20 SEPTEMBER 2024
FOR IMMEDIATE RELEASE
RELEASED BY BNP PARIBAS S.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 2024
Blackstone Loan Financing Limited
(the "Company" or "BGLF")
Half Yearly Financial Report for the six months ended 30 June 2024
Refer to the glossary below for the definitions of all the terms, jargon, abbreviations and acronyms used throughout this half-yearly financial report.
STRATEGIC REPORT
Company Overview
The Company is a closed-ended investment company incorporated on 30 April 2014 as a limited by shares company under the Company (Jersey) Law 1991 with registered number 115628. In addition, the Company constitutes and is regulated as a collective investment fund under the Collective Investment Funds (Jersey) Law 1988. The Company continues to be registered and domiciled in Jersey. The Company's redeemable shares are quoted on the Main Market of the LSE.
Following the decision made by Shareholders on 15 September 2023 to implement a managed wind-down of the Company, the new investment objective of the Company, effective from that date, is to realise all existing assets in the Company's portfolio in an orderly manner.
Refer to pages 24 to 25 of the 31 December 2023 Annual Report and Audited Financial Statements for more details on the purpose, values, principal activities and the investment policy of the Company.
Reconciliation of IFRS NAV to Published NAV
At 30 June 2024, there was a difference between the NAV per redeemable share as disclosed in the Condensed Statement of Financial Position, €0.8078 per redeemable share ("IFRS NAV") and the Published NAV, €0.9072 per redeemable share, which was released to the LSE on 19 July 2024 ("Published NAV"). The reconciliation is provided below and in Note 13 in the 'notes to the condensed interim financial statements'. The difference between the two valuations is entirely due to the different valuation bases used with the main driver being the discount rate, as explained in detail below.
Valuation Policy for the Published NAV
The Company publishes a NAV per redeemable 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 CSWs and underlying PPNs (held by the Lux Subsidiary). These valuations are, in turn, based on the valuation of the BCF portfolio using a CLO 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, BWIC, broker quotes or other indications) is not incorporated into this methodology. The mark to model valuation policy is deemed to be an 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 cycles.
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 EU, the valuation of BCF's portfolio is at fair value using models that incorporate Market Colour at the measurement date, which we refer to as a "mark to market" approach. The Company also assesses and publishes the mark to market IFRS NAV on a quarterly basis. 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.
Key Performance Indicators
|
|
IFRS NAV |
|
Published NAV |
|
|
|
|
|
|
NAV[1] |
€0.8078 (31 Dec 2023: €0.7250) |
|
€0.9072 (31 Dec 2023: €0.9098) |
|
|
|
|
|
|
NAV Total Return1 |
18.06% (31 Dec 2023: 17.76%) |
|
5.64% (31 Dec 2023: 10.39%) |
|
|
|
|
|
|
Discount1 |
(19.53)% (31 Dec 2023: (18.62)%) |
|
(28.35)% (31 Dec 2023: (35.15)%) |
|
|
|
|
|
|
Dividend- |
€0.0450 (30 Jun 2023: €0.0475) |
||
Further information on the reconciliation between the IFRS NAV and the Published NAV can be found below and in Note 13 in the 'notes to the condensed interim financial statements'.
Performance
|
Ticker |
IFRS NAV per Redeemable Share |
Published NAV per Redeemable Share |
Share Price[2] |
Discount IFRS NAV |
Discount Published NAV |
Dividend Yield[3] |
|
BGLF |
|
|
|
|
|
|
|
30 Jun 2024 |
€0.8078 |
€0.9072 |
€0.6500 |
(19.53)% |
(28.35)% |
14.62% |
|
31 Dec 2023 |
€0.7250 |
€0.9098 |
€0.5900 |
(18.62)% |
(35.15)% |
15.25% |
|
BGLP[4] |
|
|
|
|
|
|
|
30 Jun 2024 |
£0.6845 |
£0.7687 |
£0.5550 |
(18.92)% |
(27.80)% |
14.51% |
|
31 Dec 2023 |
£0.6285 |
£0.7887 |
£0.5150 |
(18.06)% |
(34.70)% |
15.14% |
|
|
LTM1 Return |
3-Year Annualised Return |
Annualised Return since Inception |
Cumulative Return since Inception |
|
BGLF IFRS NAV |
32.39% |
6.11% |
7.23% |
100.14% |
|
BGLF Published NAV |
14.10% |
10.55% |
8.47% |
124.53% |
|
BGLF Redeemable Share Price |
(1.09%) |
1.83% |
5.07% |
63.56% |
The Company is not managed in reference to a benchmark, however commentary to market indices and market performance is detailed in the Portfolio Adviser's report below.
Other Key Data
Dividends
On 23 January 2024, the Board announced that it is targeting a total 2024 annual dividend of at least €0.09 per redeemable share, which will consist of quarterly payments of €0.0225 per redeemable share.
Redeemable Share Dividends for the Period Ended 30 June 2024
|
Period in respect of |
Date Declared |
Ex-dividend Date |
Payment Date |
Amount per Redeemable Share |
|
|
|
|
|
€ |
|
1 Jan 2024 to 31 Mar 2024 |
22 Apr 2024 |
2 May 2024 |
7 Jun 2024 |
0.0225 |
|
1 Apr 2024 to 30 Jun 2024 |
19 Jul 2024 |
1 Aug 2024 |
6 Sep 2024 |
0.0225 |
Redeemable Share Dividends for the Year Ended 31 December 2023
|
Period in respect of |
Date Declared |
Ex-dividend Date |
Payment Date |
Amount per Redeemable Share |
|
|
|
|
|
€ |
|
1 Jan 2023 to 31 Mar 2023 |
25 Apr 2023 |
4 May 2023 |
2 June 2023 |
0.0200 |
|
1 Apr 2023 to 30 Jun 2023 |
21 Jul 2023 |
3 Aug 2023 |
1 Sep 2023 |
0.0200 |
|
1 Jul 2023 to 30 Sept 2023 |
20 Oct 2023 |
2 Nov 2023 |
1 Dec 2023 |
0.0200 |
|
1 Oct 2023 to 31 Dec 2023 |
23 Jan 2024 |
1 Feb 2024 |
8 Mar 2024 |
0.0300 |
Redemption of redeemable of shares
During the period ended 30 June 2024, the Company made its first return of capital to its Shareholders, by way of compulsory partial redemption of redeemable shares, as detailed below:
|
Record date |
Number of Redeemable Shares Redeemed |
Rate per Redeemable Share |
Amount returned to Shareholders |
|
10 June 2024 |
24,779,135 |
€0.9282 |
€22,999,992 |
Refer to below for more details on the compulsory redemption mechanism.
Period Highs and Lows
Period Ended 30 June 2024 and 30 June 2023
|
|
2024 |
2024 |
2023 |
2023 |
|
Published NAV per Redeemable Share |
€0.9282 |
€0.8844 |
€0.9220 |
€0.8808 |
|
BGLF Share Price (Last Price) |
€0.6700 |
€0.5700 |
€0.7700 |
€0.6650 |
|
BGLP Share Price (Last Price) |
£0.5650 |
£0.4890 |
£0.6650 |
£0.5750 |
Schedule of Investments
As at 30 June 2024
|
|
Nominal |
Market |
Percentage of IFRS NAV |
|
|
|
€ |
% |
|
Investment Held in the Lux Subsidiary: |
|
|
|
|
CSWs |
190,371,884 |
326,899,255 |
96.82 |
|
Shares (2,000,000 Class A and 1 Class B) |
2,000,001 |
8,340,158 |
2.47 |
|
|
|
|
|
|
Other Net Assets |
n/a |
2,409,156 |
0.71 |
|
Net Assets Attributable to Shareholders |
|
337,648,569 |
100.00 |
As at 31 December 2023
|
|
Nominal |
Market |
Percentage of IFRS NAV |
|
|
|
€ |
% |
|
Investment Held in the Lux Subsidiary: |
|
|
|
|
CSWs |
208,565,744 |
298,050,226 |
92.86 |
|
Shares (2,000,000 Class A and 1 Class B) |
2,000,001 |
7,944,332 |
2.47 |
|
|
|
|
|
|
Other Net Assets |
n/a |
14,992,542 |
4.67 |
|
Net Assets Attributable to Shareholders |
|
320,987,100 |
100.00 |
Schedule of Significant Transactions
|
Date of Transaction |
Transaction Type |
Quantity |
Amount |
|
|
|
|
€ |
|
CSWs held by the Company |
|
|
|
|
6 February 2024 |
Redemption |
(8,280,641) |
(15,231,412) |
|
8 May 2024 |
Redemption |
(9,913,219) |
(19,122,728) |
|
Total Number of CSWs Redeemed |
|
(18,193,860) |
(34,354,140) |
The proceeds of the redemptions were used to fund dividends and redemption of shares and to cover other administrative costs. The Company made no subscriptions during the period ended 30 June 2024.
Chair's Statement
Dear Shareholders,
Company Returns and NAV[5]
The Company delivered an IFRS NAV total return per redeemable share of 18.06% over the first six months of 2024, ending the period with a NAV of €0.8078 per redeemable share.
On a Published NAV basis, the Company delivered a total return per redeemable share of 5.64% over the first six months of 2024, ending the year with a NAV of €0.9072 per redeemable share. The return was composed of 5.77% dividend income and -0.13% net portfolio movement.
As highlighted above, the Company uses different valuation policies to determine Published and IFRS NAV. As at
30 June 2024, the variance between Published and IFRS NAV was €0.0994 per redeemable share. This is primarily associated with the discount rates used under the two policies. The tables below further explain the rationale regarding the differences in the assumptions that have contributed to the variance as at 30 June 2024.
During the first half of 2024, the Company's performance on a Published NAV and an IFRS NAV basis was supported, through its investment in BCF, by uninterrupted distributions from the underlying CLO and loan portfolio, which continued to benefit from the refinancing and reset activity during 2021/2022. The portfolio (primarily the loans directly held by BCF and those CLOs that have exited their reinvestment periods) were aided by a broader market rally. European and US loans returned 4.10% and 4.44%, respectively, over the year so far, as discussed in more detail in the Portfolio Adviser's Review.
Consistent with guidance, the Company has declared two dividends to shareholders in respect of the six-month period ended 30 June 2024, totalling €0.045 per redeemable share. As a reminder, the 2024 BGLF dividend guidance announced on 23 January 2024 provided for a total annual dividend of at least €0.09 per redeemable share payable in four equal quarterly instalments. Details of all dividend payments can be found within the 'Dividends and Other Key Data' section at the front of this Half Yearly Financial Report.
The Company's dividends are funded from the cash flows generated by the underlying CLO and loan portfolio held within BCF. The Company's dividend policy during its managed wind-down was set out in the Company's Circular published on 25 August 2023, which stated that the Board intends to continue to distribute as dividends on a quarterly basis the interest payments deemed to be received from BCF and commence the redemption of shares, having regard to any amounts which the Board deem prudent to retain in the Company. However, as the Company's underlying assets are realised over time and the portfolio diminishes in size, the Board, in consultation with its the Portfolio Adviser, may decide it is in the best interests of Shareholders to cease payment of dividends and to use all proceeds received from BCF for the redemption of the redeemable shares and the return of capital to Shareholders.
On 10 June 2024, the Company compulsorily redeemed 24,779,135 redeemable shares at a rate of €0.9282 per redeemable share. A total of 5.5968% of the Company's issued share capital was redeemed, leaving 417,959,768 shares outstanding after the redemption, with no shares held in treasury.
Historical BGLF NAV and Share Price
The graph below shows cumulative Published NAV and redeemable share price total returns and cumulative returns on European and US loans[6].
[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//]
Historical BCF Default Loss Rate
The graph below shows the default loss rate, which incorporates asset recovery, within the BCF portfolio and the default loss rate of European and US loans[7].
[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
Global markets navigated a complex landscape characterized by fluctuating economic indicators over the first six months of 2024. Central banks around the world have generally maintained a cautious approach, keeping interest rates steady, while signalling potential cuts in the latter half of the year. The emergence of geopolitical tensions and subsequent supply chain disruptions continued to pose risks, contributing to market uncertainty. Despite these challenges, investor appetite for credit remained relatively strong, driven by the search for yield in a lowering interest rate environment.
Looking ahead to the remainder of the year, the stage is set for cautious optimism, with market participants closely monitoring geopolitical movements, macroeconomic data releases, and central bank actions. Bolstered by historically high all-in yields, we believe that floating rate assets, including loans and CLOs, are likely to remain attractive, even if central banks pivot. Corporate balance sheets have proven largely resilient to the elevated rate environment and default rates remain within historical averages. We anticipate a sustained divergence between issuers that are defensively positioned for growth and those more vulnerable to cyclical demand and consumer spending fluctuations, meaning individual credit selection will be a key driver to performance throughout the rest of the year.
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 its ESG policy. Blackstone has committed to being a responsible investor for over 35 years and is a signatory to the Principles for Responsible Investment. This commitment is affirmed across the organisation and guides its approach to investing.
Whilst the Company is currently exempt[8] from the requirement to report against the TCFD recommendations, the Board continues to actively discuss ESG matters with BXCI with a view of obtaining meaningful information to provide 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. Refer to the Portfolio Adviser's Review below for further details on BXCI's ESG policy.
The Board
Good governance remains at the heart of our work as a Board and is taken very seriously. The Board believes that the Company maintains high standards of corporate governance. The Board was very active during the period, convening a total of 7 Board meetings and 9 Committee meetings (excluding 6 NAV Review Committee meetings), as well as undertaking an onsite due diligence meeting with the Portfolio Adviser in January 2024, the agenda for which covered risk and compliance, risk oversight monitoring, finance and accounting, ESG and the wider market. The Board also met with the BCF Board at the same time.
The Board and the Company's advisers meet frequently, with the latter providing general updates as well as recommendations on pertinent matters such as the Company's managed wind-down process. The Board deems the careful consideration of such matters to be critical to ensuring the optimum returns of the Company, particularly in light of the challenges and uncertainty faced in recent years.
The work of the Board is also assisted by the Audit Committee, the NAV Review Committee, the 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 FRC and meets its obligations in relation to the UK Code.
Shareholder Communications
During the period, using our Portfolio Adviser and Brokers, the Board continued its programme of engagement with current and prospective Shareholders. The Board sincerely hopes that you found the monthly factsheets, Circular, quarterly letters, quarterly update webcasts and market commentary valuable. The decision to put forward the managed wind-down proposals was in-part the result of an active shareholder consultation process in prior year, together with the Portfolio Adviser. The Board is always pleased to have contact with Shareholders and welcomes any opportunity to meet with you and obtain your feedback.
Prospects and Opportunities for the remainder of 2024
The Board's primary focus for the remainder of 2024 will be to continue implementing the managed wind-down and the redemption of shares. As the wind-down progresses, the Board will also focus on streamlining operations and managing costs as the size of the Company reduces.
The Board wishes to express its thanks for the support of the Company's Shareholders.
Steven Wilderspin
Chair
19 September 2024
Portfolio Adviser's Review
Bank Loan Market Overview
Supported by a stable macroeconomic backdrop, global loan markets performed well in the first six months of 2024, despite challenges from rising geopolitical tensions and persistent inflationary pressure. Investor appetite for credit remained relatively strong up to the end of the period, driven by the prospect of potential rate cuts in the latter half of the year. Loans outperformed other credit asset classes over the period, with European and US loans returning 4.10% and 4.44%, respectively[9]. A combination of resilient corporate earnings reports and companies slowing their debt growth have led to a slight contraction in loan spreads by 15bp to 490bp in Europe, and by 21bp to 507bp in the US. Across both regions, the loan market saw a notable rise in maturity extensions and refinancing activity, though new money loan volume remained subdued. The sustained scarcity of new issue loan supply, coupled with strong investor demand, pushed the prices of European and US loan indices to two-year highs of €97.16 and $96.06, leading to a renewed repricing wave. Rolling 12-month loan defaults ticked up to end the first half of the year at 2.6% in the US and 0.8% in Europe[10].
Heading into the second half of 2024, the macroeconomic outlook remains positive, supported by robust corporate balance sheets, fueling hopes for a soft landing. While recent data releases have been mixed and price pressures persist, the general trend is towards disinflation, strengthening expectations for the Fed and ECB to begin reducing interest rates after summer. We anticipate that the elevated rate environment will support performance in the near term, allowing floating rate loans to continue delivering strong returns.
CLO Market Overview
A renewed optimism for impending central bank rate cuts and the prospect of a soft landing for global economies has boosted a resurgence of investor enthusiasm and a corresponding tightening of CLO liabilities. New issue AAA spreads tightened to 139bp in Europe and 138bp in the US from 172bp in Europe and 160bp in the US, as of year-end 2023, and represents an extreme turnaround from the start of 2023, when AAA spreads hovered around 200bp in both regions[11].
Tighter liability spreads are creating a supportive environment for new CLO issuance, as well as refinancings and resets. In the first half of 2024 alone, refinancing and reset volumes have surpassed the full year issuance for 2022 and 2023 combined. Managers have taken advantage of the positive market sentiment to re-price liabilities on existing deals, particularly those that were issued in the past 18 months with a relatively high cost of capital, improving the arbitrage for equity investors. Looking ahead to the remainder of the year, CLO activity looks set to remain strong as investors expect central banks to pivot and CLOs to continue performing well. Since the start of the year, investment banks have revised their 2024 new issuance forecast upwards to €40-45bn in Europe and $145-155bn in the US[12], which would put 2024 on track to outpace every other year on record[13].
Portfolio Update - BCF
Taking advantage of the loan market rally, BCF's CLOs generally sold higher-priced but lower-rated assets, as loan prices across the rating band compressed towards par. In Europe, BCF's CLOs used the additional cash to purchase facilities from the primary pipeline that offered better relative value, while BCF's US CLOs focused on improving credit quality by buying better-rated credits.
The graph below shows the top five industry concentrations for the BCF portfolio as of 30 June 2024[14]:
[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 the end of June, the BCF portfolio remained highly diversified and defensively positioned, with more than 650 loan issuers, across 27 sectors and 30 countries. The portfolio was concentrated around B1-B2 rated issuers and holds 7.2% Caa rated assets (at the facility level), which has ticked up slightly since the start of the year. The portfolio's average loan price remained broadly flat at 96.7, compared to 96.9 at the end of last year, and assets priced below €/$80 were at 4.9% compared to 3.6% in December 2023. Looking forward, we see minimum refinancing risk in the portfolio as loan maturities are generally wrapped around 2028. The BCF portfolio maintained a lower year-to-date default rate of 0.6% compared to the European and US loan indices of 0.8% and 2.6%[15], respectively. A minimised level of defaults helps to ensure that equity distributions are well protected.
Over a busy first half of the year, BCF took advantage of the supportive capital markets in order to improve on the expected future equity cash flows for the CLO portfolio. Specifically, Bushy Park CLO and Glenbrook Park CLO each issued delayed draw tranches, resulting in further levering of the capital structure and earlier cash distributions to equity. Clonmore Park CLO and Harbor Park CLO were refinanced, resulting in improvements to the weighted average cost of capital by 68bp and 23bp, respectively. Finally, BCF took advantage of the wider loan market rally to redeem the debt tranches of Palmerston Park CLO, Richmond Park CLO, and Clontarf Park CLO in April 2024.
Since the effective date of the Company's managed wind-down, 2 January 2024, no new CLO investments will be made and any refinancing of CLO liabilities will not extend maturities. Importantly, however, the underlying portfolio of CLO positions will continue to be actively managed with the combined objectives of maximising returns for investors, alongside the overarching aim of realising all existing assets in an orderly manner. Given the majority of the CLOs within BCF are required to be held until redemption or maturity, our focus will be on continuously evaluating optimal and commercially prudent times to redeem, sell, or refinance, which may vary depending on each specific CLO.
CLO Portfolio Positions
|
Current |
Closing Date |
Deal Size (M) |
Position Owned (M) |
% of BCF NAV |
Reinvest. Period Left (Yrs) |
Current Asset Coupon[16] |
Current Liability Cost |
Current NIM[17] |
NIM 3M Prior |
Distributions Through Last Payment Date |
% of Tranche |
|
|
Ann. |
Cum. |
|||||||||||
|
EUR CLO Income Note Investments |
||||||||||||
|
Phoenix Park |
Jul-14 |
€ 381 |
€ 16.4 |
0.7% |
0.0 |
7.21% |
5.61% |
1.60% |
1.62% |
13.0% |
129.2% |
51.4% |
|
Dartry Park |
Mar-15 |
424 |
18.8 |
1.4% |
0.8 |
7.42% |
5.55% |
1.87% |
1.85% |
12.3% |
114.3% |
51.1% |
|
Tymon Park |
Dec-15 |
415 |
16.0 |
1.5% |
1.1 |
7.45% |
5.59% |
1.86% |
1.81% |
14.3% |
122.1% |
51.0% |
|
Elm Park |
May-16 |
519 |
22.5 |
2.0% |
1.3 |
7.33% |
5.52% |
1.81% |
1.87% |
14.6% |
118.0% |
54.0% |
|
Griffith Park |
Sep-16 |
434 |
18.3 |
1.2% |
0.0 |
7.21% |
5.24% |
1.97% |
1.98% |
12.0% |
93.4% |
53.4% |
|
Clarinda Park |
Nov-16 |
417 |
16.3 |
1.5% |
0.6 |
7.32% |
5.53% |
1.79% |
1.83% |
11.9% |
90.9% |
51.2% |
|
Palmerston Park[18] |
Apr-17 |
45 |
16.9 |
0.6% |
0.0 |
7.75% |
n/a |
n/a |
0.95% |
11.7% |
84.5% |
53.3% |
|
Clontarf Park18 |
Jul-17 |
34 |
20.4 |
0.5% |
0.0 |
8.01% |
n/a |
n/a |
0.82% |
14.9% |
103.5% |
66.9% |
|
Willow Park |
Nov-17 |
277 |
16.5 |
0.7% |
0.0 |
7.08% |
5.71% |
1.37% |
1.45% |
15.4% |
101.4% |
60.9% |
|
Marlay Park |
Mar-18 |
300 |
17.4 |
0.9% |
0.0 |
7.03% |
5.16% |
1.87% |
1.92% |
17.9% |
111.8% |
60.0% |
|
Milltown Park |
Jun-18 |
341 |
17.0 |
1.1% |
0.0 |
7.17% |
5.31% |
1.87% |
1.85% |
17.2% |
104.1% |
65.0% |
|
Richmond Park18 |
Jul-18 |
68 |
32.6 |
0.8% |
0.0 |
6.80% |
n/a |
n/a |
0.80% |
16.6% |
99.1% |
68.3% |
|
Sutton Park |
Oct-18 |
344 |
16.9 |
1.1% |
0.0 |
7.10% |
5.47% |
1.63% |
1.71% |
16.7% |
91.4% |
66.7% |
|
Crosthwaite Park |
Feb-19 |
516 |
23.3 |
2.1% |
1.2 |
7.34% |
5.40% |
1.93% |
1.84% |
15.4% |
81.9% |
64.7% |
|
Dunedin Park |
Sep-19 |
421 |
17.9 |
1.4% |
1.9 |
7.35% |
5.56% |
1.79% |
1.74% |
17.8% |
85.0% |
52.9% |
|
Seapoint Park |
Nov-19 |
403 |
15.2 |
1.8% |
0.0 |
7.48% |
5.55% |
1.93% |
1.76% |
14.7% |
64.3% |
70.5% |
|
Holland Park |
Nov-19 |
424 |
27.6 |
2.0% |
0.0 |
7.15% |
5.56% |
1.59% |
1.70% |
11.8% |
54.4% |
72.1% |
|
Vesey Park |
Apr-20 |
403 |
17.3 |
2.3% |
0.4 |
7.48% |
5.64% |
1.84% |
1.85% |
17.8% |
74.1% |
80.3% |
|
Avondale Park |
Jun-20 |
409 |
16.0 |
1.4% |
1.7 |
7.44% |
5.59% |
1.85% |
1.79% |
27.6% |
111.9% |
63.0% |
|
Deer Park |
Sep-20 |
355 |
14.4 |
1.5% |
1.8 |
7.35% |
5.65% |
1.70% |
1.78% |
26.4% |
99.9% |
71.9% |
|
Marino Park |
Dec-20 |
322 |
12.0 |
1.6% |
0.0 |
7.44% |
5.53% |
1.91% |
1.98% |
18.2% |
64.1% |
71.4% |
|
Carysfort Park |
Apr-21 |
404 |
17.7 |
2.2% |
1.1 |
7.41% |
5.55% |
1.87% |
1.93% |
16.5% |
53.4% |
80.7% |
|
Rockfield Park |
Jul-21 |
402 |
16.9 |
2.2% |
1.0 |
7.38% |
5.53% |
1.85% |
1.91% |
16.3% |
47.7% |
80.0% |
|
Dillon's Park |
Sep-21 |
404 |
18.5 |
2.3% |
1.8 |
7.40% |
5.54% |
1.86% |
1.93% |
15.1% |
41.7% |
84.0% |
|
Cabinteely Park |
Dec-21 |
404 |
16.7 |
2.0% |
2.1 |
7.41% |
5.62% |
1.79% |
1.81% |
15.7% |
39.7% |
75.6% |
|
Otranto Park |
Mar-22 |
443 |
25.3 |
3.0% |
2.4 |
7.42% |
5.86% |
1.56% |
1.55% |
14.8% |
33.4% |
96.3% |
|
Clonmore Park |
Aug-22 |
349 |
16.9 |
2.0% |
2.6 |
7.47% |
6.16% |
1.31% |
1.36% |
20.6% |
38.6% |
100.0% |
|
Edmondstown Park |
Dec-22 |
379 |
22.8 |
3.3% |
3.1 |
7.60% |
6.92% |
0.69% |
0.61% |
12.6% |
19.5% |
100.0% |
|
Bushy Park |
Mar-23 |
405 |
17.3 |
1.4% |
3.3 |
7.62% |
6.65% |
0.96% |
1.19% |
46.1% |
58.9% |
61.3% |
|
Glenbrook Park |
Jul-23 |
351 |
23.0 |
2.0% |
3.6 |
7.75% |
6.78% |
0.97% |
1.14% |
53.3% |
51.6% |
100.0% |
|
Wilton Park |
Nov-23 |
395 |
34.9 |
4.0% |
3.9 |
7.58% |
6.20% |
1.38% |
1.33% |
16.2% |
10.4% |
100.0% |
|
Cumulus 2023-1 Sta |
Nov-23 |
319 |
24.9 |
3.6% |
n/a |
7.15% |
6.12% |
1.03% |
n/a |
n/a |
n/a |
100.0% |
|
USD CLO Income Note Investments |
||||||||||||
|
Grippen Park |
Mar-17 |
$ 301 |
$ 21.0 |
0.6% |
0.0 |
8.87% |
7.92% |
0.95% |
1.16% |
13.4% |
95.0% |
50.1% |
|
Thayer Park |
May-17 |
522 |
19.3 |
1.4% |
1.8 |
8.89% |
7.08% |
1.81% |
1.92% |
14.5% |
100.8% |
50.1% |
|
Catskill Park |
May-17 |
511 |
39.5 |
0.7% |
0.0 |
8.89% |
7.96% |
0.93% |
1.32% |
13.5% |
93.5% |
50.1% |
|
Dewolf Park |
Aug-17 |
552 |
22.4 |
1.0% |
0.0 |
8.84% |
7.11% |
1.73% |
1.83% |
16.0% |
106.0% |
50.1% |
|
Gilbert Park |
Oct-17 |
708 |
36.5 |
1.3% |
0.0 |
8.80% |
7.53% |
1.28% |
1.46% |
14.5% |
94.0% |
50.1% |
|
Long Point Park |
Dec-17 |
407 |
20.8 |
0.8% |
0.0 |
8.79% |
7.21% |
1.58% |
1.73% |
18.8% |
118.4% |
50.1% |
|
Stewart Park |
Jan-18 |
640 |
65.0 |
0.8% |
0.0 |
8.81% |
7.26% |
1.55% |
1.69% |
11.5% |
71.5% |
50.1% |
|
Cook Park |
Apr-18 |
786 |
37.8 |
1.6% |
0.0 |
8.89% |
7.07% |
1.82% |
1.91% |
16.7% |
100.5% |
50.1% |
|
Fillmore Park |
Jul-18 |
470 |
21.3 |
1.4% |
0.0 |
8.90% |
7.04% |
1.85% |
1.96% |
17.5% |
99.7% |
52.3% |
|
Harbor Park |
Dec-18 |
678 |
28.0 |
2.3% |
0.0 |
8.82% |
6.75% |
2.06% |
1.93% |
15.5% |
83.0% |
50.1% |
|
Southwick Park |
Aug-19 |
503 |
18.4 |
1.8% |
0.1 |
8.95% |
6.92% |
2.04% |
2.10% |
18.7% |
87.3% |
59.9% |
|
Beechwood Park |
Dec-19 |
816 |
34.5 |
3.2% |
2.5 |
8.73% |
7.06% |
1.67% |
1.75% |
17.1% |
74.0% |
61.1% |
|
Allegany Park |
Jan-20 |
506 |
21.3 |
2.2% |
2.6 |
8.59% |
7.08% |
1.52% |
1.73% |
15.9% |
67.6% |
66.2% |
|
Harriman Park |
Apr-20 |
498 |
20.6 |
2.4% |
1.8 |
8.69% |
7.05% |
1.64% |
1.79% |
21.8% |
87.3% |
70.0% |
|
Cayuga Park |
Aug-20 |
397 |
16.1 |
1.9% |
2.0 |
8.71% |
6.94% |
1.77% |
1.89% |
25.8% |
95.0% |
72.0% |
|
Point Au Roche Park |
Jun-21 |
457 |
18.7 |
1.9% |
2.1 |
8.74% |
7.07% |
1.67% |
1.77% |
18.8% |
52.8% |
61.2% |
|
Peace Park |
Sep-21 |
660 |
27.5 |
2.9% |
2.3 |
8.72% |
7.02% |
1.70% |
1.76% |
18.7% |
47.8% |
60.8% |
|
Whetstone Park |
Dec-21 |
506 |
20.2 |
2.2% |
2.6 |
8.86% |
6.99% |
1.86% |
1.93% |
20.1% |
47.7% |
62.5% |
|
Boyce Park |
Mar-22 |
762 |
31.5 |
3.4% |
2.8 |
8.83% |
6.91% |
1.92% |
2.01% |
20.4% |
43.1% |
61.8% |
|
Tallman Park |
May-21 |
410 |
1.5 |
0.2% |
1.8 |
8.77% |
7.12% |
1.65% |
1.77% |
19.8% |
57.3% |
5.0% |
|
Wehle Park |
Apr-22 |
547 |
1.8 |
0.2% |
2.8 |
8.78% |
7.14% |
1.63% |
1.73% |
21.1% |
43.4% |
5.0% |
|
Redeemed Or Fully Sold CLOs |
Region |
Vintage |
Sale/ |
BCF Position |
Current Valuation as % of BCF NAV[19] |
Realised IRR |
Ann. Distribution |
|
Myers Park |
US |
2018 |
Mar-21 |
$26.4 |
N/A |
11.1%* |
16.4% |
|
Greenwood Park |
US |
2018 |
Mar-21 |
$53.9 |
N/A |
19.0%* |
19.7% |
|
Orwell Park |
Europe |
2015 |
May-21 |
€ 24.2 |
N/A |
13.6%* |
23.5% |
|
Stratus 2020-2 |
US |
2020 |
Jun-21 |
$24.2 |
N/A |
37.6% |
93.3% |
|
Niagara Park |
US |
2019 |
Aug-21 |
$22.1 |
N/A |
16.6%* |
14.9% |
|
Sorrento Park |
Europe |
2014 |
Oct-21 |
€ 29.5 |
N/A |
9.7%* |
18.2% |
|
Castle Park |
Europe |
2014 |
Oct-21 |
€ 24.0 |
N/A |
11.7%* |
23.3% |
|
Dorchester Park |
US |
2015 |
Oct-21 |
$44.5 |
0.01% |
11.5%* |
20.5% |
|
Buckhorn Park |
US |
2019 |
Feb-22 |
$24.2 |
N/A |
16.0%* |
19.5% |
As of 30 June 2024, the Company was invested in accordance with its and BCF's investment policy and was diversified across 650+ issuers through directly held loans and the CLO portfolio, across 27 industries and 30 different countries[22]. No individual borrower represented more than 2% of the overall portfolio at the end of June 2024.
Key Portfolio Statistics
|
|
% of NAV[23] |
Current WA Asset Coupon[24] |
Current WA Liability[25] |
WA Remaining RPs (CLOs) |
|
EUR CLOs |
56.08% |
7.37% |
5.77% |
1.2 Years |
|
US CLOs |
37.92% |
8.81% |
7.19% |
1.0 Years |
|
Directly Held Loans[26] |
0.27% |
8.07% |
n/a |
n/a |
|
Net Cash & Expenses |
5.73% |
- |
- |
n/a |
|
Total Portfolio |
100.00% |
8.04% |
6.43% |
1.1 Years |
Top 10 Industries[27]
|
Industry |
% of portfolio |
|
|
30 June 2024 |
|
Healthcare and pharmaceuticals |
15.3% |
|
Services Business |
10.8% |
|
High tech industries[28] |
10.3% |
|
Banking, finance, insurance and real estate (FIRE) |
8.7% |
|
Media broadcasting and subscription |
7.0% |
|
Construction and building |
6.6% |
|
Hotels, gaming and leisure |
4.9% |
|
Capital equipment |
4.3% |
|
Chemicals, plastics and rubber |
4.3% |
|
Services Consumer |
4.2% |
|
Industry |
% of portfolio |
|
|
31 December 2023 |
|
Healthcare and pharmaceuticals |
15.9% |
|
Services business |
10.0% |
|
High tech industries28 |
9.6% |
|
Banking, finance, insurance and real estate (FIRE) |
8.6% |
|
Media broadcasting and subscription |
7.6% |
|
Construction and building |
6.1% |
|
Hotels, gaming and leisure |
5.0% |
|
Capital equipment |
4.6% |
|
Chemicals, plastics and rubber |
4.5% |
|
Telecoms |
3.9% |
Top 5 Countries27
|
Country |
% of portfolio |
|
|
30 June 2024 |
|
US |
51.7% |
|
France |
11.1% |
|
UK |
8.1% |
|
Luxembourg |
6.2% |
|
Netherlands |
5.8% |
|
Country |
% of portfolio |
|
|
31 December 2023 |
|
US |
50.0% |
|
France |
10.5% |
|
UK |
7.6% |
|
Luxembourg |
6.7% |
|
Netherlands |
6.1% |
Top 20 Issuers[29]
|
|
# Facilities |
Portfolio Par (€M) |
Total Par Outstanding (€M) |
Moody's Industry |
Country |
WA Price |
WA Spread |
WA Coupon (All-In Rate) |
WA Maturity (Years) |
|
Numericable |
11 |
213 |
14,235 |
Media Broadcasting and Subscription |
France |
72.4 |
4.54% |
6.99% |
4.0 |
|
Numericable is one of the largest telecom operators in France by revenues and number of subscribers, with major positions in residential fixed, residential mobile, B2B, wholesale and media.
|
|||||||||
|
VodafoneZiggo |
4 |
209 |
6,929 |
Media Broadcasting and Subscription |
Netherlands |
94.1 |
3.14% |
6.06% |
4.9 |
|
VodafoneZiggo is a leading operator in the Netherlands that provides fixed, mobile and integrated communication and entertainment services to consumers and businesses. The company was created as a result of a JV between Liberty Global & Vodafone.
|
|||||||||
|
Virgin Media |
9 |
209 |
11,194 |
Media Broadcasting and Subscription |
US |
95.8 |
2.95% |
6.49% |
4.8 |
|
Virgin Media O2 is an integrated communications provider of mobile, broadband internet, video and fixed-line telephony services to residential customers and businesses in the UK. The company was created as a result of a Joint Venture between Liberty Global & Telefonica.
|
|||||||||
|
ION Markets |
3 |
192 |
3,818 |
Banking, Finance, Insurance and Real Estate (FIRE) |
Ireland |
97.0 |
4.21% |
8.35% |
3.8 |
|
ION Markets is a global financial software and services company that provides high performance trading solutions to banks, hedge funds, brokers and other financial institutions, across electronic fixed income, currencies, equities, derivatives and commodities markets.
|
|||||||||
|
Grifols |
3 |
168 |
4,791 |
Healthcare and Pharmaceuticals |
Spain |
93.1 |
2.63% |
5.77% |
3.6 |
|
Grifols is a global healthcare company producing plasma-derived medicines and transfusion medicine. The company is organised into four divisions: Bioscience, Diagnostic, Hospital and Bio Supplies & Other.
|
|||||||||
|
Paysafe |
4 |
161 |
2,180 |
Banking, Finance, Insurance and Real Estate (FIRE) |
US |
97.2 |
3.04% |
5.81% |
4.3 |
|
Paysafe is a leading specialised payments platform, with revenues derived from Payment Processing, eWallets, and eCash accounts. Paysafe is a global leader in the Gaming eCash segment, digital gambling wallets, and the Merchant Acquirer segment in the US, with a presence in Europe also.
|
|||||||||
|
Froneri |
2 |
160 |
4,572 |
Beverage, Food and Tobacco |
US |
99.9 |
2.18% |
6.72% |
2.6 |
|
Froneri is a global ice cream manufacturer with its headquarters in North Yorkshire, England. It is the second largest ice cream producer by volume in the world, after Unilever. Froneri was created in 2016 as a joint venture between Nestle and PAI Partners to combine their ice cream activities.
|
|||||||||
|
McAfee Corp |
2 |
159 |
6,308 |
High Tech Industries |
US |
99.9 |
3.41% |
7.74% |
4.7 |
|
McAfee is the one of the largest security software vendors globally. McAfee is a major player in the consumer security market, with a focus on consumer endpoint protection. McAfee simplifies the complexity of threat detection and response by correlating events, detecting new threats, reducing false positives, automating, and prioritizing incident response, and creating workflows that result in remediation.
|
|||||||||
|
Allied Universal |
4 |
154 |
7,434 |
Services Business |
US |
97.3 |
3.75% |
7.25% |
3.9 |
|
Allied Universal is the largest provider of security systems and services globally, serving North America, Europe, the Middle East, Africa, Asia Pacific and Latin America.
|
|||||||||
|
Telenet International |
3 |
140 |
3,791 |
Media Broadcasting and Subscription |
Belgium |
97.3 |
2.17% |
6.42% |
4.4 |
|
Telenet is one of the largest cable operators in Belgium that provides internet, TV, fixed and mobile telephony to consumers and businesses in Flanders and Brussels. It also provides mobile telephony services in the Wallonia region.
|
|||||||||
|
Independent Vetcare |
1 |
140 |
2,417 |
Healthcare and Pharmaceuticals |
UK |
100.0 |
5.00% |
8.80% |
4.5 |
|
Independent Vetcare is the largest veterinary practice group in Europe. The company generates the majority of its revenue in the UK, where it is a market leader, and is also present in Sweden, the Netherlands, Finland, Germany, Norway, Denmark, Switzerland and North America.
|
|||||||||
|
UPC |
5 |
139 |
4,515 |
Media Broadcasting and Subscription |
US |
98.9 |
2.88% |
6.88% |
4.8 |
|
UPC is a cable operator in Switzerland, Poland & Slovakia. It offers broadband, tv and mobile services.
|
|||||||||
|
Apex Group |
3 |
129 |
3,019 |
Banking, Finance, Insurance and Real Estate (FIRE) |
US |
100.3 |
4.05% |
8.46% |
4.1 |
|
Apex Group is a leading global fund administration services provider with over 100 offices worldwide and 12,200 employees and 10,000+ clients, delivering a broad range of solutions to asset managers, capital markets and family offices.
|
|||||||||
|
TKE |
3 |
127 |
5,005 |
Capital Equipment |
Luxembourg |
100.2 |
3.65% |
7.78% |
3.9 |
|
Thyssenkrupp Elevators is one of the largest global market leaders for elevator and escalator technology. The company designs, manufacturers, installs, services, and modernises elevators, escalators, and platform lifts.
|
|||||||||
|
Masorange |
5 |
121 |
7,134 |
Telecoms |
UK |
99.7 |
3.73% |
7.00% |
6.0 |
|
Masorange is the largest telecom operator in Spain, with market leading positions in fixed and mobile. Masorange benefits from good quality and owned fixed infrastructure, with a fully developed Fiber to the home (FTTH) network. It also has nationwide wholesale agreements in place, which provide it with full coverage of the Spanish market.
|
|||||||||
|
Constantin Investissement 1 SA |
4 |
118 |
3,415 |
Healthcare and Pharmaceuticals |
France |
90.3 |
3.79% |
7.38% |
4.1 |
|
Cerba (Constantin Investissement) is a leading European clinical pathology laboratory, providing routine and specialised clinical laboratory testing services primarily in France, Belgium and Luxembourg, and supporting pharmaceutical and biotechnology companies worldwide in the clinical trial phase of their drug development processes.
|
|||||||||
|
Apex Group |
3 |
133 |
2,962 |
Banking, Finance, Insurance and Real Estate (FIRE) |
US |
99.2 |
4.05% |
8.56% |
4.6 |
|
Apex Group is a leading global fund administration services provider with over 100 offices worldwide and 12,200 employees and 10,000+ clients, delivering a broad range of solutions to asset managers, capital markets and family offices.
|
|||||||||
|
Tackle Sarl Lux |
1 |
115 |
1,455 |
Hotels, Gaming and Leisure |
Luxembourg |
99.9 |
3.50% |
7.32% |
3.9 |
|
Tipico (Tackle Sarl) is one of the largest sport betting provider in Germany by market share. Tipico operates through its proprietary platform and fully licensed in the newly regulated Germany market.
|
|||||||||
|
Biogroup |
4 |
114 |
3,150 |
Healthcare and Pharmaceuticals |
France |
95.8 |
3.53% |
6.79% |
3.6 |
|
Biogroup is a leading laboratory services company mainly in France and Belgium. The company assists physicians in the diagnosis of a variety of medical conditions through the provision of a range of diagnostic testing services on (primarily blood and urine) samples collected from the patients. The company is one of the market leaders in French routine testing and also has the ability to perform certain specialised tests.
|
|||||||||
|
Odyssey Investissement SASU (Circet) |
1 |
114 |
2,000 |
Telecoms |
France |
98.6 |
3.25% |
6.97% |
4.3 |
|
Circet is a leading provider of telecom infrastructure services in France, UK, Ireland and Spain, covering all fixed (copper/cable/fibre) and mobile (2G/3G/4G) technologies.
|
|||||||||
|
Home Vi (Domus VI) |
2 |
114 |
3,140 |
Healthcare and Pharmaceuticals |
France |
98.0 |
4.98% |
5.03% |
5.3 |
|
Home Vi is one of the largest operator of nursing homes in France and one of the largest operator of nursing homes and psychiatric facilities in Spain. It also has a growing presence in Germany, Portugal, Ireland, the Netherlands and LatAm.
|
|||||||||
Regulatory Update
The Digital Operations Resilience Act ("DORA") entered into force on 16 January 2023 and will apply to in-scope financial services entities from 17 January 2025. DORA aims to strengthen resilience, reliability, and continuity of financial services throughout the EU. BXCI continues to monitor regulatory developments with regards to DORA and is taking the necessary steps to ensure compliance with the requirements.
Directive (EU) 2024/927 (AIFMD II) entered into force on 15 April 2024 and member states of the European Economic Area have until 16 April 2026 to implement its rules, subject to certain measures that member states must implement from 16 April 2027. AIFMD II provides a harmonised regime for loan origination funds, and includes new requirements as regards delegation arrangements, liquidity risk management, supervisory reporting and the provision of depositary and custody services. BXCI continues to monitor regulatory developments in anticipation of AIFMD II entering into force in local law in April 2026.
The final elements of the new EU AML / CFT package of legislative proposals to deliver a stronger and consistent set of anti-money laundering and countering the financing of terrorism rules at EU level, originally proposed on 20 July 2021 by the European Commission, were adopted by the Council and the European Parliament. On 19 June 2024, the final texts were published in the Official Journal.
On 6 April 2022, the European Commission adopted the Delegated Regulation (as amended from time to time) 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 have applied since 1 January 2023. BXCI continues to monitor regulatory developments with regards to SFDR on an ongoing basis.
BXCI continues to monitor the regulatory environment for any developments with regard to the EU Securitisation rules.
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's Firmwide Approach to ESG
Blackstone aims to develop resilient companies and competitive assets that deliver long-term value for our investors. ESG principles have long informed the way we run our firm, approach investing and partner with the assets in our portfolio. In recent years we have formalized our approach by building dedicated ESG teams that look to develop value accretive ESG policies and support integration within the business units and regularly report progress.
Blackstone's approach to sustainability is rooted in responsible investing and operational improvements to drive value for our investors. Material[30] and applicable ESG considerations are incorporated into investment decisions to avoid risk and create value for investors. Blackstone's portfolio of companies and assets across sectors and geographies enables us to think about sustainability from multiple vantage points. As investors, we consider material ESG factors both during the due diligence of potential investments and throughout the investment period to drive value.
Blackstone maintains a robust staff of professionals from various disciplines who focus on ESG at the firm to enhance the value of our investments, consistent with our fiduciary responsibilities to our clients. Our Corporate ESG team is responsible for firmwide coordination to ensure the firm delivers upon its ESG initiatives and provides transparency for management, partners, and investors. Business unit ESG teams are responsible for implementing signature ESG programs where applicable, integrating ESG throughout the investment lifecycle as appropriate, and creating value for portfolio companies and assets through ESG initiatives within our major businesses.
BXCI's Approach to ESG
At BXCI, we believe that a key aspect of being a responsible investor is an active evaluation of certain environmental, social and governance components of our investments and recognize the value such evaluation can provide as we seek to grow and protect investors' assets while managing risk. To that end, during the due diligence phase of an investment, investment teams within BXCI aim to consider material ESG factors that may impact investment performance to drive value. Due diligence of relevant ESG considerations varies by investment strategy and is based on factors that may include (i) the nature of BXCI's investment, (ii) the transaction process and timeline, (iii) the level of access to information, specifically as it pertains to ESG factors and (iv) the target portfolio company's business model.
BXCI's Global Head of ESG, Rita Mangalick, oversees ESG policy integration, reporting, engagement, and value creation initiatives within BXCI. Ms. Mangalick is supported by several members of the BXCI ESG team. Additionally, BXCI has an ESG Working Group, which discusses a variety of ESG-related topics to drive value, including, as applicable: review of investments; investor requests; market trends and newly adopted or pending legislation, rules, and regulation.
BXCI's ESG Due Diligence Approach
BXCI's focus on ESG stems from our commitment to prudent investing and our culture that prioritises robust corporate governance. We seek to identify material ESG risks and opportunities throughout the diligence process and consider how these factors may be used to enhance the sustainability profile of our investments to improve investor returns and drive value, where it is consistent with the investment strategy and where we have ability to do so. We incorporate ESG principles into our investment process with approaches tailored to our various strategies.
Comprehensive Due Diligence
To effectively integrate the consideration of relevant ESG factors into the due diligence stage of our investment process to drive long-term value, it is important for our team to understand how to best identify and assess ESG factors that may be applicable to a particular investment. We learned that these factors can vary significantly across industries, leading us to partner with a third-party ESG consultant to create a sector-specific tool that provides a framework to conduct relevant ESG due diligence. This tool, which is based on Sustainability Accounting Standards Board ("SASB") standards, is available to our investment teams to help them evaluate material ESG risks and opportunities that may impact a company's performance, enabling us to assess and mitigate these factors in a more targeted fashion to drive value. The tool includes industry-specific due diligence questions, potential KPIs to track, detailed guidance on considerations for evaluating the topic and recommended resources for additional research.
Investment Committee Engagement and Documentation
Analysis of identified ESG-related risks and opportunities may be presented to the Investment Committee for review questions, and feedback on its views of material ESG factors and due diligence that has been performed. If material ESG concerns are identified, BXCI may seek to address the situation, as appropriate, including, but not limited to, via additional due diligence, hiring specialist advisors, attempting to facilitate further discussions with company management or possibly contributing to a decision not to invest.
Active Post-Investment Monitoring
During the holding period of an investment, the investment team actively monitors the investment and provides updates to the Investment Committee, as needed, including with respect to ESG-related factors for certain investment strategies. As part of this process, members of the investment team may facilitate direct dialogue with company management as well as track material ESG factors that may have an impact on company performance during the anticipated holding period of our investment.
ESG Disclaimer
Blackstone may select or reject portfolio companies or investments on the basis of ESG related investment risks, and this may cause Blackstone's funds 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 ESG factors do not qualify Blackstone's objectives to seek to maximize risk adjusted returns. The ESG practices and initiatives mentioned in these disclosures may not apply to some or all of the Company's investments and none are binding aspects of the management of the Company. The Company does not promote environmental or social characteristics, nor does it have sustainable investments as its objective.
ESG initiatives described in these disclosures 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 these disclosures are less applicable to or not implemented at all with respect to Blackstone's public markets investing businesses, specifically, Credit, Hedge Fund Solutions (BXMA) 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 Blackstone's funds 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. Any selected investment examples, case studies and/or transaction summaries presented or referred to in these disclosures are provided for illustrative purposes only and should not be viewed as representative of the present or future success of ESG initiatives implemented by Blackstone or its portfolio companies or of a given type of ESG initiatives generally. There can be no assurances that Blackstone's investment objectives for any fund will be achieved or that its investment programs will be successful. Past performance is not a guarantee of future results.
Blackstone Ireland Limited
19 September 2024
Strategic Overview
Principal Activities
The Company is a closed-ended investment company incorporated on 30 April 2014 as a limited by shares company under the Company (Jersey) Law 1991 with registered number 115628. In addition, the Company constitutes and is regulated as a collective investment fund under the Collective Investment Funds (Jersey) Law 1988. The Company continues to be registered and domiciled in Jersey. The Company's redeemable shares are quoted on the Main Market of the LSE. Refer to page 24 of the 31 December 2023 Annual Report and Audited Financial Statements for more details.
The Company has a wholly-owned Luxemburg subsidiary, Blackstone / GSO Loan Financing (Luxembourg) S.à r.l. which currently has an issued share capital of 2,000,000 Class A shares and 1 Class B share. As at 30 June 2024, 100% of the Class A and Class B shares were held by the Company together with 190,371,884 Class B CSWs issued by the Lux Subsidiary. The Lux Subsidiary invests in PPNs issued by BCF, which in turn invests in CLOs and loans.
Investment Objective
Following the decision made by Shareholders on 15 September 2023 to implement a managed wind-down of the Company, the new investment objective of the Company is to realise all existing assets in its portfolio in an orderly manner.
Investment Policy
The Company will pursue its investment objective by effecting an orderly realisation of its assets by redeeming and/or by disposing for cash the PPNs issued by BCF and held by the Company (indirectly through a subsidiary) (the "LuxCo PPNs"). The Company will make timely returns of capital to Shareholders principally by redeeming multiple portions of its issued redeemable shares during the course of the managed wind-down (or in such other manner as the Directors consider appropriate).
The Company does not hold any assets other than the LuxCo PPNs. Upon redemption of the LuxCo PPNs, the Company will cease to make any new investments or to undertake capital expenditure except as deemed necessary or desirable by the Board in connection with the managed wind-down.
Any amounts received by the Company during the managed wind-down will be held by the Company as cash on deposit and/or as cash equivalents, prior to returns being made in cash to Shareholders (net of provisions for the Company's costs and expenses).
Borrowings and Derivatives
The Company will not undertake borrowing other than for short-term working capital purposes. The Company may use derivatives for hedging as well as for efficient portfolio management.
Changes to the Company's Investment Policy
Any material change to the Company's new investment policy will be made only with the approval of the Shareholders.
Redemption of redeemable shares
The Board implements the managed wind-down by returning to Shareholders the net proceeds from the realisation of the Company's investment in BCF in an orderly manner by way of the compulsory redemption of redeemable shares (in respect of proceeds received from BCF attributable to the early redemption, maturity or sale of underlying investments or pursuant to a disposal of the LuxCo PPNs for cash).
As part of the managed wind-down, the Company, through the Lux Subsidiary, has delivered a redemption request in accordance with the terms of the LuxCo PPNs. A pro-rata portion of the assets and investments of BCF (including indirect investments held through BCM LLC) has been placed into a redemption pool (the "Redemption Pool"). As the assets in the Redemption Pool redeem and are realised, the proceeds thereof, net of any actual or reasonably anticipated liabilities, costs, expenses, debt service of BCF, BCM LLC and the Lux Subsidiary and any actual or reasonably anticipated costs, liabilities, margin or collateral requirements related to hedging transactions entered by BCF, will be utilised to redeem the LuxCo PPNs.
On 23 May 2024, the Company announced its first return of capital which was paid to shareholders on 24 June 2024. This return of capital was effected by way of a compulsory partial redemption and cancellation of 24,779,135 redeemable shares at a rate of €0.9282 per redeemable share on 10 June 2024.
The rate is determined by the prevailing Published NAV per share at the time of announcement and adjusted (including taking into account the attributable costs) as the Directors consider appropriate.
On 19 July 2024, the Company announced that it is evaluating another return of capital through the compulsory redemption of redeemable shares by the end of December 2024.
Having consulted with the Portfolio Adviser, the Board continues to anticipate that the redemption of the CLOs investments held in BCF and BCM LLC will require a total period of approximately 7 years. However, this is indicative only and it should not be considered a guarantee of the Company's actual liquidity profile.
Refer to sections 3.1 and 3.2 of the Circular for further details.
Directors' Interests
The Directors held the following number of redeemable shares in the Company as at the period end and the date these condensed interim financial statements were approved:
|
Directors |
As at 30 June 2024 |
As at 31 December 2023 |
|
Steven Wilderspin |
18,881 |
20,000 |
|
Mark Moffat |
728,409 |
771,593 |
|
Giles Adu |
- |
- |
|
Belinda Crosby |
- |
- |
Further to the announcement on 23 May 2024 in relation to the compulsory partial redemption of the Company's redeemable shares, Mr Mark Moffat and Mr Steven Wilderspin have had 43,184 and 1,119 redeemable shares redeemed respectively on 10 June 2024.
Risk Overview
Each Director is aware of the risks inherent in the Company's business and understands the importance of identifying, evaluating and monitoring these risks. The Board has adopted procedures and controls to enable it to manage these risks within acceptable limits and to meet all of its legal and regulatory obligations.
The Board considers the process for identifying, evaluating and managing any 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
Following the vote by Shareholders for a managed wind-down of the Company on 15 September 2023, the Board's updated strategic risk appetite is to balance the amount distributed by the Company with the retention of a prudent cash buffer to cover ongoing operating expenses. The Board considers that the retention of a cash buffer sufficient to cover an estimated two years of operating expenses is an appropriate amount. Future distributions will be by way of dividend, in line with the sustainable dividend policy which will continue to be communicated to Shareholders, and by the redemption of shares.
When considering other risks, the Board's risk appetite is effectively governed by a cost benefit analysis while assessing mitigation measures. 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 and how the Board assesses, monitors, measures 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 year under review, the Board considered a set of sixteen main risks which have a higher probability and a significant potential impact on performance, strategy, reputation or operations (Category A risks). Of these, the four 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.
The Portfolio Adviser continues to monitor the very small number of companies which the Company is exposed to, that may be impacted by the current geopolitical tensions in Europe and the Middle East. Opportunities have been taken to trim the exposure, so it is now negligible.
The global macro-economic environment continued to experience high levels of inflation and interest rates during 2024. More recently, macro-economic conditions have seen falls in inflation with market expectations of a peak in interest rates having been reached. The Portfolio Adviser has focused on positioning the underlying portfolio appropriately. The Portfolio Adviser has closely monitored these positions and managed their risk accordingly. The Board has considered risks arising from the managed wind-down in its risk assessment. The commentary below describes the factors affecting each of the principal risks during the period:
|
Principal Risks |
Description |
|
Investment performance |
Unsatisfactory investment performance in absolute terms or relative to peers. Remained heightened in the period given the macro-economic environment. |
|
Share price discount to NAV per redeemable share |
The existence of a share price discount, particularly one that is wider than that of peers. Remained heightened in the period with the discount in the range 28.35% to 36.97%. |
|
Investment valuation |
Error or misjudgment in valuation of the Company's underlying CLO investments. Stable in the period. |
|
Operational |
Reliance on service providers to conduct the Company's operations and deliver its investment strategy. Increased in the period with some staff turnover and strategic pressures on key service providers. |
Refer to pages 37 to 38 of the 31 December 2023 Annual Report and Audited Financial Statements for the detailed commentary on each of the principal risks stated above.
Going Concern
As the Company is in managed wind-down, the condensed interim financial statements have been prepared on a basis other than going concern. Refer to Note 2.2 in the 'notes to the condensed interim financial statements' for further details.
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 2024 and 31 December 2023 are detailed below:
|
Asset |
Valuation Methodology |
Input |
IFRS NAV |
Published NAV |
IFRS NAV |
Published NAV |
|
|
|
|
30 June 2024 |
31 December 2023 |
||
|
CLO Securities |
Discounted Cash Flows |
Constant Default Rate[31] |
2.00% |
2.00% |
2.00% |
2.00% |
|
|
|
Constant Prepayment Rate |
20.00% |
25.00% |
25.00% |
25.00% |
|
|
|
Reinvestment Spread (bp over SOFR) |
385.14 |
363.87 |
405.40 |
363.68 |
|
|
|
Recovery Rate Loans |
65.00% |
65.00% |
65.00% |
65.00% |
|
|
|
Recovery Lag (Months) |
- |
- |
- |
- |
|
|
|
Discount Rate[32] |
18.01% |
15.00% |
25.91% |
15.00% |
All of the assumptions above are based on weighted averages.
The below table further explains the rationale regarding the differences in the assumptions that significantly contributed to the valuation divergence as at 30 June 2024:
|
Assumption |
IFRS NAV |
|
Published NAV |
|
Reinvestment Spread |
Largely weighted by a CLO's current portfolio weighted average spread, which assumes that the CLO investment manager will continue to reinvest in collateral with a similar spread and rating composition to the existing collateral pool. In addition, weighting may be given to primary loan spreads to the extent current primary market opportunities suggest different spreads than the existing portfolio.
|
|
Represents a normalised, long-term view of loan spreads to be achieved over the life of the CLO's remaining reinvestment period. Initially informed by the underwriting model at issuance, the assumption is periodically reviewed and updated to the extent of secular changes in loan spreads. |
|
Discount Rate |
Intended to reflect the market required rate of return for similar securities and is informed by market research, BWICs, market colour for comparable transactions and dealer runs. The discount rate may vary based on underlying loan prices, exposure to distressed assets or industries, manager performance and time remaining in reinvestment period. |
|
Based on the expected rate of return for a newly originated CLO equity security on a hold to maturity basis. The expected rate of return is based on a long-term market average and is periodically reviewed and updated to the extent of secular changes in the market. |
Alternative Investment Fund Managers' Directive ("AIFMD")
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 condensed interim financial statements) to this information requiring disclosure.
Alternative Performance Measures ("APMs")
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 condensed interim financial statements, which are unaudited and outside the scope of IFRS, are detailed in the table below:
|
|
Published NAV Total Return per Redeemable Share[33] |
|
Published NAV per Redeemable Share33 |
|
(Discount)/Premium to Published NAV per Redeemable Share33 |
|
Definition |
The increase in the Published NAV per redeemable share plus the total dividends paid per redeemable share during the period, with such dividends paid being re-invested at NAV, as a percentage of the NAV per redeemable share as at period end.
|
|
Gross assets less liabilities (including accrued but unpaid fees) determined in accordance with the section entitled "Net Asset Value" in Part I of the Company's Prospectus, divided by the number of redeemable shares at the relevant time. |
|
BGLF's closing share price on the LSE less the Published NAV per redeemable share as at the period end, divided by the Published NAV per redeemable share as at that date.
|
|
Reason |
NAV total return summarises the Company's true growth over time while taking into account both capital appreciation and dividend yield.
|
|
The Published NAV per redeemable share is an indicator of the intrinsic value of the Company. |
|
The discount or premium per redeemable share is a key indicator of the discrepancy between the market value and the intrinsic value of the Company. |
|
Target |
11%+ |
|
Not applicable |
|
Maximum discount of 7.5% |
|
Performance |
|
|
|
|
|
|
2024 |
5.64% |
|
0.9072 |
|
(28.35)% |
|
2023 |
10.39% |
|
0.9098 |
|
(35.15)% |
|
2022 |
5.22% |
|
0.9081 |
|
(26.77)% |
|
2021 |
21.82% |
|
0.9407 |
|
(15.75)% |
|
2020 |
(0.22)% |
|
0.8435 |
|
(20.57)% |
|
2019 |
14.46% |
|
0.9187 |
|
(10.20)% |
A reconciliation of the APMs to the most directly reconcilable line items presented in the condensed interim financial statements for the six months ended 30 June 2024 and the year ended 31 December 2023 is presented below:
Published NAV Total Return per Redeemable Share
|
|
Six months ended 30 June 2024 |
Year ended 31 December 2023 |
|
Opening Published NAV per Redeemable Share (A) |
€0.9098 |
€0.9081 |
|
Adjustments per Redeemable Share (B) |
€(0.1848) |
€(0.2297) |
|
Opening IFRS NAV per Redeemable Share (C=A+B) |
€0.7250 |
€0.6784 |
|
|
|
|
|
Closing Published NAV per Redeemable Share (D) |
€0.9072 |
€0.9098 |
|
Adjustments per Redeemable Share (E) |
€(0.0994) |
€(0.1848) |
|
Closing IFRS NAV per Redeemable Share (F=D+E) |
€0.8078 |
€0.7250 |
|
|
|
|
|
Dividends Paid during the Period/Year (G) |
€0.0525 |
€0.0875 |
|
|
|
|
|
Published NAV Total Return per Redeemable Share (H=(D-A+G)/A) |
5.49% |
9.82% |
|
Impact of Dividend Re-Investment (I) |
0.15% |
0.57% |
|
Published NAV Total Return per Redeemable Share with Dividends Re-invested (J=H+I) |
5.64% |
10.39% |
|
|
|
|
|
IFRS NAV Total Return per Redeemable Share (K=(F-C+G)/C) |
18.66% |
19.76% |
|
Impact of Dividend Re-Investment (L) |
(0.60)% |
(2.00)% |
|
IFRS NAV Total Return per Redeemable Share with Dividends Re-invested (M=K+L) |
18.06% |
17.76% |
Refer to Note 13 for further details on the adjustments per redeemable share.
Published NAV per Redeemable Share
|
|
30 June 2024 |
31 December 2023 |
|
Published NAV per Redeemable Share (A) |
€0.9072 |
€0.9098 |
|
Adjustments per Redeemable Share (B) |
€(0.0994) |
€(0.1848) |
|
IFRS NAV per Redeemable Share (C=A+B) |
€0.8078 |
€0.7250 |
Refer to Note 13 for further details on the adjustments per redeemable share.
Discount per Redeemable Share
|
|
30 June 2024 |
31 December 2023 |
|
Published NAV per Redeemable Share (A) |
€0.9072 |
€0.9098 |
|
Adjustments per Redeemable Share (B) |
€(0.0994) |
€(0.1848) |
|
IFRS NAV per Redeemable Share (C=A-B) |
€0.8078 |
€0.7250 |
|
|
|
|
|
Closing Share Price as at the Period End per the LSE (D) |
€0.6500 |
€0.5900 |
|
|
|
|
|
Discount to Published NAV per Redeemable Share (E=(D-A)/A) |
(28.35)% |
(35.15)% |
|
Discount to IFRS NAV per Redeemable Share (F=(D-C)/C) |
(19.53)% |
(18.62)% |
Refer to Note 13 for further details on the adjustments per redeemable share.
Significant Events after the Reporting Period
Dividends
On 19 July 2024, the Company declared a dividend of €0.0225 per redeemable share in respect of the period from 1 April 2024 to 30 June 2024. A total payment of €9,404,095 was made on 6 September 2024.
Outlook
It is the Board's intention that the Company will continue to pursue its new investment objective and investment policy as detailed below, through an orderly managed wind-down of the Company and return of cash to the Shareholders of the Company, via redemption of shares while maintaining a sustainable dividend payment. Further comments on the outlook for the Company for the 2024 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.
Related Parties
There have been no material changes to the nature of related party transactions as described in the 31 December 2023 Annual Report and Audited Financial Statements. Refer to Note 14 for more information on related party transactions.
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 EU and give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company as at 30 June 2024, as required by the UK's FCA's DTR 4.2.4R; and
· the Strategic Report and the notes to the condensed interim financial statements include 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 ended 30 June 2024 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 ended 30 June 2024 and that have materially affected the financial position or performance of the Company during the period.
By order of the Board
|
Steven Wilderspin |
Belinda Crosby |
|
Director |
Director |
|
19 September 2024 |
19 September 2024 |
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 2024 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 2024 is not prepared, in all material respects, in accordance with EU 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 EU adopted international accounting standards. The condensed set of financial statements included in this half-yearly financial report has been prepared in accordance with EU adopted International Accounting Standard 34, "Interim Financial Reporting".
Emphasis of matter - Financial statements prepared other than on a going concern basis
We draw attention to note 2 in the condensed set of financial statements, which indicates that the condensed set of financial statements have been prepared on a basis other than that of a going concern following the decision for the managed wind-down of the company. Our conclusion is not modified in respect of this matter.
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, is 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
19 September 2024
CONDENSED STATEMENT OF FINANCIAL POSITION
As at 30 June 2024 (Unaudited)
|
|
|
As at (unaudited) |
As at (audited) |
|
|
Notes |
€ |
€ |
|
|
|
|
|
|
Cash and cash equivalents |
|
5,474,294 |
17,725,633 |
|
Prepayments |
|
12,834 |
40,930 |
|
Financial assets at fair value through profit or loss |
5 |
335,239,413 |
305,994,558 |
|
Total assets |
|
340,726,541 |
323,761,121 |
|
|
|
|
|
|
Intercompany loan |
6 |
(2,498,091) |
(2,161,082) |
|
Payables |
7 |
(579,881) |
(612,939) |
|
Total liabilities |
|
(3,077,972) |
(2,774,021) |
|
|
|
|
|
|
Net assets |
12,13 |
337,648,569 |
320,987,100 |
|
|
|
|
|
|
Capital and reserves |
|
|
|
|
Stated capital |
8 |
423,312,107 |
446,312,099 |
|
Retained loss |
|
(85,663,538) |
(125,324,999) |
|
Shareholders' equity |
|
337,648,569 |
320,987,100 |
|
|
|
|
|
|
NAV per redeemable share |
12 |
0.8078 |
0.7250 |
These condensed interim financial statements were authorised and approved for issue by the Directors on 19 September 2024 and signed on their behalf by:
|
Steven Wilderspin |
Belinda Crosby |
|
Director |
Director |
The accompanying notes below form an integral part of the condensed interim financial statements.
CONDENSED STATEMENT OF COMPREHENSIVE INCOME
For the six months ended 30 June 2024 (Unaudited))
|
|
|
Six months ended (unaudited) |
Six months ended (unaudited) |
|
|
Notes |
€ |
€ |
|
Income |
|
|
|
|
Realised (loss)/gain on foreign exchange |
|
(71) |
9 |
|
Net gain on financial assets at fair value through profit or loss |
5 |
63,313,369 |
20,692,908 |
|
Bank interest income |
|
313,238 |
81,873 |
|
Total income |
|
63,626,536 |
20,774,790 |
|
|
|
|
|
|
Expenses |
|
|
|
|
Operating expenses |
3 |
(702,670) |
(785,093) |
|
Loan interest expense |
6 |
(18,613) |
(14,396) |
|
Total expenses |
|
(721,283) |
(799,489) |
|
|
|
|
|
|
Profit before taxation |
|
62,905,253 |
19,975,301 |
|
Taxation |
|
- |
- |
|
Profit after taxation |
|
62,905,253 |
19,975,301 |
|
|
|
|
|
|
Total comprehensive income for the period attributable to Shareholders |
|
62,905,253 |
19,975,301 |
|
|
|
|
|
|
Basic and diluted earnings per redeemable/ordinary share |
11 |
0.1430 |
0.0451 |
The Company has no items of other comprehensive income and therefore the profit for the period is also the total comprehensive 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
For the six months ended 30 June 2024 (Unaudited)
|
|
|
Stated capital |
Retained loss |
Total |
|
|
Notes |
€ |
€ |
€ |
|
Shareholders' equity at 1 January 2024 |
|
446,312,099 |
(125,324,999) |
320,987,100 |
|
Total comprehensive income for the period attributable to Shareholders |
|
- |
62,905,253 |
62,905,253 |
|
|
|
|
|
|
|
Transactions with owners |
|
|
|
|
|
Dividends |
15 |
- |
(23,243,792) |
(23,243,792) |
|
Redemption of redeemable shares |
8 |
(22,999,992) |
- |
(22,999,992) |
|
|
|
(22,999,992) |
(23,243,792) |
(46,243,784) |
|
|
|
|
|
|
|
Shareholders' equity at 30 June 2024 |
|
423,312,107 |
(85,663,538) |
337,648,569 |
For the six months ended 30 June 2023 (Unaudited)
|
|
|
Stated capital |
Retained loss |
Total |
|
|
Notes |
€ |
€ |
€ |
|
Shareholders' equity at 1 January 2023 |
|
447,542,762 |
(145,927,785) |
301,614,977 |
|
Total comprehensive income for the period attributable to Shareholders |
|
- |
19,975,301 |
19,975,301 |
|
|
|
|
|
|
|
Transactions with owners |
|
|
|
|
|
Dividends |
15 |
- |
(21,037,169) |
(21,037,169) |
|
Ordinary shares repurchased |
8 |
(1,230,662) |
- |
(1,230,662) |
|
|
|
(1,230,662) |
(21,037,169) |
(22,267,831) |
|
|
|
|
|
|
|
Shareholders' equity at 30 June 2023 |
|
446,312,100 |
(146,989,653) |
299,322,447 |
The accompanying notes below form an integral part of the condensed interim financial statements.
CONDENSED STATEMENT OF CASH FLOWS
For the six months ended 30 June 2024 (Unaudited)
|
|
|
Six months ended 30 June 2024 (unaudited) |
Six months ended 30 June 2023 (unaudited) |
|
|
Notes |
€ |
€ |
|
Cash flow from operating activities |
|
|
|
|
Profit before taxation |
|
62,905,253 |
19,975,301 |
|
|
|
|
|
|
Adjustments to reconcile profit before taxation to net cash flows: |
|
|
|
|
- Unrealised gain on financial assets at fair value through profit and loss |
5 |
(47,690,233) |
(10,909,291) |
|
- Realised gain on financial assets at fair value through profit and loss |
5 |
(15,623,136) |
(9,783,617) |
|
Loan interest expense |
6 |
18,613 |
14,396 |
|
Changes in working capital |
|
|
|
|
Decrease in other receivables |
|
28,096 |
35,661 |
|
Decrease in payables |
7 |
(51,671) |
(162,953) |
|
Net cash used in operating activities |
|
(413,078) |
(830,503) |
|
|
|
|
|
|
Cash flow from investing activities |
|
|
|
|
Proceeds from sale of financial assets at fair value through profit or loss |
5 |
34,068,514 |
24,888,816 |
|
Net cash generated from investing activities |
|
34,068,514 |
24,888,816 |
|
|
|
|
|
|
Cash flow from financing activities |
|
|
|
|
Ordinary shares repurchased |
8 |
- |
(1,230,662) |
|
Redemption of redeemable shares |
8 |
(22,999,992) |
- |
|
Increase in intercompany loan |
6 |
337,009 |
212,496 |
|
Dividends paid |
15 |
(23,243,792) |
(21,037,169) |
|
Net cash used in financing activities |
|
(45,906,775) |
(22,055,335) |
|
|
|
|
|
|
Net (decrease)/increase in cash and cash equivalents |
|
(12,251,339) |
2,002,978 |
|
|
|
|
|
|
Cash and cash equivalents at the start of the period |
|
17,725,633 |
6,259,400 |
|
Cash and cash equivalents at the end of the period |
|
5,474,294 |
8,262,378 |
The accompanying notes below form an integral part of the condensed interim financial statements.
NOTES TO THE CONDENSED INTERIM FINANCIAL STATEMENTS
For the six months ended 30 June 2024
1 General information
The Company is a closed-ended limited liability investment company domiciled and incorporated under the laws of Jersey with variable capital pursuant to the Collective Investment Funds (Jersey) Law 1988. It was incorporated on 30 April 2014 under registration number 115628. The Company's redeemable shares are quoted on the Main Market of the LSE.
Following the decision made by Shareholders on 15 September 2023 to implement a managed wind-down of the Company, the investment objective of the Company, effective from that date, is to realise all existing assets in the Company's portfolio in an orderly manner.
On 11 December 2023, all ordinary shares in issue were converted to redeemable shares and 1 deferred share in the Company was issued. On 21 December 2023, the Company cancelled all of the redeemable shares it held in treasury.
As at 30 June 2024, the Company had 417,959,768 (31 December 2023: 442,738,903) redeemable shares in issue and 1 (31 December 2023: 1) deferred share. No treasury shares were held as at 30 June 2024 and 31 December 2023.
The Company has a wholly owned Luxemburg subsidiary, Blackstone / GSO Loan Financing (Luxembourg) S.à r.l., which has an issued share capital of 2,000,000 Class A shares and 1 Class B share held entirely by the Company as at 30 June 2024 and 31 December 2023. The Company also held 190,371,884 (31 December 2023: 208,565,744) Class B CSWs issued by the Lux Subsidiary.
The Company's registered address is IFC 1, The Esplanade, St Helier, Jersey, JE1 4BP, Channel Islands.
2 Material accounting policy information
The material accounting policies applied in the preparation of these condensed interim financial statements are consistent with those used for the 31 December 2023 Annual Report and Audited Financial Statements and some are set out below. Refer to Note 2 of the 31 December 2023 Annual Report and Audited Financial Statements for further details on the material accounting policies.
These policies have been applied consistently throughout all the years presented, unless otherwise stated.
2.1 Statement of compliance
The Annual Report and Audited Financial Statements are prepared in accordance with the Disclosure Guidance and Transparency Rules of the Financial Conduct Authority and with International Financial Reporting Standards as adopted by the EU. The condensed set of interim financial statements included in this Half Yearly Financial Report has been prepared in accordance with EU adopted International Accounting Standard 34 Interim Financial Reporting.
2.2 Going concern
As the Company is in managed wind-down, the condensed interim financial statements have been prepared on a basis other than going concern.
The Board continues to expect that the managed wind-down of the Company to be over a total period of 7 years although this is not guaranteed. After making enquiries with the Portfolio Adviser and supported by the Directors' current assessment of the Company's ability to pay its debts as they fall due for the foreseeable future, the Directors have a reasonable expectation that the Company has adequate resources to continue in operational existence until the anticipated managed wind-down of the Company. The Directors will ensure that sufficient liquidity is held back to ensure that liabilities are at all times adequately covered.
2.3 Accounting standards
New standards, amendments and interpretations issued and effective for the financial year beginning 1 January 2024
The following new standards, amendments or interpretations are effective for the financial year beginning 1 January 2024 and the Directors do not consider that these have a material impact on the Company's condensed interim financial statements:
· Non-current Liabilities with Covenants and Classification of Liabilities as Current or Non-current - Amendments to IAS 1 Presentation of Financial Statements
· Lease Liability in a Sale and Leaseback - Amendments to IFRS 16 Leases
· Supplier Finance Arrangements - Amendments to IAS 7 Statement of Cash Flows and IFRS 7 Financial Instruments: Disclosures
New standards, amendments and interpretations issued but not effective for the financial year beginning 1 January 2024 and not early adopted
The following standards become effective in future accounting periods and have not been early adopted by the Company and the Directors do not believe that the application of these will have a material impact on the Company's condensed interim financial statements:
· Lack of Exchangeability - Amendments to IAS 21 The Effects of Changes in Foreign Exchange Rates (effective for periods beginning on or after 1 January 2025)
· IFRS 18 Presentation and Disclosure in Financial Statements (effective for periods beginning on or after 1 January 2027)
· Sale or Contribution of Assets between an Investor and its Associate or Joint Venture - Amendments to IFRS 10 Business Combinations and IAS 28 Investments in Associates and Joint Ventures (effective date to be determined)
2.4 Critical accounting judgements and estimates
The preparation of the condensed interim financial statements in conformity with IFRS requires management to make judgements, estimates and assumptions that affect items reported in the Condensed Statement of Financial Position and Condensed Statement of Comprehensive Income. It also requires management to exercise its judgement in the process of applying the Company's accounting policies. Uncertainty about these assumptions and estimates could result in outcomes that require a material adjustment to the carrying amount of assets and liabilities affected in future periods.
Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to estimates are recognised prospectively.
Estimates
(a) Fair value
For the fair value of all financial instruments held, the Company determines fair values using appropriate techniques. Refer to above, Note 5 and Note 2.8 of the 31 December 2023 Annual Report and Audited Financial Statements for further details on the significant estimates applied in the valuation of the Company's financial instruments.
Judgements
(b) Non-consolidation of the Lux Subsidiary
The Company meets the definition of an investment entity as defined by IFRS 10 Consolidated Financial Statements and is required to account for its investment in the Lux Subsidiary at fair value through profit or loss.
The Company has multiple unrelated investors and holds multiple investments in the Lux Subsidiary. The Company has been deemed to meet the definition of an investment entity per IFRS 10 as the following conditions exist:
· the Company has obtained funds for the purpose of providing investors with investment management services;
· the Company's business purpose, which has been communicated directly to investors, is investing solely for returns from capital appreciation, investment income, or both; and
· the performance of investments made through the Lux Subsidiary are measured and evaluated on a fair value basis.
The Company controls the Lux Subsidiary through its 100% holding of the voting rights and ownership. The Lux Subsidiary is incorporated in Luxembourg. Refer to Note 9 for further disclosures relating to the Company's interest in the Lux Subsidiary.
(c) Non-consolidation of BCF
To determine control, there has to be a linkage between power and the exposure to risks and rewards. The main link from ownership would allow a company to control the payments of returns and operating policies and decisions of a subsidiary.
To meet the definition of a subsidiary under the single control model of IFRS 10, the investor has to control the investee. Control involves power, exposure to variability of returns and a linkage between the two:
· the investor has existing rights that give it the ability to direct the relevant activities that significantly affect the investee's returns;
· the investor has exposure or rights to variable returns from its involvement with the investee; and
· the investor has the ability to use its power over the investee to affect the amount of the investor's returns.
In the case of BCF, the relevant activities are the investment decisions made by it. However, in the Lux Subsidiary's case, the power to influence or direct the relevant activities of BCF is not attributable to the Lux Subsidiary. The Lux Subsidiary does not have the ability to direct or stop investments by BCF; therefore, it does not have the ability to control the variability of returns. Accordingly, BCF has been determined not to be a subsidiary undertaking as defined under IFRS 10 Consolidated Financial Statements and the Lux Subsidiary's investment in the PPNs issued by BCF are accounted for at fair value through profit or loss.
3 Operating expenses
|
|
Six months ended 30 June 2024 (unaudited) |
Six months ended 30 June 2023 (unaudited) |
|
|
€ |
€ |
|
Administration fees |
157,385 |
152,439 |
|
Directors' fees (see Note 4) |
123,270 |
140,311 |
|
Professional fees |
81,049 |
116,755 |
|
Audit of the Company |
99,181 |
92,557 |
|
Audit related services - review of interim financial report |
93,016 |
85,604 |
|
Brokerage fees |
71,260 |
68,900 |
|
Regulatory and listing fees |
31,295 |
28,536 |
|
Registrar fees |
7,485 |
16,849 |
|
Sundry expenses |
38,729 |
83,142 |
|
Total operating expenses |
702,670 |
785,093 |
4 Directors' fees
The Company has no employees. The Company incurred €123,270 (30 June 2023: €140,311) in Directors' fees (consisting exclusively of short-term benefits) during the period. No directors' fees were outstanding at 30 June 2024 and 31 December 2023. No pension contributions were payable in respect of any of the Directors. Refer to above for details on the Directors' interests.
5 Financial assets at fair value through profit or loss
|
|
As at 30 June 2024 (unaudited) |
As at 31 December 2023 (audited) |
|
|
€ |
€ |
|
Financial assets at fair value through profit or loss |
335,239,413 |
305,994,558 |
Financial assets at fair value through profit or loss consist of 190,371,884 CSWs, 2,000,000 Class A shares and 1 Class B share issued by the Lux Subsidiary (31 December 2023: 208,565,744 CSWs, 2,000,000 Class A shares and 1 Class B share issued by the Lux Subsidiary). Refer to pages 78 to 79 in the 31 December 2023 Annual Report and Audited Financial Statements for further details.
Fair value hierarchy
IFRS 13 Fair Value Measurement requires an analysis of investments valued at fair value based on the reliability and significance of information used to measure their fair value.
The Company categorises its financial assets according to the following fair value hierarchy detailed in IFRS 13 Fair Value Measurement that reflects the significance of the inputs used in determining their fair values:
· Level 1: Quoted market price (unadjusted) in an active market for an identical instrument.
· Level 2: Valuation techniques based on observable inputs, either directly (i.e., as prices) or indirectly (i.e., derived from prices). This category includes instruments valued using: quoted market prices in active markets for similar instruments; quoted prices for identical or similar instruments in markets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observable from market data.
· Level 3: Valuation techniques using significant unobservable inputs. This category includes all instruments where the valuation technique includes inputs not based on observable data and the unobservable variable inputs have a significant effect on the instrument's valuation. This category includes instruments that are valued based on quoted prices for similar instruments where significant unobservable adjustments or assumptions are required to reflect differences between the instruments.
|
30 June 2024 (unaudited) |
Level 1 |
Level 2 |
Level 3 |
Total |
|
|
€ |
€ |
€ |
€ |
|
Financial assets at fair value through profit or loss |
- |
- |
335,239,413 |
335,239,413 |
|
31 December 2023 (audited) |
Level 1 |
Level 2 |
Level 3 |
Total |
|
|
€ |
€ |
€ |
€ |
|
Financial assets at fair value through profit or loss |
- |
- |
305,994,558 |
305,994,558 |
The Company determines the fair value of the financial assets at fair value through profit or loss using the unaudited IFRS NAV of both the Lux Subsidiary and BCF.
The Company determines the fair value of the CLOs held directly using third party valuations. The Portfolio Adviser can challenge the marks if they appear off-market or unrepresentative of fair value.
During the six months ended 30 June 2024 and the year ended 31 December 2023, there were no reclassifications between levels of the fair value hierarchy.
The Company's maximum exposure to loss from its interests in the Lux Subsidiary and indirectly in BCF is equal to the fair value of its investments in the Lux Subsidiary.
Financial assets at fair value through profit or loss reconciliation
The following table shows a reconciliation of all movements in the fair value of financial assets categorised within Level 3 between the start and the end of the reporting period:
|
|
Six months ended 30 June 2024 |
Year ended 31 December 2023 |
|
|
€ |
€ |
|
Balance as at 1 January |
305,994,558 |
297,721,169 |
|
Sale proceeds - CSWs |
(34,068,514) |
(52,820,196) |
|
Realised gain on financial assets at fair value through profit or loss - CSWs |
15,623,136 |
21,406,810 |
|
Total change in unrealised gain on financial assets for the period/year |
47,690,233 |
39,686,775 |
|
Balance as at the end of the period/year |
335,239,413 |
305,994,558 |
|
|
|
|
|
Realised gain on financial assets at fair value through profit or loss |
15,623,136 |
21,406,810 |
|
Total change in unrealised gain on financial assets for the period/year |
47,690,233 |
39,686,775 |
|
Net gain on financial assets at fair value through profit or loss |
63,313,369 |
61,093,585 |
Quantitative information of significant unobservable inputs and sensitivity analysis to significant changes in unobservable inputs - Level 3
The significant unobservable inputs used in the fair value measurement of the financial assets at fair value through profit or loss within Level 3 of the fair value hierarchy together with a quantitative sensitivity analysis as at 30 June 2024 and 31 December 2023 are as shown below:
|
Asset class |
Fair value |
Unobservable inputs |
Ranges |
Weighted average |
Sensitivity to changes in significant unobservable inputs |
|
|
€ |
|
|
|
|
|
CSWs |
326,899,255 |
Undiscounted NAV of BCF |
N/A |
N/A |
20% increase/decrease will have a fair value impact of +/- €65,379,851 |
|
Class A and Class B shares |
8,340,158 |
Undiscounted NAV of the Lux Subsidiary |
N/A |
N/A |
20% increase/decrease will have a fair value impact of +/- €1,668,032 |
|
Total as at 30 June 2024 (unaudited) |
335,239,413 |
|
|
|
|
|
Asset Class |
Fair Value |
Unobservable Inputs |
Ranges |
Weighted average |
Sensitivity to changes in significant unobservable inputs |
|
|
€ |
|
|
|
|
|
CSWs |
298,050,226 |
Undiscounted NAV of BCF |
N/A |
N/A |
20% increase/decrease will have a fair value impact of +/- €59,610,045 |
|
Class A and Class B shares |
7,944,332 |
Undiscounted NAV of the Lux Subsidiary |
N/A |
N/A |
20% increase/decrease will have a fair value impact of +/- €1,588,866 |
|
Total as at 31 December 2023 (audited) |
305,994,558 |
|
|
|
|
6 Intercompany loan
|
|
As at 30 June 2024 (unaudited) |
As at 31 December 2023 (audited) |
|
|
€ |
€ |
|
Intercompany loan balance as at 1 January |
2,161,082 |
1,694,077 |
|
Increase in intercompany loan |
337,009 |
467,005 |
|
Intercompany loan balance as the end of the period/year |
2,498,091 |
2,161,082 |
The intercompany loan - payable to the Lux Subsidiary: is a revolving unsecured loan between the Company and the Lux Subsidiary. The intercompany loan has a maturity date of 13 September 2033 and is repayable at the option of the Company up to the maturity date. Interest is accrued at a rate of 1.6% per annum and is payable annually only when a written request has been provided to the Company by the Lux Subsidiary. During the period ended 30 June 2024, loan interest expense incurred by the Company was €18,613 (30 June 2023: €14,396).
7 Payables
|
|
As at 30 June 2024 (unaudited) |
As at 31 December 2023 (audited) |
|
|
€ |
€ |
|
Audit fees |
198,395 |
196,700 |
|
Professional fees |
126,747 |
124,076 |
|
Administration fees |
81,268 |
79,553 |
|
Intercompany loan interest payable |
108,740 |
90,127 |
|
Other payables |
64,731 |
122,483 |
|
Total payables |
579,881 |
612,939 |
All payables are deemed to due within the next twelve months.
8 Stated capital
Authorised
The authorised share capital of the Company is represented by an unlimited number of shares of any class at no par value.
Allotted, called up and fully-paid
|
Redeemable shares |
Number of shares |
Stated capital |
|
|
|
€ |
|
As at 1 January 2024 |
442,738,903 |
446,312,099 |
|
Redemption of redeemable shares |
(24,779,135) |
(22,999,992) |
|
Total redeemable shares as at 30 June 2024 (unaudited) |
417,959,768 |
423,312,107 |
|
Ordinary/redeemable shares |
Number of shares |
Stated capital |
|
|
|
€ |
|
As at 1 January 2023[34] |
444,578,522 |
447,542,762 |
|
Shares repurchased during the year |
(1,839,619) |
(1,230,663) |
|
Total redeemable shares as at 31 December 2023 (audited) |
442,738,903 |
446,312,099 |
Deferred share
As at 30 June 2024, the Company has also 1 (31 December 2023: 1) deferred share, issued to CONJL SPV Trustee 1 Limited.
Redemption of redeemable shares
The Board implements the managed wind-down by returning cash to the Shareholders by way of compulsory redemption of redeemable shares.
During the period ended 30 June 2024, the Company made its first return of capital to its Shareholders, by way of compulsory partial redemption of redeemable shares, as detailed below:
|
Record date |
Number of Redeemable Shares Redeemed |
Rate per Redeemable Share |
Amount returned to Shareholders |
|
10 June 2024 |
24,779,135 |
€0.9282 |
€22,999,992 |
Refer to note 17 for detail of redemptions of redeemable shares post the period end.
Voting rights
Redeemable shareholders have the right to receive income and capital from assets attributable to such class. Redeemable shareholders have the right to receive notice of general meetings of the Company and have the right to attend and vote at all general meetings.
Dividends
Refer to above for details on the Company's dividend policy and dividends declared by the Board for the six month period ended 30 June 2024 and Note 17 for dividends declared after the period end.
Rights as to capital
On a winding up, the Company may, with the sanction of a special resolution and any other sanction required by the Companies Law, divide the whole or any part of the assets of the Company among the Shareholders in specie provided that no holder shall be compelled to accept any assets upon which there is a liability. On return of assets on liquidation or capital reduction or otherwise, the assets of the Company remaining after payments of its liabilities shall subject to the rights of the holders of other classes of shares, to be applied to the Shareholders equally pro rata to their holdings of shares.
Capital management
The Company is closed-ended and has no externally imposed capital requirements. The Company's capital as at 30 June 2024 comprises shareholders' equity at a total of €337,648,569 (31 December 2023: €320,987,100). The Company's objectives for managing capital during the six months period to 30 June 2024 were to maintain sufficient liquidity to meet the expenses of the Company, dividend commitments and compulsory redemptions of redeemable shares.
The Board monitors the capital adequacy of the Company on an on-going basis and the Company's objectives regarding capital management have been met.
Refer to Note 9c Liquidity Risk in the 31 December 2023 Annual Report and Audited Financial Statements for further discussion on capital management, particularly on how the distribution policy was managed.
9 Interests in other entities
Interests in unconsolidated structured entities
IFRS 12 Disclosure of Interests in Other Entities defines a structured entity as an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to the administrative tasks only and the relevant activities are directed by means of contractual agreements.
Involvement with unconsolidated structured entities
The Directors have concluded that the CSWs and voting shares of the Lux Subsidiary in which the Company invests, but that it does not consolidate, meet the definition of a structured entity.
The Directors have also concluded that BCF also meets the definition of a structured entity.
The Directors have also concluded that CLOs in which the Company invests, that are not subsidiaries for financial reporting purposes, meet the definition of structured entities because:
· the voting rights in the CLOs are not dominant rights in deciding who controls them, as they relate to administrative tasks only;
· each CLO's activities are restricted by its Prospectus; and
· the CLOs have narrow and well-defined objectives to provide investment opportunities to investors.
Interests in subsidiary
As at 30 June 2024, the Company owns 100% of the Class A and Class B shares in the Lux Subsidiary comprising 2,000,000 Class A shares and 1 Class B share (31 December 2023: 2,000,000 Class A shares and 1 Class B share).
The Lux Subsidiary's principal place of business is Luxembourg.
Other than the investments noted above, the Company did not provide any financial support for the period ended 30 June 2024 and the year ended 31 December 2023, nor had it any intention of providing financial or other support.
The Company has an intercompany loan payable to the Lux Subsidiary as at 30 June 2024 and 31 December 2023. Refer to Note 6 for further details.
10 Segmental reporting
In accordance with IFRS 8 Operating Segments, the Board, which is the chief operating decision maker, views the operations of the Company as one operating segment, being the redeemable share class[35] in issue during the period ended 30 June 2024 and the year ended 31 December 2023.
During the period ended 30 June 2024 and the year ended 31 December 2023, the Company's primary exposure was to the Lux Subsidiary in Europe. The Lux Subsidiary's primary exposure is to BCF, an Irish entity. BCF's primary exposure is to the US and Europe.
11 Basic and diluted earnings per share
|
|
As at 30 June 2024 (unaudited) |
As at 30 June 2023 (unaudited) |
|
Total comprehensive income for the period |
€62,905,253 |
€19,975,301 |
|
Weighted average number of redeemable/ordinary shares during the period[36] |
440,000,877 |
442,889,811 |
|
Basic and diluted earnings per redeemable/ordinary share |
0.1430 |
0.0451 |
12 IFRS NAV per redeemable share
|
|
As at 30 June 2024 (unaudited) |
As at 31 December 2023 (audited) |
|
IFRS NAV |
€337,648,569 |
€320,987,100 |
|
Number of redeemable shares at period and year end |
417,959,768 |
442,738,903 |
|
IFRS NAV per redeemable share |
0.8078 |
0.7250 |
13 Reconciliation of Published NAV to IFRS NAV
|
|
As at 30 June 2024 (unaudited) |
As at 31 December 2023 (audited) |
||
|
|
NAV |
NAV per redeemable share |
NAV |
NAV per redeemable share |
|
|
€ |
€ |
€ |
€ |
|
Published NAV attributable to Shareholders |
379,153,386 |
0.9072 |
402,792,551 |
0.9098 |
|
Adjustment - valuation |
(41,504,817) |
(0.0994) |
(81,805,451) |
(0.1848) |
|
IFRS NAV |
337,648,569 |
0.8078 |
320,987,100 |
0.7250 |
As noted above, there can be a difference between the Published NAV and the IFRS NAV per the financial statements, because of the different bases of valuation used. The above table reconciles the Published NAV to the IFRS NAV per the condensed interim financial statements.
14 Related party transactions
All transactions between related parties were conducted on terms equivalent to those prevailing in an arm's length transaction. In accordance with IAS 24 Related Party Disclosures, the related parties and related party transactions during the period comprised:
Transactions with entities with significant influence
As at 30 June 2024, Blackstone Treasury Asia Pte Ltd held 40,593,376 (31 December 2023: 43,000,000) redeemable shares in the Company.
Transactions with key management personnel
The Directors are the key management personnel as they are the persons who have the authority and responsibility for planning, directing and controlling the activities of the Company. The Directors are entitled to remuneration for their services. Refer to Note 4 for further details.
Transactions with other related parties
At 30 June 2024, current employees of the Portfolio Adviser and its affiliates and accounts managed or advised by them, hold 39,036 redeemable shares (31 December 2023: 41,380) which represents 0.009% (31 December 2023: 0.009%) of the issued redeemable shares of the Company.
The Company has exposure to the CLOs originated by BCF, through its investment in the Lux Subsidiary. BIL is also appointed as a service support provider to BCF and as the collateral manager to the Direct CLO Subsidiaries. BLCS has been appointed as the collateral manager to BCM LLC, Dorchester Park CLO Designated Activity Company and the Indirect CLO Subsidiaries.
Transactions with subsidiaries
The Company held 190,371,884 CSWs as at 30 June 2024 (31 December 2023: 208,565,744) following the redemption of 18,193,860 (31 December 2023: 30,985,038) CSWs by the Lux Subsidiary. Refer to Note 5 for further details.
As at 30 June 2024, the Company held 2,000,000 Class A shares and 1 Class B share in the Lux Subsidiary with a nominal value of €2,000,001 (31 December 2023: 2,000,000 Class A shares and 1 Class B share in the Lux Subsidiary with a nominal value of €2,000,001).
As at 30 June 2024, the Company also held an intercompany loan payable to the Lux Subsidiary amounting to €2,498,091 (31 December 2023: €2,161,082).
15 Dividends
The Company declared and paid the following dividends on redeemable shares during the six months ended 30 June 2024:
|
Period in respect of |
Date declared |
Ex-dividend date |
Payment date |
Amount per redeemable share |
Amount paid |
|
|
|
|
|
€ |
€ |
|
1 Oct 2023 to 31 Dec 2023 |
23 Jan 2024 |
1 Feb 2024 |
8 Mar 2024 |
0.0300 |
13,282,167 |
|
1 Jan 2024 to 31 Mar 2024 |
22 Apr 2024 |
2 May 2024 |
7 Jun 2024 |
0.0225 |
9,961,625 |
|
Total |
|
|
|
|
23,243,792 |
The Company declared and paid the following dividends on redeemable shares during the six months ended 30 June 2023:
|
Period in respect of |
Date declared |
Ex-dividend date |
Payment date |
Amount per ordinary share |
Amount paid |
|
|
|
|
|
€ |
€ |
|
1 Oct 2022 to 31 Dec 2022 |
23 Jan 2023 |
2 Feb 2023 |
3 Mar 2023 |
0.0275 |
12,182,391 |
|
1 Jan 2023 to 31 Mar 2023 |
25 Apr 2023 |
4 May 2023 |
2 Jun 2023 |
0.0200 |
8,854,778 |
|
Total |
|
|
|
|
21,037,169 |
16 Controlling party
In the Directors' opinion, the Company has no ultimate controlling party.
17 Events after the reporting period
The Board has evaluated subsequent events for the Company through to 19 September 2024, the date the condensed interim financial statements are available to be issued and other than those listed below, concluded that there are no material events that require disclosure or adjustment to the condensed interim financial statements.
Dividends
On 19 July 2024, the Company declared a dividend of €0.0225 per redeemable share in respect of the period from 1 April 2024 to 30 June 2024. A total payment of €9,404,095 was made on 6 September 2024.
COMPANY INFORMATION
|
Directors |
|
Registered Office |
|
Mr Steven Wilderspin (Chair) Ms Belinda Crosby (Audit Chair) Mr Mark Moffat Mr Giles Adu All c/o the Company's registered office
|
|
IFC 1 The Esplanade St Helier Jersey JE1 4BP, Channel Islands |
|
Portfolio Adviser |
|
Registrar |
|
Blackstone Ireland Limited 30 Herbert Street
|
|
Link Asset Services (Jersey) Limited |
|
Administrator / Company Secretary / Custodian / Depositary / Banker |
|
Auditor |
|
BNP Paribas S.A., Jersey Branch The Esplanade St Helier Jersey JE1 4BP, Channel Islands
|
|
Deloitte LLP Gaspé House 66-72 Esplanade St Helier JE2 3QT, Channel Islands |
|
Legal Adviser to the Company (as to Jersey Law) |
|
Legal Adviser to the Company |
|
Carey Olsen
|
|
Herbert Smith Freehills LLP EC2A 2EG, United Kingdom |
|
Joint Broker |
|
Joint Broker |
|
Singer Capital Markets |
|
Winterflood Investment Trusts The Atrium Building Cannon Bridge House, 25 Dowgate Hill London, EC4R 2GA, United Kingdom |
GLOSSARY
|
AIC |
The Association of Investment Companies, of which the Company is a member |
|
AIC Code |
AIC Code of Corporate Governance 2019 |
|
AIFMD |
Alternative Investment Fund Managers' Directive |
|
AIF |
Alternative Investment Funds |
|
AML |
Anti-money laundering |
|
APMs |
Alternative Performance Measures |
|
BCF |
Blackstone Corporate Funding Designated Activity Company |
|
BCF Facility |
BCF entered into a facility agreement dated 1 June 2017, as amended between (1) BCF (as borrower), (2) Citibank Europe plc, UK Branch (as administration agent), (3) Bank of America N.A. London Branch (as an initial lender), (4) BNP Paribas (as an initial lender), (5) Deutsche Bank AG, London Branch (as initial lender), (6) Citibank N.A. London Branch (as account bank, custodian and trustee) and (7) Virtus Group LP (as collateral administrator) |
|
BCM LLC |
Blackstone CLO Management LLC |
|
BGLF or the Company |
Blackstone Loan Financing Limited |
|
BGLP |
Ticker for the Company's Sterling Quote |
|
BIL or the Portfolio Adviser |
Blackstone Ireland Limited |
|
BLCS |
Blackstone Liquid Credit Strategies LLC |
|
Board |
The Board of Directors of the Company |
|
Bp |
Basis points |
|
Brokers |
Singer Capital Markets and Winterflood Investment Trusts |
|
BWIC |
Bids Wanted In Competition |
|
BXCI |
Blackstone Alternative Credit Advisors LP , together with its corporate credit-focused affiliates in the credit and insurance asset management business unit of Blackstone Inc., as the context requires (but excluding, for the avoidance of doubt, any insurance-focused asset management affiliates) |
|
CFT |
Combating the financing of terrorism |
|
Circular |
The circular dated 25 August 2023 published for the Shareholders on the LSE, containing details of the proposals in respect of the managed wind-down. The Circular is also available on the Company's website. |
|
CSWs |
Cash Settlement Warrants |
|
CLO |
Collateralised Loan Obligation |
|
CLO Warehouse |
A special purpose vehicle incorporated for the purposes of warehousing US and/or European floating rate senior secured loans and bonds |
|
Discount / Premium |
Calculated as the NAV per redeemable share as at a particular date less BGLF's closing share price on the LSE, divided by the NAV per redeemable share as at that date |
|
Dividend yield |
Calculated as the last four quarterly dividends declared divided by the share price as at the relevant date |
|
DTR |
Disclosure and Transparency Rules |
|
ECB |
European Central Bank |
|
ESG |
Environmental, Social and Governance |
|
ESMA |
The European Securities and Markets |
|
EU |
European Union |
|
FCA |
Financial Conduct Authority (UK) |
|
Fed |
Federal Reserve |
|
FRC |
Financial Reporting Council (UK) |
|
IAS |
International Accounting Standards |
|
IFRS |
International Financial Reporting Standards |
|
IFRS NAV |
Gross assets less liabilities (including accrued but unpaid fees) determined in accordance with IFRS as adopted by the EU |
|
IRR |
Internal Rate of Return |
|
LSE |
London Stock Exchange |
|
LTM |
Last twelve months |
|
Lux Subsidiary or LuxCo |
Blackstone / GSO Loan Financing (Luxembourg) S.à r.l. |
|
NAV |
Net asset value |
|
NAV total return per redeemable share |
Calculated as the increase / decrease in the NAV per redeemable share plus the total dividends paid per redeemable share during the period, with such dividends paid being re-invested at NAV, as a percentage of the NAV per redeemable share LTM return is calculated over the year from 1 July 2023 to 30 June 2024 |
|
NIM |
Net interest margin |
|
PPNs |
Profit Participating Notes |
|
Published NAV |
Gross assets less liabilities (including accrued but unpaid fees) determined in accordance with the section entitled "Net Asset Value" in Part I of the Company's Prospectus and published on a monthly basis |
|
RTS |
Regulatory technical standards |
|
SFDR |
Sustainable Finance Disclosure Regulation |
|
SOFR |
Secured Overnight Financing Rate |
|
TCFD |
Task Force on Climate-related Financial Disclosures |
|
UBS |
Union Bank of Switzerland |
|
UK |
United Kingdom |
|
UK Code |
UK Corporate Governance Code 2018 |
|
US |
United States |
|
USD |
United States Dollar |
|
WA |
Weighted Average |
[1] Refer to the glossary for an explanation of the terms used above and elsewhere within this report. The calculation for the IFRS NAV per redeemable share is found in Note 12 in the 'notes to the condensed interim financial statements' and the calculation for the IFRS and Published NAV total return and discount is found under 'Alternative Performance Measures' above. These calculations remain consistent with prior years.
[2] Bloomberg closing price at period end.
[3] Annual dividend yield as at 30 June 2024 and 31 December 2023 is based on the four quarterly dividends announced by the Company during the 12 months prior to the period end/year end as applicable.
[4] BGLP is the ticker for the Company's Sterling Quote and has been presented for information purposes only.
[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] Credit Suisse: Leveraged Loan Index for US Loans, Western European Leveraged Loan Index (hedged to EUR) for EUR Loans as of 30 June 2024. Indices are provided for illustrative purposes only. They have not been selected to represent benchmarks or targets for the Company. The indices may include holdings that are substantially different than investments held by BCF and do not reflect the strategy of BCF. Comparisons to indices have limitations because indices have risk profiles, volatility, asset composition and other material characteristics that may differ from BCF. The indices do not reflect the deduction of fees or expenses.
[7] Credit Suisse/UBS: As of 30 June 2024. BXCI data used for BCF defaults, calculated on a look through basis. BCF defaults defined as (a) missed a payment, (b) filed bankruptcy or (c) were downgraded by Moody's, Fitch, or S&P to D. Recovery rate excluded from years with zero defaults. Please see the BCF Loan Default Track Record in the "Important Disclosure Information" section for further information on the default track record. Past performance does not predict future returns and there can be no assurance that a fund will continue to achieve comparable results or that a fund will be able to implement its investment strategy or achieve its investment objectives or avoid substantial losses.
[8] (i) as a Jersey incorporated company, the Company is not in scope of the UK Companies Act TCFD disclosure requirements; (ii) the Company is not an
FCA authorised manager or managed by an FCA authorised manager so is not in scope of the TCFD disclosure obligations in the FCA's ESG sourcebook; (iii) the shares of the Company are listed on the 'Equity Shares (Commercial Companies)' segment of the LSE (previously the 'Premium Equity Closed Ended Investment Funds' segment). The FCA's TCFD disclosure obligations do not apply to closed ended investment funds listed on this segment.
[9] As of 30 June 2024. US Loan Index: Credit Suisse Leveraged Loan Index. European Loan Index: Credit Suisse Western European Leveraged Loan Index (Hedged to Euro). Asset spreads represented by 3-year discount margin.
[10] As of 30 June 2024. UBS Default Report issued on 8 July 2024.
[11] Bank of America CLO Research, as of 28 June 2024.
[12] Pitchbook LCD, as of 30 June 2024.
[13] Barclays CLO Research, as of 1 July 2024.
[14] Note: 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 30 June 2024, calculated on 3 July 2024.
[15] Credit Suisse/UBS trailing twelve-month default rates as of 30 June 2024.
[16] Debt tranches 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.
[17] Figures may not sum exactly due to rounding.
[18] The debt tranches of Richmond Park, Palmerston Park, and Clontarf Park were redeemed in April 2024.
[19] As of 30 June 2024, with data available as of 10 July 2024. 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".
[20] Realised IRRs for redemptions are reflective of distributions made to BCF to date, with data available in Kanerai as of 10 July 2024. 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).
[21] Source: Kanerai, with data available as of 10 July 2024. Annualised distributions for redeemed CLOs include return of principal; annualised distributions for fully sold CLOs do not include sale proceeds. Top 20 Issuers represent 14.2% of the portfolio par value, as of 30 June 2024.
[22] 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 BXCI.
[23] Calculated on BCF's net assets as of 30 June 2024.
[24] Data for EUR and US CLOs calculated based on data available on Kanerai as of 10 July 2024 for non-redeemed CLOs. Data for CLO Warehouses and Directly held loans calculated by BXCI.
[25] Calculated on BCF's net assets as of 30 June 2024.
[26] As of 28 June 2024, the BCF Facility was fully repaid; however, if capital was outstanding, the liability cost would have been 5.33%. Note that leverage has been removed from the Directly Held Loans bucket.
[27] 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 BXCI.
[28] Please note that the High Tech exposure is defined by Moody's as "computer hardware, software, component equipment, consumer electronics, semiconductor and contract manufacturers; Information Technology services and distributors; transaction processors." The BCF portfolio is not exposed to "start-up" type risk but rather is defensively positioned and includes established businesses with recurring revenues.
[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 BXCI. As at 30 June 2024, the top 20 issuers aggregated to 14.2% (31 December 2023: 14.7%) of the portfolio.
[30] The word "material" as used herein should not necessarily be equated to or taken as a representation about the "materiality" of such ESG factors under the US federal securities laws or any similar legal or regulatory regime globally.
[31] Deal level constant default rate
[32] While discount rates have increased since Q1 2022 due to inflationary concerns, discount rates have started to decline in line with strength in other risk asset class markets.
[33] Published NAV is an APM from which these metrics are derived.
[34] On 11 December 2023, all ordinary shares in issue were converted to redeemable shares.
[35] On 11 December 2023, all ordinary shares in issue were converted to redeemable shares.
[36] Average number of shares weighted against the effect of redemption of redeemable shares in the six months ended 30 June 2024/buybacks of ordinary shares in the six months ended 30 June 2023 (refer to Note 8 for further details).
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