NBLS.L Regulatory News (NBLS)

Company Overview

The investment objective of NB Global Floating Rate Income Fund Limited (the "Company") is to provide its shareholders with regular dividends, at levels that are sustainable, whilst preserving the capital value of its investment portfolio, utilising the investment skills of Neuberger Berman Europe Limited (the "Investment Manager") and Neuberger Berman Fixed Income LLC (the "Alternative Investment Fund Manager").

To pursue its investment objective, the Company invests mainly in floating rate senior secured loans issued in U.S. Dollars, Sterling and Euros by primarily North American and European Union corporations, partnerships and other business issuers. These loans are at the time of investment often non-investment grade. The Company considers debt instruments to be non-investment grade if, at the time of investment, they are rated below the four highest categories (Aaa, Aa, A and Baa) by at least two independent credit ratings agencies or, if unrated, are deemed by the Investment Manager to be of comparable quality.

For the purposes of efficient portfolio management, the Company has established a wholly-owned Luxembourg incorporated subsidiary, NB Global Floating Rate Income Fund (Lux) 1 S.à.r.l. which in turn holds a wholly-owned subsidiary, NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. Part of the portfolio of the Company is held through NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. All references to the Company in this document refer to the Company together with its wholly-owned Luxembourg subsidiaries.

Key Figures

\* The total return is the NAV return per share plus dividends paid during the period.

** 2015 figures relate to dividend paid during the period 1 January to 30 June 2015 while 2014 comparative relates to dividend paid during the period 1 January 2014 to 31 December 2014

*** 2015 figures relate to a 1 January to 30 June 2015 while 2014 comparative relates to the period 1 January 2014 to 31 December 2014

Chairman's Statement

Dear Shareholder,

It is my pleasure to present to you the Report of NB Global Floating Rate Income Fund Limited ("the Company") for the six months ended 30 June 2015.

Portfolio and Company performance

Building on the solid start that your Company has made since April 2011, the Board remains pleased with the progress made by the Investment Manager during the first half of 2015. The portfolio remains fully invested, with a strong US bias. As of 30 June 2015, 94.67% of the Company was invested in US Dollar denominated assets, with 3.03% invested in Euro denominated assets and 2.30% in Sterling denominated assets (all excluding cash).

The Investment Manager has constructed a diversified portfolio of loan investments, across currencies, ratings and sectors. At the end of the reporting period, the portfolio had 314 holdings across 235 issuers in 32 different sectors.

Between 31 December 2014 and 30 June 2015, the Company's NAV per share rose by 0.91% and 1.07% for the U.S. Dollar Ordinary Share and Sterling Ordinary Share, respectively. The NAV return plus dividends declared in the period was 2.81% and 2.97% for the U.S. Dollar Ordinary Shares and Sterling Ordinary Shares, respectively. As at 30 June 2015, the share price was trading at a discount of 1.65% for the U.S. Dollar Ordinary Shares and 1.27% for the Sterling Ordinary Shares.

During the six-month reporting period, the annualised dividend yield of the Company on dividends paid during the period 1 January 2015 to 30 June 2015 was 3.78% (based on a share price of $0.9790) for the U.S. Dollar Ordinary Shares and 3.80% (based on a share price of £0.9750) for the Sterling Ordinary Shares, which we believe is attractive given current market conditions and consistent with the Company's investment objective of income generation whilst seeking to preserve investors' capital and give protection against rising interest rates

The Company's shares were trading at a modest discount to NAV towards the end of the financial year end and into the first half of this year. Notwithstanding the modest nature of the discount, the Board considered that it was undesirable for the Company's shares to trade at much wider than a 3% discount to NAV, in normal market conditions, given the low total return environment we all currently face. The Board has authorised the buyback of the Company's shares in this period and will continue to seek to address any temporary imbalances of supply and demand through the use of share buybacks in line with this policy.

Outlook for the rest of the financial year

Looking to the second half of 2015, your Board continues to be satisfied with the portfolio's performance to date and the strategy that is being applied by the Investment Manager. The Investment Manager will continue to update you on the Company's progress by way of the quarterly fact sheets and Investment Manager updates.

I would like to close by thanking you for your commitment and support.

___________________________

William Frewen

Chairman

13 August 2015

Investment Manager's Report

Market Environment

The US loan market, as measured by the S&P/LSTA Leveraged Loan Index (the "Index"), gained 2.83% for the reporting period. After a reasonably solid start in the first quarter, where it posted a 2.1% return, the second quarter was more restrained, particularly in June when it was affected by heavy market conditions arising from i) primarily the Greece uncertainty and secondarily from the Chinese market volatility and ii) expected supply from two $15 billion dollar merger and acquisition (M&A) announcements by Charter Communications and Avago Technologies. In terms of demand, collateralised loan obligation (CLO) issuance remained robust with $59 billion issued versus $61 billion for the same period last year and retail outflows slowed. Year-to-date supply was more muted with $142 billion of institutional issuance seen, some $100 billion below what was seen for the first half of 2014. At the end of the six-month period, the US trailing 12-month default rate, which by amount was 1.24% and by number was 0.81%, remained low and below the Index's long-term average of approximately 3.22% (by amount since 1999).

In Europe, the loan market, as measured by the S&P European Leveraged Loan Index (ELLI), gained 3.11% during the reporting period. Similar to the US, the first quarter started strongly with 2.1% recorded but slowed somewhat in quarter two given the issues in Greece. From an issuance perspective, the second quarter began as the first ended, with a weighting toward existing issuers returning to market. Year-to-date issuance was €22 billion versus €27 billion for the comparable period in 2014. The European trailing 12-month default rate continued to decline, falling to 2.1% by volume and 2.0% by issuer at the end of June, down from 4.9% and 3.7% respectively at the end of 2014. This was primarily as a result of last year's two large defaults, Vivarte and Autobar, no longer being included in the calculation.

Portfolio

The overall profile of the portfolio has remained relatively constant over the past six months, with our bond allocation remaining low at 3.55% against the 20% of net asset value (NAV) allowable, non-US dollar assets accounting for 5.33% of the portfolio, and we continued with an overweight to single B-rated loans. Barring a significant sell-off in the high yield market, our bond allocation is likely to remain in this range as we move closer to interest rate rises in the US. Our European weight, as has been the case in the past, will likely be driven by new issuance volumes, which have been depressed as of late. Finally, our single B overweight will remain driven by our default outlook, which continues to be benign.

Market Outlook

While we continue to see a level of nervousness in the credit markets generally given concerns around the recent volatility in China and uncertainty with regards to future interest rate levels, we maintain our full year asset class return forecast of 4%‒6%. This is comprised mostly of income, with the potential for some capital appreciation, as we believe there may be some further upside from the June closing S&P/LSTA Index price of 96.6. Additionally, the potential for interest rate rises in the US should clearly have a positive effect on the loan asset class. While we might see some defaults in the energy space, the overall default outlook remains very benign, as the companies in our investable universe maintain strong credit profiles and have very few near term maturities.

BOARD OF DIRECTORS

Directors

The Board is comprised of four independent non-executive Directors including the Chairman William Frewen. The biographical details of the Directors holding office at the date of this report are listed below and demonstrate a breadth of investment, accounting and professional experience. The performance of the Company is considered in detail at each board meeting. The Board is considered independent of the Investment Manager. The Board meets at least four times each year and deals with the important aspects of the Company's affairs, including the setting and monitoring of the investment strategy and the review of investment performance.

The Directors' details are as follows:

William Frewen, Richard Battey and Sandra Platts were appointed on 10 March 2011. Rupert Dorey was appointed on 1 March 2015. William Frewen was re-elected as Chairman, Richard Battey and Sandra Platts were re-elected as Directors at the Annual General Meeting held on 17 June 2015. 

William Frewen (Chairman)

William Frewen is a resident of the United Kingdom and has extensive experience in the fixed income sector. William worked in a number of roles at Chemical Bank, Credit Suisse First Boston Limited ("CSFB") and HSBC Bank plc from 1984 to 1998 before becoming head of Fixed Income Trading and deputy head of Capital Markets at Nomura International plc from 1998 to 2001. He served as the non-executive Chairman of Playgolf Holdings plc from 2004 to 2007, a company that was admitted to AIM in 2004 under his chairmanship. William also acted as a consultant to Man Group plc from 2005 to 2006 before becoming an executive member of the board and head of Fixed Income at Threadneedle Asset Management from 2007 to 2010.

Richard Battey (Chairman of the Audit Committee and Senior Independent Director)

Richard Battey is a resident of Guernsey and is a non-executive Director and Chairman of the Audit Committees of AcenciA Debt Strategies Limited, Better Capital PCC Limited, Juridica Investments Limited, Pershing Square Holdings Limited, Princess Private Equity Holding Limited and Prospect Japan Fund Limited. He is a Fellow of the Institute of Chartered Accountants in England and Wales having qualified with Baker Sutton & Co. in London in 1977. Richard has been a non-executive Director of a number of investment companies and funds since leaving CanArgo Energy Corporation in 2006 where he was Chief Financial Officer. Prior to that role, he spent 27 years with the Schroder Group. Richard was a Director of Schroders (C.I.) Limited in Guernsey from April 1994 to December 2004 where he served as Finance Director and Chief Operating Officer. He was a Director of a number of the Schroder Group's Guernsey companies covering banking, investment management, trusts, insurance and private equity administration, retiring from his last Schroder Directorship in December 2008.

Rupert Dorey

Rupert Dorey is a resident of Guernsey and has over 30 years of experience in financial markets. Rupert was at CSFB for 17 years from 1988 to 2005 where he specialised in credit related products, including derivative instruments where his expertise was principally in the areas of debt distribution, origination and trading, covering all types of debt from investment grade to high yield and distressed debt. He held a number of senior positions at CSFB, including establishing CSFB's high yield debt distribution business in Europe, fixed income credit product coordinator for European offices and head of UK Credit and Rates Sales. Since 2005 he has been acting in a Non-Executive Directorship capacity for a number of Hedge Funds, Private Equity & Infrastructure Funds, for both listed and unlisted vehicles. Rupert is a former President of the Guernsey Chamber of Commerce and is a member of the Institute of Directors.

Sandra Platts (Chairman of the Management Engagement Committee and the Remuneration and Nomination Committee)

Sandra Platts is a resident of Guernsey and is a non-executive Director of Investec Bank (C.I.) Limited, UK Commercial Property Trust Limited and Starwood European Finance Partners Limited. Sandra was Managing Director of Kleinwort Benson in Guernsey and Chief Operating Officer for Kleinwort Benson Private Banking Group (UK and Channel Islands). She also held Directorships of the Kleinwort Benson Trust Company and Operating Boards, retiring from Kleinwort Benson boards in 2010. Sandra holds a Master's in Business Administration and The Certificate in Company Direction from the Institute of Directors.

Directors' Report and Responsibilities Statement

Related Parties

Other than fees payable in the ordinary course of business, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the financial period.

Going Concern

As the Company prepares to include a viability statement in the annual report to be issued in 2016 for the financial year ended 31 December 2015, the Directors are in the process of reassessing the principal risks faced by the Company. With this in mind and with the work done to date, the Directors considered it appropriate to adopt the going concern basis of accounting in preparing the interim financial information. This conclusion from the Directors has been on the basis of:

1. Working capital - As at 30 June 2015, there was a working capital surplus of approximately $82 million. The Directors noted that as at 30 June 2015 (i) the gross investment income for the period from 1 January 2015 to 30 June 2015 was approximately $44 million and (ii) the Company had no borrowings, as such it has sufficient capital in hand to cover all expenses (which mainly consist of Investment Manager's fees, Administration fees and Professional fees) and to meet all of its obligations as they fall due.

2. Closed-ended Company - The Company has been registered with the Guernsey Financial Services Commission as a Registered Closed-ended Collective Investment Scheme, as such there cannot be any shareholder redemptions, and therefore no cash flows out of the Company in this respect.

3. Investments - The Company has a tradable portfolio, therefore the investments can be sold for cash.

Based on the above assessments, the Directors are of the opinion that the Company is able to meet its liabilities as they fall due for payment because it has and is expected to maintain adequate cash resources. Accordingly, these Unaudited Consolidated Interim Financial Statements have been prepared on a going concern basis.

Principal Risks and Uncertainties

The principal risks and uncertainties of the Company remain unchanged from what was disclosed in the 2014 annual report. The Board's view is that these risks remain appropriate for the remainder of 2015.

We confirm that to the best of our knowledge:

The Unaudited Consolidated Interim Financial Statements, which have been prepared in conformity with US GAAP and the Financial Accounting Standards Board Accounting Standards Codification 270' "Interim Reporting", gives a true and fair view of the assets, liabilities, financial position and profits/(losses) of the Company, as required by DTR 4.2.4R.

The combination of the Chairman's Statement, the Investment Manager's Report and this Directors' Report meet the requirements of an Interim Management Report, and include a fair view of the information required by;

1. DTR 4.2.7R of the Disclosure and Transparency Rules, of the UK's Financial Conduct Authority, being an indication of important events that have occurred during the first six months of the year and their impact on the set of financial statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and

2. DTR 4.2.8R of the Disclosure and Transparency Rules, of the UK's Financial Conduct Authority, being related party transactions that have taken place in the first six months of the current year and that have materially affected the financial position or performance of the Company during that period; and any material changes in the related party transactions described in the last annual report.

William Frewen Richard Battey

Chairman Director

13 08 2015 13 08 2015

Independent Review Report to the Directors of NB Global Floating Rate Income Fund Limited

Introduction

We have been engaged by the Company to review the interim financial statements in the half-yearly financial report for the six months ended 30 June 2015, which comprises the Consolidated Statement of Assets and Liabilities as at 30 June 2015 and the Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets, Condensed Consolidated Schedule of Investments, Consolidated Statement of Cash Flows for the period then ended and related notes. We have read the other information contained in the half-yearly financial report and considered whether it contains any apparent misstatements or material inconsistencies with the information in the condensed set of financial statements.

Directors' responsibilities

The half-yearly financial report is the responsibility of, and has been approved by, the directors. The directors are responsible for preparing the half-yearly financial report in accordance with the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

As disclosed in note 2, the annual financial statements of the Company are prepared in accordance with accounting principles generally accepted in the United States of America. The interim financial statements included in this half-yearly financial report have been prepared in accordance with the Financial Accounting Standards Board Accounting Standards Codification 270, "Interim Reporting".

Our responsibility

Our responsibility is to express to the Company a conclusion on the interim financial statements in the half-yearly financial report based on our review. This report, including the conclusion, has been prepared for and only for the Company for the purpose of the Disclosure and Transparency Rules of the Financial Conduct Authority and for no other purpose. We do not, in producing this report, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Scope of review

We conducted our review in accordance with International Standard on Review Engagements 2410, 'Review of Interim Financial Information Performed by the Independent Auditor of the Entity' issued by the International Auditing and Assurance Standards Board. A review of interim financial information consists of making enquiries, 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 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.

Conclusion

Based on our review, nothing has come to our attention that causes us to believe that the consolidated interim financial statements in the half-yearly financial report for the six months ended 30 June 2015 are not prepared, in all material respects, in accordance with Financial Accounting Standards Board Accounting Standards Codification 270, "Interim Reporting" and the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

PricewaterhouseCoopers CI LLPChartered Accountants, Guernsey, Channel Islands13 08 2015

Unaudited Consolidated Statement of Assets and Liabilities

As at 30 June 2015

(Expressed in U.S. Dollars)

The Unaudited Consolidated Interim Financial Statements were approved and authorised for issue by the Board of Directors on 13 August 2015, and signed on its behalf by:

_________________________ _________________________

William Frewen Richard Battey

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

Unaudited Consolidated Condensed Schedule of Investments

As at 30 June 2015

(Expressed in U.S. Dollars)

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

As at 31 December 2014

(Expressed in U.S. Dollars)

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

As at 30 June 2015

(Expressed in U.S. Dollars)

* In 2014 this industry was categorized as "Radio & Television"

** In 2014 this industry was categorized as "Lodging & Casinos"

*** In 2014 this industry was categorized as "All Telecom"

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

30 June 2015

As at 30 June 2015, issuers with the following investments comprised of greater than 1% of Net Asset Value:

* In 2014 this industry was categorized as "Lodging & Casinos"

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

31 December 2014

As at 31 December 2014, issuers with the following investments comprised of greater than 1% of Net Asset Value:

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

As at 30 June 2015, the below were the largest 50 investments based on the Net Asset Value:

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

As at 31 December 2014, the below were the largest 50 investments based on the Net Asset Value:

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

Unaudited Consolidated Statement of Operations

For the six months ended 30 June 2015

(Expressed in U.S. Dollars)

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

Unaudited Consolidated Statement of Changes in Net Assets

For the six months ended 30 June 2015

(Expressed in U.S. Dollars)

30 June 2015

31 December 2014

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

Unaudited Consolidated Statement of Cash Flows

For the six months ended 30 June 2015

(Expressed in U.S. Dollars)

The accompanying notes form an integral part of the Unaudited Consolidated Interim Financial Statements

Notes to the Unaudited Consolidated Interim Financial Statements

For the six months ended 30 June 2015

Note 1 - Description of Business

NB Global Floating Rate Income Fund Limited (the "Company") is a Guernsey Registered Closed-ended Collective Investment Scheme registered and incorporated in Guernsey under The Companies (Guernsey) Law, 2008 (as amended), on 10 March 2011, with registration number 53155. The Initial Public Offering of the Company took place on 15 April 2011, raising gross proceeds of approximately $507.3 million. The Company's shares were admitted to trading on the Main Market of the London Stock Exchange on 20 April 2011.

On 30 September 2011, the Company raised an additional $187 million by means of a Placing and Offer for Subscription of C Shares and were admitted to trading on the Main Market of the London Stock Exchange on 5 October 2011. On 21 March 2013 and 24 October 2013 the Company raised an additional $550 million and $705 million by means of a Placing and Offer for Subscription of C Shares and were admitted to trading on the Main Market of the London Stock Exchange on 26 March 2013 and 29 October 2013 respectively. On 22 July 2013, through a tap issue, the Company raised gross proceeds of $69 million. The Sterling C Shares issued on 21 March 2013 were converted into 360,521,605 Sterling Ordinary Shares on 16 July 2013 and the Sterling Ordinary Shares issued on 24 October 2013 were converted into 421,103,481 Sterling Ordinary on 21 January 2014.

At the annual general meeting of the Company held in June 2015, the Directors were granted the general authority to purchase in the market up to 14.99% of the Ordinary Shares of each class in issue (as at 17 June 2015). This authority will expire at the next AGM in 2016. Pursuant to this authority, and subject to the Companies (Guernsey) Law, 2008 and the discretion of the Directors, the Company may purchase shares of any of its classes in the market on an on-going basis with a view to addressing any imbalance between the supply of and demand for such shares, thereby increasing the Net Asset Value per share of the shares and assisting in controlling the discount to Net Asset Value per share of the shares in relation to the price at which the shares of such class may be trading.

The Company re-purchased 16,775,634 Sterling Ordinary shares in 28 tranches between 16 February 2015 and 30 June 2015, to be held in Treasury. The Company also re-purchased 50,000 U.S. Dollar Ordinary shares in 2 tranches between 18 June 2015 and 30 June 2015 to be held in Treasury.

The Company's investment objective is to provide its shareholders with regular dividends, at levels that are sustainable, whilst preserving the capital value of its investment portfolio, utilising the investment skills of the Investment Manager, Neuberger Berman Europe Limited and the Alternative Investment Fund Manager (the "AIFM"), Neuberger Berman Fixed Income LLC. To pursue its investment objective, the Company invests mainly in floating rate senior secured loans issued in U.S. Dollars, Sterling and Euros by primarily North American and European Union corporations, partnerships and other business issuers. These loans will at the time of investment often be non-investment grade. The Company considers debt instruments to be non-investment grade if, at the time of investment, they are rated below the four highest categories (Aaa, Aa, A and Baa) by at least two independent credit rating agencies or, if unrated, are deemed by the Investment Manager to be of comparable quality.

For the purposes of efficient portfolio management, the Company has established a wholly-owned Luxembourg incorporated subsidiary, NB Global Floating Rate Income Fund (Lux) 1 S.à.r.l. which in turn holds a wholly-owned subsidiary, NB Global Floating Rate Income Fund (Lux) 2 S.à.r.l. All references to the Company in this document refer to the Company and its wholly owned Luxembourg subsidiaries. The directors of these companies are unrelated to the Directors of the Company.

The Company's share capital is denominated in U.S. Dollars and Sterling and consists of U.S. Dollar Ordinary Shares and Sterling Ordinary Shares as at 30 June 2015.

Note 2 - Summary of Significant Accounting Policies

Basis of preparation

The accompanying Unaudited Consolidated Interim Financial Statements have been presented on a going concern basis and on the accrual basis of accounting in conformity with United States generally accepted accounting principles (US GAAP). The Company is regarded as an Investment Company and it follows the accounting and reporting requirements of ASC 946. The Board believes that the underlying assumptions are appropriate and that the Company's Unaudited Consolidated Interim Financial Statements therefore present a true and fair financial position.

Basis of consolidation

The Unaudited Consolidated Interim Financial Statements comprise the financial statements of the Company and its wholly owned subsidiary undertakings as at 30 June 2015. The Company and all its wholly owned subsidiaries have United States Dollars as their functional and reporting currency. The results of the subsidiary undertakings are included in the Consolidated Statement of Operations.

All intra-group balances, transactions, income and expenses are eliminated in full.

Use of estimates

The preparation of Unaudited Consolidated Interim Financial Statements in conformity with US GAAP requires that the Directors make estimates and assumptions that affect the application of policies and reported amounts of assets and liabilities, income and expenses. Such estimates and associated assumptions are generally based on historical experience and various other factors that are believed to be reasonable under the circumstances, and form the basis of making the judgments about attributing values of assets and liabilities that are not readily apparent from other sources. Actual results may vary from such accounting estimates in amounts that may have a material impact on the financial information of the Company.

Revenue recognition

Interest earned on debt instruments is accounted for net of applicable withholding taxes and is recognised as income over the terms of the loans. Discounts received or premiums paid in connection with the acquisition of loans are amortised into interest income using the effective interest method over the contractual life of the related loan. If a loan pays off prior to maturity, the recognition of the fees and costs is accelerated as appropriate. The Company raises a provision when the collection of interest is deemed doubtful.

Cash and cash equivalents

The Company's cash and cash equivalents comprise cash in hand and demand deposits and highly liquid investments with original maturities of less than 90 days that are both readily convertible to known amounts of cash and so near maturity that they represent insignificant risk of changes in value.

Valuation of investments

The Company carries investments on its Consolidated Statement of Assets and Liabilities at fair value in accordance with US GAAP, with changes in fair value recognised within the Consolidated Statement of Operations in each reporting period. Quoted investments are valued according to their bid price as at the close of the relevant reporting date. Investments in private securities are priced at the bid price using a pricing service for private loans. Asset backed securities are valued according to their bid price. If a price cannot be ascertained from the above sources, the Company will seek bid prices from third party broker/dealer quotes for the investments. The Investment Manager believes that bid price is the best estimate of fair value and is in line with the valuation policy adopted by the Company.

In cases where no third party price is available, or where the Investment Manager determines that the provided price is not an accurate representation of the fair value of the investment, the Sub-Investment Manager determines the valuation based on the AIFM's fair valuation policy. The overall criterion for fair value is a price at which the securities involved would change hands in a transaction between a willing buyer and a willing seller, neither being under compulsion to buy or sell and both having the same knowledge of the relevant facts.

Consistent with the above criterion, the following criteria is considered when applicable:

· Valuation of other securities by the same issuer for which market quotations are available;

· Reasons for absence of market quotations;

· The credit quality of the issuer and the related economics;

· Recent sales prices and/or bid and ask quotations for the security;

· Value of similar securities of issuers in the same or similar industries for which market quotations are available;

· Economic outlook of the industry;

· Issuer's position in the industry;

· The financial information of the issuer; and

· The nature and duration of any restriction on disposition of the security.

Derivative financial instruments

The Company may, from time to time, hold derivative financial instruments for the purposes of hedging foreign currency exposure. These derivatives are measured at fair value in accordance with US GAAP, with changes in fair value recognised within the Consolidated Statement of Operations in each reporting period.

Depending on the product and the terms of the transaction, the fair value of the over the counter (OTC) derivative products, such as foreign exchange contracts, can be modelled taking into account the counterparties' credit worthiness and using a series of techniques, including simulation models.

Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets. The forward exchange contracts valued by the Company using pricing models fall into this category and are categorised within level 2 of the fair value hierarchy.

As shares are denominated in U.S. Dollars and Sterling and investments are denominated in U.S. Dollars, Euro or Sterling. Holders of any class of Shares are subject to foreign currency fluctuations between the currency in which such Shares are denominated and the currency of the investments made by the Company. Consequently, the Investment Manager seeks to engage in currency hedging between the U.S. Dollar and any other currency in which the assets of the Company or a class of Shares is denominated, subject to suitable hedging contracts such as forward currency exchange contracts being available in a timely manner and on terms acceptable to the Investment Manager, in their sole and absolute discretion.

Note 5 details the gross and net derivative asset and liability position by contract type and the amount for those derivative contracts for which netting is permissible under US GAAP. The derivative assets and liabilities have been netted where an enforceable master netting arrangement is in place.

Realised gains and losses on investments

All investment transactions are recorded on a trade date basis. Upon sale or maturity, the difference between the consideration received and the cost of the investment is recognised as a realised gain or loss. The cost is determined based on the average cost method.

Operating expenses

Operating expenses are recognised on an accruals basis. Operating expenses include amounts directly or indirectly incurred by the Company as part of its operations.

Issuance/buybacks cost

In line with the Prospectus, the expenses incurred for the initial placing and C Shares were borne by the Company up to a maximum of 2% of the Gross Issue Proceeds. These expenses include placing fees and commissions; registration, listing and admission fees; the cost of settlement and escrow arrangements; printing, advertising and distribution costs; legal fees, and any other applicable expenses incurred in connection with the offering of shares. All such expenses are charged to capital, reducing the issue proceeds received.

Any costs incurred by a share buyback will be charged to that share class.

Currency translation

Monetary assets and liabilities denominated in a currency other than U.S. Dollars are translated into U.S. Dollar equivalents using spot rates as at the reporting period end date. On initial recognition, a foreign currency transaction is recorded and translated at the spot exchange rate at the transaction date. Non-monetary assets and liabilities are translated at the historic exchange rate. There were no non-monetary assets held during the period. Transactions during the period, including purchases and sales of securities, income and expenses, are translated at the rate of exchange prevailing on the date of the transaction. The rates of exchange against U.S. Dollars at 30 June 2015 were 1.572700 USD: 1GBP and 1.114200 USD: 1EUR (31 December 2014: 1.559242 USD: 1GBP and 1.210050 USD: 1EUR).

Note 3 - Agreements and Related Parties

Investment Management Agreement

The Board is responsible for managing the business affairs of the Company but has delegated certain functions to the Investment Manager under the Investment Management Agreement ("the Agreement") dated 18 March 2011.

The Investment Manager of the Company is Neuberger Berman Europe Limited (which is a related party), an indirectly wholly owned subsidiary of NB Group. On 17 July 2014, the Company, the Investment Manager and the Sub Investment Manager made certain classificatory amendments to the Agreement for the purposes of the AIFM Directive.

The Sub Investment Management Agreement was terminated on 17 July 2014 and the Sub Investment Manager was appointed as the AIFM. The Investment Manager has for the duration of its appointment discharged its responsibility to the AIFM, Neuberger Berman Fixed Income LLC.

As per the Sub-Investment Management agreement dated 18 March 2011 and the Deed of Amendment dated 30 September 2013, the Investment Manager paid a management fee to the Sub-Investment Manager until 17 July 2014. As per the Amended and Restated Agreement dated 17 July 2014, the Investment Manager shall pay a fee to the AIFM out of the Investment Management fee received from the Company. The Company does not pay any fees to the AIFM.

The Investment Manager is responsible for the discretionary management of the assets held in the Company Portfolio and will conduct the day-to-day management of the Company's assets (including un-invested cash).The Investment Manager is not required to and generally will not submit individual investment decisions for approval by the Board.

As per the Agreement dated 18 March 2011 and the Deed of Amendment to the Agreement dated 30 September 2013, and the amended and restated agreement dated 17 July 2014, the Investment Manager is entitled to a management fee, which shall accrue daily, and be payable quarterly in arrears, at the following rate per annum of the Company's Net Asset Value.

On first £1bn of the Net Asset Value 0.75%

On £1bn - £2bn of the Net Asset Value 0.70%

Any amount greater than £2bn of the Net Asset Value 0.65%

For the six months ended 30 June 2015, the management fee expense was $7,024,366 (31 December 2014: $15,428,716), of which $3,556,165 (31 December 2014: $3,705,040) was unpaid at the period end.

The Investment Manager is not entitled to a performance fee.

Administration, Custody and Company Secretary Agreement

BNP Paribas Securities Services S.C.A., Guernsey Branch ("BNPP") was the Administrator, Custodian and Designated Manager until 28 February 2015. Effective 1 March 2015, the Company has entered into an Administration and Sub-Administrator agreement with U.S. Bancorp Fund Services (Guernsey) Limited ("Administrator") and Quintillion Limited ("Sub-Administrator"), both wholly owned subsidiaries of U.S. Bancorp. Under the terms of the agreement, Sub-Administration services are delegated to Quintillion Limited.

The Sub-Administrator is responsible for the day-to-day administration of the Company (including but not limited to the calculation and publication of the estimated daily Net Asset Value), general secretarial functions (including but not limited to the maintenance of the Company's accounting records).

For the period from 1 January 2015 to 28 February 2015, BNPP was entitled to an annual fee, accrued daily and paid monthly in arrears, in accordance with the schedule below and subject to an annual minimum of £100,000.

On first $100m of the Net Asset Value 0.08%

On $100m - $250m of the Net Asset Value 0.06%

On $250m - $500m of the Net Asset Value 0.03%

Any amount greater than $500m of the Net Asset Value 0.015%

From 1 March 2015, the Administrator is entitled to an annual fee, accrued daily and paid monthly in arrears, in accordance with the schedule below and subject to an annual minimum of $75,000.

On first $250m of the Net Asset Value 0.05%

On $250m - $500m of the Net Asset Value 0.04%

On $500m - $1bn of the Net Asset Value 0.03%

Any amount greater than $1bn of the Net Asset Value 0.02%

For the six months ended 30 June 2015, the administration fee was $231,949 (31 December 2014: $511,937) of which $218,836 (31 December 2014: $127,067) was unpaid at the period end.

C.L. Secretaries Limited, a wholly owned subsidiary of Carey Commercial Limited, as Company Secretary is entitled to an annual fee of £63,300 plus out of pocket expenses.

For the six months ended 30 June 2015, the secretarial fee was $68,021 (31 December 2014: $58,876) of which $23,312 (31 December 2014: $14,149) was unpaid at the period end.

For the period from 1 January 2015 to 28 February 2015, BNPP was entitled to a custodian fee of 0.02 per cent of the market value of the portfolio and a fee of 0.045% per annum on the market value of the loan assets (adjusted to 0.035% per annum if assets exceeded $500m), with a minimum annual fee of £50,000 in respect of portfolio and loan administration.

Effective 1 March 2015, US Bank National Association ("Custodian") became the Custodian of the Company.

For the period from 1 March 2015 to 30 June 2015, the Custodian is entitled to a fee of 0.025 per cent of the Market Value of the portfolio per annum, with a minimum annual fee of $25,000 in respect of portfolio and loan administration.

For the six months ended 30 June 2015, the custodian fee was $183,924 (31 December 2014: custodian and loan administration, $856,192) of which $184,149 (31 December 2014: $196,938) was unpaid, all of which was due to US Bank National Association at the period end.

Registrar's Agreement

Capita Registrars (Guernsey) Limited has been appointed as registrar of the Company. The fee charged is at a rate of £2.00 per holder of shares appearing on the registry during the fee period, with a minimum charge per annum of £9,000. For the six months ended 30 June 2015, the Registrars fees amounted to $80,375. Of these, $18,413 was unpaid at the period end.

Note 4 - Related Party Transactions

Directors

The Directors are related parties and are remunerated for their services at a fee of £35,000 per annum (£45,000 for the Chairman). In addition, the Chairman of the Audit Committee receives an additional £5,000 for his services in this role. The Chairman of the Management Engagement Committee and the Chairman of the Remuneration Committee receive an additional £2,500 each per annum. The Directors' fee for the two Luxembourg subsidiaries, whose Directors are unrelated to the Guernsey Board members, amounts to €17,847 per annum per subsidiary. Of these, $22,702 were prepaid at the period end. For the six months ended 30 June 2015, the Guernsey Directors' fees and travel expenses amounted to $129,208 (31 December 2014: $226,142). Of these, $Nil were prepaid at the period end (31 December 2014: $46,311 were unpaid).

Neuberger Berman Europe Limited

The contract with Neuberger Berman Europe Limited is classified as a related party transaction. Other than fees payable in the ordinary course of business and the additional fees disclosed in Note 3, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the financial period.

Note 5 - Fair Value of Financial Instruments

A financial instrument is defined by ASC 825, Disclosures about Fair Value of Financial Instruments, as cash, evidence of an ownership interest in an entity, or a contract that creates a contractual obligation or right to deliver to or receive cash or another financial instrument from a second entity on potentially favourable terms. Fair value estimates are made at a discrete point in time, based on relevant market data, information about the financial instruments, and other factors.

Fair value was determined using available market information and appropriate valuation methodologies. Estimates of fair value of financial instruments without quoted market prices are subjective in nature and involve various assumptions and estimates that are matters of judgment. Accordingly, fair values are not necessarily indicative of the amounts realised on disposition of financial instruments. The use of different market assumptions and/or estimation methodologies may have a material effect on estimated fair value amounts.

The following estimates and assumptions were used at 30 June 2015 to estimate the fair value of each class of financial instruments:

- Valuation of financial investments - The loans and bonds are valued at bid price. The Investment Manager believes that bid price is the best estimate of fair value and is in line with the valuation policy adopted by the Company.

- Cash and cash equivalents - The carrying value is a reasonable estimate of fair value due to the short-term nature of these instruments.

- Receivables for investments sold - The carrying value reasonably approximates fair value as they reflect the value at which investments are sold to a willing buyer and settlement period on their balances is short term.

- Interest receivables - The carrying value reasonably approximates fair value.

- Other receivables and prepayments - The carrying value reasonably approximates fair value.

- Derivatives - the Company estimates fair values of derivatives based on the latest available forward exchange rates.

- Payables for investments purchased - The carrying value reasonably approximates fair value as they reflect the value at which investments are purchased from a willing seller and settlement period on their balances is short term.

- Payables to the Investment Manager and affiliates - The carrying value reasonably approximates fair value.

- Accrued expenses and other liabilities - The carrying value reasonably approximates fair value.

A fair value hierarchy that prioritises the inputs to valuation techniques used to measure fair value is established under FASB ASC Topic 820. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to valuations based upon unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (Level 3). The levels of the fair value hierarchy under FASB ASC Topic 820-10-35-39 to 55 are as follows:

The guidance establishes three levels of the fair value hierarchy as follows:

Level 1: price quotations in active markets/exchanges for identical securities;

Level 2: other observable inputs (including but not limited to: quoted prices for similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and

Level 3: unobservable inputs based on the best information available in the circumstance, to the extent observable inputs are not available (including the Company's own assumption used in determining the fair value of investments).

The Company has adopted the authoritative guidance contained in FASB ASC 820-10, Fair Value Measurements and Disclosures, for estimating the fair value of the financial instruments that have calculated Net Asset Value per share in accordance with FASB ASC 946-10.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table details the Company's financial instruments that were accounted for at fair value as at 30 June 2015.