TWENTYFOUR INCOME FUND
LIMITED
INTERIM MANAGEMENT REPORT
AND UNAUDITED CONDENSED
INTERIM FINANCIAL
STATEMENTS
For the period from
1 April 2023 to 30 September 2023
LEI:
549300CCEV00IH2SU369
(Classified Regulated
Information, under DTR 6 Annex 1 section 1.2)
The Company has today, in
accordance with DTR 6.3.5, released its Interim Management Report
and Unaudited Condensed Financial Statements for the period ended
30 September 2023. The Report will
shortly be available via the Company's Portfolio Manager’s website
www.twentyfouram.com and will shortly be available for
inspection online at
www.morningstar.co.uk/uk/NSM website.
FINANCIAL AND OPERATIONAL
HIGHLIGHTS
• NAV
per share of 102.71 pence (FYE
31/03/23: 100.97
pence)
• Total
Net Assets of £768.12 million (FYE 31/03/23: £724.98
million)
• Dividends
declared for the 6-month period of 4
pence per share (12 months to FYE 31/03/23: 9.46 pence per share) and remain on track to
deliver the Company’s target dividend for the
year
• Dividends
paid in the 6-month period were 6.46
pence per share (12 months to FYE 31/3/2023: 7.27 pence per share)
• Total
Return of 8.50% (FYE 31/03/23: -3.54%)
• The
Company continues to perform strongly, with no defaults or credit
concerns within the portfolio
Aza
Teeuwen, Partner & Portfolio Manager at TwentyFour Asset
Management, said: “The rising rate environment
coupled with a strong supply and active primary market has enabled
us to position TwentyFour Income Fund Limited positively over the
period. The rise in portfolio coupon rates as base rate hikes were
seen, combined with accretive additions to the portfolio have
contributed to the Company’s income levels, while maintaining the
credit profile.”
Bronwyn Curtis OBE, Chair of
TwentyFour Income Fund, said: “We are very pleased to
present the interim financial statements for the Company, which
demonstrate how TwentyFour Income Fund Limited continues to deliver
an excellent income story. The Company’s strong NAV performance
sits alongside its stand-out share activity for the period, having
traded at or around NAV, while the bulk of the investment company
market saw significant discounts.”
SUMMARY
INFORMATION
The
Company
TwentyFour Income Fund Limited
(the “Company” and “TFIF”) is a closed-ended investment company
whose shares (“Ordinary Shares”, being the
sole share class) have a Premium Listing on the
Official List of the UK Listing Authority. The Company was incorporated in
Guernsey on 11 January
2013.The Company has been included in
the London Stock Exchange’s FTSE 250 Index since 16 September 2022.
Investment
Objective and
Investment Policy
The Company’s investment
objective is to generate attractive risk adjusted returns
principally through income distributions. The Company’s investment
policy is to invest in a diversified portfolio (“Portfolio”) of
predominantly UK and European Asset Backed Securities (“ABS”). The
Company maintains a Portfolio largely diversified by the issuer, it
being anticipated that the Portfolio will comprise at least 50 ABS
at all times.
Target
Returns*
The Company has a target annual
net total return on the Company’s NAV of between 6% and 9% per
annum, which since 24 February 2023
has included quarterly dividends with an annual target each
financial year of 8% of the Issue Price (the equivalent of
8 pence per year, per Ordinary
Share), effective from the dividend declared in respect of the
3-month period ended 31 March
2023. Between 21
September 2022 and 23 February
2023 the annual target dividend was 7% and prior to that was
6%. Total return per Ordinary Share is calculated by adding the
increase or decrease in NAV per share with the dividend per share
and dividing it by the NAV per share at the start of the
period/year.
The increases in the annual
target dividend are intended to increase the rate of return to
investors following increases in global interest
base-rates.
Ongoing
Charges
Ongoing charges for the period
ended 30 September 2023 have been
calculated in accordance with the Association of Investment
Companies (the “AIC”) recommended methodology. The ongoing charges
for the period ended 30 September
2023 were 0.99% (30 September
2022: 0.95%).
Discount
As at 23
November 2023, the discount to NAV had moved to 2.49%. The
estimated NAV per share and mid-market share price stood at 102.25p
and 99.70p, respectively.
Published
NAV
Northern Trust International Fund
Administration Services (Guernsey) Limited (the “Administrator”) is
responsible for calculating the NAV per share of the Company. The
unaudited NAV per Ordinary Share will be calculated as at the close
of business on the last business day of every week and the last
business day of every month by the Administrator and will be
announced by a Regulatory News Service the following business day.
The basis for determining the Net Asset Value per share can be
found in Note 5.
* The Issue Price being £1.00.
This is a target only and not a profit forecast. There can be no
assurance that this target will be met or that the Company shall
pay any dividends at all. This target return should not be taken as
an indication of the Company’s expected or actual current or future
results. The Company’s actual return will depend upon a number of
factors, including the number of Ordinary Shares outstanding and
the Company’s total expense ratio, as defined by the AIC’s ongoing
charges methodology. Potential investors should decide for
themselves whether or not the return is reasonable and achievable
in deciding whether to invest in or retain or increase their
investment in the Company. Further details on the Company’s
financial risk management can be found in note
16.
Financial
Highlights
NAV per
share
|
|
As at 30 September
2023
|
As at 31 March
2023
|
102.71p
|
100.97p
|
|
|
Share
price
|
|
As at 30 September
2023
|
As at 31 March
2023
|
97.80p
|
100.50p
|
|
|
Total Net
Assets
|
|
As at 30 September
2023
|
As at 31 March
2023
|
£768.12 million
|
£724.98 million
|
|
|
Total
return
|
|
For the six-month period ended 30
September 2023
|
For the year ended 31 March
2023
|
8.50%
|
-3.54%
|
|
|
Dividends
declared
|
|
For the six-month period ended 30
September 2023
|
For the year ended 31 March
2023
|
4p
|
9.46p
|
|
|
Average premium /
(discount)
|
|
For the six-month period ended 30
September 2023
|
For the year ended 31 March
2023
|
-0.82%
|
0.55%
|
|
|
Shares in
issue
|
|
As at 30 September
2023
|
As at 31 March
2023
|
747.84 million
|
718.04 million
|
|
|
Portfolio
performance
|
|
For the six-month period ended 30
September 2023
|
For the year ended 31 March
2023
|
7.39%
|
-1.17%
|
|
|
Repurchase Agreement
Borrowing
|
As at 30 September
2023
|
As at 31 March
2023
|
0.78%
|
6.74%
|
|
|
Number of positions in
portfolio
|
|
As at 30 September
2023
|
As at 31 March
2023
|
197
|
183
|
|
|
Please see the 'Glossary of Terms
and Alternative Performance Measures' for definitions how the above
financial highlights are calculated.
CHAIR’S
STATEMENT
for the period from 1 April 2023 to 30
September 2023
Bronwyn Curtis
OBE
In my capacity as Chair of the
Board of Directors of TwentyFour Income Fund Limited (the
“Company”), I am pleased to present my report on the Company’s
progress for the six-month period ended 30
September 2023 (the “reporting period”).
Investment
Performance
In May
2023, the Company distributed the final quarterly dividend
of its financial year at 4.46p per share, increasing the overall
annual dividend to 9.46p per share. This represented a 40% increase
over 2022 and the highest distribution since inception, an
excellent result particularly considering the wider market
backdrop.
During the reporting period, the
NAV per share saw an increase from 100.97 to 102.71, a rise of
1.72%. The Company’s net assets increased from £725m to £768m and
the NAV per share total return for the reporting period was
8.50%.
Market
Overview
The start of the reporting period
saw wider financial markets sailing into calmer waters, following
the regional US regional banking turmoil, which gave the market the
necessary stability and favourable backdrop to support primary
issuance in a meaningful way.
Fundamentals have played their
part in the overall performance of the sector. While traditional
fixed income markets have been dominated by discussions around
central bank policy and peak rates, with multiple increases in key
rates by the Bank of England and
the European Central Bank, the floating rate Asset Backed
Securities ("ABS") and Collateralised Loan Obligations (“CLOs")
markets have benefitted from the anticipated higher for longer rate
environment.
In the UK, headline inflation is
moderating – although core inflation remains challenging. House
prices have been steadily falling over the reporting period and the
Nationwide House Price Index fell 5.3% year on year to September 2023. Housing market activity remains
weak with just 45,400 mortgage approvals in August, which is around
30% below the monthly average prevailing in 2019 prior to the
pandemic. This subdued picture is not surprising given rising
mortgage rates and the challenging picture for housing
affordability, however, swap rates stabilised over the reporting
period and some lenders started
to reduce mortgage lending
rates.
The unemployment rate over the
reporting period continued to be very low. As job losses are
generally the biggest driver of mortgage arrears, the actual losses
remain minimal. However, the job market is weakening and while wage
growth continues to be strong; cracks are starting to appear and
mortgage arrears have increased this year. TwentyFour Asset
Management LLP (the "Portfolio Manager") highlighted this
development in previous reports to you, so it isn’t a surprise and
they have positioned the portfolio for this. The levels of arrears
are low, and the portfolio has seen no defaults. Most of the asset
class’s underperformance has been seen in legacy (pre-Global
Financial Crisis) non-conforming mortgage portfolios. None of these
are held by the Company.
The debate around rates has
shifted from how high rates might go, to how long rates might
remain elevated. Deutsche Bank analysis recently noted that from a
UK RMBS perspective one thing is clear: that the vast majority of
borrowers who reverted from a fixed rate to a floating mortgage in
2023 (the cohort that in theory, should be most exposed to
affordability stress), have so far, weathered the shock. Actual
losses remain almost non-existent within UK and European RMBS and
ABS securitisation pools and the 12-month trailing leveraged loan
default rate remains low at 1.5%, which is well below the levels
that had been forecast. There have been no losses in any tranches
of any deals which the Company holds.
Dividend
The Company aims to distribute
all its investment income to ordinary shareholders. The Company is
currently targeting quarterly payments equivalent to an annual
dividend of at least 8p per year. The fourth interim dividend is
used to distribute residual income (if any), generated in the year.
Dividends paid by the Company for the reporting period totalled
6.46p per ordinary share.
The increase in dividends for the
financial year ending March 2023 was
driven by two main factors; the increase in the Bank of England
Rate (which rose by 1% from 4.25% to 5.25% in the six-month period
to 30 September 2023), and the
deployment of available capital from bond amortisations in the
portfolio of the Company, along with share issuance by the Company.
This enabled the Portfolio Manager to invest at the then prevailing
higher yields; which was accretive to the income of the
Company.
Premium/Discount and
Share Capital Management
In contrast to the wider
investment company market, which saw trading at large discounts
across the board, the Company traded close to NAV for the majority
of the reporting period, at an average of only a -0.82%
discount.
Due to shareholder
demand coupled with the ability to
purchase accretive assets, the Company was able to issue £29.8m of
new shares between April and the end of June
2023.
Annual General
Meeting
The Company’s 2023 Annual General
Meeting was held on 14 September
2023, with all resolutions being passed.
Board
Composition
Richard
Burwood retired as Non-Executive Director of the Company and
as the Chair of the Management Engagement Committee, effective from
14 September 2023.
I would like to thank Richard for
all his hard work and valued contribution to the Board and to the
Company during his tenure.
With effect from 14 September 2023, Paul
Le Page was appointed as Chair of the Management Engagement
Committee.
Outlook
The market consensus is that we
are close to terminal rates in the UK and Europe and the market is pointing towards a
soft-landing next year. In this scenario, the economic conditions
for European ABS remains favourable as unemployment and corporate
defaults are expected to remain low. This in turn could mean that
we see central banks keeping interest rates at higher levels for
longer, further supporting the return profile of the Company’s
asset class.
Bronwyn Curtis
OBE
Chair
23
November 2023
PORTFOLIO MANAGER’S
REPORT
for the period from 1 April 2023 to 30
September 2023
TwentyFour Asset Management
LLP
TwentyFour Asset Management LLP,
in our capacity as Portfolio Manager to the TwentyFour Income Fund
Limited, are pleased to present our report on the Company’s
progress for the six-month period ended 30
September 2023 (“the reporting period”).
Market
Environment
The reporting period has seen
around €47bn of gross issuance in ABS markets, including CLOs,
which culminated in September being the busiest single month for
ABS, since the onset of the Global Financial Crisis (“GFC”). This
included €16bn of Residential Mortgage-Backed Securities ("RMBS"),
€17bn of auto and consumer ABS and €11.5bn of CLOs. Issuance was
from a very geographically diverse sector across the UK and
Europe and saw debut deals from
new borrowers together with repeat issuers and from platforms that
have not been seen in the market for a number of
years.
One noted feature in the RMBS
market was the welcome return of many bank lenders, which was
clearly due to the rolling off, of Central Bank funding
schemes.
It is becoming clear that banks
are focussed on not only diversification of funding but also on
diversification of capital sources, following the Credit Suisse AT1
write down. The market saw an increasing number of significant risk
transfer (“SRT”) transactions (which gives banks a way of
deleveraging their balance sheets by transferring the risk of a
tranche of a loan portfolio to an investor in such a way that they
obtain regulatory capital relief) and full capital structures
(which allows banks to sell whole loan portfolios rather than adopt
alternative strategies that can obtain capital
relief) being issued; mainly by European
banks. We welcome this supply, as the collateral generally includes
the core business (and best performing collateral) of the issuing
bank, which should offer the Company the opportunity to further
diversify its portfolio, in the coming months.
The European CLO market was
active, seeing issuance during the reporting period of €11.5bn,
which took the CLO issuance for the full year-to-date to around
€18bn by the end of September. This was despite the challenges that
the market has endured for most of the year, mainly based on the
weighted average cost of capital as AAA spreads have remained
stubbornly wide; but also due to a lack of underlying leveraged
loan supply.
We continue to see value in BB
rated securities, which at the end of the reporting period yielded
around 13% (in GBP). Commercial Mortgage-Backed Security ("CMBS")
activity remains, understandably, near non-existent over the
reporting period, with just one deal (with low levels of leverage)
from Last Mile Logistic being pre-placed into the
market.
However, the over-riding theme
for the whole year to date, has really been the very strong
supply-demand technical that has been in play, evidenced by the
oversubscription levels seen across all deals, in particular
mezzanine tranches, which were generally oversubscribed multiple
times.
Performance
The Company returned 8.50% in the
reporting period, on a total return basis, a strong performance
mainly driven by CLO and RMBS returns.
Portfolio
Events
The fundamentals of CLOs and
European ABS have been in focus for quite some time as the market
has dealt with multiple headwinds. As spreads have gradually
tightened during this volatile period we have gradually reduced
leverage from 5.4% to just under 1% in the Company as we continue
to value liquidity and flexibility in the
portfolio.
One further aspect to consider is
the rating performance of the ABS transactions themselves. Since
the GFC, securitisation structures have been robust and rating
performance has reflected this with upgrades being significantly
higher than downgrades. There have been no defaults or underlying
issues with the assets in the portfolio of the Company and the core
focus has remained on western European, secured
assets (mortgages and leveraged loans). Wider market volatility is
likely to remain elevated and a deterioration of fundamental
performance is expected, and we have taken the opportunity in
certain instances to improve the credit profile in certain sectors.
This has been achieved through selling lower rated bonds and in
their stead purchasing other bonds with a higher rating or by
reducing exposure to assets where our deal monitoring has shown
that the performance of those assets is has reduced. We have also
pared back the portfolio’s exposure to UK RMBS equity through
refinancing in the region of £32m during the reporting
period.
Portfolio
Strategy
Our focus during the reporting
period, has been and will continue to be on investing in
higher-yielding floating-rate ABS, which, in an environment of
higher-for-longer rates, should continue to deliver ongoing,
attractive levels of income; this should enable the Company to
deliver on its annual target dividend. At the end of the reporting
period, the Company had a very healthy gross purchase yield of
11.3% and a mark-to-market yield of 13.8%. While the overall
performance of UK and European mortgage market is understandably
deteriorating, the levels of losses observed within RMBS and ABS
transactions currently do not give us any cause for concern. The
robust nature of the ABS structures and our internal stress tests
indicate that the performance of the underlying assets would need
to deteriorate by many multiples of the levels that were seen in
the GFC before significant losses would be seen on the
transactions.
The issues in the commercial real
estate sector are well documented and will take a long time to be
resolved, this suggests that refinancing in the sector will become
more challenging and most CMBS deals are likely to extend in the
near term. As a result, we have re-underwritten all the CMBS
holdings and reduced the CMBS allocation, in the portfolio, to just
3.8%.
Spreads have generally tightened
during the reporting period, whilst senior issuance spreads have
been mostly range-bound, without strong moves in either direction,
as the market expects further issuance in the last quarter. Most of
the spread performance has been in mezzanine and sub-investment
grade bonds. Given the elevated volumes of primary and secondary
trading were well absorbed, the market is well positioned in a good
technical situation. The liquidity which the Company has available
could be deployed in the event of elevated market stress to take
advantage of any investment opportunities. We currently expect to
increase the allocation to SRT investments instead of future RMBS
equity and junior non-prime transactions.
Key
Risks:
We believe the key risks
currently perceived by the market are:
-
The risk of the central bank rate
increases having a lagged impact on economic
fundamentals.
-
The risk that central banks
overly extend monetary tightening in their fight against high
inflation, resulting in a greater economic slowdown than
intended.
-
The escalation of geopolitical
risk due to the ongoing Ukraine-Russia conflict and Middle East conflict.
Market
Outlook:
-
A soft economic landing remains
our base case expectation, but a recession in the EU, UK and/or US
cannot be ruled out. We have therefore focussed on keeping the
credit spread duration and leverage of the portfolio relatively
low.
-
While corporate and consumer
fundamentals are likely to deteriorate, we do not expect this to be
problematic for bond holders.
-
We expect short term rates to
remain elevated for longer. Market sentiment has already priced in
rate cuts in the fixed rate market and floating rate bonds should
benefit in the medium term from higher income due to elevated base
rates.
-
Protection from broader market
volatility is very strong, supported by relatively short maturities
and high income.
-
Given the current uncertainty in
the global economy, we believe that flexibility and liquidity
remain important and remain of the view that raising the credit
quality of the portfolio seems prudent at this
time.
TwentyFour Asset Management
LLP
23
November 2023
TOP TWENTY
HOLDINGS
as at 30
September 2023
|
Nominal/
|
Asset Backed
Security
|
Fair
Value
|
Percentage of Net Asset
Value
|
Security
|
Shares
|
Sector*
|
£
|
UK MORTGAGES CORP?FDG DAC KPF1 A
0.0% 31/07/2070
|
20,056,444
|
RMBS
|
21,621,569
|
2.81
|
UK MORTGAGES CORPORATE F 'KPF4 A'
0.00% 30/11/2070
|
24,273,696
|
RMBS
|
20,627,326
|
2.69
|
SYON SECURITIES 19-1 B CLO FLT
19/07/2026
|
17,508,622
|
RMBS
|
16,912,787
|
2.20
|
TULPENHUIS 0.0%
18/04/2051
|
19,538,092
|
RMBS
|
16,674,636
|
2.17
|
UKDAC MTGE 'KPF3 A' 0.0%
31/7/2070
|
18,386,135
|
RMBS
|
14,647,940
|
1.91
|
EQTY. RELEASE FNDG. NO 5 '5 B'
FRN 14/07/2050
|
16,500,000
|
RMBS
|
13,447,500
|
1.75
|
CASTELL 2022-1 PLC '1 D' FRN
25/4/2054
|
13,299,000
|
RMBS
|
13,370,311
|
1.74
|
VSK HOLDINGS LTD VAR
31/7/2061
|
2,058,000
|
RMBS
|
13,160,874
|
1.71
|
CHARLES ST CONDUIT ABS 2 LIMITED
CABS 2- CL B MEZZ
|
12,500,000
|
RMBS
|
12,182,500
|
1.59
|
CHARLES STREET CONDUIT FRN 0.00%
12/04/2067
|
12,000,000
|
RMBS
|
11,548,800
|
1.50
|
SYON SECS. 2020-2 DAC '2 B' FRN
17/12/2027
|
10,441,446
|
RMBS
|
10,435,735
|
1.36
|
HABANERO LTD '6W B' VAR
5/4/2024
|
10,200,000
|
RMBS
|
10,200,000
|
1.33
|
RRME 8X D '8X D' FRN
15/10/2036
|
13,000,000
|
CLO
|
10,171,845
|
1.32
|
VSK HLDGS. '1 C4-1' VAR
01/10/2058
|
1,443,000
|
RMBS
|
9,244,830
|
1.20
|
HOPS HILL NO2 PLC '2 E' FRN
27/11/2054
|
9,262,000
|
RMBS
|
8,692,280
|
1.13
|
FONDO DE TITULIZACION PYME '7
NOTE' FRN 23/12/2042
|
10,000,000
|
SME
|
8,674,368
|
1.13
|
UK MORTGAGES CORP FDG DAC KPF2 A
0.0% 31/07/2070
|
15,965,581
|
RMBS
|
8,257,654
|
1.08
|
UK MORTGAGES CORP?FDG DAC CHL1 A
0.0% 31/07/2070
|
7,686,024
|
RMBS
|
8,195,377
|
1.07
|
SYON SECURITIES 2020-2 DESIGNATED
A FLTG 17/12/2027
|
8,338,258
|
RMBS
|
7,859,134
|
1.02
|
TAURUS 2020-1 NL DAC 'NL1X E' FRN
20/02/2030
|
10,421,518
|
CMBS
|
7,647,846
|
1.00
|
The full listing of the Portfolio
as at 30 September 2023 can be
obtained from the Administrator on request.
* Definition of
Terms
‘ABS’ – Asset Backed
Securities
‘CLO’ – Collateralised Loan
Obligations
‘CMBS’ – Commercial
Mortgage-Backed Securities
‘RMBS’- Residential
Mortgage-Backed Securities
‘SME’ – Small and Medium
Enterprises
BOARD
MEMBERS
Biographical details of the Directors are as
follows:
Bronwyn Curtis OBE -
(Non-Executive Director and Chair)
Ms Curtis is a resident of the
United Kingdom, an experienced
Chair, Non-Executive Director and Senior Executive across banking,
media, commodities and consulting, with global or European wide
leadership responsibilities for 20 years at HSBC Bank plc,
Bloomberg LP, Nomura International and Deutsche Bank Group. She is
presently a Non-Executive member of the Oversight Board at the UK
Office for Budget Responsibility and Non-Executive Director at
Pershing Square Holdings, The Scottish American Investment Company
plc and BH Macro Limited. She is also a regular commentator in the
media on markets and economics. Ms. Curtis was appointed to the
Board on 12 July 2022 and was
appointed Chair on 14 October
2022.
Joanne Fintzen - (Non-Executive Director
and Senior Independent Director)
Ms Fintzen is a resident of the
United Kingdom, with extensive
experience of the finance sector and the investment industry. She
trained as a Solicitor with Clifford
Chance and worked in the Banking, Fixed Income and
Securitisation areas. She joined Citigroup in 1999 providing legal
coverage to an asset management division. She was subsequently
appointed as European General Counsel for Citigroup Alternative
Investments where she was responsible for the provision of legal
and structuring support for vehicles which invested $100bn in Asset Backed Securities as well as
hedge funds investing in various different strategies in addition
to private equity and venture capital funds. Ms Fintzen is
currently Non-Executive Director of JPMorgan Claverhouse Investment
Trust plc. Ms Fintzen was appointed to the Board on 7 January 2019 and was appointed Senior
Independent Director on 14 October
2022.
John de Garis - (Non-Executive Director
and Chair of the Nomination and Remuneration
Committee)
Mr de Garis is a resident of
Guernsey with over 30 years of experience in investment management.
He is Managing Director and Chief Investment Officer of Rocq
Capital founded in July 2016
following the management buyout of Edmond
de Rothschild (C.I.) Ltd. He joined Edmond de Rothschild in 2008 as Chief Investment
Officer following 17 years at Credit Suisse Asset Management in
London, where his last role was
Head of European and Sterling Fixed Income. He began his career in
the City of London in 1987 at
Provident Mutual before joining MAP Fund Managers where he gained
experience managing passive equity portfolios. He is a
Non-Executive Director of VinaCapital Investment Management Limited
in Guernsey. Mr de Garis is a Chartered Fellow of the Chartered
Institute for Securities and Investment and holds the Certificate
in Private Client Investment Advice and Management. Mr de Garis was
appointed to the Board on 9 July
2021.
Paul Le Page (Non-Executive Director and Chair
of the Management Engagement Committee)
Paul Le
Page is a resident of Guernsey and has over 24 years’
experience in investment and risk management. He was formerly an Executive
Director and Senior Portfolio Manager of FRM Investment Management
Limited, a subsidiary of the UK’s largest listed alternatives
manager, Man Group. In this capacity, he managed
alternative funds and institutional client portfolios, worth in
excess of $5bn and was a director of
a number of group funds and structures. Prior to joining FRM, he
was employed by Collins Stewart Asset Management (now Canaccord
Genuity) where he was Head of Fund Research responsible for
reviewing both traditional and alternative fund managers and
managing the firm’s alternative fund portfolios. He joined Collins
Stewart in January 1999 where he
completed his MBA in July 1999. Mr
Le Page is currently a Non-Executive
Director of NextEnergy Solar Fund Limited and RTW Biotech
Opportunities Limited. Mr Le Page
was appointed to the Board on 16 March
2023.
John Le Poidevin - (Non-Executive Director and
Chair of the Audit Committee)
Mr Le
Poidevin is a resident of Guernsey and a Fellow of the
Institute of Chartered Accountants in England and Wales. He was formerly an audit partner at BDO
LLP in London where he developed
an extensive breadth of experience and knowledge across a broad
range of business sectors in the UK, European and global markets
during over twenty years in practice, including in corporate
governance, audit, risk management and financial reporting. Since
2013 he has acted as a Non-Executive, including as audit committee
chair, on the boards of a number of listed and private groups. Mr
Le Poidevin is currently a
Non-Executive Director of International Public Partnerships
Limited, BH Macro Limited, Super Group (SGHC) Limited, and several
other private companies and investment funds. Mr Le Poidevin was appointed to the Board on
9 July 2021 and was appointed Chair
of the Audit Committee on 14 October
2022.
Board Member who retired
during the period
Richard Burwood – (Non-Executive
Director)
Mr Burwood is a resident of
Guernsey with over 30 years’ experience in banking and investment
management. During 18 years with Citibank London, Mr Burwood spent
11 years as a fixed income portfolio manager spanning both
banks/finance investments and Asset Backed Securities. Mr Burwood
has lived in Guernsey since 2010, initially working as a portfolio
manager for EFG Financial Products, managing the treasury
department’s ALCO Fixed Income portfolio. From 2011 to 2013, Mr
Burwood worked as the Business and Investment Manager for Man
Investments, Guernsey. In January
2014, Mr Burwood joined the board of RoundShield Fund, a
Guernsey private equity fund, focused on European small to mid-cap
opportunities. In August 2015, he
became a Board Member of SME Credit Realisation Fund Limited, which
provides investors access to a diversified pool of SME loans
originated through Funding Circle’s marketplaces in the UK, US and
Europe. Mr Burwood also serves on
the boards of Habrok, a hedge fund specialising in Indian equities,
and EFG International Finance, a structured note issuance company
based in Guernsey. Mr Burwood was appointed to the Board on
17 January 2013
and
retired from the
Board effective 14 September
2023.
DISCLOSURE OF
DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK
EXCHANGES
Company
Name
|
|
|
|
|
Stock
Exchange
|
|
|
|
|
|
|
|
Bronwyn
Curtis
|
|
|
|
|
|
BH Macro
Limited
|
|
|
|
|
London
|
Pershing Square Holdings
Limited
|
|
|
|
London and Euronext
Amsterdam
|
The Scottish American Investment
Company Plc
|
|
|
London
|
|
|
|
|
|
|
|
Joanne
Fintzen
|
|
|
|
|
|
JPMorgan Claverhouse Investment
Trust plc
|
|
|
|
London
|
|
|
|
|
|
|
|
Paul Le
Page
|
|
|
|
|
|
NextEnergy Solar Fund
Limited
|
|
|
|
London
|
RTW Biotech Opportunities
Limited
|
|
|
|
London
|
|
|
|
|
|
|
|
John Le
Poidevin
|
|
|
|
|
|
BH Macro
Limited
|
|
|
|
|
London
|
International Public Partnerships
Limited
|
|
|
|
London
|
Super Group (SGHC)
Limited
|
|
|
|
New York
|
STATEMENT OF PRINCIPAL
RISKS AND UNCERTAINTIES
The Company’s assets are mainly
comprised of ABS carrying exposure to risks related to the
underlying assets backing the security or the originator of the
security. The Company’s principal risks are therefore market or
economic in nature.
The principal risks disclosed can
be divided into the various areas as follows:
-
Market Risk and Investment
Valuations
Market risk is the risk
associated with changes in market factors including spreads,
interest rates, economic uncertainty, changes in laws and political
circumstances.
Due to inflation concerns and
existing geo-political tensions, both the UK and Europe could go into a prolonged recessionary
period, therefore, risk premiums demanded by the market could
continue to rise as risk sentiment deteriorates and wider spreads
could result in lower cash prices.
Liquidity risk is the risk that
the portfolios may not be able to sell securities at a given price
and/or over the desired timeframe. Investments made by the Company
may be relatively illiquid. Some investments held by the Company
may take longer to realise than others and this may limit the
ability of the Company to realise its investments and meet its
target dividend payments in the scenario where the Company has
insufficient income arising from its underlying
investments.
-
Credit Risk and Investment
Performance
Credit risk arises when the
issuer of a settled security held by the Company experiences
financing difficulties or defaults on its payment obligations
resulting in an impact to the security market
price.
The Company holds Asset Backed
Securities which comprises debt securities issued by companies,
trusts or other investment vehicles which, compared to bonds issued
or guaranteed by governments, are generally exposed to greater risk
of default in the repayment of the capital provided to the issuer
or interest payments due to the Company. The amount of credit risk
is indicated by the issuer’s credit rating which is assigned by one
or more internationally recognised rating agencies. This does not
amount to a guarantee of the issuer’s creditworthiness but
generally provides a strong indicator of the likelihood of default.
Securities which have a lower credit rating are generally
considered to have a higher credit risk and a greater possibility
of default than more highly rated securities. There is a risk that
an internationally recognised rating agency may assign incorrect or
inappropriate credit ratings to issuers. Issuers often issue
securities which are ranked in order of seniority which, in the
event of default, would be reflected in the priority in which
investors might be paid back. Whilst they have been historically
low since the inception of the Company, the level of defaults in
the portfolio and the losses suffered on such defaults may increase
in the event of adverse financial or credit market
conditions.
In the event of a default under
an Asset Backed Security, the Company’s right to financial recovery
will depend on its ability to exercise any rights that it has
against the borrower under the insolvency legislation of the
jurisdiction in which the borrower is incorporated. As a creditor,
the Company’s level of protection and rights of enforcement may
therefore vary significantly from one country to another, may
change over time and may be subject to rights and protections which
the relevant borrower or its other creditors might be entitled to
exercise. Information regarding investment restrictions that are
currently in place in order to manage credit risk can be found in
the note 16.
The Company is exposed to foreign
currency risk through its investments in predominantly
Euro-denominated assets. The Company’s share capital is denominated
in Sterling and its expenses are incurred in Sterling. The
Company’s financial statements are presented in Sterling. Amongst
other factors affecting the foreign exchange markets, events in the
Eurozone may impact upon the value of the Euro which in turn will
impact the value of the Company’s Euro-denominated investments. The
Company manages its exposure to currency movements by using spot
and forward foreign exchange contracts, which are rolled forward
periodically.
Where a market counterparty to an
Over the Counter (OTC) derivative transaction fails, any unrealised
positive mark to market profit may be lost. The Company mitigates
this risk by only trading derivatives against approved
counterparties which meet minimum creditworthiness criteria and by
employing central clearing and margining where
applicable.
Settlement risk is the risk of
loss associated with any security price movements between trade
date and eventual settlement date should a trade fail to settle on
time (or at all). The Company mitigates the risk of
total loss by trading on a delivery versus payment (DVP) basis for
all non-derivative transactions and central clearing helps to
ensure that trades settle on a timely basis.
The Portfolio Manager is
conscious of the challenge to reinvest any monies that result from
principal and income payments and to minimise reinvestment risk.
Cash flow analysis is conducted on an ongoing basis and is an
important part of the Portfolio Management process, ensuring such
proceeds can be invested efficiently and in the best interests of
the Company.
The Portfolio Manager expects
£61.7m of assets to have a Weighted Average Life of under 1
year. While market conditions are
always subject to change, the Portfolio Manager does not currently
foresee reinvestment risk significantly impacting the yield nor
affecting each quarter’s minimum dividend and recognises the need
to be opportunistic as and when market conditions are particularly
favourable in order to reinvest any proceeds or in order to take
advantage of rapidly evolving pricing during periods of market
volatility.
The Company is exposed to the
risk arising from any failures of systems and controls in the
operations of the Portfolio Manager, Administrator, AIFM,
Independent Valuer, Custodian and the Depositary amongst others.
The Board and its Audit Committee regularly review reports from key
service providers on their internal controls, in particular,
focussing on changes in working practices. The Administrator,
Custodian and Depositary report to the Portfolio Manager any
operational issues for final approval of the Board as
required.
-
Accounting, Legal and
Regulatory Risks
The Company is exposed to the
risk that it may fail to maintain accurate accounting records or
fail to comply with requirements of its Admission document and fail
to meet listing obligations. The accounting records prepared by the
Administrator are reviewed by the Portfolio Manager. The Portfolio
Manager, Administrator, AIFM, Custodian, Depositary and Corporate
Broker provide regular updates to the Board on compliance with the
Admission document and changes in regulation. Changes in the legal
or the regulatory environment can have a major impact on some
classes of debt. The Portfolio Manager monitors this and takes
appropriate action.
The Board considers income
recognition to be a principal risk and uncertainty. The Portfolio
Manager estimates the remaining expected life of the security and
its likely terminal value, which has an impact on the effective
interest rate of the Asset Backed Securities which in turn impacts
the calculation of interest income. This risk is considered on
behalf of the Board by the Audit Committee as discussed in the
Annual Report for the year ended 31 March
2023 and is therefore satisfied that income is appropriately
stated in all material aspects in the Financial
Statements.
The Company is exposed to risk
arising from a successful cyber-attack through its service
providers. The Company requests of its service providers that they
have appropriate safeguards in place to mitigate the risk of
cyber-attacks (including minimising the adverse consequences
arising from any such attack), that they provide regular updates to
the Board on cyber security, and conduct ongoing monitoring of
industry developments in this area. The Board is satisfied that the
Company’s service providers have the relevant controls in place to
mitigate this risk.
-
Geopolitical Risk and
Economic Disruption
The Company is exposed to the
risk of geopolitical and economic events impacting on the Company,
Portfolio Manager and Shareholders, including elevated levels of
global inflation, recessionary risks and the current conflicts in
Ukraine and the Middle East. The Company does not hold any
assets in Ukraine, Belarus, Russia, or the Middle East, however, the situation in the
impacted regions and wider geopolitical consequences remain
volatile and the Board and Portfolio Manager continue to monitor
the situation carefully and will take whatever steps are necessary
and in the best interests of the Company’s Shareholders. The
Company’s key suppliers do not have operations in Ukraine, Russia, Belarus, or the Middle East and there is not expected to be
any adverse impact from military operations on the activity
(including processes and procedures) of the
Company.
Climate change risk is the risk
of the Company not responding sufficiently to pressure from
stakeholders to assess and disclose the impact of climate change on
investment portfolios and address concerns on what impact the
Company and its portfolio has on the environment.
Regular contact is maintained by
the Portfolio Manager and Broker with major stakeholders and the
Board receives regular updates from the Portfolio Manager on
emerging policy and best practice within this area and can take
action accordingly.
Environmental, Social, and
Governance (“ESG”) factors are assessed by the Portfolio Manager
for every transaction as part of the investment process.
Specifically for ABS, for every transaction an ESG assessment is
produced by the Portfolio Manager and an ESG score is assigned.
External ESG factors are factors related to the debt issuers of ABS
transactions and they are assessed through a combination of
internal and third-party data. Climate risks are incorporated in
the ESG analysis under environmental factors and taken into
consideration in the final investment decision. CO2 emissions are
tracked at issuer and deal level where information is available.
Given the bankruptcy-remoteness feature of securitisation
transactions the climate risks which the manager considers more
relevant and that are able to potentially impact the value of the
investment are the ones related to the underlying collateral which
include physical and transitional risks. Those risks are also
assessed and considered as environmental factors in the ESG
analysis.
The Board and Portfolio Manager
do not consider these risks to have changed materially and these
risks are considered to remain relevant for the remaining six
months of the financial year.
The Board’s process of
identifying and responding to emerging risks is disclosed under the
Statement of Principal Risks and Uncertainties in the Annual Report
for the year ended 31 March
2023.
Going
Concern
The Directors believe that it is
appropriate to adopt the going concern basis in preparing the
Unaudited Condensed Interim Financial Statements in view of the
Company’s holdings in cash and cash equivalents and the liquidity
of investments and the income deriving from those investments,
meaning the Company has adequate financial resources and suitable
management arrangements in place to continue as a going concern for
at least twelve months from the date of approval of the Unaudited
Condensed Interim Financial Statements.
The Company’s articles provide
for a realisation opportunity (“Realisation Opportunity”) under
which Shareholders may elect to realise some or all of their
holdings of Ordinary Shares at each third Annual General Meeting,
with the next Realisation Opportunity being in September 2025.
The Company’s continuing ability
to continue as a going concern, in light of the external
geo-political and macro factors, the increased risk of default due
to rising inflation, increasing global interest rates and the next
Realisation Opportunity has been considered by the Directors and no
material doubts to going concern have been
identified.
STATEMENT OF DIRECTORS’
RESPONSIBILITIES
We confirm that to the best of
our knowledge:
-
these Unaudited Condensed Interim
Financial Statements have been prepared in accordance with
International Accounting Standard 34, "Interim Financial Reporting"
and give a true and fair view of the assets, liabilities, equity
and profit or loss of the Company as required by DTR
4.2.4R.
-
the interim management report
includes a fair review of the information required
by:
(a) DTR 4.2.7R of the Disclosure
and Transparency Rules, being an indication of important events
that have occurred during the period from 1
April 2023 to 30 September
2023 and their impact on the Unaudited Condensed Interim
Financial Statements; and a description of the principal risks and
uncertainties for the remaining six months of the year;
and
(b) DTR 4.2.8R of the Disclosure
and Transparency Rules, being related party transactions that have
taken place during the period from 1 April
2023 to 30 September 2023 and
that have materially affected the financial position or performance
of the Company during that period as included in note
14.
By order of the
Board
Bronwyn Curtis John
Le Poidevin
Chair Director
23
November 2023
The directors are responsible for
the maintenance and integrity of the corporate and financial
information included on the Company's website, and for the
preparation and dissemination of financial statements. Legislation
in Guernsey governing the preparation and dissemination of
financial statements may differ from legislation in other
jurisdictions.
INDEPENDENT REVIEW
REPORT
TO TWENTYFOUR INCOME FUND
LIMITED
Conclusion
We have been engaged by
TwentyFour Income Fund Limited (the "Company") to review the
condensed set of financial statements in the
half-yearly financial report for the six months ended 30 September 2023 of the Company, which comprises
the statement of financial position, the statement of comprehensive
income, the statement of changes in equity, the statement of cash
flows and the related explanatory notes.
Based on our review, nothing has
come to our attention that causes us to believe that the condensed
set of financial statements in the
half-yearly financial report for the six months ended 30 September 2023 is not prepared, in all
material respects, in accordance with IAS 34 Interim Financial
Reporting and the Disclosure Guidance and Transparency Rules ("the
DTR") of the UK's Financial Conduct Authority ("the UK
FCA").
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 condensed set of 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
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.
Directors’
responsibilities
The half-yearly financial report
is the responsibility of, and has been approved by, the directors.
The directors are responsible for preparing the 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
accordance with International Financial Reporting
Standards. The directors are responsible for
preparing the condensed set of financial statements included in
the half-yearly financial report in accordance with IAS 34 Interim
Financial Reporting.
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 they either intend to liquidate
the Company or to cease operations, or have no realistic
alternative but to do so.
Our responsibility
Our responsibility is to express
to the Company a conclusion on the condensed set of 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.
Rachid Frihmat
For and on behalf of KPMG Channel
Islands Limited
Chartered
Accountants
Guernsey
23
November 2023
CONDENSED STATEMENT OF
COMPREHENSIVE INCOME
for the period from 1 April 2023 to 30
September 2023
|
|
|
For the
period
|
|
For the
period
|
|
|
|
from 01.04.23 to
30.09.23
|
|
from 01.04.22 to
30.09.22
|
|
Notes
|
|
£
|
|
£
|
|
|
|
(Unaudited)
|
|
(Unaudited)
|
Income
|
|
|
|
|
|
Interest income on financial
assets at fair value through profit or loss
|
|
|
39,617,803
|
|
27,159,169
|
Net foreign currency
gains/(losses)
|
7
|
|
6,714,557
|
|
(11,081,941)
|
Net gains/(losses) on financial
assets
|
|
|
|
|
|
at fair value through profit or
loss
|
8
|
|
18,179,471
|
|
(95,521,570)
|
|
|
|
|
|
|
Total
income/(loss)
|
|
|
64,511,831
|
|
(79,444,342)
|
|
|
|
|
|
|
Operating
expenses
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio management
fees
|
14
|
|
(2,785,136)
|
|
(2,516,061)
|
Directors' fees
|
14
|
|
(136,245)
|
|
(149,846)
|
Administration and secretarial
fees
|
15
|
|
(175,947)
|
|
(161,765)
|
Audit fees
|
|
|
(78,000)
|
|
(65,000)
|
Custody fees
|
15
|
|
(37,139)
|
|
(33,548)
|
Broker fees
|
|
|
(24,939)
|
|
(25,057)
|
AIFM management
fees
|
15
|
|
(126,343)
|
|
(115,684)
|
Depositary fees
|
15
|
|
(50,155)
|
|
(45,695)
|
Legal and professional
fees
|
|
|
(28,635)
|
|
(31,216)
|
Listing fees
|
|
|
(12,500)
|
|
(14,105)
|
Registration
fees
|
|
|
(44,030)
|
|
(19,783)
|
Other expenses
|
|
|
56,041
|
|
(152,697)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total operating
expenses
|
|
|
(3,443,028)
|
|
(3,330,457)
|
|
|
|
|
|
|
Total operating
profit/(loss)
|
|
|
61,068,803
|
|
(82,774,799)
|
|
|
|
|
|
|
Finance costs on repurchase
agreements
|
11
|
|
(383,505)
|
|
(255,413)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total comprehensive income/(loss)
for the period*
|
|
|
60,685,298
|
|
(83,030,212)
|
|
|
|
|
|
|
|
|
|
|
|
|
Earning/(loss) per
Ordinary Share
|
3
|
|
0.0817
|
|
(0.1299)
|
|
|
|
|
|
|
All items in the above statement
derive from continuing operations.
The Company’s income and expenses
are not affected by seasonality or cyclicity.
The notes below form an integral
part of these Unaudited Condensed Interim Financial
Statements.
*There
was no other comprehensive income during the current and prior
periods.
CONDENSED STATEMENT OF
FINANCIAL POSITION
as at 30
September 2023
|
|
|
30.09.23
|
|
31.03.23
|
|
Notes
|
|
£
|
|
£
|
Assets
|
|
|
(Unaudited)
|
|
(Audited)
|
Non-current
assets
|
|
|
|
|
|
Financial assets at fair value
through profit or loss
|
|
|
|
|
|
- Investments1
|
8
|
|
757,872,773
|
|
739,385,970
|
Current
assets
|
|
|
|
|
|
Financial assets at fair value
through profit or loss
|
|
|
|
|
|
- Derivative assets: Forward
currency contracts
|
17
|
|
28,274
|
|
2,281,253
|
Other
receivables
|
9
|
|
8,319,864
|
|
6,976,028
|
Cash and cash
equivalents
|
|
|
15,024,303
|
|
27,235,318
|
|
|
|
|
|
|
Total
assets
|
|
|
781,245,214
|
|
775,878,569
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Current
liabilities
|
|
|
|
|
|
Financial liabilities at fair
value through profit or loss
|
|
|
|
|
|
- Derivative liabilities: Forward
currency contracts
|
17
|
|
3,763,080
|
|
1,509
|
Amounts payable under repurchase
agreements
|
11
|
|
5,921,313
|
|
49,827,700
|
Amounts due to
broker
|
|
|
2,342,079
|
|
-
|
Share issue costs
payable
|
|
|
-
|
|
5,219
|
Other payables
|
10
|
|
1,094,157
|
|
1,061,379
|
|
|
|
|
|
|
Total
liabilities
|
|
|
13,120,629
|
|
50,895,807
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets
|
|
|
768,124,585
|
|
724,982,762
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity
|
|
|
|
|
|
Share capital
account
|
12
|
|
780,213,410
|
|
750,558,986
|
(Accumulated
losses)
|
|
|
(12,088,825)
|
|
(25,576,224)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
equity
|
|
|
768,124,585
|
|
724,982,762
|
|
|
|
|
|
|
|
|
|
|
|
|
Ordinary Shares in
issue
|
12
|
|
747,836,661
|
|
718,036,661
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Ordinary
Share (pence)
|
5
|
|
102.71
|
|
100.97
|
|
|
|
|
|
|
1
The entire balance of
investments in Financial assets at fair value through profit or
loss was reclassified from current assets to non-current assets.
For more information please see Note 8 –
Investments.
The Unaudited Condensed Interim
Financial Statements were approved by the Board of Directors on
23 November 2023 and signed on its
behalf by:
Bronwyn Curtis John
Le Poidevin
Director Director
The notes below form an integral
part of these Unaudited Condensed Interim Financial
Statements.
CONDENSED STATEMENT OF
CHANGES IN EQUITY
for the period from 1 April 2023 to 30
September 2023
|
|
|
Share
capital
|
|
|
|
|
|
|
|
account
|
|
(Accumulated
losses)
|
|
Total
|
|
|
Notes
|
£
|
|
£
|
|
£
|
Balances at 1 April
2023
|
|
750,558,986
|
|
(25,576,224)
|
|
724,982,762
|
|
|
|
|
|
|
|
|
Issue of shares
|
12
|
30,244,890
|
|
-
|
|
30,244,890
|
Share issue
costs
|
12
|
(347,817)
|
|
-
|
|
(347,817)
|
Dividends paid
|
|
-
|
|
(47,440,548)
|
|
(47,440,548)
|
Income equalisation on new
issues
|
4
|
(242,649)
|
|
242,649
|
|
-
|
Total comprehensive income for
the period
|
|
-
|
|
60,685,298
|
|
60,685,298
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at 30 September
2023 (Unaudited)
|
|
780,213,410
|
|
(12,088,825)
|
|
768,124,585
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share
capital
|
|
Retained
earnings/
|
|
|
|
|
|
account
|
|
(Accumulated
losses)
|
|
Total
|
|
|
|
£
|
|
£
|
|
£
|
Balances at 1 April
2022
|
|
675,350,674
|
|
43,126,544
|
|
718,477,218
|
|
|
|
|
|
|
|
|
Issue of shares
|
|
1,054,500
|
|
-
|
|
1,054,500
|
Share issue
costs
|
|
(12,127)
|
|
-
|
|
(12,127)
|
Release of UKML share issue costs
payable
|
|
803,803
|
|
|
|
803,803
|
Dividends paid
|
|
-
|
|
(24,088,138)
|
|
(24,088,138)
|
Income equalisation on new
issues
|
4
|
(16,079)
|
|
16,079
|
|
-
|
Total comprehensive loss for the
period
|
|
-
|
|
(83,030,212)
|
|
(83,030,212)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at 30 September
2022 (Unaudited)
|
|
677,180,771
|
|
(63,975,727)
|
|
613,205,044
|
The notes on below form an
integral part of these Unaudited Condensed Interim Financial
Statements.
CONDENSED STATEMENT OF
CASH FLOWS
for the period from 1 April 2023 to 30
September 2023
|
|
For the
period
|
|
For the
period
|
|
Notes
|
from 01.04.23 to
30.09.23
|
|
from 01.04.22 to
30.09.22
|
|
|
£
|
|
£
|
|
|
(Unaudited)
|
|
(Unaudited)
|
Cash flows from operating
activities
|
|
|
|
|
Total comprehensive gain/(loss)
for the period
|
|
60,685,298
|
|
(83,030,212)
|
|
|
|
|
|
Less:
|
|
|
|
|
Interest income on financial
assets at fair value through profit or loss
|
(39,617,803)
|
|
(27,159,169)
|
Movement in interest income
receivable
|
|
1,400,933
|
|
(1,525,481)
|
Adjustments for non-cash
transactions:
|
|
|
|
|
Net (gains)/losses on
investments
|
8
|
(18,179,471)
|
|
95,521,570
|
Amortisation adjustment under
effective interest rate method
|
8
|
(7,931,404)
|
|
(7,226,952)
|
Unrealised losses on forward
currency contracts
|
7
|
6,014,551
|
|
4,310,247
|
Exchange losses/(gains) on cash
and cash equivalents
|
|
2,812
|
|
(26,446)
|
Investment
income
|
|
37,793,736
|
|
25,366,644
|
Bank interest
income
|
|
423,134
|
|
267,044
|
Increase in other
receivables
|
|
(1,343,836)
|
|
(1,498,828)
|
Increase/(decrease) in other
payables
|
|
32,778
|
|
(698,449)
|
Finance costs on repurchase
agreements
|
|
383,505
|
|
255,413
|
Purchase of
investments
|
|
(141,096,823)
|
|
(129,995,550)
|
Sale of investments/principal
repayments
|
|
151,062,974
|
|
87,130,635
|
|
|
|
|
|
Net cash generated from/(used in)
operating activities
|
|
49,630,384
|
|
(38,309,534)
|
|
|
|
|
|
|
|
|
|
|
Cash flows from financing
activities
|
|
|
|
|
|
|
|
|
|
Proceeds from issue of Ordinary
Redeemable Shares
|
|
30,244,890
|
|
1,054,500
|
Share issue
costs
|
|
(353,037)
|
|
(2,406,742)
|
Dividend paid
|
|
(47,440,548)
|
|
(24,088,138)
|
Finance costs
|
|
(383,505)
|
|
(255,413)
|
(Decrease)/increase in amounts
payable under repurchase agreements
|
(43,906,387)
|
|
24,270,170
|
|
|
|
|
|
|
|
|
|
|
Net cash used in financing
activities
|
|
(61,838,587)
|
|
(1,425,623)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Decrease in cash and cash
equivalents
|
|
(12,208,203)
|
|
(39,735,157)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents at
beginning of the period
|
|
27,235,318
|
|
59,706,062
|
Exchange (losses)/gains on cash
and cash equivalents
|
|
(2,812)
|
|
26,446
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
at end of the period
|
|
15,024,303
|
|
19,997,351
|
|
|
|
|
|
The notes below form an integral
part of these Unaudited Condensed Interim Financial
Statements.
NOTES TO THE UNAUDITED
CONDENSED INTERIM FINANCIAL STATEMENTS
for the period from 1 April 2023 to 30
September 2023
1. General
Information
TwentyFour Income Fund Limited
(the “Company”) is a closed-ended investment company whose shares
(“Ordinary Shares”, being the sole share class) have a Premium
Listing on the Official List of the UK Listing Authority and trade
on the Main Market of the London Stock Exchange. The Company was
incorporated in Guernsey on 11 January
2013.
Since 16
September 2022, the Company has been included on the London
Stock Exchange’s FTSE 250 Index.
The Company’s investment
objective and policy is set out in the Summary
Information.
The Portfolio Manager of the
Company is TwentyFour Asset Management LLP (the “Portfolio
Manager”).
2. Principal
Accounting Policies
a) Statement of
Compliance
The Unaudited Condensed Interim
Financial Statements for the period 1 April
2023 to 30 September 2023 have
been prepared on a going concern basis in accordance with IAS 34
“Interim Financial Reporting”, the Disclosure Guidance and
Transparency Rules Sourcebook of the United Kingdom’s Financial
Conduct Authority (“FCA”) and applicable legal and regulatory
requirements.
The Unaudited Condensed Interim
Financial Statements should be read in conjunction with the annual
audited financial statements for the year ended 31 March 2023, which were prepared in accordance
with International Financial Reporting Standards (“IFRS”) and were
in compliance with The Companies (Guernsey) Law, 2008 and which
received an unqualified Auditor’s report.
b) Presentation of
Information
In the current financial period,
there have been no changes to the accounting policies from those
applied in the most recent audited annual financial
statements.
c) Significant Judgements
and Estimates
There have been no changes to the
significant accounting judgements, estimates and assumptions from
those applied in the most recent audited annual financial
statements.
d) Standards, Amendments
and Interpretations Effective during the
Period
At the reporting date of these
Financial Statements, the following standards, interpretations and
amendments, were adopted for the period ended 30 September 2023 and the year ending
31 March 2024:
-
Insurance Contracts
(IFRS 17) (applicable to accounting periods beginning on or after
1 January 2023);
-
Disclosure of
Accounting Policies (Amendments to IAS 1 and IFRS Practice
Statement 2) (applicable to accounting periods beginning on or
after 1 January
2023);
-
Definition of
Accounting Estimates (Amendments to IAS 8) (applicable to
accounting periods beginning on or after 1
January 2023); and
-
Deferred Tax related
to Assets and Liabilities arising from a Single Transaction
(Amendments to IAS 12) (applicable to accounting periods beginning
on or after 1 January
2023).
The Directors (“Directors”) of
the Company (the “Board”) believe that the adoption of the
above standards does not have a material impact on the Company’s
Unaudited Condensed Interim Financial Statements for the period
ended 30 September 2023 and for the
Annual Audited Financial Statements for the year ending
31 March 2024.
e) Standards, Amendments
and Interpretations Issued but not yet
Effective
The following standards,
interpretations and amendments, which have not been applied in
these Unaudited Condensed Interim Financial Statements, were in
issue but not yet effective:
-
Non-current
Liabilities with Covenants and Classification of Liabilities as
Current or Non-Current (Amendments to IAS 1) (applicable to
accounting periods beginning on or after 1
January 2024);
-
Lease
Liability in a Sale
or Leaseback (Amendments to IFRS 16) (applicable to accounting
periods beginning on or after 1 January
2024);
-
Supplier Finance
Arrangements (Amendments to IAS 7 and IFRS 7) (applicable to
accounting periods beginning on or after 1
January 2024);
-
Lack of
Exchangeability (Amendments to IAS 21) (applicable to accounting
periods beginning on or after 1 January
2025);
The Directors anticipate that the
adoption of the above standards, effective in future periods, will
not have a material impact on the financial statements of the
Company.
3. Earnings/(Loss)
per Ordinary Share – Basic & Diluted
The earnings per Ordinary Share –
Basic is calculated by dividing a company's income or profit by the
number of shares outstanding. Diluted earnings per Ordinary Share
takes into account all potential dilution that would occur if
convertible securities were exercised or options were converted to
stocks.
As the Company has not issued
options, only the Basic Earnings per Share has been
calculated.
Basic earnings per Ordinary Share
has been calculated based on the weighted average number of
Ordinary Shares of 742,733,383 (30 September
2022: 638,959,048) and a net gain of £60,685,298
(30 September 2022: net loss of
£83,030,212).
4. Income
Equalisation on New Issues
In order to ensure there are no
dilutive effects on earnings per share for current holders of
shares (“Ordinary Shares”) issued by the Company (“Shareholders”)
when issuing new Ordinary Shares earnings are calculated in respect
of accrued income at the time of purchase and a transfer is made
from share capital to income to reflect this. The transfer for the
period is £242,649 (30 September
2022: £16,079).
5. Net
Asset Value per Ordinary Share
The net asset value (“NAV”) of
each Ordinary Share of £1.03 (31 March
2023: £1.01) is determined by dividing the value of the net
assets of the Company attributed to the Ordinary Shares of
£768,124,585 (31 March 2023:
£724,982,762) by the number of Ordinary Shares in issue at
30 September 2023 of 747,836,661
(31 March 2023:
718,036,661).
6.
Taxation
The Company has been granted
Exempt Status under the terms of The Income Tax (Exempt Bodies)
(Guernsey) Ordinance, 1989 to income tax in Guernsey. Its liability
for Guernsey taxation is limited to an annual fee of £1,200 (2022:
£1,200).
7. Net
Foreign Currency Gains/(Losses)
|
|
|
|
|
|
|
For the
period
|
|
For the
period
|
|
|
|
|
|
|
|
from 01.04.23 to
30.09.23
|
|
from 01.04.22 to
30.09.22
|
|
|
|
|
|
|
|
£
|
|
£
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Movement on unrealised loss on
forward currency contracts
|
(6,014,551)
|
|
(4,310,247)
|
|
Realised gains/(losses) on
foreign currency contracts
|
12,705,591
|
|
(7,171,088)
|
|
Unrealised foreign currency gain
on receivables/payables
|
4,063
|
|
219,025
|
|
Unrealised foreign currency
exchange gain on interest receivable
|
19,454
|
|
180,369
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,714,557
|
|
(11,081,941)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8. Investments
|
|
|
|
|
|
|
For the
period
|
|
For the
year
|
|
|
|
|
|
|
|
01.04.23 to
30.09.23
|
|
01.04.22 to
31.03.23
|
Financial assets at fair
value through profit or loss:
|
£
|
|
£
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
|
|
|
|
|
|
|
|
|
|
Opening book
cost
|
|
|
|
|
|
832,506,047
|
|
693,217,802
|
Purchases at
cost
|
|
|
|
|
|
|
143,438,902
|
|
390,806,347
|
Proceeds on sale/principal
repayment
|
|
(151,062,974)
|
|
(297,663,729)
|
Amortisation adjustment under
effective interest rate method
|
7,931,404
|
|
19,931,829
|
Realised gains on sale/principal
repayment
|
|
3,173,775
|
|
57,193,656
|
Realised losses on sale/principal
repayment
|
|
(43,700,421)
|
|
(30,979,858)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closing book
cost
|
|
|
|
|
|
|
792,286,733
|
|
832,506,047
|
|
|
|
|
|
|
|
|
|
|
Unrealised gains on
investments
|
|
14,553,298
|
|
3,919,689
|
Unrealised losses on
investments
|
|
(48,967,258)
|
|
(97,039,766)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair
value
|
|
|
|
|
|
|
757,872,773
|
|
739,385,970
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the
period
|
|
For the
period
|
|
|
|
|
|
|
|
from 01.04.23 to
30.09.23
|
|
from 01.04.22 to
30.09.22
|
|
|
|
|
|
|
|
£
|
|
£
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Realised gains on sales/principal
repayment
|
3,173,775
|
|
46,974,421
|
Realised losses on
sales/principal repayment
|
(43,700,421)
|
|
(38,404,969)
|
Movement in unrealised
gains
|
|
10,633,609
|
|
(35,448,173)
|
Movement in unrealised
losses
|
|
48,072,508
|
|
(68,642,849)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains/(losses) on
financial assets at fair value through profit or
loss
|
18,179,471
|
|
(95,521,570)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In the six-month period ended
30 September 2023, investments have
been reclassified as 'non-current assets' from 'current assets'.
This is to more accurately reflect the Company's intention not to
hold the majority of investments in the portfolio for sale in any
given period.
The reclassification has no
impact on the Company's NAV.
9. Other
Receivables
|
|
|
|
|
|
|
As
at
|
|
As
at
|
|
|
|
|
|
|
|
30.09.23
|
|
31.03.23
|
|
|
|
|
|
|
|
£
|
|
£
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
|
|
|
|
|
|
|
|
|
|
Coupon interest
receivable
|
|
|
8,149,957
|
|
6,808,822
|
Bank interest
receivable
|
|
|
|
|
121,388
|
|
61,590
|
Prepaid
expenses
|
|
|
|
|
|
|
48,519
|
|
105,616
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,319,864
|
|
6,976,028
|
|
|
|
|
|
|
|
|
|
|
There are no material expected
credit losses for coupon interest receivable as at 30 September 2023.
10. Other
Payables
|
|
|
|
|
|
|
As
at
|
|
As
at
|
|
|
|
|
|
|
|
30.09.23
|
|
31.03.23
|
|
|
|
|
|
|
|
£
|
|
£
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
|
|
|
|
|
|
|
|
|
|
Portfolio management fees
payable
|
|
759,976
|
|
738,231
|
Custody fees
payable
|
|
|
|
|
12,642
|
|
6,974
|
Administration and secretarial
fees payable
|
|
175,211
|
|
83,039
|
Directors' fee
payable
|
|
|
|
|
1,375
|
|
12,629
|
Audit fees
payable
|
|
|
|
|
|
71,939
|
|
136,389
|
AIFM management fees
payable
|
|
113,236
|
|
47,885
|
Depositary fees
payable
|
|
|
|
|
25,326
|
|
16,792
|
General expenses
payable
|
|
|
|
(65,548)
|
|
19,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,094,157
|
|
1,061,379
|
|
|
|
|
|
|
|
|
|
|
A summary of the expected payment
dates of payables can be found in the ‘Liquidity Risk’ section of
Note 16.
11. Amounts
payable under repurchase agreements
The Company, as part of its
investment strategy, may enter into repurchase agreements. A
repurchase agreement is a short-term loan where both parties agree
to the sale and future repurchase of assets within a specified
contract period. Repurchase agreements may be entered into in
respect of securities owned by the Company which are sold to and
repurchased from counterparties on contractually agreed dates and
the cash generated from this arrangement can be used to purchase
new securities, effectively creating leverage. The Company still
benefits from any income received, attributable to the security.
Under the Company’s Global Master Repurchase Agreement it may from
time to time enter into transactions with a buyer or seller under
the terms and conditions as governed by the
agreement.
Finance costs on repurchase
agreements have been presented separately from interest income for
the period end 30 September
2023.
Finance costs on repurchase
agreements amounted to £383,505 (30
September 2022: £255,413). As at 30
September 2023, finance cost liabilities on open repurchase
agreements amounted to £120,196 (31 March
2023: £157,335).
At the end of the period, amounts
repayable under open repurchase agreements were £5,921,313
(31 March 2023: £49,827,700). 2
securities were designated as collateral against the repurchase
agreements (31 March 2023: 9
securities), with a total fair value of £7,855,797 (31 March 2023: £50,574,587), all of which were
investment grade residential mortgage backed securities. The total
exposure was -0.77% (31 March 2023:
-6.87%) of the Company’s NAV. The contracts were across one
counterparty and were all rolling agreements with a maturity of 3
months.
12. Share
Capital
Authorised Share
Capital
Unlimited number of Ordinary
Shares at no par value.
Issued Share
Capital
|
|
|
|
|
|
|
For the
period
|
|
For the
year
|
|
|
|
|
|
|
|
01.04.23 to
30.09.23
|
|
01.04.22 to
31.03.23
|
Ordinary
Shares
|
|
|
|
|
|
|
£
|
|
£
|
Ordinary Redeemable
Shares
|
|
(Unaudited)
|
|
(Audited)
|
|
|
|
|
|
|
|
|
|
|
Share Capital at the beginning of
the period/year
|
|
|
750,558,986
|
|
675,350,674
|
Issued Share
Capital
|
|
|
|
|
30,244,890
|
|
76,631,101
|
Share issue
costs
|
|
|
|
|
|
|
(347,817)
|
|
(773,112)
|
Release of UKML share issue costs
payable1
|
|
|
|
|
|
|
-
|
|
798,176
|
Income equalisation on new
issues
|
|
|
(242,649)
|
|
(1,447,853)
|
|
|
|
|
|
|
|
|
|
|
Total Share Capital at the end of
the period/year
|
|
|
780,213,410
|
|
750,558,986
|
|
|
|
|
|
|
|
|
|
|
1.The
release of UKML share issue costs payable was as a result of an
over-accrual of estimated costs at 31 March
2022 attributed to the issue of new shares from the
acquisition of UKML assets.
|
|
|
|
|
|
|
For the
period
|
|
For the
year
|
|
|
|
|
|
|
|
01.04.23 to
30.09.23
|
|
01.04.22 to
31.03.23
|
|
|
|
|
|
|
|
Shares
|
|
Shares
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
Ordinary
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares at the beginning of the
period/year
|
|
|
718,036,661
|
|
638,942,655
|
Issue of Shares
|
|
|
|
|
|
|
29,800,000
|
|
79,094,006
|
|
|
|
|
|
|
|
|
|
|
Total Shares in issue at the end
of the period/year
|
|
|
747,836,661
|
|
718,036,661
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the
period
|
|
For the
year
|
|
|
|
|
|
|
|
01.04.23 to
30.09.23
|
|
01.04.22 to
31.03.23
|
|
|
|
|
|
|
|
£
|
|
£
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
Treasury
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Share capital at the
beginning of the period/year
|
-
|
|
43,083,300
|
Issue of Ordinary Shares from
Treasury
|
|
-
|
|
(43,083,300)
|
|
|
|
|
|
|
|
|
|
|
Total Treasury Share capital at
the end of the period/year
|
|
|
-
|
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the
period
|
|
For the
year
|
|
|
|
|
|
|
|
01.04.23 to
30.09.23
|
|
01.04.22 to
31.03.23
|
|
|
|
|
|
|
|
Shares
|
|
Shares
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
Treasury
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Shares at the beginning
of the period/year
|
-
|
|
39,000,000
|
Issue of Ordinary Shares from
Treasury
|
|
|
|
|
|
|
-
|
|
(39,000,000)
|
|
|
|
|
|
|
|
|
|
|
Total Shares at the end of the
period/year
|
|
|
-
|
|
-
|
|
|
|
|
|
|
|
|
|
|
The Share Capital of the Company
consists of an unlimited number of Ordinary Shares at no par value
which, upon issue, the Directors may designate as: Ordinary Shares;
Realisation Shares or such other class as the Board
shall determine and denominated in such currencies as shall be
determined at the discretion of the Board.
As at 30
September 2023, one share class has been issued, being the
Ordinary Shares of the Company.
The Ordinary Shares carry the
following rights:
a)
The Ordinary Shares
carry the right to receive all income of the Company attributable
to the Ordinary Shares.
b)
The Shareholders
present in person or by proxy or present by a duly authorised
representative at a general meeting has, on a show of hands, one
vote and, on a poll, one vote for each Share
held.
c)
56 days before the
annual general meeting date of the Company in each third year
(“Reorganisation Date”), the Shareholders are entitled to serve a
written notice (“Realisation Election”) requesting that all or a
part of the Ordinary Shares held by them be redesignated to
Realisation Shares, subject to the aggregate NAV of the continuing
Ordinary Shares on the last business day before the Reorganisation
Date being not less than £100 million. A Realisation Notice, once
given is irrevocable unless the Board agrees otherwise. If one or
more Realisation Elections be duly made and the aggregate NAV of
the continuing Ordinary Shares on the last business day before the
Reorganisation Date is less than £100 million, the Realisation
Opportunity will not take place. Shareholders do not have a right
to have their shares redeemed and shares are redeemable at the
discretion of the Board. The most recent Realisation Election took
place in October 2022. The next
Realisation Opportunity is due to occur at the end of the next
three-year term, at the date of the AGM in September 2025.
The Company has the right to
issue and purchase up to 14.99% of the total number of its own
shares at £0.01 each, to be classed as Treasury Shares and may
cancel those Shares or hold any such Shares as Treasury Shares,
provided that the number of Shares held as Treasury Shares shall
not at any time exceed 10% of the total number of Shares of that
class in issue at that time or such amount as provided in the
Companies (Guernsey) Law, 2008.
The Company has the right to
re-issue Treasury Shares at a later date.
£2,396,197 of share issue costs
paid in the Condensed Statement of Cash Flows for the period from
1 April 2022 to 30 September 2022 related to issue costs incurred
during the period ended 30 September
2022 in relation to the acquisition of UKML assets. During
the year ended 31 March 2023,
£798,176 of the original costs capitalised were released back to
the NAV of the Company.
13. Analysis
of Financial Assets and Liabilities by Measurement
Basis
|
|
|
|
|
|
|
|
Assets at
fair
|
|
|
|
|
|
|
|
|
|
|
|
|
value
through
|
|
Amortised
|
|
|
|
|
|
|
|
|
|
|
profit or
loss
|
|
cost
|
|
Total
|
|
|
|
|
|
|
|
|
£
|
|
£
|
|
£
|
30 September
2023
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets as per
Condensed Statement of Financial Position
(Unaudited)
|
|
|
|
|
|
|
Financial assets at fair value
through profit or loss:
|
|
|
|
|
|
|
- Investments
|
|
|
|
|
|
|
757,872,773
|
|
-
|
|
757,872,773
|
- Derivative assets: Forward
currency contracts
|
|
28,274
|
|
-
|
|
28,274
|
Other receivables (excluding
prepayments)
|
|
-
|
|
8,271,345
|
|
8,271,345
|
Cash and cash
equivalents
|
|
|
|
|
|
-
|
|
15,024,303
|
|
15,024,303
|
|
|
|
|
|
|
|
|
757,901,047
|
|
23,295,648
|
|
781,196,695
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at
fair
|
|
|
|
|
|
|
|
|
|
|
|
|
value
through
|
|
Amortised
|
|
|
|
|
|
|
|
|
|
|
profit or
loss
|
|
cost
|
|
Total
|
|
|
|
|
|
|
|
|
£
|
|
£
|
|
£
|
Financial Liabilities as
per Condensed Statement of Financial Position
(Unaudited)
|
|
|
|
|
|
|
Financial liabilities at fair
value through profit or loss:
|
|
|
|
|
|
|
- Derivative liabilities: Forward
currency contracts
|
|
3,763,080
|
|
-
|
|
3,763,080
|
Amounts payable under repurchase
agreements
|
|
-
|
|
5,921,313
|
|
5,921,313
|
Amounts due to
brokers
|
|
-
|
|
2,342,079
|
|
2,342,079
|
Other payables
|
|
|
|
|
|
|
-
|
|
1,094,157
|
|
1,094,157
|
|
|
|
|
|
|
|
|
3,763,080
|
|
9,357,549
|
|
13,120,629
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at
fair
|
|
|
|
|
|
|
|
|
|
|
|
|
value
through
|
|
Amortised
|
|
|
|
|
|
|
|
|
|
|
profit or
loss
|
|
cost
|
|
Total
|
|
|
|
|
|
|
|
|
£
|
|
£
|
|
£
|
31 March 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets as per
Condensed Statement of Financial Position
(Audited)
|
|
|
|
|
|
|
Financial assets at fair value
through profit or loss:
|
|
|
|
|
|
|
- Investments
|
|
|
|
|
|
|
739,385,970
|
|
-
|
|
739,385,970
|
- Derivative assets: Forward
currency contracts
|
|
2,281,253
|
|
-
|
|
2,281,253
|
Other receivables (excluding
prepayments)
|
|
-
|
|
6,870,412
|
|
6,870,412
|
Cash and cash
equivalents
|
|
|
|
|
|
-
|
|
27,235,318
|
|
27,235,318
|
|
|
|
|
|
|
|
|
741,667,223
|
|
34,105,730
|
|
775,772,953
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at
fair
|
|
|
|
|
|
|
|
|
|
|
|
|
value
through
|
|
Amortised
|
|
|
|
|
|
|
|
|
|
|
profit or
loss
|
|
cost
|
|
Total
|
|
|
|
|
|
|
|
|
£
|
|
£
|
|
£
|
Financial Liabilities as
per Condensed Statement of Financial Position
(Audited)
|
|
|
|
|
|
|
Financial liabilities at fair
value through profit or loss:
|
|
|
|
|
|
|
- Derivative liabilities: Forward
currency contracts
|
|
1,509
|
|
-
|
|
1,509
|
Amounts payable under repurchase
agreements
|
|
-
|
|
49,827,700
|
|
49,827,700
|
Share issue costs
payable
|
|
-
|
|
5,219
|
|
5,219
|
Other payables
|
|
|
|
|
|
|
-
|
|
1,061,379
|
|
1,061,379
|
|
|
|
|
|
|
|
|
1,509
|
|
50,894,298
|
|
50,895,807
|
14. Related
Parties
a) Directors’
Remuneration & Expenses
The Directors of the Company are
remunerated for their services at such a rate as the Directors
determine. Shareholders approved the upper limit of aggregate
Director fees at £400,000
per annum at
an Annual General Meeting on 14 October
2022.
Following an independent review
of directors’ fees by external evaluation practitioner Trust
Associates Limited, with effect from 1
January 2023 the annual fees have been £60,000 for the Chair
of the Board, £50,000 for the Audit Committee Chair, £42,000 for
the Senior Independent Director, the Chair of the Management
Engagement Committee and the Chair of the Nomination and
Remuneration Committee and £40,000 for all other
Directors.
During the period ended
30 September 2023, Directors fees of
£136,245 (30 September 2022:
£149,846) were charged to the Company, of which £1,375
(31 March 2023: £Nil) remained
payable at the end of the period.
b) Shares Held by Related
Parties
As at 30
September 2023, Directors of the Company held the following
shares beneficially:
|
Number of
Shares
|
Number of
Shares
|
|
30.09.23
|
31.03.23
|
Bronwyn Curtis
|
105,313
|
105,313
|
Richard
Burwood1
|
N/A
|
87,186
|
John de Garis
|
39,753
|
39,753
|
Joanne Fintzen
|
38,538
|
38,538
|
Paul Le Page
|
49,457
|
49,457
|
John Le
Poidevin
|
260,121
|
260,121
|
1Richard
Burwood retired from the Board on 14
September 2023.
None of the Directors purchased
or sold any shares, during the six month period ended 30 September 2023.
As at 30
September 2023, the Portfolio Manager held 36,406,018 Shares
(31 March 2023: 31,805,683 Shares),
which is 4.87% (31 March 2023: 4.89%)
of the Issued Share Capital. Partners and employees of the
Portfolio Manager held 8,433,080 Shares (31
March 2023: 12,155,104 Shares), which is 1.13% (31 March 2023: 1.69%) of the Issued Share
Capital.
Any shares purchased by
Directors, the Portfolio Manager and employees of the Portfolio
Manager are carried out in their capacity as Shareholders. No
shares are offered or awarded to any Related Parties as
remuneration.
c) Portfolio
Manager
The portfolio management fee is
payable to the Portfolio Manager, monthly in arrears at a rate of
0.75% per annum of the lower of NAV, which is calculated weekly on
each valuation day, or market capitalisation of each class of
shares. Total portfolio management fees for the period amounted to
£2,785,136 (30 September 2022:
£2,156,061) of which £759,976 (31 March
2023: £738,231) is due and payable at the period end. The
Portfolio Management Agreement dated 29 May
2014 remains in force until determined by the Company or the
Portfolio Manager giving the other party not less than twelve
months' notice in writing. Under certain circumstances, the Company
or the Portfolio Manager is entitled to immediately terminate the
agreement in writing.
The Portfolio Manager is also
entitled to a commission of 0.15% of the aggregate gross offering
proceeds plus any applicable VAT in relation to any issue of new
Shares, following admission, in consideration of marketing services
that it provides to the Company. During the period, the Portfolio
Manager received £45,367 (30 September
2022: £1,582) in commission.
15. Material
Agreements
a) Alternative Investment
Fund Manager
The Company’s Alternative
Investment Fund Manager (the “AIFM”) is Apex Fundrock Ltd. In
consideration for the services provided by the AIFM under the AIFM
Agreement, the AIFM is entitled to receive from the Company a
minimum fee of £20,000 per annum and fees payable quarterly in
arrears at a rate of 0.07% of the NAV of the Company below £50
million, 0.05% on Net Assets between £50 million and £100 million
and 0.03% on Net Assets in excess of £100 million. During the
period ended 30 September 2023, AIFM
fees of £126,343 (30 September 2022:
£115,684) were charged to the Company, of which £113,236
(31 March 2023: £47,885) remained
payable at the end of the period.
b) Administrator and
Secretary
Administration fees are payable
to Northern Trust International Fund Administration Services
(Guernsey) Limited monthly in arrears at a rate of 0.06% of the NAV
of the Company below £100 million, 0.05% on Net Assets between £100
million and £200 million and 0.04% on Net Assets in excess of £200
million as at the last business day of the month subject to a
minimum £75,000 each year. In addition, an annual fee of £25,000 is
charged for corporate governance and company secretarial services.
Total administration and secretarial fees for the period amounted
to £175,947 (30 September 2022:
£161,765) of which £175,211 (31 March
2023: £83,039) is due and payable at end of the
period.
c)
Depositary
Depositary fees are payable to
Northern Trust (Guernsey) Limited, monthly in arrears, at a rate of
0.0175% of the NAV of the Company up to £100 million, 0.0150% on
Net Assets between £100 million and £200 million and 0.0125% on Net
Assets in excess of £200 million as at the last business day of the
month subject to a minimum £25,000 each period. Total depositary
fees and charges for the period amounted to £50,155, (30 September 2022: £45,695) of which £25,326
(31 March 2023: £16,792) is due and
payable at the period end.
The Depositary is also entitled
to a Global Custody fee of a minimum of £8,500 per annum plus
transaction fees. Total Global Custody fees and charges for the
period amounted to £37,139 (30 September
2022: £33,548) of which £12,642 (31
March 2023: £6,974) is due and payable at the period
end.
16. Financial
Risk Management
The
Company’s objective in managing risk is the creation and protection
of Shareholder value. Risk is inherent in the Company’s activities,
but it is managed through an ongoing process of identification,
measurement and monitoring.
The
Company’s financial instruments include investments classified at
fair value through profit or loss, cash and cash equivalents,
derivative liabilities and amounts payable under repurchase
agreements. The main risks arising from the Company’s financial
instruments are market risk, credit risk and liquidity risk. The
techniques and instruments utilised for the purposes of efficient
portfolio management are those which are reasonably believed by the
Board to be economically appropriate to the efficient management of
the Company.
Market
Risk
Market
risk embodies the potential for both losses and gains and includes
currency risk, interest rate risk, reinvestment risk and price
risk. The Company’s strategy on the management of market risk is
driven by the Company’s investment objective of generating
attractive risk adjusted returns principally through investment in
ABS.
The
underlying investments comprised in the Portfolio are subject to
market risk. The Company is therefore at risk that market events
may affect performance and in particular may affect the value of
the Company’s investments. Market risk involves changes in market
prices or rates, including interest rates, availability of credit,
inflation rates, economic uncertainty, changes in law, national and
international political circumstances.
(i)
Price Risk
The
price of an Asset Backed Security can be affected by a number of
factors, including: (i) changes in the market’s perception of the
underlying assets backing the security; (ii) economic and political
factors such as interest rates, levels of unemployment and taxation
which can have an impact on arrears, foreclosures and losses
incurred with respect to the pool of assets backing the security;
(iii) changes in the market’s perception of the adequacy of credit
support built into the security’s structure to protect against
losses caused by arrears and foreclosures; (iv) changes in the
perceived creditworthiness of the originator of the security or any
other third parties to the transaction; (v) the speed at which
mortgages or loans within the pool are repaid by the underlying
borrowers (whether voluntary or due to arrears or
foreclosures).
The
Company’s policy also stipulates that no more than 10% of the
Portfolio value can be exposed to any single Asset Backed Security
or issuer of ABS.
(ii)
Interest Rate Risk
Interest
rate risk arises from the possibility that changes in interest
rates will affect the fair value of financial assets and
liabilities at fair value through profit or loss.
The
tables below summarise the Company’s exposure to interest rate
risk:
|
|
|
|
|
Floating
rate
|
|
Fixed
rate
|
|
Non-interest
bearing
|
|
Total
|
|
|
|
|
|
£
|
|
£
|
|
£
|
|
£
|
|
|
|
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
As at 30 September
2023
|
|
|
|
|
|
|
|
Financial assets at fair value
through profit or loss
|
|
757,872,773
|
|
-
|
|
-
|
|
757,872,773
|
Derivative
assets
|
|
-
|
|
-
|
|
28,274
|
|
28,274
|
Other receivables (excluding
prepayments)
|
-
|
|
-
|
|
8,271,345
|
|
8,271,345
|
Cash and cash
equivalents
|
|
15,024,303
|
|
-
|
|
-
|
|
15,024,303
|
Repurchase
agreements
|
|
-
|
|
(5,921,313)
|
|
-
|
|
(5,921,313)
|
Amounts due to
brokers
|
|
-
|
|
-
|
|
(2,342,079)
|
|
(2,342,079)
|
Other payables
|
|
-
|
|
-
|
|
(1,094,157)
|
|
(1,094,157)
|
Derivative
liabilities
|
|
-
|
|
-
|
|
(3,763,080)
|
|
(3,763,080)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net current
assets
|
|
772,897,076
|
|
(5,921,313)
|
|
1,100,303
|
|
768,076,066
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating
rate
|
|
Fixed
rate
|
|
Non-interest
bearing
|
|
Total
|
|
|
|
|
|
£
|
|
£
|
|
£
|
|
£
|
As at 31 March
2023
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
Financial assets at fair value
through profit or loss
|
|
739,385,970
|
|
-
|
|
-
|
|
739,385,970
|
Derivative
assets
|
|
-
|
|
-
|
|
2,281,253
|
|
2,281,253
|
Other receivables (excluding
prepayments)
|
-
|
|
-
|
|
6,870,412
|
|
6,870,412
|
Cash and cash
equivalents
|
|
27,235,318
|
|
-
|
|
-
|
|
27,235,318
|
Repurchase
agreements
|
|
-
|
|
(49,827,700)
|
|
-
|
|
(49,827,700)
|
Share issue costs
payable
|
|
|
-
|
|
-
|
|
(5,219)
|
|
(5,219)
|
Other payables
|
|
-
|
|
-
|
|
(1,061,379)
|
|
(1,061,379)
|
Derivative
liabilities
|
|
-
|
|
-
|
|
(1,509)
|
|
(1,509)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net current
assets
|
|
766,621,288
|
|
(49,827,700)
|
|
8,083,558
|
|
724,877,146
|
|
|
|
|
|
|
|
|
|
|
|
|
The Company only holds floating
rate financial assets and when short-term interest rates increase,
the interest rate on a floating rate will increase. The time to
re-fix interest rates range from daily to a maximum of 6 months. As
at period end, the Company had 0.69% exposure to fixed-rate Asset
Backed Securities and therefore the Company has minimal interest
rate risk. However, the Company may choose to utilise appropriate
strategies to achieve the desired level of interest rate exposure
(the Company is permitted to use, for example, interest rate swaps
and repurchase agreements to accomplish this). The value of asset
backed securities may be affected by interest rate movements.
Interest receivable on bank deposits or payable on bank overdraft
positions will be affected by fluctuations in interest rates,
however the underlying cash positions will not be affected. Please
see note 11 for details of the amounts payable under repurchase
agreements.
The Company’s continuing position
in relation to interest rate risk is monitored on a weekly basis by
the Portfolio Manager as part of its review of the weekly NAV
calculations prepared by the Company’s
Administrator.
(iii) Foreign Currency
Risk
Foreign currency risk is the risk
that the value of a financial instrument will fluctuate due to
changes in foreign exchange rates. The Company invests in some Euro
assets while its Shares are denominated in Sterling and its
expenses are incurred in Sterling. Therefore the Statement of
Financial Position may be affected by movements in the exchange
rate between Euro and Sterling. The Company manages the exposure to
currency movements by using spot and forward foreign exchange
contracts, rolling forward on a periodic basis.
Foreign currency
risk
|
|
|
|
|
|
|
|
|
Open forward currency
contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contract
values
|
|
Outstanding
contracts
|
|
Mark to market
equivalent
|
|
Unrealised
gains/(losses)
|
|
|
|
|
|
30.9.2023
|
|
30.9.2023
|
|
30.9.2023
|
|
30.9.2023
|
Two Euro forward foreign
currency
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
contracts
totalling:
|
|
|
|
|
|
|
|
|
|
|
|
Settlement date 18 October
2023
|
€15,700,000
|
|
£13,652,270
|
|
£13,623,996
|
|
£28,274
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Euro forward foreign
currency
|
|
|
|
|
|
|
|
|
contracts
totalling:
|
|
|
|
|
|
|
|
|
|
|
|
Settlement date 18 October
2023
|
€453,283,432
|
|
£389,582,904
|
|
£393,345,984
|
|
(£3,763,080)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(£3,734,806)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealised
gains/(losses)
|
|
|
|
|
|
Contract
values
|
|
Outstanding
contracts
|
|
Mark to market
equivalent
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.03.2023
|
|
31.03.2023
|
|
31.03.2023
|
|
31.03.2023
|
|
|
|
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
Three Sterling forward foreign
currency
|
|
|
|
|
|
|
|
contracts
totalling:
|
|
|
|
|
|
|
|
|
|
|
|
Settlement date 12 April
2023
|
€416,268,352
|
|
£368,081,043
|
|
£365,820,527
|
|
£2,260,516
|
|
|
|
|
|
|
|
|
|
|
|
|
One Euro forward foreign
currency
|
|
|
|
|
|
|
|
|
|
Settlement date 12 April
2023
|
(€7,463,014)
|
|
(£6,539,339)
|
|
(£6,558,567)
|
|
£19,228
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
£2,279,744
|
Contract values represent the
contract’s notional value. Outstanding contracts are the contract’s
notional values, translated at the contracted FX rate from Euro to
Sterling, or from Sterling to Euro.
As at 30
September 2023 and as at 31 March
2023, the Company held the following assets and liabilities
denominated in Euro, with the effective net exposure of open Euro
forward currency contracts:
|
|
|
|
|
|
|
|
|
As
at
|
|
As
at
|
|
|
|
|
|
|
|
|
|
30.9.2023
|
|
31.03.2023
|
|
|
|
|
|
|
|
|
|
£
|
|
£
|
Assets/(Liabilities):
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
Investments
|
|
|
|
|
|
|
|
402,715,424
|
|
361,420,402
|
Cash and cash
equivalents
|
|
|
|
|
|
|
1,351,492
|
|
970,272
|
Other
receivables
|
|
|
|
|
|
|
|
6,259,074
|
|
5,083,861
|
Amounts due to
broker
|
|
|
|
|
|
|
|
(2,342,079)
|
|
-
|
Open forward currency
contracts
|
|
|
|
|
(406,969,980)
|
|
(359,261,960)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,013,931
|
|
8,212,575
|
|
|
|
|
|
|
|
|
|
|
|
|
The tables below summarise the
sensitivity of the Company’s assets and liabilities to changes in
foreign exchange movements between Euro and Sterling at
30 September 2023 and 31 March 2023. The analysis is based on the
assumption that the relevant foreign exchange rate
increased/decreased by the percentage disclosed in the table, with
all other variables held constant. This represents management’s
best estimate of a reasonable possible shift in the foreign
exchange rates, having regard to historical volatility of those
rates.
|
|
|
|
|
|
|
|
|
As
at
|
|
As
at
|
|
|
|
|
|
|
|
|
|
30.9.2023
|
|
31.03.2023
|
|
|
|
|
|
|
|
|
|
£
|
|
£
|
Impact on Condensed Statement of
Comprehensive Income in response to a:
|
|
(Unaudited)
|
|
(Audited)
|
|
|
|
|
|
|
|
|
|
|
|
|
- 20% increase
|
|
|
|
|
|
|
|
(36,990)
|
|
(1,321,137)
|
|
|
|
|
|
|
|
|
|
|
|
|
- 20% decrease
|
|
|
|
|
|
|
|
448,754
|
|
2,123,313
|
|
|
|
|
|
|
|
|
|
|
|
|
Impact on Statement of Changes in
Equity in response to a:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- 20% increase
|
|
|
|
|
|
|
|
(36,990)
|
|
(1,321,137)
|
|
|
|
|
|
|
|
|
|
|
|
|
- 20% decrease
|
|
|
|
|
|
|
|
448,754
|
|
2,123,313
|
(iv) Reinvestment
Risk
Reinvestment risk is the risk
that future coupons from a bond will not be reinvested at the
prevailing interest rate when the bond was initially
purchased.
A key determinant of a bond’s
yield is the price at which it is purchased and, therefore, when
the market price of bonds generally increases, the yield of bonds
purchased generally decreases. As such, the overall yield of the
Portfolio, and therefore the level of dividends payable to
Shareholders, would fall to the extent that the market prices of
ABS generally rise and the proceeds of ABS held by the Company that
mature or are sold are not able to be reinvested in ABS with a
yield comparable to that of the Portfolio as a
whole.
The Company assesses reinvestment
risk on at least a monthly basis by calculating the projected
amortisation profile of the Company across the next three years. In
addition, changes in the Company’s yield and income are assessed
over the same timeframe as securities redeem or mature to identify
any periods where reinvestment risk may be more
significant.
(v) Price Sensitivity
Analysis
The analysis below shows the
Company’s sensitivity to movement in market prices based on a 10%
increase or decrease, representing management’s best estimate of a
reasonable possible shift in market prices, having regard to
historical volatility.
At 30
September 2023, if market prices had been 10% higher with
all other variables held constant, the increase in net assets
attributable to Shareholders would have been £75,787,277
(31 March 2023: £73,938,597). An
equal change in the opposite direction would have decreased the net
assets attributable to Shareholders by the same amount.
This price
sensitivity analysis covers the market prices received from price
vendors, brokers and those determined using models (such as
discounted cash flow models) on the assumption that the prices
determined from these sources had moved by the indicated
percentage.
As noted in Note 17, the
valuation models used (typically discounted cash flow models)
include unobservable inputs that may rely on assumptions that are
subject to judgement. The sensitivity analysis of such inputs was
available for the period ended 30 September
2023 and year ended 31 March
2023.
Actual trading results may differ
from the above sensitivity analysis and those differences may be
material.
Credit
Risk
Credit risk refers to the risk
that a counterparty will default on its contractual obligations
resulting in financial loss to the Company. The Portfolio Manager
monitors exposure to credit risk on an on-going
basis.
The main concentration of credit
risk to which the Company is exposed arises from the Company’s
investments in ABS. The Company is also exposed to counterparty
credit risk on forwards, cash and cash equivalents, amounts due
from brokers and other receivable balances. During the period, none
of the Company’s investments in ABS defaulted (31 March 2023: none).
The Company’s policy to manage
this risk is by no more than 20% of the value of the
Portfolio being backed by collateral in any
single country (save that this restriction will not apply to
Northern European countries). The Company also manages this credit
risk by no more than 10% of the Portfolio being exposed to any
single Asset Backed Security or issuer of ABS, no more than 40% of
the Portfolio being exposed to issues with a value greater than 5%,
and no more than 10% of the Portfolio value being exposed to
instruments not deemed securities for the purposes of the Financial
Services and Market Act, 2000.
The Portfolio of ABS by ratings
category using the highest rating assigned by Standard and Poor’s
(“S&P”), Moody’s Analytics (Moody’s”) or Fitch Ratings
(“Fitch”):
|
|
|
|
|
|
|
|
30.09.23
|
|
31.03.23
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
AAA
|
|
|
|
|
|
|
|
1.72%
|
|
0.23%
|
AA
|
|
|
|
|
|
|
|
-
|
|
0.68%
|
AA-
|
|
|
|
|
|
|
|
2.14%
|
|
1.92%
|
A+
|
|
|
|
|
|
|
|
4.47%
|
|
3.82%
|
A
|
|
|
|
|
|
|
|
3.14%
|
|
2.93%
|
A-
|
|
|
|
|
|
|
|
4.11%
|
|
2.95%
|
BBB+
|
|
|
|
|
|
|
|
6.36%
|
|
8.47%
|
BBB
|
|
|
|
|
|
|
|
1.34%
|
|
1.73%
|
BBB-
|
|
|
|
|
|
|
|
4.94%
|
|
4.90%
|
BB+
|
|
|
|
|
|
|
|
6.92%
|
|
5.37%
|
BB
|
|
|
|
|
|
|
|
4.52%
|
|
3.71%
|
BB-
|
|
|
|
|
|
|
|
12.06%
|
|
10.58%
|
B+
|
|
|
|
|
|
|
|
6.33%
|
|
5.94%
|
B
|
|
|
|
|
|
|
|
5.54%
|
|
5.04%
|
B-
|
|
|
|
|
|
|
|
11.15%
|
|
10.81%
|
CCC
|
|
|
|
|
|
|
|
-
|
|
0.17%
|
NR*
|
|
|
|
|
|
|
|
25.26%
|
|
30.75%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00%
|
|
100.00%
|
|
|
|
|
|
|
|
|
|
|
|
*The non-rated exposure within
the Company is managed in exactly the same way as the exposure to
any other rated bond in the Portfolio. A bond not rated by any of
Moody’s, S&P or Fitch does not necessarily translate as poor
credit quality. Often smaller issues/tranches, or private deals
which the Company holds, will not apply for a rating due to the
cost of doing so from the relevant credit agencies. The Portfolio
Manager has no credit concerns with the unrated, or rated, bonds
currently held, as there have been no defaults in the
period.
To further minimise credit risk,
the Portfolio Manager undertakes extensive due diligence procedures
on investments in ABS and monitors the on-going investment in these
securities. The Company may also use credit default swaps to
mitigate the effects of market volatility on credit
risk.
The Company manages its
counterparty exposure in respect of cash and cash equivalents and
forwards by investing with counterparties with a “single A” or
higher credit rating. All cash is currently placed with The
Northern Trust Company. The Company is subject to credit risk to
the extent that this institution may be unable to return this cash.
The Northern Trust Company is a wholly owned subsidiary of The
Northern Trust Corporation, a publicly traded constituent of the
S&P 500 with a credit rating of A+ from Standard & Poor's
and A2 from Moody's.
The Company’s maximum credit
exposure is limited to the carrying amount of financial assets
recognised as at the Condensed Statement of Financial Position
date, as summarised below:
Maximum credit
exposure
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As
at
|
|
As
at
|
|
|
|
|
|
|
|
|
|
30.09.23
|
|
31.03.23
|
|
|
|
|
|
|
|
|
|
£
|
|
£
|
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
(Audited)
|
Investments
|
|
|
|
|
|
|
|
757,872,773
|
|
739,385,970
|
Cash and cash
equivalents
|
|
|
|
|
|
|
15,024,303
|
|
27,235,318
|
Unrealised gains on derivative
assets
|
|
|
|
|
28,274
|
|
2,281,253
|
Other
receivables
|
|
|
|
|
|
|
|
8,271,345
|
|
6,870,412
|
|
|
|
|
|
|
|
|
|
781,196,695
|
|
775,772,953
|
Investments in ABS that are not
backed by mortgages present certain risks that are not presented by
Mortgage-Backed Securities (“MBS”). Primarily, these securities may
not have the benefit of the same security interest in the related
collateral. Therefore, there is a possibility that recoveries on
defaulted collateral may not, in some cases, be available to
support payments on these securities. The risk of investing in
these types of Asset Backed Securities is ultimately dependent upon
payment of the underlying debt by the debtor.
Liquidity
Risk
Liquidity risk is the risk that
the Company may not be able to generate sufficient cash resources
to settle its obligations as they fall due or can only do so on
terms that are materially disadvantageous.
Investments made by the Company
in ABS may be relatively illiquid and this may limit the ability of
the Company to realise its investments. Investments in ABS may also
have no active market and the Company has no redemption rights in
respect of these investments. The Company has the ability to borrow
to ensure sufficient cash flows.
The Portfolio Manager considers
expected cash flows from financial assets in assessing and managing
liquidity risk, in particular its cash resources and trade
receivables. Cash flows from trade and other receivables are all
contractually due within twelve months.
The Portfolio Manager maintains a
liquidity management policy to monitor the liquidity risk of the
Company.
Shareholders have no right to
have their shares redeemed or repurchased by the Company, however,
Shareholders may elect to realise their holdings as detailed in
note 12 and the Capital Risk Management section of this
note.
Shareholders wishing to divest of
their investment in the Company are required to dispose of their
shares on the market. Therefore, there is no risk that the Company
will not be able to fund redemption requests.
Liquidity
risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Up to 1
month
|
|
1-6
months
|
|
6-12
months
|
|
Total
|
|
|
|
|
£
|
|
£
|
|
£
|
|
£
|
As at 30 September
2023
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
Financial
liabilities
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
-
|
|
(5,921,313)
|
|
-
|
|
(5,921,313)
|
Unrealised loss on derivative
liabilities
|
(3,763,080)
|
|
-
|
|
-
|
|
(3,763,080)
|
Director fees
payable
|
|
|
(1,375)
|
|
-
|
|
-
|
|
(1,375)
|
Amounts due to
broker
|
|
|
(2,342,079)
|
|
-
|
|
-
|
|
(2,342,079)
|
Other payables
|
|
|
(985,843)
|
|
(106,939)
|
|
-
|
|
(1,092,782)
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
(7,092,377)
|
|
(6,028,252)
|
|
-
|
|
(13,120,629)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Up to 1
month
|
|
1-6
months
|
|
6-12
months
|
|
Total
|
|
|
|
|
£
|
|
£
|
|
£
|
|
£
|
As at 31 March
2023
|
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
Financial
liabilities
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
|
-
|
|
(49,827,700)
|
|
-
|
|
(49,827,700)
|
Unrealised loss on derivative
liabilities
|
(1,509)
|
|
-
|
|
-
|
|
(1,509)
|
|
Share issue costs
payable
|
|
(5,219)
|
|
-
|
|
-
|
|
(5,219)
|
Director fees
payable
|
|
|
(12,629)
|
|
-
|
|
-
|
|
(12,629)
|
Other payables
|
|
|
(912,361)
|
|
(136,389)
|
|
-
|
|
(1,048,750)
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
(931,718)
|
|
(49,964,089)
|
|
-
|
|
(50,895,807)
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Risk
Management
The Company manages its capital
to ensure that it is able to continue as a going concern while
following the Company’s stated investment policy and when
considering and approving dividend payments. The capital structure
of the Company consists of Shareholders’ equity, which comprises
Share Capital and other reserves. To maintain or adjust the capital
structure, the Company may return capital to Shareholders or issue
new Shares. There are no regulatory requirements to return capital
to Shareholders.
(i) Share
Buybacks
The Company has been granted the
authority to make market purchases of up to a maximum of 14.99% of
the aggregate number of Ordinary Shares in issue at a price not
exceeding the higher of (i) 5% above the average of the mid-market
values of the Ordinary Shares for the 5 business days before the
purchase is made or, (ii) the higher of the price of the last
independent trade and the highest current investment bid for the
Ordinary Shares.
In deciding whether to make any
such purchases, the Directors will have regard to what they believe
to be in the best interests of the Company as a whole, to the
applicable legal requirements and any other requirements in its
Articles. The making and timing of any buybacks will be at the
absolute discretion of the Board and not at the option of the
Shareholders, and is expressly subject to the Company having
sufficient surplus cash resources available (excluding borrowings).
The Listing Rules prohibit the Company from conducting any share
buybacks during close periods.
(ii) Realisation
Opportunity
A Realisation Opportunity takes
place at the annual general meeting of the Company every three
years, the most recent of which was on 21
October 2022. The next Realisation Opportunity is expected
to take place in Autumn 2025, subject to the aggregate
NAV of the continuing Ordinary Shares on the last Business Day
before Reorganisation being not less than £100
million.
The Company will attempt, where
possible to offset realisation requests with a simultaneous placing
programme. If this is not possible it has the ability to designate
realisation assets as a realisation pool and to convert ordinary
shares to realisation shares to prevent any adverse impact on the
liquidity of its investment portfolio. In the event that
Realisation shares are issued, it is anticipated that the ability
of the Company to make returns of cash to the holders of these
Shares will depend in part on the ability of the Portfolio Manager
to realise the portfolio.
It is anticipated that
realisations will be satisfied by the assets underlying the
relevant shares being managed on a realisation basis, which is
intended to generate cash for distribution as soon as practicable
and may ultimately generate cash which is less than the published
NAV per Realisation Share.
In the event that the Realisation
takes place, it is anticipated that the ability of the Company to
make returns of cash to the holders of Realisation Shares will
depend in part on the ability of the Portfolio Manager to realise
the Portfolio.
(iii) Continuation
Votes
In the event that the Company
does not meet the dividend target in any financial reporting period
as disclosed in note 19, the Directors may convene a general
meeting of the Company where the Directors will propose a
resolution that the Company should continue as an Investment
Company.
17. Fair Value
Measurement
All assets and liabilities are
carried at fair value or at amortised cost, which equates to fair
value.
IFRS 13 requires the Company to
classify fair value measurements using a fair value hierarchy that
reflects the significance of the inputs used in making the
measurements. The fair value hierarchy has the following
levels:
(i) Quoted
prices (unadjusted) in active markets for identical assets or
liabilities (Level 1).
(ii) Inputs other than quoted
prices included within Level 1 that are observable for the asset or
liability, either directly (that is, as prices) or indirectly (that
is, derived from prices including interest rates, yield curves,
volatilities, prepayment speeds, credit risks and default rates) or
other market corroborated inputs (Level 2).
(iii) Inputs for the asset or
liability that are not based on observable market data (that is,
unobservable inputs) (Level 3).
The
following tables analyse within the fair value hierarchy the
Company’s financial assets and liabilities (by class) measured at
fair value for the period ended 30 September
2023 and year ended 31 March
2023.
|
|
Level
1
|
|
Level
2
|
|
Level
3
|
|
Total
|
|
|
£
|
|
£
|
|
£
|
|
£
|
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
Assets
|
|
|
|
|
|
|
|
|
Financial assets at fair value
through profit or loss:
|
|
|
|
|
|
|
|
|
Asset Backed
Securities:
|
|
|
|
|
|
|
|
|
Auto
Loans
|
|
-
|
|
24,747,741
|
|
-
|
|
24,747,741
|
CLO
|
|
-
|
|
268,922,889
|
|
-
|
|
268,922,889
|
CMBS
|
|
-
|
|
29,034,217
|
|
-
|
|
29,034,217
|
Consumer
ABS
|
|
-
|
|
16,537,013
|
|
-
|
|
16,537,013
|
RMBS
|
|
-
|
|
243,074,974
|
|
161,754,064
|
|
404,829,038
|
SME
|
|
|
|
8,674,368
|
|
-
|
|
8,674,368
|
Student
Loans
|
|
-
|
|
5,127,507
|
|
-
|
|
5,127,507
|
Forward currency
contracts
|
|
-
|
|
28,274
|
|
-
|
|
28,274
|
|
|
|
|
|
|
|
|
|
Total assets as at 30
September 2023
|
|
|
|
|
|
|
|
-
|
|
596,146,983
|
|
161,754,064
|
|
757,901,047
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
Financial liabilities at fair
value through profit or loss:
|
|
|
|
|
|
|
|
|
Forward currency
contracts
|
-
|
|
3,763,080
|
|
-
|
|
3,763,080
|
Total liabilities as at
30 September 2023
|
|
|
|
|
|
|
|
-
|
|
3,763,080
|
|
-
|
|
3,763,080
|
|
|
|
|
|
|
|
|
|
|
|
Level
1
|
|
Level
2
|
|
Level
3
|
|
Total
|
|
|
£
|
|
£
|
|
£
|
|
£
|
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
|
(Audited)
|
Assets
|
|
|
|
|
|
|
|
|
Financial assets at fair value
through profit or loss:
|
|
|
|
|
|
|
|
|
Asset Backed
Securities:
|
|
|
|
|
|
|
|
|
Auto
Loans
|
|
-
|
|
13,473,200
|
|
-
|
|
13,473,200
|
CLO
|
|
-
|
|
249,763,889
|
|
-
|
|
249,763,889
|
CMBS
|
|
-
|
|
34,835,106
|
|
-
|
|
34,835,106
|
Consumer
ABS
|
|
-
|
|
14,143,352
|
|
-
|
|
14,143,352
|
CRE
ABS
|
|
-
|
|
12,224,121
|
|
-
|
|
12,224,121
|
RMBS
|
|
-
|
|
202,733,570
|
|
207,207,308
|
|
409,940,878
|
Student
Loans
|
|
-
|
|
5,005,424
|
|
-
|
|
5,005,424
|
Forward currency
contracts
|
|
-
|
|
2,281,253
|
|
-
|
|
2,281,253
|
|
|
|
|
|
|
|
|
|
Total assets as at 31
March 2023
|
|
|
|
|
|
|
|
-
|
|
534,459,915
|
|
207,207,308
|
|
741,667,223
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
Financial liabilities at fair
value through profit or loss:
|
|
|
|
|
|
|
|
|
Forward currency
contracts
|
-
|
|
1,509
|
|
-
|
|
1,509
|
|
|
|
|
|
|
|
|
|
Total liabilities as at
31 March 2023
|
-
|
|
1,509
|
|
-
|
|
1,509
|
ABS
which have a value based on quoted market prices in active markets
are classified in Level 1. At the end of the period, no ABS held by
the Company are classified as Level 1.
ABS which are not traded or dealt
on organised markets or exchanges are classified in Level 2 or
Level 3. ABS with prices obtained from independent price vendors,
where the Portfolio Manager is able to assess whether the
observable inputs used for their modelling of prices are accurate
and the Portfolio Manager has the ability to challenge these
vendors with further observable inputs, are classified as Level 2.
Prices obtained from vendors who are not easily challengeable or
transparent in showing their assumptions for the method of pricing
these assets, are classified as Level 3. ABSs priced at an average
of two vendors’ prices are classified as Level 3.
Where the Portfolio Manager
determines that the price obtained from an independent price vendor
is not an accurate representation of the fair value of the Asset
Backed Security, the Portfolio Manager may source prices from third
party broker or dealer quotes and if the price represents a
reliable and an observable price, the Asset Backed Security is
classified as Level 2. Any broker quote that is over 20 days old is
considered stale and is classified as Level 3. Any stale price
within the portfolio as at 30 September
2023 has been assessed by the Portfolio Manager and the
resulting valuation considered a fair value at that date.
Furthermore, the Portfolio Manager may determine that the
application of a mark-to-model basis may be appropriate where they
believe such a model will result in more reliable information with
regards to the fair value of any specific
investments.
The Portfolio Manager has engaged
an independent valuation agent for certain other specific assets
where the Portfolio Manager believes the independent valuation
agent would provide more reliable, fair value information with
regards to certain of the Company’s investments for the year ended
30 September 2023. The valuation of
these assets and others that the Portfolio Manager may deem
appropriate to provide a valuation at fair value, primarily use
discounted cash flow analysis but may also include the use of a
comparable arm’s length transaction, reference to other securities
that are substantially the same, and other valuation techniques
commonly used by market participants making the maximum use of
market inputs and relying as little as possible on entity-specific
inputs. The discounted cash flow models include assumptions that
are subject to judgement such as prepayment rates, recovery rates
and the discount margin/ discount rate. As at 30 September 2023, investments (related primarily
to RMBS/MBS investments) totalling 17.96% of the portfolio were
valued by the independent valuation agent (31 March 2023: 21.73%). Valuations performed by
the independent valuation agent are classified as Level 3. Please
see Note 3 (ii) of the Audited Financial Statements for the year
ended 31 March 2023 for the
accounting policy outlining the treatment fair value of securities
not quoted in an active market.
The table below represents the
significant unobservable inputs, that have been deemed material,
used in the fair value measurement of Level 3 investments, valued
by an independent valuer, together with a quantitative sensitivity
analysis as of 30 September
2023.
30 September 2023
(Unaudited)
|
Fair Value
(£)
|
Financial
Assets/Liabilities
|
Unobservable
Input
|
Sensitivity
Used
|
Effect on Fair Value
(£)
|
|
|
|
|
|
|
|
|
Dutch RMBS
|
45,344,788
|
Financial Asset
|
Discount Margin
|
+5% / -5%
|
6,629,900
|
/
|
(5,280,879)
|
|
|
|
|
|
|
|
|
UK RMBS
|
55,470,700
|
Financial Asset
|
Discount Margin
|
+5% / -5%
|
6,071,758
|
/
|
(4,613,494)
|
UK RMBS (underlying risk -
AAA)
|
14,647,940
|
Financial Asset
|
Discount Margin
|
+3% / -3%
|
1,085,138
|
/
|
(990,555)
|
UK RMBS
|
20,627,326
|
Financial Asset
|
Discount Margin
|
+2% / -2%
|
1,336,691
|
/
|
(1,240,263)
|
|
|
|
|
|
|
|
|
31 March 2023
(Audited)
|
Fair Value
(£)
|
Financial
Assets/Liabilities
|
Unobservable
Input
|
Sensitivity
Used
|
Effect on Fair Value
(£)
|
|
|
|
|
|
|
|
|
Dutch RMBS
|
42,531,838
|
Financial Asset
|
Discount Margin
|
+5% / -5%
|
6,826,229
|
/
|
(5,364,235)
|
|
|
|
|
|
|
|
|
UK RMBS
|
103,350,298
|
Financial Asset
|
Discount Margin
|
+5% / -5%
|
12,567,742
|
/
|
(8,660,011)
|
UK RMBS (underlying risk -
AAA)
|
14,782,507
|
Financial Asset
|
Discount Margin
|
+3% / -3%
|
1,429,217
|
/
|
(1,223,561)
|
Although various variable inputs
are used in the valuation models of these investments, including
constant default rate, the only unobservable input that may have a
material impact is the discount margin. As a result, only this
input has been disclosed.
Level 3 assets that are priced
based on prices from independent vendors are not required to be
included in the above analysis, as the inputs into these prices are
not developed by the Company and are not readily
available.
During the current and prior
periods, there were no transfers between Level 2 and Level
3.
The
following tables present the movement in Level 3 instruments for
the period ended 30 September 2023
and year ended 31 March 2023 by class
of financial instrument.
|
Opening
balance
|
Total
purchases
|
Total
sales
|
Realised gains on Level 3
Investments held during the period ended 30 September
2023
|
Realised losses on
Level 3 Investments held
during the period
ended 30 September 2023
|
Unrealised gains
for the period for Level 3 Investments held
at 30 September 2023
|
Unrealised losses for the
period for Level 3 Investments held at 30 September
2023
|
Transfer into Level
3
|
Transfer out Level
3
|
Closing
balance
|
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
RMBS
|
207,207,308
|
36,183,926
|
(87,108,923)
|
2,110,286
|
(22,161,066)
|
31,392,954
|
(5,870,421)
|
-
|
-
|
161,754,064
|
|
|
|
|
|
|
|
|
|
|
|
Total at 30 September
2023
|
207,207,308
|
36,183,926
|
(87,108,923)
|
2,110,286
|
(22,161,066)
|
31,392,954
|
(5,870,421)
|
-
|
-
|
161,754,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening
balance
|
Total
purchases
|
Total
sales
|
Realised gains on Level 3
Investments held during the year ended 31 March
2023
|
Realised losses on
Level 3 Investments held
during the year
ended 31 March 2023
|
Unrealised gains
for the year for Level 3
Investments held
at 31 March 2023
|
Unrealised losses for the
year for Level 3 Investments held at 31 March
2023
|
Transfer into Level
3
|
Transfer out Level
3
|
Closing
balance
|
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
£
|
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
(Audited)
|
RMBS
|
192,389,060
|
194,765,464
|
(158,397,907)
|
31,414,705
|
(25,738,076)
|
29,880,198
|
(57,106,136)
|
-
|
-
|
207,207,308
|
|
|
|
|
|
|
|
|
|
|
|
Total at 31 March
2023
|
192,389,060
|
194,765,464
|
(158,397,907)
|
31,414,705
|
(25,738,076)
|
29,880,198
|
(57,106,136)
|
-
|
-
|
207,207,308
|
All other financial assets and
liabilities are carried at amortised cost. Their carrying values
are a reasonable approximation of fair value.
18. Dividend
Policy
The Board intends to distribute
an amount at least equal to the value of the Company’s income
available for distribution arising each quarter to the holders of
Ordinary Shares. For these purposes, the Company’s income will
include the interest payable by the ABS in the Portfolio and the
amortisation of any discount or premium to par at which an Asset
Backed Security is purchased over its remaining expected life,
prior to its maturity. However, there is no guarantee that the
dividend target for future financial years will be met or that the
Company shall pay any dividends at all.
Since 24
February 2023, the Company has maintained a dividend target
of 8 pence, per Ordinary Share per
annum. Between 21
September 2022 and 23 February
2023, the dividend target was 7
pence and prior to that it was 6
pence.
Dividends paid with respect to
any quarter comprise (a) the accrued income of the Portfolio for
the period, and (b) an additional amount to reflect any income
purchased in the course of any share subscriptions that took place
during the period. Including purchased income in this way ensures
that the income yield of the shares is not diluted as a consequence
of the issue of new shares during an income period and (c) any
income on the foreign exchange contracts created by the SONIA
differentials between each foreign currency pair, less (d) total
expenditure for the period.
The Company, being a Guernsey
regulated entity, is able to pay dividends out of capital.
Nonetheless, the Board carefully considers any dividend payments
made to ensure the Company's capital is maintained in the longer
term. Careful consideration is also given to ensuring sufficient
cash is available to meet the Company's liabilities as they fall
due.
The Board expects that dividends
will constitute the principal element of the return to the holders
of Ordinary Shares.
Under The Companies (Guernsey)
Law, 2008, the Company can distribute dividends from capital and
revenue reserves, subject to the net asset and solvency test. The
net asset and solvency test considers whether a company is able to
pay its debts when they fall due, and whether the value of a
company’s assets is greater than its liabilities. The Board
confirms that the Company passed the net asset and solvency test
for each dividend paid.
The Company declared the
following dividends in respect of distributable profit for the
period ended 30 September 2023:
Period
to
|
Dividend rate per Share
(£)
|
|
Net dividend payable
(£)
|
|
Ex-dividend
date
|
|
Record
date
|
|
Pay
date
|
31 March 2023
|
0.0446
|
|
32,483,815
|
|
20 April 2023
|
|
21 April 2023
|
|
3 May 2023
|
30 June 2023*
|
0.0200
|
|
14,956,733
|
|
20 July 2023
|
|
21 July 2023
|
|
4 August 2023
|
|
|
|
47,440,548
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30 September
2023*
|
0.0200
|
|
14,956,733
|
|
19 October 2023
|
|
20 October 2023
|
|
3 November 2023
|
*These dividends were declared in
respect of distributable profit for the year ended 31 March
2024.
19. Ultimate
Controlling Party
In the
opinion of the Directors on the basis of shareholdings advised to
them, the Company has no ultimate controlling
party.
20.
Significant Events during
the Period
Geopolitical events and global
inflation levels have continued to dominate the economic landscape,
with interest rate increases from all major central banks during
the period, although this has slowed, with no raises from the ECB,
Fed or BoE since the summer. A soft landing looks more likely than
it did at the beginning of the period, but a recession cannot be
ruled out. Employment levels in many developed countries have
continued to remain high throughout the period.
The ongoing conflict in Ukraine
continues to impact global foreign policy and economic activity,
contributing to volatility, particularly in energy prices. After
the end of the period, in early October, the situation in Israel
and Gaza escalated significantly with the Hamas attacks and
resulting Israeli military action in Gaza, and subsequent global
government reactions dominating news flow.
During the period, asset managers
within the UK and Europe have seen increased pressure from
stakeholders to assess and disclose the impact of climate change on
investment portfolios. The Portfolio Manager has a formalised
approach to this risk integrated within a robust ESG framework
which is a major factor in the Portfolio Manager’s investment
analysis. The Board continues to evaluate which ESG aspects the
Company will consider reporting, based on the regulatory
requirements of the Company and developing best practice in the
Company’s sector.
21. Subsequent
Events
These Unaudited Condensed Interim
Financial Statements were approved for issuance by the Board on 23
November 2023. Subsequent events have been evaluated until this
date.
On 12 October 2023, a dividend of
2.00p per share was declared, which was paid on 3 November
2023.
As at 23 November 2023, the
published NAV per Ordinary Share for the Company was 102.25p. This
represents an decrease of 0.45% (NAV as at 30 September 2023:
102.71p).
GLOSSARY OF TERMS AND
ALTERNATIVE PERFORMANCE MEASURES
Alternative Performance
Measures (“APMS”)
In accordance with ESMA
Guidelines on Alternative Performance Measures ("APMs") the Board
has considered what APMs are included in the Interim Management
Report and Unaudited Condensed Interim Financial Statements which
require further clarification. APMs are defined as a financial
measure of historical or future financial performance, financial
position or cash flows, other than a financial measure defined or
specified in the applicable financial reporting framework. The APMs
included in the annual report and accounts, is unaudited and
outside the scope of IFRS.
Discount/Premium
If the share price of an
investment company is lower than the NAV per share, the shares are
said to be trading at a discount. The size of the discount is
calculated by subtracting the share price from the NAV per share
and is usually expressed as a percentage of the NAV per share. If
the share price is higher than the NAV per share, the shares are
said to be trading at a premium.
Dividends
Declared
Dividends declared are the
dividends that are announced in respect of the current accounting
period. They usually consist of 4 dividends: three interim
dividends in respect of the periods to June, September and
December. Until 21 September 2022, the Company aimed to declare a
fixed dividend of 1.50 pence. On 21 September 2022, the fixed
dividend increased to 1.75 pence and on 24 February 2023, it
further increased to 2.00 pence per Ordinary Share. A final
dividend declared in respect of March where the residual income for
the year is distributed.
Dividend
Yield
Dividend yield is the percentage
of dividends declared in respect of the period, divided by the
initial share issue price of 100.00 pence. The strategy aims to
generate a dividend in the Reporting Period of 6 pence per Ordinary
Share and in each subsequent Reporting discretion from time to
time, with all excess income being distributed to investors at the
period/year end of the Company.
Net Asset Value
(“NAV”)
NAV is the net assets
attributable to Shareholders. NAV is calculated using the
accounting standards specified by International Financial Reporting
Standards (“IFRS”) and consists of total assets, less total
liabilities.
NAV per Ordinary
Share
NAV per Ordinary Share is the net
assets attributable to Shareholders, expressed as an amount per
individual share. NAV per Ordinary Share is calculated by dividing
the total net asset value of £768,124,585 (31 March 2023:
£724,982,762) by the number of shares at the end of the period of
747,836,661 units (31 March 2023: 718,036,661). This produces a NAV
per share of 102.71p (2023: 100.97p), which was an increase of
1.72%.
Ongoing
Charges
The ongoing charges represent the
Company’s management fee and all other operating expenses,
excluding finance costs, share issue or buyback costs and
non-recurring legal and professional fees, expressed as a
percentage of the average of the weekly net assets during the
period/year. The Board continues to be conscious of expenses and
works hard to maintain a sensible balance between good quality
service and cost.
Total Return per Ordinary
Share
Total return per Ordinary Share
is calculated by adding the increase or decrease in NAV per share
with the dividend per share and dividing it by the NAV per share at
the start of the period/year.
Portfolio
Performance
Portfolio performance is
calculated by summing interest earned, realised and unrealised
gains or losses on investments, less unrealised foreign exchange
gains or losses on investments during the period and divided by
closing book cost for the period, stated as a
percentage.
Repurchase Agreement
Borrowing
Repurchase agreement borrowing is
calculated by taking the fair value of repurchase agreements,
divided by the fair value of investments, stated as a
percentage.
CORPORATE
INFORMATION
Directors
Bronwyn Curtis
(Chair)
John de Garis
Joanne Fintzen (Senior
Independent Director)
Paul Le Page
John Le
Poidevin
Richard Burwood (retired 14
September 2023)
Registered
Office
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1 3QL
|
Custodian, Principal
Banker and Depositary
Northern Trust (Guernsey)
Limited
PO Box 71
Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1
3DA
Administrator and Company
Secretary
Northern Trust International Fund
Administration
Services (Guernsey)
Limited
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1
3QL
|
Alternative Investment
Fund Manager (“AIFM”)
Apex Fundrock
Ltd
Hamilton Centre
Rodney Way
Chelmsford,
CM1 3BY
|
Broker and Financial
Adviser
Numis Securities
Limited
45 Gresham
Street
London, EC2V 7BF
|
Portfolio
Manager
TwentyFour Asset Management
LLP
8th
Floor, The Monument
Building
11 Monument
Street
London, EC3R
8AF
|
Independent
Auditor
KPMG Channel Islands
Limited
Glategny Court
Glategny
Esplanade
St Peter Port
Guernsey, GY1
1WR
|
Guernsey Legal Adviser to
the Company
Carey Olsen
Carey House
Les Banques
St Peter Port
Guernsey, GY1
4BZ
|
Receiving
Agent
Computershare Investor Services
PLC
The Pavilions
Bridgwater Road
Bristol, BS13
8AE
|
UK Legal Adviser to the
Company
Eversheds Sutherland
(International) LLP
1 Wood Street
London, EC2V 7WS
|
Registrar
Computershare Investor Services
(Guernsey) Limited
1st
Floor
Tudor House
Le Bordage
St Peter Port
Guernsey, GY1
1DB
|