TIDMNBMI
RNS Number : 5134Z
NB Global Monthly Income Fund Ltd
15 September 2022
NB GLOBAL MONTHLY INCOME FUND LIMITED
2022 INTERIM REPORT
UNAUDITED INTERIM FINANCIAL STATEMENTS
FOR THE SIX MONTHSED 30 JUNE 2022
COMPANY OVERVIEW | Features
Features
NB Global Monthly Income Fund Limited (the "Company" or
"Fund")
The Company is a closed-ended investment company incorporated
and registered in Guernsey on 10 March 2011 with registered number
53155. The Company is governed under the provisions of the
Companies (Guernsey) Law, 2008 as amended (the "Law"), and the
Registered Collective Investment Scheme Rules and guidance 2021
issued by the Guernsey Financial Services Commission. It is a
non-cellular company limited by shares and has been declared by the
Guernsey Financial Services Commission to be a registered
closed-ended collective investment scheme. On 20 April 2011, the
Company was admitted to the Official List of the UK Listing
Authority with a premium listing trading on the Main Market of the
London Stock Exchange ("LSE").
Alternative Investment Fund Manager ("AIFM") and Manager
Investment management services are provided to the Company by
Neuberger Berman Investment Advisers LLC (the "AIFM") and Neuberger
Berman Europe Limited (the "Manager"), collectively the "Investment
Manager". The AIFM is responsible for risk management and
discretionary management of the Company's portfolio and the Manager
provides certain administrative services to the Company.
Investment Objective
The Company's investment objective is to provide the Company's
shareholders with consistent levels of monthly income, while
maintaining or increasing the Net Asset Value ("NAV") per Share
over time. Details of the Company's investment objective and
investment policy can be found on the Company's website,
www.nbgmif.com .
Investment Policy and Strategy
To pursue its investment objective, the Company will invest in
credit assets with the following target portfolio allocations: (i)
50-70% in traditional credit, meaning high yield bonds, floating
rate loans and investment grade corporate bonds; and (ii) 30-50% in
alternative credit, meaning "special situations" (consisting
generally of tradeable but less liquid debt securities, such as
stressed credit and CLO debt tranches), mezzanine debt, "club" loan
transactions (being syndicated lending opportunities presented
through the Company's or Investment Manager's relationship with
loan arrangers and/or borrowers) and private corporate loans issued
directly to borrowers. Investments in alternative credit will not
represent more than 50% of NAV at the time of investment.
The Company's investments will be issued in U.S. Dollars,
Sterling and Euros by corporations, partnerships and other business
issuers based primarily in North America, the UK and Europe. At the
time of investment these loans, bonds and other debt instruments
will often be non-investment grade.
The Company expects that it will typically hold the majority of
its assets directly, however where the Investment Manager considers
it appropriate the Company may obtain investment exposure to loans,
bonds and other debt instruments through investments in other
collective investment vehicles. The Company will not invest more
than 15 per cent. of its total assets in other listed closed-ended
investment funds at any time.
Capital Structure
As at 30 June 2022, the Company's share capital comprised
323,268,152 Sterling Ordinary Shares ("NBMI") of no par value (of
which 76,083,114 were held in treasury).
Non-Mainstream Pooled Investments
The Company currently conducts its affairs so that the shares
issued by the Company can be recommended by Independent Financial
Advisers to ordinary retail investors in accordance with the
Financial Conduct Authority's ("FCA") rules in relation to
non-mainstream investment products and intends to continue to do so
for the foreseeable future.
The Company's shares are excluded from the FCA's restrictions,
which apply to non-mainstream pooled investment products.
LIBOR
Working groups and official sector committees, including the
Financial Stability Board ("FSB"), set out clear timelines to aid
in market participants' plans for a smooth transition from LIBOR to
new risk-free reference rates. The FSB announced the dates after
which representative LIBOR rates were no longer available. All
LIBOR settings either ceased to be provided by any administrator or
no longer were representative:
-- immediately after 31 December 2021, in the case of all
sterling, euro, Swiss franc and Japanese yen settings, and the
1-week and 2-month US dollar settings; and
-- immediately after 30 June 2023, in the case of the remaining US dollar settings
Alternative risk-free reference rates, such as SONIA in the U.K.
and SOFR in the U.S., are robust, stable and rooted in active and
liquid underlying markets. SONIA is now widely used across all core
sterling markets, supporting a wide range of borrowers across
different sectors.
Dividends
The Company's dividend policy is detailed on pages 33 and 34 of
the Annual Report and Financial Statements for the year ended 31
December 2021.
The annualised dividend yield (based on the dividends declared
in respect of the period and share price as at 30 June 2022) was
7.05%.
STRATEGIC REVIEW | Financial Highlights
Financial Highlights
Key Figures
(U.S. Dollars in millions, except As at 30 June As at 31 DECEMBER
per share data) 2022 2021
=================================== ============== ==================
Net Asset Value
=================================== ============== ==================
- Sterling Ordinary Shares $250.0 $315.7
=================================== ============== ==================
Net Asset Value per share
=================================== ============== ==================
- Sterling Ordinary Shares GBP0.8329 GBP0.9429
=================================== ============== ==================
Share price
=================================== ============== ==================
- Sterling Ordinary Shares GBP0.7800 GBP0.8880
=================================== ============== ==================
Discount to Net Asset Value Per
Share (1)
=================================== ============== ==================
- Sterling Ordinary Shares (6.35%) (5.82%)
=================================== ============== ==================
Net investment income per share GBP0.0278 GBP0.0488
=================================== ============== ==================
Earnings per share (GBP0.1780) GBP0.0456
=================================== ============== ==================
Dividends per share (2)
=================================== ============== ==================
- Sterling Ordinary Shares 2.75 pence 4.68 pence
=================================== ============== ==================
Current Gross Portfolio Yield (1) 7.87% 6.27%
=================================== ============== ==================
Annualised dividend yield (1,3)
=================================== ============== ==================
- Sterling Ordinary Shares 7.05% 5.27%
=================================== ============== ==================
NAV Total Return (1)
=================================== ============== ==================
- Sterling Ordinary Shares (8.92%) 5.89%
=================================== ============== ==================
Share Price Return (1)
=================================== ============== ==================
- Sterling Ordinary Shares (9.27%) 14.08%
=================================== ============== ==================
On-Going Charges (1)
=================================== ============== ==================
- Sterling Ordinary Shares 0.58% 1.12%
=================================== ============== ==================
1 Further explanation and definitions of the calculation is
contained in the section "Alternative Performance Measures" in the
Audited Annual Financial Statements.
2 Dividends are those that were declared in respect of the
period.
3 Interim dividends have been annualised so as to give a
meaningful comparable figure.
STRATEGIC REVIEW | Chair's Statement
Chair's Statement
Dear Shareholder,
It is with pleasure that I present to you the Interim Report of
NB Global Floating Rate Income Fund Limited for the six months
ended 30 June 2022.
Performance
Over the first half of 2022, the Company's share price total
return was -9.27% per Sterling Ordinary Share. The Company's Net
Asset Value ("NAV") total return per share for the first half of
the year was -8.92% resulting in a 0.8329p NAV per Sterling
Ordinary Share.
As of 30 June 2022, the Portfolio's current yield was 7.87%, and
the yield to maturity was 10.6% compared to 31st December 2021 when
the Portfolio's yield was 6.27%, and the yield to maturity was
6.58%.
Dividends
In January 2022, the Board was pleased to announce a Target
Distribution for the financial year 2022 at a rate of 5.25% of Net
Asset Value per annum (net of fees and expenses) which equated to a
dividend per share of GBP0.00415 paid monthly. This distribution
represented a 6.41% increase on the total dividend for the 12
months ended 31 December 2021.
In April 2022, the Board announced a further increase to the
Target Distribution for the remainder of 2022 to a rate of 5.8% of
Net Asset Value per annum (net of fees and expenses). This equated
to a target monthly distribution for the remainder of 2022 of
GBP0.00443 per share paid monthly, or GBP0.05316 per share, per
annum.
In July 2022, the Board again announced an additional increase
to the Target Distribution for the remainder of 2022 to a rate of
6.75% of Net Asset Value per annum (net of fees and expenses). This
equates to a target monthly distribution for the remainder of 2022
of GBP0.00467 per share paid monthly, or GBP0.05602 per share, per
annum.
This latest increased Target Distribution represents a 5.4%
increase on the Target Distribution announced on 28 April 2022. The
new Target Distribution will, for the remainder of the year,
represent a level which is 19.7% higher than the total dividends
paid in 2021.
These dividend increases reflect principally the Company's
exposure to rising short term USD rates and not changes to the
portfolio risk exposure or portfolio composition. The Board expects
that the increased dividends will remain fully covered by net
revenues earned.
Portfolio Positioning
The Fund has retained significant exposure to floating rate
assets in what has been one of the most challenging periods for
fixed interest investments for many years. Starting the year at 70%
floating rate assets, the exposure reduced modestly to 66% by 30th
June 2022 as the Manager increasingly found opportunities in low
cash priced fixed rate bonds in primary and secondary markets.
Floating rate loans remain the portfolio's largest allocation at
just over 29%. However, opportunities in private credit and in
global high yield bonds did see the allocation to floating rate
loans decrease by six percentage points from 35% at the start of
the year. The exposure to floating rate assets assisted performance
in the first few months of the year during which a repricing of
interest rate expectations with inflation surprising to the upside
was the dominant theme. Into May and particularly in June,
performance of most risky assets was poor, as concerns over growth
accelerated with consumer confidence hitting multi-year lows.
Credit was no exception and spreads widened including those of the
loans and the floating rate securities held within the Fund. In
terms of rating by credit quality, the portfolio included an
allocation of 14.0% in BBB/BB rated securities, 46% in B rated
securities and had an allocation of 35% to securities rated CCC and
below as of 30th June 2022, broadly unchanged to the credit quality
mix the Fund had at the start of the year. With the onset of the
war in Ukraine, the Manager took a decision early on to further
reduce exposure to companies with majority European operations
preferring instead the economic outlook for US domiciled issuers
where there is less uncertainty, particularly as it pertains to
energy input costs for businesses. The Company has no exposure to
Russian securities and very limited exposure to issuers with
operations in the region. As they explain in their report, the
Manager's view continues to be that the default rate environment is
likely to remain relatively benign with below average default rates
expected in 2022 and 2023.
Discount Management
During the six months to 30 June 2022, the Company's discount
ranged between 4.28% and 13.83% per Sterling Ordinary Share. The
discount as of 30 June 2022 was 6.35%. At the AGM we sought
shareholder approval to renew the authority for the Company to make
market purchases of its own Shares, which was duly granted. In view
of the Board's discretion to make Cash Exit Facility Offers as
described below, this authority has so far not been used.
Cash Exit Facility Offer
The Company announced on 1 June 2022 that the Board intended to
exercise its discretion to make the first tender offer under the
Cash Exit Facility described in the Shareholder circular published
by the Company on 17 August 2020 and approved by Shareholders at
the EGM of the Company held on 8 September 2020 ("EGM"). A circular
was published on 16 June 2022 which stated that Shareholders would
be entitled to elect to have up to 25 per cent. of their Shares
held on 30 June 2022 redeemed (the "EGM Circular").
The EGM Circular set out the details of the "Cash Exit Facility
Offer" which gave Shareholders the opportunity to tender up to 25
per cent. of their Shares at a discount of 2 per cent. to NAV per
Share on 30 June 2022.
Elections to participate in the Cash Exit Facility Offer were
received with respect to 25,500,417 Shares, equivalent to 10.32 per
cent. of the 247,185,038 Shares in issue (excluding 76,083,114
treasury shares). The Directors and any funds managed by Neuberger
Berman did not participate in the Cash Exit Facility Offer in
respect of those Shares held by them. Following faster than
anticipated settlement of trades and in combination with the timing
of other cash receipts, the Company had sufficient cash available
to fund the Redemption Proceeds in full and a single Redemption
Proceeds payment was made to eligible Shareholders on 8 August
2022.
The next potential exercise of the Board's discretion to offer
Shareholders a partial cash exit opportunity by way a redemption
offer would be expected to close at end December 2022 and
subsequent Cash Exit Facility Offers may be made at six monthly
intervals thereafter. The Board has confirmed its intention in
future to offer an overallocation redemption facility to redeeming
investors to the extent that capacity is available from those
investors who elect not to redeem Shares. Should the NAV of the
Company fall beneath GBP150 million, the Board reiterates its
intention subject to market conditions at the time to propose a
winding-up of the Company.
Annual General Meeting ("AGM") Results
All the resolutions proposed at the AGM were duly passed with no
significant votes lodged against any resolution.
Outlook
We believe that the Company remains an attractive vehicle for
those seeking inflation protected regular income with attractive
risk adjusted returns and good capital protection over time. The
Manager considers, although global growth is slowing, that key
buffers remain for corporate issuers with credit metrics such as
interest cover starting from a healthy point. Similarly, borrower's
ability to refinance debt, albeit at higher rates, is not unduly
stressing corporate credit metrics currently. The Manager expects
that default rates will remain below historical averages of around
3% for the foreseeable future. Given the Manager's strong credit
procedures and excellent track record, we believe the Company is
well positioned to ride the current storms.
Thank you for your continued support
Rupert Dorey
Chairman
14 September 2022
STRATEGIC REVIEW | Investment Manager's Report
Investment Manager's Report
Market and Macroeconomic Environment
Non-investment grade credit ended the six-month period to 30
June 2022 with negative returns driven by Russia's invasion of
Ukraine, markets calibrating how far the Federal Reserve and other
central banks need to go on rates to fight persistent inflation,
slowing real economic activity and mixed earnings reports so far in
2022. That said, default rates remain well below average and just
above all-time lows given that balance sheets are generally in good
shape. U.S. Treasury yields-and other bellwether bonds such as
Gilts and Bunds-moved sharply higher during the reporting period as
inflation hit a four-decade high, central banks turned more
hawkish, and the tragic war in Ukraine triggered numerous supply
shortages and fuelled spikes in commodity prices. Meanwhile,
consumer spending and retail sales were generally resilient backed
by strong job and wage growth. While credit spreads widened given
the risk aversion, floating rate loans saw lesser drawdowns than
longer dated fixed income due to the very low duration of the asset
class.
Senior floating rate loans ended the reporting period in
negative territory reflecting the risk-off market sentiment despite
the fact that loan coupons floated higher on the back of rising
interest rates. Moreover, new issuance was very muted over the
reporting period hitting the lowest level in more than two years,
while demand held in somewhat better, which brought the
supply-demand balance to levels that should provide some support
for loans. Over the reporting period, U.S. senior floating rate
loans, as measured by the S&P/LSTA Leveraged Loan Index (the
"S&P LLI"), returned -4.55% with the lowest rated loans also
underperforming with BB, B and CCC returning -3.27%, -4.88% and
-8.58%, respectively. The LL100, a measure of the largest, most
liquid issuers, returned -5.48% which also underperformed the total
S&P LLI. The European Leveraged Loan Index (the "ELLI")
returned -7.50%, excluding currency effects. The Second Lien Loans
index was down -5.36% over the period.
The global high yield bond market also ended the reporting
period in negative territory driven primarily by rising interest
rates, concerns over inflation, high commodity prices and input
cost pressures on issuer margins. Credit spreads widened over the
reporting period and dispersion in returns across credit quality
reversed course from the prior risk-on period last year. The ICE
BofA Global High Yield Constrained Index returned -14.88%. While
the higher credit rating segments of the market held up better in
the risk-off environment year to date 2022, they still incurred
losses given large outflows in the asset class. That said, we are
finding attractive investment opportunities within global high
yield, especially at current levels and believe the spread
compensation for a still low default rate environment is more than
adequate.
CLO debt spreads moved meaningfully wider over the first two
quarters of the year in conjunction with the decline in the
leveraged loan market, as global recessionary fears emerged which
has impacted all risk assets. Secondary non-investment grade market
volumes increased modestly quarter-over-quarter, but monthly
volumes still lag trailing 24-month averages. The CLO BB index
declined -7.25% year to date.
Defaults continued to remain not far off record lows in
non-investment grade credit markets, which is consistent with
healthy balance sheets and positive free cash flow growth. The
trailing 12M par weighted default rate for the S&P LLI as of
June was 0.28%, down 389 basis points from the September 2020 peak
of 4.17% and up just 6 basis point from a month ago. In European
loans, the trailing 12M par weighted default rate was 0.62%, down
199 basis point from the October 2020 peak and down 2 basis points
compared to the prior month. The distressed ratios have risen from
the recent lows as the share of distressed issuers in the S&P
LLI and ELLI went from around 2% each in May to 2.81% for the U.S.
and 4.35% for the European loan market. The high yield default rate
in June increased 33 basis points from May and was just 53 basis
points above the all-time low reached in April. In June, the par
weighted LTM U.S. high yield default rate was 0.76%. While the
default rate has increased off the lows, we expect defaults to
remain below historical averages based on our bottom-up assessment
of issuers, and driven by the higher-quality ratings mix in high
yield (over 52% of issuers with credit ratings of BB), less
aggressive new issuance and fewer near-term maturities, as well as
an energy sector that is far healthier than in the past few cycles.
For context, the long-term average default rate is 3.1% (based on
annual default rates back to 1980 according to JP Morgan).
Non-investment grade credit with its lower duration profile,
higher yields relative to other fixed income and healthy credit
fundamentals, represents an attractive investment opportunity at
current valuations.
Performance 1 January 2022 to 30 June 2022
For the period of 1 January 2022 to 30 June 2022, the Company's
share price total return was -9.27% [1] .
During the period, holdings in the Utilities, Building &
Development and Drugs sectors were the most significant drivers of
performance whilst the Electronics (Technology), Healthcare and
Retailers sector holdings were the biggest detractors. The
Company's positioning in BBB & above rated issuers was neutral
for performance whilst positioning in CCC & below rated issuers
subtracted the most over the period.
As at 30 June 2022, Global Floating Rate Loans was the
portfolio's largest allocation at 29.1% followed by Global High
Yield Bonds at 24.9%. The Company's allocation to BB rated credits
was 13.6% while its exposure to CCC rated issuers finished the
period at 34.9%. The overall exposure to floating rate assets was
at 66% at the end of the reporting period, with the Fund's average
duration of 1.62 years. Regarding sector allocation, the top three
weights included Electronics (Technology), Health Care and Business
Equipment & Services whilst the bottom three weights included
Broadcast Radio & TV, Drugs and Publishing.
Portfolio Positioning
NBMI as at December 31 2021
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NBMI as at June 30 2022
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Outlook
In our view, non-investment grade yields are compensating
investors for the below average default outlook, and will continue
to provide durable income and remain attractive compared to other
fixed income alternatives. The tightening of financial conditions
and rising concerns over inflation continue to create incremental
volatility, but as real growth slows back below trend, this could
help to alleviate the inflationary pressures. Our analysts continue
to be keenly focused on the outlook for issuer margins given rising
input costs. Our global research team also continues to monitor the
investment thesis for each issuer in the portfolio given the
impacts related to higher commodity prices as a result of supply
chain disruptions made worse by the ongoing conflict in Eastern
Europe. While supply chain discontinuities are moderating as a
result of slower demand, we remain focused on how any disruptions
might impact issuers. Even with the heightened uncertainty,
commodity price swings and central bank tightening, which is
resulting in short-term volatility, we believe our bottom-up,
fundamental credit research focused on security selection while
seeking to avoid credit deterioration and putting only our "best
ideas" into portfolios, position us well to take advantage of the
increased volatility.
Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited
14 September 2022 14 September 2022
STRATEGIC REVIEW | Portfolio Information
Portfolio Information
Top 10 Issuers as at 30 June 2022 (excluding cash)
ISSUER SECTOR FAIR PORTFOLIO
VALUE WEIGHT
($)
============================ ================================= ========== ==========
CHARIOT BUYER LLC Building & Development 5,218,500 2.09%
============================ ================================= ========== ==========
Business Equipment
BROCK HOLDINGS III LLC & Services 5,034,506 2.01%
============================ ================================= ========== ==========
PHOENIX NEWCO INC Health Care 3,476,200 1.39%
============================ ================================= ========== ==========
TEAM HEALTH HOLDINGS
INC Health Care 3,459,242 1.38%
============================ ================================= ========== ==========
CSC HOLDINGS LLC Cable & Satellite Television 3,273,750 1.31%
============================ ================================= ========== ==========
CONSTELLATION AUTOMOTIVE
LIMITED Automotive 3,163,101 1.27%
============================ ================================= ========== ==========
Retailers (except food
EG GROUP LTD and drug) 3,045,884 1.22%
============================ ================================= ========== ==========
UNITI GROUP INC/CSL Telecommunications/Cellular
CAPITAL LLC Communications 2,904,363 1.16%
============================ ================================= ========== ==========
FIRST BRANDS GROUP LLC Automotive 2,832,100 1.13%
============================ ================================= ========== ==========
CINEWORLD CINEMAS HOLDINGS
LTD Leisure Goods/Activities/Movies 2,773,238 1.11%
============================ ================================= ========== ==========
Top 10 S&P Sector Breakdown
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Key Statistics 30 JUNE 31 DECEMBER
2022 2021
------------------------- ------- -----------
Current Gross Portfolio
Yield (1) 7.87% 6.27%
------------------------- ------- -----------
Number of Investments 272 293
------------------------- ------- -----------
Number of Issuers 231 231
------------------------- ------- -----------
1 The Company's Current Gross Portfolio Yield is a market-value
weighted average of the current yields of the holdings in the
portfolio, calculated as the coupon (base rate plus spread) divided
by current price. The calculation does not take into account any
fees, Company expenses or sales charges paid, which would reduce
the results. The Current Gross Portfolio Yield for the Company will
fluctuate from month to month. The Current Gross Portfolio Yield
should be regarded as an estimate of the Company's rate of
investment income and it will not equal what is distributed by way
of dividends by the Company.
GOVERNANCE | Interim Management Report and Directors'
Responsibility Statement
Interim Management Report and Directors' Responsibility
Statement
Principal Risks and Uncertainties
The principal risks of the Company are in the following
areas:
-- macro-economic conditions;
-- credit risk;
-- geographical risks;
-- participation risk;
-- liquidity risk;
-- investment activity and performance;
-- level of discount or premium; and
-- operational risk.
These risks, and the way in which they are managed, are
described in more detail in the Strategic Report on pages 26 to 30
of the Company's latest annual report and audited financial
statements for the year ended 31 December 2021, which can be found
on the Company's website. The Board's view is that these risks
remain appropriately identified for the remainder of 2022. In
addition to the Principal Risks, there remains uncertainty of the
full- and long-term impacts of the global coronavirus ("Covid-19")
pandemic as well as the ongoing Russia-Ukraine conflict, its impact
on food and energy prices and the resulting cost of living crisis
and impact on consumer demand, and its potential to escalate
("Ukraine Conflict"). The Board considers that downside risk to
global growth and delay in global economic recovery and market
liquidity arising from the Covid-19 pandemic and the Ukraine
Conflict could potentially result in a risk of a reduction in
portfolio performance. The Investment Manager reviews the portfolio
on a regular basis for the impact of these economic challenges on
underlying assets' performance. In addition, the Board reviews the
Company's risks on a quarterly basis and will continue to review
the specific impacts of the Covid-19 outbreak and the Ukraine
Conflict as further information becomes available.
A brief description of each of the Principal Risks is detailed
below:
Macroeconomic Conditions
Macroeconomic conditions can change significantly and to the
detriment of the portfolio or the Company causing a credit or
liquidity risk to crystallise.
Credit Risk
The key risk for the Company remains credit risk i.e. that the
Company buys a loan or bond of a particular issuer and it does not
perform as expected and either defaults on a payment or experiences
a significant drop in the secondary market value.
Geographical risks
The Company may invest a relatively large percentage of its
assets in issuers located in a single country, a small number of
countries, or a particular geographic region. At 30 June 2022,
84.2% of the portfolio was invested in issuers domiciled in the
US.
Participation risk
With respect to the senior loans, the Company may: 1) invest in
assignments; 2) act as a participant in primary lending syndicates;
or 3) invest in participations. To purchase a participation in a
senior loan, the Company would typically enter into a contractual
agreement with the lender or other third party selling the
participation, rather than contract directly with the borrower. As
such, the Company not only assumes the credit risk of the borrower,
but also that of the selling participant or other persons
positioned between the Company and the borrower.
Liquidity Risk
Liquidity risk is the risk that the Company will not be able to
meet its obligations as and when these fall due.
Investment Activity and Performance
The Company's investment activity and performance could fall
below its stated objective or peer group for a variety of reasons
including market conditions.
Level of Discount or Premium
A discount or premium to NAV can occur for a variety of reasons,
including market conditions or to the extent investors undervalue
the management activities of the Investment Manager or discount
their valuation methodology and judgment.
Operational Risk
Disruption to, or the failure of either the Investment
Manager's, Administrator's or Sub- Administrator's accounting,
dealings or payment systems, or the Custodian's records could
prevent the accurate reporting or monitoring of the Company's
financial position and the receipt or transmission of payments and
the safeguarding of the Company's assets.
Going Concern
The Directors have undertaken a rigorous review of the Company's
ability to continue as a going concern including reviewing the
on-going cash flows and the level of cash balances, the liquidity
of investments and the income deriving from those investments as of
the reporting date and have determined that the Company has
adequate financial resources to meet its liabilities as they fall
due. However, should there be a cash exit offer at the end of
December 2022 which is substantially taken up by Shareholders, the
Company's NAV would then likely drop below GBP150m, which would
result in the Board, subject to market conditions at the time,
bringing forward a proposal to wind-up the Company. This currently
represents a material uncertainty as to the ability of the Company
to continue in operation. After making enquiries of the Investment
Manager and the Sub-Administrator, the Directors are however,
satisfied that the Company has adequate resources to discharge its
liabilities as they fall due for at least one year from the date
these Unaudited Interim Financial Statements were approved.
Accordingly, notwithstanding this material uncertainty, the
Directors considered it appropriate to prepare the Unaudited
Interim Financial Statements on the going concern basis, as
explained in the basis of preparation paragraph in Note 2 to the
Unaudited Interim Financial Statements.
Related Party Transactions
Other than fees payable in the ordinary course of business,
there have been no material transactions with related parties,
which have affected the financial position or performance of the
Company in the six-month period to 30 June 2022. Additional related
party disclosures are given in Note 3.
Directors' Responsibilities Statement
The Board of Directors confirms that, to the best of its
knowledge:
The Financial Statements, which have been prepared in conformity
with the Financial Accounting Standards Board ("FASB") Accounting
Standards Codification ("ASC") 270' "Interim Reporting" and the
Disclosure Guidance and Transparency Rules ("DTR") sourcebook of
the United Kingdom's Financial Conduct Authority ("FCA"), give a
true and fair view of the assets, liabilities, financial position
and profits/(losses) of the Company, as required by DTR 4.2.4R of
the DTR of the U.K.'s FCA.
The combination of the Chair's Statement, the Investment
Manager's Report and this Interim Management Report meet the
requirements of an Interim Management Report, and include a fair
review of the information required by:
1 . DTR 4.2.7R of the DTR, of the U.K.'s FCA, being an
indication of important events that have occurred during the first
six months of the year and their impact on the set of financial
statements; and a description of the principal risks and
uncertainties for the remaining six months of the year; and
2. DTR 4.2.8R of the DTR, of the U.K.'s FCA, being related party
transactions that have taken place in the first six months of the
current year and that have materially affected these Financial
Statements or performance of the Company during that period and any
material changes in the related party transactions described in the
last annual report that could have such a material effect.
By order of the Board
Rupert Dorey
Chair
14 September 2022
GOVERNANCE | Independent Review Report
Independent Review Report to the members of NB Global Monthly
Income Fund Limited
Conclusion
We have been engaged by NB Global Monthly Income Fund Limited
(the "Company") to review the financial statements in the
half-yearly financial report for the six months ended 30 June 2022
of the Company, which comprises the unaudited statement of assets
and liabilities, unaudited statements of operations, changes in net
assets, cash flows, unaudited condensed schedule of investments and
the related explanatory notes.
Based on our review, nothing has come to our attention that
causes us to believe that the financial statements in the
half-yearly financial report for the six months ended 30 June 2022
is not prepared, in all material respects, in conformity with U.S.
generally accepted accounting principles and the Disclosure
Guidance and Transparency Rules ("the DTR") of the UK's Financial
Conduct Authority ("the UK FCA").
Material uncertainty relating to going concern
We draw attention to note 2 to the interim financial statements
which indicates that should the cash exit offer at the end of
December 2022 be taken up by Shareholders in full, the Company's
net asset value would likely drop below GBP150m after January 2023,
which would result in the Board, subject to market conditions at
the time, proposing to wind-up the Company. These events and
conditions, along with the other matters explained in note 2,
constitute a material uncertainty that may cast significant doubt
on the Company's ability to continue as a going concern. Our
conclusion is not modified in this respect.
Scope of review
We conducted our review in accordance with International
Standard on Review Engagements (UK) 2410 Review of Interim
Financial Information Performed by the Independent Auditor of the
Entity ("ISRE (UK) 2410") issued by the Financial Reporting Council
for use in the UK. A review of interim financial information
consists of making enquiries, primarily of persons responsible for
financial and accounting matters, and applying analytical and other
review procedures. We read the other information contained in the
half-yearly financial report and consider whether it contains any
apparent misstatements or material inconsistencies with the
information in the financial statements.
A review is substantially less in scope than an audit conducted
in accordance with International Standards on Auditing (UK) and
consequently does not enable us to obtain assurance that we would
become aware of all significant matters that might be identified in
an audit. Accordingly, we do not express an audit opinion.
Conclusions relating to going concern
The directors have prepared the financial statements on the
going concern basis. As stated above, they have concluded that a
material uncertainty related to going concern exists.
Based on our review procedures, which are less extensive than
those performed in an audit as described in the Scope of review
section of this report, nothing has come to our attention to
suggest that the directors have inappropriately adopted the going
concern basis of accounting or that the directors have identified
material uncertainties relating to going concern that are not
appropriately disclosed.
This conclusion is based on the review procedures performed in
accordance with ISRE (UK) 2410. However future events or conditions
may cause the Company to cease to continue as a going concern, and
the above conclusions are not a guarantee that the Company will
continue in operation.
Director's responsibilities
The half-yearly financial report is the responsibility of, and
has been approved by, the directors. The directors are responsible
for preparing the interim financial report in accordance with the
DTR of the UK FCA.
As disclosed in note 2, the annual financial statements of the
Company are prepared in conformity with U.S. generally accepted
accounting principles. The directors are responsible for preparing
the condensed set of financial statements included in the
half-yearly financial report in conformity with U.S. generally
accepted accounting principles.
In preparing the half-yearly financial report, the directors are
responsible for assessing the Company's ability to continue as a
going concern, disclosing, as applicable, matters related to going
concern and using the going concern basis of accounting unless
liquidation is imminent.
Our responsibility
Our responsibility is to express to the Company a conclusion on
the financial statements in the half-yearly financial report based
on our review. Our conclusion, including our conclusions relating
to going concern, are based on procedures that are less extensive
than audit procedures, as described in the scope of review
paragraph of this report.
The purpose of our review work and to whom we owe our
responsibilities
This report is made solely to the Company in accordance with the
terms of our engagement letter to assist the Company in meeting the
requirements of the DTR of the UK FCA. Our review has been
undertaken so that we might state to the Company those matters we
are required to state to it in this report and for no other
purpose. To the fullest extent permitted by law, we do not accept
or assume responsibility to anyone other than the Company for our
review work, for this report, or for the conclusions we have
reached.
Dermot Dempsey
For and on behalf of KPMG Channel Islands Limited
Chartered Accountants
Guernsey
14 September 2022
FINANCIAL STATEMENTS | Unaudited Statement of Assets and
Liabilities
Unaudited Statement of Assets and Liabilities
AS AT 30 JUNE 2022 AND 31 december
2021 (unaudited) (audited)
31 december
(Expressed in U.S. Dollars) Notes 30 June 2022 2021
======================================== ======== =============== ==============
Assets
======================================== ======== =============== ==============
Investments, at fair value (2022:
cost of $300,690,511, 2021: cost
of $310,963,360) 2 260,399,998 307,358,954
======================================== ======== =============== ==============
Derivative assets, at fair value
(2022: cost of $Nil, 2021: cost
of $Nil) 2 (e) 1,044,655 551,564
======================================== ======== =============== ==============
Cash and cash equivalents
======================================== ======== =============== ==============
- Sterling (2022: cost of $1,366,736,
2021: cost of $71,815) 1,354,266 73,532
======================================== ======== =============== ==============
- Euro (2022: cost of $682,847,
2021: cost of $186,021) 672,366 187,093
======================================== ======== =============== ==============
- U.S. Dollar 4,643,334 11,407,318
======================================== ======== =============== ==============
Total cash and cash equivalents 6,669,966 11,667,943
======================================== ======== =============== ==============
268,114,619 319,578,461
======================================== ======== =============== ==============
Other assets
======================================== ======== =============== ==============
Receivables for investments sold 1,761,742 2,964,458
======================================== ======== =============== ==============
Interest receivable 3,658,907 2,802,128
======================================== ======== =============== ==============
Other receivables and prepayments 195,136 229,088
======================================== ======== =============== ==============
Total other assets 5,615,785 5,995,674
======================================== ======== =============== ==============
Total assets 273,730,404 325,574,135
======================================== ======== =============== ==============
Liabilities
======================================== ======== =============== ==============
Payables for investments purchased 2,015,931 5,529,950
======================================== ======== =============== ==============
Payables to Investment Manager
and affiliates 3 515,553 599,135
======================================== ======== =============== ==============
Derivative liabilities, at fair
value (2022: proceeds of $Nil, 2
2021: proceeds of $Nil) (e) 19,494,876 2,134,666
======================================== ======== =============== ==============
Dividend payable 1,329,859 1,305,719
======================================== ======== =============== ==============
Accrued expenses and other liabilities 3 338,808 323,518
======================================== ======== =============== ==============
Total liabilities 23,695,027 9,892,988
======================================== ======== =============== ==============
Total assets less liabilities 250,035,377 315,681,147
======================================== ======== =============== ==============
Share capital 752,021,562 752,021,562
======================================== ======== =============== ==============
Accumulated reserves (501,986,185) (436,340,415)
======================================== ======== =============== ==============
Total net assets 250,035,377 315,681,147
======================================== ======== =============== ==============
Net Asset Value per share GBP0.8329 GBP0.9429
======================================== ======== =============== ==============
The Unaudited Interim Financial Statements were approved and
authorised for issue by the Board of Directors on 14 September 2022
, and signed on its behalf by:
David Staples
Director
The accompanying notes form an integral part of the Unaudited
Interim Financial Statements
FINANCIAL STATEMENTS | Unaudited Condensed Schedule of
Investments
Unaudited Condensed Schedule of Investments
Fair Value
As at 30 JUNE 2022 as %
(Expressed in U.S. Dollars) Cost Fair Value of Net Assets
------------------------------------ ------------ ------------- ----------------
Portfolio of investments
------------------------------------ ------------ ------------- ----------------
Financial investments
------------------------------------ ------------ ------------- ----------------
* Private Debt 66,044,319 61,557,622 24.62%
------------------------------------ ------------ ------------- ----------------
* Special Situations 8,689,027 5,092,326 2.04%
------------------------------------ ------------ ------------- ----------------
* CLO Debt Tranches 30,970,215 26,773,296 10.71%
------------------------------------ ------------ ------------- ----------------
* Global High Yield Bonds 119,618,449 97,739,550 39.09%
------------------------------------ ------------ ------------- ----------------
* Global Floating Rate Loans 72,254,477 67,257,613 26.90%
------------------------------------ ------------ ------------- ----------------
* Equity 3,119,587 1,979,591 0.79%
------------------------------------ ------------ ------------- ----------------
Total financial investments 300,696,074 260,399,998 104.15%
------------------------------------ ------------ ------------- ----------------
Forward exchange contracts
------------------------------------ ------------ ------------- ----------------
- Euro to Sterling - 8,493 0.00%
------------------------------------ ------------ ------------- ----------------
- Euro to U.S Dollar - (98,638) (0.04%)
------------------------------------ ------------ ------------- ----------------
- Sterling to U.S. Dollar - (21,660,899) (8.66%)
------------------------------------ ------------ ------------- ----------------
- U.S. Dollar to Euro - 969,556 0.39%
------------------------------------ ------------ ------------- ----------------
- U.S. Dollar to Sterling - 2,331,267 0.93%
------------------------------------ ------------ ------------- ----------------
- (18,450,221) (7.38%)
------------------------------------ ------------ ------------- ----------------
Fair Value
as %
Cost Fair Value of Net Assets
Geographic diversity of investment
portfolio (domicile of issuer)
------------------------------------ ------------ ------------- ----------------
Australia/Oceania 3,205,304 2,534,618 1.01%
------------------------------------ ------------ ------------- ----------------
Caribbean 13,387,007 11,952,393 4.78%
------------------------------------ ------------ ------------- ----------------
North America 239,289,778 210,554,166 84.21%
------------------------------------ ------------ ------------- ----------------
Europe 44,813,985 35,358,821 14.15%
------------------------------------ ------------ ------------- ----------------
300,696,074 260,399,998 104.15%
------------------------------------ ------------ ------------- ----------------
Fair Value
As at 31 december 2021 (Audited) as %
(Expressed in U.S. Dollars) Cost Fair Value of Net Assets
------------------------------------ ------------ ------------ ---------------
Portfolio of investments
------------------------------------ ------------ ------------ ---------------
Financial investments
------------------------------------ ------------ ------------ ---------------
* Private Debt 68,345,866 68,628,397 21.74%
------------------------------------ ------------ ------------ ---------------
* Special Situations 11,234,289 9,278,095 2.94%
------------------------------------ ------------ ------------ ---------------
* CLO Debt Tranches 33,858,274 33,637,153 10.66%
------------------------------------ ------------ ------------ ---------------
* Global High Yield Bonds 85,843,950 84,704,896 26.83%
------------------------------------ ------------ ------------ ---------------
* Global Floating Rate Loans 108,561,394 109,185,622 34.59%
------------------------------------ ------------ ------------ ---------------
* Equity 3,119,587 1,924,791 0.60%
------------------------------------ ------------ ------------ ---------------
Total financial investments 310,963,360 307,358,954 97.36%
------------------------------------ ------------ ------------ ---------------
Forward exchange contracts
------------------------------------ ------------ ------------ ---------------
- Euro to Sterling - (47,220) (0.01%)
------------------------------------ ------------ ------------ ---------------
- Sterling to U.S. Dollar - (2,133,872) (0.68%)
------------------------------------ ------------ ------------ ---------------
- U.S. Dollar to Euro - 398,842 0.13%
------------------------------------ ------------ ------------ ---------------
- U.S. Dollar to Sterling - 199,148 0.06%
------------------------------------ ------------ ------------ ---------------
- (1,583,102) (0.50%)
------------------------------------ ------------ ------------ ---------------
Fair Value
as %
Cost Fair Value of Net Assets
Geographic diversity of investment
portfolio (domicile of issuer)
------------------------------------ ------------ ------------ ---------------
Australia/Oceania 3,991,090 3,984,149 1.26%
------------------------------------ ------------ ------------ ---------------
Caribbean 11,219,336 11,166,755 3.54%
------------------------------------ ------------ ------------ ---------------
North America 244,254,010 241,149,026 76.39%
------------------------------------ ------------ ------------ ---------------
Europe 51,498,924 51,059,024 16.17%
------------------------------------ ------------ ------------ ---------------
310,963,360 307,358,954 97.36%
------------------------------------ ------------ ------------ ---------------
30 JUNE 2022 31 DECEMBER 2021
Industry diversity of
Investment Portfolio (unaudited) (audited)
( Expressed in U.S. Dollars) Cost Fair Value Cost Fair Value
--------------------------------- ------------ ------------ ------------ ------------
Aerospace & Defence 2,045,170 1,849,950 2,632,038 2,588,263
--------------------------------- ------------ ------------ ------------ ------------
Air Transport 4,886,565 4,315,475 3,413,326 3,557,457
--------------------------------- ------------ ------------ ------------ ------------
Automotive 6,945,636 5,995,201 7,744,244 7,751,948
--------------------------------- ------------ ------------ ------------ ------------
Broadcast Radio & Television 1,366,738 878,394 2,119,862 1,972,212
--------------------------------- ------------ ------------ ------------ ------------
Brokers, Dealers & Investment
Houses 1,017,505 721,384 1,017,505 1,002,690
--------------------------------- ------------ ------------ ------------ ------------
Business Equipment & Services 26,405,602 22,625,489 23,577,127 20,947,052
--------------------------------- ------------ ------------ ------------ ------------
Building & Development 17,656,935 15,163,966 13,627,368 13,680,036
--------------------------------- ------------ ------------ ------------ ------------
Cable & Satellite Television 9,721,040 7,068,242 9,727,116 9,534,252
--------------------------------- ------------ ------------ ------------ ------------
Chemicals & Plastics 5,656,109 4,827,288 5,417,731 5,410,970
--------------------------------- ------------ ------------ ------------ ------------
Clothing & Textiles 3,599,116 3,455,744 3,139,039 3,177,263
--------------------------------- ------------ ------------ ------------ ------------
Containers & Glass Products 2,544,814 2,277,564 3,364,469 3,309,094
--------------------------------- ------------ ------------ ------------ ------------
Drugs 463,110 445,928 2,224,541 2,166,927
--------------------------------- ------------ ------------ ------------ ------------
Electronics/Electrical 35,456,662 31,976,693 36,235,879 36,264,483
--------------------------------- ------------ ------------ ------------ ------------
Equipment Leasing 3,565,033 2,942,853 2,646,689 2,868,831
--------------------------------- ------------ ------------ ------------ ------------
Financial Intermediaries 43,778,440 37,631,762 39,076,219 38,957,891
--------------------------------- ------------ ------------ ------------ ------------
Food Products 2,200,693 2,075,507 2,199,203 2,238,694
--------------------------------- ------------ ------------ ------------ ------------
Food Service 5,111,700 3,962,982 5,106,078 5,077,235
--------------------------------- ------------ ------------ ------------ ------------
Food/Drug Retailers - - 2,675,165 2,671,627
--------------------------------- ------------ ------------ ------------ ------------
Health Care 30,951,012 25,660,671 31,480,919 30,717,732
--------------------------------- ------------ ------------ ------------ ------------
Hotels & Casinos 1,852,321 1,778,468 1,922,801 1,927,294
--------------------------------- ------------ ------------ ------------ ------------
Industrial Equipment 14,290,979 13,209,571 14,556,294 14,601,519
--------------------------------- ------------ ------------ ------------ ------------
Insurance 9,509,564 8,103,944 9,007,693 8,995,312
--------------------------------- ------------ ------------ ------------ ------------
Leisure Goods/Activities/Movies 6,966,417 6,625,825 8,064,803 8,498,939
--------------------------------- ------------ ------------ ------------ ------------
Nonferrous Metals & Minerals 3,264,431 3,174,108 3,263,537 3,297,688
--------------------------------- ------------ ------------ ------------ ------------
Oil & Gas 16,950,163 15,393,869 23,584,995 23,779,127
--------------------------------- ------------ ------------ ------------ ------------
Publishing 2,152,637 1,850,550 2,152,501 2,147,834
--------------------------------- ------------ ------------ ------------ ------------
Retailers (except food
and drug) 8,240,792 7,006,044 13,053,746 13,290,974
--------------------------------- ------------ ------------ ------------ ------------
Steel 428,306 341,680 253,281 248,750
--------------------------------- ------------ ------------ ------------ ------------
Surface Transport 4,627,648 4,214,102 4,629,321 4,679,610
--------------------------------- ------------ ------------ ------------ ------------
Telecommunications/Cellular
Communications 11,748,236 9,139,279 17,096,099 16,850,891
--------------------------------- ------------ ------------ ------------ ------------
Utilities 17,292,700 15,687,465 15,953,771 15,146,359
--------------------------------- ------------ ------------ ------------ ------------
300,696,074 260,399,998 310,963,360 307,358,954
--------------------------------- ------------ ------------ ------------ ------------
As at 30 June 2022, issuers with the following investments
comprised of greater than 1% of NAV (Excluding cash):
Securities % of
(EXPRESSED IN U.S. DOLLARS) Country Industry Fair Value NAV
============================== ================ ================================= ============ =======
Chariot Buyer LLC 5,218,500 2.09%
----------------------------------------------------------------------------------- ------------ -------
Chamberlain Group 2L T/L
10/21 United States Building & Development 5,218,500 2.09%
------------------------------ ---------------- --------------------------------- ------------ -------
Brock Holdings III Inc 5,034,506 2.01%
----------------------------------------------------------------------------------- ------------ -------
Brock Holdings Notes 15% Business Equipment
04/24/24 United States & Services 3,254,318 1.30%
------------------------------ ---------------- --------------------------------- ------------ -------
Business Equipment
Brock Holdings III Inc United States & Services 1,780,188 0.71%
------------------------------ ---------------- --------------------------------- ------------ -------
Phoenix Newco Inc 3,476,200 1.39%
----------------------------------------------------------------------------------- ------------ -------
Phoenix Newco Inc United States Health Care 3,476,200 1.39%
------------------------------ ---------------- --------------------------------- ------------ -------
Team Health Holdings
Inc 3,459,242 1.38%
----------------------------------------------------------------------------------- ------------ -------
Team Health Holdings Inc United States Health Care 2,005,944 0.80%
------------------------------ ---------------- --------------------------------- ------------ -------
Team Health Holdings Inc
6.375% 02/01/25 SR:144A United States Health Care 1,250,675 0.50%
------------------------------ ---------------- --------------------------------- ------------ -------
Team Health Holdings Inc
6.375% 02/01/25 SR:REGS United States Health Care 202,623 0.08%
------------------------------ ---------------- --------------------------------- ------------ -------
CSC Holdings LLC 3,273,750 1.31%
=================================================================================== ------------ -------
CSC Holdings LLC 5.750% Cable & Satellite
01/15/30 SR:144A United States Television 3,273,750 1.31%
============================== ---------------- --------------------------------- ------------ -------
Constellation 3,163,102 1.26%
----------------------------------------------------------------------------------- ------------ -------
Constellation 2L T/L GBP
07/21 New Zealand Automotive 2,534,618 1.01%
------------------------------ ---------------- --------------------------------- ------------ -------
Constellation 1L T/L-B
EUR 07/21 United Kingdom Automotive 628,484 0.25%
------------------------------ ---------------- --------------------------------- ------------ -------
EG Group Ltd 3,045,884 1.22%
----------------------------------------------------------------------------------- ------------ -------
Retailers (except
EG Group 2L T/L EUR 02/21 United Kingdom food and drug) 1,772,090 0.71%
------------------------------ ---------------- --------------------------------- ------------ -------
Retailers (except
Optifin T/L B 1L GBP United Kingdom food and drug) 769,991 0.31%
------------------------------ ---------------- --------------------------------- ------------ -------
Retailers (except
Optifin T/L B1 1L EUR United Kingdom food and drug) 503,803 0.20%
---------------- ---------------------------------
Uniti Group INC/CSL Capital
LLC 2,904,363 1.16%
=================================================================================== ============ =======
Uuniti Group/CSL Capital Telecommunications/Cellular
6.500% 02/15/29 United States Communications 2,904,363 1.16%
============================== ---------------- --------------------------------- ============ =======
First Brands Group LLC 2,832,100 1.14%
----------------------------------------------------------------------------------- ------------ -------
First Brands 1L T/L-B
03/21 United States Automotive 1,868,350 0.75%
------------------------------ ---------------- --------------------------------- ------------ -------
First Brands 2L T/L 03/21 United States Automotive 963,750 0.39%
------------------------------ ---------------- --------------------------------- ------------ -------
Cineworld Cinemas Holdings
Ltd 2,773,238 1.11%
----------------------------------------------------------------------------------- ------------ -------
Cineworld T/L B-1 11/20 United States Leisure Goods/Activities/Movies 2,773,238 1.11%
------------------------------ ---------------- --------------------------------- ------------ -------
Traverse Midstream Partners
LLC 2,764,255 1.11%
----------------------------------------------------------------------------------- ------------ -------
Traverse Midstream Partners
LLC United States Oil & Gas 2,764,255 1.11%
------------------------------ ---------------- --------------------------------- ------------ -------
Asurion LLC 2,755,300 1.10%
----------------------------------------------------------------------------------- ------------ -------
Asurion 2L T/L-B4 07/21 United States Insurance 1,935,050 0.77%
------------------------------ ---------------- --------------------------------- ------------ -------
Asurion LLC United States Insurance 8 20,250 0.33%
------------------------------ ---------------- --------------------------------- ------------ -------
Praire ECI Acquiror LP 2,750,213 1.10%
----------------------------------------------------------------------------------- ------------ -------
Praire ECI Acquiror LP United States Oil & Gas 2,750,213 1.10%
------------------------------ ---------------- --------------------------------- ------------ -------
CD&R Dock Bidco Ltd 2,645,788 1.06%
----------------------------------------------------------------------------------- ------------ -------
CD&R Dock Bidco Ltd United Kingdom Food Service 2,380,127 0.95%
------------------------------ ---------------- --------------------------------- ------------ -------
CD&R Dock Bidco Ltd United Kingdom Food Service 265,661 0.11%
------------------------------ ---------------- --------------------------------- ------------ -------
Redstone Buyer LLC 2,601,210 1.03%
----------------------------------------------------------------------------------- ------------ -------
Redstone Buyer LLC United States Electronics/Electrical 2,049,090 0.81%
------------------------------ ---------------- --------------------------------- ------------ -------
Redstone Buyer LLC United States Electronics/Electrical 552,120 0.22%
------------------------------ ---------------- --------------------------------- ------------ -------
48,697,651 19.47%
--------------------------------------------------------------------------------- ------------ -------
As at 31 December 2021, issuers with the following investments
comprised of greater than 1% of NAV (Excluding cash) (Audited):
Securities % of
(EXPRESSED IN U.S. DOLLARS) Country Industry Fair Value NAV
============================== ============= ============================= =========== =======
Intelsat Jackson Holdings
SA 5,745,682 1.82%
---------------------------------------------------------------------------- ----------- -------
Telecommunications/Cellular
Intelsat DIP 1L 09/21 DIP Luxembourg Communications 3,469,942 1.10%
------------------------------ ------------- ----------------------------- ----------- -------
Telecommunications/Cellular
Intelsat Jackson Hldg Luxembourg Communications 962,182 0.30%
------------------------------ ------------- ----------------------------- ----------- -------
Telecommunications/Cellular
Intelsat Jackson Hldg Luxembourg Communications 812,395 0.26%
------------------------------ ------------- ----------------------------- ----------- -------
Telecommunications/Cellular
Intelsat Jackson Hldg Luxembourg Communications 501,163 0.16%
------------------------------ ------------- ----------------------------- ----------- -------
Chariot Buyer LLC 5,218,500 1.65%
---------------------------------------------------------------------------- ----------- -------
Chamberlain Group 2L TL United
10/21 States Building & Development 5,218,500 1.65%
------------------------------ ------------- ----------------------------- ----------- -------
Constellation 4,757,863 1.52%
---------------------------------------------------------------------------- ----------- -------
Constellation 2L TL-B GBP
07/21 New Zealand Automotive 3,204,961 1.02%
------------------------------ ------------- ----------------------------- ----------- -------
Constellation 1L TL GBP
07/21 New Zealand Automotive 779,188 0.25%
------------------------------ ------------- ----------------------------- ----------- -------
Constellation 1L TL-B EUR United
07/21 Kingdom Automotive 773,714 0.25%
------------------------------ ------------- ----------------------------- ----------- -------
Team Health Holdings Inc 4,530,017 1.43%
---------------------------------------------------------------------------- ----------- -------
United
Team Health Holdings Inc States Health Care 2,572,216 0.81%
------------------------------ ------------- ----------------------------- ----------- -------
Team Health Holdings Inc United
6.375% 02/01/25 SR:144A States Health Care 1,684,838 0.53%
------------------------------ ------------- ----------------------------- ----------- -------
Team Health Holdings Inc United
6.375% 02/01/25 SR:REGS States Health Care 272,963 0.09%
------------------------------ ------------- ----------------------------- ----------- -------
CSC Holdings LLC 4,483,125 1.42%
---------------------------------------------------------------------------- ----------- -------
CSC Holdings LLC 5.750% United Cable & Satellite
01/15/30 SR:144A States Television 4,483,125 1.42%
------------------------------ ------------- ----------------------------- ----------- -------
Great Outdoors Group LLC 3,965,858 1.26%
============================================================================ ----------- -------
United Retailers (except
Bass Pro 1L TL-B 02/21 States food and drug) 3,965,858 1.26%
============================== ------------- ----------------------------- ----------- -------
Uniti Group Inc/CSL Capital
LLC 3,951,380 1.25%
---------------------------------------------------------------------------- ----------- -------
Uniti Group Inc/CSL Capital United Telecommunications/Cellular
6.500% 02/15/29 SR:144A States Communications 3,951,380 1.25%
============================== ------------- ----------------------------- ----------- -------
EG Group Ltd 3,912,728 1.23%
---------------------------------------------------------------------------- ----------- -------
United Retailers (except
EG Group Ltd Kingdom food and drug) 2,313,710 0.73%
============================== ------------- ----------------------------- ----------- -------
United Retailers (except
Optfin TL B 1L GBP Kingdom food and drug) 989,860 0.31%
------------------------------ ------------- ----------------------------- ----------- -------
United Retailers (except
Optfin TL B1 1L EUR Kingdom food and drug) 609,158 0.19%
------------------------------ ------------- ----------------------------- ----------- -------
Phoenix Newco Inc 3,603,600 1.14%
============================================================================ =========== =======
United
Parexel 2L TL-B 7/21 States Health Care 3,603,600 1.14%
============================== ------------- ----------------------------- =========== =======
American Airlines Group
Inc 3,557,457 1.12%
---------------------------------------------------------------------------- ----------- -------
United
AAdvantage 1L TL 03/21 States Air Transport 2,477,532 0.78%
------------------------------ ------------- ----------------------------- ----------- -------
American Airlines Group United
3.750% 03/01/25 SR:144A States Air Transport 1,079,925 0.34%
------------------------------ ------------- ----------------------------- ----------- -------
Brock Holdings III Inc 3,288,557 1.04%
---------------------------------------------------------------------------- ----------- -------
Brock Holdings Notes 15% United Business Equipment
04/24/22 States & Services 1,896,183 0.60%
------------------------------ ------------- ----------------------------- ----------- -------
United Business Equipment
Brock Holdings III Inc. States & Services 1,392,374 0.44%
------------------------------ ------------- ----------------------------- ----------- -------
Asurion LLC 3,246,444 1.03%
---------------------------------------------------------------------------- ----------- -------
United
Asurion 2L TL-B4 07/21 States Insurance 2,279,031 0.72%
------------------------------ ------------- ----------------------------- ----------- -------
United
Asurion LLC States Insurance 967,413 0.31%
------------------------------ ------------- ----------------------------- ----------- -------
CD&R Dock Bidco Ltd 3,212,075 1.03%
---------------------------------------------------------------------------- ----------- -------
United
CD&R Dock Bidco Ltd Kingdom Food Service 2,888,700 0.92%
------------------------------ ------------- ----------------------------- ----------- -------
United
CD&R Dock Bidco Ltd Kingdom Food Service 323,375 0.11%
------------------------------ ------------- ----------------------------- ----------- -------
53,473,286 16.94%
-------------------------------------------------------------------------- ----------- -------
As at 30 June 2022, the below were the largest 50 investments
based on the NAV:
Securities Fair
(EXPRESSED IN U.S. value
DOLLARS) Country Industry $ %
-------------------------- ---------------- --------------------------------- ------------ -------
Chariot Buyer LLC United States Building & Development 5,218,500 2.09%
-------------------------- ---------------- --------------------------------- ------------ -------
Phoenix newco Inc United States Health Care 3,476,200 1.39%
-------------------------- ---------------- --------------------------------- ------------ -------
Cable & Satellite
CSC holdings LLC United States Television 3,273,750 1.31%
-------------------------- ---------------- --------------------------------- ------------ -------
Brock Holdings Notes Business Equipment
15% 04/24/24 United States & Services 3,254,318 1.30%
-------------------------- ---------------- --------------------------------- ------------ -------
Uniti Group INC/CSL Telecommunications/Cellular
Capital LLC United States Communications 2,904,363 1.16%
-------------------------- ---------------- --------------------------------- ------------ -------
Cineworld Cinemas
Holdings Ltd United States Leisure Goods/Activities/Movies 2,773,238 1.11%
-------------------------- ---------------- --------------------------------- ------------ -------
Traverse Midstream
Partners LLC United States Oil & Gas 2,764,255 1.11%
-------------------------- ---------------- --------------------------------- ------------ -------
Prairie ECI Acquiror
LP United States Oil & Gas 2,750,213 1.10%
-------------------------- ---------------- --------------------------------- ------------ -------
Constellation Automotive
Ltd New Zealand Automotive 2,534,618 1.01%
-------------------------- ---------------- --------------------------------- ------------ -------
CD&R Dock Bidco Ltd United Kingdom Food Service 2,380,127 0.95%
-------------------------- ---------------- --------------------------------- ------------ -------
American Airlines
Group Inc United States Air Transport 2,280,375 0.91%
-------------------------- ---------------- --------------------------------- ------------ -------
New Fortress Energy
Inc United States Utilities 2,186,067 0.87%
-------------------------- ---------------- --------------------------------- ------------ -------
Altice France Holding Cable & Satellite
SA France Television 2,136,467 0.86%
-------------------------- ---------------- --------------------------------- ------------ -------
Sophia LP United States Electronics/Electrical 2,084,250 0.83%
-------------------------- ---------------- --------------------------------- ------------ -------
Redstone Buyer LLC United States Electronics/Electrical 2,049,090 0.82%
-------------------------- ---------------- --------------------------------- ------------ -------
Team Health Holdings
Inc United States Health Care 2,005,944 0.80%
-------------------------- ---------------- --------------------------------- ------------ -------
Varsity Brands Holding
Co Inc United States Clothing & Textiles 1,959,094 0.78%
-------------------------- ---------------- --------------------------------- ------------ -------
Asurion LLC United States Insurance 1,935,050 0.77%
-------------------------- ---------------- --------------------------------- ------------ -------
Woof Intermediate
Inc United States Food Products 1,920,000 0.77%
-------------------------- ---------------- --------------------------------- ------------ -------
Assuredpartners Inc United States Insurance 1,897,260 0.76%
-------------------------- ---------------- --------------------------------- ------------ -------
Vistra Corp United States Utilities 1,887,600 0.75%
-------------------------- ---------------- --------------------------------- ------------ -------
First Brands Group
LLC United States Automotive 1,868,350 0.75%
-------------------------- ---------------- --------------------------------- ------------ -------
Quantum Health Inc United States Health Care 1,861,200 0.75%
-------------------------- ---------------- --------------------------------- ------------ -------
Kestrel Acquisition
LLC United States Utilities 1,846,560 0.74%
-------------------------- ---------------- --------------------------------- ------------ -------
Vistajet Malta 6.375%
02/01/30 Malta Air Transport 1,788,000 0.72%
-------------------------- ---------------- --------------------------------- ------------ -------
Brock holdings III Business Equipment
LLC United States & Services 1,780,188 0.71%
-------------------------- ---------------- --------------------------------- ------------ -------
Retailers (except
EG Group Ltd United Kingdom food and drug) 1,772,090 0.71%
-------------------------- ---------------- --------------------------------- ------------ -------
Comstock Resources
Inc United States Oil & Gas 1,758,700 0.71%
-------------------------- ---------------- --------------------------------- ------------ -------
FCG Acquisitions
Inc United States Industrial Equipment 1,742,875 0.70%
-------------------------- ---------------- --------------------------------- ------------ -------
AA Bond Co Ltd United States Financial Intermediaries 1,724,747 0.69%
-------------------------- ---------------- --------------------------------- ------------ -------
Magnetite CLO Ltd
Mgane_15-15X United States Financial Intermediaries 1,723,979 0.69%
-------------------------- ---------------- --------------------------------- ------------ -------
Redwood Star Merger
Sub 8.750% 04/01/30 United States Industrial Equipment 1,675,000 0.67%
-------------------------- ---------------- --------------------------------- ------------ -------
CQP Holdco LP United States Oil & Gas 1,654,380 0.66%
-------------------------- ---------------- --------------------------------- ------------ -------
MHI Holdings LLC United States Industrial Equipment 1,625,396 0.65%
-------------------------- ---------------- --------------------------------- ------------ -------
Minerva Merger Sub
Inc 6.500% 02/15/30 United States Health Care 1,622,650 0.65%
-------------------------- ---------------- --------------------------------- ------------ -------
The Edelman Financial
Group Inc United States Financial Intermediaries 1,611,249 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
Realogy Group/Co-Issuer
5.250% 04/15/30 United States Building & Development 1,605,800 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
Nonferrous Metals
US Silica Co United States & Minerals 1,605,617 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
Tibco Software Inc United States Electronics/Electrical 1,583,573 0.63%
-------------------------- ---------------- --------------------------------- ------------ -------
Global Aircraft Leasing
Co Ltd United States Equipment Leasing 1,569,919 0.63%
-------------------------- ---------------- --------------------------------- ------------ -------
Nonferrous Metals
Covia Holdings LLC United States & Minerals 1,568,491 0.63%
-------------------------- ---------------- --------------------------------- ------------ -------
Optiv Inc United States Electronics/Electrical 1,523,508 0.61%
-------------------------- ---------------- --------------------------------- ------------ -------
Ivanti Software Inc United States Electronics/Electrical 1,521,958 0.61%
-------------------------- ---------------- --------------------------------- ------------ -------
Convergeone Holdings
Inc United States Electronics/Electrical 1,481,372 0.59%
-------------------------- ---------------- --------------------------------- ------------ -------
Epicor Software Corp United States Electronics/Electrical 1,461,674 0.58%
-------------------------- ---------------- --------------------------------- ------------ -------
Tecta America Corp United States Building & Development 1,455,000 0.58%
-------------------------- ---------------- --------------------------------- ------------ -------
TRNTS 2019-10x ER
FLT 01/15/35 United States Financial Intermediaries 1,453,403 0.58%
-------------------------- ---------------- --------------------------------- ------------ -------
Constant Contact
Inc United States Electronics/Electrical 1,440,000 0.58%
-------------------------- ---------------- --------------------------------- ------------ -------
Syncsort Incorporated
(clearlake) United States Electronics/Electrical 1,432,376 0.58%
-------------------------- ---------------- --------------------------------- ------------ -------
APX Group Inc 6.750% Business Equipment
02/15/27 United States & Services 1,406,115 0.56%
-------------------------- ---------------- --------------------------------- ------------ -------
100,834,949 40.33%
----------------------------------------------------------------------------- ------------ -------
As at 31 December 2021, the below were the largest 50
investments based on the NAV (Audited):
Securities Fair
(EXPRESSED IN U.S. value
DOLLARS) Country Industry $ %
-------------------------- ---------------- --------------------------------- ------------ -------
Chariot Buyer LLC United States Building & Development 5,218,500 1.65%
-------------------------- ---------------- --------------------------------- ------------ -------
Cable & Satellite
CSC holdings LLC United States Television 4,483,125 1.42%
-------------------------- ---------------- --------------------------------- ------------ -------
Great Outdoors Group Retailers (except
LLC United States food and drug) 3,965,858 1.26%
-------------------------- ---------------- --------------------------------- ------------ -------
Uniti Group Inc/CSL Telecommunications/Cellular
Capital LLC United States Communications 3,951,380 1.25%
-------------------------- ---------------- --------------------------------- ------------ -------
Phoenix newco Inc United States Health Care 3,603,600 1.14%
-------------------------- ---------------- --------------------------------- ------------ -------
Intelsat Jackson Telecommunications/Cellular
Hldg Luxembourg Communications 3,469,942 1.10%
-------------------------- ---------------- --------------------------------- ------------ -------
Constellation Automotive
Ltd United Kingdom Automotive 3,204,961 1.02%
-------------------------- ---------------- --------------------------------- ------------ -------
Traverse Midstream
Partners LLC United States Oil & Gas 2,973,781 0.94%
-------------------------- ---------------- --------------------------------- ------------ -------
Envision Healthcare
Corp United States Health Care 2,956,848 0.94%
-------------------------- ---------------- --------------------------------- ------------ -------
CD&R Dock Bidco Ltd United Kingdom Food Service 2,888,700 0.92%
-------------------------- ---------------- --------------------------------- ------------ -------
Prairie ECI Acquiror
LP United States Oil & Gas 2,847,585 0.90%
-------------------------- ---------------- --------------------------------- ------------ -------
Cineworld Cinemas
Holdings Ltd United States Leisure Goods/Activities/Movies 2,840,854 0.90%
-------------------------- ---------------- --------------------------------- ------------ -------
Deerfield Duff & Business Equipment
Phelps LLC United States & Services 2,759,813 0.88%
-------------------------- ---------------- --------------------------------- ------------ -------
BCP Renaissance Parent
LLC United States Oil & Gas 2,654,553 0.84%
-------------------------- ---------------- --------------------------------- ------------ -------
Milano Acquisition
LLC United States Insurance 2,572,904 0.82%
-------------------------- ---------------- --------------------------------- ------------ -------
Team Health Holdings
Inc United States Health Care 2,572,216 0.81%
-------------------------- ---------------- --------------------------------- ------------ -------
BCP Raptor LLC United States Oil & Gas 2,561,242 0.81%
-------------------------- ---------------- --------------------------------- ------------ -------
American Airlines
Group Inc United States Air Transport 2,477,532 0.78%
-------------------------- ---------------- --------------------------------- ------------ -------
Retailers (except
EG Group Ltd United Kingdom food and drug) 2,313,710 0.73%
-------------------------- ---------------- --------------------------------- ------------ -------
Redstone Buyer LLC United States Electronics/Electrical 2,290,531 0.73%
-------------------------- ---------------- --------------------------------- ------------ -------
Asurion LLC United States Insurance 2,279,031 0.72%
-------------------------- ---------------- --------------------------------- ------------ -------
BCP Raptor II LLC United States Oil & Gas 2,276,000 0.72%
-------------------------- ---------------- --------------------------------- ------------ -------
Sophia LP United States Electronics/Electrical 2,155,125 0.69%
-------------------------- ---------------- --------------------------------- ------------ -------
AA Bond Co Ltd United States Financial Intermediaries 2,114,665 0.67%
-------------------------- ---------------- --------------------------------- ------------ -------
CQP Holdco LP United States Oil & Gas 2,035,313 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
Magnetite CLO Ltd
Mgane_15-15X United States Financial Intermediaries 2,021,029 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
Woof Intermediate
Inc United States Food Products 2,011,260 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
MHI Holdings LLC United States Industrial Equipment 2,001,074 0.64%
-------------------------- ---------------- --------------------------------- ------------ -------
Global Air Lease
Co Ltd 6.500% 09/15/24 United States Equipment Leasing 1,999,963 0.63%
-------------------------- ---------------- --------------------------------- ------------ -------
First Brands Group
LLC United States Automotive 1,990,955 0.63%
-------------------------- ---------------- --------------------------------- ------------ -------
Quantum Health Inc United States Health Care 1,987,513 0.63%
-------------------------- ---------------- --------------------------------- ------------ -------
New Fortress Energy
Inc United States Utilities 1,925,450 0.61%
-------------------------- ---------------- --------------------------------- ------------ -------
Brock Holdings Notes Business Equipment
15% 04/24/22 United States & Services 1,896,183 0.60%
-------------------------- ---------------- --------------------------------- ------------ -------
Kestrel Acquisition
LLC United States Utilities 1,832,862 0.58%
-------------------------- ---------------- --------------------------------- ------------ -------
Ivanti Software Inc United States Electronics/Electrical 1,781,602 0.56%
-------------------------- ---------------- --------------------------------- ------------ -------
The Edelman Financial
Group Inc United States Financial Intermediaries 1,772,956 0.56%
-------------------------- ---------------- --------------------------------- ------------ -------
Convergeone Holdings
Inc United States Electronics/Electrical 1,711,394 0.54%
-------------------------- ---------------- --------------------------------- ------------ -------
Team Health Holdings
Inc 6.375% 02/01/25 United States Health Care 1,684,838 0.53%
-------------------------- ---------------- --------------------------------- ------------ -------
FCG Acquisitions
Inc United States Industrial Equipment 1,677,795 0.53%
-------------------------- ---------------- --------------------------------- ------------ -------
Trinitas CLO Ltd
TRNTS_19-10X United States Financial Intermediaries 1,657,201 0.52%
-------------------------- ---------------- --------------------------------- ------------ -------
Nonferrous Metals
Covia Holdings LLC United States & Minerals 1,656,820 0.52%
-------------------------- ---------------- --------------------------------- ------------ -------
Nonferrous Metals
US Silica Co United States & Minerals 1,640,869 0.52%
-------------------------- ---------------- --------------------------------- ------------ -------
Tibco Software Inc United States Electronics/Electrical 1,621,734 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Crosby US Acquisition
Corp United States Industrial Equipment 1,615,232 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Altice France Holding Cable & Satellite
SA France Television 1,612,500 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Varsity Brands Holding
Co Inc United States Clothing & Textiles 1,604,256 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Sundyne US Purchaser
Inc United States Industrial Equipment 1,596,618 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Syncsort Incorporated
(clearlake) United States Electronics/Electrical 1,596,000 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Optiv Inc United States Electronics/Electrical 1,585,513 0.51%
-------------------------- ---------------- --------------------------------- ------------ -------
Comstock Resources
Inc United States Oil & Gas 1,583,625 0.50%
-------------------------- ---------------- --------------------------------- ------------ -------
117,533,011 37.23%
----------------------------------------------------------------------------- ------------ -------
FINANCIAL STATEMENTS | Unaudited Statement of Operations
Unaudited Statement of Operations
(unaudited) (unaudited)
1 January 1 January
2022 to 2021 to
30 JUNE 30 JUNE
(Expressed in U.S. Dollars) Note 2022 2021
Income
------------------------------------------------------ ------ ------------- -------------
2(b),
Interest income net of withholding taxes 2(h) 10,568,184 9,730,851
------------------------------------------------------ ------ ------------- -------------
Other income from investments 10,585 237,690
------------------------------------------------------ ------ ------------- -------------
Total income 10,578,769 9,968,541
------------------------------------------------------ ------ ------------- -------------
Expenses
------------------------------------------------------ ------ ------------- -------------
Investment management and services 3 1,089,970 1,211,943
------------------------------------------------------ ------ ------------- -------------
Administration and professional fees 3 497,613 454,530
------------------------------------------------------ ------ ------------- -------------
Directors' fees and travel expenses 3 98,000 125,988
------------------------------------------------------ ------ ------------- -------------
Total expenses 1,685,583 1,792,461
------------------------------------------------------ ------ ------------- -------------
Net investment income 8,893,186 8,176,080
------------------------------------------------------ ------ ------------- -------------
Realised and unrealised gains and losses
------------------------------------------------------ ------ ------------- -------------
Net realised (loss)/gain on investments 2(e) (1,689,062) 3,641,818
------------------------------------------------------ ------ ------------- -------------
Net realised (loss)/gain on derivatives 2(e) (10,381,797) 15,888,418
------------------------------------------------------ ------ ------------- -------------
Total net realised (loss)/gain (12,070,859) 19,530,236
------------------------------------------------------ ------ ------------- -------------
Net change in unrealised (depreciation)/appreciation
on investments 2(e) (36,688,308) 2,896,505
------------------------------------------------------ ------ ------------- -------------
Net change in unrealised depreciation
on derivatives 2(e) (16,867,119) (12,064,807)
------------------------------------------------------ ------ ------------- -------------
Total net unrealised depreciation (53,555,427) (9,168,302)
------------------------------------------------------ ------ ------------- -------------
Realised and unrealised loss on foreign
currency 2(e) (295,165) (146,273)
------------------------------------------------------ ------ ------------- -------------
Net realised and unrealised ( loss)/gain (65,921,451) 10,215,661
------------------------------------------------------ ------ ------------- -------------
Net (decrease)/increase in net assets
resulting from operations (57,028,265) 18,391,741
------------------------------------------------------ ------ ------------- -------------
Earnings per share (GBP0.1780) GBP0.0536
------------------------------------------------------ ------ ------------- -------------
FINANCIAL STATEMENTS | Unaudited Statement of Changes in Net
Assets
Unaudited Statement of Changes in Net Assets
FOR THE period 1 January 2022 to 30 JUNE
2022
(Expressed in U.S. Dollars) VALUE
------------------------------------------- -------------
Net assets as at 1 January 2022 315,681,147
-------------------------------------------- -------------
Dividends (8,617,505)
-------------------------------------------- -------------
Net decrease in net assets resulting from
operations (57,028,265)
-------------------------------------------- -------------
Net assets as at 30 June 2022 250,035,377
-------------------------------------------- -------------
FOR THE period 1 January 2021 to 30 JUNE
2021
(Expressed in U.S. Dollars) VALUE
------------------------------------------- ------------
Net assets as at 1 January 2021 317,409,172
-------------------------------------------- ------------
Dividends (9,373,424)
-------------------------------------------- ------------
Net increase in net assets resulting from
operations 18,391,741
-------------------------------------------- ------------
Net assets as at 30 June 2021 326,427,489
-------------------------------------------- ------------
FINANCIAL STATEMENTS | Unaudited Statement of Cash Flows
Unaudited Statement of Cash Flows
(unaudited) (unaudited)
1 January 2022 1 January 2021
to to
(Expressed in U.S. Dollars) 30 JUNE 2022 30 JUNE 2021
------------------------------------------------- ----------------- -----------------
Cash flows from operating activities:
------------------------------------------------- ----------------- -----------------
Net (decrease)/increase in net assets
resulting from operations (57,028,265) 18,391,741
------------------------------------------------- ----------------- -----------------
Adjustment to reconcile net increase/(decrease)
in net assets resulting from operations
to net cash generated by operating
activities:
------------------------------------------------- ----------------- -----------------
Net realised loss/(gain) on investments 1,689,062 (3,641,818)
------------------------------------------------- ----------------- -----------------
Net change in unrealised depreciation
on investments and derivatives 53,555,427 9,168,302
------------------------------------------------- ----------------- -----------------
Net change in unrealised (loss)/gain
on translation of assets and liabilities (206,807) 457,533
------------------------------------------------- ----------------- -----------------
Amortisation of discounts/premiums (288,483) (296,851)
------------------------------------------------- ----------------- -----------------
Changes in receivables for investments
sold 1,202,716 949,078
------------------------------------------------- ----------------- -----------------
Changes in interest receivable(1) (856,779) (1,156,866)
------------------------------------------------- ----------------- -----------------
Changes in other receivables and prepayments 33,952 (114,684)
------------------------------------------------- ----------------- -----------------
Changes in payables for investments
purchased (3,514,019) (3,752,610)
------------------------------------------------- ----------------- -----------------
Changes in payables to Investment Manager
and affiliates (83,582) 48,101
------------------------------------------------- ----------------- -----------------
Changes in accrued expenses and other
liabilities 15,290 56,915
------------------------------------------------- ----------------- -----------------
Purchase of investments(2) (53,056,421) (129,966,492)
------------------------------------------------- ----------------- -----------------
Realisation of investments(2) 61,926,490 112,152,466
------------------------------------------------- ----------------- -----------------
Net cash generated from operating
activities 3,388,581 2,294,815
------------------------------------------------- ----------------- -----------------
Cash flows from financing activities:
------------------------------------------------- ----------------- -----------------
Net movement from share buybacks and
share swaps - -
------------------------------------------------- ----------------- -----------------
Dividends paid (8,593,365) (8,041,676)
------------------------------------------------- ----------------- -----------------
Net cash used in financing activities (8,593,365) (8,041,676)
------------------------------------------------- ----------------- -----------------
Effect of exchange rate changes on
cash 206,807 (457,533)
------------------------------------------------- ----------------- -----------------
Net decrease in cash and cash equivalents (4,997,977) (6,204,394)
------------------------------------------------- ----------------- -----------------
Cash and cash equivalents at beginning
of the period 11,667,943 15,894,923
------------------------------------------------- ----------------- -----------------
Cash and cash equivalents at end of
the period 6,669,966 9,690,529
------------------------------------------------- ----------------- -----------------
(1) Interest received for the period ended 30 June 2022 totalled
$9,711,405 (30 June 2021: $8,753,985)
(2) Included in these figures is $Nil (2021: $Nil) of non-cash
transactions. These can arise due to the repricing and
restructuring of certain investments during a period.
FINANCIAL STATEMENTS | Notes to the Unaudited Interim Financial
Statements
For the period ended 30 June 2022
NOTE 1 - DESCRIPTION OF BUSINESS
The Company is a closed-ended investment company incorporated
and registered in Guernsey with registered number 53155. It is a
non-cellular company limited by shares and has been declared by the
Guernsey Financial Services Commission to be a registered
closed-ended collective investment scheme. On 20 April 2011, the
Company was admitted to the Official List of the UK Listing
Authority with a premium listing trading on the Main Market of the
LSE.
The Company's investment objective is to provide its
shareholders with consistent levels of monthly income, while
maintaining or increasing the NAV per share over time. To pursue
its investment objective, the Company invests in credit assets with
the following target portfolio allocations: (i) 50-70% in
traditional credit, meaning high yield bonds, floating rate loans
and investment grade corporate bonds; and (ii) 30-50% in
alternative credit, meaning "special situations" (consisting
generally of tradeable but less liquid debt securities, such as
stressed credit and CLO debt tranches), mezzanine debt, "club" loan
transactions (being syndicated lending opportunities presented
through the Company's or Investment Manager's relationship with
loan arrangers and/or borrowers) and private corporate loans issued
directly to borrowers. Investments in alternative credit will not
represent more than 50% of NAV at the time of investment.
As previously required under Article 51 of the Company's
Articles of Incorporation (applicable at the time), at the AGM held
on 11 June 2020 an ordinary resolution was proposed that the
Company continues its business as a closed-ended investment company
and was duly passed. Following the EGM held on 8 September 2020
where all resolutions were passed, the Company adopted new Articles
which no longer require that a continuation vote be proposed. On 16
June 2022 the Board issued to Shareholders the EGM Circular setting
out the Cash Exit Facility Offer. The Cash Exit Facility Offer gave
Shareholders the opportunity to tender up to 25 per cent. of their
Shares at a discount of 2 per cent. to NAV per Share on 30 June
2022.
Elections to participate in the Cash Exit Facility Offer were
received with respect to 25,500,417 Shares, equivalent to 10.32 per
cent. of the 247,185,038 Shares in issue (excluding 76,083,114
treasury shares). The Directors and any funds managed by Neuberger
Berman did not participate in the Cash Exit Facility Offer in
respect of those Shares held by them. Following faster than
anticipated settlement of trades and in combination with the timing
of other cash receipts, the Company had sufficient cash available
to fund the Redemption Proceeds in full and a single Redemption
Proceeds payment was made to eligible Shareholders on 8 August
2022.
The next potential exercise of the Board's discretion to offer
Shareholders a partial cash exit opportunity by way a redemption
offer would be expected to close at end December 2022 and
subsequent Cash Exit Facility Offers may be made at six monthly
intervals thereafter. The Board has confirmed its intention in
future to offer an overallocation redemption facility to redeeming
investors to the extent that capacity is available from those
investors who elect not to redeem Shares. Should the NAV of the
Company fall beneath GBP150 million, the Board reiterates its
intention subject to market conditions at the time to propose a
winding-up of the Company.
NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of preparation
The accompanying unaudited interim financial statements
("Financial Statements") which give a true and fair view, have been
prepared on a going concern basis and in accordance with accounting
principles generally accepted in the United States of America ("US
GAAP"), The Companies (Guernsey) Law 2008 and the Financial
Accounting Standards Board ("FASB") Accounting Standards
Codification ("ASC") Topic 946 ("ASC 946"). The Board believes that
the underlying assumptions are appropriate and that the Company's
Financial Statements therefore are fairly presented in accordance
with US GAAP.
The Directors have undertaken a rigorous review of the Company's
ability to continue as a going concern including reviewing the
on-going cash flows and the level of cash balances, the liquidity
of investments and the income deriving from those investments as of
the reporting date and have determined that the Company has
adequate financial resources to meet its liabilities as they fall
due. However, should there be a cash exit offer at the end of
December 2022 which is substantially taken up by Shareholders, the
Company's NAV would then likely drop below GBP150m, which would
result in the Board, subject to market conditions at the time,
bringing forward a proposal to wind-up the Company. This currently
represents a material uncertainty as to the ability of the Company
to continue in operation. After making enquiries of the Investment
Manager and the Sub-Administrator, the Directors are however,
satisfied that the Company has adequate resources to discharge its
liabilities as they fall due for at least one year from the date
these Unaudited Interim Financial Statements were approved.
Accordingly, notwithstanding this material uncertainty, the
Directors considered it appropriate to prepare the Unaudited
Interim Financial Statements on the going concern basis.
New Accounting Standards
There are no new accounting standards or updates to existing
standards that would be expected to have a significant impact on
the Company.
(a) Critical accounting judgement and estimates
The preparation of Financial Statements in conformity with US
GAAP requires that the Directors make estimates and assumptions
that affect the application of policies and reported amounts of
assets and liabilities, income and expenses. Such estimates and
associated assumptions are generally based on historical experience
and various other factors that are believed to be reasonable under
the circumstances, and form the basis of making the judgments about
attributing values of assets and liabilities that are not readily
apparent from other sources. Actual results may vary from such
accounting estimates in amounts that may have a material impact on
the financial results and position of the Company.
Critical accounting estimates
The only area where estimates are significant to the Financial
Statements is the valuation of investments in Note 2(e).
Critical judgements
The functional currency for the Company is U.S. Dollars because
this is the currency of the primary economic environment in which
it operates.
The Directors consider that the Company is engaged in a single
segment of business, being investment into credit assets with
target portfolio allocations as per the Company's investment
policy, hence segment reporting is not required.
(b) Revenue recognition
Interest earned on debt instruments is accounted for net of
applicable withholding taxes and is recognised as income over the
terms of the loans. Discounts received or premiums paid in
connection with the acquisition of loans are amortised into
interest income using the effective interest method over the
contractual life of the related loan. If a loan is paid off prior
to maturity, the recognition of the fees and costs is accelerated
as appropriate. The Company raises a provision when the collection
of interest is deemed doubtful.
(c) Cash and cash equivalents
The Company's cash and cash equivalents comprise cash in hand
and demand deposits and highly liquid investments with original
maturities of less than 90 days that are both readily convertible
to known amounts of cash and so near maturity that they represent
insignificant risk of changes in value.
(d) Foreign currency transactions
Monetary assets and liabilities denominated in a currency other
than U.S. Dollars are remeasured in U.S. Dollar equivalents using
spot rates as at the reporting date. On initial recognition, a
foreign currency transaction is recorded and converted at the spot
exchange rate at the transaction date. Non-monetary assets and
liabilities measured at fair value are translated using spot rates
as at the date when fair value is determined. Transactions during
the period, including purchases and sales of securities, income and
expenses, are translated at the rate of exchange prevailing on the
date of the transaction . The rates of exchange against U.S.
Dollars at 30 June 2022 were 1.21450 USD: 1GBP and 1.04540 USD:
1EUR (31 December 2021 were 1.35440 USD: 1GBP and 1.13720 USD:
1EUR).
(e) Fair value of financial instruments and derivatives
The fair value of the Company's assets and liabilities that
qualify as financial instruments under FASB ASC 825, Financial
Instruments, approximate the carrying amounts presented in the
Statement of Assets and Liabilities. A financial instrument is
defined by FASB ASC 825 as cash, evidence of an ownership interest
in an entity, or a contract that creates a contractual obligation
or right to deliver to or receive cash or another financial
instrument from a second entity on potentially favourable terms.
Fair value estimates are made at a discrete point in time, based on
relevant market data, information about the financial instruments,
and other factors.
Fair value was determined using available market information and
appropriate valuation methodologies. Estimates of fair value of
financial instruments without quoted market prices are subjective
in nature and involve various assumptions and estimates that are
matters of judgment. Accordingly, fair values are not necessarily
indicative of the amounts realised on disposition of financial
instruments. The use of different market assumptions and/or
estimation methodologies may have a material effect on estimated
fair value amounts.
The following estimates and assumptions were used at 30 June
2022 to estimate the fair value of each class of financial
instruments:
- Valuation of financial investments - The special situations,
CLO debt tranches, private debt, global floating rate loans,
warrants and bonds are valued at bid price. The Investment Manager
and the Directors believe that bid price is the best estimate of
fair value and is in line with the valuation policy adopted by the
Company. In cases where no third party price is available, or where
the Investment Manager determines that the provided price is not an
accurate representation of the fair value of the investment, the
Investment Manager will determine the valuation based on the
Investment Manager's fair valuation policy. Any investments made
through the secondary market are generally marked based on market
quotations, to the extent available, and the Investment Manager
will take into account current pricing of the security.
- Cash and cash equivalents - The net realisable value is a
reasonable estimate of fair value due to the short-term nature of
these instruments.
- Receivables for investments sold - The net realisable value
reasonably approximates fair value as they reflect the value at
which investments are sold to a willing buyer and settlement period
on their balances is short term.
- Interest receivables - The net realisable value reasonably approximates fair value.
- Other receivables - The net realisable value reasonably approximates fair value.
- Private Debt - For the primary issuance of private debt
investments, the valuation is based on a discounted cash flow (DCF)
approach. For secondary purchases, the valuation is based on
unadjusted broker quotes or pricing provided by approved pricing
sources.
- Derivatives - The Company estimates fair values of derivatives
based on the latest available forward exchange rates.
- Payables for investments purchased - The net carrying value
reasonably approximates fair value as they reflect the value at
which investments are purchased from a willing seller and
settlement period on their balances is short term.
- Payables to the Investment Manager and affiliates - The net
carrying value reasonably approximates fair value when the
repayment period is short-term.
- Accrued expenses and other short-term liabilities - The net
carrying value reasonably approximates fair value when the
repayment period is short-term.
A fair value hierarchy that prioritises the inputs to valuation
techniques used to measure fair value is established under FASB ASC
Topic 820. The objective of a fair value measurement is to
determine the price that would be received to sell an asset or paid
to transfer a liability in an orderly transaction between market
participants at the measurement date (an exit price). Accordingly,
the fair value hierarchy gives the highest priority to valuations
based upon unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1) and the lowest priority to
valuations based upon unobservable inputs that are significant to
the valuation (Level 3).
The levels of the fair value hierarchy under FASB ASC Topic
820-10-35-39 to 55 are as follows:
The guidance establishes three levels of the fair value
hierarchy as follows:
Level 1 : Quoted prices are available in active markets for
identical investments as of the reporting date.
Level 2 : Inputs other than quoted prices included within Level
1 that are observable for the asset or liability, either directly
or indirectly.
Level 3 : Pricing inputs are unobservable for the investment and
include situations where there is little, if any, market activity
for the investment. The inputs used in the determination of the
fair value require significant management judgement or
estimation.
The inputs or methodologies used for valuing securities are not
necessarily an indication of the risk associated with investing in
those securities. Transfers between levels of the fair value
hierarchy are deemed to have occurred at the end of the reporting
period.
The Company, where possible, uses independent third-party
vendors to price its portfolio. As part of its valuation process,
the AIFM evaluates the number of broker quotes that combine to make
up the valuation provided by these vendors and if it believes that
the number of broker quotes is not sufficient to ensure a Level 2
price it designates those positions Level 3. As at 30 June 2022 the
AIFM designated 4 (31 December 2021: 12) of its Global Floating
Rate loans, 10 (31 December 2021: 10) of its Private Debt loans,
Nil (31 December 2021: Nil) of its Special Situations, 3 (31
December 2021: 1) of its Global High Yield Bonds, 1 of its Private
Equities (31 December 2021: 1) and 17 (31 December 2021: 18) CLO
Debt Tranches as Level 3. With respect to the level 3 Private
Equity position, the Investment Manager's Investment Committee has
derived the fair value, based on comparable companies in similar
industries.
The following table details the Company's financial instruments
that were accounted for at fair value as at 30 June 2022.
Financial Instruments at Fair Value as at 30 JUNE 2022
---------------------------------------------------------------------------------------
Level Level Level 3 Total
Financial investments 1 ($) 2 ($) ($) ($)
------------------------------ ---------- ------------- ------------ -------------
Private Debt - 51,740,872 9,816,750 61,557,622
------------------------------- ---------- ------------- ------------ -------------
Special Situations - 5,092,326 - 5,092,326
------------------------------- ---------- ------------- ------------ -------------
CLO Debt Tranches - 10,411,682 16,361,614 26,773,296
------------------------------- ---------- ------------- ------------ -------------
Global High Yield - 93,592,630 4,146,920 97,739,550
------------------------------- ---------- ------------- ------------ -------------
Global Floating Rate
Loans - 62,923,429 4,334,184 67,257,613
------------------------------- ---------- ------------- ------------ -------------
Equity - 199,403 1,780,188 1,979,591
------------------------------- ---------- ------------- ------------ -------------
Total financial investments - 223,960,342 36,439,656 260,399,998
------------------------------- ---------- ------------- ------------ -------------
Level Level Level 3 Total
1 ($) 2 ($) ($) ($)
------------------------------ ---------- ------------- ------------ -------------
Balance at start of
the period 532,417 264,560,590 42,265,947 307,358,954
------------------------------- ---------- ------------- ------------ -------------
Purchases during the
period (1) - 50,866,184 2,190,237 53,056,421
------------------------------- ---------- ------------- ------------ -------------
Sales during the period
(1) - (58,725,132) (3,201,358) (61,926,490)
------------------------------- ---------- ------------- ------------ -------------
Realised loss on investments - (1,627,497) (61,565) (1,689,062)
------------------------------- ---------- ------------- ------------ -------------
Unrealised loss on
revaluation (333,014) (34,471,392) (1,883,902) (36,688,308)
------------------------------- ---------- ------------- ------------ -------------
Amortisation - 288,483 - 288,483
------------------------------- ---------- ------------- ------------ -------------
Transfer from Level
1 to Level 2 (199,403) 199,403 - -
------------------------------- ---------- ------------- ------------ -------------
Transfer from Level
3 to Level 2 - 2,869,703 (2,869,703) -
------------------------------- ---------- ------------- ------------ -------------
Balance at end of
the period - 223,960,342 36,439,656 260,399,998
------------------------------- ---------- ------------- ------------ -------------
(1) Included in these figures is $Nil of non-cash transactions.
These arose due to the repricing and restructuring of certain
investments during the period.
Due to changes in observable inputs, the Company transferred
securities from Level 1 to Level 2 and from Level 3 to Level 2 of
the fair value hierarchy. Level 3 assets are valued using single
broker quotes or valuation models.
DERIVATIVES at Fair Value
as at 30 JUNE 2022
------------------------------------ -------------- ------- ------------- ------- -------------
No. of NOTIONAL Level Level Level Total
Financial assets contracts AMOUNTS 1 ($) 2 ($) 3 ($) ($)
----------------------- ----------- -------------- ------- ------------- ------- -------------
Derivatives (for
hedging purposes
only) 36 767,484,934 - 1,044,655 - 1,044,655
----------------------- ----------- -------------- ------- ------------- ------- -------------
Financial liabilities
----------------------- ----------- -------------- ------- ------------- ------- -------------
Derivatives (for
hedging purposes
only) 6 (741,734,867) - (19,494,876) - (19,494,876)
----------------------- ----------- -------------- ------- ------------- ------- -------------
Total 42 25,750,067 - (18,450,221) - (18,450,221)
----------------------- ----------- -------------- ------- ------------- ------- -------------
The Company considers the notional amounts as at 30 June 2022 to
be representative of the volume of its derivative activities during
the period ended 30 June 2022.
The following table details the Company's financial instruments
that were accounted for at fair value as at 31 December 2021.
Financial Instruments at Fair Value as at 31 DECEMBER 2021
--------------------------------------------------------------------------------------------
Level Level Level 3 Total
Financial investments 1 ($) 2 ($) ($) ($)
------------------------------ ------------ -------------- ------------- --------------
Private Debt - 58,188,397 10,440,000 68,628,397
------------------------------- ------------ -------------- ------------- --------------
Special Situations - 9,278,095 - 9,278,095
------------------------------- ------------ -------------- ------------- --------------
CLO Debt Tranches - 14,633,865 19,003,288 33,637,153
------------------------------- ------------ -------------- ------------- --------------
Global High Yield - 82,808,713 1,896,183 84,704,896
------------------------------- ------------ -------------- ------------- --------------
Global Floating Rate
Loans - 99,651,520 9,534,102 109,185,622
------------------------------- ------------ -------------- ------------- --------------
Equity 532,417 - 1,392,374 1,924,791
------------------------------- ------------ -------------- ------------- --------------
Total financial investments 532,417 264,560,590 42,265,947 307,358,954
------------------------------- ------------ -------------- ------------- --------------
Level Level Level 3 Total
1 ($) 2 ($) ($) ($)
------------------------------ ------------ -------------- ------------- --------------
Balance at start of
the year - 264,634,951 33,077,294 297,712,245
------------------------------- ------------ -------------- ------------- --------------
Purchases during the
year (1) - 247,783,822 32,893,679 280,677,501
------------------------------- ------------ -------------- ------------- --------------
Sales during the year
(1) (1,786,169) (252,981,184) (17,265,899) (272,033,252)
------------------------------- ------------ -------------- ------------- --------------
Realised gain on investments 718,759 2,601,123 344,534 3,664,416
------------------------------- ------------ -------------- ------------- --------------
Unrealised gain/(loss)
on revaluation 152,842 (1,267,566) (2,094,839) (3,209,563)
------------------------------- ------------ -------------- ------------- --------------
Amortisation - 547,607 - 547,607
------------------------------- ------------ -------------- ------------- --------------
Transfer from Level
3 to Level 1 1,446,985 - (1,446,985) -
------------------------------- ------------ -------------- ------------- --------------
Transfer from Level
3 to Level 2 - 8,230,079 (8,230,079) -
------------------------------- ------------ -------------- ------------- --------------
Transfer from Level
2 to Level 3 - (4,988,242) 4,988,242 -
------------------------------- ------------ -------------- ------------- --------------
Balance at end of
the year 532,417 264,560,590 42,265,947 307,358,954
------------------------------- ------------ -------------- ------------- --------------
(1) Included in these figures is $38,785,967 of non-cash
transactions. These arose due to the repricing and restructuring of
certain investments during the year.
Due to changes in observable inputs, the Company transferred
securities from Level 2 to Level 3, from Level 3 to Level 2 and
from Level 3 to Level 1 of the fair value hierarchy. Level 3 assets
are valued using single broker quotes or valuation models.
DERIVATIVES at Fair Value
as at 31 DECEMBER 2021
------------------------------------ ---------------- --------------------- ------- ------------
No. of NOTIONAL Level Level Level Total
Financial assets contracts AMOUNTS 1 ($) 2 ($) 3 ($) ($)
----------------------- ----------- ---------------- ------- ------------ ------- ------------
Derivatives (for
hedging purposes
only) 5 1,508,873,601 551,564 - 551,564
----------------------- ----------- ---------------- ------- ------------ ------- ------------
Financial liabilities
----------------------- ----------- ---------------- ------- ------------ ------- ------------
Derivatives (for
hedging purposes
only) 12 (1,517,172,656) (2,134,666) - (2,134,666)
----------------------- ----------- ---------------- ------- ------------ ------- ------------
Total 17 (8,299,055) (1,583,102) - (1,583,102)
----------------------- ----------- ---------------- ------- ------------ ------- ------------
The Company considers the notional amounts as at 31 December
2021 to be representative of the volume of its derivative
activities during the year ended 31 December 2021.
The following tables summarise the significant unobservable
inputs the Company used to value its investments categorised within
Level 3 at 30 June 2022. The tables are not intended to be
all-inclusive but instead capture the significant unobservable
inputs relevant to the determination of fair values.
Unobservable Inputs as at 30 JUNE 2022
Sector Fair Significant Weighted
Value Primary Valuation unobservable Range Average
($) Technique Inputs / INPUT*
=================== =========== =================== ================ =========== =========
Unadjusted
Private Debt 9,816,750 Vendor Pricing Broker Quote 1 N/A
------------------- =========== =================== ================ =========== =========
Unadjusted
CLO Debt Tranches 16,361,614 Vendor Pricing Broker Quote 1 N/A
------------------- =========== =================== ================ =========== =========
Global High Yield 4,146,920 Vendor Pricing Enterprise N/A N/A
Value
------------------- =========== =================== ================ =========== =========
Global Floating Unadjusted
Rate Loans 4,334,184 Vendor Pricing Broker Quote 1 N/A
------------------- =========== =================== ================ =========== =========
Equity 1,780,188 Market Comparables EBITDA multiple 4-18 N/A
=================== =========== =================== ================ =========== =========
Total 36,439,656
=================== ===========
* Debt Investments with a single broker quote result in Level 3
classification. Unobservable inputs from the broker quote were not
included because the Company does not develop the quantitative
inputs and they are not readily available. The EBITDA multiple
increase/(decrease) results in an increase/(decrease) in the
valuation of the equity.
Unobservable Inputs as at 31 DECEMBER 2021
Sector Fair Value Primary Valuation Significant Weighted Average
($) Technique unobservable Inputs Range / INPUT*
=================== =========== ======================= ====================== ================ =================
Unadjusted Broker
Private Debt 10,440,000 Vendor Pricing Quote 1 N/A
------------------- =========== ======================= ====================== ================ =================
Unadjusted Broker
CLO Debt Tranches 19,003,288 Vendor Pricing Quote 1 N/A
------------------- =========== ======================= ====================== ================ =================
Second Lien
Global High Yield 1,896,183 Market Approach Quotations 98.63 N/A
------------------- =========== ======================= ====================== ================ =================
Global Floating Unadjusted Broker
Rate Loans 9,534,102 Vendor Pricing Quote 1 N/A
------------------- =========== ======================= ====================== ================ =================
Equity Enterprise N/A
value/EBITDA multiple
1,392,374 Market Approach (EV/EBITDA) 9x
=================== =========== ======================= ====================== ================ =================
Total 42,265,947
=================== ===========
* Debt Investments with a single broker quote result in Level 3
classification. Unobservable inputs from the broker quote were not
included because the Company does not develop the quantitative
inputs and they are not readily available. The EBITDA multiple
increase/(decrease) results in an increase/(decrease) in the
valuation of the equity.
Derivative activity
The derivatives assets and liabilities per each counterparty are
offset in accordance with the guidance in Accounting Standards
Codification Topic 210 (ASC 210) section 210-20-45 and ASC 815
section 815-10-45 to determine the net amounts presented in the
Statement of Assets and Liabilities. As at 30 June 2022, there were
5 counterparties for the forward contracts (31 December 2021: 5).
The Company is subject to enforceable master netting agreements
with its counterparties of foreign currency exchange contracts with
Royal Bank of Canada of $217,682 (31 December 2021: $145,582),
State Street of ($19,494,875) (31 December 2021: $551,564), Westpac
of $64,230 (31 December 2021: ($1,935,769)),Goldman Sachs of
$60,812 (31 December 2021: ($9,468)) and UBS AG of $701,931 (31
December 2021: ($43,846)). These agreements govern the terms of
certain transactions and reduce the counterparty risk associated
with relevant transactions by specifying offsetting mechanisms.
The following table, at 30 June 2022, show the gross and net
derivatives assets and liabilities by contract type and amount for
those derivatives contracts for which netting is permissible.
NET AMOUNTS OF
GROSS AMOUNTS RECOGNISED ASSETS
OFFSET IN THE PRESENTED IN THE
GROSS AMOUNTS STATEMENTS OF STATEMENT OF ASSETS
OF RECOGNISED ASSETS AND LIABILITIES AND LIABILITIES
DESCRIPTION ASSETS ($) ($) ($)
================== =============== ======================== =====================
Forward currency
contracts 3,318,445 (2,273,790) 1,044,655
================== =============== ======================== =====================
Total 3,318,445 (2,273,790) 1,044,655
================== =============== ======================== =====================
Net Amounts of
Gross Amounts Recognised LIABILITIES
Offset in the Presented in the
Gross Amounts Statements of Statement of Assets
of Recognised Assets and Liabilities and Liabilities
Description Liabilities ($) ($) ($)
================== ================= ======================== ========================
Forward currency
contracts (21,768,666) 2,273,790 (19,494,876)
================== ================= ======================== ========================
Total (21,768,666) 2,273,790 (19,494,876)
================== ================= ======================== ========================
There is no collateral for forward contracts.
The following table, at 31 December 2021, show the gross and net
derivatives assets and liabilities by contract type and amount for
those derivatives contracts for which netting is permissible.
NET AMOUNTS OF
GROSS AMOUNTS RECOGNISED ASSETS
OFFSET IN THE PRESENTED IN THE
GROSS AMOUNTS STATEMENTS OF STATEMENT OF ASSETS
OF RECOGNISED ASSETS AND LIABILITIES AND LIABILITIES
DESCRIPTION ASSETS ($) ($) ($)
================== =============== ======================== =====================
Forward currency
contracts 704,827 (153,263) 551,564
================== =============== ======================== =====================
Total 704,827 (153,263) 551,564
================== =============== ======================== =====================
Net Amounts of
Gross Amounts Recognised LIABILITIES
Offset in the Presented in the
Gross Amounts Statements of Statement of Assets
of Recognised Assets and Liabilities and Liabilities
Description Liabilities ($) ($) ($)
================== ================= ======================== ========================
Forward currency
contracts (2,287,929) 153,263 (2,134,666)
================== ================= ======================== ========================
Total (2,287,929) 153,263 (2,134,666)
================== ================= ======================== ========================
There is no collateral for forward contracts.
The following table presents the impact of derivative
instruments on the Statement of Operations in conformity with US
GAAP.
FOR THE PERIOD FOR THE PERIODEDED
30 June 2022 30 June 2021
($) ($)
----------------------------------------- ----------------- -----------------
Net realised gain/(loss) on derivatives (10,381,797) 15,888,418
----------------------------------------- ----------------- -----------------
Net change in unrealised depreciation
on derivatives (16,867,119) (12,064,807)
----------------------------------------- ----------------- -----------------
Total (27,248,916) 3,823,611
----------------------------------------- ----------------- -----------------
Primary underlying risks (credit risk, liquidity risk and market
risk) associated with the derivatives are explained in Note 4.
The Company presents the gain or loss on derivatives in the
Statement of Operations.
The net realised and unrealised gain/(loss) on investments shown
in the Statement of Operations For the period ended 30 June 2022 by
type of investment is as follows:
FOR THE PERIODED 30 JUNE 2022
(EXPRESSED IN U.S. DOLLARS)
----------------------------------------- -------------
Realised gain on investments 434,835
----------------------------------------- -------------
Realised loss on investments (2,123,897)
----------------------------------------- -------------
(1,689,062)
----------------------------------------- -------------
Realised gain on derivatives 3,958,146
----------------------------------------- -------------
Realised loss on derivatives (14,339,943)
----------------------------------------- -------------
(10,381,797)
----------------------------------------- -------------
Unrealised gain on investments 1,153,799
----------------------------------------- -------------
Unrealised loss on investments (37,842,107)
----------------------------------------- -------------
(36,688,308)
----------------------------------------- -------------
Unrealised gain on derivatives 5,639,877
----------------------------------------- -------------
Unrealised loss on derivatives (22,506,996)
----------------------------------------- -------------
(16,867,119)
----------------------------------------- -------------
Realised and unrealised gain on foreign
currency transactions 115,145
----------------------------------------- -------------
Realised and unrealised loss on foreign
currency transactions (410,310)
----------------------------------------- -------------
(295,165)
----------------------------------------- -------------
The net realised and unrealised gain/(loss) on investments shown
in the Statement of Operations for the period ended 30 June 2021 by
type of investment is as follows:
FOR THE PERIODED 30 JUNE 2021
(EXPRESSED IN U.S. DOLLARS)
----------------------------------------- -------------
Realised gain on investments 4,455,575
----------------------------------------- -------------
Realised loss on investments (813,757)
----------------------------------------- -------------
3,641,818
----------------------------------------- -------------
Realised gain on derivatives 21,649,677
----------------------------------------- -------------
Realised loss on derivatives (5,761,259)
----------------------------------------- -------------
15,888,418
----------------------------------------- -------------
Unrealised gain on investments 7,441,167
----------------------------------------- -------------
Unrealised loss on investments (4,544,662)
----------------------------------------- -------------
2,896,505
----------------------------------------- -------------
Unrealised gain on derivatives 2,856,106
----------------------------------------- -------------
Unrealised loss on derivatives (14.920.913)
----------------------------------------- -------------
(12,064,807)
----------------------------------------- -------------
Realised and unrealised gain on foreign
currency transactions 1,221,703
----------------------------------------- -------------
Realised and unrealised loss on foreign
currency transactions (1,367,976)
----------------------------------------- -------------
(146,273)
----------------------------------------- -------------
(f) Investment Transactions, Investment Income, Expenses and
Valuation
All investment transactions are recorded on a trade date basis.
Upon sale or maturity, the difference between the consideration
received and the cost of the investment is recognised as a realised
gain or loss. The cost is determined based on the first in, first
out ("FIFO") cost method.
The Company carries investments on its Statement of Assets and
Liabilities at fair value in accordance with US GAAP, with changes
in fair value recognised within the Statement of Operations in each
reporting period. Quoted investments are valued according to their
bid price as at the close of the relevant reporting date.
Investments in private securities are priced at the bid price using
a pricing service for private loans. Asset backed securities are
valued according to their bid price. If a price cannot be
ascertained from the above sources, the Company will seek bid
prices from third party broker/dealer quotes for the investments.
The Directors believe that bid price is the best estimate of fair
value and is in line with the valuation policy adopted by the
Company.
In cases where no third party price is available, or where the
Investment Manager determines that the provided price is not an
accurate representation of the fair value of the investment, the
Investment Manager determines the valuation based on the Investment
Manager's fair valuation policy. The overall criterion for fair
value is a price at which the securities involved would change
hands in a transaction between a willing buyer and a willing
seller, neither being under compulsion to buy or sell and both
having the same knowledge of the relevant facts.
Consistent with the above criterion, the following criteria are
considered when applicable:
-- Valuation of other securities by the same issuer for which market quotations are available;
-- Reasons for absence of market quotations;
-- The credit quality of the issuer and the related economics;
-- Recent sales prices and/or bid and ask quotations for the security;
-- Value of similar securities of issuers in the same or similar
industries for which market quotations are available;
-- Economic outlook of the industry;
-- Issuer's position in the industry;
-- The financial information of the issuer; and
-- The nature and duration of any restriction on disposition of the security.
(g) Derivative Contracts
The Company may, from time to time, hold derivative financial
instruments for the purposes of hedging foreign currency exposure.
These derivatives are measured at fair value in accordance with US
GAAP, with changes in fair value recognised within the Statement of
Operations in each reporting year.
Depending on the product and the terms of the transaction, the
fair value of the over the counter (OTC) derivative products, such
as foreign exchange contracts, can be modelled taking into account
the counterparties' credit worthiness and using a series of
techniques, including simulation models.
Many pricing models do not entail material subjectivity because
the methodologies employed do not necessitate significant judgments
and the pricing inputs are observed from actively quoted markets.
The forward exchange contracts valued by the Company using pricing
models fall into this category and are categorised within level 2
of the fair value hierarchy.
The Company may enter into forward foreign currency contracts to
hedge against foreign currency exchange risk and to support
efficient portfolio management.
As shares are denominated in Pound Sterling and investments are
denominated in U.S. Dollars, Euro or Sterling, holders of any class
of shares are subject to foreign currency fluctuations between the
currency in which such shares are denominated and the currency of
the investments made by the Company. Consequently, the Investment
Manager seeks to engage in currency hedging between the U.S. Dollar
and any other currency in which the assets of the Company or a
class of shares is denominated, subject to suitable hedging
contracts such as forward currency exchange contracts being
available in a timely manner and on terms acceptable to the
Investment Manager, in its sole and absolute discretion.
Note 2(e) details the gross and net derivative asset and
liability position by contract type and the amount for those
derivative contracts for which netting is permissible under US
GAAP. The derivative assets and liabilities have been netted where
an enforceable master netting arrangement is in place.
(h) Taxation
The Company is exempt from Guernsey tax on income derived from
non-Guernsey sources. However, certain of its underlying
investments may generate income that is subject to tax in other
jurisdictions, principally in the United States and typically by
way of withholding taxes levied on interest and other income paid
to the Company. During the period ended 30 June 2022, the Company
suffered withholding taxes of $10,524 (30 June 2021: $26,395). As
of 30 June 2022, withholding taxes receivable (reclaimed) totalled
$146,407 (30 June 2021:$119,879).
The changes to the Company's discount control policy approved by
shareholders at the Extraordinary General Meeting held on 8
September 2020 ("EGM") resulted in the Company becoming an
"offshore fund" for UK tax purposes under the UK's offshore fund
rules. On 26 January 2021 the Company was approved by HM Revenue
and Customs ("HMRC") to be treated as a "reporting fund" for these
purposes with effect from the beginning of its accounting period
commencing 1 January 2020 and is required to calculate its income
in accordance with the relevant rules applicable to offshore
reporting funds and report its "excess reportable income", if any,
to shareholders. This can be found on the Company's website.
In accordance with US GAAP, management is required to determine
whether a tax position of the Company is more likely than not to be
sustained upon examination by the applicable taxing authority,
including resolution of any related appeals or litigation
processes, based on the technical merits of the position. The tax
benefit to be recognised is measured as the largest amount of
benefit that has 50% or higher chance of being realised upon
ultimate settlement. De-recognition of a tax benefit previously
recognised could result in the Company recording a tax liability
that would reduce net assets. This policy also provides guidance on
thresholds, measurement, de-recognition, classification, interest
and penalties, accounting in periods, disclosure, and transition
that intends to provide better Financial Statements comparability
among different entities.
As of 30 June 2022, the Company has recorded no liability for
net unrecognised tax benefits relating to uncertain tax positions
it has taken or expects to take in future tax returns (31 December
2021: Nil)
(i) Dividends
Dividends are charged in the Statement of Changes in Net Assets
in the period in which the dividends are declared.
(j) Expenses
Operating expenses are recognised in the Statement of Operations
on an accruals basis. Operating expenses include amounts directly
or indirectly incurred by the Company as part of its
operations.
(k) Share capital, share buybacks and treasury shares
Any costs incurred by a share buyback and by a sale of shares
held in treasury will be charged to that share class. Costs
directly attributable to the issue of new shares (that would have
been avoided if there had not been a new issue of new shares) are
written off against the value of the ordinary share premium.
Dividends paid on the ordinary shares are recognised in the
Statement of Changes in Equity. The Company's own shares can be
repurchased and held in treasury to be reissued in the future or
subsequently cancelled. Holders of ordinary shares are entitled to
attend, speak and vote at general meetings of the Company. Each
ordinary share (excluding shares in treasury) carries one vote.
Shares held in treasury do not carry voting rights.
NOTE 3 - AGREEMENTS AND RELATED PARTIES TRANSACTIONS
Related Party Agreements
Investment Management Agreement
The Board is responsible for managing the business affairs of
the Company but delegates certain functions to the Investment
Manager under the Investment Management Agreement (the "Agreement")
dated 18 March 2011.
The Manager of the Company is Neuberger Berman Europe Limited
(which is a related party), an indirectly wholly owned subsidiary
of Neuberger Berman Group LLC. On 17 July 2014, the Company, the
Manager and Neuberger Berman Investment Advisers LLC (which was the
Sub-Investment Manager) made certain classification amendments to
the Agreement for the purposes of the AIFM Directive.
The Sub-Investment Management Agreement was terminated on 17
July 2014 and the Sub-Investment Manager was appointed as the AIFM
per the amended and restated Investment Management Agreement
("IMA") dated 17 July 2014. The Manager, Neuberger Berman Europe
Limited, was appointed under the same agreement. In accordance with
the terms of the IMA, the Manager shall pay a fee to the AIFM out
of the Investment Management fee received from the Company. The
Company does not pay any fees to the AIFM . On 31 December 2017,
the Company entered into an Amendment Agreement amending the IMA in
respect of the manufacture of the Company's Key Information
Document by the AIFM, MiFID II, anti-money laundering and bribery,
cyber security and data protection. On 1 October 2019, the IMA was
amended to reflect a reduction in the Investment Manager's fee and
was amended again effective 8 September 2020 to reflect further
changes to the Investment Manager's fee.
The AIFM is responsible for risk management and the
discretionary management of the assets held in the Company's
portfolio and will conduct the day-to-day management of the
Company's assets (including uninvested cash). The AIFM is not
required to submit and generally will not submit individual
investment decisions for approval by the Board. The Manager
provides certain administrative services to the Company.
Until 7 September 2020, the Manager was entitled to a management
fee of 0.65% per annum of the Company's NAV. The IMA was amended on
8 September 2020 and the Investment Manager thereafter is entitled
to the following rates per annum of the Company's NAV:
On first GBP500m of the NAV 0.75%
On GBP500m - GBP750m of the NAV 0.70%
On 750m - GBP1bn of the NAV 0.65%
Any amount greater than GBP1bn of the NAV 0.60%
For the period ended 30 June 2022, the management fee expense
was $1,089,970 (30 June 2021: $1,211,943), of which $515,553 (30
June 2021: $615,706) was unpaid at the period end.
The Manager is not entitled to a performance fee.
Directors
The Directors are related parties and are remunerated for their
services at a fee of GBP40,000 per annum each (GBP50,000 for the
Chair). The Chair of the Audit and Risk Committee receives an
additional GBP6,000 for services in this role. The Chair of the
Management Engagement Committee and the Chair of the Remuneration
and Nomination Committee receive an additional GBP3,000 each per
annum and the Senior Independent Director receives an additional
GBP3,000 per annum. For the period ended 30 June 2022, the
Directors' fees and travel expenses amounted to $98,000 (30 June
2021: $125,988). Of these, $Nil were owing at the period-end (30
June 2021: $Nil).
As at 30 June 2022, Mr Dorey (inc. spouse) and Mr Staples held
245,671 and 45,000 Sterling Ordinary Shares in the Company
respectively (30 June 2021: Mr Dorey (inc. spouse) and Mr Staples
held 245,671 and 45,000 Sterling Ordinary Shares in the Company
respectively). Mrs Platts resigned as a Director on 14 June 2021.
Ms. Duhot did not hold any shares in the Company at 30 June 2022
(30 June 2021: Nil). As at 30 June 2022 Mr Dorey's wife held 80,671
Sterling Ordinary Shares (30 June 2021: 80,671 Sterling Ordinary
Shares).
During the period ended June 2022, the Directors received the
following dividend payments on their shares held: Mr Dorey GBP6,758
(2021: GBP3,861); Mr Staples GBP1,238 (2021: GBP1,053) and Mr
Dorey's wife received $2,219 (2021: GBP1,887).
Neuberger Berman Europe Limited and Neuberger Berman Investment
Advisers LLC
The contracts with Neuberger Berman Europe Limited and Neuberger
Berman Investment Advisers LLC are classified as related party
transactions. Other than fees payable in the ordinary course of
business and the additional fees disclosed in Note 3, there have
been no material transactions with related parties, which have
affected the financial position or performance of the Company in
the financial period.
Significant Agreements
Administration, Custody and Company Secretary Agreement
Effective 1 March 2015, the Company entered into an
Administration and Sub-Administrator agreement with U.S. Bank
Global Fund Services (Guernsey) Limited ("Administrator") and U.S.
Bank Global Fund Services (Ireland) Limited ("Sub-Administrator"),
both wholly owned subsidiaries of U.S. Bancorp. This agreement was
subject to an amendment effective 1 October 2020. Under the terms
of the agreement, Sub-Administration services are delegated to U.S.
Bank Global Fund Services (Ireland) Limited.
For the period ended 30 June 2022, the administration fee was
$68,025 (30 June 2021: $60,897 ) of which $10,440 (30 June 2021:
$10,425) was unpaid at the period end.
Effective 22 April 2019, Sanne Fund Services (Guernsey) Limited
was appointed the Company Secretary and is entitled to an annual
fee of GBP80,000 plus out of pocket expenses . For the period ended
30 June 2022, the secretarial fees were $54,864 (30 June 2021:
$64,427), of which $56,354 (30 June 2021: $30,965) was unpaid at
the period end.
Effective 1 March 2015, U.S. Bank National Association
("Custodian") became the Custodian of the Company. The Custodian
fees for the period ended 30 June 2022 were $29,019 (30 June 2021 :
$32,062 ) and the amount owing to them was $45,820 ( 30 June 2021 :
$80,517 ) .
Effective 1 January 2020, the Company entered into an amendment
agreement to reduce the Administration and Custodian fees, which
was further amended effective 1 October 2020 to reflect further
reductions to the Administration fees.
Registrar's Agreement
Link Market Services (Guernsey) Limited is the appointed
registrar of the Company. For the period ended 30 June 2022, the
Registrar's fees amounted to $41,568 ( 30 June 2021: $48,173). Of
these, $60,530 (30 June 2021: $49,331) was unpaid at the period
end.
Corporate Broker Agreement
Effective 1 January 2019, Numis Securities Limited were
appointed the Company's Corporate Broker and Financial Advisors. As
at 30 June 2022 Numis Securities Limited are entitled to an annual
retainer fee of GBP50,000 p.a. For the period ended 30 June 2022,
the Corporate Broker and Financial Advisors' fees amounted to
$31,994 (30 June 2021: $33,950). Of these, $Nil (30 June 2021:
$nil) were unpaid at the period end.
Professional fees
Professional fees during the period were $272,143 ( 30 June 2021
: $393,633).
NOTE 4 - RISK FACTORS
Market Risk
Market risk is the potential for changes in the value of
investments. Market risk includes interest rate risk, foreign
exchange risk and price risk.
Interest Rate Risk
Interest rate risk primarily results from exposures to changes
in the level, slope and curvature of the yield curve, the
volatility of interest rates and credit spreads. Floating rate
investments, such as senior secured loans, typically receive a
coupon, which is linked to a variable base rate, usually LIBOR (or
e.g. its replacement SOFR in the US and SONIA in the UK, for loans
issued after 2021) or EURIBOR. As such, income earned will be
affected by changes in the variable component albeit downward moves
are likely to be capped by the LIBOR (or SOFR/SONIA/EURIBOR) floors
that are prevalent in the majority of transactions. The Financial
Conduct Authority announced in 2017 it would not compel or persuade
panel banks to make LIBOR submissions after 2021.
The Company invests predominantly in floating rate investments;
however, it does have material exposure to fixed rate investments,
which are subject to interest rate risk through movements in their
market price when interest rates change. In preparation for the
transition from LIBOR to new reference rates, credit spread
adjustments had been worked out well ahead of the transition, so
the Company does not believe there to be any material valuation
risk as a result of the shift to a new reference rate (e.g., SOFR
in the US and SONIA in the UK). The concept of a credit spread
adjustment is, by design, intended to equalize the total coupon on
loans before and after the transition to ensure that no party
(borrower or lender) benefits simply from the conversion. Another
way to state this is that without a spread adjustment, there would
be some value transfer (likely from lenders to borrowers / issuers)
upon transition from LIBOR to SOFR- and SONIA-based rates. The
spread adjustment is only intended to be used for legacy debt
maturing after LIBOR is no longer used. New issues that use a SOFR-
or SONIA-based rate do not require a spread adjustment, since the
margin over the reference rate can be set at the appropriate level
at issuance. Moreover, the Company has documented the LIBOR-related
contract language for securities it holds that reference LIBOR.
Price Risk
Price Risk is the risk that the price of the security will fall.
The Investment Manager manages the exposure to price risk by
diversifying the portfolio.
Foreign Exchange Risk
Foreign Exchange Risk arises from various currency exposures,
primarily with respect to Sterling and Euro investments and share
issue proceeds. The Company makes use of hedging techniques, as
part of its risk management strategy, including but not limited to
the use of forward exchange contracts to mitigate its exposure to
this risk. These instruments involve market risk, credit risk, or
both kinds of risks. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from
movement in currency and interest rates.
Credit Risk
The Company may invest in a range of bank debt investments and
corporate and other bonds. Until such investments are sold or are
paid in full at maturity, the Company is exposed to issuer credit
risk, relating to whether the issuer will make interest and/or
principal payments on their debt obligations.
The Company maintains positions in a variety of securities,
derivative financial instruments and cash and cash equivalents in
accordance with its investment strategy and guidelines. The
Company's trading activities expose the Company to counterparty
credit risk from brokers, dealers and other financial institutions
(collectively, "counterparties") with which it transacts business.
"Counterparty credit risk" is the risk that a counterparty to a
trade will fail to meet an obligation that it has entered into with
the Company, resulting in a financial loss to the Company. The
Company's policy with respect to counterparty credit risk is to
minimise its exposure to counterparties with perceived higher risk
of default by dealing only with counterparties that meet the credit
standards set out by the Investment Manager.
All the Company's assets other than derivative financial
instruments were held by the Custodian. The Custodian segregates
the assets of the Company from the Custodian's own assets and other
Custodian clients' assets. The Investment Manager believes the risk
is low with respect to any losses as a result of this ring-fencing.
The Company conducts its trading activities with respect to
non-derivative positions with a number of counterparties.
Counterparty credit risk borne by these transactions is mitigated
by trading with multiple counterparties.
In addition, the Company trades in over-the-counter ("OTC")
derivative instruments. The Company is subject to counterparty
credit risk related to the potential inability of counterparties to
these derivative transactions to perform their obligations to the
Company. The Company's exposure to counterparty credit risk
associated with counterparty non-performance is generally limited
to the fair value (derivative assets and liabilities) of OTC
derivatives reported as net assets, net of collateral received or
paid, pursuant to agreements with each counterparty.
The Investment Manager attempts to reduce the counterparty
credit risk of the Company by establishing certain credit terms in
its International Swaps and Derivatives Association ("ISDA") Master
Agreements (with netting terms) with counterparties, and through
credit policies and monitoring procedures. Under ISDA Master
Agreements in certain circumstances (e.g., when a credit event such
as a default occurs) all outstanding transactions under the
agreement are terminated, the termination value is assessed and
only a single net amount is due or payable in settlement of all
transactions. The Company receives and gives collateral in the form
of cash and marketable securities and it is subject to the ISDA
Master Agreement Credit Support Annex.
This means that securities received/given as collateral can be
pledged or sold during the term of the transaction. The terms also
give each party the right to terminate the related transactions on
the other party's failure to post collateral.
Geographic Concentration Risk
The Company may invest a relatively large percentage of its
assets in issuers located in a single country, a small number of
countries, or a particular geographic region. As a result, the
Company's performance may be closely aligned with the market,
currency or economic, political or regulatory conditions and
developments in those countries or that region and could be more
volatile than the performance of more geographically diversified
investments.
Liquidity Risk
Liquidity risk is the risk that the Company will not be able to
meet its obligations as and when these become due. Liquidity risk
is managed by the Investment Manager to ensure that the Company
maintains sufficient working capital in cash or near cash form so
as to be able to meet the Company's ongoing requirements as they
fall due.
Participation Commitments
With respect to the senior loans, the Company may: 1) invest in
assignments; 2) act as a participant in primary lending syndicates;
or 3) invest in participations. If the Company purchases a
participation of a senior loan interest, the Company would
typically enter into a contractual agreement with the lender or
other third party selling the participation, rather than directly
with the borrower. As such, the Company not only assumes the credit
risk of the borrower, but also that of the selling participant or
other persons positioned between the Company and the borrower. As
of 30 June 2022, there were no such outstanding participation
commitments in the Company.
Other Risks
Legal, tax and regulatory changes could occur that may adversely
affect the Company. The regulatory environment for alternative
investment companies is evolving, and changes in the regulation of
investment companies may adversely affect the value of investments
held by the Company or the ability of the Company to pursue its
trading strategies. The effect of any future regulatory change on
the Company could be substantial and adverse.
NOTE 5 - CONTINGENCIES
In the opinion of the Directors, there were no contingencies as
at period end.
NOTE 6 - SHARE CAPITAL
The share capital of the Company consists of an unlimited number
of Ordinary Shares of no par value, which upon issue the Directors
may classify as:
(i) U.S. Dollar Ordinary Shares, Sterling Ordinary Shares or
Euro Ordinary Shares or as shares of such other classes as the
Directors may determine;
(ii) B Shares of such classes denominated in such currencies as
the Directors may determine; and
(iii) C Shares of such classes denominated in such currencies as
the Directors may determine.
The rights attached to the above shares are one vote in respect
of each share held.
(iv) In respect of a Share of a class denominated in any
currency other than U.S. Dollars or Sterling held by the
shareholder, such number of votes per Share of such class as shall
be determined by the Directors in their absolute discretion upon
the issue for the first time of shares of the relevant class.
The Directors may effect distributions of capital proceeds
attributable to the Ordinary Shares to holders of Ordinary Shares
by issuing B Shares of a particular class to holders of Ordinary
Shares of a particular class pro-rata to their holding of Ordinary
Shares of such class.
The B Shares are issued on terms such that each B Share shall be
compulsorily redeemed by the Company shortly following issue and
the redemption proceeds paid to the holders of such B Shares on
such terms and in such manner as the Directors may from time to
time determine.
The Directors are authorised to issue C Shares of such classes
(and denominated in such currencies) as they may determine in
accordance with Article 4 and with C Shares of each such class
being convertible into Ordinary Shares of such class as the
Directors may determine at the time of issue of such C Shares.
The C Shares will not carry the right to attend and receive
notice of any general meetings of the Company, nor will they carry
the right to vote at such meetings.
The C Shares will be entitled to participate in a winding-up of
the Company or on a return of capital in relation to the C share
surplus as defined in the Prospectus.
The C Shares will be entitled to receive such dividends as the
Directors may resolve to pay to such holders out of the assets
attributable to such class of C Shares.
There were no U.S. Dollar Ordinary, Euro Ordinary Shares, B
Shares or C Shares in issue as at 30 June 2022 or as at 30 June
2021.
As at 30 June 2022, the Company's share capital comprised
323,268,152 Sterling Ordinary Shares ("NBMI") of no par value (of
which 76,083,114 were held in treasury). As detailed in Note 1,
effective 6 July, following the closing of the first Cash Exit
Facility Offer on 30 June 2022, 25,500,417 Ordinary Shares were
validly tendered and redeemed and with effect from 7 July 2022 the
share capital of the Company is 297,767,735 Ordinary shares, of
which 76,083,114 are held in treasury.
On 3 August 2020, the Company compulsorily converted all U.S.
Dollar Ordinary Shares into Sterling Ordinary Shares and
subsequently closed the U.S. Dollar Share Class. Further, in tandem
with the proposals made at the EGM held on 8 September, the Company
offered to its investors a cash exit offer (the meaning of which is
given in the EGM Circular dated 17 August 2020 available on the
Company's website) and redeemed 40% of the issued share capital
effective 8 September 2020 to those investors who had elected to
participate in the cash exit offer.
Sterling
FROM 1 JANUARY 2022 to 30 JUNE 2022 Ordinary Shares
------------------------------------- -----------------
Balance as at 1 January 2022 247,185,038
-------------------------------------- -----------------
Balance as at 30 June 2022 (1) 247,185,038
-------------------------------------- -----------------
(1) Balance of issued shares (less Treasury shares) used to calculate NAV per share.
Sterling
FROM 1 JANUARY 2021 TO 31 DECEMBER 2021 Ordinary Shares
----------------------------------------- -----------------
Balance as at 1 January 2021 247,185,038
------------------------------------------ -----------------
Balance as at 31 December 2021 (1) 247,185,038
------------------------------------------ -----------------
(1) Balance of issued shares (less Treasury shares) used to calculate NAV per share.
Treasury Shares
As at 30 June 2022, the Company held the following shares in
treasury.
30 JUNE 2022 30 JUNE 2021
============================= ============= ==============
Sterling Ordinary Treasury
Shares
============================= ============= ==============
Opening number of shares 76,083,114 76,083,114
============================== ============= ==============
Shares bought into Treasury - -
============================= ============= ==============
Shares sold or cancelled - -
from Treasury
============================= ============= ==============
Closing number of shares 76,083,114 76,083,114
============================== ============= ==============
(1) The Company has shareholder approval to be able to buy back
shares and may elect to buy back Ordinary Shares at certain times
during the year either for cancellation or to be held as Treasury
shares at the absolute discretion of the Directors. No shares were
bought back during the period ended 30 June 2022 or the year ended
31 December 2021.
The Computation for earnings per share for the period ended 30
June 2022 and 31 December 2021 were as follows:
30 JUNE 2022 30 June 2021
========================================== ================ ==============
Net (decrease)/increase in net assets
resulting from operations (GBP43,993,317) GBP13,244,022
========================================== ================ ==============
Divided by weighted average shares
outstanding for
Sterling Ordinary Shares 247,185,038 247,185,038
=========================================== ================ ==============
Earnings per share for Sterling Ordinary
Shares (GBP0.1780) GBP0.0536
=========================================== ================ ==============
Note 7 - FINANCIAL HIGHLIGHTS
Sterling
Ordinary ShareS as at
30 JUNE 2022 30 JUNE 2022 (GBP)
======================================== =======================
Per share operating performance
---------------------------------------- -----------------------
NAV per share at the beginning of
the period 0.9429
---------------------------------------- -----------------------
Income from investment operations
(a)
---------------------------------------- -----------------------
Net income per share for the period 0.0278
---------------------------------------- -----------------------
Net realised and unrealised loss from
investments (0.2048)
---------------------------------------- -----------------------
Foreign currency translation gain 0.0939
---------------------------------------- -----------------------
Total gain from operations (0.0831)
---------------------------------------- -----------------------
Distributions per share during the
period (0.0269)
---------------------------------------- -----------------------
NAV per share at the end of the period 0.8329
---------------------------------------- -----------------------
NAV Total return 1, (b) (8.92%)
---------------------------------------- -----------------------
Ratios to average net assets (b)
---------------------------------------- -----------------------
Net investment income 3.05%
---------------------------------------- -----------------------
On-Going Charges 0.58%
---------------------------------------- -----------------------
(a) The weighted average number of shares outstanding for the
period was used for calculation. See note 6 also.
(b) An individual shareholder's return may vary from these
returns based on the timing of the shareholder's investments in the
Company.
(1) The NAV total return is the % of change in NAV per share
from the start of the period. It assumes that dividends paid to
shareholders are reinvested at NAV at the time the shares are
quoted ex-dividend.
Sterling
Ordinary ShareS as at
31 DeCEMBER 2021 31 DECEMBER 2021 (GBP)
======================================= ========================
Per share operating performance
--------------------------------------- ------------------------
NAV per share at the beginning of
the year 0.9394
--------------------------------------- ------------------------
Income from investment operations
(a)
--------------------------------------- ------------------------
Net income per share for the year 0.0488
--------------------------------------- ------------------------
Net realised and unrealised loss from
investments (0.0022)
--------------------------------------- ------------------------
Foreign currency translation gain 0.0076
--------------------------------------- ------------------------
Total gain from operations 0.0542
--------------------------------------- ------------------------
Distributions per share during the
year (0.0507)
--------------------------------------- ------------------------
NAV per share at the end of the year 0.9429
--------------------------------------- ------------------------
NAV Total return 1, (b) 5.89%
--------------------------------------- ------------------------
Ratios to average net assets (b)
--------------------------------------- ------------------------
Net investment income 5.13%
--------------------------------------- ------------------------
On-Going Charges 1.12%
--------------------------------------- ------------------------
(a) The weighted average number of shares outstanding for the
year was used for calculation. See note 6 also.
(b) An individual shareholder's return may vary from these
returns based on the timing of the shareholder's investments in the
Company.
(1) The NAV total return is the % of change in NAV per share
from the start of the year. It assumes that dividends paid to
shareholders are reinvested at NAV at the time the shares are
quoted ex-dividend.
NOTE 8 - RECONCILIATION OF NET ASSET VALUE TO PUBLISHED NAV
STERLING ORDINARY
For the period ended 30 June 2022. SHARES GBP
=========================================== =================
Published net assets at 30 June 2022 (US$) 250,035,377
=========================================== =================
Valuation adjustments (US$) -
=========================================== =================
Net assets per Financial Statements (US$) 250,035,377
=========================================== =================
STERLING ORDINARY
For the period ended 31 December 2021. SHARES GBP
=============================================== =================
Published net assets at 31 December 2021 (US$) 317,803,498
=============================================== =================
Valuation adjustments (US$) (2,122,351)
=============================================== =================
Net assets per Financial Statements (US$) 315,681,147
=============================================== =================
NOTE 9 - SUBSEQUENT EVENT
The Board announced on 21 July 2022 a further increase to the
Target Distribution for the remainder of 2022 to a rate of 6.75% of
Net asset value per annum. For the month of July 2022 a dividend of
GBP0.00443 on 221,684,621 shares, equivalent to GBP1,095,029.72 was
paid on 12 August 2022. For the month of August 2022 a dividend of
GBP0.00467 on 221,684,621 shares, which equates to GBP1,035,267.18
was paid on 12 September 2022 to ordinary shareholders as at close
of business on 26 August 2022.
The details of the June 2022 Cash Exit Offer which closed after
period end are detailed in Note 1 and 6 to these Unaudited Interim
Financial Statements.
ADDITIONAL INFORMATION | Contact Details
Registrar
Link Market Services
(Guernsey) Limited
UK Transfer Agent
Link Asset Services
34 Beckenham Road
Beckenham
Kent
BR3 4TU
United Kingdom
Shareholders holding
shares directly and
not through a broker,
saving scheme or ISA
and have queries in
relation to their shareholdings
should contact the
Registrar on +44 (0)371
664 0445. Calls are
charged at the standard
geographic rate and
will vary by provider.
Calls outside the United
Kingdom will be charged
at the applicable international
rate. Lines are open
between 9 a.m. to 5:30
p.m. (excluding bank
holidays). Shareholders
can also access their
details via Link's
website:
www.signalshares.com
Contact Details Full contact details
of the Company's advisers
Directors and Manager can be
found on the Company's
Rupert Dorey - Chair Designated Administrator website.
Laure Duhot
David Staples U.S. Bank Global Fund
Services (Guernsey)
All c/o the Company's Limited
registered office.
Custodian and Principal
Registered Office Bankers
Sarnia House US Bank National Association
Le Truchot
St Peter Port Sub-Administrator
Guernsey
GY1 1GR U.S. Bank Global Fund
Services (Ireland)
Company Secretary Limited
Sanne Fund Services Financial Adviser
(Guernsey) Limited and Corporate Broker
Solicitors to the Numis Securities Limited
Company (as to English
law and U.S. securities Alternative Investment
law) Fund Manager
Herbert Smith Freehills Neuberger Berman Investment
LLP Advisers LLC
Advocates to the Company Manager
(as to Guernsey law)
Neuberger Berman Europe
Carey Olsen Limited
ADDITIONAL INFORMATION | Shareholder Information
Shareholder Information
Website
Information relating to the Company can be found on the Company's
website: www.nbgmif.com
The contents of websites referred to in this document are not
incorporated in to, nor do they form part of, this report.
Annual Reports
Copies of the Company's annual reports may be obtained from
the Company Secretary or by visiting https://www.nbgmif.com
under the Investor Information section.
Net Asset Value Publication
The NAV is published daily. It is calculated at the close of
business each day and notified to the London Stock Exchange
the next business day. It can also be found on the Company's
website.
Company Numbers
Sterling Ordinary Shares
LSE ISIN code: GG00B3KX4Q34
Bloomberg code: NBMI:LN
Legal Entity Identifier
549300P4FSBHZFALLG04
Association of Investment Companies
The Company is a member of the Association of Investment Companies.
Contact details are as follows:
+44 (0)20 7282 555
enquiries@theaic.co.uk
www.theaic.co.uk
Registrar
The Registrar provides an on-line and telephone share dealing
service to existing shareholders who are not seeking advice
on buying or selling. This service is available at www.linksharedeal.com
or by phoning +44(0)371 664 0445. Calls cost 12p per minute
plus network charges +44(0)20 3367 2699 (from outside the UK).
Lines are open 8 a.m. to 4:30 p.m. Monday to Friday (excluding
UK bank holidays).
[1] Performance data quoted represents past performance and does
not indicate future results. Total returns shown are net of all
fees and expenses and include reinvestment of income dividends and
other distributions, if any.
This information is provided by RNS, the news service of the
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END
IR BIGDCIDBDGDS
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