re
qu
ire
me
nts
in t
he
pre
vio
us
pa
rag
rap
h a
re m
et,
un
less
th
e C
om
pan
y n
oti
fie
s th
e L
ux
Su
bsi
dia
ry o
the
rwis
e. F
or
the
avo
idan
ce o
f d
ou
bt,
to t
he
ex
ten
t th
e s
ub
scri
pti
on
pri
ce f
or
the
CS
Ws
to b
e r
ed
ee
me
d h
as
no
t b
ee
n p
aid
at
the
tim
e t
he
CS
Ws
we
re is
sue
d, t
he
su
bsc
rip
tio
n
pri
ce f
or
such
CS
Ws
to b
e r
ed
ee
me
d s
ha
ll b
e d
ed
uct
ed
fro
m t
he
Re
de
mp
tio
n P
rice
.
CS
Ws
liste
d in
an
exe
rcis
e n
oti
ce m
ay n
ot
be
re
de
em
ed
.
Cla
ss A
an
d C
lass
b s
ha
res
he
ld in
th
e l
ux
Su
bsi
dia
ryC
lass
A a
nd
Cla
ss B
sh
are
s a
re r
ed
ee
ma
ble
an
d h
ave
a p
ar v
alu
e o
f o
ne
Eu
ro p
er
sha
re. C
lass
A a
nd
Cla
ss B
Sh
are
ho
lde
rs h
ave
eq
ua
l vo
tin
g
rig
hts
co
mm
en
sura
te w
ith
th
eir
sh
are
ho
ldin
g.
Cla
ss A
an
d C
lass
B S
har
eh
old
ers
are
en
titl
ed
to
div
ide
nd
dis
trib
uti
on
s fr
om
th
e n
et
pro
fits
of
the
Lu
x S
ub
sid
iary
(n
et
of
an
am
ou
nt
eq
ua
l
to f
ive
pe
r ce
nt
of
the
ne
t p
rofi
ts o
f th
e L
ux
Su
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
Su
bsi
dia
ry�s
no
min
al s
ha
re c
ap
ita
l).
Div
ide
nd
dis
trib
uti
on
s a
re p
aid
in t
he
fo
llow
ing
ord
er
of
pri
ori
ty:
Ea
ch C
lass
A s
ha
re is
en
titl
ed
to
th
e C
lass
A d
ivid
en
d, b
ein
g a
cu
mu
lati
ve
div
ide
nd
in a
n a
mo
un
t o
f n
ot
less
th
an
0.1
0%
pe
r a
nn
um
of
the
fa
ce v
alu
e o
f th
e C
lass
A s
ha
res.
Ea
ch C
lass
B s
ha
re is
en
titl
ed
to
th
e C
lass
B d
ivid
en
d (
if a
ny)
, be
ing
an
y in
com
e s
uch
as
bu
t n
ot
limit
ed
to
inte
rest
or
rev
en
ue
de
riv
ing
fro
m t
he
re
ceiv
ab
le f
rom
th
e P
PN
�s h
eld
by
th
e L
ux
Su
bsi
dia
ry, l
ess
an
y n
on
-re
curr
ing
co
sts
att
rib
uta
ble
to
th
e C
lass
B s
ha
res.
An
y re
mai
nin
g d
ivid
en
d a
mo
un
t fo
r al
loca
tio
n o
f th
e C
lass
A d
ivid
en
d a
nd
Cla
ss B
div
ide
nd
sh
all b
e a
lloca
ted
pro
rat
a am
on
g t
he
Cla
ss A
sh
are
s.
Th
e B
oar
d d
oe
s n
ot
exp
ec
t in
com
e in
th
e L
ux
Su
bsi
dia
ry t
o s
ign
ific
antl
y e
xce
ed
th
e a
nti
cip
ate
d a
nn
ua
l ru
nn
ing
co
sts
of
the
Lu
x S
ub
sid
iary
an
d t
he
refo
re d
oe
s n
ot
ex
pe
ct
tha
t th
e L
ux
Su
bsi
dia
ry w
ill p
ay s
ign
ific
an
t, o
r a
ny,
div
ide
nd
s a
lth
ou
gh
it r
ese
rve
s th
e r
igh
t to
do
so
.
Fa
ir v
alu
e h
iera
rch
y
IFR
S 1
3 r
eq
uir
es
an
an
aly
sis
of
inv
est
me
nts
val
ue
d a
t fa
ir v
alu
e b
ase
d o
n t
he
re
liab
ility
an
d s
ign
ific
an
ce o
f in
form
atio
n u
sed
to
me
asu
re
the
ir f
air
va
lue
.
Th
e C
om
pa
ny
ca
teg
ori
ses
its
fin
an
cial
ass
ets
acc
ord
ing
to
th
e f
ollo
win
g f
air
val
ue
hie
rarc
hy
de
taile
d in
IF
RS
13
th
at r
efl
ect
s th
e
sig
nif
ica
nce
of
the
inp
uts
use
d in
de
term
inin
g t
he
ir f
air
val
ue
s:
Le
ve
l 1:
Qu
ote
d m
ark
et
pri
ce (
un
ad
just
ed
) in
an
ac
tiv
e m
ark
et
for
an
ide
nti
cal
inst
rum
en
t.
Le
ve
l 2
: Val
uat
ion
te
chn
iqu
es
ba
sed
on
ob
serv
ab
le in
pu
ts, e
ith
er
dir
ect
ly (
i.e.,
as p
rice
s) o
r in
dir
ec
tly
(i.e
., d
eri
ve
d f
rom
pri
ces)
. Th
is
cat
eg
ory
incl
ud
es
inst
rum
en
ts v
alu
ed
usi
ng
: qu
ote
d m
arke
t p
rice
s in
ac
tiv
e m
ark
ets
fo
r si
mila
r in
stru
me
nts
; qu
ote
d p
rice
s fo
r id
en
tic
al
or
sim
ilar
inst
rum
en
ts in
ma
rke
ts t
ha
t a
re c
on
sid
ere
d le
ss t
ha
n a
cti
ve
; or
oth
er
va
luat
ion
te
chn
iqu
es
wh
ere
all
sig
nif
ica
nt
inp
uts
are
dir
ec
tly
or
ind
ire
ctl
y o
bse
rva
ble
fro
m m
ark
et
dat
a.
Le
ve
l 3
: V
alu
atio
n t
ech
niq
ue
s u
sin
g s
ign
ific
ant
un
ob
serv
ab
le in
pu
ts. T
his
cat
eg
ory
incl
ud
es
all
inst
rum
en
ts w
he
re t
he
va
luat
ion
tech
niq
ue
incl
ud
es
inp
uts
no
t b
ase
d o
n o
bse
rvab
le d
ata
an
d t
he
un
ob
serv
ab
le v
ari
able
inp
uts
hav
e a
sig
nif
ican
t e
ffe
ct
on
th
e
inst
rum
en
t's
val
uat
ion
. Th
is c
ate
go
ry in
clu
de
s in
stru
me
nts
th
at
are
va
lue
d b
ase
d o
n q
uo
ted
pri
ces
for
sim
ilar
inst
rum
en
ts w
he
re
sig
nif
ica
nt
un
ob
serv
ab
le a
dju
stm
en
ts o
r as
sum
pti
on
s a
re r
eq
uir
ed
to
re
fle
ct
dif
fere
nce
s b
etw
ee
n t
he
inst
rum
en
ts.
31
Dec
emb
er
20
20
Leve
l 1Le
vel 2
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l 3To
tal
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,77
2
Th
e C
om
pa
ny
de
term
ine
s th
e f
air
val
ue
of
the
fin
an
cial
ass
ets
at
fair
val
ue
th
rou
gh
pro
fit
or
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� L
ux
Co
usi
ng
th
e u
na
ud
ite
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RS
NA
V
of
the
Lu
x S
ub
sid
iary
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d t
he
au
dit
ed
IFR
S N
AV
of
BC
F.
Th
e C
om
pan
y d
ete
rmin
es
the
fai
r v
alu
e o
f th
e C
LO
s h
eld
dir
ec
tly
usi
ng
th
ird
par
ty v
alu
atio
ns.
Th
e P
ort
folio
Ad
vis
er
can
ch
alle
ng
e t
he
ma
rks
if t
he
y a
pp
ea
r o
ff-m
ark
et
or
un
rep
rese
nta
tiv
e o
f fa
ir v
alu
e.
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rin
g t
he
ye
ars
en
de
d 3
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er
20
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d 3
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he
re w
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cla
ssif
icat
ion
s b
etw
ee
n le
vels
of
the
fai
r v
alu
e h
iera
rch
y.
Th
e C
om
pa
ny
�s m
ax
imu
m e
xp
osu
re t
o lo
ss f
rom
its
inte
rest
s in
th
e L
ux
Su
bsi
dia
ry a
nd
ind
ire
ctl
y in
BC
F is
eq
ual
to
th
e f
air
va
lue
of
its
inv
est
me
nts
in t
he
Lu
x S
ub
sid
iary
.
Fin
an
cia
l ass
ets
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
re
con
cili
ati
on
Th
e f
ollo
win
g t
able
sh
ow
s a
reco
nci
liati
on
of
all
mo
ve
me
nts
in t
he
fa
ir v
alu
e o
f fi
nan
cial
ass
ets
� L
ux
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cat
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ori
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wit
hin
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ve
l 3 b
etw
ee
n
the
sta
rt a
nd
th
e e
nd
of
the
re
po
rtin
g p
eri
od
:
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er
20
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l €
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2,3
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Issu
e o
f O
rdin
ary
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po
n c
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ion
of
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har
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78,2
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870
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62
Sh
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pu
rch
ase
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uri
ng
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rio
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nd
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ld in
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asu
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To
tal O
rdin
ary
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are
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s at
31
De
cem
be
r 2
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,33
14
71,
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5,8
75
C S
har
es
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er
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shar
es
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ed
cap
ital €
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at 1
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nu
ary
20
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133
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1,10
77
7,2
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7
C S
har
e co
nve
rsio
n a
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can
cella
tio
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)(7
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7)
To
tal C
Sh
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s as
at
31
De
cem
be
r 2
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0�
�
All
ott
ed
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lle
d u
p a
nd
fu
lly
-pa
id
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inar
y S
har
es
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mb
er
of
shar
es
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ed
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ital €
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at 1
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nu
ary
20
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46
40
4,9
62
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Sh
are
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pu
rch
ase
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uri
ng
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rio
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nd
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ld in
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ry(2
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tal O
rdin
ary
Sh
are
s a
s a
t 3
1 D
ece
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er
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04
03
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C S
har
es
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mb
er
of
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es
Stat
ed
cap
ital €
As
at 1
Jan
uar
y 2
019
––
Sh
are
s is
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d d
uri
ng
the
pe
rio
d13
3,4
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270
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To
tal C
Sh
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at
31
De
cem
be
r 2
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133
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tal i
ssu
ed
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ita
l as
at 3
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ece
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er
20
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,77
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ord
ina
ry S
ha
res
At
the
20
19 A
GM
, he
ld o
n 1
1 Ju
ly 2
019
, th
e D
ire
cto
rs w
ere
gra
nte
d a
uth
ori
ty t
o r
ep
urc
ha
se u
p t
o 1
4.9
9%
of
the
issu
ed
sh
are
cap
ital
as
at
the
dat
e o
f th
e 2
019
AG
M f
or
can
cella
tio
n o
r to
be
he
ld a
s tr
ea
sury
sh
are
s. U
nd
er
this
au
tho
rity
, du
rin
g t
he
ye
ar
en
de
d 3
1 D
ece
mb
er
20
20
,
the
Co
mp
an
y p
urc
ha
sed
10
5,0
00
of
its
Ord
ina
ry S
ha
res
of
no
par
va
lue
at
a t
ota
l co
st o
f €
70
,10
0. T
he
se O
rdin
ary
Sh
are
s a
re b
ein
g h
eld
as
tre
asu
ry s
har
es.
At
the
20
20
AG
M, h
eld
on
16
Ju
ly 2
02
0, t
he
Dir
ec
tors
we
re g
ran
ted
au
tho
rity
to
re
pu
rch
ase
up
to
14
.99
% o
f th
e is
sue
d s
ha
re c
ap
ita
l as
at
the
dat
e o
f th
e 2
02
0 A
GM
fo
r c
ance
llati
on
or
to b
e h
eld
as
tre
asu
ry s
har
es.
Un
de
r th
is a
uth
ori
ty, d
uri
ng
th
e y
ea
r e
nd
ed
31
De
cem
be
r 2
02
0,
the
Co
mp
an
y p
urc
ha
sed
3,3
93
,50
7 o
f it
s O
rdin
ary
Sh
are
s o
f n
o p
ar
val
ue
at
a to
tal c
ost
of
€2
,04
8,6
49
. Th
ese
Ord
ina
ry S
ha
res
are
be
ing
he
ld a
s tr
ea
sury
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
t o
pti
on
s o
ve
r o
r o
the
rwis
e d
isp
ose
of
up
to
48
,04
1,6
84
Sh
are
s
(be
ing
eq
ua
l to
10
.00
% o
f th
e S
ha
res
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
.
As
at 3
1 D
ece
mb
er
20
20
, th
e C
om
pan
y h
ad
47
7,0
23
,33
1 O
rdin
ary
Sh
are
s in
issu
e a
nd
5,8
79
,46
3 O
rdin
ary
Sh
are
s in
tre
asu
ry (
31
De
cem
be
r
20
19: 4
02
,319
,49
0 O
rdin
ary
Sh
are
s in
issu
e a
nd
2,3
80
,95
6 O
rdin
ary
Sh
are
s in
tre
asu
ry).
Re
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
GM
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
the
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
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
81
div
ide
nd
sT
he
Co
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
the
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
en
ds�
ab
ov
e.
Co
nv
ers
ion
On
24
Oc
tob
er
20
19, t
he
Co
mp
an
y a
nn
ou
nce
d t
ha
t it
ha
d r
ein
ve
ste
d €
62
.6 m
illio
n in
to B
CF
as
par
t o
f it
s re
alis
ati
on
str
ate
gy
an
d t
ha
t th
e
Co
mp
any
inte
nd
ed
to
co
nv
ert
th
e C
Sh
are
s in
to O
rdin
ary
Sh
are
s. O
n 2
0 N
ov
em
be
r 2
019
, th
e C
om
pan
y an
no
un
ced
th
at t
he
Cal
cula
tio
n D
ate
wo
uld
fal
l on
29
No
ve
mb
er
20
19 t
o a
cco
mm
od
ate
div
ide
nd
pay
me
nt
sch
ed
ule
s in
acc
ord
an
ce w
ith
th
e C
om
pan
y�s
Art
icle
s o
f A
sso
ciat
ion
.
Th
e c
alc
ula
tio
n o
f th
e C
on
ve
rsio
n R
atio
wa
s b
ase
d o
n t
he
ne
t as
sets
att
rib
uta
ble
to
th
e O
rdin
ary
Sh
are
s �
€3
62
,95
0,8
97
(N
AV
pe
r S
ha
re
of
€0
.90
21)
an
d C
Sh
are
s �
EU
R 7
0,5
50
,46
1 (N
AV
pe
r S
ha
re o
f €
0.5
28
7)
as
at c
lose
of
bu
sin
ess
on
29
No
ve
mb
er
20
19. O
n 2
0 D
ece
mb
er
20
19, t
he
Co
mp
an
y a
nn
ou
nce
d t
he
Co
nv
ers
ion
Rat
io o
f 0
.58
60
Ord
ina
ry S
ha
res
pe
r C
Sh
are
.
On
th
is b
asis
, 13
3,4
51,
107
C S
har
es
wo
uld
co
nv
ert
into
78
,20
2,3
48
Ord
ina
ry S
ha
res.
Th
e 7
8,2
02
,34
8 O
rdin
ary
Sh
are
s w
ere
ad
mit
ted
to
th
e
pre
miu
m li
stin
g s
eg
me
nt
of
the
Off
icia
l Lis
t o
f th
e F
CA
an
d t
o t
rad
ing
on
th
e L
SE
�s M
ain
Mar
ket
for
liste
d s
ecu
riti
es
on
7 J
an
ua
ry 2
02
0.
10F
ina
nci
al r
isk
ma
na
ge
me
nt
Th
e C
om
pa
ny
is e
xp
ose
d t
o m
ark
et
risk
(in
clu
din
g in
tere
st r
ate
ris
k, c
urr
en
cy
ris
k an
d p
rice
ris
k), c
red
it r
isk
and
liq
uid
ity
ris
k ar
isin
g f
rom
the
fin
anci
al i
nst
rum
en
ts it
ho
lds
and
th
e m
ark
ets
in w
hic
h it
inv
est
s.
10A
m
ark
et
risk
Ma
rke
t ri
sk is
th
e c
urr
en
t o
r p
rosp
ec
tiv
e r
isk
to e
arn
ing
s o
r c
apit
al o
f th
e C
om
pa
ny
ari
sin
g f
rom
ch
an
ge
s in
inte
rest
rat
es,
fo
reig
n e
xch
an
ge
rate
s, c
om
mo
dit
y p
rice
s o
r e
qu
ity
pri
ces.
Th
e C
om
pa
ny
ho
lds
thre
e in
ve
stm
en
ts, d
en
om
ina
ted
in E
uro
, in
th
e L
ux
Su
bsi
dia
ry in
th
e f
orm
of
CS
Ws,
Cla
ss A
an
d C
lass
B s
ha
res
an
d
dir
ec
tly
ho
lds,
as
pa
rt o
f th
e R
ollo
ve
r O
ffe
r, t
wo
dir
ec
tly
he
ld C
LO
Me
zzan
ine
No
tes,
de
no
min
ate
d in
US
D. T
he
CS
Ws
are
th
e m
ain
dri
ve
r
of
the
Co
mp
any
�s p
erf
orm
ance
.
Fin
an
cial
ma
rke
t d
isru
pti
on
s m
ay
hav
e a
ne
gat
ive
eff
ec
t o
n t
he
va
luat
ion
s o
f B
CF
�s in
ve
stm
en
ts a
nd
, by
ex
ten
sio
n, o
n t
he
NA
V o
f th
e L
ux
Su
bsi
dia
ry a
nd
th
e C
om
pa
ny
an
d/o
r th
e m
ark
et
pri
ce o
f th
e C
om
pa
ny
�s E
uro
sh
are
s, a
nd
on
liq
uid
ity
ev
en
ts in
vo
lvin
g B
CF
�s in
ve
stm
en
ts.
An
y n
on
-pe
rfo
rmin
g a
sse
ts in
BC
F�s
po
rtfo
lio m
ay c
au
se t
he
va
lue
of
BC
F�s
po
rtfo
lio t
o d
ecr
ea
se a
nd
, by
ex
ten
sio
n, t
he
NA
V o
f th
e L
ux
Su
bsi
dia
ry a
nd
th
e C
om
pa
ny.
Ad
ve
rse
eco
no
mic
co
nd
itio
ns
may
als
o d
ecr
ea
se t
he
val
ue
of
an
y s
ecu
rity
ob
tain
ed
in r
ela
tio
n t
o a
ny
of
BC
F�s
inv
est
me
nts
.
A s
en
siti
vit
y a
nal
ysi
s is
sh
ow
n b
elo
w d
iscl
osi
ng
th
e im
pa
ct
on
th
e IF
RS
NA
V o
f th
e C
om
pa
ny,
if t
he
fa
ir v
alu
e o
f th
e C
om
pa
ny
�s in
ve
stm
en
ts
at
the
ye
ar e
nd
incr
ea
sed
or
de
cre
ase
d b
y 2
0%
. Th
is le
ve
l of
cha
ng
e is
co
nsi
de
red
to
be
re
aso
nab
ly p
oss
ible
bas
ed
on
ob
serv
atio
ns
of
pa
st
an
d p
oss
ible
ma
rke
t co
nd
itio
ns.
Year
en
de
d
31
Dec
emb
er
20
20
Incr
ease
by
20
%
De
crea
se
by
20
%
€€
€
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:
CS
Ws
38
1,60
5,0
63
457
,92
6,0
763
05,
28
4,0
50
Cla
ss A
an
d C
lass
B s
har
es
6,3
95,
08
37,
674
,100
5,11
6,0
66
CLO
s5
49
,437
65
9,3
24
43
9,5
49
38
8,5
49
,58
3
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
82
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
83
Year
en
de
d
31
De
cem
ber
20
19
Incr
ease
by
20
%
De
crea
se
by
20
%
€€
€
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:
CS
Ws
39
0,6
85,
28
64
68
,82
2,3
43
312
,54
8,2
28
Cla
ss A
an
d C
lass
B s
har
es5,
706
,98
56
,84
8,3
82
4,5
65,
58
8
CLO
s3,
192
,772
3,8
31,
326
2,5
54
,218
39
9,5
85
,04
3
Th
e c
alc
ula
tio
ns
are
ba
sed
on
th
e in
ve
stm
en
t v
alu
ati
on
at
the
Sta
tem
en
t o
f F
ina
nci
al P
osi
tio
n d
ate
an
d a
re n
ot
rep
rese
nta
tiv
e o
f th
e
pe
rio
d a
s a
wh
ole
, an
d m
ay n
ot
be
re
fle
cti
ve
of
futu
re m
ark
et
con
dit
ion
s.
i.In
tere
st r
ate
ris
k
Inte
rest
rat
e m
ov
em
en
ts a
ffe
ct
the
fa
ir v
alu
e o
f in
ve
stm
en
ts in
fix
ed
inte
rest
ra
te s
ecu
riti
es
and
flo
atin
g r
ate
loan
s an
d o
n t
he
lev
el o
f
inco
me
re
ceiv
able
on
cas
h d
ep
osi
ts.
Th
e in
tere
st in
com
e r
ece
ive
d b
y t
he
Lu
x S
ub
sid
iary
fro
m in
ve
stm
en
ts h
eld
at
fair
val
ue
th
rou
gh
pro
fit
or
loss
is t
he
inte
rest
inco
me
on
th
e
PP
Ns
rece
ive
d f
rom
BC
F. It
s ca
lcu
lati
on
is d
ep
en
de
nt
on
th
e p
rofi
t g
en
era
ted
by
BC
F a
s o
pp
ose
d t
o in
tere
st r
ate
s se
t b
y th
e m
ark
et.
Inte
rest
rate
se
nsi
tiv
ity
an
aly
sis
is p
rese
nte
d f
or
BC
F in
No
te 1
2 s
ince
an
y p
ote
nti
al m
ov
em
en
t in
ma
rke
t in
tere
st r
ate
s w
ill im
pa
ct
BC
F�s
ho
ldin
gs
wh
ich
in t
urn
will
imp
ac
t th
e in
tere
st in
com
e r
ece
ive
d b
y t
he
Lu
x S
ub
sid
iary
on
th
e P
PN
s.
Th
e C
om
pa
ny
is e
xp
ose
d t
o in
tere
st r
ate
ris
k o
n C
LO
s d
ire
ctl
y h
eld
by
th
e C
om
pa
ny.
Inte
rest
rat
e r
isk
is m
on
ito
red
on
an
on
-go
ing
bas
is, a
nd
is m
anag
ed
an
d m
itig
ate
d t
o t
he
ex
ten
t th
at is
po
ssib
le b
y t
he
CL
O m
ana
ge
r th
rou
gh
ac
tiv
e p
ort
folio
ma
na
ge
me
nt,
an
d t
he
use
of
the
Un
de
rly
ing
Co
mp
an
ies
off
eri
ng
do
cum
en
ts a
nd
inv
est
me
nt
po
licie
s, w
hic
h p
erm
its
po
rtfo
lio m
anag
em
en
t te
chn
iqu
es
to r
ota
te b
etw
ee
n a
sse
t cl
ass
es
and
lev
els
of
risk
as
ap
pro
pri
ate
in a
cco
rda
nce
wit
h p
olic
ies
an
d
pro
ced
ure
s in
pla
ce.
Th
e f
ollo
win
g t
ab
les
de
tail
the
Co
mp
an
y�s
inte
rest
rat
e r
isk
as
at 3
1 D
ece
mb
er
20
20
an
d 3
1D
ece
mb
er
20
19:
31
Dec
emb
er
20
20
Inte
rest
bea
rin
gN
on
-in
tere
st b
ear
ing
Tota
l
€€
€
Ass
ets
Cas
h a
nd
cas
h e
qu
ival
en
ts2
0,7
25,
819
�2
0,7
25,
819
Oth
er
rece
ivab
les
�15
1,03
815
1,03
8
Fin
anci
al a
sse
ts a
t fa
ir v
alu
e t
hro
ugh
pro
fit
or
loss
54
9,4
373
88
,00
0,14
63
88
,54
9,5
83
To
tal a
sse
ts2
1,2
75
,25
63
88
,15
1,18
44
09
,42
6,4
40
Lia
bili
tie
s
Inte
rco
mp
any
loan
(86
9,9
88
)�
(86
9,9
88
)
Pay
able
s�
(35
1,27
7)
(35
1,27
7)
To
tal l
iab
iliti
es
(86
9,9
88
)(3
51,
27
7)
(1,2
21,
26
5)
To
tal i
nte
rest
se
nsi
tiv
ity
ga
p2
0,4
05
,26
8
31
Dec
em
be
r 2
019
Inte
rest
bea
rin
gN
on
-in
tere
st b
ear
ing
Tota
l
€€
€
Ass
ets
Cas
h a
nd
cas
h e
qu
ival
en
ts11
,46
4,0
88
�11
,46
4,0
88
Oth
er
rece
ivab
les
�2
32
,474
232
,474
Fin
anci
al a
sse
ts a
t fa
ir v
alu
e th
rou
gh p
rofi
to
r lo
ss3,
192
,772
39
6,3
92
,27
13
99
,58
5,0
43
Tota
l ass
ets
14,6
56
,86
03
96
,624
,74
54
11,2
81,6
05
Lia
bili
tie
s
Inte
rco
mp
any
loan
(53
4,6
60
)�
(53
4,6
60
)
Pay
able
s�
(24
0,9
54
)(2
40
,95
4)
To
tal l
iab
iliti
es
(53
4,6
60
)(2
40
,95
4)
(77
5,6
14)
To
tal i
nte
rest
se
nsi
tiv
ity
ga
p14
,12
2,2
00
As
at 3
1 D
ece
mb
er
20
20
an
d 3
1 D
ece
mb
er
20
19, t
he
ma
jori
ty o
f th
e C
om
pan
y�s
inte
rest
ra
te e
xpo
sure
aro
se in
th
e f
air
va
lue
of
the
un
de
rly
ing
BC
F p
ort
folio
wh
ich
is la
rge
ly in
ve
ste
d in
se
nio
r se
cure
d lo
ans
of
com
pa
nie
s p
red
om
inan
tly
in W
est
ern
Eu
rop
e o
r N
ort
h
Am
eri
ca
. Mo
st o
f th
e in
ve
stm
en
ts in
se
nio
r se
cure
d lo
ans
ca
rry
var
iab
le in
tere
st r
ate
s a
nd
va
rio
us
ma
turi
ty d
ate
s. R
efe
r to
No
te 1
2 w
hic
h
de
tails
BC
F�s
ex
po
sure
to
inte
rest
ra
te r
isk
.
Th
e C
om
pa
ny
is e
xp
ose
d t
o in
tere
st r
ate
ris
k o
n it
s c
ash
ba
lan
ces
an
d d
ire
ctl
y h
eld
CL
Os
bu
t th
is is
no
t d
ee
me
d t
o b
e s
ign
ific
ant
for
the
ye
ars
en
de
d 3
1 D
ece
mb
er
20
20
an
d 3
1 D
ece
mb
er
20
19.
ii.C
urr
en
cy r
isk
Fo
reig
n c
urr
en
cy
ris
k is
th
e r
isk
that
th
e v
alu
es
of
the
Co
mp
an
y�s
ass
ets
an
d li
ab
iliti
es
are
ad
ve
rse
ly a
ffe
cte
d b
y c
ha
ng
es
in t
he
va
lue
s o
f
fore
ign
cu
rre
nci
es
by
re
fere
nce
to
th
e C
om
pan
y�s
bas
e c
urr
en
cy. T
he
fu
nc
tio
nal
cu
rre
nc
y o
f th
e C
om
pan
y a
nd
its
Lu
x S
ub
sid
iary
is t
he
Eu
ro.
Th
e C
om
pa
ny
an
d t
he
Lu
x S
ub
sid
iary
are
no
t su
bje
ct t
o s
ign
ific
an
t fo
reig
n c
urr
en
cy
ris
k si
nce
th
e m
ajo
rity
of
the
ir in
ve
stm
en
ts a
re
de
no
min
ate
d in
Eu
ro a
nd
th
eir
sh
are
ca
pit
al a
re a
lso
de
no
min
ate
d in
Eu
ro.
Re
fer
to N
ote
12
wh
ich
de
tails
BC
F�s
exp
osu
re t
o c
urr
en
cy
ris
k. B
CF
he
dg
es
US
CL
O e
qu
ity
exp
osu
re b
y r
efe
ren
ce t
o m
ark
to
mo
de
l
va
lua
tio
ns
inco
rpo
rate
d in
th
e P
ub
lish
ed
NA
V a
s d
efi
ne
d o
n p
ag
e 5
.
Th
e C
om
pa
ny
is e
xp
ose
d t
o c
urr
en
cy
ris
k o
n it
s in
ve
stm
en
ts in
th
e d
ire
ctl
y h
eld
CL
Os
wh
ich
are
de
no
min
ate
d in
US
D. T
o r
ed
uce
th
e
imp
act
on
th
e C
om
pa
ny
of
curr
en
cy
flu
ctu
atio
ns
an
d t
he
vo
lati
lity
of
retu
rns
wh
ich
may
re
sult
fro
m c
urr
en
cy
ex
po
sure
, th
e C
om
pan
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
ote
. Su
ch a
sse
ts w
ere
cla
ssif
ied
as
Le
ve
l 3.
Bo
th lo
an
s a
nd
bo
nd
s a
re p
rice
d a
t cu
rre
nt
mid
pri
ces.
Th
e C
LO
In
com
e N
ote
se
curi
tie
s is
sue
d b
y t
he
Dir
ec
t C
LO
Su
bsi
dia
rie
s a
re li
ste
d o
n E
uro
ne
xt
Du
blin
an
d a
re v
alu
ed
by
a t
hir
d p
arty
. Th
e
ap
pro
ach
to
va
luin
g t
he
se C
LO
Inco
me
No
te s
ecu
riti
es
inco
rpo
rate
s C
LO
sp
eci
fic
info
rmat
ion
an
d m
od
elli
ng
te
chn
iqu
es.
Fa
cto
rs in
clu
de
(i)
gra
nu
lar
loan
lev
el d
ata
, su
ch a
s th
e c
on
cen
trat
ion
an
d q
ua
lity
of
va
rio
us
loa
n le
ve
l bu
cke
ts, f
or
ex
amp
le, s
eco
nd
lie
ns,
co
ve
na
nt
lite
s
an
d o
the
r st
ruc
ture
d p
rod
uc
t as
sets
, as
we
ll a
s se
ve
ral o
the
r fa
cto
rs in
clu
din
g: d
isco
un
t ra
te, d
efa
ult
rat
es,
pre
pa
ym
en
t ra
tes,
re
cov
ery
rate
s, r
eco
ve
ry la
g a
nd
re
inv
est
me
nt
spre
ad
(th
ese
fa
cto
rs a
re h
igh
ly s
en
siti
ve
an
d v
aria
tio
ns
may
ma
teri
ally
aff
ec
t th
e f
air
va
lue
of
the
ass
et)
, an
d (
ii) s
tru
ctu
ral a
nal
ysi
s o
n a
de
al b
y d
ea
l bas
is. P
rici
ng
incl
ud
es
che
cks
on
all
stru
ctu
ral f
eat
ure
s o
f e
ach
CL
O, s
uch
as
the
cre
dit
en
ha
nce
me
nt
of
ea
ch b
on
d a
nd
var
iou
s p
erf
orm
an
ce t
rig
ge
rs (
incl
ud
ing
ov
er-
colla
tera
lisat
ion
te
sts,
inte
rest
co
ve
rag
e a
nd
div
ers
ion
te
sts)
.
Fu
rth
erm
ore
, re
inv
est
me
nt
lan
gu
age
sp
eci
fic
to e
ach
CL
O d
eal
is a
sse
sse
d, a
s w
ell
as
the
co
llate
ral m
anag
er�
s p
erf
orm
an
ce a
nd
ca
pab
iliti
es.
Inv
est
me
nts
in C
LO
In
com
e N
ote
se
curi
tie
s o
f U
S C
LO
Issu
ers
, he
ld d
ire
ctl
y o
r in
dir
ec
tly,
are
va
lue
d u
sin
g a
n e
qu
iva
len
t m
eth
od
olo
gy.
Sim
ilar
to t
he
ab
ov
e, v
alu
atio
n o
f su
ch C
LO
In
com
e N
ote
se
curi
tie
s u
ses
sig
nif
ican
t u
no
bse
rvab
le in
pu
ts a
nd
acc
ord
ing
ly a
re c
lass
ifie
d a
s
Le
ve
l 3. I
nv
est
me
nts
in t
he
CL
O In
com
e N
ote
se
curi
tie
s o
f th
e C
LO
Su
bsi
dia
rie
s a
nd
th
e N
on
-Co
nso
lidat
ed
US
CL
Os,
an
d in
th
e p
refe
ren
ce
sha
res
of
the
CL
O w
are
ho
use
s ar
e v
alu
ed
on
th
e a
bo
ve
bas
is u
sin
g s
ign
ific
ant
un
ob
serv
able
inp
uts
, an
d a
cco
rdin
gly
, are
cla
ssif
ied
as
Le
vel 3
.
Th
e P
PN
s an
d d
eb
t is
sue
d b
y t
he
CL
O S
ub
sid
iari
es
are
ca
teg
ori
sed
as
Le
ve
l 3, a
s th
ey
are
va
lue
d u
sin
g a
mo
de
l wh
ich
is b
ase
d o
n t
he
fa
ir
va
lue
of
the
un
de
rly
ing
ass
ets
an
d li
ab
iliti
es
of
the
re
lev
an
t e
nti
ty.
Th
e f
ollo
win
g t
ab
les
ana
lyse
wit
hin
th
e f
air
va
lue
hie
rarc
hy
BC
F�s
fin
an
cial
inst
rum
en
ts c
arr
ied
at
fair
va
lue
as
at 3
1 D
ece
mb
er
20
20
an
d
31
De
cem
be
r 2
019
:
31
Dec
emb
er
20
20
Leve
l 1Le
vel 2
Leve
l 3To
tal
€€
€€
Fin
an
cia
l ass
ets
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
� In
vest
me
nts
in s
en
ior
secu
red
loan
s an
d b
on
ds
�12
2,9
82
,60
612
,99
3,74
913
5,9
76,3
55
� In
vest
me
nts
in C
LO In
com
e N
ote
s�
�5
20
,43
6,7
00
52
0,4
36
,70
0
� In
vest
me
nt
in B
GC
M D
AC
��
33
9,4
04
,43
13
39
,40
4,4
31
� D
eriv
ativ
e f
inan
cial
ass
ets
�11
,40
0,4
24
�11
,40
0,4
24
To
tal f
ina
nci
al a
sse
ts–
134
,38
3,0
30
87
2,8
34
,88
01,
00
7,2
17,9
10
Fin
anci
al l
iab
iliti
es
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
� P
PN
s�
�(1
,09
2,5
53,
63
9)
(1,0
92
,55
3,6
39)
Tota
l fin
an
cia
l lia
bili
tie
s–
–(1
,09
2,5
53
,63
9)
(1,0
92
,55
3,6
39
)
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
90
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
91
31
De
cem
ber
20
19Le
vel 1
Leve
l 2Le
vel 3
Tota
l
€€
€€
Fin
an
cia
l ass
ets
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
� In
vest
me
nts
in s
en
ior
secu
red
loan
s an
d b
on
ds
�3
51,4
11,9
69
3,4
88
,75
03
54
,90
0,7
19
� In
vest
me
nts
in C
LO In
com
e N
ote
s�
�5
35
,30
8,8
7953
5,3
08
,879
� In
vest
me
nt
in B
GC
M D
AC
��
28
2,7
91,6
84
28
2,7
91,6
84
� D
eriv
ativ
e f
inan
cial
ass
ets
�1,
227
,374
�1,
22
7,37
4
To
tal f
ina
nci
al a
sse
ts–
35
2,6
39
,34
38
21,
58
9,3
131,
174
,22
8,6
56
Fin
anci
al l
iab
iliti
es
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
� P
PN
s�
�(1
,05
6,8
82
,313
)(1
,05
6,8
82
,313
)
To
tal f
ina
nci
al l
iab
iliti
es
––
(1,0
56
,88
2,3
13)
(1,0
56
,88
2,3
13)
Th
e f
ollo
win
g t
ab
le s
ho
ws
the
mo
ve
me
nt
in L
ev
el 3
of
BC
F�s
fa
ir v
alu
e h
iera
rch
y f
or
the
ye
ars
en
de
d 3
1 D
ece
mb
er
20
20
an
d
31
De
cem
be
r 2
019
:
31
Dec
emb
er
20
20
Fin
anci
al a
sse
ts
mea
sure
d a
t F
VP
L
Fin
anci
al li
abili
tie
s
me
asu
red
at
FV
PL
€€
Op
en
ing
bal
ance
82
1,5
89
,313
(1,0
56
,88
2,3
13)
Net
(lo
ss)/
gai
n o
n f
inan
cial
ass
ets
an
d li
abili
tie
s m
easu
red
at
fair
val
ue
th
rou
gh
pro
fit
or
loss
(73,
53
3,9
22
)4
9,5
25,
754
Pu
rch
ase
s/Is
suan
ces
244
,30
1,3
39
(85,
197,
08
0)
Sal
es/
Re
de
mp
tio
ns
(119
,52
1,85
0)
�
Clo
sin
g B
alan
ce8
72
,83
4,8
80
(1,0
92
,55
3,6
39
)
31
Dec
emb
er
20
19
Fin
anci
al a
sse
ts
mea
sure
d a
t F
VP
L
Fin
anci
al li
abili
tie
s
me
asu
red
at
FV
PL
€€
Op
en
ing
bal
ance
62
3,4
80
,199
(78
7,14
6,6
84
)
Net
gai
n/(
loss
) o
n f
inan
cial
ass
ets
an
d li
abili
tie
s m
easu
red
at
fair
val
ue
th
rou
gh
pro
fit
or
loss
3,5
31,9
29
(2,3
79,9
53
)
Pu
rch
ase
s/Is
suan
ces
710
,36
4,9
58
(26
7,3
55,
676
)
Sal
es/
Re
de
mp
tio
ns
(50
6,11
5,5
04
)�
Mo
vem
ent
ou
t o
f Le
vel 3
(9,6
72,2
69
)�
Clo
sin
g B
alan
ce8
21,
58
9,3
13(1
,05
6,8
82
,313
)
BC
F�s
po
licy
is t
o r
eco
gn
ise
tra
nsf
ers
into
an
d t
ran
sfe
rs o
ut
of
fair
va
lue
hie
rarc
hy
lev
els
as
of
the
last
day
of
the
acc
ou
nti
ng
pe
rio
d. T
he
re
we
re n
o t
ran
sfe
rs b
etw
ee
n L
ev
el 1
an
d L
ev
el 2
of
the
fai
r v
alu
e h
iera
rch
y d
uri
ng
th
e y
ea
rs e
nd
ed
31
De
cem
be
r 2
02
0 o
r 3
1 D
ece
mb
er
20
19.
Se
nsi
tiv
ity
of
BC
F L
ev
el 3
ho
ldin
gs
to u
no
bse
rvab
le in
pu
ts
A n
um
be
r o
f h
old
ing
s a
s at
31
De
cem
be
r 2
02
0 a
nd
31
De
cem
be
r 2
019
we
re p
rice
d t
hro
ug
h M
ark
it w
he
re t
he
inp
ut
into
th
e M
ark
it p
rice
wa
s o
nly
on
e p
rice
, so
th
ey
we
re c
lass
ifie
d a
s L
ev
el 3
. Th
ese
loa
n a
sse
ts a
re n
ot
mo
de
lled
on
an
aly
sts�
pri
ces
bu
t a
re f
rom
de
ale
rs� r
un
s
the
refo
re t
he
re a
re n
o u
no
bse
rvab
le in
pu
ts in
to t
he
pri
ces.
Th
e C
LO
In
com
e N
ote
s w
ere
val
ue
d b
y a
th
ird
pa
rty
usi
ng
a C
LO
intr
insi
c c
alc
ula
tio
n m
eth
od
olo
gy
an
d w
ere
cla
ssif
ied
as
Le
ve
l 3 b
ec
au
se
the
va
luat
ion
te
chn
iqu
e in
corp
ora
tes
sig
nif
ican
t u
no
bse
rva
ble
inp
uts
. Th
e C
LO
pri
ces
are
de
term
ine
d b
y c
on
sid
era
tio
n o
f se
ve
ral f
ac
tors
incl
ud
ing
th
e f
ollo
win
g: d
efa
ult
rat
es,
pre
pay
me
nt
rate
s, r
eco
ve
ry r
ate
s, r
eco
ve
ry la
g a
nd
re
inv
est
me
nt
spre
ad
. Th
ese
fa
cto
rs a
re h
igh
ly
sen
siti
ve
, an
d v
ari
ati
on
s m
ay
mat
eri
ally
aff
ec
t th
e f
air
va
lue
of
the
ass
et.
Th
ese
me
tric
s a
re a
ccu
mu
late
d f
rom
va
rio
us
mar
ket
sou
rce
s
ind
ep
en
de
nt
of
BIL
. Ad
dit
ion
ally
, val
uat
ion
inco
rpo
rate
s a
rev
iew
of
eac
h C
LO
ind
en
ture
an
d t
he
late
st u
nd
erl
yin
g C
LO
loan
po
rtfo
lio f
orm
ing
var
iou
s p
roje
ctio
ns
bas
ed
on
th
e q
ua
lity
of
the
co
llate
ral,
the
co
llate
ral m
anag
er
cap
abili
tie
s an
d g
en
era
l mac
roe
con
om
ic c
on
dit
ion
s. T
he
sen
siti
vit
y o
f th
e f
air
va
lue
s o
f th
e C
LO
No
tes,
in p
arti
cula
r C
LO
Inco
me
No
tes
to t
he
tra
dit
ion
al r
isk
var
iab
les
me
asu
red
se
par
ate
ly in
clu
din
g
mar
ket
risk
an
d in
tere
st r
ate
ris
k m
ay n
ot
be
th
e m
ost
ap
pro
pri
ate
an
aly
sis
for
this
ass
et
cla
ss. T
he
se
nsi
tiv
ity
to
va
lua
tio
n a
ssu
mp
tio
ns
incl
ud
ing
inte
rest
rat
es
ha
s an
inte
rde
pe
nd
en
t im
pa
ct w
ith
oth
er
sig
nif
ica
nt
ma
rke
t v
aria
ble
s a
s n
ote
d in
th
e a
ssu
mp
tio
ns
use
d f
or
va
luin
g
CL
O In
com
e N
ote
s. G
ive
n t
he
va
lue
s a
re b
ase
d o
n t
hir
d p
art
y p
rice
s, t
he
se
nsi
tiv
ity
to
th
e k
ey
ass
um
pti
on
s is
no
t re
qu
ire
d t
o b
e p
rov
ide
d.
Th
e a
sse
ts c
lass
ifie
d a
s L
ev
el 3
re
pre
sen
ted
86
.7%
(2
019
: 70
.0%
) o
f th
e t
ota
l fin
anci
al a
sse
ts. I
f th
e p
rice
of
the
ho
ldin
gs
cla
ssif
ied
as
Le
ve
l 3 in
cre
ase
d o
r d
ecr
eas
ed
by
5%
it w
ou
ld r
esu
lt in
an
incr
eas
e o
r d
ecr
eas
e in
th
e v
alu
e o
f th
e f
ina
nci
al a
sse
ts o
f E
UR
43
,64
1,74
4
(4.3
% o
f th
e t
ota
l fin
an
cia
l ass
ets
) (2
019
: EU
R 4
1,0
79
,46
6 (
3.5
% o
f th
e t
ota
l fin
an
cia
l ass
ets
)). T
he
re a
lso
wo
uld
be
an
eq
ual
an
d o
pp
osi
te
eff
ec
t o
n t
he
val
uat
ion
of
the
PP
Ns
(4.3
%)
(20
19: (
3.5
%))
.
Th
e f
inan
cia
l lia
bili
tie
s at
fai
r v
alu
e t
hro
ug
h p
rofi
t o
r lo
ss c
on
sist
of
the
PP
Ns.
Th
e P
PN
s a
re v
alu
ed
usi
ng
a m
od
el b
ase
d o
n t
he
fa
ir v
alu
e o
f
the
un
de
rly
ing
ass
ets
an
d li
abili
tie
s. If
th
e v
alu
e o
f th
e u
nd
erl
yin
g a
sse
ts o
r lia
bili
tie
s ch
an
ge
s th
en
th
ere
wo
uld
be
an
eq
ual
an
d o
pp
osi
te
eff
ec
t o
n t
he
val
uat
ion
of
the
PP
Ns.
Fin
an
cia
l in
stru
me
nts
an
d a
sso
cia
ted
ris
ks
Th
e L
ux
Su
bsi
dia
ry h
old
s o
ne
inv
est
me
nt
in B
CF
in t
he
fo
rm o
f P
PN
s. T
he
PP
Ns
are
th
e m
ain
dri
ve
r o
f th
e L
ux
Su
bsi
dia
ry�s
pe
rfo
rma
nce
an
d c
on
seq
ue
ntl
y t
hat
of
the
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
CF
an
d t
he
refo
re
con
sid
era
tio
n o
f th
e r
isk
s to
wh
ich
BC
F is
ex
po
sed
to
hav
e a
lso
be
en
ma
de
.
ma
rke
t ri
sk
Mar
ket
risk
is t
he
cu
rre
nt
or
pro
spe
cti
ve
ris
k to
ea
rnin
gs
or
cap
ita
l of
BC
F a
risi
ng
fro
m c
ha
ng
es
in in
tere
st r
ate
s, f
ore
ign
exc
ha
ng
e r
ate
s,
com
mo
dit
y p
rice
s o
r e
qu
ity
pri
ces.
Ma
rke
t ri
sk e
mb
od
ies
the
po
ten
tial
fo
r b
oth
loss
es
an
d g
ain
s.
Mar
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
he
po
ten
tial
loss
BC
F
mig
ht
suff
er
thro
ug
h h
old
ing
mar
ket
po
siti
on
s in
th
e f
ace
of
pri
ce m
ov
em
en
ts c
au
sed
by
fa
cto
rs s
pe
cifi
c to
th
e in
div
idu
al in
ve
stm
en
t o
r
fac
tors
aff
ect
ing
all
inst
rum
en
ts t
rad
ed
in t
he
ma
rke
t. In
ad
dit
ion
, lo
cal
, re
gio
nal
or
glo
ba
l ev
en
ts m
ay h
ave
a s
ign
ific
ant
imp
ac
t o
n B
CF
an
d t
he
pri
ce o
f it
s in
ve
stm
en
ts.
As
all
of
the
fin
an
cia
l in
stru
me
nts
are
car
rie
d a
t fa
ir v
alu
e t
hro
ug
h p
rofi
t o
r lo
ss, a
ll ch
an
ge
s in
ma
rke
t co
nd
itio
ns
will
dir
ec
tly
imp
ac
t th
e
va
lua
tio
n o
f th
e P
PN
s.
(i)
Cu
rre
ncy
ris
k
Fo
reig
n c
urr
en
cy
ris
k a
rise
s a
s th
e v
alu
e o
f fu
ture
tra
nsa
cti
on
s, r
eco
gn
ise
d m
on
eta
ry a
sse
ts a
nd
mo
ne
tary
lia
bili
tie
s d
en
om
inat
ed
in
oth
er
curr
en
cie
s m
ay f
luc
tua
te d
ue
to
ch
an
ge
s in
fo
reig
n e
xch
ang
e r
ate
s. F
ore
ign
exc
ha
ng
e e
xpo
sure
re
lati
ng
to
no
n-m
on
eta
ry a
sse
ts
an
d li
abili
tie
s is
co
nsi
de
red
to
be
a c
om
po
ne
nt
of
mar
ket
pri
ce r
isk
, no
t fo
reig
n c
urr
en
cy
ris
k.
BC
F�s
fin
an
cia
l sta
tem
en
ts a
re d
en
om
inat
ed
in E
uro
, th
ou
gh
inv
est
me
nts
in t
he
US
CL
O w
are
ho
use
s, U
S C
LO
s, a
nd
se
nio
r se
cure
d lo
an
s
an
d b
on
ds
are
ma
de
an
d r
eal
ise
d in
oth
er
curr
en
cie
s. C
ha
ng
es
in r
ate
s o
f e
xch
an
ge
may
hav
e a
n a
dv
ers
e e
ffe
ct
on
th
e v
alu
e, p
rice
or
inco
me
of
the
inv
est
me
nts
of
BC
F.
BIL
mo
nit
ors
fo
reig
n c
urr
en
cy r
isk
on
a p
eri
od
ic b
asis
. Ty
pic
ally
, de
riv
ativ
e c
on
trac
ts s
erv
e a
s co
mp
on
en
ts o
f B
CF
�s a
sse
t h
ed
gin
g p
rog
ram
an
d a
re u
tilis
ed
pri
ma
rily
to
re
du
ce f
ore
ign
cu
rre
nc
y r
isk
to B
CF
�s in
ve
stm
en
ts. F
ore
ign
cu
rre
nc
y r
isk
on
no
n-b
ase
cu
rre
nc
y lo
ans
and
bo
nd
s
is m
inim
ise
d b
y t
he
lev
era
ge
d s
tru
ctu
re o
f B
CF
an
d b
y t
he
use
of
the
mu
lti-
curr
en
cy
BC
F F
aci
lity
to
dra
w d
ow
n f
un
ds.
No
n-b
ase
GB
P a
nd
US
D in
ve
stm
en
ts a
re f
un
de
d b
y u
se o
f th
e c
orr
esp
on
din
g c
urr
en
cy le
ve
rag
e o
f th
e B
CF
Fa
cilit
y w
hic
h c
rea
tes
a m
atch
ing
of
ass
et
an
d
liab
ility
cu
rre
nc
y r
isk
an
d m
inim
isin
g t
he
imp
act
of
flu
ctu
atio
ns
in e
xch
an
ge
ra
tes.
Ro
llin
g c
urr
en
cy
fo
rwa
rds
are
use
d t
o m
an
ag
e t
he
fore
ign
cu
rre
nc
y e
xp
osu
re o
f th
e p
refe
ren
ce s
har
es
of
the
US
CL
O w
are
ho
use
s, t
he
CL
O In
com
e N
ote
s o
f th
e I
nd
ire
ct
CL
O S
ub
sid
iari
es,
Do
rch
est
er
Par
k C
LO
DA
C a
nd
th
e N
on
-Co
nso
lidat
ed
US
CL
Os
de
no
min
ate
d in
fo
reig
n c
urr
en
cie
s. T
he
mar
ket
val
ue
of
the
se U
SD
po
siti
on
s
is h
ed
ge
d b
y o
ffse
ttin
g U
SD
fo
rwa
rd n
oti
on
al a
mo
un
ts t
o e
nsu
re B
CF
is f
ully
he
dg
ed
.
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
92
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
93
Th
e f
ollo
win
g t
ab
le s
ets
ou
t B
CF
�s t
ota
l ex
po
sure
to
fo
reig
n c
urr
en
cy r
isk
and
th
e n
et
ex
po
sure
to
fo
reig
n c
urr
en
cie
s o
f th
e m
on
eta
ry a
sse
ts
an
d li
abili
tie
s a
s at
31
De
cem
be
r 2
02
0 a
nd
31
De
cem
be
r 2
019
:
31
Dec
emb
er
20
20
Bri
tish
Po
un
dU
nit
ed
Sta
tes
Do
llars
€€
Inve
stm
ents
in s
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r se
cure
d lo
ans
and
bo
nd
s1,9
69
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5�
Inve
stm
ents
in C
LO In
com
e N
ote
s�
101,0
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68
Inve
stm
ent
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�3
39
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4,4
31
BC
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Cas
h a
nd
cas
h e
qu
ival
en
ts3,
267,
34
84
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Oth
er a
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ts a
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(1,9
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1)15
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t p
osi
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nt
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38
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10
%(1
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1,6
43
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0
31
Dec
emb
er
20
19B
riti
sh P
ou
nd
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ite
d S
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ents
in s
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s12
,42
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54
3,9
66
,459
Inve
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ents
in C
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com
e N
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s�
158
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2,18
1
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stm
ent
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�2
82
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1,68
4
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ty(1
8,4
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Cas
h a
nd
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h e
qu
ival
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ts5,
578
,22
95,
918
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Oth
er a
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ts a
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2,2
46
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416
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t p
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80
0,1
44
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6,8
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3
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ou
nt
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�(5
00
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80
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(43
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)
Se
nsi
tiv
ity
10
%18
0,0
14(4
,38
3,7
30
)
Se
nsi
tiv
ity
an
aly
sis
– B
CF
At
31
De
cem
be
r 2
02
0 a
nd
20
19, h
ad
th
e E
uro
str
en
gth
en
ed
by
10
% (
20
19: 1
0%
) in
re
lati
on
to
all
curr
en
cie
s, w
ith
all
oth
er
var
iab
les
he
ld
con
stan
t, t
he
ne
t a
sse
t /
liab
ility
ex
po
sure
wo
uld
hav
e in
cre
ase
d b
y t
he
am
ou
nts
sh
ow
n a
bo
ve
fo
r B
CF.
Th
ere
wo
uld
be
no
imp
act
on
th
e
tota
l co
mp
reh
en
siv
e in
com
e o
f B
CF
be
ca
use
th
e f
air
va
lue
mo
ve
me
nt
on
fin
anci
al l
iab
iliti
es
wo
uld
mo
ve
in t
he
op
po
site
dir
ec
tio
n a
nd
ca
nce
l th
e e
ffe
ct o
f th
e f
ore
ign
exc
han
ge
mo
ve
me
nt.
A 1
0%
we
ake
nin
g o
f th
e b
ase
cu
rre
ncy
, ag
ain
st G
BP
an
d U
S D
olla
r, w
ou
ld h
av
e r
esu
lte
d in
an
eq
ua
l bu
t o
pp
osi
te e
ffe
ct
tha
n t
hat
on
th
e
tab
les
abo
ve
, on
th
e b
asi
s th
at
all o
the
r v
ari
ab
les
rem
ain
co
nst
ant.
Th
ese
ca
lcu
lati
on
s a
re b
ase
d o
n h
isto
ric
al d
ata
. Fu
ture
cu
rre
nc
y
mo
ve
me
nts
an
d c
orr
ela
tio
ns
be
twe
en
ho
ldin
gs
cou
ld v
ary
sig
nif
ica
ntl
y f
rom
th
ose
ex
pe
rie
nce
d in
th
e p
ast
.
(ii)
Inte
rest
ra
te r
isk
In
tere
st r
ate
ris
k a
rise
s fr
om
th
e e
ffe
cts
of
flu
ctu
atio
ns
in t
he
pre
va
ilin
g le
ve
ls o
f m
ark
et
inte
rest
rat
es
on
th
e f
air
va
lue
of
fin
an
cia
l ass
ets
an
d li
abili
tie
s a
nd
fu
ture
cas
h f
low
.
Th
e P
PN
s is
sue
d b
y B
CF
are
lim
ite
d r
eco
urs
e o
blig
atio
ns
an
d a
re v
alu
ed
bas
ed
on
th
e f
air
va
lue
of
the
un
de
rly
ing
ass
ets
an
d li
ab
iliti
es.
As
the
inte
rest
att
ach
ed
to
th
e P
PN
s is
ba
sed
on
th
e in
com
e e
arn
ed
by
BC
F, a
ny
flu
ctu
atio
ns
in t
he
pre
vai
ling
lev
el o
f m
arke
t in
tere
st r
ate
s
that
ne
gat
ive
ly a
ffe
ct
the
fa
ir v
alu
e o
f th
e u
nd
erl
yin
g f
ina
nci
al a
sse
ts w
ill r
esu
lt in
an
off
sett
ing
de
cre
ase
in t
he
fa
ir v
alu
e o
f th
e P
PN
s.
Th
e in
tere
st r
ate
ris
k a
sso
ciat
ed
wit
h c
ash
an
d c
ash
eq
uiv
ale
nts
is d
ee
me
d t
o b
e in
sig
nif
ica
nt
du
e t
o n
eg
ligib
le in
tere
st r
ate
s a
nd
no
ex
pe
cte
d m
ov
em
en
t.
Th
e f
ollo
win
g t
ab
le d
eta
ils B
CF
�s e
xp
osu
re t
o in
tere
st r
ate
ris
k a
s at
31
De
cem
be
r 2
02
0. I
t in
clu
de
s th
e c
arr
yin
g v
alu
e o
f B
CF
�s a
sse
ts a
nd
liab
iliti
es
at
fair
va
lue
s, c
ate
go
rise
d b
y t
he
ty
pe
of
inte
rest
ra
te a
tta
che
d t
o t
he
ass
ets
an
d li
ab
iliti
es,
wh
eth
er
it b
e f
loa
tin
g r
ate
, fix
ed
or
no
n-i
nte
rest
be
arin
g:
31
Dec
emb
er
20
20
Flo
atin
g r
ate
Fix
ed r
ate
No
n-in
tere
st
bea
rin
gTo
tal
€€
€€
Fin
an
cia
l ass
ets
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
- In
vest
me
nts
in s
en
ior
secu
red
loan
s an
d b
on
ds
130
,98
8,19
34
,98
8,16
2�
135,
976
,355
- In
vest
me
nts
in C
LO In
com
e N
ote
s5
20
,43
6,7
00
��
52
0,4
36
,70
0
- In
vest
me
nt
in B
GC
M D
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33
9,4
04
,43
1�
�3
39
,40
4,4
31
- D
eri
vati
ve f
inan
cial
ass
ets
11,4
00
,42
4�
�11
,40
0,4
24
Re
ceiv
able
for
inve
stm
en
ts s
old
��
34
9,3
44
,373
34
9,3
44
,373
Oth
er
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ivab
les
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32,8
37,0
68
32,8
37,0
68
Cas
h a
nd
cas
h e
qu
ival
en
ts10
2,5
02
,515
��
102
,50
2,5
15
Tota
l ass
ets
1,10
4,7
32
,26
34
,98
8,1
62
38
2,1
81,
44
11,
49
1,9
01,
86
6
Fin
an
cial
lia
bili
tie
s m
ea
sure
d a
t fa
ir v
alu
e t
hro
ug
h p
rofi
t o
r lo
ss:
- P
PN
s(1
,09
2,5
53,
63
9)
��
(1,0
92
,55
3,6
39)
BC
F F
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ty(1
03,
63
3,10
0)
��
(10
3,6
33,
100
)
Pay
able
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en
ts p
urc
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ed�
�(2
92
,36
3,10
3)
(29
2,3
63,
103
)
Oth
er p
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and
acc
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en
ses
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(3,3
45
,76
4)
(3,3
45
,76
4)
Tota
l lia
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itie
s(1
,19
6,1
86
,73
9)
–(2
95
,70
8,8
67
)(1
,49
1,8
95
,60
6)
Tota
l in
tere
st s
en
siti
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y g
ap
(91,
45
4,4
76
)4
,98
8,1
62
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
94
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
95
Th
e f
ollo
win
g t
ab
le d
eta
ils B
GC
F�s
ex
po
sure
to
inte
rest
ra
te r
isk
as
at
31
De
cem
be
r 2
019
. It
incl
ud
es
the
car
ryin
g v
alu
e o
f B
GC
F�s
ass
ets
an
d li
abili
tie
s a
t fa
ir v
alu
es,
ca
teg
ori
sed
by
th
e t
yp
e o
f in
tere
st r
ate
att
ach
ed
to
th
e a
sse
ts a
nd
lia
bili
tie
s, w
he
the
r it
be
flo
atin
g r
ate
, fix
ed
or
no
n-i
nte
rest
be
ari
ng
:
31
Dec
emb
er
20
19F
loat
ing
rate
Fix
ed r
ate
No
n-in
tere
st
bea
rin
gTo
tal
€€
€€
Fin
an
cia
l ass
ets
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
- In
vest
men
ts in
se
nio
r se
cure
d lo
ans
and
bo
nd
s3
37,9
39
,90
116
,96
0,8
18�
35
4,9
00
,719
- In
vest
me
nts
in C
LO In
com
e N
ote
s5
35,
30
8,8
79
��
535,
30
8,8
79
- In
vest
me
nt
in B
GC
M D
AC
28
2,7
91,6
84
��
28
2,7
91,6
84
- D
eri
vati
ve f
inan
cial
ass
ets
1,2
27,3
74�
�1,
22
7,37
4
Rec
eiva
ble
for
inve
stm
en
ts s
old
��
25
3,9
71,4
702
53,
97
1,470
Oth
er
rece
ivab
les
��
29
,96
5,3
49
29
,96
5,3
49
Cas
h a
nd
cas
h e
qu
ival
en
ts72
,92
0,0
97
��
72,9
20
,09
7
Tota
l ass
ets
1,2
30
,18
7,9
35
16,9
60
,818
28
3,9
36
,819
1,5
31,
08
5,5
72
Fin
anci
al li
ab
iliti
es
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
:
- P
PN
s(1
,05
6,8
82
,313
)�
�(1
,05
6,8
82
,313
)
BC
F F
acili
ty(2
44
,676
,06
5)
��
(24
4,6
76,0
65
)
Pay
able
for
inve
stm
en
ts p
urc
has
ed�
�(2
26
,52
3,0
38
)(2
26
,52
3,0
38
)
Oth
er
pay
able
s an
d a
ccru
ed e
xpe
nse
s�
�(2
,99
8,7
96
)(2
,99
8,7
96
)
Tota
l lia
bili
tie
s(1
,30
1,5
58
,37
8)
–(2
29
,52
1,8
34
)(1
,53
1,0
80
,212
)
Tota
l in
tere
st s
en
siti
vit
y g
ap
(71,
37
0,4
43
)16
,96
0,8
18
Se
nsi
tiv
ity
an
aly
sis
At
31
De
cem
be
r 2
02
0, h
ad
th
e b
ase
inte
rest
ra
tes
stre
ng
the
ne
d/w
ea
ken
ed
by
2%
(2
019
: 2%
) in
re
lati
on
to
all
ho
ldin
gs
sub
jec
t to
inte
rest
wit
h a
ll o
the
r v
ari
ab
les
he
ld c
on
sta
nt,
th
e f
inan
ce in
com
e w
ou
ld in
cre
ase
/de
cre
ase
by
EU
R 1
,72
9,3
26
(2
019
: EU
R 1
,08
8,1
93
) w
hic
h w
ou
ld
sub
seq
ue
ntl
y im
pa
ct t
he
am
ou
nt
avai
lab
le f
or
dis
trib
uti
on
as
fin
ance
ex
pe
nse
. Th
ere
wo
uld
be
no
imp
ac
t o
n t
he
to
tal c
om
pre
he
nsi
ve
inco
me
of
BC
F. T
he
inte
rest
rat
e s
en
siti
vit
y in
form
atio
n is
a r
ela
tiv
e e
stim
ate
of
risk
an
d is
no
t in
ten
de
d t
o b
e a
pre
cise
an
d a
ccu
rate
nu
mb
er.
Th
e c
alc
ula
tio
ns
are
ba
sed
on
his
tori
cal d
ata
. Fu
ture
pri
ce m
ov
em
en
ts a
nd
co
rre
lati
on
s b
etw
ee
n s
ecu
riti
es
cou
ld v
ary
sig
nif
ica
ntl
y f
rom
tho
se e
xp
eri
en
ced
in t
he
cu
rre
nt
fin
an
cial
ye
ar.
(iii
) P
rice
ris
k
Pri
ce r
isk
is t
he
ris
k t
hat
th
e v
alu
e o
f in
vest
me
nts
will
flu
ctu
ate
as
a re
sult
of
cha
ng
es
in m
arke
t p
rice
s (o
the
r th
an t
ho
se a
risi
ng
fro
m c
urr
en
cy
risk
an
d in
tere
st r
ate
ris
k) w
he
the
r ca
use
d b
y f
ac
tors
sp
eci
fic
to a
n in
div
idu
al i
nv
est
me
nt,
its
issu
er
or
all
fac
tors
aff
ec
tin
g a
ll in
ve
stm
en
ts
tra
de
d in
th
e m
ark
et.
BC
F a
tte
mp
ts t
o m
itig
ate
ass
et
pri
cin
g r
isk
by
usi
ng
ex
tern
al p
rici
ng
an
d v
alu
atio
n s
ou
rce
s an
d b
y p
erm
itti
ng
th
e c
olla
tera
l man
age
r, s
ub
ject
to c
ert
ain
re
qu
ire
me
nts
, to
se
ll co
llate
ral o
blig
atio
ns
an
d r
ein
ve
st t
he
pro
cee
ds.
Th
e C
LO
ma
nag
er
mo
nit
ors
th
e a
sse
ts w
ith
in e
ach
CL
O
to e
nsu
re t
hat
th
ey
do
no
t b
rea
ch t
he
co
llate
ral q
ua
lity
te
sts
an
d p
ort
folio
pro
file
te
sts.
Wh
ere
po
ssib
le, p
rice
s ar
e r
ece
ive
d f
rom
bro
kers
on
a m
on
thly
bas
is. B
roke
r p
rice
s fo
r lo
an
s a
re s
ou
rce
d f
rom
Ma
rkit
, a c
om
po
site
pri
ce p
rov
ide
r, a
nd
bro
ker
pri
ces
for
bo
nd
s a
re s
ou
rce
d
fro
m ID
C.
Cre
dit
ris
kC
red
it r
isk
is t
he
cu
rre
nt
or
pro
spe
cti
ve
ris
k t
o e
arn
ing
s a
nd
cap
ital
ari
sin
g f
rom
a c
ou
nte
rpa
rty
�s f
ailu
re t
o m
ee
t th
e t
erm
s o
f an
y c
on
tra
ct
wit
h B
CF,
or
oth
erw
ise
fa
il to
pe
rfo
rm a
s a
gre
ed
. Th
e r
ece
ipt
of
mo
nie
s o
we
d w
ill b
e s
ub
jec
t to
an
d d
ep
en
de
nt
on
th
e c
ou
nte
rpa
rty
�s
ab
ility
to
pay
su
ch m
on
ies.
BC
F is
th
ere
fore
op
en
to
ris
ks
rela
tin
g t
o t
he
cre
dit
wo
rth
ine
ss o
f th
e c
ou
nte
rpa
rty.
If
the
co
un
terp
art
y f
ails
to
ma
ke a
ny
ca
sh p
aym
en
ts
req
uir
ed
to
se
ttle
an
inv
est
me
nt,
BC
F m
ay
lose
pri
nci
pa
l as
we
ll a
s a
ny
an
tici
pa
ted
be
ne
fit
fro
m t
he
tra
nsa
cti
on
.
Cre
dit
ris
k in
fin
anci
al i
nst
rum
en
ts a
rise
s fr
om
cas
h a
nd
ca
sh e
qu
iva
len
ts a
nd
inv
est
me
nts
in d
eb
t se
curi
tie
s, a
s w
ell
as
cre
dit
ex
po
sure
s
of
tra
nsa
cti
on
s w
ith
bro
kers
re
late
d t
o t
ran
sac
tio
ns
aw
ait
ing
se
ttle
me
nt
(i.e
. re
ceiv
able
fo
r in
ve
stm
en
t so
ld a
nd
oth
er
rece
iva
ble
s).
BIL
, th
rou
gh
its
inv
est
me
nt
stra
teg
y, w
ill e
nd
eav
ou
r to
av
oid
loss
es
rela
tin
g t
o d
efa
ult
s o
n t
he
un
de
rly
ing
ass
ets
. In
-ho
use
cre
dit
re
sear
ch is
use
d t
o id
en
tify
ass
et
allo
cati
on
op
po
rtu
nit
ies
amo
ng
st p
ote
nti
al b
orr
ow
ers
an
d in
du
stry
se
gm
en
ts a
nd
to
ta
ke a
dv
an
tag
e o
f e
pis
od
es
of
mar
ket
mis
-pri
cin
g. S
eg
me
nts
an
d t
he
me
s th
at
are
like
ly t
o b
e p
rofi
tab
le a
re s
ub
jec
ted
to
rig
oro
us
ana
lysi
s a
nd
ris
k is
allo
cat
ed
to
th
ese
op
po
rtu
nit
ies
con
sist
en
t w
ith
inve
stm
en
t o
bje
ctiv
es.
All
tran
sact
ion
s in
volv
e c
red
it r
ese
arch
an
alys
ts w
ith
re
lev
ant
ind
ust
ry s
ect
or
exp
eri
en
ce.
Th
e c
red
it a
na
lysi
s p
erf
orm
ed
inv
olv
es
de
ve
lop
ing
a f
ull
un
de
rsta
nd
ing
of
the
bu
sin
ess
an
d a
sso
ciat
ed
ris
k o
f th
e lo
an
or
bo
nd
issu
er
and
a f
ull
anal
ysi
s o
f th
e f
inan
cia
l ris
k, w
hic
h le
ad
s to
an
ov
era
ll as
sess
me
nt
of
cre
dit
ris
k. B
IL a
na
lyse
s cr
ed
it c
on
cen
tra
tio
n r
isk
ba
sed
on
th
e
cou
nte
rpa
rty,
co
un
try
an
d in
du
stry
of
the
fin
an
cia
l ass
ets
th
at B
CF
ho
lds.
At
the
re
po
rtin
g d
ate
, BC
F�s
fin
an
cial
ass
ets
exp
ose
d t
o c
red
it r
isk
are
as
follo
ws:
BC
F31
Dec
emb
er
20
20
31
Dec
emb
er
20
19
€€
Fin
anci
al a
sse
ts m
easu
red
at
fair
val
ue
th
rou
gh
pro
fit
or
loss
99
5,8
17,4
86
1,173
,00
1,2
82
De
riva
tive
fin
anci
al a
sset
s11
,40
0,4
24
1,227
,374
Rec
eiva
ble
s fo
r in
vest
men
ts s
old
34
9,3
44
,373
253
,97
1,470
Oth
er
rece
ivab
les
32,8
37,0
68
29
,96
5,3
49
Cas
h a
t b
ank
102
,50
2,5
1572
,92
0,0
97
To
tal
1,4
91,
90
1,8
66
1,5
31,
08
5,5
72
Am
ou
nts
in t
he
ab
ov
e t
ab
les
are
ba
sed
on
th
e c
arry
ing
va
lue
of
the
fin
an
cia
l ass
ets
as
at t
he
re
po
rtin
g d
ate
.
Fin
an
cia
l ass
ets
me
asu
red
at
fair
va
lue
th
rou
gh
pro
fit
or
loss
BC
F�s
inv
est
me
nt
po
licy
is t
o in
ve
st p
red
om
ina
ntl
y in
:
i.a
div
ers
e p
ort
folio
of
sen
ior
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);
ii.C
LO
Inco
me
No
tes
issu
ed
by
th
e Is
sue
r C
LO
s w
ho
se in
ve
stm
en
ts w
ill b
e f
ocu
sed
pre
do
min
an
tly
in E
uro
pe
an
an
d U
S s
en
ior
secu
red
loa
ns;
an
d
iii.
US
CL
O I
nco
me
No
tes
(he
ld d
ire
ctl
y o
r in
dir
ec
tly)
wh
ose
inv
est
me
nts
are
fo
cuse
d p
red
om
ina
ntl
y in
US
se
nio
r se
cure
d lo
ans.
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
96
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
97
Th
e in
ve
stm
en
ts in
se
nio
r se
cure
d lo
ans
an
d b
on
ds
he
ld d
ire
ctl
y b
y B
CF
ha
d t
he
fo
llow
ing
cre
dit
qu
alit
y a
s ra
ted
by
Mo
od
y�s
:
Th
e s
en
ior
secu
red
loan
s a
nd
bo
nd
s h
eld
dir
ec
tly
by
BC
F a
re c
on
cen
tra
ted
in t
he
fo
llow
ing
ind
ust
rie
s:
* BF
I&R
E �
Ba
nk
ing
, Fin
an
ce
, In
sura
nce
an
d R
ea
l Est
ate
In a
dd
itio
n t
o t
he
se
nio
r se
cure
d lo
an
s a
nd
bo
nd
s h
eld
dir
ec
tly,
BC
F in
ve
sts
in C
LO
Inco
me
No
tes
issu
ed
by
Eu
rop
ea
n a
nd
US
CL
O I
ssu
ers
wh
ose
inv
est
me
nts
are
fo
cuse
d p
red
om
inan
tly
in E
uro
pe
an a
nd
US
se
nio
r se
cure
d lo
an
s. E
ach
CL
O�s
inv
est
me
nt
ac
tiv
itie
s ar
e r
est
rict
ed
by
its
pro
spe
ctu
s a
nd
th
e C
LO
s h
ave
nar
row
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. I
n o
rde
r to
av
oid
exc
ess
ive
co
nce
ntr
atio
n o
f ri
sk, t
he
po
licie
s an
d p
roce
du
res
of
ea
ch C
LO
incl
ud
e s
pe
cifi
c g
uid
elin
es
to f
ocu
s o
n m
ain
tain
ing
a d
ive
rsif
ied
po
rtfo
lio. A
s C
LO
Inco
me
No
teh
old
er
in t
he
CL
Os,
BC
F is
exp
ose
d t
o t
he
cre
dit
ris
k o
n t
he
un
de
rly
ing
se
nio
r se
cure
d lo
an
s a
nd
bo
nd
s h
eld
by
th
e C
LO
s. In
ad
dit
ion
, th
e C
LO
In
com
e N
ote
s a
re li
mit
ed
re
cou
rse
ob
liga
tio
ns
of
the
CL
Os
wh
ich
are
pay
ab
le s
ole
ly o
ut
of
amo
un
ts
rece
ive
d b
y t
he
CL
O in
re
spe
ct
of
the
fin
anci
al a
sse
ts h
eld
.
Th
e u
nd
erl
yin
g in
ve
stm
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
BC
F�s
Dir
ec
t C
LO
Su
bsi
dia
rie
s h
ad
th
e
follo
win
g c
red
it q
ua
lity
as
rate
d b
y M
oo
dy
�s:
Th
e s
en
ior
secu
red
loan
s a
nd
bo
nd
s h
eld
by
th
e D
ire
ct
CL
O S
ub
sid
iari
es
of
BC
F a
re c
on
cen
trat
ed
in t
he
fo
llow
ing
ind
ust
rie
s:
* BF
I&R
E �
Ba
nk
ing
, Fin
an
ce, I
nsu
ran
ce
an
d R
ea
l Est
ate
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
98
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
99
Th
e u
nd
erl
yin
g in
ve
stm
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
the
Ind
ire
ct C
LO
Su
bsi
dia
rie
s o
f B
CF
ha
d
the
fo
llow
ing
cre
dit
qu
alit
y a
s ra
ted
by
Mo
od
y�s
:
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
stm
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
the
US
CL
Os
(wh
ose
Inco
me
No
tes
are
he
ld d
ire
ctl
y a
nd
ind
ire
ctly
by
BC
F)
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:
* BF
I&R
E �
Ba
nk
ing
, Fin
an
ce, I
nsu
ran
ce
an
d R
ea
l Est
ate
^C
P&
R �
Ch
em
ica
ls, P
last
ic a
nd
Ru
bb
er
�C
P&
G �
Co
nta
ine
rs, P
ac
ka
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g a
nd
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ss�H
&P
� H
ea
lth
ca
re a
nd
Ph
arm
ace
uti
ca
ls
No
tes
to t
he
Fin
an
cia
l Sta
tem
en
ts c
on
tin
ue
d
100
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
101
liq
uid
ity
ris
k
Liq
uid
ity
is t
he
ris
k t
hat
BC
F m
ay n
ot
be
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.
All
PP
Ns
issu
ed
are
lim
ite
d r
eco
urs
e. T
he
re
cou
rse
of
the
no
teh
old
ers
, wh
ich
incl
ud
es
BG
LF
th
rou
gh
th
e L
ux
Su
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
wh
ich
co
mp
ly
wit
h t
he
inv
est
me
nt
po
licy.
Th
ere
fore
, fro
m t
he
pe
rsp
ect
ive
of
BC
F, t
he
ass
oci
ate
d li
qu
idit
y r
isk
of
the
PP
Ns
is r
ed
uce
d.
13S
eg
me
nta
l re
po
rtin
g
As
pe
r IF
RS
8 O
pe
rati
ng
Se
gm
en
ts, a
n o
pe
rati
ng
se
gm
en
t is
a c
om
po
ne
nt
of
an
en
tity
that
en
ga
ge
s in
bu
sin
ess
act
ivit
ies
fro
m w
hic
h it
may
ea
rn r
ev
en
ue
s a
nd
incu
r e
xp
en
ses;
wh
ose
op
era
tin
g r
esu
lts
are
re
vie
we
d r
eg
ula
rly
by
th
e e
nti
ty's
ch
ief
op
era
tin
g d
eci
sio
n m
ake
r to
ma
ke d
eci
sio
ns
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ut
reso
urc
es
to b
e
allo
cate
d t
o t
he
se
gm
en
t a
nd
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ess
its
pe
rfo
rma
nce
; an
d
for
wh
ich
dis
cre
te f
inan
cia
l in
form
ati
on
is a
va
ilab
le.
Th
e B
oar
d, w
ho
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he
ch
ief
op
era
tin
g d
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n m
ake
r, c
lass
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mp
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into
tw
o o
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ts �
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ary
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arl
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po
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ne
20
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llow
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tial
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t a
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nd
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re C
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ker
for
the
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mp
any
�s C
Sh
are
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ote
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mp
an
yB
lack
sto
ne
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an F
inan
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g L
imit
ed
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rme
rly
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wn
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ckst
on
e/G
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an F
inan
cin
g L
imit
ed
)
BG
LP
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ker
for
the
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mp
any
�s S
terl
ing
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ote
BIL
or
the
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rtfo
lio
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vis
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ela
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ite
d (f
orm
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lack
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/GS
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eb
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nd
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anag
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en
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pe
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rtfo
lio
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na
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oll
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r
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e L
iqu
id C
red
it S
trat
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ies
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orm
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/Bla
ckst
on
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eb
t Fu
nd
s M
anag
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en
t L
LC
)
Bo
ard
the
Bo
ard
of
Dir
ect
ors
of
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mp
any
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ids
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ted
In C
om
pe
titi
on
BX
Cre
dit
Bla
ckst
on
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lte
rnat
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on
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it (f
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tne
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Ws
Cas
h S
ett
lem
en
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CL
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olla
tera
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d L
oan
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ep
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st C
om
pan
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en
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late
d a
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pe
r sh
are
as
at a
par
ticu
lar
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e le
ss B
GL
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clo
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har
e p
rice
on
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on
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han
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,
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r sh
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as
at t
hat
dat
e
Div
ide
nd
yie
ldca
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late
d a
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ou
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uar
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ivid
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e p
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as
at t
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leva
nt
dat
e
EC
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uro
pe
an C
en
tral
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k
ES
GE
nv
iro
nm
en
tal,
soci
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nd
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vern
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EU
Eu
rop
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ion
FA
FV
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Fin
anci
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sse
ts a
t fa
ir v
alu
e t
hro
ug
h p
rofi
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ss
FC
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inan
cial
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nd
uct
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tho
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nit
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gd
om
)
Fe
dF
ed
era
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serv
e
FR
CF
inan
cial
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po
rtin
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ou
nci
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nit
ed
Kin
gd
om
)
FV
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Fair
val
ue
th
rou
gh
pro
fit
or
loss
FV
OC
IFa
ir v
alu
e t
hro
ug
h o
the
r co
mp
reh
en
sive
inco
me
GF
CG
lob
al F
inan
cial
Cri
sis
IDC
Inte
rnat
ion
al D
ata
Co
rpo
rati
on
IFR
SIn
tern
atio
nal
Fin
anci
al R
ep
ort
ing
Sta
nd
ard
s
IFR
S 1
0IF
RS
10
Co
nso
lidat
ed
Fin
anci
al S
tate
me
nts
IFR
S 1
3IF
RS
13
Fai
r V
alu
e M
eas
ure
me
nt
IFR
S N
AV
Gro
ss a
sse
ts le
ss li
abili
tie
s (in
clu
din
g a
ccru
ed
bu
t u
np
aid
fe
es)
de
term
ine
d in
acc
ord
ance
wit
h IF
RS
as
ado
pte
d b
y th
e E
U
IMF
Inte
rnat
ion
al M
on
eta
ry F
un
d
LC
DS
&P
Glo
bal
Mar
ket
Inte
llig
en
ce�s
Le
vera
ge
d C
om
me
nta
ry &
Dat
a p
rov
ide
s in
-de
pth
co
vera
ge
of
the
leve
rag
ed
loan
mar
ket
thro
ug
h
real
-tim
e n
ew
s, a
nal
ysis
, co
mm
en
tary
, an
d p
rop
rie
tary
loan
dat
a
Lo
an
Wa
reh
ou
seA
sp
eci
al p
urp
ose
ve
hic
le in
corp
ora
ted
fo
r th
e p
urp
ose
s o
f w
are
ho
usi
ng
US
an
d/o
r E
uro
pe
an f
loat
ing
rat
e s
en
ior
secu
red
loan
s an
d b
on
ds
LS
EL
on
do
n S
tock
Exc
han
ge
LTM
Las
t tw
elv
e m
on
ths
Lu
x S
ub
sid
iary
Bla
ckst
on
e/G
SO
Lo
an F
inan
cin
g (
Lu
xem
bo
urg
) S
.à r.
l.
Mo
MM
on
th-o
ver-
mo
nth
NA
VN
et
asse
t va
lue
NA
V t
ota
l re
turn
pe
rO
rdin
ary
sh
are
Cal
cula
ted
as
the
incr
eas
e/d
ecr
eas
e in
th
e N
AV
pe
r O
rdin
ary
shar
e p
lus
the
to
tal d
ivid
en
ds
pai
d p
er
Ord
inar
y sh
are
du
rin
g t
he
pe
rio
d,
wit
h s
uch
div
ide
nd
s p
aid
be
ing
re
-in
vest
ed
at
NA
V, a
s a
pe
rce
nta
ge
of
the
NA
V p
er
Ord
inar
y sh
are
NIM
Ne
t in
tere
st m
arg
in
OC
Ov
erc
olla
tera
lisat
ion
OC
IO
the
r C
om
pre
he
nsi
ve In
com
e
PM
IsP
urc
has
ing
Man
age
rs� I
nd
ice
s
PP
Ns
Pro
fit
Par
tici
pat
ing
No
tes
Pu
bli
she
d N
AV
Gro
ss a
sse
ts le
ss li
abili
tie
s (in
clu
din
g a
ccru
ed
bu
t u
np
aid
fe
es)
de
term
ine
d in
acc
ord
ance
wit
h t
he
se
ctio
n e
nti
tle
d �
Ne
t A
sse
t V
alu
e�
in
Par
t I o
f th
e C
om
pan
y�s
Pro
spe
ctu
s an
d p
ub
lish
ed
on
a m
on
thly
bas
is
Re
turn
Cal
cula
ted
as
the
incr
eas
e /
de
cre
ase
in t
he
NA
V p
er
Eu
ro O
rdin
ary
shar
e p
lus
the
to
tal d
ivid
en
ds
pai
d p
er
Eu
ro O
rdin
ary
shar
e, w
ith
su
ch
div
ide
nd
s p
aid
be
ing
re
-in
vest
ed
at
NA
V, a
s a
pe
rce
nta
ge
of
the
NA
V p
er
Eu
ro O
rdin
ary
shar
e.
LTM
re
turn
is c
alcu
late
d o
ver
the
pe
rio
d J
anu
ary
20
20
to
De
cem
be
r 2
02
0.
Ro
llo
ve
r A
sse
tsT
he
ass
ets
att
rib
uta
ble
to
th
e C
arad
or
Inco
me
Fu
nd
plc
Ro
llove
r S
har
es
� a
po
ol o
f C
LO
ass
ets
fro
m C
arad
or
Inco
me
Fu
nd
plc
Ro
llo
ve
r O
ffe
rA
s an
no
un
ced
by
the
Bo
ard
on
28
Au
gu
st 2
018
, a r
ollo
ver
pro
po
sal t
o o
ffe
r n
ew
ly is
sue
d C
Sh
are
s to
ele
ctin
g s
har
eh
old
ers
of
Car
ado
r
Inco
me
Fu
nd
plc
, in
co
nsi
de
rati
on
fo
r th
e t
ran
sfe
r o
f a
po
ol o
f C
LO a
sse
ts f
rom
Car
ado
r In
com
e F
un
d p
lc t
o t
he
Co
mp
any
RP
Re
inve
stm
en
t p
eri
od
SF
SS
pe
cial
ist
Fun
d S
eg
me
nt
UK
Co
de
UK
Co
rpo
rate
Go
vern
ance
Co
de
20
18
US
DU
nit
ed
Sta
tes
Do
llar
US
MO
AU
nit
ed
Sta
tes
Maj
ori
ty O
wn
ed
Aff
iliat
e �
Bla
ckst
on
e/G
SO
US
Co
rpo
rate
Fu
nd
ing
Lim
ite
d
Un
de
rly
ing
Co
mp
an
yA
co
mp
any
or
en
tity
to
wh
ich
th
e C
om
pan
y h
as a
dir
ect
or
ind
ire
ct e
xpo
sure
fo
r th
e p
urp
ose
of
ach
iev
ing
its
inve
stm
en
t o
bje
ctiv
e, w
hic
h
is e
stab
lish
ed
to
, am
on
g o
the
r th
ing
s, d
ire
ctly
or
ind
ire
ctly
, pu
rch
ase
, ho
ld a
nd
/or
pro
vid
e f
un
din
g f
or
the
pu
rch
ase
of
CL
O S
ecu
riti
es
WA
We
igh
ted
ave
rag
e
WA
PW
eig
hte
d A
vera
ge
Ass
et
Pri
ce
WA
RF
We
igh
ted
Ave
rag
e R
atin
g F
acto
r
WA
SW
eig
hte
d a
vera
ge
sp
read
108
gl
oS
SA
Ry
gl
oS
SA
Ry
109
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