Annual Financial Report

25 APRIL 2017

FOR IMMEDIATE RELEASE

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

THE BOARD OF DIRECTORS OF BLACKSTONE / GSO LOAN FINANCING LIMITED ANNOUNCE FINAL RESULTS FOR THE YEAR ENDED 31 DECEMBER 2016

THE INFORMATION CONTAINED WITHIN THIS ANNOUNCEMENT CONSTITUTES INSIDE INFORMATION.

Strategic Report

Summary of Key Financial Information

Net Asset Value

(1) Please refer to Note 15 for reconciliation of NAV to published NAV.

(2) Source: Bloomberg.

(3) Excluding 6,719,000 Euro shares held as Treasury shares as at 31 December 2016.

Dividend History

Whilst not forming part of the investment objective or policy of Blackstone / GSO Loan Financing Limited ("the Company"), dividends will be payable in respect of each calendar quarter, two months after the end of such quarter. During the first two quarters of the year, the Company targeted a dividend of €0.02 a quarter, equating to 8% annualised return (based on a placing price of €1.00 per Euro share), with the expectation of progressive growth. As announced on 2 September 2016, the Company increased this target dividend yield to an annualised rate of €0.10 per share.

Year Highs and Lows

Schedule of Investments

Schedule of Significant Transactions

CHAIR'S STATEMENT

Dear Shareholders,

Before the market could fully wind down for the holiday season, there were still several important hurdles to clear in December, including key central bank meetings and important political events. The markets certainly passed the Italian referendum test, though largely priced in, and the Austrian election went against the recent populist trend. We received the second Fed rate hike since the financial crisis and the European Central Bank's ("ECB") tapering announcement kept the bond market on its toes. Inflationary pressures are rising; input and output prices are accelerating which, coupled with the oil rally, are putting upward pressure on the Consumer Price Index. Persisting rate volatility will be an important market theme in 2017, in our view.

Performance was strong across the board in the credit market. US senior loans returned 9.88%, registering the best year since 2010. High yield bonds outperformed senior loans, returning 18.37% - their best year since 2009. The risk-on trade clearly rewarded investors in 2016.

The European speculative-grade markets closed 2016 on a solid note but lagged their US counterparts after outperforming in 2015. European loans gained 6.52% and European high yield bonds returned 9.63% over the year. Despite the region's underperformance, returns have been remarkably consistent.

Net Asset Value ("NAV")

The Company delivered a total NAV return per Euro share of 13.28% in 2016, finishing the year with a NAV per Euro share at €1.0238.

The Company paid four dividends in respect of the reporting period ended 31 December 2016, equating to an 8.5% return (based on a placing price of €1.00). Details of all dividend payments can be found within the Summary of Key Financial Information section at the front of this Annual Report.

The Company increased its target dividend per share on 2 September 2016 to a €0.025 quarterly dividend, with the first increase reflected in the dividend payment made on 18 November 2016.

Discount Management

The Euro shares finished the year at a discount to NAV of 1.10%. As a Board, we regularly weigh the balance between maintaining liquidity of the Euro shares and the desire of Shareholders to see the Euro shares trade as closely as possible to their intrinsic value.

On 1 June 2016 the Board announced that it would be buying back shares in the market with a view to reducing the discount. It did so under the general authority conferred by the Company's Shareholders at its Annual General Meeting on 18 June 2015. The purchased shares were held in treasury. Further details on the share repurchase programme can be found in the Executive Summary.

Placing Programme 2016 - 2017

On 31 March 2016, the Company published a prospectus in connection with a 12-month placing programme. In response to demand from investors, the Company announced, on 21 February 2017, its intention to issue new Euro shares in the Company. The placing occurred through the Company's joint brokers, Fidante Partners Europe Limited and Nplus1 Singer Advisory LLP (together the "Joint Brokers"), and a total of 71,380,746 Euro shares were issued. All Euro shares were admitted to trading on The International Stock Exchange ("TISE") (formerly the Channel Islands Securities Exchange) and to trading on the Specialist Fund Segment of the London Stock Exchange on 10 March 2017. The Company subsequently issued a further two million Euro shares.

The Directors continue to monitor ongoing demand for the Company's shares and will look to issue further Euro shares when circumstances permit.

Sale of Treasury Shares

On 29 March 2017, the Company sold 6,719,000 Euro shares held in treasury. Following sale of the Euro shares held in treasury, the Company had 404,700,446 Euro shares in issue with no shares in treasury.

The Board

Good governance remains at the heart of our work as a Board and is taken very seriously. We believe that the Company maintains high standards of corporate governance. The Board was very active during the year, convening a total of 30 Board meetings and 27 Committee meetings. In addition, as can be seen from the corporate activity during the year, the Board and its advisers have worked hard to ensure the continued success and growth of the Company in order to allow it to be in the best position to take advantage of all appropriate opportunities.

The work of the Board is assisted by the Audit Committee, the Management Engagement Committee, the NAV Review Committee, the Remuneration and Nomination Committee and the Risk Committee. The joint work of the Risk and Audit committees has given valuable support to the longer-term viability considerations of the Board as described in the Executive Summary.

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

The Board works closely with Blackstone / GSO Debt Funds Management Europe Limited (the "Adviser") in monitoring Blackstone / GSO Corporate Funding Designated Activity Company ("BGCF") to achieve a high standard of governance.

Shareholder Communications

During 2016, working with our Adviser and Joint Brokers, we have continued our programme of engagement with current and prospective Shareholders. I sincerely hope that you found the monthly factsheets and other information valuable. We are always pleased to have contact with Shareholders and we welcome any opportunity to meet with you and obtain your feedback.

BrexitAs the Company is incorporated under the laws of Jersey, and its functional currency is Euro, it is not anticipated that the triggering of Article 50 by the United Kingdom to exit the European Union ("Brexit") will have a significant impact on the Company's operations in the short term. However, it is acknowledged that Brexit could have macro-economic implications in due course and, as such, the potential impact of outcomes from Brexit negotiations will be carefully monitored to identify and mitigate any potential negative ramifications for the Company.

Prospects and Opportunities in 2017

Looking towards 2017 there continues to be some macro themes that may affect the global credit markets. I consider central bank action to be one of the significant factors driving markets, and any outsized change in major economy interest rates could trigger a ripple effect across asset prices.

The Board believes that senior secured loans in the US and Europe still offer attractive risk adjusted yields. Over the last three years, senior secured loans have experienced lower volatility returns compared to high yield bonds, and have strong downside protection.(4)

The Board is pleased that the Company is well positioned in its exposure to loans and CLOs through its investment in BGCF.

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

Charlotte ValeurChair25 April 2017

4 Source: CS Suisse Western European Leveraged - First Lien Loan Index, CS Leveraged Loan Index, CS Western European High Yield Index, CS US High Yield Index as at 31 December 2016.

Adviser's Review

Investment Adviser's Report for year ended 31 December 2016

We are pleased to present our review of 2016 and outlook for 2017.

During the year, the Company delivered a total NAV return per Euro share of 13.28% and increased its annual target dividend to €0.10 per share from €0.08 per share.

In addition, BGCF mandated three CLO transactions and retained €99 million par value of CLO Income Notes of these transactions, bringing the total of the retained CLO Income Note portfolio to €294 million par value.

Bank Loan Market Overview (5)

The European senior loan market returned 6.52% in 2016 as the chase for yield in European credit markets continued. Lower-rated loans outperformed again, with the Lower Tier (CCC, Split CCC and Default) of the Credit Suisse Western European Leveraged Loan Index ("CS European Loan Index"), returning 36.43% while Middle Tier loans (Split BB, B and Split B) and Upper Tier loans (Split BBB and BB) gained 6.44% and 5.11% respectively.

New-issue volume reached €71 billion surpassing 2015's volume of €63 billion. While gross new-issue volume appears high, almost €30bn relates directly to repriced loans. The lack of new, net paper hitting the market, coupled with strong liquidity from rising repayment levels and healthy CLO issuance, has continued to support secondary levels and compressed spreads in the primary market.

As quarterly repayments rose to a two and a half year high of €13.7 billion, the bid in the secondary market was well supported by investors looking to deploy capital. The CS European Loan Index closed the year at a 19-month high of 97.58. The 3-year discount margin tightened 9bps to 522bps, a 16-month low and more than 100bps below the February highs. The secondary rally was more pronounced in high yield, where the CS Western European High Yield Index climbed 60bps to 100.35, over 7 points higher than the February lows. Spread compression and a back-up in rates, however, have many participants cautious on the 2017 outlook for the asset class.

Corporate fundamentals continue to be supportive. In 2016 we saw an uptick in first-lien issuance used to take out second-lien debt, resulting in an increase in first-lien leverage from 4.25x to 4.45x while total leverage marginally fell from 4.96x to 4.93x. The average equity cushion is rising for European LBO transactions, which provides some reassurance for investors. Indeed, the average equity contribution in 2016 was 49.19%, compared with 43.18% for 2015 deals.

CLO Market Overview (6)

With an impressive end to the year, global CLO issuance surpassed the 2016 issuance projections. The US market saw $72 billion of issuance through 156 CLOs, versus 2015's $98.7 billion through 191 CLOs. In Europe, CLO managers issued €16.8 billion through 41 transactions, which not only surpassed the €13.8 billion / 34 deals issued in 2015 but also represented the third highest year of issuance since 2001. Strategists anticipate 2017 CLO issuance to remain in line with 2016 and generally forecast $50-75 billion of issuance in the US and €15-20 billion in Europe.

In addition to primary issuance, the CLO market was vigorously working to refinance and reset outstanding deals. During 2016, refinancing / reset volume totalled $42.4 billion in the US and €3.6 billion in Europe. Activity was heavily weighted to the fourth quarter, where 77% of US and 92% of European transactions occurred.

CLO liability costs generally tightened across both the US and European primary market throughout the year. New issue AAA spreads reached Libor + 141bps in the US and Euribor + 96bps in Europe by year-end. In the secondary market, CLO equity valuations increased significantly, with the average US CLO post-crisis equity price gaining 135% and average European post-crisis equity up 8.8% in 2016. Discount Margins ("DMs") also tightened globally across the capital structure, with both US and European post crisis CLO tranches trading at or near their 52-week lows.

Portfolio Update

During 2016, BGCF invested in €2.04 billion of loans and established three European CLOs, from which it retained a total €99 million par value of CLO Income Notes. In addition to this, BGCF invested in two USD warehouses and took a minority piece of the equity in one USD CLO.

All the investments made have been consistent with our strategy of principal preservation and minimising credit-related losses, while generating stable returns through income and capital appreciation.

As at 31 December 2016, the portfolio was invested in line with BGCF's investment policy, diversified across 64 issuers held through the direct loan portfolio, 439 issuers through the CLO portfolio, and across 18 countries and 28 different industries. No individual borrower represented more than 2% of the overall portfolio.

Key Portfolio Statistics(7)

Top 10 Holdings(7)

Top 5 Industries(7)

Top 5 Countries(7)

Outlook

We believe the most important theme for the European credit markets is the overwhelmingly strong technical backdrop. We continue to see strong institutional inflows into managed accounts and appetite for CLO liabilities from investors remains robust. With volatility in rates, we think sponsors may favour issuance in the loan market and we have already seen an increased preference for loans over bonds.

Over the course of 2016, central banks, particularly those in Europe, added significantly to their monetary accommodation. The ECB and Bank of England lowered rates and instituted corporate bond buying programs, in addition to other measures. In turn, this kept sovereign yields low across the curve and deepened the bid for higher yield products like senior loans and high yield bonds. Furthermore, the central banks are participating in the corporate bond market directly as opposed to limiting their influence to indirect measures such as low interest rates that incentivise investors to take more risk. Through 2016, the ECB purchased €51.2bn of corporate bonds. The Bank of England also launched its own corporate bond program in September.

Over the medium term we expect the strong technicals to continue to support valuations in the European credit markets but we are monitoring developments that could disrupt this calm. Central banks have acknowledged the limits of an extraordinary monetary policy. For example, negative interest rates may be impairing the financial sector's ability to aid the economy's recovery. In addition, central banks are running low on sufficiently high-quality assets to purchase. Outside of monetary policy, the political landscape remains highly uncertain with Britain having notified the European Union of its intention to leave the Union, followed by UK, French, German and Dutch elections in 2017.

In the meantime we believe senior loans are well positioned, providing investors with yield and relative performance stability. High yield bonds should also continue to benefit from negative interest rates but provide yields similar to senior loans with more risks, in our view.

Risk Management

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

BGCF's portfolio of loans and CLO Income Notes is managed so as to minimise default risk and credit related losses, which is achieved through in-depth fundamental credit analysis and diversifying the portfolio so as to avoid the risk of any one issuer or industry adversely impacting overall returns. As outlined in the portfolio update section, BGCF is broadly diversified across issuers, industries and countries.

BGCF's base currency is 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 BGCF. BGCF 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 / GSO Debt Funds Management Europe Limited

25 April 2017

(5) Source: S&P LCD, Credit Suisse.

(6) Source: JPMorgan, S&P/LCD, Wells Fargo.

(7) As at 31 December 2016.

Executive Summary

Principal Activities

The Company was incorporated on 30 April 2014 as a closed-ended investment company limited by shares under the laws of Jersey and is authorised as a listed fund under the Collective Investment Funds (Jersey) Law 1988. The Company continues to be registered and domiciled in Jersey and the Company's Euro shares are quoted on the Specialist Fund Segment ("SFS") of the London Stock Exchange ("LSE") and on The International Stock Exchange ("TISE") (formerly known as the Channel Islands Securities Exchange).

The Company's share capital consists of an unlimited number of shares. As at 31 December 2016, the Company's issued share capital consisted of 324,600,700 Euro shares and 6,719,000 Euro shares held in treasury ("Treasury shares").

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 by the Company. The Company also holds 295,083,704 Class B Cash Settlement Warrants (the "CSWs") issued by the Lux Subsidiary.

On 20 December 2016, the 15 Class B2 shares held in BGCF were redeemed. The proceeds were invested in new CSWs issued by the Lux Subsidiary and subsequently in new PPNs issued by BGCF. Please refer to the Schedule of Significant Transactions above for further details.

Significant Events during the Year

BNP Paribas Securities Services S.C.A. (the "Administrator", the "Company Secretary", the "Custodian") took up their appointment as administrator, company secretary and custodian to the Company on 1 January 2016 replacing State Street Fund Services (Jersey) Limited and State Street Custodial Services (Jersey) Limited.

On 3 February 2016, the Luxembourg restructuring took place. This comprised the Company transferring its entire holding of Euro PPNs to the Lux Subsidiary. The transfer was undertaken in two tranches:

i. In the first tranche the Company transferred Euro PPNs with a principal amount of €2,011,299 (together with any accrued but unpaid interest) in consideration for 1,980,000 Class A shares and 1 Class B share in the Lux Subsidiary;

ii. In the second tranche the Company transferred Euro PPNs with a principal amount of €313,918,227 (together with any accrued but unpaid interest) in consideration for 309,033,367 B Warrants issued by the Lux Subsidiary.

On 29 February 2016, the Company's Shareholders approved amendments to the Company's Investment Objective and Policy. The amendments provide the Company greater flexibility by:

i. Permitting investment in all debt tranches of CLOs and in Loan Warehouses (the previous investment objective and policy only permitted investment in CLO Income Notes); and

ii. Enabling the Company to invest by way of exposure (directly and indirectly) to one or more Risk Retention Companies.

On 29 February 2016, the Company's Shareholders approved the disapplication of pre-emption rights for the issue of up to 500 million shares by the Company without having previously offered such shares to Shareholders on a pre-emptive basis.

On 31 March 2016, the Company published a Prospectus in connection with a 12-month placing programme in respect of up to 500 million Placing Shares, which could be issued as either Euro Shares or US Dollar Shares.

On 25 April 2016, the Company published a Supplementary Prospectus following the publication of the Company's and BGCF's annual report and audited financial statements for the year ended 31 December 2015.

On 1 June 2016, the Company announced that, under the general authority to buy back shares as conferred by the Company's Shareholders at its Annual General Meeting on 18 June 2015, it intended to buy back shares in the secondary market using available cash.

The table below outlines the shares repurchased during the year ended 31 December 2016:

The total cost of the above-mentioned share repurchases was €6,284,476.

On 29 February 2016 and 29 June 2016, the Company's Shareholders approved new Articles of Association in substitution for, and to the exclusion of, the existing Articles of Association. The administrative changes allowed the Directors (at their discretion) to determine that the Annual Report and Half Yearly Report of the Company shall be published on a website notified to Shareholders with effect from 29 February 2016 rather than being sent by post. In addition, other amendments were made to the existing Articles which are intended to reflect recent legislative amendments to the Companies Law.

The amendments made also included provisions to:

i. enable the establishment of separate accounts as between different classes of Shares (as contemplated in the prospectus of the Company dated 31 March 2016);

ii. permit the conversion of shares of one class to another class; and

iii. permit borrowings by the Company and its subsidiary pursuant to intragroup loan arrangements from time to time.

In December 2016, the Company further invested in the Lux Subsidiary through the purchase of an additional 18 million CSWs at a cost of €18 million. This investment was funded from the €15 million received from the cancellation of the 15 Class B2 shares in BGCF and €3 million of unused funds from the share repurchase programme. The Lux Subsidiary simultaneously made an additional investment in PPNs issued by BGCF for an amount of €18 million.

A detailed review of the business of the Company is included in the Adviser's review.

Investment Objective

The Company's investment objective is to provide Shareholders with stable and growing income returns, and to grow the capital value of the investment portfolio by exposure predominantly to floating rate senior secured loans directly and indirectly through CLO Securities and investments in Loan Warehouses. The Company seeks to achieve its investment objective through exposure (directly or indirectly) to one or more risk retention companies or entities established from time to time ("Risk Retention Companies").

Investment Policy

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

The Risk Retention Companies will use the proceeds from the issue of the profit participating instruments (or similar securities) together with the proceeds from other funding or financing arrangements it has in place currently or may have in the future to invest predominantly in: (i) senior secured loans, CLO Securities and Loan Warehouses; or (ii) other Risk Retention Companies which, themselves, invest predominantly in senior secured loans, CLO Securities and Loan Warehouses. The Risk Retention Companies may invest predominantly in European or US senior secured loans, CLO Securities, Loan Warehouses and other assets in accordance with the investment policy of the Risk Retention Companies. Investments in Loan Warehouses, which are generally expected to be subordinated to senior financing provided by third-party banks ("First Loss"), will typically be in the form of an obligation to purchase preference shares or a subordinated loan. There is no limit on the maximum US or European exposure. The Risk Retention Companies are not expected to invest substantially directly in senior secured loans domiciled outside North America or Western Europe.

The Company's investment strategy is to implement its investment policy by investing, through the Risk Retention Companies, in a portfolio of predominantly senior secured loans or in Loan Warehouses containing predominantly senior secured loans and, in connection with such strategy, to own debt and equity tranches of CLOs and be the risk retention provider in each.

The Risk Retention Companies may periodically securitise a portion of the loans into CLOs which may be managed either by such Risk Retention Company itself, by Blackstone / GSO Debt Funds Management Europe Limited ("DFME") or GSO / Blackstone Debt Funds Management LLC ("DFM") (or one of their affiliates), in its capacity as the CLO Manager. The Risk Retention Companies will retain exposures of each CLO, which may be held as:

i. CLO Income Notes equal to: (i) between 51% and 100% of the CLO Income Notes issued by each such CLO in the case of European CLOs; or (ii) CLO Income Notes representing at least 5% of the credit risk relating to the assets collateralising the CLO in the case of US CLOs (each of (i) and (ii), (the "horizontal strip"); or

ii. Not less than 5% of the principal amount of each of the tranches of CLO Securities in each such CLO (the "vertical strip").

In the case of deals structured to be compliant with the US risk retention rules, the retention by a Risk Retention Company may be structured as a combination of horizontal strip and vertical strip.

To the extent attributable to the Company, the value of the CLO Income Notes retained by Risk Retention Companies in any CLO will not exceed 25% of the NAV of the Company at the time of investment.

Further, to the extent attributable to the Company, the aggregate value of investments made by Risk Retention Companies in vertical strips of CLOs (net of any directly attributable financing) will not exceed 15% of the NAV of the Company at the time of investment. This limitation shall apply to Risk Retention Companies in aggregate and not to Risk Retention Companies individually.

Loan Warehouses may eventually be securitised into CLOs managed either by a Risk Retention Company itself or by DFME or DFM (or one of their affiliates), in its capacity as the CLO Manager. To the extent attributable to the Company, the aggregate value of investments made by Risk Retention Companies in any single externally financed warehouse (net of any directly attributable financing) shall not exceed 20% of the NAV of the Company at the time of investment, and in all externally financed warehouses taken together (net of any directly attributable financing) shall not exceed 30% of the NAV of the Company at the time of investment. These limitations shall apply to Risk Retention Companies in aggregate and not to Risk Retention Companies individually.

The following limits (the "Eligibility Criteria") apply to senior secured loans (and, to the extent applicable, other corporate debt instruments) directly held by any Risk Retention Company (and not through CLO Securities or Loan Warehouses):

For the purposes of these Eligibility Criteria, "gross asset value" shall mean gross assets including any investments in CLO Securities and any undrawn commitment amount of any gearing under any debt facility. Further, for the avoidance of doubt, the "maximum exposures" set out in the Eligibility Criteria shall apply on a trade date basis.

Each of these Eligibility Criteria will be measured at the close of each Business Day on which a new investment is made, and there will be no requirement to sell down in the event the limits are breached at any subsequent point (for instance, as a result of movement in the gross asset value, or the sale or downgrading of any assets held by a Risk Retention Company).

In addition, each CLO in which a Risk Retention Company holds CLO Securities and each Loan Warehouse in which a Risk Retention Company invests will have its own eligibility criteria and portfolio limits. These limits are designed to ensure that: (i) the portfolio of assets within the CLO meets a prescribed level of diversity and quality as set by the relevant rating agencies rating securities issued by such CLO, or (ii) in the case of a Loan Warehouse, that the warehoused assets will eventually be eligible for a rated CLO. The CLO Manager will seek to identify and actively manage assets which meet those criteria and limits within each CLO or Loan Warehouse. The eligibility criteria and portfolio limits within a CLO or Loan Warehouse may include the following:

· A limit on the weighted average life of the portfolio;

· A limit on the weighted average rating of the portfolio;

· A limit on the maximum amount of portfolio assets with a rating lower than B-/B3/B-; and

· A limit on the minimum diversity of the portfolio.

CLOs in which a Risk Retention Company may hold CLO Securities or Loan Warehouses in which a Risk Retention Company may invest are also expected to have certain other criteria and limits, which may include:

· A limit on the minimum weighted average of the prescribed rating agency recovery rate;

· A limit on the minimum amount of senior secured assets;

· A limit on the maximum aggregate exposure to second lien loans, high yield bonds, mezzanine loans and unsecured loans;

· A limit on the maximum portfolio exposure to covenant-lite loans;

· An exclusion of project finance loans;

· An exclusion of structured finance securities;

· An exclusion on investing in the debt of companies domiciled in countries with a local currency sub investment grade rating; and

· An exclusion of leases.

This is not an exhaustive list of the eligibility criteria and portfolio limits within a typical CLO or Loan Warehouse and the inclusion or exclusion of such limits and their absolute levels is subject to change depending on market conditions. Any such limits applied shall be measured at the time of investment in each CLO or Loan Warehouse.

The Company will not utilise borrowings for investment purposes. However, the Directors will be permitted to borrow up to 10% of the NAV for day-to-day administration and cash management purposes. For the avoidance of doubt, this limit only applies to the Company and not the Risk Retention Companies.

The Company may use hedging or derivatives (both long and short) for the purposes of efficient portfolio management. It is intended that up to 100% (as appropriate) of the Company's currency exposure to non-Euro assets will be hedged, subject to suitable hedging contracts being available at appropriate times and on acceptable terms.

Any material change to the investment policy of the Company would be made only with the approval of Shareholders.

It is intended that the investment policy of each Substantial Risk Retention Company will mirror the Company's investment policy, subject to such additional restrictions as may be adopted by a Substantial Risk Retention Company from time to time. The Company will receive periodic reports from each Substantial Risk Retention Company in relation to the implementation of such Substantial Risk Retention Company's investment policy to enable the Company to have oversight of its activities. If a Substantial Risk Retention Company proposes to make any changes (material or otherwise) to its investment policy, the Directors will seek Shareholder approval of any changes which are either material in their own right or, when viewed as a whole together with previous non-material changes, constitute a material change from the published investment policy of the Company. If Shareholders do not approve the change in investment policy of the Company such that it is once again materially consistent with that of such Substantial Risk Retention Company, the Directors will redeem the Company's investment in such Substantial Risk Retention Company (either directly or, if the Company's investment in a subsidiary is invested by such subsidiary in such Substantial Risk Retention Company (either directly or through one or more other Risk Retention Companies), by redeeming the securities held by the Company in such subsidiary and procuring that the subsidiary redeems its investment in such Substantial Risk Retention Company (either directly or through one or more other Risk Retention Companies)), as soon as reasonably practicable but at all times subject to the relevant legal, regulatory and contractual obligations.

Investment Strategy

Whether the senior secured loans or other assets are held directly by BGCF or via CLO Income Notes, it is BGCF's intention that, in both cases, the portfolios will be actively managed (by BGCF or the CLO Manager, as the case may be) to minimise default risk and potential loss through comprehensive credit analysis performed by BGCF (including via the service support provided to it under the Portfolio Service Support Agreement) or the CLO Manager (as applicable).

Whilst the intention is to pursue an active, non-benchmark total return strategy, the Company is cognisant of the positioning of the loan portfolios against relevant indices. Accordingly, BGCF will track the returns and volatility of such indices, while seeking to outperform them on a consistent basis. In-depth, fundamental credit research dictates name selection and sector over-weights/under-weights relative to the benchmark, backstopped by constant portfolio monitoring and risk oversight. BGCF will typically look to diversify its portfolios to avoid the risk that any one obligor or industry will adversely impact overall returns. BGCF also places an emphasis on loan portfolio liquidity to ensure that if its credit outlook changes, it is free to respond quickly and effectively to reduce or mitigate risk in its portfolio. The Company believes this investment strategy will be successful in the future as a result of its emphasis on risk management, capital preservation and fundamental credit research. The Directors believe the best way to control and mitigate risk is by remaining disciplined in market cycles, by making careful credit decisions and maintaining adequate diversification.

Principal Risks and Uncertainties

Each Director is aware of the risk 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.

The Directors have carried out a robust assessment of the principal risks facing the Company, an overview of which, along with the applicable mitigants put in place, is set out below:

Key Performance Indicators

The Directors consider the key performance indicators for the Company to be:

i. Net asset value, NAV per Euro share and NAV total return per Euro share

Each month the NAV Review Committee reviews and compares the performance of the portfolio and the subsequent total net assets of the Company, NAV per Euro share and NAV total return per Euro share.

The Company is targeting a mid-teen total return over the medium term which is intended to be delivered through a combination of dividend payments and capital appreciation.

The NAV total return per Euro share has increased by 21.58% from inception.

ii. Quarterly dividends

The Company targeted a dividend in respect of the period from 1 January 2015 to 30 June 2016 equating to an 8% annualised return and thereafter 2.5% a quarter equating to a 10% annualised return (in each case, based on a placing price of €1.00 per share).

In respect of the period from 1 July 2016 to 31 December 2016 the Company paid a dividend of €0.025 per quarter (equivalent to a 10% annualised return).

iii. The premium/discount at which the Company's Euro shares trade

The Board monitors the share price of the Company's Euro shares and the prevailing premium or discount.

Further information on the above key performance indicators can be found under Summary of Key Financial Information.

Future Developments

It is the Board's intention that the Company will pursue its investment objective and investment policy as detailed in the Executive Summary. Further comments on the outlook for the Company for the coming 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 Adviser's Review.

Management Arrangements

The Company is a self-managed company. DFME acts as Adviser to the Company and, pursuant to the Advisory Agreement, provides advice and assistance to the Company in connection with its subscriptions in the CSWs. BNP Paribas Securities Services S.C.A. acts as Administrator, Company Secretary and Custodian to the Company.

The Board and Employees

The Board currently comprises two male and two female Directors. The Company has no employees and therefore there is nothing further to report in respect of gender representation within the Company.

Full details of the Company's policy on Board Diversity can be found in the Corporate Governance Report.

Environmental, Employee, Social, Community and Human Rights Matters

The Company is a closed ended investment company with no employees, and therefore its environmental impact is minimal. The Board notes that the companies in which BGCF invests may have a social, employee, community and human rights impact of which the Board has no visibility or control.

Going Concern

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

Viability Statement

The Directors have assessed the prospects of the Company over the four-year period to 24 April 2021. As detailed below, in determining this period, the Directors have considered the impact that various severe scenarios might have on the Company's cash flow and its ability to meet its liabilities. The Directors have also considered the market conditions, the Company's current position, investment objective and strategy, the performance of the Adviser and the principal risks of the Company as detailed in the Executive Summary.

BGCF's portfolio comprises the following categories of investments: (i) CLO Debt and CLO Income Notes securitised by BGCF, (ii) a portfolio of predominantly senior secured loans and (iii) preference shares. The CLO investments in the portfolio have a non-call period of approximately two years and cannot be redeemed until these expire.

In conjunction with the Adviser, the Directors have considered the impact that extreme market scenarios could have on BGCF. The risk of a CLO default was also considered and it was noted that, if this did occur, it would be very unlikely to be a sudden event and ordinarily sufficient forewarning would be provided through the downgrading of the CLO credit prior to it entering a default.

The Directors also considered the other principal risks concerning unfavourable changes to global credit markets, including political risks and that of Brexit, or regulatory, legal, tax and other compliance risks and the failure of service providers, especially that of the Adviser. Whilst each of these risks are a principal risk and could have an impact on the long term sustainability of the Company, the Directors concluded that each was sufficiently mitigated and would therefore not impact the viability of the Company over a four-year period.

On the basis of the above, and in the absence of any unforeseen circumstances, the Directors confirm that they have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the four-year period of their assessment. However, it is worth noting that there is no intention for the life of the Company to be limited to this four-year period.

Director Biographies

All the Directors are non-executive. The Directors appointed to the Board as at the date of this Annual Report and Financial Statements are:

Charlotte Valeur

Position: Chair of the Board and of the Remuneration and Nomination Committee

Date of appointment: 13 June 2014

Charlotte Valeur has more than 30 years of experience in financial markets and is the managing director of GFG Ltd, a governance consultancy company.

She currently serves as a non-executive director on the boards of listed and unlisted companies including chair of Kennedy Wilson Europe Real Estate Plc, a London-listed FTSE250 REIT, and of DW Catalyst Ltd, a LSE-listed investment company; a non-executive director of JP Morgan Convertible Bond Income Fund, a LSE-listed investment company; and a non-executive director of NTR Plc, a renewable energy company.

Ms Valeur was the founding partner of Brook Street Partners in 2003 and the Global Governance Group in 2009. Prior to this, Ms Valeur worked in London as a director in capital markets at Warburg, BNP Paribas, Société Générale and Commerzbank, beginning her career in Copenhagen with Nordea A/S. She is a member of the Institute of Directors and is regulated by the Jersey Financial Services Commission.

With significant experience in international corporate finance, Ms Valeur has a high level of technical knowledge of capital markets, especially debt / fixed income. Her non-executive board roles at a number of companies and her work as a governance consultant have provided her with an excellent understanding and experience of boardroom dynamics and corporate governance.

Philip Austin MBE

Position: Director

Date of appointment: 13 June 2014

Philip Austin spent most of his career in banking with HSBC and worked at a senior level in retail, commercial, corporate, credit and head office. In 1993 he moved to Jersey where, from 1997 to 2001, he was deputy chief executive of the bank's business in the offshore islands - Jersey, Guernsey and the Isle of Man.

In 2001, Mr Austin became the founding CEO of Jersey Finance Ltd, the body set up as a joint venture between the government of Jersey and its finance industry, to represent and promote the industry at home and abroad. In 2006, Mr Austin joined Equity Trust as CEO of its businesses in Jersey and Guernsey. Mr Austin left Equity Trust in 2009 to set up a portfolio of non-executive directorships. These positions currently include City Merchants High Yield Trust Ltd, Royal London Asset Management (CI) Ltd and Jersey Electricity Plc. His first-hand experience of running financial services businesses and his tenure of a number of non-executive directorships of listed companies has provided him with a strong understanding of regulatory and governance requirements.

Mr Austin is a Fellow of the Chartered Institute of Bankers and a Fellow of the Chartered Management Institute. In January 2016 he was awarded an MBE in the Queen's New Year's Honours list.

Gary Clark, ACA

Position: Chair of the Audit Committee and NAV Review Committee

Date of appointment: 13 June 2014

Gary Clark acts as an independent non-executive director for a number of boards, including Emirates NBD Fund Managers (Jersey) Limited and Emirates Portfolio Management PCC. Until 1 March 2011 he was a managing director at State Street and their head of Hedge Fund Services in the Channel Islands. Mr Clark, a Chartered Accountant, served as chairman of the Jersey Funds Association from 2004 to 2007 and was managing director at AIB Fund Administrators Limited when it was acquired by Mourant in 2006. This business was sold to State Street in 2010. Prior to this Mr Clark was managing director of the futures broker, GNI (Channel Islands) Limited in Jersey.

A specialist in alternative investment funds, Mr Clark was one of several practitioners involved in a number of significant changes to the regulatory regime for funds in Jersey, including the introduction of both Jersey's Expert Funds Guide and Jersey's Unregulated Funds regime.

Joanna Dentskevich

Position: Chair of the Risk Committee

Date of appointment: 13 June 2014

Joanna Dentskevich has over 25 years of risk, finance and investment banking experience gained in leading global banks worldwide, alternative investments and the offshore fiduciary industry. Ms Dentskevich moved to Jersey in 2008 and as well as running her risk management advisory company sits on the boards of a number of other investment and financial services companies.

Previously, Ms Dentskevich has been a director of risk at Morgan Stanley and Deutsche Bank and chief risk officer at a London-based hedge fund.

Ms Dentskevich has a BSc Hons in Maths & Accounting and is a Chartered Member of the Chartered Institute of Securities & Investment.

Directors' Report

The Directors present the annual report and audited financial statements for the Company for the year ended 31 December 2016.

Directors

The names of the persons who were Directors at any time during the year are set out in the "Director Biographies" section of this annual report. Details of Directors' interests in shares can be found in the Directors' Remuneration Report.

Share Capital

The Company's share capital consists of an unlimited number of shares. As at 31 December 2016, the Company's issued share capital consisted of 324,600,700 Euro shares excluding 6,719,100 Treasury shares (31 December 2015: 331,319,700 Euro shares).

Share Repurchase Programme

At the 2015 Annual General Meeting ("AGM"), held on 18 June 2015, the Directors were granted authority to repurchase 49,664,823 Euro shares (being equal to 14.99% of the aggregate number of Euro shares in issue at the date of the AGM) for cancellation or to be held as Treasury shares.

Under this authority, from 1 June 2016 to 23 June 2016, the Company has repurchased 6,719,000 Euro shares for a total cost of €6,284,476.

At the 2016 AGM, held on 29 June 2016, the Directors were granted authority to repurchase 48,657,645 Euro shares (being equal to 14.99% of the aggregate number of Euro shares in issue at the date of the AGM) for cancellation or to be held as treasury shares.

This authority, which has not been used, will expire at the upcoming AGM. The Directors intend to seek annual renewal of this authority from Shareholders.

Shareholders' Interests

As at 31 December 2016, the Company had been notified in accordance with Chapter 5 of the Disclosure Guidance and Transparency Rules (which covers the acquisition and disposal of major shareholdings and voting rights), of the following Shareholders that had an interest of greater than 5% in the Company's issued share capital:

Between 31 December 2016 and 24 April 2017, the following notifications were received:

* Notification received on 13 February 2017

** Notification received on 7 March 2017

Statement of Disclosure of Information to the Auditor

The Directors who held office at the date of approval of this Directors' Report confirm that, so far as they are each aware, there is no relevant audit information of which the Company's auditors are unaware and that they have taken the steps that they ought to have taken as Directors to make themselves aware of any relevant audit information and to establish that the Company's auditors are aware of that information.

Greenhouse Gas Emissions

Please refer to the paragraph titled "Environmental, Employee, Social, Community and Human Rights Matters" within the Strategic Report.

Events since Year End

Dividends

On 20 January 2017, the Company declared a dividend of €0.025 per Euro share in respect of the period from 1 October 2016 to 31 December 2016. This dividend was paid on 24 February 2017 to Shareholders on the register as at the close of business on 3 February 2017.

On 24 April 2017, the Company declared a dividend of €0.025 per Euro share in respect of the period from 1 January 2017 to 31 March 2017. This dividend will be paid on 26 May 2017 to Shareholders on the register as at the close of business on 5 May 2017, and the corresponding ex-dividend date will be 4 May 2017.

Placing under Placing Programme

On 21 February 2017, the Company announced its intention to issue new Euro shares in the Company in response to current demand from investors, under the placing programme by way of a placing of new shares, as detailed in the Company's Prospectus dated 31 March 2016.

On 3 March 2017, the Company announced that the placing had closed, raising €72.8 million (before costs and expenses) through the issue of 71,380,746 new Euro shares of no par value at a price of €1.02 per share. The placing price represented a premium of approximately 2% to the unaudited NAV of 31 January 2017, adjusted for the dividend declared on 20 January 2017, which was for the period from 1 October 2016 to 31 December 2016.

On both the 8 March 2017 and the 14 March 2017, the Company announced that it had issued 1,000,000 new Euro shares of no par value at a placing price of €1.03 per share raising €1.03 million (before costs and expenses) to satisfy continued investor demand. The placing price represented a premium of approximately 3% to the unaudited NAV as at 31 January 2017, which was for the period from 1 October 2016 to 31 December 2016.

On 29 March 2017, the Company announced the sale of 6,719,000 Euro shares out of treasury at a price of €1.0304 per share. The sale raised gross proceeds of €6,923,258 and settlement took place on 31 March 2017.

All Euro shares issued subsequent to 31 December 2017 will be eligible for the dividend payable in respect of the period from 1 January 2017 to 31 March 2017.

Charlotte Valeur

Chair

25 April 2017

Corporate Governance Report

Statement of Compliance with Corporate Governance

The Company, being traded on the SFS rather than having a Premium Listing on the Official List of the UKLA, is not subject to Listing Rule 9.8.6 which requires companies to report against the UK Corporate Governance Code (the "UK Code").

However, recognising the importance of sound corporate governance, the Board has voluntarily committed to comply with both the UK Code and the AIC Code of Corporate Governance for Jersey-domiciled member companies as published by the Association of Investment Companies in July 2016 (the "AIC Code") by reference to the AIC Corporate Governance Guide for Investment Companies (the "AIC Guide").

Having considered the principles and recommendations of the AIC Code, the Board believes the AIC Code addresses all of the principles set out in the UK Code as well as additional principles and recommendations on issues that are of specific relevance to the Company and will provide better information to Shareholders.

The Board can therefore confirm that during the year ended 31 December 2016, the Company has complied with the recommendations of the AIC Code and the relevant provisions of the UK Code as detailed below.

For the reasons set out in the AIC Guide and given the size and nature of operations of the Company, in that it is a self-managed investment fund with no executive employees and that the providers of outsourced services have their own internal audit functions, the Board considers the below provisions of the UK Code not to be relevant and therefore has not reported further on them:

i. The role of the Chief Executive;

ii. Executive directors' remuneration; and

iii. The need for an internal audit function.

The Company will provide details in the future if it considers them to be relevant.

Copies of the AIC Code, the AIC Guide and the UK Code can be found on the respective organisations' websites theaic.co.uk and frc.org.uk.

The Board

The Board consists of four non-executive directors, the biographies of whom can be found in the Director Biographies section.

The Board meets at least four times a year and is in regular contact with the Adviser, the Administrator and the Company Secretary. Furthermore, the Board is supplied with information in a timely manner from the Adviser, the Company Secretary and other advisers in a form and of a quality appropriate for it to be able to discharge its duties.

Duties and Responsibilities

The Board has overall responsibility for maximising the Company's success by directing and supervising the affairs of the business and meeting the appropriate interests of Shareholders and relevant stakeholders, while enhancing the value of the Company and also ensuring the protection of investors. A summary of the Board's responsibilities is as follows:

i. Statutory obligations and public disclosure;

ii. Strategic matters and financial reporting;

iii. Risk assessment and management including reporting, compliance, governance, monitoring and control; and

iv. Other matters having a material effect on the Company.

The Board is responsible to Shareholders for the overall management of the Company. The Board has delegated the day-to-day operational activities of the Company to the Adviser, Administrator and Company Secretary. The Board reserves the powers of decisions relating to the determination of investment policy, the approval of changes in strategy, capital structure, statutory obligations, public disclosure and the entering into any material contracts by the Company.

Board Attendance

The following table shows the number of meetings held by the Board and each committee for the year ended 31 December 2016, as well as the number of attendances at each meeting.

Chair

The Chair is responsible for leadership of the Board, ensuring its effectiveness on all aspects of its role and setting its agenda. The Chair is also responsible for ensuring that the Directors receive accurate, timely and clear information and for effective communication with Shareholders.

Board Independence

For the purposes of assessing compliance with principle 1 and 2 of the AIC Code, the Board considers all of the current Directors as independent of the Company's Adviser. However, Mr Austin is a director of Blackstone / GSO Debt Funds Europe Limited, which is an affiliate of the Adviser, and, as such, is deemed not to be independent under the UKLA Listing Rules.

The Directors consider that there are no factors, as set out in principle 1 or 2 of the AIC Code, which compromise their independence, other than stated above, and that they all contribute to the affairs of the Company in an adequate manner. The Board reviews the independence of all Directors annually. The Company Secretary acts as secretary to the Board and Committees and, in doing so, assists the Chair in ensuring that all Directors have full and timely access to all relevant documentation, organises induction of new Directors, is responsible for ensuring that the correct Board procedures are followed and advises the Board on corporate governance matters.

Board Evaluation

An external independent Board and Committee evaluation was undertaken by Value Alpha during the course of the year.

The evaluation consisted of:

· Observation of Board and Committee meetings;

· Extensive interviews with each of the Directors and Company Secretary and a meeting with the Adviser; and

· A feedback session with the Directors.

The interviews were conducted by means of a questionnaire which established the views of Directors on a number of issues associated with Director and Board effectiveness. The interviews collected both quantitative and qualitative data and were conducted on a confidential basis.

The evaluation considered the Board's balance of skills, experience, independence and knowledge, as well as its diversity, including gender, how the Board works together as a unit, and other factors relevant to its effectiveness.

The evaluation concluded that areas of strong performance included: the Board's oversight of strategy; its ability to deliver accountability to stakeholders, particularly its Shareholders; and exercise effective risk oversight; review its governance arrangements; and to understand the legal and regulatory context within which it operates.

The evaluation found that the Board exercised independent oversight, challenged constructively, displayed sound judgement and was versatile in being able to deal with the range of issues which came before it.

No significant recommendations were made which are required to be bought to the attention of Shareholders.

Committees of the Board

The Board has established five committees, an Audit Committee, a Management Engagement Committee, a NAV Review Committee, a Remuneration and Nomination Committee and a Risk Committee. Each committee has formally delegated duties and responsibilities within written terms of reference, which are available on the Company's website, blackstone.com/bglf, under "Terms of Reference".

Audit Committee

Mr Austin has the right to attend all Audit Committee meetings. The terms of reference state that the Audit Committee will meet not less than three times a year and will meet the Auditor at least once a year. The report on the role and activities of this committee and its relationship with the Auditor is contained in the Audit Committee Report.

Management Engagement Committee

The terms of reference state that the Management Engagement Committee shall meet not less than once a year and will have responsibility for monitoring and reviewing the Adviser's performance and will recommend to the Board whether the continued appointment of the Adviser is in the best interests of the Company and Shareholders.

NAV Review Committee

The terms of reference state that the NAV Review Committee shall meet at least one a month to review and consider the Company's NAV calculation, fact sheet and applicable stock exchange announcements.

Remuneration and Nomination Committee

The terms of reference state that the Remuneration and Nomination Committee will meet not less than twice a year and shall be responsible for all aspects of the appointment and remuneration of Directors. The remuneration duties of the committee include determining and agreeing with the Board the framework or broad policy for the remuneration of the Directors and to review its ongoing appropriateness and relevance.

The nomination duties of the committee include regularly reviewing the structure, size and composition of the Board, including the balance of skills, experience, independence and knowledge on the Board, as well as identifying, nominating and recommending, for approval of the Board, candidates to fill Board vacancies as they arise.

Director Re-Election and Tenure

The Remuneration and Nomination Committee has considered the question of a policy on Board tenure. It is strongly committed to striking the correct balance between the benefits of continuity and those that come from the introduction of new perspectives to the Board. As provided for in the AIC Code and in order to phase future retirements and appointments, as all the Directors were appointed at the same time, the Board has not at this stage adopted any specific limits to terms, but expects to rotate Board members over the coming years. The Board has adopted a policy whereby all Directors will be put up for re-election every year. Accordingly, all Directors will be put forward for re-election at the forthcoming AGM. Each of the Directors has demonstrated a strong commitment to the Company and the Board believes each Director's re-election will be in the best interest of the Company.

Risk Committee

The terms of reference state that the Risk Committee shall meet at least four times a year. The activities of this committee are outlined in the Risk Committee Report.

Board Diversity

The Board believes in and values the importance of a broad range of skills, experience and diversity, including gender, for the effective functioning of the Board, all of which are considered when determining the optimum composition of the Board.

Internal Controls

The Board has applied principle 15 of the AIC Code by establishing a continuous process for identifying, evaluating and managing the significant risks that the Company faces and as such regularly reviews the process put in place from the start of the reporting period to the date of approval of this report. The Board is responsible for the Company's system of internal control and for reviewing its effectiveness. Such a system is designed to manage rather than eliminate the risk of failure to achieve business objectives, and can only provide reasonable and not absolute assurance against material misstatement or loss.

In compliance with principle 15 of the AIC Code, the Board regularly reviews the effectiveness of the Company's system of internal control. The Board's monitoring covers all controls, including financial, operational and compliance controls and risk management. It is based principally on reviewing reports from the Adviser and BGCF to consider whether significant risks are identified, evaluated, managed and controlled and whether any significant weaknesses are promptly remedied and indicate a need for more extensive monitoring. The Board has also performed a specific assessment for the purpose of this report. This assessment considers all significant aspects of internal control arising during the period covered by the report. The Audit Committee assists the Board in discharging its review responsibilities.

During the course of its review of the system of internal control, the Board has not identified nor been advised of any failings or weaknesses which it has determined to be significant. Therefore, a confirmation in respect of necessary actions has not been considered appropriate.

The Board is also responsible for setting the overall investment policy and monitors the services provided by the Adviser at regular Board meetings. The Board receives regular compliance reports from the Adviser, the Administrator and the Company Secretary.

The Directors clearly define the duties and responsibilities of their agents and advisers, whose appointments are made after due consideration, and monitor their ongoing performance. All of the Company's agents and advisers maintain their own systems of internal control on which they report to the Board. The systems are designed to ensure effectiveness and efficient operation, internal control and compliance with laws and regulations. In establishing the systems of internal control, regard is paid to the materiality of relevant risks, the likelihood of costs being incurred and costs of control. It follows, therefore, that the systems of internal control can only provide reasonable but not absolute assurance against the risk of material misstatement or loss.

The Directors are satisfied that the continued appointment of the relevant service providers are in the best interests of the Shareholders.

The Board has reviewed the need for an internal audit function and has decided that the systems and procedures employed by the Administrator and Adviser, including their own internal controls and procedures, provide sufficient assurance that a sound system of risk management and internal control, to safeguard the Shareholders' investment and the Company's assets, is maintained. An internal audit function specific to the Company is therefore considered unnecessary. Full details are set out in the Audit Committee Report.

The Company has appointed Fidante Partners Europe Limited (trading as Fidante Capital) and Nplus 1 Singer Advisory LLP as its Joint Brokers. Together with these parties, the Adviser assists the Board in communicating with the Company's major Shareholders.

On 9 June 2016, the Company appointed BNPP as its depositary for the purposes of Article 36 of the Alternative Investment Fund Managers Directive ("AIFMD").

Risk Committee Report

Membership

The Risk Committee was established on 2 October 2014 and comprises Ms Dentskevich (Chair), Mr Austin,

Mr Clark and Ms Valeur.

Key Objectives

The Risk Committee has been established to assist the Board in its oversight of risk through ensuring the Company maintains a high standard of risk identification, monitoring and management so as to minimise investment and any non-financial risks not covered by the Audit Committee.

Responsibilities

During 2016, the Risk Committee reviewed its mandate to ensure effective operation in conjunction with the Audit Committee, and as a result, its key responsibilities, amongst others, remain:

· ensuring the Company's compliance with its investment objectives, policies, restrictions and borrowing limits;

· ensuring that appropriate policies and reporting exists for the monitoring of the Company's key risks;

· developing and ensure a risk register documenting identified risks, their mitigants, likelihood and impact is maintained, reviewed regularly by the Board with action points and newly identified risks being appropriately dealt with;

· defining risk review activities regarding investment decisions, transactions and exposures for approval by the Board; and

· ensuring due regard is given to all regulations, codes, and laws that the Company is subject to.

Committee Meetings

In 2016, the Risk Committee met on four occasions to consider: risk reporting and monitoring, including the risk register; newly identified risks, their impact and required mitigants; the integration of any new service provider such as our Administrator and Depositary; the Board's risk appetite; and Principal Risks and Viability Statement.

Risk Monitoring

Being internally managed, the Company is responsible for both portfolio and risk management. However, due to the nature of the investment and the limited ability to look through, traditional market and credit risk techniques do not apply at the Company level.

Investment risk management and monitoring, to ensure the successful pursuance of our investment objective, is therefore mainly through the Company's monthly NAV reporting process and the monitoring of investment restrictions and eligibility criteria as carried out by our Depositary.

During the year, our auditors carried out a review of DFME's operating and control framework outlining their business structure, governance (including compliance monitoring), roles and responsibilities and a detailed description of the key control procedures. This was done at our request to obtain further assurance on the soundness of both DFME's control environment and the reporting received, partly due to the Luxembourg restructuring and amendments to the Company's Investment Objective and Policy, as stated in the Executive Summary. This document will form part of the basis of the Directors' due diligence visit to DFME planned for 2017.

Risk Register and Risk Appetite Statement

The Risk Committee has also spent time introducing a methodology that will allow the Board to relate its significant residual risks to their potential impact on the Company's strategy, the relevance and effectiveness of the mitigants in place and the Company's risk appetite.

The result of this work has been the Risk Appetite Statement which, whilst still in development, is now being used to drive the Risk Committee agenda, aid identification of new risks and areas needing further attention and for ongoing consideration of Principal Risks. This oversight has certainly helped highlight key concerns around the integration of the structural and investment objective changes into all our service provider's processes, controls and reporting.

Conclusion

In 2016, the Company's second full year of operation, the Committee, with the support of its advisors and Administrator, worked hard to ensure all the progress made during the year was successfully and fluidly integrated into day-to-day processes.

Joanna Dentskevich

Risk Committee Chair

25 April 2017

Statement of Directors' Responsibility

The Directors are responsible for preparing the Annual Report and Financial Statements, in accordance with applicable laws and regulations.

The Companies Law requires the Directors to prepare financial statements for each financial year which give a true and fair view of the state of affairs of the Company at the end of the year and of the profit or loss of the Company for that year. Under the Companies Law the Directors have prepared the Company's financial statements in accordance with the Disclosure Guidance and Transparency Rules ("DTR") of the Financial Conduct Authority and with International Financial Reporting Standards ("IFRS"), as adopted by the European Union (the "EU").

In preparing these financial statements, the Directors are required to:

· Select suitable accounting policies and then apply them consistently;

· Make judgements and estimates that are reasonable and prudent;

· State whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the financial statements; and

· Prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for keeping proper books of account that disclose with reasonable accuracy at any time the financial position of the Company, and enable them to ensure that its financial statements are prepared in accordance with applicable IFRS as adopted by the EU and comply with the Companies Law, as amended. They are also responsible for safeguarding the assets of the Company. They have general responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities.

Legislation in Jersey concerning the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Each of the Directors, whose names are listed above, confirms that, to the best of that Director's knowledge and belief:

· The financial statements, prepared in accordance with IFRS as adopted by the EU, give a true and fair view of the assets, liabilities and financial positions of the Company as at 31 December 2016, and its profits for the year then ended;

· The Strategic Report and the Directors' Report include a fair review of the information required by DTR 4.1.8 (indication of important events up to 31 December 2016 and a description of principal risks and uncertainties);

· The Strategic Report and the Directors' Report include a fair review of the information required by DTR 4.1.9 and 4.1.10 (analysis of the development and performance of the Company aided by the use of key performance indicators; and, where appropriate, information relating to environmental factors);

· The Strategic Report and the Directors' Report include a fair review of the information required by DTR 4.1.11 (disclosure of important events that have occurred after 31 December 2016; future developments; financial risk management objectives and policies and Company exposure to price, credit, liquidly and cash flow risk); and

· The annual report and financial statements, taken as a whole, provide the information necessary to assess the Company's performance, position, business model and strategy and are fair, balanced and understandable.

Directors' Remuneration Report

Dear Shareholder,

This report provides relevant information in respect of the Directors' remuneration.

Directors' Remuneration

The Directors' remuneration for the year is as follows:

Mr Clark and Ms Dentskevich receive an additional fee of £5,000 for the additional responsibilities and time commitment involved in chairing the Audit and Risk Committees respectively.

The Directors received a one off payment fee of £10,000 each (31 December 2015: £Nil) due to the additional work carried out during the year as a result of the Luxembourg restructuring and the publication of the prospectus.

Directors' remuneration is payable quarterly in arrears in Sterling.

No other remuneration or compensation was paid or is payable by the Company during the year to any of the Directors. There has been no change to the Company's remuneration policy as detailed below.

The Company has no employees; accordingly, there is no difference in policy on the remuneration of Directors and the remuneration of employees. No Director is entitled to receive any remuneration which is performance-related.

Remuneration Policy

Directors' fees are determined by the Remuneration and Nomination Committee under the terms of the remuneration policy (the "Remuneration Policy") approved on 16 April 2015, as derived from the Company's Articles of Association.

No Director is involved in deciding their own remuneration and remuneration received reflects their duties, responsibilities and the value of the Directors' time. As such the Remuneration Policy allows for the Chairs of the Board, the Audit Committee and the Risk Committee to receive additional remuneration.

The Company does not provide pensions or other retirement or superannuation benefits, death or disability benefits, or other allowances or gratuities to the Directors or specified connected parties. The Remuneration Policy also prohibits payments to a Director for loss of office or as consideration for, or in connection with, his retirement from office. Whilst the Remuneration Policy permits part of their fee to be paid in the form of fully-paid up shares in the capital of the Company, the Directors' fees are not currently paid this way.

In addition, the Remuneration Policy allows for up to £5,000 per Director per year for reasonable travelling, hotel and other expenses incurred in the course of performing their duties or from their performance of a special service on behalf of the Company.

The limit for the aggregate fee payable to the Directors is £300,000 per annum.

Directors' Interests

The Directors held the following number of Euro shares in the Company:

Service Contracts and Policy on Payment of Loss of Office

No Director has a service contract with the Company. The Directors have each entered into a letter of engagement with the Company setting out the terms of their appointment. Directors' appointments may be terminated at any time by giving three month's written notice with no compensation payable upon leaving office for whatever reason.

Charlotte ValeurRemuneration and Nomination Committee Chair25 April 2017

Audit Committee Report

The Audit Committee comprises all Directors with the exception of Mr Austin. The Chair of the Audit Committee has recent and relevant financial experience in accounting. The Audit Committee as a whole has competence relevant to the sector in which the Company operates.

In addition to these formal meetings, the Audit Committee has worked with the Adviser and Auditor to document and assess the operations and controls of BGCF to assess in particular what reliance the Audit Committee can place on the control environment. The Chair has also had a number of discussions with the Auditors, the Adviser and the Administrator around the annual audit process and both the Company's and BGCF's reporting and control of expenditure.

Role of the Audit Committee

The function of the Audit Committee is to ensure that the Company maintains high standards of integrity, financial reporting and internal controls.

The Audit Committee's main roles and responsibilities include, but are not limited to, the following:

i. Monitoring the integrity of the financial statements;

ii. Report to the Board on any significant financial reporting issues and judgements;

iii. Reviewing and monitoring the effectiveness of the Company's risk management and internal control arrangements;

iv. Monitoring the statutory audit of the annual accounts of the Company and its effectiveness;

v. Reviewing the external auditor's performance, independence and objectivity;

vi. Making recommendations to the Board in relation to the appointment, re-appointment and/or removal of the external auditor, the approval of the external auditor's remuneration and the terms of the engagement;

vii. Implementing policies surrounding the engagement of the external auditor to supply non-audit services, where appropriate;

viii. Reviewing and challenging where necessary significant accounting policies and practices; and

ix. Reporting to the Board on how it has discharged its responsibilities.

How the Audit Committee Has Discharged Its Responsibilities

The Audit Committee met six times during the year. Representatives of the Company's Auditor and the Administrator were invited to the meetings as appropriate.

Monitoring the Integrity of the Financial Statements Including Significant Judgements

i. We reviewed the Company's 2016 Half Yearly and Annual Reports prior to discussion and approval by the Board, and the significant financial reporting issues and judgements which they contain and reviewed the external auditor's reports thereon; and

ii. We reviewed the appropriateness of the Company's accounting principles and policies, and monitored changes to, and compliance with, accounting standards on an ongoing basis.

After the year end we had further meetings and

i. We reviewed, prior to making any recommendations to the Board, the Annual Report and Audited Financial Statements for the year ended 31 December 2016. In undertaking this review, we discussed with the Auditor, the Adviser and the Administrator the critical accounting policies and judgements that have been applied.

The Auditor reported to the Committee on any misstatements that they had found during the course of their work and confirmed that under ISA (UK and Ireland) no material amounts remained unadjusted.

As requested by the Board, we also reviewed the Annual Report and are able to confirm to the Board that, in our view, the Annual Report, taken as a whole, was fair, balanced and understandable and provided the information necessary for Shareholders to assess the Company's position, performance, business model and strategy.

Significant Accounting Matters

During the year the Committee considered key accounting issues, matters and judgements regarding the Company's financial statements and disclosures including those relating to:

Assessment of Risks and Uncertainties

The risks associated with the Company's financial instruments, as disclosed in the financial statements, particularly in Note 10, represent a key accounting disclosure. The Audit Committee and the Risk Committee critically review, on the basis of input from the Service Providers, the process of ongoing identification and measurement of these risks disclosures.

Other Accounting Matters

During the year, the Committee received communications from the Service Providers and from the Auditor on other accounting matters including tax, audit fees, anti-money laundering procedures and a representation letter.

Risk Management and Internal Controls

The Board as a whole is responsible for the Company's system of internal controls; however, the Audit Committee assists the Board in meeting its obligations in this regard. The daily operational activities of the Company were delegated to the Service Providers and as a result the Company has no direct internal audit function and instead places reliance on the external and internal audit controls applicable to the Service Providers as regulated entities. However, the Audit Committee receives confirmations from the Service Providers that no material issues have arisen in respect of the system of internal controls and risk management operated within the Company's Service Providers. The Committee confirms that this is an ongoing process in order to manage the significant risks faced by the Company. We deem that, to date, there are no significant issues in this area which need to be brought to your attention.

External Audit

It is the responsibility of the Audit Committee to monitor the performance, independence, objectivity and re-appointment of Deloitte. The Audit Committee met with the Auditor to consider the audit strategy and plan for the audit. The audit plan for the reporting period was reviewed, including consideration of the key financial statement and audit risks, to seek to ensure that the audit was appropriately focused.

The Auditor attends the Audit Committee meetings throughout the year, which allows the opportunity to discuss any matters the auditor may wish to raise without the Adviser or other Service Providers being present. Deloitte provides feedback at each Audit Committee meeting on topics such as the key accounting matters, mandatory communications and the control environment.

Deloitte was formally appointed as the Company's auditor for the 2014 period end audit following a competitive tender process during 2014. The lead audit partner is rotated every five years to ensure continued independence and objectivity.

The Audit Committee continues to be satisfied with the performance of the Auditor. We have therefore recommended to the Board that the Auditor, in accordance with agreed terms of engagement and remuneration, should continue as the Company's auditor at the forthcoming Annual General Meeting. Accordingly a resolution proposing the reappointment of Deloitte as the Company's auditor will be put to the Shareholders at the 2017 AGM.

In advance of the commencement of the annual audit, the Audit Committee reviewed a statement provided by the Auditor confirming their independence within the meaning of the regulations and professional standards. In addition, in order to satisfy itself as to the Auditor's independence, the Audit Committee undertook a review of the auditor compensation and the balance between audit and non-audit fees.

The Audit Committee has agreed the types of permitted and non-permitted ongoing non-audit services and those which require explicit prior approval. During the year, Deloitte were contracted to provide services related to the interim financial statements, US tax compliance, tax advisory services and as reporting accountants with respect to the prospectus issuance, the control environment and the Board's ability to rely thereon. The value of non-audit services provided by Deloitte and charged in the period amounted to approximately €323,608. The overall quantum of non-audit services and the one-off fees incurred for this work in 2016 in these roles is material to the overall audit fee. This has been considered, including the role of the respective engagement teams and the independence of individuals from the audit engagement team, and the Audit Committee is satisfied that the auditors have acted in an independent and professional manner.

A member of the Audit Committee will be available to Shareholders at the forthcoming AGM of the Company to answer any questions relating to the role of the Audit Committee.

Gary ClarkAudit Committee Chair25 April 2017

Independent Auditor's Report to the Members of Blackstone / GSO Loan Financing Limited

We agreed with the Audit Committee that we would report to the Committee all audit differences in excess of €132,000 (2015: €130,000), as well as differences below that threshold that, in our view, warranted reporting on qualitative grounds. We also report to the Audit Committee on disclosure matters that we identified when assessing the overall presentation of the financial statements.

Andrew Isham

for and on behalf of Deloitte LLP

Chartered Accountants and Recognized Auditor

St. Helier

Jersey, UK

25 April 2017

Statement of Financial Position

These financial statements were authorised and approved for issue by the Directors on 25 April 2017 and signed on their behalf by:

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

Statement of Comprehensive Income

The Company has no items of other comprehensive income, and therefore the profit for the year 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 year.

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

Statement of Changes in Equity

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

Statement of Cash Flow

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

Notes to the Financial Statements

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 Euro shares were admitted to trading on the SFS of the LSE on 23 July 2014 and from 17 April 2015 to TISE.

The Company's investment objective is to provide Shareholders with stable and growing income returns, and to grow the capital value of the investment portfolio by exposure predominately to floating rate senior secured loans directly and indirectly through CLO Securities and investments in loan warehouses. The Company seeks to achieve its investment objective solely through exposure (directly or indirectly) to one or more risk retention companies or entities established from time to time ("Risk Retention Companies").

At 31 December 2016, all shares in issue were Euro shares. The Company may issue one or more additional classes of shares in accordance with the Articles of Association.

The Company's registered address is Liberté House, 19-23 La Motte Street, St Helier, Jersey, JE2 4SY, Channel Islands.

In July 2015, upon advice, the Company resolved to change its structure. Accordingly, on 23 July 2015, a wholly owned Luxemburg subsidiary, Blackstone / GSO Loan Financing (Luxembourg) S.à r.l. (the "Lux Subsidiary"), was incorporated with an issued share capital of 20,000 Class A shares held by the Company. Subsequently, the 15 Class B2 BGCF shares held in Blackstone / GSO Loan Financing 2 Limited (the "Subsidiary") were transferred to the Company and the Subsidiary was dissolved on 23 December 2015.

On 3 February 2016, the Luxembourg restructuring took place. This comprised the Company transferring its entire holding of unsecured Profit Participating Notes ("PPNs") to the Lux Subsidiary. The transfer was undertaken in two tranches:

i. In the first tranche, the Company transferred Euro PPNs with a principal amount of €2,011,299 (together with any accrued but unpaid interest) in exchange for 1,980,000 Class A shares and 1 Class B share in the Lux Subsidiary;

ii. In the second tranche the Company transferred Euro PPNs with a principal amount of €313,918,227 (together with any accrued but unpaid interest) in exchange for 309,033,367 CSWs issued by the Lux Subsidiary.

On 20 December 2016, the 15 Class B2 BGCF shares were redeemed by BGCF. The proceeds were invested in new CSWs issued by the Lux Subsidiary and subsequently in new PPNs issued by BGCF.

2 Significant accounting policies

The Annual Report and Financial Statements ("Annual Report") are prepared in accordance with the Disclosure Guidance and Transparency Rules of the Financial Conduct Authority and with International Financial Reporting Standards ("IFRS") as adopted by the European Union, which comprise standards and interpretations approved by the International Accounting Standards Board ("IASB"), and interpretations issued by the International Financial Reporting Standards and Standing Interpretations Committee as approved by the International Accounting Standards Committee ("IASC") which remain in effect. The financial statements give a true and fair view of the Company's affairs and comply with the requirements of the Companies (Jersey) Law 1991.

The accounting policies in respect of financial instruments are set out below in Note 2.7 respectively due to the significance of financial instruments to the Company. In addition, please refer to Note 2.11 for details of the impact of IFRS 10 "Consolidated Financial Statements" ("IFRS 10") on the presentation of the results of the Company as a result of the Luxembourg restructuring.

The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all years presented.

The Company's financial statements have been prepared on a historical cost basis, except for financial instruments measured at fair value through profit or loss.

The Company's functional currency is the Euro, which is the currency of the primary economic environment in which it operates. The Company's performance is evaluated and its liquidity is managed in Euros. Therefore, the Euro is considered as the currency that most faithfully represents the economic effects of the underlying transactions, events and conditions. The financial statements are presented in Euros, except where otherwise indicated.

The financial statements have been prepared on a going concern basis. The disclosures with respect to the Directors' assessment on the use of the going concern basis are provided in the Executive Summary.

Income receivable and payable on cash and cash equivalents is recognised separately through profit or loss in the Statement of Comprehensive Income, on an effective interest rate yield basis.

The shares of the Company are classified as equity based on the substance of the contractual arrangements and in accordance with the definition of equity instruments under IAS 32 "Financial Instruments: Presentation" ("IAS 32").

The proceeds from the issue of shares are recognised in the Statement of Changes in Equity, net of the incremental issuance costs.

Expenses are charged through profit or loss in the Statement of Comprehensive Income on an accruals basis.

Cash comprises current deposits with banks.

Cash equivalents are short term, highly liquid investments that are readily convertible to known amounts of cash and are subject to an insignificant risk of changes in value. They are held for the purpose of meeting short term cash commitments rather than for investments or other purposes. Cash equivalents are revalued at the end of the reporting period using market rates and any increases / decreases are recognised in the Statement of Comprehensive Income. There were no such holdings during the year ended 31 December 2016 (31 December 2015: € Nil).

Financial assets and financial liabilities are recognised when the Company becomes a party to the contractual provisions of the instruments.

(a) Classification

The Company classifies its investments in accordance with IAS 39 Financial Instruments: Recognition and Measurement ("IAS 39") as financial assets at fair value through profit or loss. These are financial instruments held for investment purposes. Financial assets also include cash and cash equivalents and other receivables.

Financial assets designated at fair value through profit or loss at inception

Financial assets designated at fair value through profit or loss at inception are financial instruments that are not classified as held for trading but are managed, and their performance is evaluated on a fair value basis in accordance with the Company's documented investment strategy.

The Company's policy requires the Adviser and the Board to evaluate the information about these financial assets on a fair value basis together with other related financial information.

(b) Recognition, measurement and derecognition 

Purchases and sales of investments are recognised on the trade date - the date on which the Company commits to purchase or sell the investment. Financial assets designated at fair value through profit or loss are measured initially and subsequently at fair value. Transaction costs are expensed as incurred and movements in fair value are recorded in the Statement of Comprehensive Income.

Financial assets are derecognised when the rights to receive cash flows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership.

(c) Fair value estimation

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 at the measurement date.

As at 31 December 2016, the Company held 295,083,704 CSWs, 2,000,000 Class A shares and 1 Class B share issued by the Lux Subsidiary (the "Investments") (31 December 2015: 311,012,708 PPNs and 15 Class B2 shares issued by BGCF and 20,000 Class A shares in the Lux Subsidiary). These Investments are not listed or quoted on any securities exchange, are not traded regularly and on this basis no active market exists. The Company is not entitled to any voting rights in respect of the Lux Subsidiary by reason of their ownership of the CSWs.

The fair value of the CSWs is based on the NAV of the Lux Subsidiary which is based substantially in turn on the NAV of BGCF attributable to the PPNs. The fair values of the Class A and Class B shares held in the Lux Subsidiary are deemed to approximate to their cost.

(d) Valuation process

The Directors have held discussions with third party providers of BGCF in order to gain comfort around the valuation of the assets in the BGCF portfolio and through this, the valuation of the CSWs and PPNs as of the Statement of Financial Position date.

The Directors, through ongoing communication with the Adviser including quarterly meetings, discuss the performance of the Adviser and the underlying portfolio and in addition review monthly investment performance reports. The Directors analyse the BGCF portfolio in terms of the investment mix in the portfolio. The Directors also consider the impact of general credit conditions and more specifically credit events in the European corporate environment on the valuation of the CSWs, PPNs and the BGCF portfolio.

The investments are valued by the Administrator based on information from the Adviser and are reviewed and approved by the Directors, taking into consideration a range of factors including the unaudited NAV of both the Lux Subsidiary and BGCF, and other relevant available information. The other relevant information includes the review of available financial and trading information of BGCF and its underlying portfolio, advice received from the Adviser and such other factors as the Directors, in their sole discretion, deem relevant in considering a positive or negative adjustment to the valuation.

The estimated fair values may differ from the values that would have been realised had a ready market existed and the difference could be material.

The fair value of the investment is assessed on an ongoing basis by the Board.

The Directors discuss BGCF's monthly valuation process to understand the methodology regarding valuation of Level 3 assets. The majority of Level 3 assets in BGCF are comprised of collateralised loan obligations (CLOs). In reviewing the fair value of these assets, the Directors look at the assumptions used and any significant fair value changes during the period under analysis.

Loan asset fair value prices used in the valuation of the BGCF portfolio are based on prices provided by Markit Group Limited ("Markit") which represent a consensus price based on an aggregation of broker quotes received. Where available, the fair value of loan assets is based on their quoted market mid prices at the period end date without any deduction for estimated future selling costs. Investments in loan assets for which Markit indicates limited broker quotes are available and for which no other evidence of liquidity exists are classified as Level 3. If a quoted market price is not available on a recognised stock exchange or from Markit for non-exchange traded financial instruments, the fair value of the instrument is estimated using the valuation techniques of the Adviser, which are discussed, reviewed and accepted by the Board of BGCF and independent service provider. These valuation techniques include use of recent arm's length market transactions, reference to the current market fair value of another instrument that is substantially the same, discounted cash flow techniques, option pricing models or any other valuation technique that provides a reliable estimate of prices obtained in actual market transactions.

The CLO subordinated notes are valued by Thomson Reuters using a mark to model approach based on discounted cash flows. The key model input assumptions are the loan prepayment rates, loan default rates, loan recovery given default rates and reinvestment rates. For the avoidance of doubt, to the extent there are market clearing levels, broker quotations or bids wanted in competition related to a CLO retention security, such data points may be considered in the selection of scenario assumptions and/or discount rates by Thomson Reuters, however, the market colour will not replace the mark to model approach outright. The CLO retention securities typically represent a controlling interest which entitles the holder to certain rights and optionality which a non-controlling interest would not benefit from. There is significant judgement and subjectivity related to the assumptions and inputs used to determine the fair values. Additionally, Thomson Reuters review each CLO indenture and the latest underlying CLO loan portfolio forming various projections based on the quality of the collateral and general macroeconomic conditions. CLOs are classified as Level 3 as certain inputs which have a substantial impact on the fair value at period end are considered unobservable.

The following table summarises the inputs and assumptions used in determining the fair value of the CLO subordinated notes held by BGCF as of 31 December 2016. The table is not meant to be all inclusive, but rather provide information on the significant Level 3 inputs as they relate to the fair value measurement of the CLO subordinated notes held by BGCF as of 31 December 2016.

Increases (decreases) in the constant default rate and discount rate in isolation would result in a lower (higher) fair value measurement. Increases (decreases) in the reinvestment spread and recovery rate in isolation would result in a higher (lower) fair value measurement. Changes in the constant prepayment rate may result in a higher or lower fair value, depending on the circumstances. Generally, a change in the assumption used for the constant default rate may be accompanied by a directionally opposite change in the assumption used for the constant prepayment rate and recovery rate.

(e) Classification

Financial liabilities include payables which are held at amortised cost using the effective interest rate method.

The effective interest method is a method of calculating the amortised cost of a financial liability and of allocating interest expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments (including all fees and points paid or received that form an integral part of the effective interest rate, transaction costs and other premiums or discounts) through the expected life of the financial liability, or where appropriate a shorter period, to the net carrying amount on initial recognition.

(f) Recognition, measurement and derecognition

Financial liabilities are measured initially at their fair value plus any directly attributable incremental costs of acquisition or issue.

Gains and losses are recognised in the Statement of Comprehensive Income when the liabilities are derecognised.

The Company derecognises a financial liability when the obligation specified in the contract is discharged, cancelled or expires.

Transactions in foreign currencies are translated at the foreign exchange rate ruling at the date of the transaction. Monetary assets and liabilities denominated in foreign currencies at the Statement of Financial Position date are translated to Euro at the foreign exchange rate ruling at that date. Foreign exchange differences arising on translation are recognised in the Statement of Comprehensive Income.

Foreign currency gains and losses are included in profit or loss on the Statement of Comprehensive Income as part of the "Realised gains on foreign exchange". There were no foreign currency gains or losses on financial assets classified at fair value through profit or loss for the year ended 31 December 2016.

Profit arising in the Company for the 2016 year of assessment will be subject to Jersey tax at the standard corporate income tax rate of 0% (31 December 2015: 0%).

Dividends to the Shareholders are recorded through the Statement of Changes in Equity when they are declared to Shareholders.

The preparation of the financial statements in conformity with IFRS requires management to make judgements, estimates and assumptions that affect items reported in the Statement of Financial Position and 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.

(a) Fair value

For the fair value of all financial instruments held, the Company determines fair values using appropriate techniques.

Refer to Note 2.7 for further details on the significant estimates applied in the valuation of the underlying financial instruments.

(b) Non-consolidation of the Lux Subsidiary undertaking

The Company meets the definition of an Investment Entity as defined by IFRS 10 and is required to account for its investment 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:

i. The Company has obtained funds for the purpose of providing investors with investment management services;

ii. 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

iii. The performance of investments made through the Lux Subsidiary are measured and evaluated on a fair value basis.

The Company has also considered the typical characteristics of an investment entity per IFRS 10 in assessing whether it meets the definition of an Investment Entity.

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 11 for further disclosures relating to the Company's interest in the Lux Subsidiary.

(b) Non-consolidation of BGCF

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:

i. The investor has existing rights that give it the ability to direct the relevant activities that significantly affect the investee's returns;

ii. The investor has exposure or rights to variable returns from its involvement with the investee; and

iii. 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 BGCF, 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 is not attributable to the Lux Subsidiary. The Lux Subsidiary does not have the ability to direct or stop investments by BGCF; therefore, it does not have the ability to control the variability of returns.

Accordingly, BGCF has been determined not to be a subsidiary undertaking as defined under IFRS 10 and the Lux Subsidiary's investment in the PPNs issued by BGCF are accounted for at fair value through profit or loss.

(c) Presentation and functional currency

As outlined in Note 2, the Directors have used their judgement to determine that the Company's presentation and functional currency is Euro.

2.12 New standards and interpretations applicable to future reporting periods

New standards, amendments and interpretations issued and effective for the financial year beginning 1 January 2016

There are no new standards, amendments or interpretations issued and effective for the financial year beginning 1 January 2016 that have a significant impact on the Company.

New standards, amendments and interpretations issued but not effective for the financial year beginning 1 January 2016 and not early adopted

IFRS 9 "Financial Instruments" ("IFRS 9"), addresses the classification, measurement and recognition of financial assets and financial liabilities and will become effective for the periods beginning on or after 1 January 2018. IFRS 9 requires financial assets to be classified into two measurement categories: those measured at fair value and those measured at amortised cost. The determination is made at initial recognition. The classification depends on the entity's business model for managing its financial instruments and the contractual cash flow characteristics of the instrument. For financial liabilities, IFRS 9 retains most of the IAS 39 requirements. The main change is that, in cases where the fair value option is taken for financial liabilities, the part of a fair value change due to an entity's own credit risk is recorded in other comprehensive income rather than the profit or loss, unless this creates an accounting mismatch. The Company is yet to assess IFRS 9's full impact.

IFRS 15 "Revenue from contracts with customers" ("IFRS 15") establishes a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. IFRS 15 will supersede the current revenue recognition guidance including IAS 18 Revenue, IAS 11 Construction Contracts and the related interpretations when it becomes effective for the periods beginning on or after 1 January 2018. The Company is yet to assess IFRS 15's full impact.

Under the administration agreement, the Administrator is entitled to receive variable fees based on the NAV of the Company for the provision of administrative and compliance oversight services and a fixed fee for the provision of company secretarial services. The overall charge for the above-mentioned fees for the Company for the year ended 31 December 2016 was €290,871 (31 December 2015: €336,477) and the amount due at 31 December 2016 was €21,996 (31 December 2015: €55,196).

The Company incurred €116,730 (31 December 2015: €100,742) in audit fees during the year of which €76,148 (31 December 2015: €80,501) was outstanding at the year end.

(1) These costs have been capitalised and are included in Other assets. Refer to Note 5 for further details.

4 Directors' fees and interests

During the year ended 31 December 2016, the Directors were each remunerated for their services at a fee of £35,000 per annum (£50,000 for the Chair). The Chairs of the Audit Committee and Risk Committee received an additional £5,000 for their services in these roles.

During the year ended 31 December 2016, the Directors received a one off payment fee of £10,000 each (31 December 2015: £Nil) due to the additional work carried out during the year as a result of the Luxembourg restructuring and prospectus.

The Company has no employees. Directors' fees payable as at 31 December 2016 were €48,325 (31 December 2015: €51,048).

No Director, except Mr Clark, had any beneficial interest in the shares of the Company during the year ended 31 December 2016. Mr Clark purchased 25,000 Euro Shares in the Company pursuant to the placing in 2014. Mr Clark purchased an additional 28,700 Euro Shares on 2 June 2016 and as at 31 December 2016 held 53,700 (31 December 2015: 25,000). Refer to Note 20 for purchases made by the Directors after the end of the reporting period.

No pension contributions were payable in respect of any of the Directors.

Mr Austin is also a Director of Blackstone / GSO Debt Funds Europe Limited, an affiliate of DFME.

5 Other receivables

The intercompany loan receivable due from the Lux Subsidiary, which related to an interest free loan in respect to working capital for setup and ongoing operating costs, was repaid in December 2016.

Other assets relate to costs incurred with respect to the prospectus. These costs will be offset against future placings.

6 Financial assets designated at fair value through profit or loss

Financial assets designated at fair value through profit or loss consists of 295,083,703 CSWs, 2,000,000 Class A shares and 1 Class B share issued by the Lux Subsidiary (31 December 2015: 315,929,526 PPNs and 15 Class B2 shares issued by BGCF and 20,000 Class A shares issued by the Lux Subsidiary).

Please refer to Note 1 for further details of the Luxembourg restructuring that took place on 3 February 2016 and the redemption of the 15 Class B2 shares that took place on 20 December 2016.

CSWs

The Company has the right, at any time during the exercise period (being the period from the date of issuance, 3 February 2016, and ending on earlier of the 3 February 2046 or the date on which the liquidation of the Lux Subsidiary is closed), to request that the Lux Subsidiary redeems all or part of the CSWs at the redemption price (see below), by delivering a redemption notice, provided that the redemption price will be due and payable only if and to the extent that (a) the Lux Subsidiary will have sufficient funds available to settle its liabilities to all other ordinary or subordinated creditors, whether privileged, secured or unsecured, prior in ranking to the CSWs, after any such payment, and (b) the Lux Subsidiary will not be insolvent after payment of the redemption price.

The redemption price is the amount payable by the Lux Company on the redemption of CSWs outstanding, which shall be at any time equal to the fair market value of the ordinary shares, (that would have been issued in case of exercise of all CSWs), as determined by the Board on a fully diluted basis on the date of redemption, less a 13.5bps margin (determined by the Board on the basis of a transfer pricing report prepared by an independent advisor), and the redemption price for each CSW shall be obtained by dividing the amount determined in accordance with the preceding sentence by the actual number of CSWs outstanding.

If at the end of any financial year there is excess cash, as determined in good faith by the Lux Subsidiary board (but for this purpose only), the Lux Subsidiary will automatically redeem, to the extent of such excess cash, all or part of the CSWs at the redemption price provided the requirements in the previous paragraph are met, unless the Company notifies the Lux Subsidiary otherwise. For the avoidance of doubt, to the extent the subscription price for the CSWs to be redeemed has not been paid at the time the CSWs were issued, the subscription price for such CSWs to be redeemed shall be deducted from the Redemption Price.

CSWs listed in an exercise notice may not be redeemed.

Class A and Class B shares held in the Lux Subsidiary

Class A and Class B shares are redeemable and have a par value of one Euro per share. Class A and Class B Shareholders have equal voting rights commensurate with their shareholding.

Class A and Class B Shareholders are entitled to dividend distributions from the net profits of the Lux Subsidiary (net of an amount equal to five per cent of the net profits of the Lux Subsidiary which is allocated to the general reserve, until this reserve amounts to ten per cent of the Lux Subsidiary nominal share capital).

Dividend distributions are paid in the following order of priority:

i. Each Class A share is entitled to the Class A dividend, being a cumulative dividend in an amount of not less than 0.10% per annum of the face value of the Class A shares.

ii. Each Class B share is entitled to the Class B dividend (if any), being any income such as but not limited to interest or revenue deriving from the receivable from the PPN's held by the Lux Subsidiary, less any non-recurring costs attributable to the Class B shares.

Any remaining dividend amount for allocation of the Class A dividend and Class B dividend shall be allocated pro rata among the Class A shares.

The Board does not expect income from the Lux Subsidiary to significantly exceed the anticipated annual running costs of the Lux Subsidiary and therefore does not expect that the Lux Subsidiary will pay significant, or any, dividends although it reserves the right to do so.

Class B2 shares held in BGCF

Class B2 shares are redeemable and have a par value of one Euro per share (and share premium of €999,999 per share). The Class B2 shares do not carry any right to receive a dividend nor have any voting rights attached. All Class B2 shares held in BGCF were redeemed on 20 December 2016. Refer to Note 1 for more details.

IFRS 13 'Fair Value Measurement' ("IFRS 13") 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, 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.

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:

(1) Investment income relates to PPN interest received from the Company's holding of PPNs in BGCF prior to the Luxembourg restructuring. Please refer to Note 1 for further details of the Luxembourg restructuring that took place on the 3 February 2016.

During the year ended 31 December 2016, there were no reclassifications between levels of the fair value hierarchy.

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:

During the year ended 31 December 2015, there were no reclassifications between levels of the fair value hierarchy.

Please refer to Note 2.7 for valuation methodology of financial assets designated at fair value through profit and loss.

The Company's investments, through the Lux Subsidiary, in BGCF are untraded and illiquid. The Board has considered these factors and concluded that there is no further need to apply a discount for illiquidity as at the end of the reporting period.

The following tables detail the investment holding of the Lux Subsidiary at the BGCF level, categorising these assets according to the fair value hierarchy in accordance with IFRS 13 and detailing the quantitative information of significant unobservable inputs of the Level 3 investments held. The disclosures have been included to provide an insight to Shareholders, of the asset class mix held by BGCF portfolio.

It is important to note that as at 31 December 2016, the Lux Subsidiary held a 73.1% (2015: 100%) interest in the PPNs issued by BGCF. The disclosures have not been apportioned according to the Lux Subsidiary's PPN holding, as the Board believes to do so would be misleading and not an accurate representation of the Company's investment in BGCF.

There were no transfers between Level 1 and Level 2 of the fair value hierarchy during the financial year.

The following table shows the movement in Level 3 of BGCF's fair value hierarchy for the year ended 31 December 2016:

The following table shows the movement in Level 3 of BGCF's fair value hierarchy for the year ended 31 December 2015:

The movement out of Level 3 represents holdings that were priced by Markit Group Limited ("Markit") as at 31 December 2015 with only one price input resulting in a fair value hierarchy classification of Level 3. However, these same holdings were priced by Markit as at 31 December 2016 with more than one price input resulting in a fair value hierarchy classification of Level 2.

BGCF's policy is to recognise transfers into and transfers out of fair value hierarchy levels as of the last day of the accounting period.

Sensitivity analysis of Level 3 assets is performed at BGCF's level since that has a direct impact on the valuation of the Company's Level 3 holdings.

A number of holdings in BGCF's portfolio as at 31 December 2016 were priced using Markit where the input into the Markit price was only one price so they were classified as Level 3. These loan assets are not modelled on analysts' prices but are from dealers' runs; therefore, there are no unobservable inputs into the prices. The CLO Income Notes were priced by Thomson Reuters and were classified as Level 3 as this is a single pricing source. The CLO prices are determined independently by consideration of several factors including the following: loan prepayment rates, discount rates, loan default rates, loan recovery given default rates, recovery lag and reinvestment rates. These factors are highly sensitive, and variations may materially affect the fair value of BGCF's asset.

The assets classified as Level 3 represented 46.7% (31 December 2015: 57.3%) of BGCF's total financial assets. If the price of the holdings classified as Level 3 increased or decreased by 5% it would result in an increase or decrease in the value of BGCF's financial assets of €14,497,728 (2.34% of BGCF's total financial assets) (31 December 2015: €9,254,529 (2.87% of BGCF's total financial assets)). There also would be an equal and opposite effect on the valuation of the PPNs (3.21%) (31 December 2015: (2.98%)).

The CLO Income Notes are valued by Thomson Reuters. The key model input assumptions are the loan prepayment rates, discount rates, loan default rates, loan recovery given default rates, recovery lag and reinvestment rates. These metrics are accumulated from various market sources independent of DFME. Additionally, Thomson Reuters review each CLO indenture and the latest underlying CLO loan portfolio forming various projections based on the quality of the collateral, the collateral manager capabilities and general macroeconomic conditions.

The financial liabilities of BGCF at fair value through profit or loss consist of the PPNs. The PPNs are valued using a model based on the fair value of the underlying assets and liabilities. The amortised cost of the variable funding notes and cash and cash equivalents and receivables and payables included in the underlying assets and liabilities equate to their fair value due to the floating interest rates and short term nature of the balances. If the value of the underlying assets or liabilities changes then there would be an equal and opposite effect on the valuation of the PPNs - as discussed in the previous paragraph.

The elements of debt (CLO Income Notes) issued by BGCF's subsidiaries and purchased by BGCF are valued by Thomson Reuters. If the valuation had increased or decreased by 5% the value of the CLO Income Notes would move by €13,583,883 (31 December 2015: €8,555,110).

7 Cash and cash equivalents

Cash and cash equivalents are held with the Custodian.

8 Payables

9 Stated capital

The authorised share capital of the Company is represented by an unlimited number of shares at no par value.

Pursuant to this authority, a total of 6,719,000 Euro shares were purchased during the year and held as Treasury shares as detailed below:

This authority was renewed at the 2015 AGM, held on 29 June 2016, when Shareholders gave the Directors authority to make one or more on-market purchases, up to a maximum of 48,657,645 shares. This authority will expire at the 2017 AGM. Please refer below for further details regarding share buybacks.

As at 31 December 2016, the Company had 324,600,700 Euro shares (31 December 2015: 331,319,700) in issue, excluding 6,719,000 Treasury shares (31 December 2015: Nil).

Holders of Euro shares participate in the profits of the Company. Shareholders have the right to attend, speak and vote at any general meetings of the Company in accordance with the provisions of the Articles of Association and have one vote in respect of each whole share held.

Dividends

The Company may, by ordinary resolution, declare dividends in accordance with the respective rights of the Shareholders, but no such dividend shall exceed the amount recommended by the Directors. The Directors may pay fixed rate and interim dividends.

A general meeting declaring a dividend may, upon the recommendation of the Directors, direct that payment of a dividend shall be satisfied wholly or partly by the issue of shares or the distribution of assets and the Directors shall give effect to such resolution.

Except as otherwise provided by the rights attaching to or terms of issue of any shares, all dividends shall be apportioned and paid pro rata according to the amounts paid on the shares during any portion or portions of the period in respect of which the dividend is paid. No dividend or other monies payable in respect of a share shall bear interest against the Company.

The Directors may deduct from any dividend or other moneys payable to a Shareholder all sums of money (if any) presently payable by the holder to the Company on account of calls or otherwise in relation to such shares.

Any dividend unclaimed after a period of 10 years from the date on which it became payable shall, if the Directors so resolve, be forfeited and cease to remain owing by the Company.

The dividends declared by the Board during the year are detailed above.

Please refer to Note 20 for dividends made after the year end.

Share buybacks

The Board intends to seek annual renewal of this authority from the Shareholders at the Company's AGM, to make one or more on-market purchases of shares in the Company for cancellation or to be held as Treasury shares.

The Board may, at its absolute discretion, use available cash to purchase Euro shares in issue in the secondary market at any time.

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, be applied to the Shareholders equally pro rata to their holdings of shares.

The Company is closed-ended and has no externally imposed capital requirements.

The Company's objectives for managing capital are:

i. To invest the capital in investments meeting the description, risk exposure and expected return indicated in its prospectus;

ii. To achieve consistent returns while safeguarding capital by investing via the Lux Subsidiary in BGCF;

iii. To maintain sufficient liquidity to meet the expenses of the Company and to meet dividend commitments; and

iv. To maintain sufficient size to make the operation of the Company cost efficient.

Please refer to Note 10C Liquidity Risk for further discussion on capital management, particularly on how the distribution policy is managed.

10 Financial risk management

The Company is exposed to market risk (including interest rate risk, currency risk and price risk), credit risk and liquidity risk arising from the financial instruments it holds.

Market risk is the risk that the Company's performance will be adversely affected by changes in the markets in which it invests. The Company holds three investments in the Lux Subsidiary in the form of CSWs, Class A and Class B shares. The CSWs are the main driver of the Company's performance. The Lux Subsidiary holds one investment in BGCF in the form of PPNs. The PPNs are the main driver of the Lux Subsidiary's performance. The performance of the PPNs is driven solely by the underlying portfolio of BGCF and therefore consideration of the risks to which BGCF is exposed to have also been made.

BGCF invests predominantly in below investment grade senior secured loans domiciled in Western Europe and/or North America. As such, the Company through its holding in the Lux Subsidiary and BGCF could be particularly exposed to any deterioration in the current European and/or American economic climates.

BGCF is subject to investment limits when it holds senior secured loans directly in its portfolio. BGCF also invests in CLOs with each CLO being subject to investment limits. These investment limits amongst others relate to the number of positions held by obligor, industry sector, credit rating and weighted average life and rating of the portfolio.

Financial market disruptions may have a negative effect on the valuations of BGCF's investments and, by extension, on the NAV of the Lux Subsidiary and the Company and/or the market price of the Company's Euro shares, and on liquidity events involving BGCF's investments. Any non-performing assets in BGCF's portfolio may cause the value of BGCF's portfolio to decrease and, by extension, the NAV of the Lux Subsidiary and the Company. Adverse economic conditions may also decrease the value of any security obtained in relation to any of BGCF's investments.

A sensitivity analysis is shown below disclosing the impact on the NAV of the Company, if the fair value of the Company's investment in the Lux Subsidiary at the year-end increased or decreased by 5%:

The calculations are based on the investment valuation at the Statement of Financial Position date and are not representative of the period as a whole, and may not be reflective of future market conditions.

i. Interest rate risk

Interest rate movements affect the fair value of investments in fixed interest rate securities and floating rate loans and on the level of income receivable on cash deposits.

The following tables detail the Company's interest rate risk as at 31 December 2016 and 31 December 2015: