TwentyFour Income Fund - Interim results for the six-months ended 30 September 2024

TwentyFour Income Fund Limited

Interim results for the six-months ended 30 September 2024

TwentyFour Income Fund Limited (“TFIF” or “the Company”), the FTSE 250-listed investment Company that invests in less liquid asset-backed securities (“ABS”) in the UK and Europe, is pleased to announce its Interim Results for the six-months ended 30 September 2024.

Financial highlights

• NAV per ordinary share increased 1.6% to 110.50p (FY 31 March 2024: 108.97p)
• NAV return per ordinary share was 7.05% (FY 31 March 2024: 18.10%)
• Total net assets rose to £826.4m (FY 31 March 2024: £813.54m)
• The portfolio returned 8.37% for the six months compared to 16.57% for the full year to 31 March 2024
• Dividend payments of 4p for the period ended 30 September 2024, in line with the target 8p per annum and before payment of the final, balancing dividend at the year end
• Average discount over the period was 4.27%, significantly closer to NAV than the wider investment company universe

Portfolio highlights

• Strong ABS performance across the board as spreads tightened driven by robust supply and demand
• Collateralised Loan Obligations (“CLOs”) were the biggest beneficiary – B and BB CLOs delivered returns of 17% and 12% respectively
• TwentyFour Asset Management LLP (the “Portfolio Manager”) continues to allocate to significant risk transfer (“SRT”) transactions, where it sees strong relative value and which also deliver additional diversification to the portfolio
• Proactive engagement by the Portfolio Manager on ABS ESG credentials to meet with investor demands
• Portfolio book yield of 12.07% and mark-to-market yield of 12.17% at the end of the period

Outlook

The Portfolio Manager expects a healthy pipeline of ABS issuance for the remainder of the year, following record issuance to date, and sees good value in new BB and B rated CLO investments from top quartile managers. The Portfolio Manager continues to favour shorter dated, secured ABS from larger bank lenders and SRT transactions in order to maintain flexibility in the portfolio.

The main risk to performance continues to be geopolitical risk generating uncertainty in the market. As such, the Portfolio Manager prefers to have greater levels of liquidity and lower levels of gearing allowing them to take advantage of opportunities that may arise in the event of elevated market stress.

Commenting on the results, Bronwyn Curtis OBE, Chair, said: “The Company continues to deliver a consistent income to shareholders in line with its target of 8 pence / share per annum, driven by strong performance of the portfolio during the period, returning 8.4%, and supported by strong fundamentals across the ABS sector. We are delighted this performance was officially recognised at the recent Alternative Credit Investor awards, where TFIF won the award for “Fund of the year (sub $1bn)”.

2024 has seen a significant increase in ABS issuance, particularly from banks, following the end of cheap funding from central banks. This has been positive for the Company, providing the Portfolio Manager with a larger pool of loans in which to invest and driving an improvement in the average asset quality.”

Aza Teeuwen, Portfolio Manager, TFIF said: “A buoyant first half produced positive investment opportunities across the ABS sector, where CLOs were the main beneficiary, but with strong performance across the board, including SRT transactions and mezzanine and junior residential mortgage-backed securities (“RMBS”).

Our focus during the reporting period has been and will continue to be on investing in higher yielding floating rate ABS. In an environment of higher-for-longer rates, these assets should continue to deliver attractive levels of income, which should in turn enable the Company to continue to deliver or improve on its annual target dividend.

Looking forward, we remain cognisant of macro factors, notably continued geopolitical risk, and will therefore look to maintain flexibility and liquidity in the portfolio, giving us the ability to adjust allocations as appropriate.”

For further information please contact:

TwentyFour Income Fund Limited     Tel: +44 (0)20 7260 1000

Deutsche Numis       Tel: +44 (0)20 7015 8900

Hugh Jonathan / Matt Goss

JPES Partners        Tel: +44 (0)20 7520 7620

Miles Donohoe / Charlotte Walsh

TWENTYFOUR INCOME FUND LIMITED

INTERIM MANAGEMENT REPORT AND UNAUDITED CONDENSED

INTERIM FINANCIAL STATEMENTS

For the period from 1 April 2024 to 30 September 2024

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 2024. The report will shortly be available via the Company's Portfolio Manager’s website https://www.twentyfouram.com/view/GG00B90J5Z95/twentyfour-income-fund for professional/institutional investors and twentyfourincomefund.com for retail investors, and will shortly be available for inspection online at https://data.fca.org.uk/#/nsm/nationalstoragemechanism.

SUMMARY INFORMATION

The Company

TwentyFour Income Fund Limited (the “Company”) is a closed-ended investment company whose shares (“Ordinary Shares”, being the sole share class) are listed 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 NAV return of between 6% and 9% per annum, which, since 31 March 2023, has been an annual target each financial year of 8% of the Issue Price (the equivalent of 8 pence per year, per Ordinary Share). Total NAV return per Ordinary Share is calculated by adding the increase or decrease in NAV per Ordinary Share to the total dividends paid per Ordinary Share during the period/year and dividing by the NAV per Ordinary Share at the start of the period/year.

Ongoing Charges

Ongoing charges for the period ended 30 September 2024 have been calculated in accordance with the Association of Investment Companies (the “AIC”) recommended methodology. The ongoing charges for the period ended 30 September 2024 were 0.85% (30 September 2023: 0.99%).

Discount

As at 15 November 2024, the discount to NAV had moved to 4.07%. The estimated NAV per Ordinary Share and mid-market share price stood at 110.08p and 105.60p, respectively.

Published NAV

Northern Trust International Fund Administration Services (Guernsey) Limited (the “Administrator”) is responsible for calculating the NAV per Ordinary 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 Ordinary Share can be found in note 5.

* The Issue Price being £1.00. This is an annual target only and not a profit forecast. There can be no assurance that this target will be met or that the Company shall continue to pay any dividends at all. This annual 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 any potential 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 17.

FINANCIAL HIGHLIGHTS

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 2024 to 30 September 2024

Bronwyn Curtis OBE

In my capacity as Chair of the Board of Directors (the “Board”) of TwentyFour Income Fund Limited, I am pleased to present my report on the Company’s progress for the six-month period ended 30 September 2024 (the “reporting period”).

Investment Performance

Another positive period for the Company commenced with the payment of the fourth quarter dividend for the previous financial year of 3.96p per Ordinary Share, which meant that the Company paid a total dividend of 10.46p per Ordinary Share in respect of the year ended 31 March 2024. The Company has subsequently maintained its dividend policy, declaring another two dividends of 2p per Ordinary Share with respect of the current reporting period. The strategy of investing in higher yielding floating rate ABS in a higher interest rate environment has enabled the Company to deliver these attractive dividends, as substantially all excess investment income is paid out each year.

During the reporting period, the NAV per Ordinary Share saw an increase from 108.79p to 110.50p, a rise of 1.57%. The NAV per Ordinary Share total return was 7.05%. The Company traded at a narrow discount to NAV for most of the reporting period, with a discount of 3.67% at the beginning of the reporting period, which had widened to 4.43% at the end of September 2024.

The Company’s portfolio has not had any defaults in its investments since it was launched in 2013 and the portfolio did not see any material interest deferrals or defaults during this reporting period.

The Board is delighted that the Company's performance was officially recognised, post the period end, at the recent Alternative Credit Investor awards, where the Company won the award for "Fund of the year (sub $1bn)".

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 8 pence per year. The fourth quarter dividend is used to distribute residual income (if any), generated in the year. Dividends paid by the Company in the reporting period totalled 5.96p per Ordinary Share in line with expectations. The Company has successfully met and exceeded its annual target dividend every year since Initial Public Offering.

Premium/Discount and Share Capital Management

The wider investment company market saw trading at historically wide discounts across the board, with the Company trading at a discount, averaging 4.27% over the reporting period, significantly closer to NAV than the wider market. Nevertheless, the Board constantly monitors the discount to NAV and would not want to see the shares trading materially wider for a prolonged period of time. The Company has not bought back any shares in this reporting period.

The Company’s triennial realisation opportunity (“Realisation Opportunity”) is due to take place in Autumn 2025, whereby Shareholders may elect, on a rolling basis, to realise some or all of their holdings of Ordinary Shares. The previous Realisation Opportunity in 2022 led to a net fundraise of £34 million of share capital.

Annual General Meeting

The Company’s 2024 Annual General Meeting (“AGM”) was held at 9am on 12 September 2024 at the offices of Northern Trust International Fund Administration Services (Guernsey) Limited, Trafalgar Court, Les Banques, St Peter Port, Guernsey, Channel Islands, with all resolutions duly passed.

Alternative Investment Fund Manager (“AIFM”) Appointment

On 21 June 2024, after a thorough tender process, the Company appointed Waystone Management Company IE Limited (“Waystone”) as its new AIFM. The Board, along with the Portfolio Manager, look forward to working with Waystone in its capacity as AIFM.

The Board would like to thank the team at Apex FundRock Limited for their work as AIFM since the Company’s inception.

Market Overview

2024 has seen a significant increase in ABS issuance, particularly from banks, following the end of cheap funding from central banks. This has been positive for the Company, providing TwentyFour Asset Management LLP (the “Portfolio Manager”) with a larger pool of loans in which to invest and driving an improvement in the average asset quality.

As a result, ABS performance has been very strong during the period, particularly Collateralised Loan Obligations (“CLO”). Other sectors including Significant Risk Transfer (“SRT”) and mezzanine and junior Residential Mortgage-Backed Securities (“RMBS”) have also performed well.

The Board remains supportive of the Portfolio Manager’s strategy, which remains focused on investing in secured, higher yielding floating rate assets, with a preference for short spread durations, maintaining liquidity and lower levels of gearing.

Sector Overview

In September, the investment company sector welcomed the news on cost disclosures, with the UK government setting out the intention to exempt closed-ended UK-listed investment funds from the requirements of the current PRIIPs Regulation and parts of Articles 50 and 51 of the MiFID Org Regulation, with immediate effect. Since January 2018, PRIIPs and MiFID have required investment companies to report costs in the same format as unlisted open-ended funds, which has led to an element of double counting of costs for investment companies. Whilst the industry’s application of the decision is still to play out, the Board joins the rest of the sector in welcoming the news as positive in providing greater clarity around actual underlying costs for investors.

Environmental, Social and Governance (“ESG”)

The Board recognises the importance of ESG factors in both investment management and in wider society, and has appointed the Portfolio Manager to advise it in relation to all aspects relevant to the Company’s portfolio. Throughout the period, the Portfolio Manager has continued to work extensively on engaging with issuers to improve disclosures, and expanding their proprietary ESG scoring model to cover ABS-specific metrics, meaning ESG data is factored in to every level of the investment process. The Board and the Portfolio Manager believe this proprietary ESG work is unique in the European ABS space.

The Portfolio Manager has engaged on 23 occasions with issuers on ESG factors during the reporting period, with a particular focus on the provisions of lenders to support residential mortgage holders who are classified as vulnerable, and reaching maturities on mortgages issued prior to the Global Financial Crisis (“GFC”). Furthermore, the Portfolio Manager has conducted extended due diligence on unsecured consumer lenders, where it has observed performance divergence between geography and vintage.

On the environmental side, the focus of the Portfolio Manager continues to be the decarbonisaton pathway and carbon reporting. In CLO specifically, the Portfolio Manager noted an increase in the number of managers disclosing carbon data on their deals, and has engaged on the consistency behind the data. An increasing proportion of CLO transactions now have exclusions for EU Paris-aligned Benchmarks in the documentation, which allows investors to assess their alignment to net zero goals.

Outlook

The Board agrees with the Portfolio Manager’s view that the main risk to performance in the medium term is likely to be imported volatility as a result of continued geopolitical uncertainty.

The Board is therefore fully supportive of the Portfolio Manager’s strategy of maintaining flexibility in the Company’s portfolio, and low levels of gearing. The Bank of England (“BoE”) has begun its rate cutting cycle, and with the Company being fully invested in floating rate securities, the Board recognises the impact this has on future income.

However, with long-term neutral rates expected to be around 3.5-3.75% in the UK, the Board is confident in the Company’s ability to continue to deliver on the current annual target dividend of 8 pence per share. In what looks likely to be a prolonged economic cycle, the Board believes spreads could tighten further as falling rates push investors to search for yield.

Bronwyn Curtis OBE

Chair

19 November 2024

PORTFOLIO MANAGER’S REPORT

for the period from 1 April 2024 to 30 September 2024

TwentyFour Asset Management LLP

TwentyFour Asset Management LLP, in our capacity as Portfolio Manager to the Company, are pleased to present our report on the Company’s progress for the six-month period ended 30 September 2024.

Investment Background

European credit markets have enjoyed a relatively smooth period, notwithstanding an acute episode of volatility in early August, which followed a weaker than expected employment report in the US. Geopolitical uncertainty has continued to be a concern, albeit market reaction to events was relatively muted over the period.

The housing market has moved in tandem with other assets over the period, with the latest House Price Index data for the UK and Eurozone showing growth of 2.7% and 2.9% respectively in the 12 months to 30 June 2024 (non-seasonally-adjusted). Mortgage rates fell across the period, with demand increasing to reflect growing consumer confidence, such that mortgage borrowing in the UK sits at a two-year high. Mortgage affordability remains more in focus in the UK due to the prevalence of shorter term fixed contracts in contrast to the rest of Europe.

The period has been characterised by the data dependency of central banks and the subsequent repricing of market interest rate expectations. In the US, a pivotal moment came in early August with the publication of the labour market report for July, which indicated a slowdown and sparked an acute sell-off across global markets. Subsequent data from the US was in line with expectations, although we subsequently saw the US Federal Reserve (“Fed”) cut interest rates by 50 basis points (“bps”) at its September meeting. The Fed also indicated it would remain agile on the pace of future rate cuts to ensure the path to sustainable inflation is maintained.

From the European Central Bank (“ECB”) and BoE, we saw 50bps and 25bps cuts respectively over the period. The ECB has acted in line with expectations, though persistently weak economic data in core economies such as Germany and France, particularly concerning manufacturing, led markets to price in a further 25bps cut in October. The BoE has been the most cautious of the trio on rate cuts, supported by a resilient labour market and stronger economic activity data and, with core inflation failing to return to target until after the period end, we may expect higher for longer rates in the UK.

European ABS markets have enjoyed their busiest year for primary issuance since the global financial crisis, with over €110 billion of ABS and €54.5 billion of CLO issuance (€35 billion new issue, €19.5 billion refinancing) providing the portfolio management team with ample opportunity to reinvest amortisations for the Company. We have noted an increase in ABS issuance from banks, largely due to the withdrawal of cheap funding from central bank programmes, which importantly has also driven an increase in average asset quality.

Collateral performance across European markets has remained strong as consumers continue to display resilience. This is largely thanks to the strength of labour markets, which have seen only mild increases in unemployment from post-Covid lows. Additionally, we have seen strong wage growth and continue to see positive wage negotiations across Europe. These two factors have supported healthy savings rates; saving rates in the UK and Europe remain above pre-Covid averages, supporting consumer balance sheets.

Performance Review

European ABS performance over the period has been very strong across the board, as spreads have continued their tightening bias from the wider levels they reached in the wake of the UK’s “mini budget” crisis in late 2022.

Despite rate cuts from the ECB and BoE, the running income on spread products remains attractive and we anticipate higher neutral rates will support potential returns going forward. We have seen collateral performance holding up well, with European consumers demonstrating significant resilience in the face of the cost-of-living pressures. Spread performance can be attributed significantly to the supply-demand technical apparent in European ABS, giving way to another period of strong performance for the Company’s assets.

Once again, CLOs were the biggest beneficiary with B and BB rated CLOs delivering more than 17% and 12%, respectively, with a number of early redemptions allowing for healthy returns from positions that were acquired at deeper discounts. We have also seen an ongoing focus on SRT transactions, a sector that offers diversification opportunities for the Company and where we continue to see strong relative value.

We have seen strong performance across various sectors, which has been most pronounced in CLOs, as increasing amount of discounted CLOs are priced to a potential call due to the increase in loan prepayments and the active CLO refinancing market. SRT, mezzanine and junior RMBS allocations within the portfolio have also performed strongly.

Portfolio Allocation

Our focus during the reporting period has been and will continue to be on investing in higher yielding floating rate ABS. In an environment of higher-for-longer rates, these assets should continue to deliver attractive levels of income, which should in turn enable the Company to continue to deliver or improve on its annual target dividend. At the end of the reporting period, the portfolio had a very healthy book yield of 12.07% and a mark-to-market yield of 12.17%. Spreads have generally tightened through the period and the Company has crystallised profits on various older investments in favour of primary supply.

During the period, we booked profits for the Company in certain mezzanine UK RMBS positions where we felt spread tightening had been overstated. Proceeds were reinvested in shorter European consumer ABS transactions and CLOs, where spreads remained attractive. We have continued to derive profits, through positions in Commercial Mortgage-Backed Securities (“CMBS”), where the pick-up to more liquid segments of the market remains minimal. The leverage in the Company currently remains unchanged, but we remain flexible should opportunities arise for the Company.

During the period, we successfully refinanced two pools of Dutch prime mortgages, locking in long-term funding and releasing capital back to the Company.

Fundamental market performance remains strong as consumers continue to demonstrate resilience. However, we acknowledge heightened tail risk surrounding the various conflicts in the Middle East and Ukraine, particularly with secondary consequences for oil prices, as well as uncertainty surrounding the US presidential election. For this reason, we favour secured collateral (mortgages, senior secured corporate loans, auto loans, etc.) from Western European countries, where governments have a proven track record of supporting consumers and corporates during recessions.

As mitigation to the effects of market volatility, we prefer bonds with relatively short spread durations and value the flexibility of having greater liquidity and lower levels of gearing. The liquidity which is available to the Company could be deployed to take advantage of any investment opportunities which may arise, in the event of elevated market stress. A focus will be for the Company to remain invested in collateral from established lenders with good track records, and to balance refinancing risk from an expected increase in the number of CLOs targeting refinancing.

ESG

ESG disclosures in the ABS market have continued to evolve over the period, with recent updates to the EU Sustainable Finance Disclosure Regulation (“SFDR”) and Task Force on Climate-Related Financial Disclosures (“TCFD”) being the main drivers in improved disclosures, as investors require data such as emissions or ESG indicators to comply with reporting requirements. We have continued to engage with RMBS and ABS issuers on Scope 3 financed emissions and alignment with the UN Sustainable Development Goals (“SDGs”), prioritising SDG 10 (Reduced Inequalities) and SDG 11 (Sustainable Cities and Communities). Investor demand for ESG integration, in respect of CLOs, has increased significantly, resulting in most CLO managers increasing loan exclusions at portfolio level and within disclosures. We have focused particularly on new CLO deals for the Company, managed by CLO managers with strong ESG credentials, with positive and negative screening employed.

Outlook

Political change has been a strong theme during the period, with elections in the UK, France, India and a number of other major economies, with the US going to the polls in November. In the UK, the Labour Party gained a landslide victory to return to power after 14 years of Conservative rule, whilst in Europe, we have generally seen a rise in support for parties on the far-right of politics, followed by a resounding victory for Trump in the US. Following the news of Trump’s return to the White House, the rates market reacted sharply with 10 year US Treasuries reaching 4.45% as the expectation of future increases in spending and borrowings heightened. Both the credit and equity markets responded positively, viewing Trump victory as good for medium-term growth. European credit spreads also tightened, with Crossover (the benchmark for European High Yield bonds) tightening by almost 20bps to circa 290bps in the days after the election, despite the fear of increased tariffs leading to a tougher competitive landscape. Whilst the exact impact of a new Trump administration has yet to be seen, risk sentiment looks to be strong and we expect this to have a positive impact on the supply-demand technical in the medium term. The current rate market expectation shows significant diverging paths with both the Fed and BoE expected to remain higher for longer, and the ECB rate to decrease to under 2% by the end of 2025. The slowdown of the German economy and the struggling manufacturing and automotive industries, as well as the impact of the UK budget, are likely bigger risks to European risk sentiment than the outcome of the US elections.

The BoE cut interest rates by a further 0.25% in November 2024 to 4.75%. Governor Andrew Bailey confirmed investors’ views that there is a risk that the recent UK budget is potentially inflationary and hinted to a less certain future path of rate cutting. The Gilt market was quick to react and the general expectation in the rates market is that the BoE will cut interest rates by a further 0.75% in 2025 and the (admittedly very volatile) 3 year expectation is that base rates will remain around 4%. While this is a positive development for floating rate bond investors, there could be an impact on UK consumers as the cost of borrowing will not drop as much as was anticipated prior to the budget.

Spread products continue to perform well, and we have welcomed record issuance in the ABS market with a healthy pipeline for the remaining months of the year. We expect CLO refinancings to remain elevated as managers capitalise on attractive funding costs. While this has created some more reinvestment risk, we do not expect difficulties staying invested. We see good value in new BB and B rated CLO investments from top quartile managers, offering yields of around Euribor +6.3% and 9.5% respectively. Other favoured allocations include shorter dated secured ABS from larger bank lenders, and SRT transactions.

While we expect the supply-demand technical to persist in the ABS market and drive performance in the medium term, we acknowledge that geopolitical risk may continue to cause uncertainty and we therefore value flexibility in the portfolio to change allocations if opportunities present themselves.

TwentyFour Asset Management LLP

19 November 2024

TOP TWENTY HOLDINGS

as at 30 September 2024

The full listing of the Portfolio as at 30 September 2024 can be obtained from the Administrator on request.

* Definition of Terms

‘CLO’ – Collateralised Loan Obligations

‘CMBS’ – Commercial Mortgage-Backed Securities

‘RMBS’- Residential Mortgage-Backed Securities

‘SRT’ – Significant Risk Transfer

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 currently Non-Executive Director at Pershing Square Holdings, BH Macro Limited and a number of private companies. 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, RTW Biotech Opportunities Limited and Sequoia Economic Infrastructure Income Fund 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 director, including as audit committee chair, on the boards of several 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 a number of 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.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

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.

Geopolitical risks are heightened raising the possibility of adverse shocks to both growth and inflation in the UK and Europe. Risk premiums demanded by the market could rise as risk sentiment deteriorates and wider spreads could result in lower cash prices.

• Liquidity Risk

Liquidity risk is the risk that the Company 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. The Company has the ability to borrow to ensure sufficient cash flows and the Portfolio Manager maintains a liquidity management policy to monitor the liquidity risk of the Company.

• 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 adverse impact on the market price of the security.

The Company holds debt securities including ABS which, compared to bonds issued or guaranteed by developed market 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 for an ABS is typically indicated by a credit rating which is assigned by one or more internationally recognised rating agencies. This does not amount to a guarantee of creditworthiness of an ABS 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 ABS issues. 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.

The Company is also exposed to unrated equity tranches of ABS that invest predominantly in the residential mortgage markets in the UK and the Netherlands where the Company originates and purchases securitisations, respectively. Under EU and UK laws, originators of securitisations are required to retain 5% of the value of their securitisation which creates a retention risk. As equity tranches bear first loss in the event of a default, the Company may also diversify its retention risk by holding more senior tranches in the securitisations that it issues, a process known as a vertical tranche retention. Realised default rates for RMBS securities have historically been very low since the global financial crisis.

In the event of a default of an ABS, 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 note 17 to the Condensed Interim Financial Statements.

• Foreign Currency Risk

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 predominantly 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.

• Counterparty Credit Risk

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 uses OTC derivatives to hedge interest rate risk and 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

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.

• Reinvestment Risk

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 is also able to borrow against individual holdings in the portfolio via repurchase agreements which facilitate rapid tactical investments when opportunities arise.

The Portfolio Manager expects £101.6 million 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.

• Operational Risks

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.

• Income Recognition Risk

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 ABS which in turn impacts the calculation of interest income. This risk is considered on behalf of the Board by the Audit Committee as discussed on pages 36 to 39 of the Annual Report for the year ended 31 March 2024 and is therefore satisfied that income is appropriately stated in all material aspects in the Condensed Interim Financial Statements.

• Cyber Security Risks

The Company is exposed to the 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.

• Geopolitical Risk and Economic Disruption

The Company is exposed to the risk of geopolitical and economic events impacting on the Company, service providers 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, Belarus, Russia or the Middle East and there is not expected to be any direct adverse impact from military operations on the activity (including processes and procedures) of the Company.

• Climate Change Risk

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 Corporate 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.

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 Portfolio 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 on pages 14 to 17 of the Annual Report for the year ended 31 March 2024.

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 pursuant to which Shareholders may elect, on a rolling basis, to realise some or all of their holdings of Ordinary Shares at each third Annual General Meeting, with the next Realisation Opportunity due to be in Autumn 2025.

The Company’s continuing ability to meet its dividend target, along with the Company’s ability to continue as a going concern, has been considered by the Directors, paying attention to the external geopolitical and macroeconomic factors, the increased risk of default due to elevated levels of inflation above target, higher global interest rates and the next Realisation Opportunity. No material doubts in respect of the Company’s ability to continue as a 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 2024 to 30 September 2024 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 2024 to 30 September 2024 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 

Director      Director

19 November 2024

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 2024 of the Company, which comprises the condensed statement of financial position, the condensed statement of comprehensive income, the condensed statement of changes in equity, the condensed 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 2024 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 as adopted by the EU.

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

19 November 2024

CONDENSED STATEMENT OF COMPREHENSIVE INCOME

for the period from 1 April 2024 to 30 September 2024

All items in the above statement derive from continuing operations.

The Company’s income and expenses are not affected by seasonality or cyclicity.

The accompanying notes 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 2024

The Unaudited Condensed Interim Financial Statements were approved by the Board of Directors on 19 November 2024 and signed on its behalf by:             

John Le Poidevin      Paul Le Page

Director       Director

The accompanying notes form an integral part of these Unaudited Condensed Interim Financial Statements.

CONDENSED STATEMENT OF CHANGES IN EQUITY

for the period from 1 April 2024 to 30 September 2024

The accompanying notes form an integral part of these Unaudited Condensed Interim Financial Statements.

CONDENSED STATEMENT OF CASH FLOWS

for the period from 1 April 2024 to 30 September 2024

The accompanying notes 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 2024 to 30 September 2024

1. General Information

TwentyFour Income Fund Limited (the “Company”) was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Company’s shares (“Ordinary Shares”, being the sole share class) were listed on the Official List of the UK Listing Authority and admitted to trading on the Main Market of the London Stock Exchange on 6 March 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. Material Accounting Policies

a) Statement of Compliance

The Unaudited Condensed Interim Financial Statements for the period 1 April 2024 to 30 September 2024 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 Audited Financial Statements for the year ended 31 March 2024, 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 2024 and the year ending 31 March 2025:

-    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);

The directors of the Company (the “Directors” or 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 2024 and for the Annual Audited Financial Statements for the year ending 31 March 2025.

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:

-    Lack of Exchangeability (Amendments to IAS 21) (applicable to accounting periods beginning on or after 1 January 2025);

-    Classification and Measurement of Financial Instruments (Amendments to IFRS 7 and IFRS 9) (applicable to periods beginning on or after 1 January 2026); and

-    Presentation and Disclosures in Financial Statements (IFRS 18) (applicable to accounting periods beginning on or after 1 January 2027).

The Directors are in process of assessing the impact of the adoption of the new standards on the financial statements of the Company.

3. Earnings 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 Ordinary 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 Ordinary Share has been calculated.

Basic earnings per Ordinary Share has been calculated based on the weighted average number of Ordinary Shares of 747,836,661 (30 September 2023: 742,733,383) and a net gain of £57,392,995 (30 September 2023: net gain of £60,685,298).

4. Income Equalisation on New Issues

In order to ensure there are no dilutive effects on earnings per Ordinary Share for current holders of Ordinary Shares 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 £Nil (30 September 2023: £242,649).

5. Net Asset Value per Ordinary Share

The net asset value (“NAV”) of each Ordinary Share of £1.11 (31 March 2024: £1.09) is determined by dividing the value of the net assets of the Company attributed to the Ordinary Shares of £826,361,915 (31 March 2024: £813,539,986) by the number of Ordinary Shares in issue at 30 September 2024 of 747,836,661 (31 March 2024: 747,836,661).

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 £1,600 (2023: £1,200).

7. Net Foreign Currency Gains

8. Investments

9. Other Receivables

There are no material expected credit losses for coupon interest receivable as at 30 September 2024.

10. Other Payables

A summary of the expected payment dates of payables can be found in the ‘Liquidity Risk’ section of note 17.

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 Agreement”). 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, pursuant to the terms and conditions as governed by the agreement.

Finance costs on Repurchase Agreements have been presented separately from interest income. Finance costs on Repurchase Agreements amounted to £402,967 (30 September 2023: £383,505). As at 30 September 2024, finance cost liabilities on open Repurchase Agreements amounted to £37,305 (31 March 2024: £49,285).

At the end of the period, amounts repayable under open Repurchase Agreements were £14,002,088 (31 March 2024: £14,090,507). Two securities were designated as collateral against the Repurchase Agreements (31 March 2024: two securities), with a total fair value of £17,677,193 (31 March 2024: £17,525,866), all of which were investment grade residential mortgage backed securities. The total exposure was -1.69% (31 March 2024: -1.73%) of the Company’s NAV. The contracts were across two counterparties and were all rolling agreements with a maturity of 3 months.

The changes in amounts payable under Repurchase Agreements are disclosed below:

12. Share Capital

a) Authorised Share Capital

Unlimited number of Ordinary Shares at no par value.

b) Issued Share Capital

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, being the Ordinary Shares of Shareholders who have elected to realise their investment in the Company during a Realisation Opportunity (“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 2024, one share class has been issued, being the Ordinary Shares of the Company.

No shares were held in Treasury or sold from Treasury during the period ended 30 September 2024 or during the year ended 31 March 2024.

The Ordinary Shares carry the following rights:

i)        The Ordinary Shares carry the right to receive all income of the Company attributable to the Ordinary Shares.

ii)       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.

iii)     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 Ordinary Shares held as Treasury Shares shall not at any time exceed 10% of the total number of Ordinary 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.  

Shares held in Treasury are excluded from calculations when determining earnings per Ordinary Share or NAV per Ordinary Share, as detailed in notes 3 and 5, respectively.

13. Analysis of Financial Assets and Liabilities by Measurement Basis