Blackstone Loan Regulatory News (BGLF)

22 SEPTEMBER 2022

FOR IMMEDIATE RELEASE

RELEASED BY BNP PARIBAS SECURITIES SERVICES S.C.A., JERSEY BRANCH INTERIM RESULTS ANNOUNCEMENT

THE BOARD OF DIRECTORS OF BLACKSTONE LOAN FINANCING LIMITED ANNOUNCE INTERIM RESULTS FOR THE SIX MONTHS ENDED 30 JUNE 2022

Blackstone Loan Financing Limited (formerly Blackstone / GSO Loan Financing Limited)

(the "Company" or "BGLF")

Half Yearly Financial Report for the six months ended 30 June 2022

Strategic Report

Reconciliation of IFRS NAV to Published NAV

At 30 June 2022, there was a difference between the NAV per Ordinary Share as disclosed in the Condensed Statement of Financial Position as set out below, €0.7469 per Ordinary Share ("IFRS NAV") and the published NAV, €0.9127 per Ordinary Share, which was released to the LSE on 21 July 2022 ("Published NAV"). A reconciliation is provided in Note 13 below. The difference between the two valuations is due to the different valuation bases used.

Valuation Policy for the Published NAV

The Company publishes a NAV per Ordinary Share on a monthly basis in accordance with its Prospectus. The valuation process in respect of the Published NAV incorporates the valuation of the Company's CSWs1 and underlying PPNs1 (held by the Lux Subsidiary). These valuations are, in turn, based on the valuation of the BCF1 portfolio using a CLO1 intrinsic calculation methodology per the Company's Prospectus, which we refer to as a "mark to model" approach. As documented in the Prospectus, certain "Market Colour" (market clearing levels, market fundamentals, bids wanted in competition ("BWIC"), broker quotes or other indications) is not incorporated into this methodology. The Directors believe that this valuation process is the appropriate way of valuing the Company's holdings, and of tracking the long-term performance of the Company as the underlying portfolio of CLOs held by BCF are comparable to held to maturity instruments and the Company expects to receive the benefit of the underlying cash-flows over the CLOs' entire life cycle.

Valuation Policy for the IFRS NAV

For financial reporting purposes on an annual and semi-annual basis, to comply with IFRS as adopted by the UK, the valuation of BCF's portfolio is at fair value using models that incorporate Market Colour at the period end date, which we refer to as a "mark to market" approach. IFRS fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants as at the measurement date, and is an "exit price" e.g. the price to sell an asset. An exit price embodies expectations about the future cash inflows and cash outflows associated with an asset or liability from the perspective of a market participant. IFRS fair value is a market-based measurement, rather than an entity-specific measurement, and so incorporates general assumptions that market participants are applying in pricing the asset or liability, including assumptions about risk.

Both the mark to model Published NAV and mark to market IFRS NAV valuation bases use modelling techniques and input from third-party valuation specialists.

The Directors, as set out in the Prospectus, will continue to assess the performance of the Company using the Published NAV. Additional information and commentary on Market Colour, credit risk exposure and any material divergence from the different valuation bases referred to above will be communicated by the Directors and Portfolio Adviser if and when appropriate.

Key Performance Indicators

Further information on the reconciliation between the IFRS NAVs and the Published NAVs can be found below.

Performance

* Annual dividend yield as at 30 June 2022 and 31 December 2021 is based on the four quarterly dividends announced and paid by the Company during the 12 months prior to the period end / year end as applicable.

Dividends and Other Key Data

On 24 January 2022, the Board announced that the Company will be targeting a total 2022 annual dividend of between €0.07 and €0.08 per ordinary share, to consist of quarterly payments of €0.0175 per ordinary share for the first three quarters and a final quarter payment of a variable amount to be determined at that time.

Period Highs and Lows

Schedule of Investments

Schedule of Significant Transactions

Chair's Statement

Dear Shareholders,

Company Returns and Net Asset Value(5)

The Company delivered an IFRS NAV total return per Ordinary Share of -14.43% over the first six months of 2022, ending the period with a NAV of €0.7469. The return was composed of 4.75% of dividend income and -19.18% of net portfolio movement.

On a Published NAV basis, the Company delivered a total return per Ordinary Share of 1.76% over the first six months of 2022, ending the period with a NAV of €0.9127. The return was composed of dividend income 4.75% and of net portfolio movement of -2.99%.

As highlighted above, the company uses different valuation policies to determine Published and IFRS NAV. As at 30 June 2022, the variance between Published and IFRS NAV was 0.1658 per share. This is primarily associated with the discount rates used under the two policies. The table below further explains the rationale regarding the differences in the assumptions that have contributed to the variance as at 30 June 2022.

During the first half of 2022, the Company's performance was supported, through its investment in BCF, by robust distributions from the underlying CLO and loan portfolio. CLO distributions have continued to benefit from refinancing and reset activity during 2021 and early 2022. Returns were also supported by the absence of material defaults and CLO CCC basket breaches, both of which would otherwise cause diversions of cash flows away from CLO equity. 

The Company has declared two dividends to Ordinary Shareholders in respect of the six-month period ended 30 June 2022, totalling €0.035 per share. As a reminder, the 2022 BGLF Dividend Policy is composed of three flat payments before a final variable payment to be determined in the fourth quarter of 2022. The BGLF 2022 Dividend Policy targets a total annual dividend of €0.07 - €0.08(6). Details of all dividend payments can be found within the Dividend History section at the front of this Half Yearly Financial Report.

To remind investors, the Company's dividends are funded from the cash flows generated by the Company's underlying CLO portfolio. The Board considers three strategic priorities when allocating these cash flows:

· Paying a sustainable dividend sufficiently covered by cash generated, that does not erode the capital of the Company over time;

· Providing funds to implement the Board's share buyback policy; and

· Reinvesting surplus cash proceeds in order to grow the Company's Net Asset Value over time.

The Board's framework first of all considers both realised and forward-looking expectations of underlying cash flows to derive a target range for the dividend for the coming year, then considers the level of the Company's share price discount to Published Net Asset Value per share in order to allocate a budget for share buybacks. Surplus cash generated in excess of these requirements is reinvested.

Historical BGLF NAV and Share Price

The graph shows cumulative Published NAV and Ordinary Share price total returns and cumulative returns on European and US loans(3).

[Graphs and charts are included in the published Half Yearly Financial Report which is available on the Company's website at https://www.blackstone.com/fund/bglfln-blackstone-loan-financing-limited//]

Market Conditions

Following on from 2021, financial markets experienced some volatility over the first six months of 2022, despite a relatively strong start to the year. Equity markets sold-off and credit spreads began to widen, with concerns over persistent inflation, led by rising energy prices, and hawkish monetary policy from central banks. Markets priced in the potential risk for a policy misstep to trigger a recession, concurrent with the IMF's downward revisions to global growth forecasts. Supply side disruptions also continued, stemming from existing pandemic-related challenges, the Russia-Ukraine conflict, and Chinese COVID-19 related lockdowns in the first half of 2022.

Against this backdrop, the loan market started the year off strongly, outperforming high yield and investment grade markets, despite being impacted by retail outflows and rising credit concerns. In addition, credit metrics showed that below investment grade companies remained healthy over the first six months of 2022 but highlighted a slight dip in profit margins amid inflationary pressures. Looking ahead, we expect floating rate credit, a natural interest rate and inflation hedge, to outperform and anticipate a promising environment for investors within leveraged loans and CLOs. Macroeconomic data for the first half of 2022 has been mixed so far. Although reported GDP figures point toward the view of a recession, a trend of generally positive corporate earnings surprises so far this year, coupled with a strong labour market could provide a foundation for economic stability.

Discount Management

The share price discount to Published NAV widened slightly from 15.75% on 31 December 2021 to 16.46% on 30 June 2022. The share price discount to IFRS NAV transitioned from a discount of 13.43% on 31 December 2021 to a premium of 2.09% on 30 June 2022. During the first half of 2022, the Company repurchased 2,360,000 shares for €1,812,400 at an average discount of 17.35% using available cash with the goal of reducing the volatility and quantum of discount. As of 20 September 2022, the share price discount to Published and IFRS NAV was 24.40% and 7.62% respectively. As a Board, we regularly weigh the balance between maintaining liquidity of the shares, the stability and quantum of any discount, and the desire of Shareholders to see the Ordinary Shares trade as closely as possible to their intrinsic value(7). Please see the announcement dated 24 January 2022 for more details.

COVID-19

The Board continues to carefully monitor the ongoing developments regarding COVID-19, as the global impacts of the pandemic begin to subside. Over the first six months of 2022, the easing of lockdown restrictions in North America and Europe, where the majority of the Company's underlying issuers are located, has been encouraging. However, indirect risks linked to the aftermath of the pandemic may affect market and economic conditions, which could adversely affect the underlying businesses in which the Company invests. These could include, without limitation, supply chain disruptions and cost pressures due to rising inflation rates. BXC's analysts and portfolio managers continued to monitor the evolving situation, with a focus on identifying and trading away from issuers within the portfolio that were exposed to those risks previously identified.

Ongoing Conflict in Ukraine(8)

The Board and the Portfolio Advisor are deeply saddened by the ongoing humanitarian crisis in Ukraine. When the conflict first commenced, the Board engaged the Portfolio Advisor to understand any expected impacts to BCF's portfolio. BCF did not, and currently does not, have any direct exposure to issuers domiciled in Russia, Ukraine or Belarus, and the vast majority of underlying loan issuers in the portfolio had very limited exposure with respect to revenue and EBITDA. Within Europe, of the small handful of issuers identified with marginally higher revenue exposure, BCF has been repaid on one facility and continues to monitor the others, however we remain comfortable on the credit quality of these issuers going forward. In the US loan portfolio, revenue exposure to Russia remains even lower versus Europe.

ESG

The practice of responsible investing remains a key focus for investors and for Blackstone. The Board regularly engages with the Company's Portfolio Adviser regarding their ESG policy. Blackstone has committed to being a responsible investor for over 35 years. This commitment is affirmed across the organisation and guides its approach to investing. Whilst the Company is currently exempt from the requirement to report against the TCFD recommendations, the Board continues to actively discuss ESG matters with BXC with a view of obtaining meaningful information to Shareholders. The Board fully acknowledges the importance of the TCFD recommendations and expects the companies to which BCF provides finance to be compliant in their reporting against TCFD recommendations, as may be required by applicable law or regulation.

Further information regarding the Company's approach towards TCFD-aligned disclosures will be detailed in the Company's 2022 Annual Report and Audited Financial Statements. Refer to the Portfolio Adviser's Review below for further details on the Portfolio Adviser's ESG policy.

The Board

Good governance remains at the heart of our work as a Board and is taken very seriously. We believe that the Company maintains high standards of corporate governance. The Board was very active during the period, convening a total of 8 Board meetings and 12 Committee meetings (including 6 NAV Review Committee meetings). The Board also has a due diligence meeting scheduled with the Portfolio Adviser in October 2022, the agenda for which covers risk and compliance, risk oversight monitoring, finance and accounting and the wider market. The Board will also be meeting with the BCF board at the same time.

During the period, the Board and its advisers have met frequently, with the Company's advisers providing general updates as well as recommendations on pertinent matters such as the Company's share repurchase programme. The Board deems the careful consideration of such matters to be critical to ensuring the long-term success of the Company, particularly in light of the challenges and uncertainty faced since the start of 2022.

The work of the Board is also assisted by the Audit Committee, NAV Review Committee, Management Engagement Committee, the Remuneration and Nomination Committee, the Risk Committee and the Inside Information Committee.

The Company is a member of AIC and adheres to the AIC Code which is endorsed by the Financial Reporting Council (the "FRC"), and meets the Company's obligations in relation to the UK Code.

Shareholder Communications

During the first half of 2022, using our Portfolio Adviser and Brokers, we continued our programme of engagement with current and prospective Shareholders. We sincerely hope that you found the monthly factsheets, quarterly letters, quarterly update webcasts and market commentary valuable. We are always pleased to have contact with Shareholders, and we welcome any opportunity to meet with you and obtain your feedback.

Prospects and Opportunities in 2022

The Board's outlook for the portfolio for the remainder of 2022 is positive but remains cautious while markets react to the overall health of the economy. Recent macroeconomic data continues to provide contradicting signals, with wavering consumer confidence and GDP rates suggesting a possibility of recession, whereas corporate earnings prevail in exceeding estimates. Market sentiment will continue to be influenced by higher interest rates and rising inflation, an environment from which loans and CLOs will derive benefit. This is expected to be aided by productive market technicals, with loan and CLO spreads beginning to tighten in August 2022 and expected to narrow further, barring any adverse macroeconomic events. Given the ongoing uncertainty of the markets and global economy in the second half of 2022, the Board gains comfort from the robust investment approach of the Company's Portfolio Adviser that selects an underlying portfolio of high-quality borrowers, supported by robust underlying protections.

The Board wishes to express its thanks for the support of the Company's Shareholders.

Charlotte Valeur Chair

22 September 2022

Portfolio Adviser's Review

Bank Loan Market Overview

Leveraged loans started the year in resilient fashion, significantly outperforming other credit markets against a volatile backdrop, as investors sought floating rate assets to hedge against rising rates and soaring inflation. Collateralised loan obligation ("CLO") issuance, albeit at a slower pace from the prior year, and fund flows also provided a tailwind to the asset class.

Loan pricing remained relatively stable in the €/$97-98(3) context before succumbing to weakness as the US Federal Reserve's increasingly hawkish stance contributed to the risk-off sentiment. Macro headwinds mounted as the second quarter of 2022 progressed, as lower growth and recession risk joined inflation, rising rates, supply chain issues, Chinese COVID-19 related lockdowns, geopolitical risk, and the escalating energy crisis in Europe on the list of concerns troubling markets. Higher-quality issuers outperformed lower-rated credits in a reversal of the broader trend over the past two years.

Investors took stock of coordinated central bank action, but interest-rate risk morphed into credit risk as investors worried about a policy misstep that might push the economy into recession.  Credit fundamentals remained robust in the first half of 2022, supported by interest coverage ratios standing at a healthy 3.9x across both Europe and the US. Since pre-pandemic levels, these ratios represent a slight decrease in Europe from 4.4x in 2019, as opposed to an increase from 3.5x in the US(9). From a ratings perspective, the rate of loan upgrades to downgrades slowed in Europe(10), whilst US downgrades outpaced upgrades in May 2022(11). Returns for CCC-rated loans of -12.52% and -7.60% in Europe and the US, respectively, materially underperformed their higher quality counterparts, however default rates continue to remain benign. The last twelve-month par weighted default rate was flat at 0.2% in Europe and only rose modestly by 0.1% to 0.6% for US loans YTD. While these are a lagging indicator, both are still well below historic averages(12).

Liquidity also dried up and the loan market slowed, on the back of already weak primary loan issuance. Issuance in the first half of 2022 of €28.8 billion and $298.1 billion in Europe and the US remains 66% and 30% back of the same period last year, respectively(13). Investors also withdrew capital from loans amid deteriorating sentiment and an increasingly attractive high yield market. Looking at US retail fund flows alone, $3.1 billion was withdrawn from loan funds in the second quarter of 2022 compared to $18.7 billion in net inflows in the first quarter of 2022(14).

All told, European and US leveraged loans returned -6.78% and -4.45% by the end of June 2022(3), respectively, though still outperforming high yield. The average price for European and US leveraged loans fell from €98.71 and $98.39 to €90.26 and $91.96 at the end of June 2022, and similarly, European and US loan spreads (represented by 3-year discount margin) widened by 312 bp and 219 bp over the same period to 725 bp and 658 bp, respectively(3).

Following the end of June 2022, the market firmed. A rally across risk assets has pushed loan prices higher, contributing to an improvement in sentiment which may be a catalyst for more balanced loan markets. We expect market technicals to be supportive barring any adverse macro developments but accept credit fundamentals to become a more meaningful driver of loan performance through year end. Second quarter of 2022 corporate earnings have so far remained stable with more companies beating rather than missing estimates, but the market remains focused on how higher prices and potential demand destruction affect both consumers and corporate balance sheets.

CLO Market Overview

The CLO market was not immune from the risk off sentiment across risk assets so far this year. A decrease in risk appetite drove the cost to price a new CLO higher across the capital structure. European CLO new issue spreads on AAA-rated tranches widened by 46 basis points to 140 basis points, whilst the overall weighted cost of capital widened by 99 basis points to 290 basis points(15) . For US CLOs, AAA-rated tranches widened by 54 basis points to 186 basis points and the weighted average cost of capital increased by 70 basis points to 249(14) basis points. By the end of June 2022, CLO liability spreads were generally at the widest level seen since the onset of the COVID-19 pandemic(14), straining the arbitrage available to CLO equity investors.

Despite wider new issue spreads, managers were able to print new CLOs, in part due to their ability to purchase loans at a discount. In Europe, a relatively active first quarter of 2022 gave way to a slower pace in the second quarter of 2022 amid greater concerns for the European economy and an absence of anchor AAA investors(16). In the US CLO volume picked up in second quarter of 2022 after a softer start to the year. Despite the different dynamics, CLO issuance in the first half of 2022 finished at €13.7 billion and $72.8 billion in Europe and the US, though lagging last year's record issuance at the same point by 9% and 14%, respectively(17). Absent of any material catalyst for CLO new issuance in the second half of 2022, including an increase in loan new issue, we expect this deficit to widen. Opportunities to engage in reset and refinancing activity has been broadly limited year to date due to unattractive economics. This is expected to continue for some time since many managers took advantage of the constructive market in 2021 to lock in lower CLO cost of capital.

In response to the spread widening, some managers took advantage of structures with shorter non-call periods and / or features and alternative methods of asset sourcing to price new deals. This included shorter dated CLOs, so called 'turbo features' which improve the risk profile of lower rated tranches, 'print and sprint' transactions (where CLOs are ramped simultaneously with the CLO pricing in the secondary loan market, used to access cheaper loan prices), and increased use of bond buckets in order to take advantage of discounted high yield bonds(15).

Since the end of June 2022, CLO activity has maintained pace in the US, but kick-started in Europe in tandem with the improvement in sentiment. CLO new issue spreads have remained at relatively wide levels, but anecdotal evidence points to an improvement in pricing, though we await more transactions to be confident on directionality.

Looking forward, we expect managers to focus on CLO fundamentals to preserve cash flows available to equity investors. On face value, many metrics of portfolio quality were either flat or slightly improved at the end of June 2022 versus the start of the year(18). We expect this focus to remain on portfolio quality, with particular emphasis of managing downgrade risk, minimising CCC concentration, and avoiding defaults. 

Portfolio Update - BCF

BCF's loan portfolios focused on two general themes, risk rotation and relative value. We once again underwrote our entire loan portfolio to forecast corporate fundamental performance and potential ratings migration. Due to our more cautious outlook, we took the opportunity to rotate our portfolios up in quality away from issuers facing cost and margin pressures, supply chain headwinds, and those most leveraged to consumer discretionary spend. We invested in what we call 'good neighbourhoods', or in other words issuers benefiting from secular growth tailwinds, those who started with relatively healthy profit margins, those that have pricing power, and those with the ability to generate strong free cash flow. With volatility causing increased price dispersion between loan issuers, trading also focused on rotating out of issuers that were well bid, into cheaper assets in which we still had long term conviction, with the aim of building par. CLOs also made use of bond buckets to capture discounts after the material underperformance of high yield bonds.

At the end of the June 2022, BCF is a highly diversified portfolio of 717 loan issuers across 29 sectors and 29 countries. The portfolio remains concentrated around B2 rated issuers and holds 4.4% rated Caa at the facility level which is broadly flat from the start of the year. In line with the market, the portfolio's average loan price declined to be concentrated around €/$90-95 from €/$98-100 at the start of the year. Assets priced below €/$80 increased from 0.5% at the start of the year to 5.3% at the end of June 2022. We see minimum refinancing risk in the portfolio as loan maturities are generally wrapped around 2026 and 2028(19).

CLO financing activity was concentrated in the first quarter whilst CLO markets were still supportive of capital formation. BCF purchased the equity of one new issue European CLO and two US CLOs (including a financed vertical strip), where debt was once again placed at very competitive levels versus peers. BCF's portfolio now consists of 47 CLOs(20) spanning 9 vintage years, reemphasising the wholesale exposure investors receive through this vehicle.

Across the three CLOs that were refinanced or reset in the first quarter of 2022, we were able to extend reinvestment periods by two years and reduce average cost of capital by 21 basis points on average(21). Taking 2021 and the first quarter of 2022 together, nearly 40% of BCF's CLO liabilities were refinanced, reducing the cost of debt and extending reinvestment periods. As we stand, we have executed on all accretive opportunities to refinance the CLO portfolio and lock in a lower cost of capital for the coming years, which is supportive of healthy distributions going forward. In February, Buckhorn Park CLO was also sold at levels both accretive to modelled marks and market prices, realising a total IRR of 16%. CLO financing activity slowed in the second quarter on the back of an unattractive equity arbitrage, driven by a material widening in liability spreads.

At the end of June 2022 BCF's weighted average remaining reinvestment period was 2.1 years, providing ample runway to actively reinvest, taking advantage of both lower prices and generally wider spreads in the current environment. BCF's weighted average net interest margin was 1.92% and contracted by 11 basis points due to the new CLOs added to the portfolio at a slightly higher cost of capital, and the impact of sharply rising base rates in the US causing a temporary mismatch in the rates used for assets and liabilities. We expect this impact to revert once rates plateau and envisage rising rates to be a net benefit to CLO equity longer term.

Notwithstanding this, the CLO portfolio continued to produce strong current income, with average annualised cash on cash distributions through the first two quarters of 2022 of 16.5% and 18.5%, respectively, supported by no breaches in CCC baskets and low defaults, both of which would otherwise cause cash flow diversions and impact distributions. Locked in cost of capital and well performing assets pave the way for strong portfolio income in the coming years.

Looking forward, BCF will aim to opportunistically invest in loans with the aim of originating new CLOs when opportune to do so. We will continue to lever our vast research platform with the aim of avoiding credit deterioration, whilst rotating the portfolio with the aim of maintaining spread and building par.

Past performance is not necessarily indicative of future results, and there can be no assurance that BCF will continue to achieve comparable results or implement its investment strategy or achieve its investment objectives or avoid substantial losses.

CLO Portfolio Positions

As of 30 June 2022, the Company was invested in accordance with its and BCF's investment policy and was diversified across 717 issuers through directly held loans and the CLO portfolio, across 29 countries and 29 different industries(29). No individual borrower represented more than 2% of the overall portfolio at the end of June 2022.

Key Portfolio Statistics

Top 10 Industries(28)

Top 5 Countries(28)

Top 20 Issuers(28)

Regulatory Update

On 6 April 2022, the European Commission (the "Commission") adopted the Delegated Regulation supplementing EU Regulation (EU) 2019/2088 (the "SFDR") with regard to the regulatory technical standards ("RTS") specifying the details of the content and presentation of the information in relation to the principle of "do no significant harm", information in relation to sustainability indicators and adverse sustainability impacts, and the content and presentation of the disclosure regarding the promotion of environmental or social characteristics (Article 8 SFDR) and sustainable investment objectives (Article 9 SFDR) in pre-contractual documents, on websites and in periodic reports. The SFDR RTS are currently under scrutiny by the European Parliament and Council and are due to apply from 1 January 2023. BXC continues to monitor regulatory developments with regards to SFDR.

In connection with Regulation (EU) 2017/2402 (the "EU Securitisation Regulation"), widely anticipated secondary legislation setting out the prescribed form of reporting templates was published on 3 September 2020 and use of these reporting templates became mandatory to investors from 23 September 2020. BXC was well positioned to transition to the use of these formal reporting templates, and these reporting templates are used in respect of all in-scope CLOs. On 1 April 2022, UK Securitisation Regulation specific reporting templates, which diverge from the reporting templates published pursuant to the EU Securitisation Regulation, will be required for all CLO transactions seeking compliance with the UK Securitisation Regulation. BXC has engaged third-party service providers to produce these UK Securitisation Regulation compliant reports.

Interest limitation rules, implemented as part of Directive 2016/1164/EU (the so-called Anti-Tax Avoidance Directive), apply to certain EU CLO issuers with respect to their accounting periods commencing on or after 1 January 2022. It is not expected that interest limitation rules will adversely impact BXC's CLO business.

Risk Management

Given the natural asymmetry of fixed income, our experienced credit team focuses on truncating downside risk and avoiding principal impairment and believes that the best way to control and mitigate risk is by remaining disciplined in all market cycles and by making careful credit decisions while maintaining adequate diversification.

BCF's portfolio is managed to minimise default risk and credit related losses, which is achieved through in-depth fundamental credit analysis and diversified portfolios in order to avoid the risk of any one issuer or industry adversely impacting overall performance. As outlined in the Portfolio Update section, BCF is broadly diversified across issuers, industries, and countries.

BCF's base currency is denominated in Euro, though investments are also made and realised in other currencies. Changes in rates of exchange may have an adverse effect on the value, price, or income of the investments of BCF. BCF may utilise different financial instruments to seek to hedge against declines in the value of its positions as a result of changes in currency exchange rates.

Through the construction of solid credit portfolios and our emphasis on risk management, capital preservation, and fundamental credit research, we believe the Company's investment strategy will continue to be successful.

Blackstone Responsible Investing Approach

The Importance of Responsible Investing

At Blackstone, where our mission is to drive value for our investors, ESG is directly aligned with our core business objectives. Integrating ESG principles makes us better investors and drives value at the companies and investments we own. A core pillar of our approach is industry engagement and promoting responsible investing principles. We are members of the Alternative Investment Council ("AIC") and helped craft their Guidelines for Responsible Investment, a Principals for Responsible Investment ("PRI") signatory, a signatory to the UK Walker Principles, a TCFD Supporter and a founding TNFD Forum member.

Across our corporate and investment activities, we have identified priority ESG topics that we believe can most affect our ability to build strong companies of enduring value. We continue to make progress on ESG initiatives related to our core themes, decarbonization, diversity, equity and inclusion, and strong governance, while seeking to generate attractive returns.

We aim to integrate ESG across the firm. Our Private Equity, Real Estate, BAAM and Credit businesses each have a designated ESG head to enable coordination across corporate ESG, investment teams, corporate groups, Asset Management teams and Portfolio Operations. Our senior leadership and board of directors are highly supportive and engaged on ESG.

Objectives

Blackstone's responsible investing objectives are outlined below:

Integration

The integration of material ESG factors into our investment decisions and ownership is an important part of fulfilling our mission to create strong returns for our investors. Based on our experience, we think that consideration of ESG factors not only enhances our assessment of risk - it helps us identify opportunities for transformation and value creation. We believe that our ESG program can strengthen companies, drive value, enhance returns, and help to create better outcomes for people and communities.

Engagement

We regularly engage with our limited partners, investors, portfolio companies, stakeholders, and industry on ESG matters and seek to advance the dialogue of the importance of ESG integration into the investment process. We seek to partner with select portfolio companies to implement best practices through offering tools, training, and expertise; manage material ESG factors; implement Blackstone-specific initiatives; and measure progress.

Reporting

Be transparent with our investors and other stakeholders about Blackstone's responsible investing initiatives, successes, and goals. Blackstone reports its ESG initiatives on its website at https://www.blackstone.com/our-impact/an-integrated-approach-to-esg/. We value regular, frequent engagement with our stakeholders on ESG matters.

Approach and Responsibilities

Across all of Blackstone's businesses, ESG is core to what we do. Our approach includes an evaluation of applicable ESG considerations (pre- and post-investment decision making) as a standard part of the investment and the asset / portfolio management processes. Primary responsibility lies with our investment teams as these considerations support investment decisions. Together with Portfolio Operations and our asset management teams, the investment teams are also expected to continue to monitor material ESG risks and events through the life of the investment.

Dr. Jean Rogers, Founder and Former CEO of the Sustainability Accounting Standards Board (SASB), joined Blackstone in January 2022 as Global Head of ESG. Ms. Rogers oversees Blackstone's corporate ESG team, leading strategy, integration, reporting and engagement. She partners closely with our business unit heads of ESG, operational and asset management teams and other functional groups across Blackstone.

James Mandel, Blackstone's Chief Sustainability Officer, supports the investment and asset management teams by driving initiatives that are aimed at improving operational and environmental performance across the portfolio. Other functional experts within Portfolio Operations (including Talent Management, Procurement and Healthcare Cost Containment) may consider ESG insights in delivering operating intervention capabilities across the portfolio.

We've hired a number of dedicated ESG resources in recent years across our key regions, including the following senior professionals: Elizabeth Lewis, Deputy Head of ESG, James Mandel, Chief Sustainability Officer, Nina James, Head of Real Estate ESG (Asia), Caroline Hill, Head of Real Estate ESG (Europe), Daniel Egan, Head of Real Estate ESG (Americas), Amisha Parekh, Global Head of ESG for Private Equity, Courtney della Cava, Global Head of Portfolio Talent & Leadership, and Devin Glenn, Global Head of Diversity, Equity, and Inclusion.

Rita Mangalick is the Global Head of ESG for BXC. Ms. Mangalick is responsible for helping with ESG diligence, policy development, reporting and engagement. Ms. Mangalick is supported by a dedicated BXC ESG team as well as members of the BXC ESG Working Group and ESG professionals who work across Blackstone's different business units.

As noted above, BXC has an ESG Working Group that meets quarterly and discusses a variety of ESG-related topics, including, as applicable: review of investments, investor requests, market trends and newly adopted or pending legislation, rules, and regulation, and revisions and/or amendments to BXC's ESG Policy. Below is a visual of Blackstone's ESG leadership and integrated team approach.

[Graphs and charts are included in the published Half Yearly Financial Report which is available on the Company's website at https://www.blackstone.com/fund/bglfln-blackstone-loan-financing-limited//]

As of August 1, 2022.

Blackstone Credit's Commitment to ESG

BXC's focus on ESG stems from our commitment to prudent investing and our culture that prioritizes robust corporate governance. We seek to consider material ESG risks and opportunities throughout the diligence process, and seek opportunities to enhance the sustainability profile of our investments that may improve investor returns Review of ESG risks to investment performance is integrated into BXC's investment analysis and decision-making processes from pre-investment diligence to post-investment monitoring. 

BXC recognises the value that incorporating material ESG factors in our investment research creates, both in terms of mitigating risk and potentially enhancing long-term performance across our various investments. To that end, BXC integrates review and consideration of material ESG factors into its decision-making processes, as summarized below:

1 - Comprehensive Due Diligence

Investment teams within BXC consider material ESG factors that may impact investment performance during the due diligence phase of an investment. ESG due diligence will vary based on (i) the nature of BXC's investment, (ii) the transaction process and timeline, (iii) the level of access to information, specifically as it pertains to material ESG factors, and (iv) the target portfolio company's (the "Target") sector or business model. Investment teams may engage with target companies, sponsor partners, and review publicly available information to develop insights into the Target's business and operations. External ESG experts and legal counsel may also be engaged, as necessary. In 2020, BXC worked with a third party ESG consulting firm to create a sector-specific tool based on the Sustainability Accounting Standards Board ("SASB") that provides a framework to conduct ESG due diligence. The proprietary tool helps our teams identify the most material ESG risks that may impact a company's performance, so that we are able to focus our diligence on assessing these risks in a more targeted fashion. The tool includes industry-specific due diligence questions, KPIs to track, detailed guidance on considerations for evaluating the topic and resources for additional research.

2 - Investment Committee Engagement and Documentation

Material ESG considerations and risks arising from diligence are described in an ESG analysis section within the appropriate investment committee materials and discussed in the relevant investment committee forum. If material ESG concerns are identified, BXC may seek to remedy the situation via additional due diligence, the hiring of specialist advisors, further discussions with company management or decide not to move forward with the investment.

3 - Active Post-Investment Monitoring

On an ongoing basis, investment teams monitor the performance of BXC's investments, which includes, but is not limited to, assessing financial, operational, industry-specific and material ESG-related factors, as applicable. Periodically, BXC investment teams will update the investment committee on the performance of issuers and highlight any material ESG concerns or opportunities that warrant investment committee discussion, both in the context of the company's industry and on a stand-alone basis.

Blackstone plans to reduce Carbon Emissions:

At the Blackstone level, the Firm has calculated corporate, operational scope 1, scope 2, and select scope 3 (excludes financed emissions) emissions. This information can be found below(32) of our ESG Update. The Firm is also in the process of assessing the carbon emissions of our portfolio companies where we have majority ownership and board control.

Blackstone understands the importance of examining the potential impact associated with our financed emissions and seeks to take a holistic approach in searching for value enhancing decarbonization efforts for our portfolio companies. We believe the first step in this process is to calculate and measure the relevant metrics in a reliable manner. To that end, the Firm is in the process of assessing the carbon emissions of select portfolio companies. Furthermore, the Firm is currently partnering with third-party consultants to examine and develop an approach in calculating financed emissions across our asset classes.

Blackstone has increasingly focused on investing in companies that are supporting the energy transition. Blackstone believes that supporting our portfolio companies on climate issues creates value. We have a history of generating value for our companies through improvements in efficiency of energy usage and shifting consumption to cleaner energy sources. We seek to drive measurable, near-term carbon emissions reductions in our investment portfolio and have set a specific goal to reduce carbon emissions by 15%, in aggregate, within the first three years of ownership across all new (as of January 1, 2021) investments where we control energy usage. We have a decade of experience in this work, have brought in new leaders with climate science backgrounds, and are dedicating considerable resources to helping our portfolio companies achieve these goals. Additionally, Blackstone joined TCFD to help build a more resilient financial system through improved climate risk disclosures.

Blackstone Ireland Limited

22 September 2022

Disclaimer/Important Disclosure Information

ESG Disclaimer

ESG initiatives described in this report related to Blackstone's portfolio, portfolio companies, and investments (collectively, "portfolio companies") are aspirational and not guarantees or promises that all or any such initiatives will be achieved. Statements about ESG initiatives or practices related to portfolio companies do not apply in every instance and depend on factors including, but not limited to, the relevance or implementation status of an ESG initiative to or within the portfolio company the nature and/or extent of investment in, ownership of, control or influence exercised by Blackstone with respect to the portfolio company and other factors as determined by investment teams, corporate groups, asset management teams, portfolio operations teams, companies, investments, and/or businesses on a case by case basis. In particular, the ESG initiatives or practices described in this report are less applicable to or not implemented at all with respect to Blackstone's public markets investing businesses, specifically, Credit, Hedge Fund Solutions (BAAM) and Harvest. In addition, Blackstone will not pursue ESG initiatives for every portfolio company. Where Blackstone pursues ESG initiatives for portfolio companies, there is no guarantee that Blackstone will successfully enhance long term shareholder value and achieve financial returns. There can be no assurance that any of the ESG initiatives described in this report will exist in the future, will be completed as expected or at all, or will apply to or be implemented uniformly across Blackstone business units or across all portfolio companies within a particular Blackstone business unit. Blackstone may select or reject portfolio companies or investments on the basis of ESG related investment risks, and this may cause the Company and/or portfolio companies to underperform relative to other sponsors' funds and/or portfolio companies which do not consider ESG factors at all or which evaluate ESG factors in a different manner. While Blackstone believes ESG factors can enhance long term value, Blackstone does not pursue an ESG based investment strategy or limit its investments to those that meet specific ESG criteria or standards, except with respect to products or strategies that are explicitly designated as doing so in their Offering Documents or other applicable governing documents. Any such considerations do not qualify Blackstone's objectives to maximize risk adjusted returns. Some, or all, of the ESG initiatives described in this report may not apply to the Company's investments and none are binding aspects of the management of the assets of the Company. The Company does not promote environmental or social characteristics, nor does it have sustainable investments as its objective.

(1) Refer to the Glossary for an explanation of the terms used above and elsewhere within this report.

(2) Bloomberg closing price at period end.

(3) Source: Credit Suisse: Western European Leveraged Loan Index, Hedged to EUR (European Loans), and US Leveraged Loan Index (US Loans), as of 30 June 2022.

(4) Source:Bloomberg

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

(6) The target dividend is a target only and not a profit forecast. It should not be taken as an indication of expected future performance or results.

(7) Represents BGLF's Net Asset Value.

(8) Russia/Ukraine Disclaimer

Information as of August 2022. The views expressed in this commentary are the views of investment professionals of Blackstone and/or Blackstone Credit and do not necessarily reflect the views of Blackstone Inc. itself. All information in this commentary is believed to be reliable as of the date on which this commentary was issued and has been obtained from public sources believed to be reliable. Information subject to change. There is no guarantee that the trends described herein will continue or will not reverse. Furthermore, the rapid development of the situation could preclude prediction as to its ultimate adverse impact on economic and market conditions, and, as a result, presents material uncertainty and risk with respect to BCF and the performance of its Investments.

(9) LCD Global Report - US/Europe, July 2022. EBITDA/Cash Interest ratios, 2008-YTD 2022. US figure: Large Corporate Transactions (more than $50M of EBITDA) on an adjusted basis.

(10) Fitch, European At-Risk Leveraged Credit Report, July 2022.

(11) JP Morgan Research, 13 and 15 June 2022.

(12) Credit Suisse Default Report, as of 30 June 2022.

(13) LCD Global Interactive Volume Report, as of 30 June 2022.

(14) Lipper, LCD, 1 July 2022.

(15) Barclays CLO & Leveraged Loan Update, as of 30 June 2022. Comparison period of US CLO liability spreads is January (instead of December-end) to June, as CLOs generally transitioned from LIBOR to SOFR reference rates during January.

(16) LCD Quarterly Wrap, as of 30 June 2022.

(17) S&P LCD CLO Global Databank, as of 30 June 2022.

(18) Barclays CLO & Leveraged Loan Update, as of December 2021 and June 2022.

(19) Portfolio data presented using the gross par amount of assets held directly and indirectly by BCF. The total par amount of all assets held within each CLO and CLO warehouses are included on a fully consolidated basis and added to those assets held directly by BCF. Subject to change and not a recommendation to buy or sell any security. Data as of end June 2022 using internal Blackstone Credit data calculated on 20 July 2022.

(20) As of 30 June 2022.

(21) Does not account for credit spread adjustment for CLOs that switched to SOFR reference rates.

(22) Debt traches of certain US CLOs are referenced against SOFR. Some proportion of US CLO collateral may be based on SOFR and subject to change over time.

(23) Calculated on BCF's net assets as of 30 June 2022.

(24) Data for EUR and US CLOs calculated based on data available on Intex as of 13 July 2022 for non-redeemed or sold CLOs. Global CLO NIM is a weighted average measure. Data for US CLO Warehouses and Directly Held Loans calculated by Blackstone Credit.

(25) The vertical retention investment in Tallman Park and Wehle Park CLO is financed by a repurchase agreement. BCF owns 5% of each tranche (including equity). The total position owned is reflective of the gross exposure less the financed amount.

(26) As of 13 July 2022. Certain CLOs in the process of being redeemed. The residual valuation as a % of BCF NAV is reflective of remaining distributions to be made. Once no remaining distributions are expected, valuation will appear as "N/A".

(27) Realised IRRs for redemptions are reflective of distributions made to BCF to date, with data available in Intex as of 13 July 2022. IRRs may change as further distributions to income noteholders are made. For fully sold CLOs, realised IRR includes sale proceeds returned to BCF (reflected on a traded basis). IRRs denoted with an * are inclusive of fee rebates (separate notes reflecting rights to future rebates may still be held by BCF).

(28) Source: Intex, with data available as of 13 July 2022. Annualised distributions for redeemed CLOs include return of principal; annualised distributions for fully sold CLOs do not include sale proceeds.

(29) Portfolio data by Issuer, Industry, Country, Rating and Loan Price Bands are presented using the gross par amount of assets held directly and indirectly by BCF. Indirect asset holdings are held within CLOs BCF has invested in. The total par amount of all assets held within each CLO are included on a fully consolidated basis and added to those assets held directly by BCF. Portfolio holdings, Rating, Country, Industry and Loan Price Band distributions are subject to change and are not recommendations to buy or sell any security. CLO Note and CLO warehouse investments are excluded from all figures. Data calculated by Blackstone Credit.

(30) Calculated on BCF's net assets as of 30 June 2022.

(31) Data for EUR and US CLOs calculated based on data available on Intex as of 13 July 2022 for non-redeemed CLOs. Data for US CLO Warehouses and Directly Held Loans calculated by Blackstone Credit.

(32) 2021 ESG Update can be found at: https://www.blackstone.com/our-impact/an-integrated-approach-to-esg/.

Strategic Overview

Purpose

The Company's purpose is to provide permanent capital to BCF, a company established by Blackstone Ireland Limited ("BIL") (formerly Blackstone/GSO Debt Funds Management Europe Limited) as part of its loan financing programme, with a view to generating stable and growing total returns for Shareholders through dividends and value growth.

Principal Activities

The Company was incorporated on 30 April 2014 as a closed-ended investment company limited by shares under the laws of Jersey and is authorised as a listed fund under the Collective Investment Funds (Jersey) Law 1988. The Company continues to be registered and domiciled in Jersey. The Company's Ordinary Shares are quoted on the Premium Segment of the Main Market of the LSE.

Directors' Interests

The Directors held the following number of Ordinary Shares in the Company as at the period end and the date these condensed financial statements were approved:

Investment Objective and Investment Policy

The Company investment objective and investment policy have not changed since the publication of the Annual Financial Report for the year ended 31 December 2021. For information on the Company's investment objective and policy, refer to pages 25 to 27 of the 31 December 2021 Annual Financial Report (https://www.blackstone.com/wp-content/uploads/sites/2/blackstone-secure/blackstone-loan-financing-AR-2021.pdf).

Company Borrowing Limit

The Company Borrowing Limit has not changed since the publication of the Annual Financial Report for the year ended 31 December 2021. For information on the Company's Borrowing Limit, refer to page 27 of the 31 December 2021 Annual Financial Report:

(https://www.blackstone.com/wp-content/uploads/sites/2/blackstone-secure/blackstone-loan-financing-AR-2021.pdf).

Investment Strategy

The Company investment strategy has not changed since the publication of the Annual Financial Report for the year ended 31 December 2021. For information on the Company's investment strategy, refer to page 27 of the 31 December 2021 Annual Financial Report:

(https://www.blackstone.com/wp-content/uploads/sites/2/blackstone-secure/blackstone-loan-financing-AR-2021.pdf).

Corporate Activity

Share Repurchase Programme

On 27 September 2021, the Company announced that the Share Repurchase Programme would be renewed from 1 October 2021 until 21 January 2022.

Between 21 January 2022 and 17 June 2022, the Board approved three share repurchases totalling 1,050,000 shares.

Subsequently, on 17 June 2022, the Company announced that the Share Purchase Programme would be recommenced from 17 June 2022 to 27 July 2022.

In the six months to 30 June 2022, the Company undertook 13 share repurchases and repurchased a total of 2,360,000 shares at a weighted average price of €0.768 per share (excluding fees and commissions). The repurchased shares were held in treasury during the six months ended 30 June 2022 and remain in treasury as at date of approval of these financial statements.

Risk Overview

The Board considers the process for identifying, evaluating and managing the significant risks faced by the Company on an ongoing basis, and these risks are reported and discussed at Board meetings. It ensures that effective controls are in place to mitigate these risks and that a satisfactory compliance regime exists to ensure all applicable local and international laws and regulations are upheld.

Risk Appetite

The Board's strategic risk appetite is to ensure that the dividend policy is sustainable without eroding capital by balancing the amount of cash distributed by the Company by way of dividend with the opportunity to reinvest the returns received from the underlying CLO investments in further CLO equity through the structure. Where the Company's share price is at a material discount to the NAV per share, the Board may decide to repurchase shares in accordance with its share buyback policy instead of, or as well as, reinvestment into CLOs.

When considering other risks, the Board's risk appetite is effectively governed by a cost benefit analysis when assessing mitigation measures. However, at all times, the Company will seek to follow best practice and remain compliant with all applicable laws, rules and regulations.

Principal Risks and Uncertainties

As recommended by the Risk Committee, the Board has adopted a risk management framework to govern how the Board: identifies existing and emerging risks; determines risk appetite; identifies mitigation and controls; assesses, monitors and measures risk; and reports on risks.

The Board reviews risks at least twice a year and receives deep-dive reports on specific risks as recommended by the Risk Committee. Throughout the period under review, the Board considered a set of main risks which have a higher probability and a significant potential impact on performance, strategy, reputation, or operations (Category A risks). Of these, the five risks identified below were considered the principal risks faced by the Company where the combination of probability and impact was assessed as being most significant.

During the period, the day-to-day impact of the COVID-19 pandemic on the Company's investments and the operations of its service providers decreased. After Russia's invasion of Ukraine, the Portfolio Adviser reviewed the underlying portfolio of companies that the Company is exposed to and identified a very small number whose revenue and earnings might be impacted by the conflict. These positions have been closely monitored by the Portfolio Adviser and opportunities have been taken to trim the exposure, so it is negligible. More recently, the macro-economic environment has deteriorated, with rising inflation and interest rates, and the Portfolio Adviser has focused on positioning the underlying portfolio appropriately. The Portfolio Adviser has closely monitored these positions and managed their risk accordingly. Please refer above for further details.

The principal risks and uncertainties have not changed since the publication of the Company's Annual Financial Report for the year ended 31 December 2021. For information concerning the Company's principal risks and uncertainties and how the Company mitigates both principal and emerging risks, refer to pages 35 to 37 of the 31 December 2021 Annual Financial Report:

(https://www.blackstone.com/wp-content/uploads/sites/2/blackstone-secure/blackstone-loan-financing-AR-2021.pdf).

Going Concern

The Directors have considered the Company's investment objective, risk management and capital management policies, its assets and the expected income from its investments while factoring in the continued economic impact from COVID-19, the inflationary environment, increasing interest rates and the impact of Ukraine/Russia conflict. The Directors are of the opinion that the Company is able to meet its liabilities and ongoing expenses as they fall due and they have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, these financial statements have been prepared on a going concern basis and the Directors believe it is appropriate to continue to adopt this basis for a period of at least 12 months from the date of approval of these financial statements.

Other Information

Valuation Methodology

As noted above, the Published NAV and the IFRS NAV may diverge because of different key assumptions used to determine the valuation of the BCF portfolio. Key assumptions which are different between the two bases as at 30 June 2022 and 31 December 2021 are detailed below:

All of the assumptions above are based on weighted averages.

The below table further explains the rationale regarding the differences in the assumptions that contributed to the valuation divergence as at 30 June 2022.

Alternative Investment Fund Managers Directive

The AIFMD requires certain information to be made available to investors in AIFs before they invest and requires that material changes to this information be disclosed in the annual report of each AIF. There have been no material changes (other than those reflected in these financial statements) to this information requiring disclosure.

Alternative Performance Measures

In accordance with ESMA Guidelines on APMs, the Board has considered which APMs are included in the Half Yearly Financial Report and require further clarification. An APM is defined as a financial measure of historical or future financial performance, financial position, or cash flows, other than a financial measure defined or specified in the applicable financial reporting framework. APMs included in the financial statements, which are unaudited and outside the scope of IFRS, are detailed in the table below:

(33) Published NAV is an APM from which these metrics are derived.

(34) For the 6 month period to 30 June 2022.

A reconciliation of the APMs to the most directly reconcilable line items presented in the financial statements for the six months ended 30 June 2022 and the year ended 31 December 2021 is presented below:

Published NAV total return per Ordinary Share

Refer to Note 13 for further details on the adjustments per Ordinary Share.

Published NAV per Ordinary Share

Refer to Note 13 for further details on the adjustments per Ordinary Share.

Premium / (Discount) per Ordinary Share

Refer to Note 13 for further details on the adjustments per Ordinary Share.

Future Developments

Significant Events after the Reporting Period

Dividends

On 21 July 2022, the Company declared a dividend of €0.0175 per Ordinary Share in respect of the period from 1 April 2022 to 30 June 2022. A total payment of €7,983,136 was made on 26 August 2022.

Share Repurchase Programme

During the period 1 July 2022 to 20 September 2022, the Company repurchased 5,379,500 shares at a total cost of €3,936,972 (including fees and commissions).

Refer to Note 17 below for further details.

Related parties

There have been no material changes to the nature of related party transactions as described in the Annual Financial Report for the year ended 31 December 2021. Refer to note 14 for information on related party transactions.

Outlook

It is the Board's intention that the Company will pursue its investment objective and investment policy as detailed above. Further comments on the outlook for the Company for the 2022 financial year and the main trends and factors likely to affects its future development, performance and position are contained within the Chair's Statement and the Portfolio Adviser's Review.

Statement of Directors' Responsibilities

The Directors are responsible for preparing the Half Yearly Financial Report and condensed interim financial statements in accordance with applicable law and regulations.

The Directors confirm to the best of their knowledge that:

· the condensed interim financial statements within the Half Yearly Financial Report have been prepared in accordance with IAS 34 Interim Financial Reporting as adopted by the UK and give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company as at 30 June 2022, as required by the UK's FCA's DTR 4.2.4R;

· the Chair's Statement, the Portfolio Adviser's Report, the Strategic Report and the notes to the condensed interim financial statements includes a fair review of the information required by:

i. DTR 4.2.7R, being an indication of important events that have occurred during the first six months, the financial period ended 30 June 2022 and their impact on the condensed interim financial statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and

ii. DTR 4.2.8R, being related party transactions that have taken place in the first six months, the financial period ended 30 June 2022 and that have materially affected the financial position or performance of the Company during the period.

By order of the Board

Independent Review Report to Blackstone Loan Financing Limited

Conclusion

We have been engaged by the Company to review the condensed set of financial statements in the half-yearly financial report for the six months ended 30 June 2022 which comprises the condensed statement of comprehensive income, condensed statement of financial position, condensed statement of changes in equity, condensed statement of cash flows and related notes 1 to 17.

Based on our review, nothing has come to our attention that causes us to believe that the condensed set of financial statements in the half-yearly financial report for the six months ended 30 June 2022 is not prepared, in all material respects, in accordance with United Kingdom adopted International Accounting Standard 34 and the Disclosure Guidance and Transparency Rules of the United Kingdom's Financial Conduct Authority.

Basis for Conclusion

We conducted our review in accordance with International Standard on Review Engagements (UK) 2410 "Review of Interim Financial Information Performed by the Independent Auditor of the Entity" issued by the Financial Reporting Council for use in the United Kingdom (ISRE (UK) 2410). A review of interim financial information consists of making inquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing (UK) and consequently does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion.

As disclosed in note 2, the annual financial statements of the Company are prepared in accordance with United Kingdom adopted international accounting standards. The condensed set of financial statements included in this half-yearly financial report has been prepared in accordance with United Kingdom adopted International Accounting Standard 34, "Interim Financial Reporting".

Conclusion Relating to Going Concern

Based on our review procedures, which are less extensive than those performed in an audit as described in the Basis for Conclusion section of this report, nothing has come to our attention to suggest that the directors have inappropriately adopted the going concern basis of accounting or that the directors have identified material uncertainties relating to going concern that are not appropriately disclosed.

This Conclusion is based on the review procedures performed in accordance with ISRE (UK) 2410; however future events or conditions may cause the entity to cease to continue as a going concern.

Responsibilities of the directors

The directors are responsible for preparing the half-yearly financial report in accordance with the Disclosure Guidance and Transparency Rules of the United Kingdom's Financial Conduct Authority.

In preparing the half-yearly financial report, the directors are responsible for assessing the Company's ability to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

Auditor's Responsibilities for the review of the financial information

In reviewing the half-yearly financial report, we are responsible for expressing to the company a conclusion on the condensed set of financial statements in the half-yearly financial report. Our Conclusion, including our Conclusion Relating to Going Concern, are based on procedures that are less extensive than audit procedures, as described in the Basis for Conclusion paragraph of this report.

Use of our report

This report is made solely to the Company in accordance with ISRE (UK) 2410. Our work has been undertaken so that we might state to the company those matters we are required to state to it in an independent review report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the company, for our review work, for this report, or for the conclusions we have formed.

Deloitte LLP

Statutory Auditor

St. Helier, Jersey

22 September 2022

These financial statements were authorised and approved for issue by the Directors on 22 September 2022 and signed on their behalf by:

The Company has no items of other comprehensive income, and therefore the (loss)/profit for the period is also the total comprehensive (loss)/income.

All items in the above statement are derived from continuing operations. No operations were acquired or discontinued during the period.

The accompanying notes below form an integral part of the condensed interim financial statements.

Condensed Statement of Changes in Equity