Side Pockets - May 2021 report SCBADAGIO & SCBMBOND

23 June 2021

As SCB Asset Management Company Limited (SCBAM) previously announced on the closure of SCBADAGIO and SCBMBOND and returned the sale proceeds from the Mirror Fund after deduction of expenses to the unitholders.

SCBAM would like to further update on the Side Pockets reports of 31^st May 2021 of H2O Adagio SP SR and H2O MultiBonds SP I (the Master Funds of SCBADAGIO and SCBMBOND respectively) as follows:

ISIN Code Side Pocket	Name of the Side Pockets in EUR	Date of split	Latest available May 31^st 2021	Variation of estimated valuation SP
FR0013535077	H2O Adagio SP SR	(1 October 2020 ) 8.71	8.56	-1.72%
FR0013535960	H2O MultiBonds SP I	(5 October 2020) 43,471.09	41,605.72	-4.29%

Monthly comments:

May 2021

As communicated on our website on May 25^th, after evaluating the risks, timescales and prices of all potential solutions, it was decided that restructuring with a view to streamlining the funds’ exposure to Tennor Group will provide a more stable platform for liquidation.
The estimated valuations as of May 31^st reflect this restructuring, and thus include the First Super Senior Secured Note (FSSSN) as well as securities.
The change in estimated valuation is not homogeneous across the funds as it depends on their initial exposure (securities as well as instruments).

Source: Side Pockets – May 2021 report as of 7^th June 2021 from H2O Asset Management.

Please be informed accordingly.
SCB Asset Management Company Limited