TwentyFour Income Fund - Final results for the year ended 31 March 2024

PR Newswire

LONDON, United Kingdom, July 11

TwentyFour Income Fund Limited

Final results for the year ended 31 March 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 Final Results for the year ended 31 March 2024.

Financial highlights

Total NAV return per ordinary share of 18.1% (2023: -3.74%)
NAV per ordinary share increased 7.7% to 108.97p (2023: 100.97p)
Record dividend payment of 9.96p per ordinary share, above the dividend policy of 8p per annum
Total net assets rose 12.2% to £813.54 million (2023: £724.98 million)
The portfolio returned 16.57% to 31 March 2024 vs (1.17%) to 31 March 2023
Share price discount to NAV at 3.67% at the end of the year; a comparatively small discount compared to the overall sector where discounts widened to historic levels

Portfolio highlights

European ABS has performed strongly across the board, supported by:
- Stronger than expected macroeconomic conditions
- Higher for longer interest rates
- Improving risk sentiment as investors assumed a soft-landing for Europe and the UK
Mezzanine Residential Mortgage-backed Securities (“RMBS”) and Collateralised Loan Obligations (“CLOs”) were the strongest performers whilst Commercial Mortgage-backed Securities (“CMBS”) lagged spread performance.
Activity in the primary markets has created opportunities to further diversify and rotate the portfolio e.g. UK and European banks have been tapping the ABS sector for both funding and capital transactions following the end of cheap funding.
TwentyFour Asset Management LLP (“the Portfolio Manager”) continues to favour higher-yielding, floating rate ABS, particularly secured assets (RMBS and CLOs) and has increased allocations to the Significant Risk Transfer (“SRT”) market as a source of both yield and diversification.
As a result, the portfolio had a book yield of 11.7% and a mark-to-market yield of 12.8% at the end of the period.
The Portfolio Manager continues to prefer bonds with short spread durations, liquidity and low levels of gearing, reflecting concerns over market volatility and geopolitical risk.
The level of leverage the Company has taken has dropped over the period to -1.6% from -5.4%,

Outlook

Market expectations for rates to remain higher for longer should continue to support strong demand for ABS and performance over the medium term.

Notwithstanding the benefit of higher rates on the portfolio, the Company has delivered dividends within or above the target range of 6p to 9p per share since launch and is confident that it should be able to maintain that record even if, as anticipated, rates start to fall over the next 12 months.

The Portfolio Manager continues to see strong demand and supply of ABS, particularly in European CLOs.

Over the longer term, geopolitical risk remains a driver of market volatility and, as such, the Portfolio Manager sees value in retaining flexibility within the portfolio and maintaining elevated levels of liquidity.

Commenting on the results, Bronwyn Curtis OBE, Chair, said: “The strategy of investing in higher yielding floating rate ABS in a higher interest rate environment has enabled the Company to produce a record dividend for the year for investors, equivalent to a 10% yield on the share price, alongside a strong return on the portfolio.

“Looking forward, the Board is supportive of the Portfolio Manager’s focus on Western European secured assets with short maturities, keeping one eye on market volatility whilst also offering the potential to benefit from potential market dislocations.”

Aza Teeuwen, Portfolio Manager, TFIF said: “European ABS performed well over the period. Spreads had started the year relatively wide as the market was still recovering from the market impact of the Truss mini-budget and the resulting economic slowdown. However, the sector’s fundamental performance proved better than expected as borrowers coped well with the higher rate environment, helped by solid wage growth and a strong labour market, resulting in spreads narrowing and a strong performance for the year.

“Going forward, we will focus on secured collateral such as mortgages, senior secured corporate loans and auto loans from Western European countries, where governments have a proven track record in supporting consumers and corporates during recessions.

“We expect current strong supply-demand to continue to drive performance over the medium term, whilst longer term we will continue to position the portfolio flexibly, given heightened geopolitical risk.”

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

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

For the year ended 31 March 2024

LEI: 549300CCEV00IH2SU369

(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)

The Company has today, in accordance with DTR 6.3.5, released its Report and Audited Financial Statements for the year ended 31 March 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 www.morningstar.co.uk/uk/NSM website.

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 NAV return of between 6% and 9% per annum, which, effective from the dividend declared in respect of the 3-month period ended 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). Prior to that, the annual target dividend was 7% of the Issue Price. 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 share during the year and dividing by the NAV per Ordinary Share at the start of the year.

The increases in the annual target dividend have been intended to increase the rate of return to investors following increases in global interest base rates.

Ongoing Charges

Discount

As at 5 July 2024, the discount to NAV had moved to 3.73%. The estimated NAV per Ordinary Share and mid-market share price stood at 109.90p and 105.80p, 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 6.

* 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 18.

Financial Highlights

NAV per Ordinary Share
As at 31 March 2024	As at 31 March 2023
108.79p	100.97p

Share price
As at 31 March 2024	As at 31 March 2023
104.80p	100.50p

Total net assets
As at 31 March 2024	As at 31 March 2023
£813.54 million	£724.98 million

Total NAV return per Ordinary Share
For the year ended 31 March 2024	For the year ended 31 March 2023
18.10%	(3.74%)

Dividends declared per Ordinary Share
For the year ended 31 March 2024	For the year ended 31 March 2023
9.96p	9.46p

Dividends paid per Ordinary Share
For the year ended 31 March 2024	For the year ended 31 March 2023
10.46p	7.27p

Ordinary Shares in issue
As at 31 March 2024	As at 31 March 2023
747.84 million	718.04 million

Portfolio performance
For the year ended 31 March 2024	For the year ended 31 March 2023
16.57%	(1.17%)

Repurchase agreement borrowing
As at 31 March 2024	As at 31 March 2023
1.73%	6.74%

Number of positions in the portfolio
As at 31 March 2024	As at 31 March 2023
204	183

Average (discount)/premium
For the year ended 31 March 2024	For the year ended 31 March 2023
(1.56%)	0.55%

CHAIR’S STATEMENT

for the year ended 31 March 2024

Bronwyn Curtis OBE

In my capacity as Chair of the Board of Directors of TwentyFour Income Fund Limited, I am pleased to present my report on the Company’s progress for the year ended 31 March 2024 (the “reporting period”).

Investment Performance

In April 2024, the Company announced the fourth quarter dividend for the financial year ended 31 March 2024 at 3.96p per Ordinary Share. This made the overall dividend declared with respect to the reporting period 9.96 pence per Ordinary Share, the highest annual dividend that the Company has paid since its inception in 2013. The strategy of investing in higher yielding floating rate asset-backed securities 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 100.97p to 108.79p, a rise of 7.74%. The NAV per Ordinary Share total return was 18.10%. The Company traded at a narrow discount to NAV for most of the year, with a discount of 0.47% at the beginning of the reporting period and a discount of 3.67% at the end of March 2024.

The Company issued 29.8 million new Ordinary Shares between April 2023 and the end of June 2023. No shares were bought back during the reporting period.

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.

Market Overview

Financial markets have been calmer over the past year following the turmoil created by the US regional banking crisis, the energy crisis, and the UK mini budget in 2022/23. The ongoing war in Ukraine and turmoil in the Middle East have kept investors on alert, but neither has had a large impact on European credit spread volatility. European credit spreads were relatively wide at the beginning of the reporting period but the improved sentiment over the second half of 2023 led to spread tightening, and a healthy level of primary supply in the European ABS market over the period.

The reporting period was once again dominated by the activity of central banks. As the US Federal Reserve (“Fed”) raising the Federal Fund Rate to 5.25-5.5% in 2023– the market was focused on when the rate cutting cycle would begin and then how quickly it would continue. Inflation demonstrated encouraging trends at the end of 2023, leading to the markets pricing in over six rate cuts for 2024. However, with inflation proving to be stickier and US growth remaining robust for the first few months of 2024, the number of cuts expected by the markets for 2024 more than halved. The combination of this “higher for longer” approach by the central banks, and the tightening in credit spreads in the asset classes which the Company invests in, has had a positive impact on the Company’s income, due to the floating rate nature of the Company’s assets.

Elsewhere, whilst a similar inflationary pattern was seen across the eurozone and the UK, growth numbers were much weaker in these geographies. As a result, more cuts have been priced in by the markets, for the European Central Bank (“ECB”) and the Bank of England (“BoE”) now than for the Fed, with the ECB kicking off the first rate cut of 25 basis points on 6 June 2024.

The activity in the primary markets has also created opportunities for the Portfolio Manager to diversify and rotate the portfolio. UK high street banks have been tapping the ABS sector for both funding and capital transactions following the end of cheap central bank funding, and significant volatility in the Additional Tier 1 bonds (“AT1”) market (not least as a result of the Credit Suisse collapse in 2023 and the decision by the Swiss regulator FINMA to instruct the write down of its AT1 issuances). We have seen the return of so-called Significant Risk Transfer (“SRT”) securitisations and as a result the Portfolio Manager has been able to further diversify the portfolio and invest in securities which it considers to be best quality bank assets at attractive yields.

In the last quarter of 2023, markets were betting on recessions in developed economies and began anticipating the first key rate cuts. This proved to be premature. With UK and European unemployment only increasing modestly and house prices stabilising, economic performance has been stronger than expected. As core inflation has proved sticky and wage growth has helped consumers deal with the higher cost of living, only one rate cut has been seen to date.

Environmental, Social and Governance Approach

The Board recognises the importance of Environmental, Social and Governance (“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 year, the Portfolio Manager has continued to work extensively on engaging with issuers to improve disclosures, and have also extended 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.

Dividend

The Company aims to distribute all its investment income to ordinary shareholders and is currently targeting quarterly payments equivalent to an annual dividend of at least 8p per year. The fourth quarter dividend is used to distribute any residual income generated in the year. This year, the fourth quarter dividend was 3.96p per Ordinary Share, with the dividends paid by the Company with respect to the reporting period totalling 9.96p per Ordinary Share.

The increase in dividends for the financial year ended 31 March 2024 was driven by two main factors: the increase in the Bank of England base rate along with repayment amortisations within the portfolio and share issuance by the Company enabling investment at prevailing higher yields, which were accretive to the income of the Company.

Premium/Discount and Share Capital Management

The wider investment company market saw trading at historically wide discounts across the board, with the Company remaining one of the best performers. Shares traded at close to NAV for the first half of the period to the end of September 2023, with the Company issuing 29.8 million new shares at a premium to NAV between April 2023 and the end of June 2023. The Company has not bought back any shares in this reporting period.

Discounts widened further across the investment company market in the second half of the reporting period. The Company traded at an average discount of 1.56% for the whole reporting period and, at the end of March 2024, it was trading at a discount of 3.67%, a position significantly closer to NAV than the vast majority of the wider investment company market.

Annual General Meeting

The Company’s 2024 Annual General Meeting (“AGM”) will be held 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 at 9am.

Board Composition

Richard Burwood retired as Non-Executive Director of the Company and Chair of the Management Engagement Committee at the Annual General Meeting on 14 September 2023 and was succeeded by Paul Le Page, as Chair of the Management Engagement Committee.

On behalf of the Board, I would like to thank Richard for all his hard work and valued contribution to the Board and to the Company during his tenure.

Outlook

With inflation continuing to prevail and relatively high levels of wage growth remaining, the market expectation remains that base rates will be likely to remain higher for longer, with a slower rate cut trajectory priced in.

The Company has always delivered dividends within the target range of 6p to 9p per share, even when key UK interest rates were close to zero. We expect that the dividend target range should be maintained even if, as anticipated, key rates do fall in the next reporting period ending 31 March 2025.

Outside the political drama, demand for floating rate bonds has increased significantly over recent months, which is expected to persist, and this positive technical, absent of geopolitical surprises, should keep ABS credit spreads range bound.

The ongoing war in Ukraine and tensions in the Middle East remain catalysts of risk sentiment in all financial markets, meaning spread volatility is likely to remain. As spreads have rallied to levels last seen prior to the Russian invasion, the Board is supportive of the Portfolio Manager’s focus on Western European secured assets: mortgages, auto loans and Collateralised Loan Obligations (“CLOs”) with short maturities. The Board believes that this, coupled with a very low level of gearing, should insulate the Company’s portfolio from volatility, whilst offering the potential to benefit from possible market dislocations.

While a moderate deterioration of fundamental performance (such as unemployment, house prices, corporate earnings and defaults) is expected by the Portfolio Manager, the Board does not expect this to materially impact performance of the investment portfolio. The Portfolio Manager expects to see increasing arrears levels in consumer credit, but not to levels seen during the Global Financial Crisis and remain confident based on strong stress test results.

Increasing demand for the asset class and higher for longer rates are expected to remain drivers of performance in the medium term. Throughout the reporting period, UK pension funds have slowly returned to the European ABS market, which has delivered the liquidity that pension funds needed. The Portfolio Manager expects that demand for ABS is likely to increase significantly once UK pension funds have rebuilt their liquidity profile, which should have a positive impact on the performance of the Company.

Bronwyn Curtis OBE

Chair

10 July 2024

PORTFOLIO MANAGER’S REPORT

for the year ended 31 March 2024

TwentyFour Asset Management LLP

In our capacity as Portfolio Manager to the TwentyFour Income Fund Limited, we are pleased to present our report on the Company’s progress for the year ended 31 March 2024.

Market Environment

During the year, the macroeconomic picture began to stabilise after the turbulence experienced globally during the Covid-19 pandemic and its aftermath. This was illustrated best by the rapid climb and then descent of inflation across all major economies, which understandably challenged most markets but fixed income markets even more so given the rise in interest rates as central banks moved to cut off a damaging spiral. US Consumer Price Index (“CPI”) dropped from 6.0% to 3.2% during the year, with eurozone numbers following a similar path to 2.7%. With inflation still above target, central bank forecasts see a normalisation to the 2% long-term objective during 2024 and at target in 2025.

Geopolitics remained a feature of the year; the conflict in Ukraine saw both Western and Russian financial resolve being tested, whilst several areas of significant unrest in the Middle East have not impacted the ABS markets materially, but have the propensity to feed into commodity prices with the resulting impact on inflation. There are also several signs that cracks in the Chinese economy following excessive debt accumulation may create a slowdown, with defaults in the property sector noteworthy given the importance of this sector to the Chinese economy. Other idiosyncratic events like the hurried takeover of Credit Suisse by rival UBS and the US regional bank crisis gave investors plenty of reason to exercise caution in the early part of the year.

One area of stability across the Group of Seven (“G7”) nations has been labour markets, where job availability after the pandemic has remained a feature and led to strong, potentially excessive wage growth that has to a certain extent countered the impacts of inflation on households. Unemployment in the UK stands at 3.9% whilst the eurozone remains at lows of 6.4%. Consumer confidence began to rise in 2023 from a fragile base, consumers began to engage in the property market as mortgage rates came off peaks, and car sales showed tentative growth. Corporate earnings have been generally healthy and default rates have remained low. Commercial real estate was the obvious outlier as combination of headwinds including higher borrowing costs and tighter financial conditions, rising vacancies in office assets and uncertainty surrounding property valuations played a role in putting pressure on the sector.

ABS performance remained strong, with ratings and underlying asset performance showing resilience as it stayed well within investor tolerance levels. Germany was a surprise laggard as consumers have felt more dislocation from slowing trade, with some deals weakening to arrears levels worse than comparable Spanish or Italian deals, for example. Far from being a concern, it exemplified how strong other countries have remained on a relative basis. Closer to home, auto ABS in the UK have shown similar stability although cost of living pressure has filtered through the lower quality borrower profile with near-prime auto ABS unsurprisingly showing sign of deterioration.

With markets reacting to a stronger than expected macroeconomic backdrop, risk sentiment has improved and a positive technical demand has supported credit spread tightening across fixed income, including ABS. Liquidity conditions have also been strong with healthy primary issuance and growing amounts of high yield and loan refinancings having taken place, which has reduced concerns around debt maturities. Rates, however, have remained volatile as investors were kept guessing as to when the Fed would cut rates. Up to six 25 basis points cuts were priced in for 2024 at one point of rate hike expectations, with around three currently expected. With growing uncertainty as to exactly when the Fed, the BoE and ECB will need to make cuts, higher for longer rates have benefitted floating rate investments like ABS throughout the year.

Performance

European ABS performance over the year has been very strong across the board. Spreads started the year relatively wide as the market was still recovering from the UK liability-driven investment (“LDI”) crisis and as the market was generally expecting an economic slowdown. While the BoE continued to increase base rates, ABS investors benefitted from increasing coupon income, which also started to draw new income-seeking investors to the ABS market. Fundamental performance has remained better than expected as the majority of underlying borrowers are currently coping well with the higher rate environment, helped by solid wage growth and a strong labour market. Spreads remained relatively range bound during the first half of 2023, but risk sentiment improved consistently from the summer as investors became more comfortable with a soft-landing as a base case for the European and UK economies. Residential Mortgage-Backed Securities (“RMBS”) at a mezzanine level and especially CLOs were the main beneficiaries of spread tightening, resulting in very strong performance for the year. BB-rated CLOs tightened by around 200bps to Euribor + 6.7% making Mezzanine CLOs the best performing asset class for the Company. An emerging trend over the year has been the increased issuance of SRT deals. This boost has come in part as a result of the turmoil that hit the AT1 market in March 2023 after the collapse of Credit Suisse bank. SRT transactions are used by banks as a tool to reduce their risk weighted assets. Having less access to a full range of capital instruments than before and facing higher funding costs and higher liquidity requirements meant that banks are looking at other alternatives and the SRT market can help address these issues. We see the growing SRT market, as a positive source of further diversification and income for the Company and have been increasing the exposure to this sub-sector of the ABS market. The one asset class that lagged spread performance has been the Commercial Mortgage-Backed Securities (“CMBS”) market as there remains uncertainty around Commercial Real Estate valuations.

The NAV per Ordinary Share total return was 18.10%.

Portfolio Events

We have both added and reduced risk to the portfolio on many occasions over the reporting period, mostly by buying and selling longer dated BB-rated CLOs. Due to strong demand, when spreads tightened quickly in BB CLOs, we booked profits for the Company’s portfolio and replaced these with primary CLOs at wider spreads and mezzanine ABS in primary.

The portfolio allocation approach has remained broadly unchanged over the course of the year as we favoured secured assets (RMBS and CLOs) over unsecured assets from Western European lenders. The portfolio saw increased allocations to SRT trades over the year, a sector that we believe provides both diversification and an attractive yield to the Company.

Although collateral performance has weathered base rate rises well, there have been pockets of deterioration in pre global financial crisis RMBS and office CMBS. We have reduced CMBS exposure to 3.3% from 4.8% in the previous year, also reducing non-conforming RMBS exposure to 14.5% from 21.7%. The level of leverage the Company has taken has dropped to -1.6% from -5.4%, however, we remain flexible to increase allocations if opportunities arise. The yield ended the year at 12.78%, and the weighted average rating of the Company’s portfolio has remained stable at B.

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, enabling the Company to continue to deliver on its annual target dividend. At the end of the reporting period, the portfolio had a very healthy book yield of 11.7% and a mark-to-market yield of 12.8%. Spreads have generally tightened through this year and we have crystallised profits on various older investments in favour of primary supply.

As we believe that fundamental performance will likely deteriorate (not least due to increasing consumer arrears and corporate defaults), and with the elevated geopolitical risk (further escalations of the conflicts in Ukraine and the Middle East, along with the UK, French and US elections impacting market volatility), we favour secured collateral (mortgages, senior secured corporate loans, auto loans, etc) from Western European countries, where governments have a proven track record in supporting consumers and corporates during recessions. As mitigation from the effects of market volatility, we prefer bonds with relatively short spread durations and value the flexibility of having more liquidity and low levels of gearing. 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 remain cautious about CMBS and unsecured consumer risk. With the increasing number of banks issuing highly regarded SRT transactions, thereby releasing regulatory capital, we expect that our allocation in SRT will grow in preference to making further investments in junior or equity RMBS.

Environmental, Social and Governance

ESG disclosures in the ABS market have continued to evolve over the past 12 months, with the 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 lenders on Scope 3 financed emissions in RMBS and ABS deals. Over the past 12 months, the market has experienced a surge in Green RMBS issuance and though volumes are still far from the 2021 record high, we have supported Green transactions and expect to see higher volumes for the remainder of 2024.

Within CLOs, investor demand for ESG integration has increased significantly over the past year resulting in most CLO managers increasing exclusions at portfolio level and within disclosures. We have also worked on several initiatives on the CLO side through the European Leveraged Finance Association (“ELFA”), with the latest initiative being a paper outlining guidance for CLO managers on carbon and climate disclosures.

We have focused particularly on new CLO deals for the Company with positive and negative screening managed by CLO managers with strong ESG credentials.

Market Outlook

In late May 2024, the latest UK inflation data was released, showing a fall nearly to the 2% target. It was swiftly followed by the announcement of a general election called for 4 July 2024. After a somewhat subdued campaign, the result followed polls with a decisive victory for the Labour Party ("Labour") led by Keir Starmer.

With the current macro environment and the fact that Labour is bound by the same fiscal rules as the previous government to limit borrowing and debt, we expect a relatively limited impact on inflation and the subsequent decision due from the BoE of when to cut rates, but we continue to remain sensitive to the impact of the new government’s policies and impacts on the market.

In the US, the Republican Presidential candidate, Donald Trump, was found guilty of 34 felony counts, whilst his opponent President Biden fumbled in debates and appearances, however, the November 2024 election result still remains a close call. In France, President Macron called emergency parliamentary elections after the European elections showed right-wing populists making large gains across the bloc, leading him to dissolve the National Assembly and gamble on national polls. The elections duly showed a significant swing to the right, and an indication of a hung parliament, leading to French government bond yields hitting 12-year highs.

With spreads having performed very well during 2024, despite elevated geopolitical risks posing a threat, we expect the strong demand/supply technical to persist in the medium term.

We continue to see the best value in primary transactions and short-dated BBB and BB-rated RMBS and CLOs, and expect the pace of Euro CLO issuance to persist, with a healthy ABS pipeline for the remainder of 2024. With more older CLOs reaching the end of their reinvestment periods and a healthy leverage loan market, we expect to see an increased amount of older CLOs being called as well as a further pick up in refinancings of the 2022 and 2023 vintages. We will look to reinvest this increasing amount of portfolio amortisations in primary supply.

We anticipate resistance to short-term spreads tightening from here, however, we do see a scenario where the excess demand, particularly in ABS markets, outweighs this effect. Primary supply has been met with very strong demand so far in 2024 and although total volumes are strong, we had expected to see more RMBS deals come to market, but recognise that specialist mortgage lending volumes have likely been suppressed during 2023. In the first half of 2024, €71 billion of primary issuance came to market, which is well above the typical €50-60 billion that was printed in the recent 5 years, and has resulted in an increase of the European ABS market size to €520 billion. We anticipate that the current strong demand/supply technical will remain in place as a driver of medium-term performance. In the longer term, we continue to see geopolitical risk as the key risk for market volatility and value flexibility in positioning and therefore expect to keep elevated levels of liquidity, especially as European ABS continues to benefit from higher rates for longer.

TwentyFour Asset Management LLP

10 July 2024

TOP TWENTY HOLDINGS

as at 31 March 2024

Security	Nominal/ Shares	Asset-Backed Security Sector*	Fair Value £	Percentage of Net Asset Value
UK MORTGAGES CORPORATE F 'KPF4 A' 0.00% 30/11/2070	23,163,656	RMBS	21,718,430	2.67
UK MORTGAGES CORP FDG DAC KPF1 A 0.0% 31/07/2070	18,574,611	RMBS	21,057,591	2.60
UK MORTGAGES CORP FDG DAC KPF2 A 0.0% 31/07/2070	21,498,181	RMBS	19,291,586	2.37
TULPENHUIS 0.0% 18/04/2051	19,326,989	RMBS	17,849,173	2.19
SYON SECURITIES 19-1 B CLO FLT 19/07/2026	16,591,590	RMBS	16,258,646	2.00
UKDAC MTGE 'KPF3 A' 0.0% 31/7/2070	17,926,403	RMBS	15,134,868	1.86
CHARLES ST CONDUIT ABS 2 LIMITED CABS 2- CL B MEZZ	15,000,000	RMBS	14,748,000	1.81
EQTY. RELEASE FNDG. NO 5 '5 B' FRN 14/07/2050	16,500,000	RMBS	14,656,754	1.80
VSK HOLDINGS LTD VAR 31/7/2061	2,058,000	RMBS	14,479,608	1.78
DEUTSCHE BANK AG/CRAFT 202 '1X CLN' FRN 21/11/2033	18,000,000	SRT	14,248,960	1.75
CHARLES STREET CONDUIT FRN 0.00% 12/04/2067	14,000,000	RMBS	13,613,600	1.67
CASTELL 2022-1 PLC '1 D' FRN 25/4/2054	13,299,000	RMBS	13,436,483	1.65
VSK HLDGS. '1 C4-1' VAR 01/10/2058	1,587,000	RMBS	11,011,533	1.36
RRME 8X D '8X D' FRN 15/10/2036	13,000,000	CLO	10,977,246	1.35
HABANERO LTD '6W B' VAR 5/4/2024	10,795,000	RMBS	10,795,000	1.33
SYON SECS. 2020-2 DAC '2 B' FRN 17/12/2027	9,945,888	RMBS	10,032,885	1.23
SANTANDER CONSUMER FINANCE SA SER 23-1 CL B FLTG R	83,986,289	SRT	9,626,337	1.18
HOPS HILL NO2 PLC '2 E' FRN 27/11/2054	9,262,000	RMBS	8,904,380	1.10
UK MORTGAGES CORP FDG DAC CHL1 A 0.0% 31/07/2070	7,165,395	RMBS	8,151,934	1.00
SYON SECURITIES 2020-2 DESIGNATED A FLTG 17/12/202	7,945,495	RMBS	7,971,691	0.98
			273,964,705	33.68

The full portfolio listing as at 31 March 2024 can be obtained from the Administrator on request.

* Definition of Terms

“CLO” – Collateralised Loan Obligations

“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 presently a Non-Executive member of the Oversight Board at the UK Office for Budget Responsibility and Non-Executive Director at Pershing Square Holdings 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 Remuneration and Nomination 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.

Board Member who retired during the year

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

Joanne Fintzen
JPMorgan Claverhouse Investment Trust plc	London

Paul Le Page
NextEnergy Solar Fund Limited	London
RTW Biotech Opportunities Limited	London
Sequoia Economic Infrastructure Income Fund Limited	London

John Le Poidevin
BH Macro Limited	London
International Public Partnerships Limited	London
Super Group (SGHC) Limited	New York

STRATEGIC REPORT

for the year ended 31 March 2024

The Directors submit to the Shareholders their Strategic Report for the year ended 31 March 2024.

Business Model and Strategy

The Company is a closed-ended investment company, incorporated with limited liability in Guernsey. The Company has been granted exemption from income tax within Guernsey and the Directors intend to continue to operate the Company so that this tax-exempt status is maintained.

Investment Objectives and Policy

The Company’s investment objective and policy is set out in the Summary Information.

The strategy for the Company is to target less liquid, higher yielding asset-backed securities. These securities, whilst fundamentally robust, do not offer enough liquidity for use in typical daily mark-to-market UCITs funds, but are well suited to a traded closed-ended vehicle, where investors can obtain liquidity by trading shares on the London Stock Exchange. The view of the Board is that this part of the fixed income market has been largely overlooked and therefore represents attractive relative value.

Income Distributions

The Company’s income consists wholly or mainly of investment income and the Ordinary Shares are designed to offer a consistent dividend yield. The Board intends to distribute substantially all of the Company’s income after expenses to the holders of the Ordinary Shares, paying quarterly interim dividends with equal amounts paid in June, September and December each year, with a fourth quarter dividend paying any remaining income for the year ending 31 March being declared in April.

The full year dividend per share for 2024 totalled 9.96p (2023: 9.46p) representing 99.77% of the total comprehensive income for the year. This is in accordance with the dividend policy approved by Shareholders at an extraordinary shareholders meeting in May 2019.

Long Term Growth in Capital Value

The asset value of the Company’s portfolio is heavily influenced by external macro-economic factors. The Directors meet with the Portfolio Manager regularly to discuss the portfolio. Additional details are covered in the Chair’s Statement and Portfolio Manager’s Report.

Future Prospects

The Board’s main focus for the Company is to generate attractive risk adjusted returns principally through income distributions. The future of the Company is dependent upon the success of the investment strategy. The investment outlook and future developments are discussed in both the Chair’s Statement and the Portfolio Manager’s Report.

The Board meets at least annually, to consider the long-term strategy of the Company, incorporating presentations from the Portfolio Manager, Corporate Broker and other service providers, to inform discussion on longer-term opportunities and threats to the business. Focus is placed on principal and emerging risks which may have the potential to disrupt the business model.

Business Environment

Principal Risks, Emerging Risks and Uncertainties

The Board is responsible for the Company’s system of internal financial and reporting controls and for reviewing its effectiveness. The Board has carried out a robust assessment of the principal risks and uncertainties facing the Company, by assessing the Company’s risk matrix, whilst focusing on internal financial and reporting controls and monitoring the investment limits and restrictions set out in the Company’s investment objective and policy. The Board also regularly meets to discuss any emerging risks affecting the Company and to establish effective controls to manage them.

The below risks are all considered principal risks affecting the Company.

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 residual inflation concerns and growing macro-economic and geopolitical tensions, there is a chance that both the UK and Europe could yet go into a prolonged recessionary or very low growth period, therefore, risk premiums demanded by the market could rise if risk sentiment deteriorates and wider spreads could result in a lower mark-to-market valuation of the Company’s portfolio. To manage the risk, the AIFM reports on ABS valuation weekly checks, and Portfolio Manager provides visibility to alternative source. A third party valuer is used for some assets and to obtain the valuation of private investments.

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 impact to the security market price.

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 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 note 18 to the 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 £85.4m 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 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 Audit Committee Report.

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, 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

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.

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.

Board Diversity

When appointing new Directors and reviewing its composition, the Board considers, amongst other factors, diversity, balance of skills, knowledge, gender, social and ethnic background and experience. As at 31 March 2024, the Board is comprised of two female and three male Directors. The Company has no employees.

The Board believes it is fully compliant with Listing Rules LR 9.8.6R(9) and LR 14.3.33R(1) in relation to board diversity which are:

At least 40% of the Board are women (Currently 2 out of 5 Directors are female);
At least one senior position held by a woman (Bronwyn Curtis is currently Chair and Joanne Fintzen is the current Senior Independent Director); and
At least one individual on the Board to be from a minority ethnic background (please see table below).

Additional detail is set out in the table below:

Name	Gender	Ethnicity
Bronwyn Curtis	Female	White European
John de Garis	Male	White British
Joanne Fintzen	Female	British/European Indian
Paul Le Page	Male	White British
John Le Poidevin	Male	White British

Environmental, Social and Governance

The Board recognises the importance of ESG factors in the investment management and in wider society. The Company is a closed-ended investment company with a specific purpose and without employees or executive directors. Given the Company’s activities, its own direct carbon footprint is negligible.

Any business travel by Board members is minimal and the Company no longer provides printed copies of its annual and interim financial statements. The Company has entered into contractual arrangements with its primary third-party service providers, all of which provide attestation to the Company that they have appropriate ESG policies in place.

The sustainability risks that the Company may be subject to are likely to have an immaterial impact on the value of the Company’s investments in the medium to long term due to the mitigating nature of the Portfolio Manager’s ESG approach as detailed below.

The key governance processes of the Company are set out in the Directors’ Report.

It is therefore the view of the Board that the direct environmental and social impact of the Company is negligible and that ESG considerations are most important in respect of investment process for its portfolio.

The Company has appointed the Portfolio Manager to advise it in relation to all aspects relevant to the Investment Portfolio.

In keeping with the Board’s expectation that ESG factors be taken into account, the Portfolio Manager has a formal ESG framework which incorporates ESG factors into its investment process. The Portfolio Manager has an ESG Committee representing all areas of its business, reporting into its Executive Committee. The Portfolio Manager is a signatory to the UK Stewardship Code and the UN’s Principles for Responsible Investment, and has long-term commitments to industry level initiatives aimed at improving diversity in asset management.

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.

TwentyFour Asset Management LLP is a prominent investor in European ABS markets, and as one of the few that invests across the entire spectrum of asset types and ratings, the firm is a significant stakeholder in the market for the long term. The specialist structures and complexity associated with this asset class make ESG data gathering more challenging compared to more mainstream bond markets, but the Portfolio Manager has worked extensively with issuers on closing this data gap and have also extended their proprietary ESG scoring model to cover ABS-specific metrics. The Board and the Portfolio Manager believe this proprietary ESG work is unique in the European ABS space.

The Portfolio Manager is a member of the European Leverage Finance Association (“ELFA”), which develops industry guidelines and standards to promote transparency and establish industry best practices within the European leveraged finance and CLO markets. A number of its ABS portfolio management team are members of ELFA’s CLO Investor Committee, including as the current Co-Chair. The Portfolio Manager also helped develop and launch the ESG CLO questionnaire and have worked on the project aimed at improving ESG data reporting on CLOs. The Portfolio Manager is also a member of the Association for Financial Markets in Europe (“AFME”). AFME works to promote a robust, connected and competitive financial system in the EU, UK and globally. The Portfolio Manager contributed to the development of a sustainable framework for securitisations and helped build the AFME ESG Due Diligence questionnaire, covering different ESG aspects at transaction, originator and servicer level.

In addition to this ‘top-down’ engagement at the industry level, the Portfolio Manager is committed to extensive ‘bottom-up’ engagement on behalf of themselves and clients. The ongoing due diligence is key to understanding the evolution of risks in the markets invested in, rather than just in relation to evaluating a specific transaction. External ESG factors are related to the debt issuers of ABS transactions and are assessed through a combination of internal and third-party data. The analysis focuses on the following key areas:

Borrower/Transaction analysis:

• Review of due diligence material, rating agency publications

• Sponsor meetings/deal roadshows

• Modelling and stress testing

• Assessment of the issuer’s existing ESG/Corporate Social Responsibility policies and existing/potential impact on environment and society

Scoring:

• Collection of ESG data through engagement and company reports

• ESG assessment using a combination of third-party provider and proprietary tools

• European ABS is not currently covered by ESG data providers, making it important to establish robust proprietary scoring policy. Ongoing monitoring and engagement has been a core part of the Portfolio Manager’s credit process since the business was founded. The Portfolio Manager’s proprietary ESG database system is utilised to record scoring and ongoing engagement

Investment Decision:

• Integration of the ESG assessment into the transaction investment analysis

• ESG score recorded in the database and incorporated as a factor in relative value decision

• Review of the credit in Investment Committee

• Approved or Declined

Monitoring:

• Monitoring and updating of the ESG scores

• Analysis of additions/disposals from ESG perspective

• Monitoring of engagements

Further details of the ESG policies and practices of the Portfolio Manager can be found at:

https://www.twentyfouram.com/responsible-investment-policy

https://www.twentyfouram.com/corporate-social-responsibility

https://www.twentyfouram.com/esg-at-twentyfour-integration-and-engagement

Key Service Providers

The Board undertakes annual due diligence on, and ongoing monitoring of, all such Service Providers including obtaining a confirmation that each such Service Provider complies with relevant laws, regulations and good practice.

The Administrator is a wholly owned indirect subsidiary of Northern Trust Corporation, which has adopted the UN Global Compact principles, specifically: implementing a precautionary approach to addressing environmental issues through effective programs, undertaking initiatives that demonstrate the acknowledgement of environmental responsibility, promoting and using environmentally sustainable technologies, and UN Sustainable Development Goals, specifically: using only energy efficient appliances and light bulbs, avoiding unnecessary use and waste of water, implementing responsible consumption and production, and taking action to reduce climate change.

Engagement and Voting

Wherever possible, on behalf of its investors, the Company is committed to actively engaging at a corporate, industry and regulatory level. The Company has contracted the Portfolio Manager to perform this function. It is noted that the Investment Portfolio is comprised primarily of fixed income assets. The voting rights attributable to these types of securities are usually limited in scope, and the opportunity to engage at a corporate level shall therefore, in most cases, be via interaction with senior management of companies during the due diligence process.

The Portfolio Manager considers engagement as a constructive, active dialogue between investors and companies on all aspects of their ESG performance. While fixed income investors do not have voting rights in the way shareholders do, larger firms typically issue bonds multiple times a year, which puts bondholders in a strong position to be able to influence corporate policy by engaging with management on an ongoing basis.

The Portfolio Manager aims to engage regularly with the management of every issuer held in the Company’s portfolio, to better understand their ESG strengths and weaknesses, monitor their direction of travel, and overall encourage better ESG practices.

As part of the Portfolio Manager’s commitment to the UK Stewardship Code, it publishes a quarterly summary of engagements with bond issuers, along with details of any resulting investment decisions.

A copy of the Portfolio Manager’s Engagement Policy can be found at https://www.twentyfouram.com/engagement-at-twentyfour.

Under the AIC Code, in the event that 20% or more of the Shareholder votes are cast against a Board recommendation for a resolution, the Company should explain, when announcing the voting results, what actions it intends to take to consult Shareholders in order to understand the reasons behind the result and following such consultation, should provide a final summary to Shareholders and in the next annual report. There is nothing to report in respect of the Shareholder votes held in the year.

Position and Performance

PRIIPs KIDs

The Company has published a Key Information Document (“KID”) in compliance with the Packaged Retail and Insurance-based Investment Products (“PRIIPs”) Regulation. The KID can be found on the Company website at the web address below:

https://twentyfouram.com/funds/twentyfour-income-fund/fund-literature/

The process for calculating the risks, cost and potential returns are prescribed by regulation. The figures in the KID may not reflect the expected returns for the Company and anticipated returns cannot be guaranteed.

Key Performance Indicators (“KPIs”)

At each Board meeting, the Directors consider a number of performance measures to assess the Company’s success in achieving its objectives. Below are the main KPIs which have been identified by the Board for determining the progress of the Company:

Net Asset Value
Share Price
Earnings/(Loss) Per Ordinary Share
Discount/Premium to Net Asset Value
Ongoing Charges
Dividends Declared

Net Asset Value

The Net Asset Value (“NAV”) per Ordinary Share, including retained earnings, at 31 March 2024 was 108.79p, based on net assets as at this date of £813,539,986 divided by number of Ordinary Shares in issue of 747,836,661 (31 March 2023: 100.97p based on net assets of £724,982,762 divided by number of Ordinary Shares in issue of 718,036,661).

The NAV increase over the period has been driven by the strong performance of European ABS, with spreads tightening as base rates increased and stayed at higher levels, also meaning higher coupons for the Company’s portfolio holdings. Mezzanine RMBS and especially CLOs were the main beneficiaries of spread tightening, resulting in very strong performance for the year for the portfolio holdings. Performance was also driven by the accretive nature of the share issuance throughout the year and reinvestment of amortisations.

The total NAV performance for the year was 18.10%. Additionally, the Company has paid out all of its income as dividend (9.96p), with the resulting impact on the NAV.

Share Price

The Share Price is the price per Ordinary Share trading on the London Stock Exchange.

On 31 March 2024, the share price was 104.80p (31 March 2023: 100.50p).

Earnings/(loss) per Ordinary Share – Basic and Diluted

Earnings/(loss) per Ordinary Share is calculated by dividing the net earnings for the year of £134,014,165 (31 March 2023: net loss of £22,595,345) by the weighted average number of shares for the year of 745,285,022 (31 March 2023: 664,696,773). The net income for the year has been primarily driven by an increase in unrealised gains on investments. Market sentiment is discussed in further detail within the Chair’s statement.

For the year ended 31 March 2024, the earnings/(loss) per Ordinary Share was 18.25p (31 March 2023: 3.4p).

Discount/Premium to NAV

The discount/premium to NAV is a percentage difference in the share price per share to the net asset value per Ordinary Share. It is calculated by subtracting the share price from the NAV per Ordinary Share and dividing it by the NAV per Ordinary Share. If the share price is lower than the NAV per Ordinary Share, the shares are trading at a discount. If the share price is higher than the NAV per Ordinary Share, the shares are trading at a premium.

On 31 March 2024, the discount to NAV was 3.67% (31 March 2023: discount of 0.47%).

Ongoing Charges

Ongoing charges for the year ended 31 March 2024 have been calculated in accordance with the Association of Investment Companies (the “AIC”) recommended methodology. 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 year.

The ongoing charges for the year ended 31 March 2024 were 0.95% (31 March 2023: 0.97%). The ongoing charges were calculated as follows:

Ongoing Charges	31.03.2024 £	31.03.2023 £
Average NAV for the year (a)	763,780,078	670,955,356
Total expenses	7,306,049	6,828,728
Less: Expenses not recognised as part of the AIC Ongoing Charges Methodology	(47,305)	(287,931)
Total recognised expenses (b)	7,258,744	6,540,797
Ongoing Charges (b/a)	0.95%	0.97%

Dividends

Until 21 September 2022, the Company maintained an annual dividend of 6 pence, per Ordinary Share, per year in accordance with the Company’s prospectus. On 21 September 2022, the annual dividend increased to 7 pence, per Ordinary Share and on 24 February 2023, it increased further to 8 pence per Ordinary Share. If the minimum dividend target of 6p for the year is not met, a Continuation Vote is required.

The dividend yield for the year ended 31 March 2024 was 9.50% (31 March 2023: 9.41%) meaning that the Company met its dividend target for the current year. The following dividends were declared in respect of the year ended 31 March 2024:

Period to	Dividend rate per Ordinary Share (£)	Net dividend payable (£)	Ex-dividend date	Record date	Pay date
30 June 2023	0.0200	14,956,733	20 July 2023	21 July 2023	4 August 2023
30 September 2023	0.0200	14,956,733	19 October 2023	20 October 2023	3 November 2023
31 December 2023	0.0200	14,956,733	18 January 2024	19 January 2024	2 February 2024
31 March 2024	0.0396	29,614,332	18 April 2024	19 April 2024	3 May 2024

The Directors will continue to monitor the appropriateness of the dividend policy.

Viability Statement

Under the UK Corporate Governance Code, the Board is required to make a “Viability Statement” which considers the Company’s current position, principal risks, emerging risks and uncertainties combined with an assessment of the prospects of the Company in order to be able to state that they have a reasonable expectation that the Company will be able to continue in operation and that the business model is viable over the period of their assessment. The Board considers that three years is an appropriate period to assess the viability of the Company given the uncertainty of the investment world and the strategy period. In selecting this period, the Board considered the environment within which the Company operates and the risks associated with the Company.

The Company’s prospects are driven by its business model and strategy. The Company’s aim is to provide investors with an attractive level of income with a high degree of certainty around that income and a focus on capital preservation in uncertain times, by investing in less liquid, high yielding asset-backed securities.

The Board’s assessment of the Company over the three-year period has been made with reference to the Company’s current position and prospects, the Company’s strategy, and the Board’s risk appetite having considered each of the Company’s principal risks, emerging risks and uncertainties summarised above.

The Board has also considered the Company’s expected cash flows, income flows, its likely ability to pay dividends and analysis of the portfolio with reference to:

liquidity analysis, including but not limited to, the changes in liquidity of the Company over time based on the liquidity of the underlying assets;
foreign exchange analysis, including but not limited to, monitoring the effectiveness of the Company’s foreign exchange hedging strategy;
credit analysis, including but not limited to, analysing the current credit ratings and credit rating outlooks of the underlying securities by the main rating agencies, as well as sufficient diversification across sectors;
valuation analysis, including but not limited to, assessing the pricing accuracy of the underlying securities; and
significant accounting judgements, estimates and assumptions, including but not limited to, the fair value of securities not quoted in an active market, estimated life of asset-backed securities and determination of observable inputs.

In this context, the Board’s central case is that the prospects for economic activity will remain such that the investment objective, policy and strategy of the Company will be viable for the foreseeable future through a period of at least three years from the year ended 31 March 2024.

In making this judgement, the Board has assessed that the main risks to the viability of the Company are key global and market uncertainties driven by factors external to the Company which in turn can impact on the liquidity and NAV of the investment portfolio. A simulation has been designed to estimate the impact of these uncertainties on the NAV of the Company at times of stress, based on historical performance data, using techniques which analyse how changes in the Company’s ability to generate income (by assessing different levels of reinvestment rates available as well as changes in FX and interest income generation, over a 3-year period) would impact the annual dividend the Company is able to generate. All of the foregoing has been considered against the background of the Company’s dividend target.

Key assumptions covered by the Board in relation to the viability of the Company include:

Dividend Target

The ongoing viability of the Company and the validity of the going concern basis depend on the Company meeting its dividend target annually during the three-year period. In the event that the Company does not meet the dividend target annually, as disclosed in note 21, during the three-year period an Ordinary Resolution will be put to the Shareholders, at the AGM following any reporting period in which the minimum dividend target of 6p per year is not met, with the continuation vote requirements set out in note 18.

The Company’s ability to continue to meet its dividend target is further disclosed in the Chair’s Statement.

Realisation Opportunity

The next Realisation Opportunity is due to occur just after the AGM in Autumn 2025. The Board’s view is that should the share price remains at the current levels, relative to the NAV, they would not expect to see a major incentive to redeem.

Market Uncertainty

The year saw strong performance for most sectors held in the Company’s portfolio, as a result of a high rate environment and robust fundamental performance, helped by solid wage growth and a strong labour market.

Risk of Credit Losses

The risk of credit impairment and losses increased due to the risk of default, caused by higher levels of inflation and increasing global interest rates. The Portfolio Manager continues to stress test the holdings of the Company, under scenarios that specifically address the impact of these significant economic events on individual loan pools, and analyse the performance of the underlying investments.

The Portfolio Manager remains of the view that there is no material risk of credit issues on any holdings in the portfolio, and the price recovery seen since October 2022 support their view at the time that, relying on their stress modelling, the material price moves seen were largely attributable to market liquidity rather than concerns around credit performance.

Between 31 March 2024 and the date of signing, the Company’s portfolio witnessed no defaults and no deferrals of interest payments.

Section 172 Statement

Although the Company is domiciled in Guernsey, the Board has considered the guidance set out in the AIC Code in relation to Section 172 of the Companies Act 2006 in the UK. Section 172 of the Companies Act requires that the Directors of the Company act in the way they consider, in good faith, is most likely to promote the success of the Company for the benefit of all stakeholders, including suppliers, customers and Shareholders.

Further information as to how the Board has had regard to the Section 172 factors:

Section 172 factors	Key examples	Locations
Consequences of decisions in the long term	Investment Objectives and Policy	Summary Information
	Future Prospects	Strategic Report
	Dividend Policy	Note 21
	Viability Statement	Strategic Report

Fostering business relationships with suppliers, customers and other stakeholders	Shareholders; Key Service Providers	Strategic Report; AGM; Monthly Factsheet and Commentary
Impact of operations on the community and the	Environmental, Social and Governance	Strategic Report
environment

Maintaining high standard of business conduct	Corporate Governance	Directors' Report

Signed on behalf of the Board of Directors on 10 July 2024 by:

Bronwyn Curtis John Le Poidevin

Director Director

DIRECTORS’ REPORT

The Directors present their Annual Report and Audited Financial Statements (the “Financial Statements”) for the year ended 31 March 2024.

Business Review

The Company

TwentyFour Income Fund Limited was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Ordinary Shares of the Company were listed with a Premium Listing 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.

Investment Objective and Policy

The Company’s investment objective and policy is set out in the Summary Information.

Discount/Premium to NAV

The Board monitors and manages the level of the share price discount/premium to NAV. In managing this, the Company operates a share buyback facility whereby it may purchase, subject to various terms as set out in its Articles and in accordance with The Companies (Guernsey) Law, 2008, up to 14.99% of the Company’s Ordinary Shares in issue immediately following Admission for trading on the London Stock Exchange.

On 22 August 2022, a realisation opportunity (“Realisation Opportunity”) was made under which investors were offered an opportunity to realise all or part of their Shareholding in the Company, with Shareholders opting to redeem 9,582,068 Ordinary Shares for a consideration of £8,814,544.

A Realisation Opportunity, where Shareholders of the Company may apply to redeem Ordinary Shares up to 56 days before the relevant annual general meeting date of the Company (the “Reorganisation Date”), will be offered at the annual general meeting of the Company every three years subject to the aggregate NAV of the Ordinary Shares held by shareholders who do not submit realisation elections in respect of those Ordinary Shares (“Continuing Ordinary Shares”) on the last Business Day before Reorganisation being not less than £100 million.

The next Realisation Opportunity is due to take place in Autumn 2025.

Shareholder Information

Shareholder information is set out in the Summary Information.

Going Concern

The Directors believe that it is appropriate to adopt the going concern basis in preparing the 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 Financial Statements.

The Company also achieved and exceeded its dividend target of 6 pence per Ordinary Share per year, for the year ended 31 March 2024, meaning that as per the Company’s Articles, a Continuation Vote is not required.

The Company’s continuing ability to meet its dividend target, along with the Company’s ability to continue as a going concern, in light of 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 has been considered as part of the Viability Statement.

On 31 March 2024, the Company’s cash balance was 1.62% of total net assets (2023: 3.76%).

Post-year end, the Company has maintained a positive cash balance and continues to meet liabilities when they fall due. The Portfolio Manager considers that cash management plays a key part in the management of the Company and continuingly monitors liabilities, including the Company’s quarterly dividends.

No material doubts in respect of the Company’s ability to continue as a going concern have been identified.

Results

The results for the year are set out in the Statement of Comprehensive Income. The Directors declared dividends of £74,484,531 in respect of income available for distribution earned during the year ended 31 March 2024, a breakdown of which can be found in note 21 of the Notes to the Financial Statements. Dividends paid during the year amounted to £77,354,015 as recognised in the Statement of Changes in Equity.

Income available for distribution in any quarter comprises (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 Ordinary Share subscriptions that took place during the period (so as to ensure 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 risk-free rate differentials between each foreign currency pair, less (d) total expenditure for the period.

Portfolio Manager

The Company entered into a Portfolio Management Agreement with TwentyFour Asset Management LLP, the Portfolio Manager, on 29 May 2014. Pursuant to this agreement, the Portfolio Manager is entitled to a portfolio management fee paid monthly in arrears, at a rate of 0.75% per annum of the lower of NAV, which is calculated as of the last business day of each month, or market capitalisation of each class of shares. For additional information, refer to note 15 of the Notes to the Financial Statements.

The Board, through its Management Engagement Committee, has reviewed the performance of the Portfolio Manager and their fee basis and has concluded that it is in the interests of Shareholders and the Company that the appointment of the Portfolio Manager should continue in order to best achieve the Company's investment objectives.

Alternative Investment Fund Manager

Alternative investment fund management services have been provided by Apex Fundrock Limited (previously called Maitland Institutional Services Limited) (“Apex”) since their appointment as Alternative Investment Fund Manager (“AIFM”) on 29 May 2014. On 9 January 2024, the Board approved the appointment of Waystone Management Company (IE) Limited as the new AIFM of the Company, which took effect post year end from 21 June 2024. The AIFM fee is 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. For additional information, refer to note 16 of the Notes to the Financial Statements.

Custodian and Depositary

Custodian and Depositary services are provided by Northern Trust (Guernsey) Limited. The terms of the Depositary agreement, allow Northern Trust (Guernsey) Limited to receive professional fees for services rendered. For additional information, refer to note 16 of the Notes to the Financial Statements.

Directors

The Directors of the Company during the year and at the date of this Report are set out in the Corporate Information.

As at 31 March 2024, Directors of the Company held the following numbers of Ordinary Shares beneficially:

	Number of Ordinary Shares	Number of Ordinary Shares
	31.03.24	31.03.23
Bronwyn Curtis¹	114,154	105,313
John Le Poidevin	260,121	260,121
Richard Burwood²	N/A	87,186
John de Garis	39,753	39,753
Joanne Fintzen³	38,538	38,538
Paul Le Page	49,457	49,457

¹ Bronwyn Curtis acquired 8,841 Ordinary Shares through reinvested dividends.

² Richard Burwood retired from the Board on 14 September 2023, therefore his shareholding as at 31 March 2024 has not been disclosed.

³ Joanne Fintzen purchased 47,722 Ordinary Shares on 5 April 2024, increasing her shareholding post year end to 86,260 Ordinary Shares.

Corporate Governance

The Board is committed to high standards of corporate governance and has implemented a framework for corporate governance which it considers to be appropriate for an investment company in order to comply with the principles of the UK Corporate Governance Code (the “UK Code”). The Company is also required to comply with the Code of Corporate Governance (the “GFSC Code”) issued by the Guernsey Financial Services Commission.

The UK Listing Authority requires all UK premium listed companies to disclose how they have complied with the provisions of the UK Code. This Corporate Governance Statement, together with the Going Concern Statement, Viability Statement and the Statement of Directors’ Responsibilities indicate how the Company has complied with the principles of good governance of the UK Code and its requirements on Internal Control.

The Company is a member of the AIC and by complying with the 2019 AIC Code of Corporate Governance (“the AIC Code”) is deemed to comply with both the UK Code and the GFSC Code.

The Board has considered the principles and recommendations of the AIC Code and considers that reporting against these will provide appropriate information to Shareholders. To ensure ongoing compliance with these principles, the Board reviews a report from the Corporate Secretary at each quarterly meeting, identifying how the Company is in compliance and identifying any changes that might be necessary.

The AIC Code and the AIC Guide are available on the AIC’s website, www.theaic.co.uk. The UK Code is available in the Financial Reporting Council’s website, www.frc.org.uk.

Throughout the year ended 31 March 2024, the Company has complied with the recommendations of the 2019 AIC Code and thus the relevant provisions of the UK Code, except as set out below.

The UK Code includes provisions relating to:

The role of the Chief Executive;
Executive Directors’ remuneration;
Annually assessing the need for an internal audit function; and
The means for the workforce to raise concerns.

For the reasons set out in the AIC Guide, the Board considers the first three provisions are not relevant to the position of the Company as it is an externally managed investment company. The Company has therefore not reported further in respect of these provisions.

The fourth point is not applicable to the Company, as it has no employees.

The Board established a Remuneration and Nomination Committee, which held its first meeting on 14 March 2023. Prior to that date, the Board, as a whole, fulfilled the function of a Remuneration and Nomination Committee.

Details of compliance with the AIC Code are noted below. There have been no other instances of non-compliance, other than those noted above.

The Company’s risk exposure and the effectiveness of its risk management and internal control systems are reviewed by the Audit Committee at its meetings and at least annually by the Board. The Board believes that the Company has adequate and effective systems in place to identify, mitigate and manage the risks to which it is exposed.

Role, Composition and Independence of the Board

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

statutory obligations and public disclosure;
strategic matters and financial reporting;
risk assessment and management including reporting compliance, governance,

monitoring and control; and

other matters having a material effect on the Company.

The Board’s responsibilities for the Annual Report and Audited Financial Statements are set out in the Statement of Directors’ Responsibilities.

The Board currently consists of five non-executive Directors, all of whom are considered to be independent of the Portfolio Manager and as prescribed by the Listing Rules.

The Board considers it has the appropriate balance of diverse skills and experience, independence and knowledge of the Company and the wider sector, to enable it to discharge its duties and responsibilities effectively and that no individual or group of individuals dominates decision making. The Chair is responsible for leadership of the Board and ensuring its effectiveness. Joanne Fintzen serves as Senior Independent Director.

Chair

The Chair is Bronwyn Curtis. The Chair of the Board must be independent for the purposes of Chapter 15 of the Listing Rules. Bronwyn Curtis is considered independent because she:

has no current or historical employment with the Portfolio Manager; and
has no current directorships in any other investment funds managed by the Portfolio Manager.

Biographies of all the Directors can be found in the Board Members section.

Board Role and Composition

The Board is required to ensure that the Annual Report and Audited Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company’s position and performance, business model and strategy. In seeking to achieve this, the Directors have set out the Company’s investment objective and policy and have explained how the Board and its delegated Committees operate, and how the Directors review the risk environment within which the Company operates and set appropriate risk controls. Furthermore, throughout the Annual Report and Audited Financial Statements the Board has sought to provide further information to enable Shareholders to have a fair, balanced and understandable view.

The Board has contractually delegated responsibility for the management of its investment portfolio, the arrangement of custodial and depositary services and the provision of accounting and company secretarial services.

The Board is responsible for the appointment and monitoring of all service providers to the Company.

The Directors are kept fully informed of investment and financial controls and other matters by all services providers that are relevant to the business of the Company and should be brought to the attention of the Directors.

The Board has adopted a policy on the tenure of its independent Directors that aligns with the AIC Code of Corporate Governance (“the Code”) that none of the Directors, including the Chair of the Board should generally serve for more than 9 years, even though the Board considers that boards of investment companies are more likely to benefit from a director’s long association with a company in that they will experience a number of investment cycles. At the 2023 AGM, Richard Burwood, who had been appointed as Director on the incorporation of the Company retired.

The Board has also given careful consideration to the recommendations of the Davies Review and their implementation. The Board has reviewed its composition and believes that the current Board mix, allied to its recruitment plans, provide an appropriate range of skills, experience and diversity. The Board is committed to continuing its implementation of the recommendations of the Davies Review as part of its succession planning over future years and by complying with the disclosure requirement of DTR 7.2.8 in terms of the Company’s diversity policy.

The Board holds quarterly Board meetings, to discuss general management, structure, finance, corporate governance, marketing, risk management, compliance, asset allocation and gearing, contracts and performance. The quarterly Board meetings are the principal source of regular information for the Board enabling it to determine policy and to monitor performance, compliance and controls but these meetings are also supplemented by communication and discussions throughout the year.

A representative of the Portfolio Manager, AIFM, Administrator, Custodian and Depositary and Corporate Broker attend each Board meeting either in person or by telephone, thus enabling the Board to fully discuss and review the Company’s operation and performance. Each Director has direct access to the Portfolio Manager and Company Secretary and may, at the expense of the Company, seek independent professional advice on any matter.

The Audit Committee meets at least twice a year, the Management Engagement Committee meets at least once a year and a dividend meeting is held quarterly. In addition, ad hoc meetings of the Board to review specific items between the regular scheduled quarterly meetings can be arranged.

Between formal meetings, there is regular contact with the Portfolio Manager, AIFM, Administrator, Custodian and Depositary and the Corporate Broker.

Attendance at the Board and Committee meetings during the year was as follows:

	Quarterly Board Meetings		Audit Committee Meetings		Management Engagement Committee Meetings		Remuneration and Nomination Committee		Ad hoc Committee Meetings
	Held	Attended	Held	Attended	Held	Attended	Held	Attended	Held	Attended
Bronwyn Curtis	4	4	3	3	1	1	1	1	7	4
John Le Poidevin	4	4	3	3	1	1	1	1	7	5
Richard Burwood	2	2	1	1	1	1	-	-	3	3
John de Garis	4	4	3	3	1	1	1	1	7	6
Joanne Fintzen	4	4	3	3	1	1	1	1	7	4
Paul Le Page	4	4	3	3	1	1	1	1	7	7

The number of meetings held indicates the meetings held during each Director’s membership of the relevant Board or Committee during the year ended 31 March 2024.

In addition to the scheduled Board and Committee meetings, seven ad hoc Committee of the Board meetings were held during the year, which were attended by those Directors available at the time.

Board Performance and Training

During the year, the Remuneration and Nomination Committee carried out a review of the Board’s performance. This followed the external review by Trust Associates Limited in the prior year. This review by the Remuneration & Nomination Committee, determined the Board’s approach to corporate governance and its supervision of its regulatory compliance continued to be good and considered the Board to be effective with independent thought and action with the right balance of skills and experience necessary for its proper functioning and the safeguarding of Shareholders’ interests.

Re-Election of Directors

Under the terms of their appointment, each Director is required to seek re-election on an annual basis. At the 14 September 2023 Annual General Meeting, all continuing Directors were re-elected with the exception of Richard Burwood who retired from the Board on this date. The Company may terminate the appointment of a Director without compensation immediately on serving written notice.

UK Criminal Finances Act 2017

In respect of the UK Criminal Finances Act 2017 which introduced a new Corporate Criminal Offence of ‘failing to take reasonable steps to prevent the facilitation of tax evasion’, the Board confirms that it is committed to zero tolerance towards the criminal facilitation of tax evasion.

The Board also keeps under review developments involving other social and environmental issues, such as the General Data Protection Regulation (“GDPR”), which came into effect on 25 May 2018, and Modern Slavery, and reports on those to the extent they are considered relevant to the Company’s operations. There are no findings to report at year end.

Board Committees and their Activities

Terms of Reference

All Terms of Reference of the Board’s Committees are available from the Administrator upon request.

Management Engagement Committee

The Board has established a Management Engagement Committee which meets at least once a year and comprises the entire Board, with Richard Burwood serving as Chair until he retired from the Board on 14 September 2023 and was succeeded by Paul Le Page. Its formal duties and responsibilities include the regular review of the performance of and contractual arrangements with the Portfolio Manager and other service providers and the preparation of the Committee's annual opinion as to the Portfolio Manager's services.

The Management Engagement Committee carried out a review of the performance and capabilities of the Portfolio Manager and other service providers at its 14 September 2023 meeting and recommended the continued appointment of TwentyFour Asset Management LLP as Portfolio Manager is in the interest of Shareholders. The Management Engagement Committee also recommended that the appointment of all the Company’s current service providers should continue, with the exception of the AIFM position which was recommended for tender. Subsequent to year end, the Committee recommended the appointment of Waystone Management Company (IE) Limited as the new AIFM.

Audit Committee

The Audit Committee comprises the entire Board, with the exception of the Chair of the Board, with John Le Poidevin acting as Chair. The terms of reference of the Audit Committee provide that the Committee shall be responsible, amongst other things, for reviewing the annual and interim financial statements, considering the appointment and independence of the external auditor, discussing with the external auditor the scope and results from the audit and reviewing the Company’s compliance with the AIC Code.

Further details on the Audit Committee can be found in the Audit Committee Report.

Remuneration and Nomination Committee

The Remuneration and Nomination Committee has been established consisting of all Directors. John de Garis has served as chair since its establishment in the financial year ended 31 March 2023.

The Remuneration and Nomination Committee met on 14 March 2024, where, following a review of external market data, the Committee recommended the following Directors’ fee increases with effect from 1 April 2024: Chair, increase from £60,000 to £75,000 per annum; Audit Chair, increase from £50,000 to £60,000 per annum; Committee Chair, increase from £42,000 to £50,000 per annum; Senior Independent Director, increase from £42,000 to £50,000 per annum; and that all other Directors’ fees increase from £40,000 to £48,000 per annum.

International Tax Reporting

For purposes of the US Foreign Account Tax Compliance Act, the Company registered with the US Internal Revenue Service (“IRS”) as a Guernsey reporting Foreign Financial Institution (“FFI”), received a Global Intermediary Identification Number (8V9U53.99999.SL.831), and can be found on the IRS FFI list.

The Common Reporting Standard (“CRS”) is a global standard developed for the automatic exchange of financial account information developed by the Organisation for Economic Co-operation and Development (“OECD”), which has been adopted in Guernsey and which came into effect on 1 January 2016.

The Board ensures that the Company is compliant with Guernsey regulations and guidance in this regard.

Internal Controls

In accordance with the AIC Code, the Board is ultimately responsible for establishing and maintaining the Company’s system of internal financial and operating control and for maintaining and reviewing its effectiveness throughout the year. The Company’s risk matrix remains the core element of the Company’s risk management process in establishing the Company’s system of internal financial and reporting control. The risk matrix is prepared by the Board, identifying the risks facing the Company and then collectively assessing the likelihood and impact of each risk and the strength of the controls operating over each risk. The system of internal financial and operating control is designed to manage rather than to eliminate the risk of failure to achieve business objectives, safeguard Company assets and maintain reliable financial information and by its nature can only provide reasonable and not absolute assurance against misstatement and loss.

The AIC Code requires Directors to conduct at least annually a review of the Company’s system of internal financial and operating control, covering all controls, including financial, operational, compliance and risk management. The Board has evaluated the systems of internal controls of the Company. In particular, it has prepared a process for identifying and evaluating the significant risks affecting the Company and the policies by which these risks are managed. The Board also considers whether the appointment of an internal auditor is required and has determined that there is no requirement for a direct internal audit function at this time.

The Board has delegated the day-to-day responsibilities for the management of the Company’s investment portfolio, the provision of depositary services and administration, registrar and corporate secretarial functions including the independent calculation of the Company’s NAV and the production of the Annual Report and Financial Statements which are independently audited.

Formal contractual agreements have been put in place between the Company and service providers. Even though the Board has delegated responsibility for these functions, it retains accountability for these functions and is responsible for the systems of internal control. At each quarterly Board meeting, compliance reports are provided by the Administrator, Company Secretary, Portfolio Manager, AIFM and Depositary. The Board also receives confirmation from the Administrator of its accreditation under its Service Organisation Controls 1 report.

Shareholder Engagement

The Board welcomes Shareholders’ views and places great importance on communication with its Shareholders. Shareholders wishing to meet the Chair and other Board members should contact the Company’s Administrator and a number of such meetings occurred during the year.

The Portfolio Manager and Broker maintain a regular dialogue with institutional Shareholders, the feedback from which is reported to the Board.

The Company’s Annual General Meeting (“AGM”) provides a forum for Shareholders to meet and discuss issues of the Company and Shareholders with the opportunity to vote on the resolutions as specified in the Notice of AGM. The Notice of the AGM and the results are released to the London Stock Exchange in the form of an announcement. Board members will be available to respond to Shareholders’ questions at the AGM.

In addition, the Company has a website, www.twentyfourincomefund.com, which contains comprehensive information, including links to regulatory announcements, share price information, financial reports, investment objective and investor contacts.

Significant Shareholdings

Shareholders with holdings of more than 3.0% of the Ordinary Shares of the Company at 13 June 2024 (latest available) were as follows:

	Number of Ordinary Shares	Percentage of issued share capital
Investec Wealth & Investment	80,714,776	10.79%
TwentyFour Asset Management	37,660,875	5.04%
RBC Brewin Dolphin	33,309,666	4.45%
Hargreaves Lansdown Asset Management	33,144,159	4.43%
Aviva Investment	27,042,074	3.62%
East Riding of Yorkshire Council	26,062,776	3.49%
Killik & Co	25,531,401	3.41%
Interactive Investor (EO)	24,835,602	3.32%

Those invested directly or indirectly in 3.0% or more of the issued share capital of the Company will have the same voting rights as other holders of Ordinary Shares.

Disclosure of Information to Auditor

The Directors who held office at the date of approval of these Financial Statements confirm that, so far as they are each aware, there is no relevant audit information of which the Company’s auditor is unaware; and each Director has taken all the steps that they ought to have taken as a Director to make themselves aware of any relevant audit information and to establish that the Company’s auditor is aware of that information.

Independent Auditor

A resolution for the reappointment of KPMG Channel Islands Limited (“KPMG”) as auditor to the Company will be proposed at the annual general meeting. KPMG has indicated their willingness to continue in office.

Signed on behalf of the Board of Directors on 10 July 2024 by:

Bronwyn Curtis John Le Poidevin

Director Director

STATEMENT OF DIRECTORS’ RESPONSIBILITIES

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

Guernsey company law requires the Directors to prepare financial statements for each financial year. Under that law, they have elected to prepare the financial statements in accordance with International Financial Reporting Standards (“IFRS”) and applicable law.

The Financial Statements are required by law to give a true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that period.

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

- select suitable accounting policies and then apply them consistently;

- make judgements and estimates that are reasonable and prudent;

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

- prepare the Financial Statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors confirm that they have complied with these requirements in preparing the financial statements.

The Directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the financial statements have been properly prepared in accordance with The Companies (Guernsey) Law, 2008. They are responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and other irregularities.

The Directors are responsible for the oversight of the maintenance and integrity of the corporate and financial information in relation to the Company website; the work carried out by the auditor does not involve consideration of these matters and, accordingly, the auditor accepts no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website.

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

The Directors confirm that to the best of their knowledge:

(a) The Financial Statements have been prepared in accordance with IFRS and give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company as at and for the year ended 31 March 2024; and

(b) The Annual Report includes information detailed in the Corporate Information, Summary Information, Chair’s Statement, Portfolio Manager’s Report, Top Twenty Holdings, Board Members, Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges, Strategic Report, Directors’ Report, Statement of Directors’ Responsibilities, Directors’ Remuneration Report, Audit Committee Report, Alternative Investment Fund Manager’s Report and Depositary Statement and provides a fair review of the information required by:

(i) DTR 4.1.8 and DTR 4.1.9 of the Disclosure and Transparency Rules, being a fair review of the Company business and a description of the principal risks and uncertainties facing the Company; and

(ii) DTR 4.1.11 of the Disclosure and Transparency Rules, being an indication of important events that have occurred since the end of the financial year and the likely future development of the Company.

In the opinion of the Board, the Financial Statements taken as a whole, are fair, balanced and understandable and provide the information necessary to assess the Company’s performance, business model and strategy.

By order of the Board

Bronwyn Curtis John Le Poidevin

Director Director

10 July 2024

DIRECTORS’ REMUNERATION REPORT

The Directors' Remuneration Report has been prepared on behalf of the Directors in accordance with the UK Code as issued by the UK Listing Authority. An ordinary resolution for the approval of the annual remuneration report will be put to the Shareholders at the AGM to be held on 12 September 2024.

Remuneration Policy

The Company's policy in regard to Directors' remuneration is to ensure that the Company maintains a competitive fee structure in order to recruit, retain and motivate non-executive Directors of excellent quality in the overall interests of Shareholders.

It is the responsibility of the Remuneration and Nomination Committee to determine and approve the Directors' fees, who will have given the matter proper consideration, having regard to the level of fees payable to non-executive Directors in the industry generally, the role that individual Directors fulfil in respect of Board and Committee responsibilities and the time committed to the Company's affairs. The Chair's remuneration is decided and approved separately by the Board as a whole.

No element of the Directors' remuneration is performance related, nor does any Director have any entitlement to pensions, share options or any long-term incentive plans from the Company.

Remuneration

The Directors of the Company are remunerated for their services at such a rate as the Directors determine, provided that aggregate amount of such fees does not exceed £400,000 per annum.

Directors are remunerated in the form of fees, payable quarterly in arrears, to the Director personally. No Directors have been paid additional remuneration outside the normal Directors’ fees and expenses.

In the year ended 31 March 2024, the Directors received the following annual remuneration in the form of Directors’ fees:

	Total fees (£)
Bronwyn Curtis	60,000
John Le Poidevin	50,000
Richard Burwood¹	19,217
John de Garis	42,000
Joanne Fintzen	42,000
Paul Le Page²	41,087
	254,304

¹ Richard Burwood resigned from the Board and as Chair of the Management Engagement Committee on 14 September 2023.

² Paul Le Page was appointed as Chair of the Management Engagement Committee on 14 September 2023.

During the year, the annual fees were £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 Remuneration and Nomination Committee and the Chair of the Management Engagement Committee, and £40,000 for all other Directors.

Effective 1 April 2024, the annual fees were increased to £75,000 for the Chair of the Board, £60,000 for the Audit Committee Chair, £50,000 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and Chair of the Management Engagement Committee, and £48,000 for all other Directors.

Directors' and Officers’ liability insurance cover is maintained by the Company on behalf of the Directors.

The Directors were appointed as non-executive Directors by letters of appointment. Each Director’s appointment letter provides that, upon the termination of his/her appointment, he/she must resign in writing and all records remain the property of the Company. The Directors’ appointments can be terminated in accordance with the Articles and without compensation. There is no notice period specified in the Articles for the removal of Directors. The Articles provide that the office of Director shall be terminated by, among other things: (a) written resignation; (b) unauthorised absences from Board meetings for six months or more; (c) unanimous written request of the other directors; and (d) an ordinary resolution of the Company.

Under the terms of their appointment, each Director is required to seek re-election on an annual basis. At the 14 September 2023 Annual General Meeting, all Directors were re-elected to the Board, except Richard Burwood, who retired. The Company may terminate the appointment of a Director immediately on serving written notice and no compensation is payable upon termination of office as a director of the Company becoming effective.

The amounts payable to Directors shown in note 15 were for services as non-executive Directors.

No Director has a service contract with the Company, nor are any such contracts proposed.

Signed on behalf of the Board of Directors on 10 July 2024 by:

John de Garis Bronwyn Curtis

Chair, Remuneration and Nomination Committee Director

AUDIT COMMITTEE REPORT

Below, we present the Audit Committee's Report, setting out the responsibilities of the Audit Committee and its key activities for the year ended 31 March 2024.

The Audit Committee has continued its scrutiny of the appropriateness of the Company’s system of risk management and internal controls, the robustness and integrity of the Company’s financial reporting, and the external audit process. The Committee has devoted time to ensuring that the internal financial and operating controls and processes have been properly established, documented and implemented.

During the course of the year, the information that the Audit Committee has received has been timely and clear and has enabled the Audit Committee to discharge its duties effectively.

The Audit Committee operates within the principles of the UK Code and the best practice recommendations of other corporate governance organisations such as the AIC, and believes that reporting against the revised AIC Code allows the Audit Committee to further strengthen its role as a key independent oversight Committee.

Role and Responsibilities

The primary function of the Audit Committee is to assist the Board in fulfilling its oversight responsibilities. This includes reviewing the financial reports and other financial information and any significant financial judgement contained therein, before publication.

In addition, the Audit Committee reviews the systems of internal financial and operating controls on a continuing basis that the Administrator, Portfolio Manager, AIFM, and Custodian Depositary and the Board have established with respect to accounting, risk management, compliance, fraud and audit seeking reasonable assurance that such systems meet relevant legal and regulatory requirements. The Audit Committee also reviews the accounting and financial reporting processes, along with reviewing the role, independence and effectiveness of the external auditor.

The ultimate responsibility for reviewing and approving the Annual and Interim Financial Statements remains with the Board.

The Audit Committee's full terms of reference can be obtained by contacting the Company's Administrator.

Risk Management and Internal Control

The Board, as a whole, considers the nature and extent of the Company’s risk management framework and the risk profile that is acceptable in order to achieve the Company’s strategic objectives. As a result, it is considered that the Board has fulfilled its obligations under the AIC Code.

The Audit Committee continues to be responsible for reviewing the adequacy and effectiveness of the Company’s ongoing risk management systems and processes. The Company’s system of internal controls, along with its design and operating effectiveness, is subject to review by the Audit Committee through reports received from the Portfolio Manager, AIFM and Custodian and Depositary, along with those from the Administrator and external auditor.

Fraud, Bribery and Corruption

The Audit Committee, in conjunction with the Management Engagement Committee, have relied on the overarching requirement placed on service providers under the relevant agreements to comply with applicable law, including anti-bribery laws. A review of service provider policies took place at the Management Engagement Committee Meeting, held on 14 September 2023. The Board receives regular confirmation from all Service Providers that there has been no fraud, bribery or corruption.

Financial Reporting and Significant Financial Issues

The Audit Committee assesses whether suitable accounting policies have been adopted and whether the Portfolio Manager has made appropriate estimates and judgements. The Audit Committee reviews accounting papers prepared by the Portfolio Manager and Administrator which provide details on the main financial reporting judgements.

The Audit Committee also reviews reports by the external auditor which highlight any issues with respect to the work undertaken on the audit.

During the year, the Financial Reporting Council ("FRC") reviewed the Company's Annual Report and Audited Financial Statements for the year ended 31 March 2023 and, on the basis of their review, have raised no questions or queries thereon at present. They did note, however, that disclosures in relation to the description of the fair value techniques used to determine the fair values for some of the Level 3 investments could be improved and we have made additional disclosure thereon in note 19 of the Notes to the Financial Statements.

The FRC notes that its review does not provide assurance that the Annual Report and Audited Financial Statements are correct in all material respects and that its role is not to verify the information provided but to consider compliance with reporting requirements.

The significant issues considered during the year by the Audit Committee in relation to the Financial Statements and how they were addressed are detailed below:

(i) Valuation of investments:

The Company’s investments had a fair value of £813,356,415 as at 31 March 2024 (31 March 2023: £739,385,970), which represents a substantial portion of the net assets of the Company. As such, this is the largest factor in relation to the consideration of the Financial Statements. These investments are valued in accordance with the accounting policies set out in note 2 to the Financial Statements. Through regular reporting during the year by the Portfolio Manager, AIFM, Administrator, Custodian and Depositary, the Audit Committee received information on the sources of price information and robustness and reliability of the valuation process, as part of its consideration as to the reasonableness of the valuation of the investments held by the Company as at 31 March 2024.

(ii) Income recognition:

The Audit Committee considered the calculation of income from investments recorded in the Financial Statements as at 31 March 2024. As disclosed in note 3(ii)(b) of the Notes to the Financial Statements, the estimated life of ABS is determined by the Portfolio Manager, impacting the effective interest rate of the ABS which in turn impacts the calculation of income from investments. The Audit Committee reviewed the Portfolio Manager's process for determining the expected life of the Company's investments and found it to be reasonable based on the explanations provided and information obtained from the Portfolio Manager.

Following a review of the presentations and reports from the Portfolio Manager and Administrator and consulting where necessary with the external auditor, the Audit Committee considers that the Financial Statements appropriately address the critical judgements and key estimates (both in respect to the amounts reported and the disclosures). The Audit Committee has also appropriately scrutinised the significant assumptions used for determining the value of assets and liabilities and, having reviewed the content of the Annual Report and Financial Statements, has recommended them to the Board on the basis that, taken as a whole, they are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company’s position and performance, business model and strategy.

At the request of the Audit Committee, the Administrator confirmed that it was not aware of any material misstatements including matters relating to Financial Statement presentation. At the Audit Committee meeting to review the Annual Report and Audited Financial Statements, the Audit Committee received and reviewed a report on the audit from the external auditor. On the basis of its review of this report, the Audit Committee is satisfied that the external auditor has fulfilled its responsibilities with diligence and professional scepticism.

Going Concern

The going concern basis can be found in the Directors’ Report.

External Auditor

The Audit Committee has primary responsibility for the effectiveness of the external audit process and for making recommendations to the Board on the appointment, independence, reappointment or removal of the external auditor and the planning, scope, quality of performance and cost effectiveness of the external audit process. The Audit Committee reviews and approves the external audit plan in advance of the audit and ensures throughout the year that any non-audit services proposed to be performed by the external auditor are in accordance with the Company’s policy on the provision of non-audit services. The Company’s non-audit services policy is set out in full in the Audit Committee’s terms of reference. The external audit plan includes an analysis of the key audit risks and calculations of audit materiality which the Audit Committee considers in forming its assessment of key risks to the Audit Company’s financial statements.

To assess the effectiveness of the external audit, members of the Audit Committee work closely with the Portfolio Manager and the Administrator to obtain a good understanding of the progress and efficiency of the audit. In particular, the Audit Committee reviews the following areas:

• the quality of the audit engagement partner and the audit team;

• the expertise of the audit firm and the resources available to it;

• identification of areas of audit risk;

• planning, scope and execution of the audit;

• consideration of the appropriateness of the level of audit materiality adopted;

• the role of the Audit Committee, the Administrator, the Portfolio Manager and third-party service providers in an effective audit process;

• communications by the Auditor with the Audit Committee; and

• how the Auditor supports the work of the Audit Committee and how the audit contributes added value.

Feedback in relation to the audit process and the effectiveness of the Portfolio Manager and Administrator in performing their roles is also sought from relevant parties, notably the audit partner and team. The Auditor attends Audit Committee meetings on at least two occasions at which they have the opportunity to meet with the Audit Committee without representatives of the Portfolio Manager or Administrator being present. The effectiveness of the Board, the Administrator and the Portfolio Manager in the external audit process is assessed principally in relation to the timely identification and resolution of any process errors or control breaches that might impact the Company’s net asset values and accounting records. It is also assessed by reference to how successfully any issues in respect of areas of accounting judgement are identified and resolved, the quality and timeliness of papers analysing these judgements, the Administrator’s approach to the value of independent audit and the booking of any audit adjustments arising, and the timely provision of draft public documents for review by the Auditor and the Audit Committee.

During the year, the Audit Committee performed its annual review of the independence, effectiveness and objectivity of the external auditor, in accordance with the FRC’s Revised Ethical Standard, 2019.

On a semi-annual basis, the auditor reports the independence of its relationship with the Company and reports to the Audit Committee. As part of this review, the Audit Committee also receives information about policies and processes for maintaining independence and monitoring compliance with relevant requirements from the Company’s Auditor, including information on the rotation of audit partners and staff, the level of fees that the Company pays in proportion to the overall fee income of the firm, and the level of related fees, details of any relationships between the audit firm and its staff and the Company as well as an overall confirmation from the Auditor of its independence and objectivity.

The Company does not utilise the external auditor for internal audit purposes, secondments or valuation advice. Other services which do not compromise auditor independence must be pre-approved by the Audit Committee.

The following tables summarise the remuneration paid to KPMG and other KPMG member firms for audit and non-audit services during the year ended 31 March 2024. For the year ended 31 March 2023, remuneration was made to Pricewaterhouse Coopers CI LLP (“PwC”) and its member firms for these services.

	01.04.23 to 31.03.24		01.04.22 to 31.03.23
KPMG Channel Islands Limited - Assurance work		£		£
- Annual audit (2023: PwC)	156,000		141,050
- Interim review (2023: PwC)	35,000		37,850

Ratio of audit to non-audit work	1 : 0.22		1 : 0.26

During the year ended 31 March 2023, the Audit Committee conducted a tender process for the position of external auditor. A request for proposal was sent to suitably qualified audit firms which in line with best practice included one “challenger” audit firm, and a rigorous interview process was conducted for those firms that tendered. The Board nominated KPMG at the AGM in 14 September 2023 to be appointed external auditor and a motion to approve their appointment was accepted by the Shareholders on whether to approve their appointment.

For any questions on the activities of the Audit Committee not addressed in the foregoing, a member of the Audit Committee remains available to attend each AGM to respond to such questions.

The Audit Committee Report was approved by the Audit Committee on 10 July 2024 and signed on behalf by:

John Le Poidevin

Chair, Audit Committee

10 July 2024

ALTERNATIVE INVESTMENT FUND MANAGER’S REPORT

Apex Fundrock Limited (previously called Maitland Institutional Services Ltd) acts as the Alternative Investment Fund Manager (“AIFM”) of TwentyFour Income Fund Limited (“the Company”) providing portfolio management and risk management services to the Company.

The AIFM has delegated the following of its alternative investment fund management functions:

It has delegated the portfolio management function for listed investments to TwentyFour Asset Management LLP.

It has delegated the portfolio management function for unlisted investments to TwentyFour Asset Management LLP.

The AIFM is required by the Alternative Investment Fund Managers Directive 2011, 61/EU (the “AIFM Directive”) and all applicable rules and regulations implementing the AIFM Directive in the UK (the “AIFM” Rules):

to make the annual report available to investors and to ensure that the annual report is prepared in accordance with applicable accounting standards, the Company’s articles of incorporation and the AIFM Rules and that the annual report is audited in accordance with International Standards on Auditing;

be responsible for the proper valuation of the Company’s assets, the calculation of the Company’s net asset value and the publication of the Company’s net asset value;

to make available to the Company’s Shareholders, a description of all fees, charges and expenses and the amounts thereof, which have been directly or indirectly borne by them; and

ensure that the Company’s Shareholders have the ability to redeem their share in the capital of the Company in a manner consistent with the principle of fair treatment of investors under the AIFM Rules and in accordance with the Company’s redemption policy and its obligations.

The AIFM is required to ensure that the annual report contains a report that shall include a fair and balanced review of the activities and performance of the Company, containing also a description of the principal risks and investment or economic uncertainties that the Company might face.

AIFM Remuneration

The AIFM is subject to a staff remuneration policy which meets the requirements of the AIFM Directive. The policy is designed to ensure remuneration practices are consistent with, and promote, sound and effective risk management. It does not encourage risk-taking which is inconsistent with the risk profiles, rules or instrument of incorporation of the funds managed, and does not impair the AIFM’s compliance with its duty to act in the best interests of the funds it manages.

The AIFM has reviewed the Remuneration Policy and its application in the last year which has resulted in no material changes to the policy or irregularities to process.

This disclosure does not include staff undertaking portfolio management activities as these are undertaken by TwentyFour Asset Management LLP. The Portfolio Manager is required to make separate public disclosure as part of their obligations under the Capital Requirements Directive.

The AIFM also acts as Authorised Corporate Director (“ACD”) for non-Alternative Investment Funds (“AIFs”). It is required to disclose the total remuneration it pays to its staff during the financial year of the Company, split into fixed and variable remuneration, with separate aggregate disclosure for staff whose actions may have a material impact to the risk profile of a fund or the AIFM itself. This includes executives, senior risk and compliance staff and certain senior managers.

	Number of Beneficiaries	Fixed	Variable
Total remuneration paid by the ACD during the year	17	£1,515,952	£152,522
Remuneration paid to employees of the ACD who are material risk takers	6	£737,201	£115,817

Further information is available in the AIFM’s Remuneration Policy Statement which can be obtained from www.fundrock.com or, on request free of charge, by writing to the registered office of the AIFM.

In so far as the AIFM is aware:

there is no relevant audit information of which the auditor of the Company or the Board of Directors of the Company are unaware; and
the AIFM has taken all steps that it ought to have taken to make itself aware of any relevant audit information and to establish that the auditor is aware of that information.

We hereby certify that this report is made on behalf of the AIFM, Apex Fundrock Limited.

A.C. Deptford

P.F. Brickley

Directors

Apex Fundrock Limited

10 July 2024

REPORT OF THE DEPOSITARY TO THE SHAREHOLDERS

for the year ended 31 March 2024

Northern Trust (Guernsey) Limited has been appointed as Depositary to TwentyFour Income Fund Limited (the “Company”) in accordance with the requirements of Article 36 and Articles 21(7), (8) and (9) of the Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (the “AIFM Directive”).

We have enquired into the conduct of Apex Fundrock Limited (previously called Maitland Institutional Services Limited) (the “AIFM”) and the Company for the year ended 31 March 2024, in our capacity as Depositary to the Company.

This report including the review provided below has been prepared for and solely for the Shareholders in the Company. We do not, in giving this report, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

Our obligations as Depositary are stipulated in the relevant provisions of the AIFM Directive and the relevant sections of Commission Delegated Regulation (EU) No 231/2013 (collectively the “AIFMD legislation”) and The Authorised Closed Ended Investment Schemes Rules 2021.

Amongst these obligations is the requirement to enquire into the conduct of the AIFM and the Company and their delegates in each annual accounting period.

Our report shall state whether, in our view, the Company has been managed in that period in accordance with the AIFMD legislation. It is the overall responsibility of the AIFM and the Company to comply with these provisions. If the AIFM, the Company or their delegates have not so complied, we as the Depositary will state why this is the case and outline the steps which we have taken to rectify the situation.

The Depositary and its affiliates are or may be involved in other financial and professional activities which may on occasion cause a conflict of interest with its roles with respect to the Company. The Depositary will take reasonable care to ensure that the performance of its duties will not be impaired by any such involvement and that any conflicts which may arise will be resolved fairly and any transactions between the Depositary and its affiliates and the Company shall be carried out as if effected on normal commercial terms negotiated at arm’s length and in the best interests of Shareholders.

Basis of Depositary Review

The Depositary conducts such reviews as it, in its reasonable discretion, considers necessary in order to comply with its obligations and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the constitutional documentation and the appropriate regulations. Such reviews vary based on the type of Fund, the assets in which a Fund invests and the processes used, or experts required, in order to value such assets.

Review

In our view, the Company has been managed during the year, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the constitutional documents; and by the AIFMD legislation; and

(ii) otherwise in accordance with the provisions of the constitutional documents; and the AIFMD legislation.

For and on behalf of

Northern Trust (Guernsey) Limited

10 July 2024

INDEPENDENT AUDITOR’S REPORT

TO THE MEMBERS OF TWENTYFOUR INCOME FUND LIMITED

Our opinion is unmodified

We have audited the financial statements of TwentyFour Income Fund Limited (the “Company”), which comprise the statement of financial position as at 31 March 2024, the statements of comprehensive income, changes in equity and cash flows for the year then ended, and notes, comprising material accounting policies and other explanatory information.

In our opinion, the accompanying financial statements:

give a true and fair view of the financial position of the Company as at 31 March 2024, and of the Company’s financial performance and cash flows for the year then ended;

are prepared in accordance with International Financial Reporting Standards; and comply with the Companies (Guernsey) Law, 2008.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described below. We have fulfilled our ethical responsibilities under, and are independent of the Company in accordance with, UK ethical requirements including the FRC Ethical Standard as required by the Crown Dependencies' Audit Rules and Guidance. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion.

Key audit matters: our assessment of the risks of material misstatement

Key audit matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, including those which had the greatest effect on: the overall audit strategy; the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. In arriving at our audit opinion above, the key audit matter was as follows:

	The risk	Our response
Financial assets at fair value through profit or loss - Investments (“investments”)	Valuation of investments	Our audit procedures included:
£813,356,415 (2023: £739,385,970) Refer to the Audit Committee Report, note 2(f) (significant accounting policies), note 9 (investments) and note 19 (fair value measurement).	Basis: The Company’s investments are carried at fair value through profit or loss and represent a significant proportion of the Company’s net assets. These investments are valued using recognised valuation methodologies disclosed in note 2(f) of the financial statements. Risk: The valuation of the Company’s investments is considered a significant area of our audit in view of the significance of the estimates and judgements that may be involved in the determination of their fair value and given that it represents the majority of the net assets. To determine the valuation of investments, the Portfolio Manager requests external prices from independent pricing vendors or, where these are unavailable, from third party brokers or dealers. Where the external price obtained is deemed unreliable or is not available, the Portfolio Manager will determine, with the assistance of an independent valuation expert, the valuation based on internal models, which may include benchmarking to comparable transactions, discounted cash flows or other valuation techniques commonly used by market participants. For those investments valued based on internal models there is a risk of fraud and error given the high level of subjectivity, estimation uncertainty and complexity when deriving fair value.	Control evaluation: We assessed the design and implementation of the control over the valuation of the Company’s investments. Challenging management’s investment valuations, including the use of our KPMG valuation specialist, as applicable, we: Held discussions with the Investment Manager to understand and assess the appropriateness of the valuation methodologies applied; Performed retrospective testing on realised positions to assess the reliability and accuracy of management’s valuations and for any evidence of valuation bias; Assessed the experience, competence, objectivity and reliability of work of the independent valuation expert appointed by the Company to provide valuations of certain investments where no reliable price was deemed available; For the Company’s investments which are valued using observable inputs (level 2), we assessed whether the prices used by management were reasonable by comparing them against the indicative or reference prices obtained from independent sources; For a risk based selection of the Company’s investments which are valued using significant unobservable inputs (including internal models), we determined independent reference prices through the use of fundamental cash flow modelling, sourcing key inputs and assumptions used, such as the default rates, discount margins and prepayment rates, from observable market data; and Assessed the fair value levelling of the investments held by the Company at year-end. Assessing disclosures: We also considered the Company’s accounting policy (see note 2(f)) in relation to the use of estimates and judgements in determining the fair value of Investments, the Company’s investment valuation policies and fair value disclosures (see notes 2(f), 9 and 19) for compliance with IFRS.

The risk

Our response

Financial assets at fair value through profit or loss - Investments (“investments”)

Valuation of investments

Our audit procedures included:

£813,356,415 (2023: £739,385,970)

Refer to the Audit Committee Report, note 2(f) (significant accounting policies), note 9 (investments) and note 19 (fair value measurement).

Basis:

The Company’s investments are carried at fair value through profit or loss and represent a significant proportion of the Company’s net assets.

These investments are valued using recognised valuation methodologies disclosed in note 2(f) of the financial statements.

Risk:

The valuation of the Company’s investments is considered a significant area of our audit in view of the significance of the estimates and judgements that may be involved in the determination of their fair value and given that it represents the majority of the net assets.

To determine the valuation of investments, the Portfolio Manager requests external prices from independent pricing vendors or, where these are unavailable, from third party brokers or dealers. Where the external price obtained is deemed unreliable or is not available, the Portfolio Manager will determine, with the assistance of an independent valuation expert, the valuation based on internal models, which may include benchmarking to comparable transactions, discounted cash flows or other valuation techniques commonly used by market participants.

For those investments valued based on internal models there is a risk of fraud and error given the high level of subjectivity, estimation uncertainty and complexity when deriving fair value.

Control evaluation:

We assessed the design and implementation of the control over the valuation of the Company’s investments.

Challenging management’s investment valuations, including the use of our KPMG valuation specialist, as applicable, we:

Held discussions with the Investment Manager to understand and assess the appropriateness of the valuation methodologies applied;
Performed retrospective testing on realised positions to assess the reliability and accuracy of management’s valuations and for any evidence of valuation bias;
Assessed the experience, competence, objectivity and reliability of work of the independent valuation expert appointed by the Company to provide valuations of certain investments where no reliable price was deemed available;
For the Company’s investments which are valued using observable inputs (level 2), we assessed whether the prices used by management were reasonable by comparing them against the indicative or reference prices obtained from independent sources;
For a risk based selection of the Company’s investments which are valued using significant unobservable inputs (including internal models), we determined independent reference prices through the use of fundamental cash flow modelling, sourcing key inputs and assumptions used, such as the default rates, discount margins and prepayment rates, from observable market data; and
Assessed the fair value levelling of the investments held by the Company at year-end.

Assessing disclosures:

We also considered the Company’s accounting policy (see note 2(f)) in relation to the use of estimates and judgements in determining the fair value of Investments, the Company’s investment valuation policies and fair value disclosures (see notes 2(f), 9 and 19) for compliance with IFRS.

Our application of materiality and an overview of the scope of our audit

Materiality for the financial statements as a whole was set at £15,300,000, determined with reference to a benchmark of net assets of £813,539,986, of which it represents approximately 2.0% (2023: 2.25%).

In line with our audit methodology, our procedures on individual account balances and disclosures were performed to a lower threshold, performance materiality, so as to reduce to an acceptable level the risk that individually immaterial misstatements in individual account balances add up to a material amount across the financial statements as a whole. Performance materiality for the Company was set at 65% (2023: 75%) of materiality for the financial statements as a whole, which equates to £9,940,000. We applied this percentage in our determination of performance materiality because we did not identify any factors indicating an elevated level of risk.

We reported to the Audit Committee any corrected or uncorrected identified misstatements exceeding £765,000, in addition to other identified misstatements that warranted reporting on qualitative grounds.

Our audit of the Company was undertaken to the materiality level specified above, which has informed our identification of significant risks of material misstatement and the associated audit procedures performed in those areas as detailed above.

Going concern

The directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease its operations, and as they have concluded that the Company's financial position means that this is realistic. They have also concluded that there are no material uncertainties that could have cast significant doubt over its ability to continue as a going concern for at least a year from the date of approval of the financial statements (the “going concern period").

In our evaluation of the directors' conclusions, we considered the inherent risks to the Company's business model and analysed how those risks might affect the Company's financial resources or ability to continue operations over the going concern period. The risks that we considered most likely to affect the Company's financial resources or ability to continue operations over this period was the availability of capital to meet operating costs and other financial commitments.

We considered whether this risk could plausibly affect the liquidity in the going concern period by comparing severe, but plausible downside scenarios that could arise from this risk individually and collectively against the level of available financial resources indicated by the Company’s financial forecasts.

Our conclusions based on this work:

• we consider that the directors' use of the going concern basis of accounting in the preparation of the financial statements is appropriate;

• we have not identified, and concur with the directors' assessment that there is not, a material uncertainty related to events or conditions that, individually or collectively, may cast significant doubt on the Company's ability to continue as a going concern for the going concern period; and

• we have nothing material to add or draw attention to in relation to the directors' statement in the notes to the financial statements on the use of the going concern basis of accounting with no material uncertainties that may cast significant doubt over the Company's use of that basis for the going concern period, and that statement is materially consistent with the financial statements and our audit knowledge.

However, as we cannot predict all future events or conditions and as subsequent events may result in outcomes that are inconsistent with judgements that were reasonable at the time they were made, the above conclusions are not a guarantee that the Company will continue in operation.

Fraud and breaches of laws and regulations – ability to detect

Identifying and responding to risks of material misstatement due to fraud

To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate an incentive or pressure to commit fraud or provide an opportunity to commit fraud. Our risk assessment procedures included:

• enquiring of management as to the Company’s policies and procedures to prevent and detect fraud as well as enquiring whether management have knowledge of any actual, suspected or alleged fraud;

• reading minutes of meetings of those charged with governance; and

• using analytical procedures to identify any unusual or unexpected relationships.

As required by auditing standards, and taking into account possible incentives or pressures to misstate performance and our overall knowledge of the control environment, we perform procedures to address the risk of management override of controls, in particular the risk that management may be in a position to make inappropriate accounting entries, and the risk of bias in accounting estimates such as valuation of unquoted investments. On this audit we do not believe there is a fraud risk related to revenue recognition because the Company’s revenue streams are simple in nature with respect to accounting policy choice, and are easily verifiable to external data sources or agreements with little or no requirement for estimation from management. We did not identify any additional fraud risks.

We performed procedures including:

• identifying journal entries and other adjustments to test based on risk criteria and comparing any identified entries to supporting documentation;

• incorporating an element of unpredictability in our audit procedures; and

• assessing significant accounting estimates for bias.

Further detail in respect of valuation of unquoted investments is set out in the key audit matter section of this report.

Identifying and responding to risks of material misstatement due to non-compliance with laws and regulations

We identified areas of laws and regulations that could reasonably be expected to have a material effect on the financial statements from our sector experience and through discussion with management (as required by auditing standards), and from inspection of the Company’s regulatory and legal correspondence, if any, and discussed with management the policies and procedures regarding compliance with laws and regulations. As the Company is regulated, our assessment of risks involved gaining an understanding of the control environment including the entity’s procedures for complying with regulatory requirements.

The Company is subject to laws and regulations that directly affect the financial statements including financial reporting legislation and taxation legislation and we assessed the extent of compliance with these laws and regulations as part of our procedures on the related financial statement items.

The Company is subject to other laws and regulations where the consequences of non-compliance could have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of fines or litigation or impacts on the Company’s ability to operate. We identified financial services regulation as being the area most likely to have such an effect, recognising the regulated nature of the Company’s activities and its legal form. Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to enquiry of management and inspection of regulatory and legal correspondence, if any. Therefore if a breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not detect that breach.

Context of the ability of the audit to detect fraud or breaches of law or regulation

Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some material misstatements in the financial statements, even though we have properly planned and performed our audit in accordance with auditing standards. For example, the further removed non-compliance with laws and regulations is from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures required by auditing standards would identify it.

In addition, as with any audit, there remains a higher risk of non-detection of fraud, as this may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot be expected to detect non-compliance with all laws and regulations.

Other information

The directors are responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our auditor's report thereon. Our opinion on the financial statements does not cover the other information and we do not express an audit opinion or any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Disclosures of emerging and principal risks and longer term viability

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ disclosures in respect of emerging and principal risks and the viability statement, and the financial statements and our audit knowledge. We have nothing material to add or draw attention to in relation to:

• the directors’ confirmation within the viability statement (Directors’ Report) that they have carried out a robust assessment of the emerging and principal risks facing the Company, including those that would threaten its business model, future performance, solvency or liquidity;

• the emerging and principal risks disclosures describing these risks and explaining how they are being managed or mitigated;

• the directors’ explanation in the viability statement (Directors’ Report) as to how they have assessed the prospects of the Company, over what period they have done so and why they consider that period to be appropriate, and their statement as to whether they have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the period of their assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

We are also required to review the viability statement, set out in the Directors’ Report under the Listing Rules. Based on the above procedures, we have concluded that the above disclosures are materially consistent with the financial statements and our audit knowledge.

Corporate governance disclosures

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ corporate governance disclosures and the financial statements and our audit knowledge.

Based on those procedures, we have concluded that each of the following is materially consistent with the financial statements and our audit knowledge:

• the directors’ statement that they consider that the annual report and financial statements taken as a whole is fair, balanced and understandable, and provides the information necessary for shareholders to assess the Company’s position and performance, business model and strategy;

• the section of the annual report describing the work of the Audit Committee, including the significant issues that the audit committee considered in relation to the financial statements, and how these issues were addressed; and

• the section of the annual report that describes the review of the effectiveness of the Company’s risk management and internal control systems.

We are required to review the part of Corporate Governance Statement relating to the Company’s compliance with the provisions of the UK Corporate Governance Code specified by the Listing Rules for our review. We have nothing to report in this respect.

We have nothing to report on other matters on which we are required to report by exception

We have nothing to report in respect of the following matters where the Companies (Guernsey) Law, 2008 requires us to report to you if, in our opinion:

• the Company has not kept proper accounting records; or

• the financial statements are not in agreement with the accounting records; or

• we have not received all the information and explanations, which to the best of our knowledge and belief are necessary for the purpose of our audit.

Respective responsibilitiesDirectors' responsibilities

As explained more fully in their statement set out in the Directors’ Report, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; 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.

Auditor's responsibilities

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.

A fuller description of our responsibilities is provided on the FRC’s website at www.frc.org.uk/auditorsresponsibilities.

The purpose of this report and restrictions on its use by persons other than the Company's members as a body

This report is made solely to the Company’s members, as a body, in accordance with section 262 of the Companies (Guernsey) Law, 2008. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s 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 and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

Rachid Frihmat

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants and Recognised Auditors

Guernsey

10 July 2024

STATEMENT OF COMPREHENSIVE INCOME

for the year ended 31 March 2024

		Year ended	Year ended
		31.03.24	31.03.23
	Notes	£	£
Income
Interest income on financial assets at fair value through profit or loss		74,803,793	64,542,727
Net foreign currency gains/(losses)	8	15,368,676	(8,837,545)
Net gains/(losses) on financial assets at fair value through profit or loss	9	53,903,533	(70,193,539)
Total income/(loss)		144,076,002	(14,488,357)
Operating expenses
Portfolio management fees	15	(5,690,248)	(5,034,036)
Directors' fees	15	(254,304)	(261,684)
Administration and secretarial fees	16	(358,119)	(323,483)
Audit fees		(156,000)	(141,050)
Custody fees	16	(75,874)	(67,120)
Broker fees		(50,002)	(50,521)
AIFM management fees	16	(257,384)	(231,363)
Depositary fees	16	(102,283)	(91,401)
Legal and professional fees		(76,103)	(161,234)
Listing fees		(25,000)	(64,855)
Registration fees		(64,792)	(46,174)
Other expenses		(195,940)	(355,807)
Total operating expenses		(7,306,049)	(6,828,728)
Total operating profit/(loss)		136,769,953	(21,317,085)
Finance costs on repurchase agreements	12	(755,788)	(1,278,260)
Total comprehensive income/(loss) for the year*		136,014,165	(22,595,345)
Earnings/(loss) per Ordinary Share	4	0.1825	(0.0340)

All items in the above statement derive from continuing operations.

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

*There is no other comprehensive income during the current and prior year.

STATEMENT OF FINANCIAL POSITION

as at 31 March 2024

	Notes	31.03.2024 £	31.03.2023 £
Assets
Financial assets at fair value through profit or loss
- Investments	9	813,356,415	739,385,970
- Derivative assets: Forward currency contracts	18	1,958,943	2,281,253
Amounts due from broker		3,427,786	-
Other receivables	10	7,642,019	6,976,028
Cash and cash equivalents		13,142,803	27,235,318
Total assets		839,527,966	775,878,569
Liabilities
Financial liabilities at fair value through profit or loss
- Derivative liabilities: Forward currency contracts	18	20,877	1,509
Amounts payable under repurchase agreements	12	14,090,507	49,827,700
Amounts due to broker		10,596,437	-
Share issue costs payable		-	5,219
Other payables	11	1,280,159	1,061,379
Total liabilities		25,987,980	50,895,807
Net assets		813,539,986	724,982,762
Equity
Share capital account	13	780,234,543	750,558,986
Retained earnings/(accumulated losses)		33,305,443	(25,576,224)
Total equity		813,539,986	724,982,762
Ordinary Shares in issue	13	747,836,661	718,036,661
Net Asset Value per Ordinary Share (pence)	6	108.79	100.97

From 31 March 2024, the assets and liabilities have been presented in order of liquidity as this presentation is considered to be more reliable and relevant to the users of these financial statements.

The Audited Financial Statements were approved by the Board of Directors on 10 July 2024 and signed on its behalf by:

John de Garis Paul Le Page

Director Director

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

STATEMENT OF CHANGES IN EQUITY

for the year ended 31 March 2024

		Share capital account	(Accumulated losses)/ retained earnings	Total
	Notes	£	£	£
Balances at 1 April 2023		750,558,986	(25,576,224)	724,982,762

Issue of Ordinary Shares	13	30,244,890	-	30,244,890
Share issue costs	13	(347,816)	-	(347,816)
Dividends paid		-	(77,354,015)	(77,354,015)
Income equalisation on new issues	5	(221,517)	221,517	-
Total comprehensive income for the year		-	136,014,165	136,014,165
Balances at 31 March 2024		780,234,543	33,305,443	813,539,986
		Share capital	Retained earnings/
		account	(accumulated losses)	Total
		£	£	£
Balances at 1 April 2022		675,350,674	43,126,544	718,477,218

Issue of Ordinary Shares	13	76,631,101	-	76,631,101
Share issue costs	13	(773,112)	-	(773,112)
Release of UKML share issue costs payable	13	798,176	-	798,176
Dividends paid		-	(47,555,276)	(47,555,276)
Income equalisation on new issues	5	(1,447,853)	1,447,853	-
Total comprehensive loss for the year		-	(22,595,345)	(22,595,345)
Balances at 31 March 2023		750,558,986	(25,576,224)	724,982,762

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

STATEMENT OF CASH FLOWS

for the year ended 31 March 2024

		Year ended	Year ended
	Notes	31.03.24	31.03.23
		£	£
Cash flows from operating activities
Total comprehensive income/(loss) for the year		136,014,165	(22,595,345)

Less:
Adjustments for non-cash transactions:
Interest income on financial assets at fair value through profit or loss		(74,803,793)	(64,542,727)
Movement in interest income receivable		746,972	2,960,889
Net (gains)/losses on investments	9	(53,903,533)	70,193,539
Amortisation adjustment under effective interest rate method	9	(8,874,421)	(19,931,829)
Unrealised losses/(gains) on forward currency contracts	8	341,679	(3,976,681)
Exchange gains on cash and cash equivalents		(6,164)	(8,363)
Increase in other receivables		(665,991)	(2,988,623)
Increase/(decrease) in other payables		218,780	(1,248,584)
Finance costs on repurchase agreements		755,788	1,278,260
Purchase of investments		(270,559,457)	(264,066,709)
Sale of investments/principal repayments		266,535,617	151,501,203
Investment income received		73,112,680	61,522,830
Bank interest income received		944,140	59,008

Net cash generated from/(used in) operating activities		69,856,462	(91,843,132)


Cash flows from financing activities

Proceeds from issue of Ordinary Shares	13	30,244,890	76,631,101
Share issue costs		(353,035)	(3,169,718)
Dividend paid	21	(77,354,015)	(47,555,276)
Finance costs paid	12	(863,838)	(1,134,145)
(Decrease)/increase in amounts payable under repurchase agreements, excluding finance cost liabilities	12	(35,629,143)	34,592,063


Net cash (used in)/generated from financing activities		(83,955,141)	59,364,025


Decrease in cash and cash equivalents		(14,098,679)	(32,479,107)


Cash and cash equivalents at beginning of the year		27,235,318	59,706,062
Exchange gains on cash and cash equivalents		6,164	8,363

Cash and cash equivalents at end of the year		13,142,803	27,235,318

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

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 March 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 with a Premium Listing 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 in 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. Significant Accounting Policies

a) Basis of Preparation

Realisation Opportunity

The next Realisation Opportunity is due to occur after the AGM in Autumn 2025. The Board’s view is that while the share price discount remains at the current levels, they do not expect to see a major incentive to redeem and therefore the Realisation Opportunity should not automatically trigger the adoption of a basis of preparation other than going concern.

Whilst there is no degree of certainty, rather like the Realisation Opportunity that occurred during 2022, there may be some redemption requests. In the past, these have been matched by secondary selling of the redeemed shares to new purchasers. It is believed the Realisation Opportunity is currently a low risk to the viability prospects of the Company and for this reason these financial statements have been prepared on a going concern basis. See note 18 for further details of the Realisation Opportunity.

b) Statement of Compliance

The Financial Statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as issued by the International Accounting Standards Board (“IASB”) and are in compliance with The Companies (Guernsey) Law, 2008.

c) Presentation of Information

The Financial Statements have been prepared on a going concern basis under the historical cost convention adjusted to take account of the revaluation of the Company's financial assets and liabilities at fair value through profit or loss.

d) Standards, Amendments and Interpretations Effective During the Year

At the reporting date of these Financial Statements, the following standards, interpretations and amendments, were adopted for the year ended 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 believe that the adoption of the above standards does not have a material impact on the Company’s Audited Financial Statements for the year ended 31 March 2024.

e) Standards, Amendments and Interpretations Issued but not yet Effective

At the reporting date of these Financial Statements, the following standards, interpretations and amendments, which have not been applied in these 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);

 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 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.

f) Financial Assets at Fair Value through Profit or Loss

Classification

The Company classifies its investments in debt securities and derivatives as financial assets at fair value through profit or loss.

Financial assets and financial liabilities designated at fair value through profit or loss at inception are financial instruments that are not classified as held for trading but are managed and their performance is evaluated on a fair value basis in accordance with the Company’s business model per IFRS 9.

The Company’s policy requires the Portfolio Manager and the Board of Directors to evaluate the information about these financial assets and liabilities on a fair value basis together with other related financial information.

Recognition, Derecognition and Measurement

Regular purchases and sales of investments are recognised on the trade date – the date on which the Company commits to purchase or sell the investment. Financial assets and financial liabilities at fair value through profit or loss are initially recognised at fair value. Transaction costs are expensed as incurred in the Statement of Comprehensive Income. Financial assets are derecognised when the rights to receive cash flows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership.

Investments in Asset-Backed Securities (“ABS”) are the purchase of an interest in pools of loans. The investment characteristics of Asset-Backed Securities are such that principal payments are made more frequently than traditional debt securities. The principal may be repaid at any time because the underlying debt or other assets generally may be repaid at any time.

The Company records these principal repayments as they arise and realises a gain or loss in the ‘net gains/(losses) on financial assets at fair value through profit or loss’ in the Statement of Comprehensive Income in the period in which they occur.

The interest income arising on these securities is recognised within income in the Statement of Comprehensive Income.

Fair Value Estimation

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value of investments in Asset-Backed Securities are calculated in accordance with either i) or ii) below and the change in fair value, if any, is recorded as ‘net gains/(losses) on financial assets at fair value through profit or loss’ in the Statement of Comprehensive Income.

i) Asset-Backed Securities Traded or Dealt on an Active Market or Exchange

Asset-Backed Securities that are traded or dealt on an active market or exchange are valued by reference to their quoted mid-market price as at the close of trading on the reporting date as Portfolio Manager deems the mid-market price to be a reasonable approximation of an exit price.

ii) Asset-Backed Securities Not Traded or Dealt on an Active Market or Exchange

Asset-Backed Securities which are not traded or dealt on active markets or exchanges are valued by reference to their price, as at the close of business on the reporting date as determined by an independent price vendor. If a price cannot be obtained from an independent price vendor, or where the Portfolio Manager determines that the provided price is not an accurate representation of the fair value of the Asset-Backed Security, the Portfolio Manager will source prices at the close of business on the reporting date from third-party broker/dealer quotes and independent valuation experts, where applicable for the relevant security.

Forward Foreign Currency Contracts

Forward foreign currency contracts are derivative contracts and as such are recognised at fair value on the date on which they are entered into and subsequently measured at their fair value. Fair value is determined by rates in active currency markets. All forward foreign currency contracts are carried as assets when fair value is positive and as liabilities when fair value is negative. Gains and losses on forward currency contracts are recognised as part of ‘net foreign currency gains/(losses)’ in the Statement of Comprehensive Income.

Expected credit loss

The expected credit loss (“ECL”) model applies to financial assets measured at amortised cost and IFRS 9 mandates the use of the simplified approach to calculating the expected credit losses for amounts due from broker and other receivables. The ECL calculation is based on the Company’s historical default rates over the expected life of the trade receivables. Given the historical level of defaults on trade receivables, there is a negligible impact because of the lifetime expected credit loss to be recognised.

Cash and cash equivalents are also subject to the ECL requirements of IFRS 9 and the ECL is assessed as immaterial.

g) Sale and Repurchase Agreements

Securities sold subject to repurchase agreements are reclassified in the financial statements as pledged assets when the transferee has the right by contract or custom to sell or re-pledge the collateral. The counterparty liability is included under ‘Amounts payable under repurchase agreements’. Securities purchased under agreements to resell are recorded separately under ‘due from agreements to resell’. These securities are valued at amortised cost on the Statement of Financial Position. The difference between the sale and the repurchase price is treated as interest and accrued over the life of the agreement using the effective interest method.

h) Amounts Due from and Due to Brokers

Amounts due from and to brokers represent receivables for securities sold and payables for securities purchased that have been contracted for but not yet settled or delivered on the Statement of Financial Position date respectively. These amounts are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method.

i) Income

Interest income is recognised on a time-proportionate basis using the effective interest method. Discounts received or premiums paid in connection with the acquisition of Asset-Backed Securities are amortised into interest income using the effective interest method over the estimated life of the related security.

The effective interest rate method is a method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or interest expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts throughout the expected life of the financial instrument, or, when appropriate (see note 3(ii)(b)), a shorter period, to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate, the Company estimates cash flows considering the expected life of the financial instrument but does not consider future credit losses. The calculation includes all fees and points paid or received between parties to the contract that are an integral part of the effective interest rate and all other premiums or discounts. The amortisation adjustment under the effective interest rate method, as shown in note 9, is classified as interest income.

j) Cash and Cash Equivalents

Cash and cash equivalents comprise cash in hand and deposits held at call with banks and other short-term investments in an active market with original maturities of three months or less and bank overdrafts. Bank overdrafts are shown in current liabilities in the Statement of Financial Position.

k) Share Capital

As there are only Ordinary Shares in issue, which are redeemable at the discretion of the Board, the shares are presented as equity in accordance with IAS 32 – “Financial Instruments: Disclosure and Presentation”. Incremental costs directly attributable to the issue of Ordinary Shares are shown in equity as a deduction, net of tax, from the proceeds and disclosed in the Statement of Changes in Equity.

l) Foreign Currency Translation

Functional and Presentation Currency

Items included in the financial statements are measured using Sterling, the currency of the primary economic environment in which the Company operates (the “functional currency”). The Financial Statements are presented in Sterling, which is the Company’s presentation currency.

Transactions and Balances

Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign currency assets and liabilities are translated into the functional currency using the exchange rate prevailing at the Statement of Financial Position date.

Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the Statement of Comprehensive Income.

m) Transaction Costs

Transaction costs on financial assets at fair value through profit or loss include fees and commissions paid to agents, advisers, brokers and dealers. Transaction costs, when incurred, are immediately recognised in the Statement of Comprehensive Income.

n) Segmental Reporting

Operating segments are reported in a manner consistent with the internal reporting provided to the chief operating decision-maker. The chief operating decision-maker, who is responsible for allocating resources and assessing performance of the operating segments, has been identified as the Board.

The Directors are of the opinion that the Company is engaged in a single segment of business, being investments in Asset-Backed Securities. The Directors manage the business in this way. Additional information can be found in note 20.

o) Expenses

All expenses are included in the Statement of Comprehensive Income on an accrual basis. Expenses incurred on the acquisition of investments at fair value through profit or loss are charged to the Statement of Comprehensive Income. All other expenses are recognised through profit or loss in the Statement of Comprehensive Income.

p) Other Receivables

Other receivables are amounts due in the ordinary course of business. If collection is expected in one year or less, they are classified as current assets. If not, they are presented as non-current assets. Other receivables are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method, less any expected credit losses.

q) Other Payables

Other payables are obligations to pay for services that have been acquired in the ordinary course of business. Other payables are classified as current liabilities if payment is due within one year or less. If not, they are presented as non-current liabilities. Other payables are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method.

r) Dividend

A dividend to the Company’s Shareholders is recognised as a liability in the Company’s financial statements and disclosed in the Statement of Changes in Equity in the period in which the dividends are approved by the Board.

s) Income Equalisation on New Issues

In order to ensure there are no dilutive effects on earnings/(loss) per Ordinary Share for current Shareholders when issuing new shares, a transfer is made between share capital and income to reflect that amount of income included in the purchase price of the new shares.

t) Treasury Shares

The Company has the right to issue and purchase up to 14.99% of the total number of its own Ordinary Shares, as disclosed in note 13.

Ordinary Shares held in Treasury are excluded from calculations when determining earnings/(loss) per Ordinary Share or NAV per Ordinary Share, as detailed in notes 4 and 6.

3. Significant Accounting Judgements, Estimates and Assumptions

The preparation of the Company’s Financial Statements requires management to make judgements, estimates and assumptions that affect the reported amounts of revenues, expenses, assets and liabilities and the accompanying disclosures. Uncertainty about these assumptions and estimates could result in outcomes that require a material adjustment to the carrying amount of assets or liabilities affected in future periods.

(i) Judgements

In the process of applying the Company’s accounting policies, management has made the following judgements, which have the most significant effect on the amounts recognised in the Financial Statements:

Functional Currency

As disclosed in note 2(l), the Company’s functional currency is Sterling. Sterling is the currency in which the Company measures its performance and reports its results, as well as the currency in which it receives subscriptions from its investors. Dividends are also paid to its investors in Sterling. The Directors believe that Sterling best represents the functional currency.

Determination of Observable Inputs

In note 19, Fair Value Measurement, when determining the levels of investments within the fair value hierarchy, the determination of what constitutes ‘observable’ requires significant judgement by the Company. The Company considers observable data to be market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

(ii) Estimates and Assumptions

The key assumptions concerning the future and other key sources of estimation uncertainty at the reporting date, that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial year, are described below. The Board based its assumptions and estimates on parameters available when the Financial Statements were prepared. Existing circumstances and assumptions about future developments, however, may change due to market changes or circumstances arising which are beyond the control of the Company. Such changes are reflected in the assumptions when they occur.

(a) Fair Value of Securities not Quoted in an Active Market

The Company carries its investments in credit securities at fair value, with changes in value being recognised in the Statement of Comprehensive Income. In cases where prices of credit securities are not quoted in an active market, the Portfolio Manager will obtain prices determined at the close of business on the reporting date from an independent price vendor. The Portfolio Manager exercises its judgement on the quality of the independent price vendor and information provided. If a price cannot be obtained from an independent price vendor or where the Portfolio Manager determines that the provided price is not an accurate representation of the fair value of the credit security, the Portfolio Manager will source prices from independent third-party brokers or dealers for the relevant security, which may be indicative rather than tradable. Where no third-party price is available, or where the Portfolio Manager determines that the third-party quote is not an accurate representation of the fair value, the Portfolio Manager will determine the valuation based on the Portfolio Manager's valuation policy. This may include the use of a comparable arm's length transaction, independent valuation experts, reference to other securities that are substantially the same, discounted cash flow analysis 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. See note 19 for details on fair value measurement of investments.

No credit securities were priced by the Portfolio Manager during the year or any previous year. There has been no change to the accounting policy applied to how these investments have been valued (see notes 2 and 3) but the use of an independent third-party valuation expert was used to value approximately 19.12% of the Company’s investments at 31 March 2024 (31 March 2023: 21.73%). See note 18 for price sensitivity analysis and details of interest rate risk.

(b) Estimated Life of Asset-Backed Securities

In determining the estimated life of the Asset-Backed Securities held by the Company, the Portfolio Manager estimates the remaining life of the security with respect to expected prepayment rates, default rates and loss rates together with other information available in the market underlying the security. The estimated life of the Asset-Backed Securities as determined by the Portfolio Manager, impacts the effective interest rate of the Asset-Backed Securities which

in turn impacts the calculation of income as discussed in note 2(i). As the Asset-Backed Securities are measured at fair value, this estimation uncertainty over the life of the securities will not have a significant risk of resulting in a material adjustment to the carrying amounts of securities within the next financial year, however, it is of significance given the separate presentation of interest income in the Statement of Comprehensive Income.

4. Earnings/(Loss) per Ordinary Share - Basic & Diluted

The earnings/(loss) per Ordinary Share - Basic and Diluted has been calculated based on the weighted average number of Ordinary Shares of 745,285,022 (31 March 2023: 664,696,773) and a net gain of £136,014,165 (31 March 2023: net loss of £22,595,345).

5. Income Equalisation on New Issues

In order to ensure there are no dilutive effects on earnings/(loss) per Ordinary Share for current Shareholders when issuing new 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 year is £221,517 (31 March 2023: £1,447,853).

6. Net Asset Value per Ordinary Share

The Net Asset Value of each Ordinary Share of £1.09 (31 March 2023: £1.01) is determined by dividing the net assets of the Company attributed to the Ordinary Shares of £813,539,986 (31 March 2023: £724,982,762) by the number of Ordinary Shares in issue at 31 March 2024 of 747,836,661 (31 March 2023: 718,036,661).

7. 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 (2023: £1,200). Effective 1 January 2024, this fee was increased to £1,600 per annum.

8. Net Foreign Currency Gains/(Losses)

	For the year	For the year
	01.04.23 to 31.03.24	01.04.22 to 31.03.23
	£	£
Movement on unrealised (gain)/loss on forward currency contracts	(341,679)	3,976,681
Realised gains/(losses) on foreign currency contracts	15,671,051	(13,106,492)
Unrealised foreign currency gain on receivables/payables	3,428	219,025
Unrealised foreign currency exchange gain on interest receivable	35,876	73,241
	15,368,676	(8,837,545)

9. Investments

	For the year	For the year
	01.04.23 to 31.03.24	01.04.22 to 31.03.23
Financial assets at fair value through profit or loss:	£	£

Opening book cost	832,506,047	693,217,802
Purchases at cost	281,155,894	390,806,347
Proceeds on sale/principal repayment	(269,963,403)	(297,663,729)
Amortisation adjustment under effective interest rate method	8,874,421	19,931,829
Realised gains on sale/principal repayment	3,698,699	57,193,656
Realised losses on sale/principal repayment	(41,128,677)	(30,979,858)

Closing book cost	815,142,981	832,506,047

Unrealised gains on investments	19,029,145	3,919,689
Unrealised losses on investments	(20,815,711)	(97,039,766)

Fair value	813,356,415	739,385,970

	For the year	For the year
	01.04.23 to 31.03.24	01.04.22 to 31.03.23
	£	£
Realised gains on sales/principal repayment	3,698,699	57,193,656
Realised losses on sales/principal repayment	(41,128,677)	(30,979,858)
Increase/(decrease) in unrealised gains	15,109,456	(31,815,765)
Decrease/(increase) in unrealised losses	76,224,055	(64,591,572)

Net gains/(losses) on financial assets at fair value through profit or loss	53,903,533	(70,193,539)

10. Other Receivables

	As at	As at
	31.03.24	31.03.23
	£	£
Coupon interest receivable	7,617,384	6,808,822
Bank interest receivable	-	61,590
Prepaid expenses	24,635	105,616
	7,642,019	6,976,028

There are no material expected credit losses for coupon interest receivable as at 31 March 2024.

11. Other Payables

	As at	As at
	31.03.24	31.03.23
	£	£
Portfolio management fees payable	835,269	738,231
Custody fees payable	25,479	6,974
Administration and secretarial fees payable	92,065	83,039
Directors' fee payable	-	12,629
Audit fees payable	156,000	136,389
AIFM fees payable	66,283	47,885
Depositary fees payable	34,720	16,792
General expenses payable	70,343	19,440
	1,280,159	1,061,379

A summary of the expected payment dates of payables can be found in the ‘Liquidity Risk’ section of note 18.

12. 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. Finance costs on repurchase agreements amounted to £755,788 (31 March 2023: £1,278,260). As at 31 March 2024, finance cost liabilities on open repurchase agreements amounted to £49,285 (31 March 2023: £157,335).

At the end of the year, amounts repayable under open repurchase agreements were £14,090,507 (31 March 2023: £49,827,700). Two securities were designated as collateral against the repurchase agreements (31 March 2023: nine securities), with a total fair value of £17,525,866 (31 March 2023: £50,574,587), all of which were investment grade RMBS. The total exposure was -1.73% (31 March 2023: -6.74%) 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:

	For the year	For the year
	01.04.23 to	01.04.22 to
	31.03.24	31.03.23
Amounts payable under repurchase agreements	£	£
Opening balance, excluding finance cost liabilities	49,670,365	15,078,302
Agreements entered during the year	66,055,670	208,081,481
Repaid/maturities during the year	(101,684,813)	(173,489,418)
Closing balance, excluding finance cost liabilities	14,041,222	49,670,365


	For the year	For the year
	01.04.23 to	01.04.22 to
	31.03.24	31.03.23
Finance cost liabilities	£	£
Opening balance	157,335	13,220
Charged during the year	755,788	1,278,260
Repayments during the year	(863,838)	(1,134,145)
Closing balance	49,285	157,335

13. Share Capital

Authorised Share Capital

Unlimited number of Ordinary Shares at no par value.

Issued Share Capital

	For the year	For the year
	01.04.23 to	01.04.22 to
	31.03.24	31.03.23
Ordinary Shares	£	£
Share Capital at the beginning of the year	750,558,986	675,350,674
Issue of Ordinary Shares	30,244,890	76,631,101
Share issue costs	(347,816)	(773,112)
Release of UKML share issue costs payable1	-	798,176
Income equalisation on new issues	(221,517)	(1,447,853)
Total Share Capital at the end of the year	780,234,543	750,558,986

1 The release of UK Mortgages Limited (“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 Ordinary Shares from the acquisition of UKML assets.

	For the year	For the year
	01.04.23 to 31.03.24	01.04.22 to 31.03.23
	Number of Ordinary Shares	Number of Ordinary Shares
Ordinary Shares

Shares at the beginning of the year	718,036,661	638,942,655
Issue of Ordinary Shares	29,800,000	79,094,006
Total Shares in issue at the end of the year	747,836,661	718,036,661

	For the year	For the year
	01.04.23 to	01.04.22 to
	31.03.24	31.03.23
	£	£
Treasury Shares
Treasury Share capital at the beginning of the year	-	43,083,300
Issue of Ordinary Shares from Treasury	-	(43,083,300)
Total Treasury Share capital at the end of the year	-	-
	For the year	For the year
	01.04.23 to	01.04.22 to
	31.03.24	31.03.23
	Number of Shares	Number of Shares
Treasury Shares
Treasury Shares at the beginning of the year	-	39,000,000
Issue of Ordinary Shares from Treasury	-	(39,000,000)
Total Treasury Shares at the end of the year	-	-

During the year, the following new Ordinary Shares were issued:

Issue Date	Number of Ordinary Shares issued (units)	Issue Price (pence)	Total Consideration £	Share issue costs £	Issue of Ordinary Shares £
12 April 2023	9,200,000	103.28	9,501,760	(109,270)	9,392,490
13 April 2023	1,100,000	103.28	1,136,080	(13,065)	1,123,015
20 April 2023	3,000,000	99.24	2,977,200	(34,238)	2,942,962
27 April 2023	3,000,000	99.61	2,988,300	(34,365)	2,953,935
3 May 2023	1,500,000	100.49	1,507,350	(17,335)	1,490,015
11 May 2023	1,000,000	100.75	1,007,500	(11,586)	995,914
18 May 2023	4,500,000	101.00	4,545,000	(52,267)	4,492,733
25 May 2023	1,000,000	101.24	1,012,400	(11,643)	1,000,757
31 May 2023	4,500,000	101.26	4,556,700	(52,402)	4,504,298
1 June 2023	1,000,000	101.26	1,012,600	(11,645)	1,000,955
			30,244,890	(347,816)	29,897,074

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 31 March 2024, 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 Ordinary Share held.

c) 56 days before the annual general meeting date of the Company in each third year (the “Reorganisation Date”), the Shareholders are entitled to serve a written notice (a “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 Ordinary Shares held by shareholders who do not submit Realisation Elections in respect of those Ordinary Shares (“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 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 and 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.

Shares held in Treasury are excluded from calculations when determining earnings/(loss) per Ordinary Share or NAV per Ordinary Share, as detailed in notes 4 and 6, respectively.

14. Analysis of Financial Assets and Liabilities by Measurement Basis

	Assets at fair
	value through	Amortised
	profit or loss	cost	Total
	£	£	£
31 March 2024
Financial Assets as per Statement of Financial Position
Financial assets at fair value through profit or loss:
- Investments	813,356,415	-	813,356,415
- Derivative assets: Forward currency contracts	1,958,943	-	1,958,943
Amounts due from broker	-	3,427,786	3,427,786
Other receivables (excluding prepayments)	-	7,617,384	7,617,384
Cash and cash equivalents	-	13,142,803	13,142,803
	815,315,358	24,187,973	839,503,331

	Liabilities at fair
	value through	Amortised
	profit or loss	cost	Total
	£	£	£
Financial Liabilities as per Statement of Financial Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts	20,877	-	20,877
Amounts payable under repurchase agreements	-	14,090,507	14,090,507
Amounts due to brokers	-	10,596,437	10,596,437
Other payables	-	1,280,159	1,280,159
	20,877	25,967,103	25,987,980

	Assets at fair
	value through	Amortised
	profit or loss	cost	Total
	£	£	£
31 March 2023
Financial Assets as per Statement of Financial Position
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
31 March 2023	£	£	£
Financial Liabilities as per Statement of Financial Position
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

15. Related Parties

a) Directors’ Remuneration & Expenses

The Directors of the Company are remunerated for their services at such a rate as the Directors determine. At the Annual General Meeting, held on 14 October 2022, Shareholders approved the increase of the upper limit of aggregate Director fees from £225,000 to £400,000 per annum.

During the year, the annual fees were £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 Remuneration and Nomination Committee and Chair of the Management Engagement Committee, and £40,000 for all other Directors.

During the year ended 31 March 2024, Directors’ fees of £254,304, (31 March 2023: £261,684) were charged to the Company, of which £Nil (31 March 2023: £12,629) remained payable at the end of the year.

b) 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 year amounted to £5,690,248 (31 March 2023: £5,034,036) of which £835,269 (31 March 2023: £738,231) is due and payable at the year 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 Ordinary Shares, following admission, in consideration of marketing services that it provides to the Company. During the year, the Portfolio Manager received £45,367 (31 March 2023: £6,801) in commission.

c) Shares Held by Related Parties

As at 31 March 2024, Directors of the Company held the following shares beneficially:

	Number of Ordinary Shares	Number of Ordinary Shares
	31.03.24	31.03.23
Bronwyn Curtis¹	114,154	105,313
John Le Poidevin	260,121	260,121
Richard Burwood²	N/A	87,186
John de Garis	39,753	39,753
Joanne Fintzen³	38,538	38,538
Paul Le Page	49,457	49,457

¹ Bronwyn Curtis acquired 8,841 Ordinary Shares through reinvested dividends.

² Richard Burwood retired from the Board on 14 September 2023, therefore his shareholding as at 31 March 2024 has not been disclosed.

³ Joanne Fintzen purchased 47,722 Ordinary Shares on 5 April 2024, increasing her shareholding post year end to 86,260 Ordinary Shares.

As at 31 March 2024, the Portfolio Manager held 36,406,018 Ordinary Shares (31 March 2023: 35,105,683 Shares), which is 4.87% (31 March 2023: 4.89%) of the Issued Share Capital. Partners and employees of the Portfolio Manager held 8,432,398 Ordinary 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 Ordinary Shares are offered or awarded to any related parties as remuneration.

16. Material Agreements

a) Alternative Investment Fund Manager

The Company’s Alternative Investment Fund Manager (the “AIFM”) is Apex Fundrock Limited (previously called Maitland Institutional Services Limited). On 9 January 2024, the Board approved the appointment of Waystone Management Company (IE) Limited as the new AIFM of the Company, which took effect post year end from 21 June 2024. In consideration for the services provided by the AIFM under the existing 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 year ended 31 March 2024, AIFM fees of £257,384 (31 March 2023: £231,363) were charged to the Company, of which £66,283 (31 March 2023: £47,885) remained payable at the end of the year.

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% per annum of the NAV of the Company below £100 million, 0.05% per annum on Net Assets between £100 million and £200 million and 0.04% per annum 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 year amounted to £358,119 (31 March 2023: £323,483) of which £92,065, (31 March 2023: £83,039) is due and payable at end of the year.

c) Depositary

Depositary fees are payable to Northern Trust (Guernsey) Limited, monthly in arrears, at a rate of 0.0175% per annum of the Net Asset Value of the Company up to £100 million, 0.0150% per annum on Net Assets between £100 million and £200 million and 0.0125% per annum on Net Assets in excess of £200 million as at the last business day of the month subject to a minimum £25,000 per annum. Total depositary fees and charges for the year amounted to £102,283, (31 March 2023: £91,401) of which £34,720 (31 March 2023: £16,792) is due and payable at the year 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 year amounted to £75,874 (31 March 2023: £67,120) of which £25,479 (31 March 2023: £6,974) is due and payable at the year end.

17. Interests in unconsolidated structured entities

IFRS 12 defines a structured entity as an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to the administrative tasks only and the relevant activities are directed by means of contractual agreements.

A structured entity often has some of the following features or attributes:

i) restricted activities,

ii) a narrow and well defined objective, and

iii) financing in the form of multiple instruments that create concentrations of credit or other risks.

The Company holds various investments in Asset-Backed Securities. The fair value of the Asset-Backed Securities is recorded in the “Financial assets at fair value through profit or loss - Investments” line in the Statement of Financial Position. The Company’s maximum exposure to loss from these investments is equal to their total fair value. Once the Company has disposed of its holding in any of these investments, the Company ceases to be exposed to any risk from that investment. The Company has not provided, and would not be required to provide, any financial support to these investees. The investments are non-recourse.

Below is a summary of the Company’s holdings in unconsolidated structured entities as at 31 March 2024 and 31 March 2023:

As at 31 March 2024	Number of investments	Range of Nominal	Average Nominal	Carrying Value	% of Company’s NAV
		£ million	£ million	£ million
Asset Backed Securities*:
Auto Loans	14	7 – 55	22	28	3.4%
CLO	108	9 – 36	16	302	37.1%
CMBS	6	15 – 65	35	26	3.3%
Consumer ABS	6	11 – 45	27	16	1.9%
RMBS	66	2 – 85	18	406	49.9%
SRT	3	143 – 1,263	591	31	3.8%
Student Loans	1	33	33	4	0.5%
	204			813


As at 31 March 2023	Number of investments	Range of Nominal	Average Nominal	Carrying Value	% of Company’s NAV
		£ million	£ million	£ million
Asset Backed Securities*:
Auto Loans	7	9 - 55	25	13	1.9%
CLO	100	7 - 212	18	250	34.5%
CMBS	7	9 - 65	31	35	4.8%
Consumer ABS	5	16 - 45	30	14	2.0%
CRE ABS	3	7 - 13	10	12	1.7%
RMBS	60	1 - 85	20	410	56.5%
Student Loans	1	33	33	5	0.7%
	183			739

* Definition of Terms

“ABS” – Asset-Backed Securities

“CLO” – Collateralised Loan Obligations

“CMBS” – Commercial Mortgage-Backed Securities

“CRE” – Commercial Real Estate

“RMBS”- Residential Mortgage-Backed Securities

“SRT” – Significant Risk Transfer

18. 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. The Company’s investment objective is to generate attractive risk adjusted returns principally through investment in Asset-Backed Securities.

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 is risk associated with changes in market prices or rates, including interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, 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 and levels of unemployment and taxation which can have an impact on the 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; and (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 Asset-Backed Securities.

(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 following tables summarise the Company’s exposure to interest rate risk:

As at 31 March 2024	Floating rate £	Fixed rate £	Non-interest bearing £	Total £
Financial assets at fair value through profit or loss	813,356,415	-	-	813,356,415
Derivative assets	-	-	1,958,943	1,958,943
Amounts due from broker	-	-	3,427,786	3,427,786
Other receivables (excluding prepayments)	-	-	7,617,384	7,617,384
Cash and cash equivalents	13,142,803	-	-	13,142,803
Repurchase agreements	-	(14,090,507)	-	(14,090,507)
Amounts due to brokers	-	-	(10,596,437)	(10,596,437)
Other payables	-	-	(1,280,159)	(1,280,159)
Derivative liabilities	-	-	(20,877)	(20,877)
Net assets	826,499,218	(14,090,507)	1,106,640	813,515,351
	Floating rate	Fixed rate	Non-interest bearing	Total
As at 31 March 2023	£	£	£	£
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 assets	766,621,288	(49,827,700)	8,083,558	724,877,146

If interest rates were to increase or decrease by 2.5%, with all other variables held constant, the expected effect of the returns from floating rate net assets would be a gain or loss of £20,662,480, respectively (31 March 2023: gain or loss of £19,165,532).

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 ranges from 1 month to a maximum of 6 months 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 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 12 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 predominantly in non-Sterling assets while its Shares are denominated in Sterling, its expenses are incurred in Sterling. Therefore, the Statement of Financial Position may be significantly affected by movements in the exchange rate between foreign currencies and Sterling. The Company manages the exposure to currency movements by using spot and forward foreign exchange contracts, rolling forward on a periodic basis.

		Contract values	Outstanding contracts	Mark-to-market equivalent	Unrealised gains/(losses)

		31.03.2024	31.03.2024	31.03.2024	31.03.2024
One Danish Krone forward foreign currency contract:
	Settlement date 29 April 2024	91,000,000 kr.	£10,485,538	£10,440,444	£45,094

Three Euro forward foreign currency
contracts totalling:
	Settlement date 29 April 2024	€510,373,983	£438,550,084	£436,669,844	£1,880,240

One US Dollar forward foreign currency contract:
	Settlement date 29 April 2024	$18,001,273	£14,281,840	£14,248,231	£33,609

One Euro forward foreign currency contract:
	Settlement date 29 April 2024	(€8,401,262)	(£7,208,896)	(£7,188,019)	(£20,877)

					£1,938,066

		Contract	Outstanding contracts	Mark-to-market equivalent	Unrealised gains
		values	Outstanding contracts	Mark-to-market equivalent	Unrealised gains
		31.03.2023	31.03.2023	31.03.2023	31.03.2023
Three Euro 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 contract:
	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 foreign exchange rate from foreign currencies to Sterling, or from Sterling to foreign currencies.

As at 31 March 2024 and as at 31 March 2023, the Company held the following assets and liabilities denominated in foreign currencies:

	As at	As at
	31.03.2024	31.03.2023
Danish Krone	£	£
Assets/(Liabilities):
Investments	9,626,337	-
Cash and cash equivalents	974,405	-
Other receivables	185,957	-
Open forward currency contracts	(10,440,444)	-
	346,255	-

	As at	As at
	31.03.2024	31.03.2023
Euro	£	£
Assets/(Liabilities):
Investments	435,362,991	361,420,402
Cash and cash equivalents	(2,911,638)	970,272
Other receivables	5,868,282	5,083,861
Amounts due to broker	(10,586,437)	-
Open forward currency contracts	(429,481,825)	(359,261,960)
	(1,748,627)	8,212,575

	As at	As at
	31.03.2024	31.03.2023
US Dollar	£	£
Assets/(Liabilities):
Investments	14,248,960	-
Cash and cash equivalents	41,484	-
Open forward currency contracts	(14,248,231)	-
	42,213	-

The tables below summarise the sensitivity of the Company’s assets and liabilities to changes in foreign exchange movements between Danish Krone, Euro, US Dollar and Sterling at 31 March 2024 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
	31.03.2024	31.03.2023
	£	£
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:

- 20% increase in Danish Krone	(49,200)	-
- 20% decrease in Danish Krone	99,327	-

	As at	As at
	31.03.2024	31.03.2023
	£	£
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:

- 20% increase in Euro	563,495	(1,321,137)
- 20% decrease in Euro	(29,071)	2,123,313

	As at	As at
	31.03.2024	31.03.2023
	£	£
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:

- 20% increase in US Dollar	(8,484)	-
- 20% decrease in US Dollar	8,381	-

(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 Asset-Backed Securities generally rise and the proceeds of Asset-Backed Securities held by the Company that mature or are sold are not able to be reinvested in Asset-Backed Securities with a yield comparable to that of the portfolio as a whole.

(v) Price Sensitivity Analysis

The following details the Company’s sensitivity to movement in market prices. The analysis is based on a 10% increase or decrease in market prices. This represents management’s best estimate of a reasonable possible shift in market prices, having regard to historical volatility.

At 31 March 2024, if the market prices had been 10% higher with all other variables held constant, the increase in the net assets attributable to equity Shareholders would have been £81,335,642 (31 March 2023: £73,938,597). An equal change in the opposite direction would have decreased the net assets attributable to equity 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 19, the valuation models used (typically discounted cash flow models) include unobservable inputs that may rely on assumptions that are subject to judgement.

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 Company has a credit policy in place and the exposure to credit risk is monitored on an on-going basis.

The main concentration of credit risk to which the Company is exposed arises from the Company’s investments in Asset-Backed Securities. The Company is also exposed to counterparty credit risk on forwards, cash and cash equivalents, amounts due from brokers and other receivable balances. At the year end, none of the Company’s investments in Asset-Backed Securities were in default (31 March 2023: none).

The Company’s policy to manage this risk is by no more than 20% of the portfolio value 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 Asset-Backed Securities, 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.

Portfolio of Asset-Backed Securities by ratings category using the highest rating assigned by Standard and Poor’s (“S&P”), Moody’s Analytics (“Moody’s”) or Fitch Ratings (“Fitch”):

	31.03.24	31.03.23
AAA	-	0.23%
AA	-	0.68%
AA-	2.42%	1.92%
A+	3.62%	3.82%
A	2.31%	2.93%
A-	3.00%	2.95%
BBB+	6.83%	8.47%
BBB	1.77%	1.73%
BBB-	4.10%	4.90%
BB+	8.62%	5.37%
BB	4.65%	3.71%
BB-	12.78%	10.58%
B+	4.70%	5.94%
B	5.35%	5.04%
B-	12.26%	10.81%
CCC	-	0.17%
CCC-	0.59%	-
NR*	27.00%	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, won’t 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. The Portfolio Manager will estimate an internal rating for unrated bonds by considering all relevant factors, including but not limited to, the relationship between the bond’s maturity and its price and/or yield, the ratings of comparable bonds, and the issuer’s financial statements; however, this is not used for any investment monitoring, reporting or otherwise.

To further minimise credit risk, the Portfolio Manager undertakes extensive due diligence procedures on investments in Asset-Backed Securities 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. The Northern Trust Corporation is publicly traded and a constituent of the S&P 500. The Northern Trust Corporation has 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 Statement of Financial Position date, as summarised below:

	As at	As at
	31.03.24	31.03.23
	£	£
Investments	813,356,415	739,385,970
Cash and cash equivalents	13,142,803	27,235,318
Unrealised gains on derivative assets	1,958,943	2,281,253
Amounts due from broker	3,427,786	-
Other receivables (excluding prepayments)	7,617,384	6,870,412
	839,503,331	775,772,953

Investments in Asset-Backed Securities 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.

The Company has assessed credit default risk affecting the entity and concluded that any sensitivity analysis would be immaterial.

Liquidity Risk

Liquidity risk is the risk that the Company may not be able to generate sufficient cash resources to settle its obligations in full as they fall due or can only do so on terms that are materially disadvantageous.

Investments made by the Company in Asset-Backed Securities may be relatively illiquid and this may limit the ability of the Company to realise its investments. Investments in Asset-Backed Securities may also have no active market and the Company also 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.

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 these arrangements can be used for short-term liquidity.

Shareholders have no right to have their shares redeemed or repurchased by the Company, however Shareholders may elect to realise their holdings as detailed under note 13 and the Capital Risk Management section of this note.

Shareholders wishing to release their investment in the Company are therefore 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.

	Up to 1 month £	1-6 months £	6-12 months £	Total £
As at 31 March 2024
Financial liabilities
Repurchase agreements	-	(14,090,507)	-	(14,090,507)
Unrealised loss on derivative liabilities	(20,877)	-	-	(20,877)
Amounts due to broker	(10,596,437)	-	-	(10,596,437)
Other payables	(1,124,159)	(156,000)	-	(1,280,159)
Total	(11,741,473)	(14,246,507)	-	(25,987,980)
	Up to 1 month	1-6 months	6-12 months	Total
As at 31 March 2023	£	£	£	£
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)

There was an increase in repurchase agreements for the year ended 31 March 2023, which was prompted by an opportunity to finance purchasing of bonds during the liability-driven investment crisis to take advantage of higher available yields.

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 Ordinary 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 immediately following Admission 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 Shareholders 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 borrowed moneys).

(ii) Realisation Opportunity

The Realisation Opportunity shall be at the annual general meeting of the Company in each third year. On 21 October 2022, the Company concluded its most recent Realisation Opportunity. 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.

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 21, the Directors shall propose an Ordinary Resolution that the Company continues its business as a closed-ended collective investment scheme at the Annual General Meeting following that financial reporting period.

19. Fair Value Measurement

All assets and liabilities are carried at fair value or at amortised cost.

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 year ended 31 March 2024 and year ended 31 March 2023.

	Level 1	Level 2	Level 3	Total
	£	£	£	£
Assets
Financial assets at fair value through profit or loss:
Asset-Backed Securities:
Auto Loans	-	27,531,003	-	27,531,003
CLO	-	302,173,103	-	302,173,103
CMBS	-	26,496,489	-	26,496,489
Consumer ABS	-	15,682,235	-	15,682,235
RMBS	-	222,368,778	183,915,529	406,284,307
SRT	-	30,840,110	-	30,840,110
Student Loans	-	4,349,168	-	4,349,168
Forward currency contracts	-	1,958,943	-	1,958,943

	-	631,399,829	183,915,529	815,315,358
Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts	-	20,877	-	20,877
	-	20,877	-	20,877

	Level 1	Level 2	Level 3	Total
	£	£	£	£
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

	-	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

Asset-Backed Securities which have a value based on quoted market prices in active markets are classified in Level 1. At the end of the year, no Asset-Backed Securities 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. Asset-Backed Securities 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 ABS, 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 ABS 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 31 March 2024 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 a third-party valuer for certain specific assets where the Portfolio Manager believes the third-party valuer would provide more reliable, fair value information with regards to certain of the Company’s investments for the year ended 31 March 2024. 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 31 March 2024, investments (related primarily to RMBS/MBS investments) totalling 19.12% (31 March 2023: 21.73%) of the portfolio were valued by the third-party valuer. Valuations performed by the third-party valuer are classified as Level 3.

Please see note 3 (ii) for the accounting policy outlining the treatment fair value of securities not quoted in an active market.

The tables below represent the signiﬁcant unobservable inputs used in the fair value measurement of Level 3 investments, valued by a third-party valuer, together with a quantitative sensitivity analysis as of 31 March 2024 and 31 March 2023:

31 March 2024	Fair Value (£)	Financial Assets/Liabilities	Unobservable Input	Sensitivity Used	Effect on Fair Value (£)

Dutch RMBS	54,142,754	Financial Asset	Discount Margin (965 bps)	+5% / -5%	6,871,331	/	(5,477,982)

UK RMBS	64,557,878	Financial Asset	Discount Margin (179bps/ 950bps/ 1025 bps/ 1060bps)	+5% / -5%	5,712,626	/	(4,538,301)
UK RMBS (underlying risk - AAA)	36,853,297	Financial Asset	Discount Margin (300 bps/ 351 bps)	+3% / -3%	3,338,550	/	(2,880,236)


31 March 2023	Fair Value (£)	Financial Assets/Liabilities	Unobservable Input	Sensitivity Used	Effect on Fair Value (£)

Dutch RMBS	42,531,838	Financial Asset	Discount Margin (1065 bps)	+5% / -5%	6,826,229	/	(5,364,235)

UK RMBS	103,350,298	Financial Asset	Discount Margin (933 bps/ 950 bps/ 1150 bps/ 1185 bps)	+5% / -5%	12,567,742	/	(8,660,011)
UK RMBS (underlying risk - AAA)	14,782,507	Financial Asset	Discount Margin (431 bps)	+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.

Please refer to the price sensitivity analysis disclosed in note 18 where the price sensitivity related to market risk has been disclosed.

The above sensitivity analysis has been completed on those assets valued by the third-party valuer. For the remaining assets classified as Level 3 at 31 March 2024 totalling £28.3 million (2023: £46.5 million), no meaningful sensitivity on inputs can be performed due to the unobservable nature of the pricing. The valuations of these positions are provided monthly from external sources.

During the year, there were no transfers between Level 2 and Level 3 (year ended 31 March 2023: none).

The following tables present the movement in Level 3 instruments for the year ended 31 March 2024 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 year ended 31 March 2024	Realised losses on Level 3 Investments held during the period ended 31 March 2024		Unrealised gains for the year for Level 3 Investments held at 31 March 2024	Unrealised losses for the year for Level 3 Investments held at 31 March 2024	Transfer into Level 3	Transfer out Level 3	Closing balance
	£	£	£	£	£		£	£	£	£	£
RMBS	207,207,308	68,388,091	(111,175,331)	2,023,664	(15,796,291)		36,159,879	(2,891,791)	-	-	183,915,529

Total at 31 March 2024	207,207,308	68,388,091	(111,175,331)	2,023,664	(15,796,291)		36,159,879	(2,891,791)	-	-	183,915,529

	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
	£	£	£	£	£		£	£	£	£	£

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

The following tables analyse within the fair value hierarchy the Company’s assets and liabilities not measured at fair value at 31 March 2024 and 31 March 2023 but for which fair value is disclosed.

The assets and liabilities included in the below table are carried at amortised cost; their carrying values are a reasonable approximation of fair value.

Cash and cash equivalents include cash in hand and deposits held with banks.

Amounts due to broker and other payables represent the contractual amounts and obligations due by the Company for settlement of trades and expenses. Amounts due from brokers and other receivables represent the contractual amounts and rights due to the Company for settlement of trades and income.

	Level 1	Level 2	Level 3	Total
	£	£	£	£
Assets

Cash and cash equivalents	13,142,803	-	-	13,142,803
Amounts due from broker	-	3,427,786	-	3,427,786
Other receivables (excluding prepayments)	-	7,617,384	-	7,617,384
Total assets as at 31 March 2024	13,142,803	11,045,170	-	24,187,973

Liabilities
Amounts payable under repurchase agreements	-	14,090,507	-	14,090,507
Amounts due to broker	-	10,596,437	-	10,596,437
Other payables	-	1,280,159	-	1,280,159
Total liabilities as at 31 March 2024	-	25,967,103	-	25,967,103

	Level 1	Level 2	Level 3	Total
	£	£	£	£
Assets

Cash and cash equivalents	27,235,318	-	-	27,235,318
Other receivables (excluding prepayments)	-	6,870,412	-	6,870,412
Total assets as at 31 March 2023	27,235,318	6,870,412	-	34,105,730

Liabilities
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
Total liabilities as at 31 March 2023	-	50,894,298	-	50,894,298

20. Segmental Reporting

The Board is responsible for reviewing the Company’s entire portfolio and considers the business to have a single operating segment. The Board’s asset allocation decisions are based on a single, integrated investment strategy, and the Company’s performance is evaluated on an overall basis.

Revenue earned is reported separately on the face of the Statement of Comprehensive Income as investment income being interest income received from Asset-Backed Securities.

21. 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 Asset-Backed Securities 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.

On 24 February 2023, the annual dividend was changed from 7% to 8% (the equivalent of 8 pence per Ordinary Share) or higher of the Issue Price. The change became effective from the dividend declared in respect of the 3-month period ended 31 March 2023.

Dividends paid with respect to any quarter comprise (a) the accrued income of the portfolio for the year, and (b) an additional amount to reflect any income purchased in the course of any share subscriptions that took place during the year. 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 year.

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 during the year ended 31 March 2024:

Period to	Dividend rate per Ordinary Share (£)	Net dividend payable (£)	Ex-dividend date	Record date	Pay date
31 March 2023	0.0446	32,483,816	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
30 September 2023*	0.0200	14,956,733	19 October 2023	20 October 2023	3 November 2023
31 December 2023*	0.0200	14,956,733	18 January 2024	19 January 2024	2 February 2024
		77,354,015
31 March 2024*	0.0396	29,614,332	18 April 2024	19 April 2024	3 May 2024

*These dividends were declared in respect of distributable profit for the year ended 31 March 2024.

22. Ultimate Controlling Party

In the opinion of the Directors on the basis of shareholdings advised to them, the Company has no ultimate controlling party.

23. Significant Events During the Year

Events arising in Ukraine, as a result of military action being undertaken by Russia in 2022, may impact on securities directly or indirectly related to companies domiciled in Russia and/or listed on exchanges located in Russia (“Russian Securities”). As at 31 March 2024, the Company does not have any direct exposure to securities in either region.

In early October 2023, the situation in Israel and Gaza escalated significantly with the Hamas attacks and resulting Israeli military action in Gaza, and subsequent global government reactions dominated news flow. As at 31 March 2024, the Company does not have any direct exposure to securities in either region. The Directors are monitoring developments related to this military action, including current and potential future interventions of foreign governments and economic sanctions.

During the year, 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 the risk integrated within a robust ESG framework which is a major factor in the Portfolio Manager’s investment analysis. The Board continues to evaluate what aspects the Company will consider reporting, based on the regulatory requirements of the Company and developing best practice in the Company’s sector.

24. Subsequent Events

These Audited Financial Statements were approved for issuance by the Board on 10 July 2024. Subsequent events have been evaluated until this date.

On 5 April 2024, Joanne Fintzen, Senior Independent Director of the Company, purchased 47,722 Ordinary Shares, increasing her shareholding in the Company to 86,260 Ordinary Shares.

On 11 April 2024, the Company declared a dividend of 3.96p per Ordinary Share, which was paid on 3 May 2024.

Effective 21 June 2024, Waystone Management Company (IE) Limited was appointed as the new AIFM of the Company.

As at 5 July 2024, the published NAV per Ordinary Share for the Company was 109.90p. This represents an increase of 1.02% (NAV as at 31 March 2024: 108.79p).

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 Annual Report and Audited 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 Ordinary 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 Ordinary Share and is usually expressed as a percentage of the NAV per Ordinary Share. If the share price is higher than the NAV per Ordinary Share, the shares are said to be trading at a premium.

	31.03.2024 pence	31.03.2023 pence
Share price	104.80	100.50
NAV per Ordinary Share (a)	108.79	100.97
Discount to NAV (b)	(3.99)	(0.47)
Discount as a percentage (b/a)	(3.67%)	(0.47%)

Average Discount/Premium

The discount or premium is calculated as described above at the close of business on every Friday that is also a business day, as well as the last business day of every month, and an average taken for the year.

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. On 24 February 2023, the fixed interim dividend increased to 2.00 pence per Ordinary Share. A fourth quarter dividend is 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 an annual dividend of 6 pence per Ordinary Share or higher, as the Directors determine at their absolute discretion from time to time, with all excess income being distributed to investors at the 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 £813,539,986 (2023: £724,982,762) by the number of Ordinary Shares at the end of the year of 747,836,661 units (2023: 718,036,661). This produces a NAV per Ordinary Share of 108.79p (2023: 100.97p), which was an increase of 7.74% (2023: decrease of 10.21%).

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 year. The Board continues to be conscious of expenses and works hard to maintain a sensible balance between good quality service and cost.

Total NAV Return per Ordinary Share

Total NAV return per Ordinary Share is calculated by adding the increase or decrease in NAV per Ordinary Share to the dividends paid per Ordinary Share and dividing it by the NAV per Ordinary Share at the start of the year.

	31.03.2024 pence	31.03.2023 pence
Opening NAV per share (a)	100.97	112.45
Closing NAV per share	108.79	100.97
Increase/(decrease) in NAV per share (b)	7.82	(11.48)
Dividends paid per Ordinary Share (c)	10.46	7.27
Total NAV return ((b+c)/a)	18.10%	(3.74%)

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 year and divided by the closing book cost for the year, stated as a percentage.

	31.03.2024 £	31.03.2023 £
Interest income earned	74,803,793	64,542,727
Realised gains/(losses) on investments	53,903,533	(70,193,539)
Unrealised foreign exchange (losses)/gains on investments	(6,323,259)	4,205,417
Total portfolio income (a)	135,030,585	(9,856,229)
Closing portfolio book cost (b)	815,142,981	832,506,047
Portfolio performance (a/b)	16.57%	(1.17%)

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.

	31.03.2024 £	31.03.2023 £
Amounts payable under repurchase agreements (a)	14,090,507	49,827,700
Investments at fair value through profit or loss (b)	813,356,415	739,385,970
Repurchase agreement borrowing (a/b)	1.73%	6.74%

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

UK Legal Advisers to the Company

Hogan Lovells International LLP

Atlantic House

Holborn Viaduct

London, EC1A 2FG

Eversheds Sutherland (International) LLP

1 Wood Street

London, EC2V 7WS

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”)

Up until 21 June 2024

Apex Fundrock Limited

(previously called Maitland Institutional Services Limited)

Hamilton Centre

Rodney Way

Chelmsford, CM1 3BY

Effective 21 June 2024

Waystone Management Company (IE) Limited

35 Shelbourne Road

Ballsbridge

Dublin

Ireland

Financial Adviser and Corporate Broker

Deutsche Numis

45 Gresham Street

London, EC2V 7BF

Independent Auditor

KPMG Channel Islands Limited

Glategny Court

Glategny Esplanade

St Peter Port

Guernsey, GY1 1WR

Portfolio Manager

TwentyFour Asset Management LLP

8th Floor, The Monument Building

11 Monument Street

London, EC3R 8AF

Receiving Agent

Computershare Investor Services PLC

The Pavilions

Bridgwater Road

Bristol, BS13 8AE

Custodian, Principal Banker and Depositary

Northern Trust (Guernsey) Limited

PO Box 71

Trafalgar Court

Les Banques

St Peter Port

Guernsey, GY1 3DA

Registrar

Computershare Investor Services (Guernsey) Limited

1st Floor

Tudor House

Le Bordage

St Peter Port

Guernsey, GY1 1DB

Guernsey Legal Adviser to the Company

Carey Olsen

Carey House

Les Banques

St Peter Port

Guernsey, GY1 4BZ

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