REG-TwentyFour Income Fund: Final results for the year ended 31 March 2025
Wed 07:02
16 July 2025
TwentyFour Income Fund Limited
Final results for the year ended 31 March 2025
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 2025.
Financial highlights
* Total NAV return per ordinary share of 13.6% (2024: 19.4%)
* Record dividend payment of 11.07p per ordinary share for the year, well
ahead of the target 8p per annum (2024: 9.96p)
* Total net assets rose 3.7% to £843.79 million (2024: £813.54 million)
Portfolio highlights
* European ABS has performed strongly across the board, supported by: *
Stronger than expected macroeconomic conditions, including a resilient labour
market
* Higher for longer interest rates, providing a healthy income for floating
rate investors
* Strong demand for Residential Mortgage-backed Securities (“RMBS”) and
Collateralised Loan Obligations (“CLOs”), with record issuance during 2024
* CLOs were the best performing asset class during the period, returning 14.4%
and contributing 5.4% to portfolio return
* RMBS performance was driven by the allocation to buy-to-let mortgages, which
returned 29.2%, contributing 4.2% to the portfolio
* The portfolio continues to allocate to bank assets, following the
outperformance of European consumer ABS
* TwentyFour Asset Management LLP (the “Portfolio Manager”) continues to
allocate to Significant Risk Transfer (“SRT”), a growing market as
investors search for higher income products
Outlook
Despite the uncertain outlook for markets, exacerbated by geopolitical
tensions and inflationary sentiment from both the UK and US administrations,
consumers and corporates remain well-positioned in the UK and Europe.
At the same time, the expectation is that strong demand for floating rate
assets will lead to high levels of primary supply over the next 12 months as
investors continue to allocate to the consistent, high income provided by ABS
and CLOs.
The current market environment, coupled with strong supply in the sector, is
creating opportunities for the Portfolio Manager to allocate to higher
yielding and higher quality, secured assets. With the expectation of higher
for longer rates, the asset class should continue to deliver ongoing and
attractive levels of income.
Commenting on the results, Bronwyn Curtis OBE, Chair, said: “TFIF has
continued to deliver in line with its strategy for its investors, paying a
record balancing and full year dividend. As we look forward to the year ahead,
we remain confident in the Portfolio Manager’s ability to navigate
macro-economic challenges, through its strategy of maintaining liquidity and
flexibility in the portfolio, allowing it to take advantage of volatility and
allocating to sectors where it sees most opportunity.”
Aza Teeuwen, Portfolio Manager, TFIF said: “The past year has seen record
issuance and demand for both European ABS and CLOs, a trend we expect will
continue over the next 12 months, fuelled by strong inflows as investors seek
exposure to higher income.
We continue to favour senior secured assets and prime borrowers in case of
economic slowdown, but we hold a positive view on European and UK fundamentals
and believe that consumers and corporates are well-positioned overall.
With the prospect of elevated volatility due to heightened geopolitical
tensions, our current positioning is relatively liquid, with gearing as at 30
June 2025 at just -2.25%, affording us flexibility to adjust the portfolio as
value shifts.
As banks increase their use of ABS and RMBS, we have been able to diversify
and improve the quality of borrowers that the Company has exposure to, without
sacrificing income. The CLO pipeline should create attractive investment
opportunities into the summer, particularly as CLOs are increasingly
refinanced early. We are optimistic for the growth of the securitisation
market in Europe in the coming years, as proposed changes to capital charges
could help to encourage new participants.”
Ends
For further information please contact:
TwentyFour Income Fund +44 (0)20 7015 8900
Alistair Wilson
Deutsche Numis +44 (0)20 7260 1000
Hugh Jonathan / Matt Goss
JPES Partners +44 (0)20 7520 7620
Charlotte Walsh
Northern Trust International Fund Administration Services (Guernsey) Limited
Emma-Jayne Warden +44 (0) 1481 745724
TWENTYFOUR INCOME FUND LIMITED
ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS
For the year ended 31 March 2025
SUMMARY INFORMATION
LEI: 549300CCEV00IH2SU369
(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)
The Company
TwentyFour Income Fund Limited (the “Company”) is a closed-ended
investment company whose shares (“Ordinary Shares”, being the sole share
class) are listed on the Official List of the Financial Conduct Authority
(“FCA”). 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 of predominantly UK and
European Asset-Backed Securities (“ABS”). The Company maintains a
portfolio largely diversified by 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, and since 31 March 2023, has an annual target dividend each financial
year of 8% of the Issue Price (the equivalent of 8 pence per year, per
Ordinary Share). Total NAV return per Ordinary Share refers to the total gain
from the Company, which includes the increase or decrease in the Company’s
value (capital gains) and the income generated from dividends, whilst
reinvesting the dividends paid back into the NAV per Ordinary Share to
purchase additional shares at each ex-dividend date during the year.
Ongoing Charges
Ongoing charges for the year ended 31 March 2025 have been calculated in
accordance with the Association of Investment Companies (the “AIC”)
recommended methodology. The ongoing charges for the year ended 31 March 2025
were 0.89% (31 March 2024: 0.95%).
Discount
As at 4 July 2025, the discount to NAV had moved to a premium of 1.61%. The
estimated NAV per Ordinary Share and mid-market share price stood at 111.01p
and 112.80p, 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 2025 As at 31 March 2024
112.83p 108.79p
Share Price
As at 31 March 2025 As at 31 March 2024
111.60p 104.80p
Total Net Assets
As at 31 March 2025 As at 31 March 2024
£843.79 million £813.54 million
Total NAV Return per Ordinary Share
For the year ended 31 March 2025 For the year ended 31 March 2024
13.61% 19.44%
Dividends Declared per Ordinary Share
For the year ended 31 March 2025 For the year ended 31 March 2024
11.07p 9.96p
Dividends Paid per Ordinary Share
For the year ended 31 March 2025 For the year ended 31 March 2024
9.96p 10.46p
Ordinary Shares in issue
As at 31 March 2025 As at 31 March 2024
747.84 million 747.84 million
Repurchase Agreement Borrowing
As at 31 March 2025 As at 31 March 2024
0.50% 1.73%
Number of Positions in the Portfolio
As at 31 March 2025 As at 31 March 2024
206 204
Average Discount
For the year ended 31 March 2025 For the year ended 31 March 2024
(3.87%) (1.41%)
Please see the 'Glossary of Terms and Alternative Performance Measures' for
definitions how the above financial highlights are calculated.
CHAIR’S STATEMENT
for the year ended 31 March 2025
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 2025 (the “reporting period”).
The Company is a FTSE-250, closed-ended investment company that provides
investors with the opportunity to invest in higher yielding, floating rate ABS
in the UK and Western Europe, within a liquid equity wrapper.
The Company is an income fund which operates a full payout model, paying
substantially all income as dividends every year. It has consistently
delivered its target annual net total NAV return of 6-9% per annum of the
original issue price since inception in 2013 and through the interest rate
cycle, and has never had a default in its portfolio.
We are proud of the Company’s track record, delivering on its investment
strategy for investors, which was recognised this past financial year at the
Alternative Credit Investor awards in November 2024, where the Company was
awarded “Fund of the Year (sub $1bn)”. The Company’s investment
strategy, delivered by the expertise and active management of the team at
TwentyFour Asset Management LLP (the “Portfolio Manager”), has been key to
the Company’s success to date.
It is gratifying to see consistent demand for the Company’s shares,
including from retail investors, with AJ Bell plc reporting the Company in the
top 10 most popular investment trusts among do-it-yourself (“DIY”)
investors on the platform during 2024. This is testament to the 17.10% share
price total return delivered during the year, ahead of the wider investment
company sector, which generated an average return of 12%.
The Company continues to engage with investors – both institutional and
retail – via regular updates to the market on valuation, performance and
portfolio strategy. During the reporting period, the Company has delivered
presentations to investors, both in relation to financial results and
strategy, via an investor update to institutional investors held in November
2024 and through Investor Meet Company Limited, a platform for retail
investors.
The Company has also launched a LinkedIn page to increase awareness and
improve the flow of information to existing and potential investors. At a time
of uncertainty in the sector, particularly in relation to the Saba Capital
activist approach to a number of UK investment trusts, the Board is clear on
the importance of regular shareholder engagement and Board independence.
Investment Performance
In April 2025, the Company announced a record fourth quarter balancing
dividend for the financial year ended 31 March 2025 of 5.07 pence per Ordinary
Share. This made the full year dividend declared with respect to the reporting
period 11.07 pence per Ordinary Share, the highest annual dividend that the
Company has paid since its Initial Public Offering (“IPO”) in 2013. The
strategy of investing in higher yielding floating rate ABS, in a year that saw
UK interest rates fall from 5.25% to 4.5%, 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 increased 3.71% from
108.79p to 112.83p, and delivered a total return of 13.61%. The Company traded
at a narrow discount to NAV for most of the year, with a discount of 3.67% at
the beginning of the reporting period and a discount of 1.09% at the end of
March 2025. The period following the year end saw the Company return to
trading at a premium.
The NAV per Ordinary Share total return since launch is 152.97% to the end of
March 2025, which is an annualised return of 7.99%.
Dividend
The graphic below charts the dividend performance since the Company’s IPO.
The dotted line represents the annual target dividend of 6-8p per Ordinary
Share, which has always been achieved, and in some cases, quite substantially
surpassed. The columns are the actual dividend declared per Ordinary Share, on
a quarterly basis.
It shows that the Company has delivered a strong and consistent income stream
to shareholders since inception, by both meeting and raising its dividend
targets, achieved throughout the interest rate cycle.
The Company operates a full payout model, meaning it aims to distribute
substantially all its investment income to ordinary shareholders, by currently
targeting quarterly payments equivalent to an annual dividend of at least 8p
per Ordinary Share per year. The fourth quarter balancing dividend is used to
distribute any residual income generated in the year. This year, the fourth
quarter dividend was 5.07p per Ordinary Share, with the dividends declared by
the Company with respect to the reporting period totalling 11.07p per Ordinary
Share.
Premium/Discount and Share Capital Management
In another year that saw the wider investment company market trading at
discounts across the board, the Company stood out as one of the better
performers, with its shares trading at a narrow discount for the reporting
period, moving to a narrow premium to NAV for a large part of the period
subsequent to the year end.
The Company traded at an average discount of -3.87% for the whole reporting
period and, at the end of March 2025, it was trading at a discount of -1.09%,
a position significantly closer to NAV than the majority of the wider
investment company market.
The Company has not bought back any shares in this reporting period.
Annual General Meeting
The Company’s 2025 Annual General Meeting (“AGM”) will be held on 17
October 2025 at the offices of Northern Trust International Fund
Administration Services (Guernsey) Limited, Trafalgar Court, Les Banques, St
Peter Port, Guernsey, Channel Islands at 9:30am.
Realisation Opportunity
The next realisation opportunity, whereby investors can opt to sell their
shares back to the Company, is due to take place in October 2025. As investors
are aware, this is a key feature of the Company, allowing a liquidity option
in an otherwise closed-end fund. The three year realisation process was
initially established as a discount control mechanism and to offer investors
an additional liquidity option, but two of the three previous realisation
opportunities have led to the Company being able to issue additional shares
(in 2016 and 2022).
As part of the realisation process, a new prospectus will be produced, which
will allow the Board and the Portfolio Manager to consider potential updates
to the investment policy.
Details will be made available on this in due course, but could include
increasing the investment universe, and updating portfolio features and
restrictions. We look forward to engaging with investors in the coming months.
Market Overview
The reporting period marked another strong year for global markets, supported
by resilient consumer demand and a significant shift in the direction of
monetary policy. While overall returns were positive, periods of elevated
volatility were driven by escalating geopolitical tensions, a dense global
election calendar, and economic data surprises – particularly from the
United States – that kept investors attentive and markets responsive.
Consumer resilience remained a key anchor for market stability. Low
unemployment, combined with solid household balance sheets and real wage
growth, continued to underpin consumption, which in turn supported demand for
risk assets and the performance of securitised products. Despite higher
interest rates at the start of the year, household fundamentals held firm,
mitigating concerns around credit deterioration and reinforcing positive
collateral trends.
Inflationary pressures in early 2024 challenged expectations of a swift
rate-cutting cycle, pushing back market assumptions around the pace and timing
of central bank policy easing. However, by June 2024, sentiment had begun to
shift meaningfully, with rates cuts initiated by the European Central Bank
(“ECB”) by 25 basis points (“bps”), signalling a broader turning
point. Over the full period, the ECB reduced base rates by a cumulative
125bps, the Bank of England (“BoE”) by 75bps, and the Federal Reserve
(“Fed”) by 100bps.
In the US, the return of a Trump administration introduced a more
protectionist stance, with new tariff announcements fuelling inflation
concerns and prompting a shift toward risk-off positioning in markets. Despite
this, European assets showed relative strength, supported by renewed
commitments to higher defence spending and the associated positive impact on
regional growth expectations.
Credit markets fared well throughout the year. Leveraged loan defaults
declined meaningfully in both the US and Europe, as companies took advantage
of improved funding conditions and a benign refinancing environment. Investor
appetite remained robust, with excess liquidity entering the market early in
the year, helping to compress spreads and support a favourable technical
backdrop. The result was a record level of refinancing activity across the
leveraged loan space. Lower interest rates and tighter margins improved
coverage ratios and reduced immediate concerns around upcoming debt
maturities. Within the securitised space, European ABS performance remained
solid. Ratings and underlying asset performance were generally strong,
remaining well within investor tolerance levels. 2024 also marked a
record-breaking year for ABS issuance, with total volumes reaching €144
billion – surpassing the previous post-2008 high set in 2021.
Environmental, Social and Governance (“ESG”) Approach
The Company’s Portfolio Manager (“PM”) has continued to engage with
lenders on Scope 3 financed emissions in Residential Mortgage-Backed
Securities (“RMBS”) and ABS deals. Over the past 12 months, the market has
experienced an increase in green RMBS issuance, though volumes are still far
from the 2021 record high, while the Portfolio Manager has supported green
transactions and expects to see stable volumes for the remainder of 2025.
Within the Collateralised Loan Obligation (“CLO”) market, 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. The PM has also worked on several initiatives on the CLO side
through the European Leveraged Finance Association (“ELFA”). The latest
initiative was a paper outlining guidance for CLO managers on carbon and
climate disclosures.
At portfolio level, the PM has focused on CLO deals with positive and negative
screening managed by managers with strong ESG credentials.
Outlook
Strong demand for floating rate assets has led to very healthy ABS and CLO
supply volumes in the last 12 months and we expect to see similar levels of
primary activity over the next year. Spreads could remain range-bound and
currently they do offer a more balanced risk adjusted return, and with rates
still volatile and likely to stay higher for longer, the consistent high
income provided by ABS and CLOs should remain a key driver of outperformance
for the asset class.
The Board remains fully supportive of the Portfolio Manager’s active
strategy to continue to invest in higher yielding floating rate ABS. Their
meticulous credit process driven by a combination of bottom up and top down
approach has made them prioritise established lenders with strong track
records and conservative underwriting standards. The current environment
continues to warrant liquidity and flexibility, and should tariffs result in
extended market volatility, they believe this could offer attractive
opportunities to add exposure at materially wider spreads.
As the market continues to develop and expand, opportunities may present
themselves that would be outside of the current investment universe. The new
prospectus being produced for the realisation process in October 2025 will
allow the Board and the Portfolio Manager to consider potential updates to the
investment policy.
Bronwyn Curtis OBE
Chair
15 July 2025
PORTFOLIO MANAGER’S REPORT
for the year ended 31 March 2025
TwentyFour Asset Management LLP
TwentyFour Asset Management LLP, in our capacity as Portfolio Manager to the
Company, are pleased to present our report on the Company’s progress for the
year ended 31 March 2025.
Market Environment
The last 12 months represented another strong year for global risk assets, as
central banks embarked on a rate-cutting cycle and demand proved resilient.
The path, however, was not smooth, as escalating geopolitical tensions and
surprising market data prints, particularly from the US, stirred investors.
Once again, consumer resilience has supported markets, with low unemployment
and healthy household balance sheets reinforcing demand and supporting
collateral performance for securitised products.
Upside inflation surprises at the start of 2024 delayed market expectations of
rapid rate cuts, however by June 2024, the ECB had made the first 0.25% rate
cut of the cycle and markets were comfortable that the easing cycle had begun
globally. Over the period, the ECB cut base rates by 125bps, the BoE by 75bps
and the Fed by 100bps. The first Fed cut of 50bps occurred shortly after a
sharp sell-off in August 2024, triggered by weak US labour market data as
unemployment jumped to 4.3% and investors became increasingly worried about a
potential recession.
The global electoral calendar over the period has been significant, with over
60 nations heading to the polls during 2024 alone. With results indicating a
shift away from incumbents, and a mandate for change, we have seen policy
uncertainty across the world. Most notably, this has been driven by the Trump
administration’s foreign policy rhetoric and tariff threats. Despite the
risk-off tone in markets towards the end of the reporting period, some
outperformance from Europe as commitments to higher defence spending elevated
growth expectations.
Credit markets performed well over the reporting period, and defaults in the
leveraged loan market trended down in both the US and EU. The start of the
reporting period saw a significant level of excess cash on the sidelines,
which eventually led to narrower credit spreads because of strong market
support. Markets saw a record level of refinancings in the leveraged loan
market, and with both interest rates and margins reducing, coverage ratios
improved and concerns around debt maturities reduced materially. There were
pockets of weakness, particularly in the technology sector with negative
headlines around spending driven by artificial intelligence (“AI”),
however broadly companies were performing well. Labour markets have remained
strong, with unemployment ending the period at 4.4% in the UK and 6.2% across
the eurozone. Consumers continue to benefit from excess savings built up
during the Covid-19 period and with real wage increases during 2024, they
remain in a healthy position.
European ABS performance remained robust, with underlying asset performance
showing resilience and generally well within investor tolerance levels. There
has been a sustained divergence in the performance of UK non-conforming
borrowers, particularly in mortgage pools of pre-2008 loans (to which the
Company has no exposure), where the majority tend to be floating rate and thus
more exposed to elevated interest rates. However, given the rates trajectory,
we expect arrears to slowly reduce from here. The collateral performance in
Europe’s periphery has surprised to the upside as unemployment and household
savings are particularly strong.
2024 was a record year for ABS issuance, reaching €144 billion and
surpassing the previous post-2008 record of 2021. Demand was strong as yields
remained attractive, supporting credit spread tightening across securitised
products. In the CLO market, we have seen a remarkably high number of CLOs
being refinanced or repaying at par; this elevated level of repayments is
likely to persist in the medium term given the strong supply-demand technical
and increased leverage loan refinancings.
Performance
European ABS performance over the reporting period has been healthy across the
board. Spreads continued with the tightening bias set during 2024. While
inflation remained relatively sticky, central banks left base rates elevated,
which provided a healthy income for floating rate investors, and continued to
draw new income-seeking investors to the ABS market. Collateral performance
has remained resilient across consumer and corporate pools, as the labour
market continues to show resilience. Performance reflected spreads tightening,
particularly during the first half of 2024, with oversubscription of primary
transactions into the double digits. RMBS at the mezzanine level, where demand
is particularly buoyant, and especially CLOs were the main beneficiaries of
spread tightening, with BB-rated CLOs ending the period 50bps tighter and
making mezzanine CLOs the best performing asset class for the Company, with
CLOs returning 14.4% over the financial year, contributing 5.4% to portfolio
return. The best performing segment for the portfolio’s mortgage sector
holdings has been buy-to-let mortgages, where spread tightening has been
significant, making a contribution of 4.2% to portfolio return. The portfolio
has also remained active in mezzanine debt facilities within the UK
residential mortgage market facilitating diversification from the CLO
allocation.
The Company has benefitted from the outperformance of periphery European
consumer securitised pools, which has followed the solid macroeconomic
performance of the region. To that end, we have continued to allocate to
consumer securitisations from Western Europe, especially bank assets where
track record and performance is strong. Consumer ABS has returned 11.4% over
the financial year, although overall allocation limits the contribution to
portfolio return to 0.3%.
We continued to see the Significant Risk Transfer (“SRT”) market grow,
matched by demand as participants searched for higher income products. We
continue to allocate to SRTs, with a preference for consumer asset pools,
given a weaker outlook in the global corporate space in response to global
trade uncertainty. The global demand for SRTs has facilitated spread
tightening of over 100bps over the period, allowing a net return of 13.0%, and
contribution of 0.7% to the portfolio return in the financial year.
The NAV per Ordinary Share total return was 13.61%.
Portfolio Allocation
We have both added and reduced risk to the portfolio on many occasions over
the reporting period, mostly by rotations in the CLO bucket, and from
crystalising profits in RMBS. In the CLO market, the team used the strength of
demand for high-beta CLOs to improve the quality of the Company’s CLO
bucket, using proceeds to invest in primary market issuances.
Liquidity in the securitised market has been positive over the financial year,
as international participants have been active in both ABS and CLO markets.
The portfolio allocation approach has remained broadly unchanged over the
course of the year as the team favoured secured assets (RMBS and CLOs) over
unsecured assets from Western European lenders. The portfolio saw increased
allocations to mezzanine CLO trades over the year, including equity tranches,
a sector that we believe provides both diversification and an attractive yield
to the Company.
Though collateral performance has been generally strong, there has been some
underperformance in non-conforming RMBS, where borrowers are more vulnerable
to higher rates. We have reduced mezzanine non-conforming RMBS exposure in the
Company by 6.5% over the period to 8%, in favour of bank-originated lending,
mostly auto and consumer products from prime consumers, where collateral
performance is strong and there is a long track record.
The gearing of the Company was reduced by a percentage point over the
financial year to 0.5%, a low level in comparison to the available limit of
25%, but we remain flexible in deploying this should opportunities arise.
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 dividend
target. At the end of the reporting period, the portfolio had a healthy book
yield of 12.5% and a mark-to-market yield of 11.3%. Spreads have generally
tightened through the financial year, and we have looked to crystalise profits
on various older investments in favour of primary supply.
Given the increase in recessionary pricing from market participants, and
stress from global trade tensions, we believe there could continue to be a
deterioration in fundamental performance (with risks to unemployment shocks
and corporate defaults), and with the elevated geopolitical risks, 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 central
bank funding has been replaced with the public markets, we have seen banks
being more active, and this presents a growing opportunity set for the
Company.
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 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 Commercial
Mortgage-Backed Securities (“CMBS”), where information asymmetries are
particularly large. The allocation to CLO equity currently sits below 1% of
the portfolio; we may look to increase this allocation but this will be highly
dependent on economic outlook and fundamentals.
ESG
Throughout the reporting period, 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 an increase in green RMBS issuance, though volumes are
still far from the 2021 record high, while we have supported green
transactions and expect to see stable volumes for the remainder of 2025.
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 ELFA. The latest initiative was a
paper outlining guidance for CLO managers on carbon and climate disclosures.
At portfolio level, the team have focused on CLO deals with positive and
negative screening managed by managers with strong ESG credentials.
Market Outlook
Towards the end of the reporting period, broader credit markets entered a
risk-off phase as a response to increased uncertainty in global trade
relations and announcement of new tariffs from US president Donald Trump.
April was characterised by two weeks of heightened volatility and global broad
sell off.
Furthermore, the European securitised market saw CLOs (traditionally more
highly correlated to high yield markets and global economic outlook) softening
significantly with the move exacerbated by heavy supply, while ongoing strong
demand for ABS products supported spreads in the market, despite the
escalation in geopolitical risks and trade tensions.
Since then with Trump’s stance on tariffs easing, primary activity has
re-emerged and spreads have begun to retrace. While consumers continue to
display resilience (as a result of healthy savings and historically low
unemployment) and collateral performance is strong, inflationary sentiment
from the UK budget and proposed policies of the Trump administration will
likely point to more stringent conditions for consumers. However, the
market’s base case continues to point towards only a moderate slowdown in
economic growth and continues to appear complacent towards any source of
volatility. We remain constructive on European and UK fundamentals and view
consumers and corporates as generally well positioned.
After a record 2024 year for supply in ABS and CLO, we expect to see high
level of primary supply in the next 12 months fuelled by strong inflows, cash
on the sidelines and very strong technical. There is optimism for the growth
of the securitisation market in Europe in the coming years, as proposed
changes to capital charges could help to encourage new participants.
While risk sentiment in global markets has improved, we expect volatility in
all financial markets to stay elevated for a longer period and we continue to
favour liquidity and flexibility. After experiencing significant spread
tightening in the last couple of years, we expect spreads to maintain
range-bound and react wider to potential supply-demand imbalance and
volatility. This could present an opportunity to add bonds at significantly
wider spreads. The CLO market has traditionally shown the highest correlation
to credit markets, and this is likely where the most attractive opportunities
should present themselves.
We continue to monitor asset performance closely and favour true alignment of
interest in deals as well as well-capitalised lenders with established
domestic franchises, conservative underwriting standards and a proven track
record through the cycle.
TwentyFour Asset Management LLP
15 July 2025
TOP TWENTY HOLDINGS
as at 31 March 2025
Percentage of Net Asset Value
Nominal/ Asset-Backed Fair Value
Security Shares Security Sector* £
VSK HOLDINGS LTD '4 C7-1' VAR 30/11/2056 4,500,000 RMBS 40,661,351 4.82
UK MORTGAGES CORP FDG DAC KPF1 A 0.0% 31/07/2070 24,977,490 RMBS 28,891,014 3.42
WILMSLOW ASSET BACKED SEUCIRITES SR 1 CL B FLTG RT 26,897,000 RMBS 26,897,000 3.19
UK MORTGAGES CORP FDG DAC KPF2 A 0.0% 31/07/2070 12,905,859 RMBS 23,161,526 2.74
UK MORTGAGES CORPORATE F 'KPF4 A' 0.00% 30/11/2070 21,897,957 RMBS 20,081,171 2.38
DEUTSCHE BANK AG/CRAFT 202 '1X CLN' FRN 21/11/2033 23,000,000 SRT 18,633,464 2.21
LLOYDS BANK PLC FRN 19/11/2029 17,250,000 SRT 17,560,138 2.08
SYON SECURITIES 19-1 B CLO FLT 19/07/2026 14,908,997 RMBS 15,060,875 1.79
EQTY. RELEASE FNDG. NO 5 '5 B' FRN 14/07/2050 16,500,000 RMBS 14,701,500 1.74
HABANERO LTD '6W B' VAR 5/4/2024 13,999,500 RMBS 13,999,500 1.66
UKDAC MTGE 'KPF3 A' 0.0% 31/7/2070 16,509,028 RMBS 13,830,769 1.64
RRME 8X D '8X D' FRN 15/10/2036 13,000,000 CLO 10,879,987 1.29
RRE 8 LOAN MANAGEMENT DESIGNATED AC BDS 15/07/2040 13,000,000 CLO 10,879,411 1.29
ARMADA EURO CLO IV DAC '4X FR' FRN 15/01/2038 12,500,000 CLO 10,164,623 1.20
TULPENHUIS 0.0% 18/04/2051 11,135,648 RMBS 9,619,142 1.14
SYON SECS. 2020-2 DAC '2 B' FRN 17/12/2027 8,739,172 RMBS 9,129,166 1.08
HIGHWAYS 2021 PLC '1X D' FRN 18/11/2026 8,000,000 CMBS 8,033,968 0.95
SYON SECURITIES 2020-2 DESIGNATED A FLTG 17/12/202 6,972,242 RMBS 7,179,018 0.85
UK MORTGAGES CORP FDG DAC CHL1 A 0.0% 31/07/2070 5,200,801 RMBS 7,138,500 0.85
VITA SCIENTIA 2022-1 DAC '1X D' FRN 27/02/2033 9,000,000 CMBS 7,137,665 0.85
313,639,788 37.17
The full portfolio listing as at 31 March 2025 can be obtained from the
Administrator on request.
* Definition of Terms
“CLO” – Collateralised Loan Obligations
“CMBS” – Commercial Mortgage-Backed Securities
“RMBS”- Residential Mortgage-Backed Securities
“SRT” – Significant Risk Transfer
BOARD MEMBERS
Biographical details of the Directors are as follows:
Bronwyn Curtis OBE - (Non-Executive Director and Chair)
Ms Curtis is a resident of the United Kingdom, an experienced chair,
non-executive director and senior executive across banking, media, commodities
and consulting, with global or European wide leadership responsibilities for
20 years at HSBC Bank plc, Bloomberg LP, Nomura International and Deutsche
Bank Group. She is currently non-executive director at Pershing Square
Holdings, BH Macro Limited and a number of private companies. She is also a
regular commentator in the media on markets and economics. Ms Curtis was
appointed to the Board on 12 July 2022 and was appointed Chair on 14 October
2022.
Joanne Fintzen - (Non-Executive Director and Senior Independent Director)
Ms Fintzen is a resident of the United Kingdom, with extensive experience of
the finance sector and the investment industry. She trained as a solicitor
with Clifford Chance and worked in the banking, fixed income and
securitisation areas. She joined Citigroup in 1999 providing legal coverage to
an asset management division. She was subsequently appointed as European
general counsel for Citigroup Alternative Investments where she was
responsible for the provision of legal and structuring support for vehicles
which invested $100bn in asset-backed securities as well as hedge funds
investing in various different strategies in addition to private equity and
venture capital funds. Ms Fintzen is currently non-executive director of
JPMorgan Claverhouse Investment Trust plc. Ms Fintzen was appointed to the
Board on 7 January 2019 and was appointed Senior Independent Director on 14
October 2022.
John de Garis - (Non-Executive Director and Chair of the Nomination and
Remuneration Committee)
Mr de Garis is a resident of Guernsey with over 30 years of experience in
investment management. He is managing director and chief investment officer of
Rocq Capital founded in July 2016 following the management buyout of Edmond de
Rothschild (C.I.) Ltd. He joined Edmond de Rothschild in 2008 as Chief
Investment Officer following 17 years at Credit Suisse Asset Management in
London, where his last role was Head of European and Sterling Fixed Income. He
began his career in the City of London in 1987 at Provident Mutual before
joining MAP Fund Managers where he gained experience managing passive equity
portfolios. He is a non-executive director of VinaCapital Investment
Management Limited in Guernsey. Mr de Garis is a Chartered Fellow of the
Chartered Institute for Securities and Investment and holds the Certificate in
Private Client Investment Advice and Management. Mr de Garis was appointed to
the Board on 9 July 2021.
Paul Le Page (Non-Executive Director and Chair of the Management Engagement
Committee)
Paul Le Page is a resident of Guernsey and has over 25 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 interim
chair of NextEnergy Solar Fund Limited, and a non-executive director of 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 BH Macro Limited, Super Group (SGHC) Limited, and a
number of other private companies and investment funds. Mr Le Poidevin was
appointed to the Board on 9 July 2021 and was appointed Chair of the Audit
Committee on 14 October 2022.
DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK
EXCHANGES
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
Super Group (SGHC) Limited New York
STRATEGIC REPORT
for the year ended 31 March 2025
The Directors submit to the Shareholders their Strategic Report for the year
ended 31 March 2025.
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 ABS.
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 Ordinary Share for 2025 totalled 11.07p (2024:
9.96p) representing 99.99% of the total income available for distribution 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.
Investment Valuation and Market Risk
Market risk is the risk associated with changes in market prices or rates
including spreads, interest rates, availability of credit, inflation rates,
economic uncertainty, changes in laws and political circumstances, which may
affect the value of the Company’s investments. Whilst the Company holds a
diversified portfolio of assets, during rapid changes in market conditions it
may be difficult to value certain investments and values may fluctuate
considerably and quickly become out of date and may not reflect the value
which would be realised on sale.
Liquidity Risk
Liquidity risk is the risk that the Company may not be able to sell securities
at a given price and/or over the desired timeframe. Investments made by the
Company may be relatively illiquid. Some investments held by the Company may
take longer to realise than others and this may limit the ability of the
Company to realise its investments and meet its target dividend payments in
the scenario where the Company has insufficient income arising from its
underlying investments. The Company has the ability to borrow to ensure
sufficient cash flows and the Portfolio Manager maintains a liquidity
management policy to monitor the liquidity risk of the Company.
Credit Risk and Investment Performance
Credit risk arises when the issuer of a settled security held by the Company
experiences financing difficulties or defaults on its payment obligations
resulting in an adverse impact on the market price of the security.
The Company holds debt securities including ABS which, compared to bonds
issued or guaranteed by developed market governments, are generally exposed to
greater risk of default in the repayment of the capital provided to the issuer
or interest payments due to the Company. The amount of credit risk for an ABS
is typically indicated by a credit rating which is assigned by one or more
internationally recognised rating agencies. This does not amount to a
guarantee of creditworthiness of an ABS but generally provides a strong
indicator of the likelihood of default. Securities which have a lower credit
rating are generally considered to have a higher credit risk and a greater
possibility of default than more highly rated securities. There is a risk that
an internationally recognised rating agency may assign incorrect or
inappropriate credit ratings to ABS issues. Issuers often issue securities
which are ranked in order of seniority which, in the event of default, would
be reflected in the priority in which investors might be paid back. Whilst
they have been historically low since the inception of the Company, the level
of defaults in the portfolio and the losses suffered on such defaults may
increase in the event of adverse financial or credit market conditions.
The Company is also exposed to unrated equity tranches of ABS that invest
predominantly in the residential mortgage markets in the UK and the
Netherlands where the Company originates and purchases securitisations,
respectively. Under EU and UK laws, originators of securitisations are
required to retain 5% of the value of their securitisation which creates a
retention risk. As equity tranches bear first loss in the event of a default,
the Company may also diversify its retention risk by holding more senior
tranches in the securitisations that it issues, a process known as a vertical
tranche retention. Realised default rates for RMBS securities have
historically been very low since the global financial crisis.
In the event of a default of an ABS, the Company’s right to financial
recovery will depend on its ability to exercise any rights that it has against
the borrower under the insolvency legislation of the jurisdiction in which the
borrower is incorporated. As a creditor, the Company’s level of protection
and rights of enforcement may therefore vary significantly by asset type 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. In respect of individual SRTs, the Company is directly
exposed to the originating regulated entity as counterparty on whose balance
sheet the loans are held. 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.
Transaction Risks – Settlement and Counterparty Credit Risks
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.
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.
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 £94.2m 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,
Alternative Investment Fund Manager (“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 or
timely accounting records and published financial information or fail to
comply with requirements of its Admission document, the regulations of the FCA
or the Guernsey Financial Services Commission. The accounting records prepared
by the Administrator are reviewed by the Portfolio Manager. The Portfolio
Manager is responsible for estimating the remaining expected life of a
security and its likely terminal value, which has an impact on the effective
interest rate of the ABS, which in turn impacts the calculation of interest
income. 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.
Cyber Security Risks
The Company is exposed to the risk arising from a successful cyber-attack
through its service providers. The Company requires its service providers to
confirm 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 indirectly exposed to the risk of geopolitical and economic
events, covering disruption arising from economic uncertainty and volatility,
including any change or disruption to global trade and economic policy,
resulting from significant shifts in long-standing policy positions of major
economies. When geopolitical risks are heightened, this raises the possibility
of adverse shocks to both growth and inflation in the UK and Europe which
could lead to risk premiums demanded by the market rising as risk sentiment
deteriorates and wider spreads that result in lower cash prices. The Board and
Portfolio Manager monitor global events in order to mitigate any collateral
impact on the Company and its performance including the current conflicts in
Ukraine and the Middle East, and the threat of tariffs. Neither the Company,
nor its key service providers hold any assets or have any operations in
Ukraine, Belarus, Russia, or the Middle East, and there is not expected to be
any direct adverse impact from military operations on the activity (including
processes and procedures) of the Company. The Board remains fully supportive
of the Portfolio Manager’s active strategy to continue to invest in higher
yielding, floating rate ABS, which is expected to offer attractive
opportunities to add exposure at materially wider spreads, should tariffs
result in extended market volatility.
Climate Change Risk
The Board recognises the importance of this emerging risk which is the risk of
the Company not responding sufficiently to evolving regulatory requirements or
the expectations of stakeholders to assess and disclose the impact of climate
change on investment portfolios and address concerns on what impact the
Company and its portfolio has on the environment.
Regular contact is maintained by the Portfolio Manager and Corporate Broker
with major stakeholders and the Board receives regular updates from the
Portfolio Manager on emerging policy and best practice within this area and
can take action accordingly.
ESG factors are assessed by the Portfolio Manager for every transaction as
part of the investment process. Specifically for ABS, for every transaction an
ESG assessment is produced by the Portfolio Manager and an ESG score is
assigned. External ESG factors are factors related to the debt issuers of ABS
transactions and they are assessed through a combination of internal and
third-party data. Climate risks are incorporated in the ESG analysis under
environmental factors and taken into consideration in the final investment
decision. CO2 emissions are tracked at issuer and deal level where information
is available. Given the bankruptcy-remoteness feature of securitisation
transactions, the climate risks which the Portfolio Manager considers more
relevant and that are able to potentially impact the value of the investment
are the ones related to the underlying collateral which include physical and
transitional risks. Those risks are also assessed and considered as
environmental factors in the ESG analysis.
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 2025, 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 UKLR 6.6.6R(9) and
UKLR 16.3.29R(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. As an
externally-managed investment company with no chief executive officer or chief
financial officer, the roles which qualify as senior under FCA guidance are
Chair and Senior Independent Director. The Board also considers Chair of the
Audit Committee to represent a senior role within this context); 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 the 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 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://twentyfourincomefund.com/documents/
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 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 2025 was 112.83p, based on net assets as at this date of
£843,786,521 divided by number of Ordinary Shares in issue of 747,836,661 (31
March 2024: 108.79p based on net assets of £813,539,986 divided by number of
Ordinary Shares in issue of 747,836,661).
The NAV increase over the period has been driven by the strong performance of
European ABS, with spreads tightening whilst base rates decreased, albeit
remaining ‘higher for longer’, also driving coupon income for the
Company’s portfolio holdings. Mezzanine RMBS and especially CLOs were the
main beneficiaries of spread tightening, resulting in strong performance for
the year for the portfolio holdings. Performance was also driven by the
reinvestment of amortisations.
The total NAV return per Ordinary Share for the year was 13.61%. 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 2025, the share price was 111.60p (31 March 2024: 104.80p).
Earnings per Ordinary Share – Basic and Diluted
Earnings per Ordinary Share is calculated by dividing the net earnings for the
year of £104,731,066 (31 March 2024: net earnings of £134,014,165) by the
weighted average number of shares for the year of 747,836,661 (31 March 2024:
745,285,022). The net income for the year has been primarily driven by income
generated by the Company’s assets. Market sentiment is discussed in further
detail within the Chair’s statement.
For the year ended 31 March 2025, the earnings per Ordinary Share was 14.00p
(31 March 2024: 18.25p).
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 2025, the discount to NAV was 1.09% (31 March 2024: discount of
3.67%).
Ongoing Charges
Ongoing charges for the year ended 31 March 2025 have been calculated in
accordance with 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 2025 were 0.89% (31 March
2024: 0.95%). The ongoing charges were calculated as follows:
31.03.2025 31.03.2024
£ £
Ongoing Charges
Average NAV for the year (a) 823,422,420 763,780,078
Total expenses 7,370,303 7,306,049
Less: Expenses not recognised as part of the
AIC Ongoing Charges Methodology (15,334) (47,305)
Total recognised expenses (b) 7,354,969 7,258,744
Ongoing Charges (b/a) 0.89% 0.95%
Dividends
Since 24 February 2023, the annual target dividend has been 8 pence per
Ordinary Share. This is in excess of the minimum dividend target of 6p for the
year, which if not met, a Continuation Vote is required.
The dividend yield for the year ended 31 March 2025 was 9.92% (31 March 2024:
9.50%) meaning that the Company exceeded its dividend target for the current
year. The following dividends were declared in respect of the year ended 31
March 2025:
Period to Dividend rate per Ordinary Share (£) Net dividend payable (£) Ex-dividend date Record date Pay date
30 June 2024 0.0200 14,956,733 18 July 2024 19 July 2024 2 August 2024
30 September 2024 0.0200 14,956,733 17 October 2024 18 October 2024 1 November 2024
31 December 2024 0.0200 14,956,733 16 January 2025 17 January 2025 3 February 2025
31 March 2025 0.0507 37,915,319 17 April 2025 22 April 2025 6 May 2025
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
ABS.
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 2025.
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 minimum dividend target annually
during the three-year period. In the event that the Company does not meet the
minimum 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 October
2025. The Board’s view, having consulted with the Company’s Corporate
Broker, Portfolio Manager and a number of investors, is that should the share
price remain at the current levels, relative to the NAV, they would not expect
to see a major incentive to redeem.
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 that the Realisation Opportunity is
currently a low risk to the viability prospects of the Company.
Market Uncertainty
The year saw strong performance for most sectors held in the Company’s
portfolio, especially secured assets such as RMBS, Auto ABS and CLOs, which
were supported by robust fundamental performance, including low unemployment
and a strong labour market. While this is in line with expectations, unsecured
consumer lending did show weakening performance as arrears levels increased in
Germany and Spain, showing that the more vulnerable borrowers struggled with
the higher cost of living. These increases are not material enough to cause
concerns on credit quality, but the Portfolio Manager has preferred secured
lending for this reason.
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. The price recovery seen since
October 2022 supports their view at the time that, based on their stress
modelling, the material price moves seen were largely attributable to market
liquidity rather than concerns around credit performance.
Between 31 March 2025 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 Investment Objectives and Policy Summary Information
the long term 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 environment Environmental, Social and Governance Strategic Report
Maintaining high standard of business conduct Corporate Governance Directors' Report
Signed on behalf of the Board of Directors on 15 July 2025 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 2025.
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
Company’s Ordinary Shares were listed on the Official List of the FCA 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 pursuant to 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 AGM date of the
Company (the “Reorganisation Date”), will be offered at the AGM 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 October 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 exceeded its minimum dividend target of 6 pence per Ordinary
Share per year, for the year ended 31 March 2025, 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
levels of inflation generally remaining above target, a higher global interest
rate environment and the next Realisation Opportunity has been considered as
part of the Viability Statement.
On 31 March 2025, the Company’s cash balance was 2.92% of total net assets
(2024: 1.62%).
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 £82,785,518 in respect of income
available for distribution earned during the year ended 31 March 2025, a
breakdown of which can be found in note 21 to the financial statements.
Dividends paid during the year amounted to £74,484,531 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 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 Waystone
Management (IE) Limited (“Waystone”), effective 21 June 2024 upon
retirement of the previous AIFM, Apex Fundrock Ltd (“Apex”). The AIFM is
entitled to receive from the Company a minimum fee of £65,000 per annum and
fees are payable monthly or quarterly in arrears at a rate of 0.03% of the Net
Assets below £250 million, 0.025% of the Net Assets between £250 million and
£500 million, 0.02% on Net Assets between £500 million and £1 billion and
0.015% on Net Assets in excess of £1 billion. For additional information,
refer to note 16 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 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 2025, Directors of the Company held the following Ordinary
Shares beneficially:
31.03.25 31.03.24
Number of Number of
Ordinary Shares Ordinary Shares
Bronwyn Curtis 114,154 114,154
John Le Poidevin ¹ 354,800 260,121
John de Garis 39,753 39,753
Joanne Fintzen ² 86,260 38,538
Paul Le Page 49,457 49,457
¹ On 2 August 2024, John Le Poidevin purchased 94,679 Ordinary Shares.
² On 5 April 2024, Joanne Fintzen purchased 47,722 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 FCA requires all UK 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 2024 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 on the Financial Reporting
Council’s website, www.frc.org.uk.
Throughout the year ended 31 March 2025, the Company has complied with the
recommendations of the 2024 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.
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.
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 following 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 Meetings
Held Attended Held Attended Held Attended Held Attended
Bronwyn Curtis 4 4 3 3 1 1 1 1
John Le Poidevin 4 4 3 3 1 1 1 1
John de Garis 4 3 3 2 1 1 1 1
Joanne Fintzen 4 4 3 3 1 1 1 1
Paul Le Page 4 4 3 3 1 1 1 1
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 2025.
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 12 September 2024 AGM, all continuing
Directors were re-elected. 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 Paul Le Page serving as
chair. 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
12 September 2024 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.
Audit Committee
The Audit Committee comprises the entire Board, with the exception of the
Chair of the Board, with John Le Poidevin serving 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
A Remuneration and Nomination Committee has been established consisting of all
Directors, with John de Garis serving as chair.
The Remuneration and Nomination Committee met on 11 March 2025, where,
following a review of external market data, levels of inflation and the time
and responsibilities expected of directors in future years, the Committee
recommended the following Directors’ fee increases with effect from 1 April
2025: Chair, increase from £75,000 to £80,750 per annum; Audit Chair,
increase from £60,000 to £65,000 per annum; Committee Chair, increase from
£50,000 to £54,500 per annum; Senior Independent Director, increase from
£50,000 to £54,500 per annum; and that all other Directors’ fees increase
from £48,000 to £52,400 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.
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. Principal risks and uncertainties are set out in
the Strategic 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 and presentations occurred during the year.
The Portfolio Manager and Corporate Broker maintain a regular dialogue with
institutional Shareholders, the feedback from which is reported to the Board.
The Company’s 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 9 May 2025 (latest available) were as follows:
Number of Ordinary Shares Percentage of issued share capital
Investec Wealth & Investment 82,688,049 11.06%
Hargreaves Lansdown Asset Management 43,289,186 5.79%
TwentyFour Asset Management 40,546,948 5.42%
Interactive Investor (EO) 33,737,018 4.51%
Aviva Investors 26,922,726 3.60%
AJ Bell (EO) 25,387,354 3.39%
Killik & Co 25,247,658 3.38%
RBC Brewin Dolphin 24,478,856 3.27%
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 15 July 2025 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 2025;
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 Report of the Depositary to the Shareholders 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
15 July 2025
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 FCA. An ordinary
resolution for the approval of the annual remuneration report will be put to
the Shareholders at the AGM to be held on 17 October 2025.
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 2025, the Directors received the following annual
remuneration in the form of Directors’ fees:
31.03.25
Total fees
(£)
Bronwyn Curtis 75,000
John Le Poidevin 60,000
John de Garis 50,000
Joanne Fintzen 50,000
Paul Le Page 50,000
285,000
During the year, the annual fees were £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 the Chair
of the Management Engagement Committee, and £48,000 for all other Directors.
Effective 1 April 2025, following a review of external market data, levels of
inflation and the time and responsibilities expected of directors in future
years, the annual fees were increased to £80,750 for the Chair of the Board,
£65,000 for the Audit Committee Chair, £54,500 for the Senior Independent
Director, the Chair of the Remuneration and Nomination Committee and Chair of
the Management Engagement Committee, and £52,400 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 12 September 2024 AGM, all Directors
were re-elected to the Board. 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 15 July 2025 by:
John de Garis
Chair, Remuneration and Nomination Committee
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 2025.
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 2024 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, 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 12 September 2024. The Board receives
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.
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 £835,130,603 as at 31 March
2025 (31 March 2024: £813,356,415), 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 2025.
(ii) Income recognition:
The Audit Committee considered the calculation of income from investments
recorded in the financial statements as at 31 March 2025. 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,
which is set out in the Audit Committee’s terms of reference. The external
audit plan includes an analysis of the key audit risks and calculation 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, 2024.
On a semi-annual basis, the auditor reports to the Audit Committee on the
independence of its relationship with the Company including information about
policies and processes for maintaining independence and monitoring compliance
with relevant requirements.
Any other services for which the Company may appoint the auditor are only
considered where they are in accordance with the FRC’s Revised Ethical
Standard 2024, do not compromise auditor independence and where the auditor is
considered best-placed amongst relevant service providers to provide such
services, which 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
2025 and the year ended 31 March 2024.
01.04.24 to 31.03.25 01.04.23 to 31.03.24
KPMG Channel Islands Limited - Assurance work £ £
- Annual audit 156,000 156,000
- Interim review 35,000 35,000
Ratio of audit to non-audit work 1 : 0.22 1 : 0.22
Alongside auditor independence, the Audit Committee considers the quality of
the audit plan, subsequent execution and composition of the audit team in
formulating its recommendation to the Board regarding the reappointment of the
external auditor.
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 15 July 2025
and signed on behalf by:
John Le Poidevin
Chair, Audit Committee
15 July 2025
ALTERNATIVE INVESTMENT FUND MANAGER’S REPORT
for the year ended 31 March 2025
Apex Fundrock Limited (previously called Maitland Institutional Services Ltd)
acted as the Alternative Investment Fund Manager (“Apex”) of TwentyFour
Income Fund Limited (“the Company”) providing portfolio management and
risk management services to the Company until 21 June 2024.
Apex delegated the following of its alternative investment fund management
functions:
* It delegated the portfolio management function for listed and unlisted
investments to TwentyFour Asset Management LLP.
Apex was 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.
Apex was 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
Apex was 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
Apex’s compliance with its duty to act in the best interests of the funds it
manages.
Apex 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.
Apex also acted 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 Apex 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 15 £1,499,000 £414,000
Remuneration paid to employees of the ACD who are material risk takers 5 £735,000 £254,000
Further information is available in Apex’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 Apex.
In so far as the Apex 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
• Apex 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 Apex Fundrock Limited.
A C Deptford
P Foley-Brickley
L A Poynter
S Gunson
Directors
Apex Fundrock Limited
15 July 2025
Waystone Management Company (IE) Limited acts as the Alternative Investment
Fund Manager (“AIFM”) of the Company providing portfolio management and
risk management services to the Company. This report covers the period from 21
June 2024 (date of our appointment) to 31 March 2025.
The AIFM has delegated the following of its alternative investment fund
management functions:
* It has delegated the portfolio management function for listed and 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 Ireland (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 has designed and implemented a remuneration policy (the “Policy”)
in line with the provisions of S.I. 257 of 2013 European Union (Alternative
Investment Fund Managers) Regulations 2013 (the “AIFM Regulations”), S.I.
352 of 2011 European Communities (Undertakings for Collective Investment in
Transferable Securities) Regulations 2011 (as amended) (the “UCITS
Regulations”) and of the ESMA Guidelines on sound remuneration policies
under the UCITS Directive and AIFMD (the “ESMA Guidelines”). The Policy is
designed to ensure that the remuneration of key decision makers is aligned
with the management of short and long-term risks, including the oversight and
where appropriate the management of sustainability risks in line with the
Sustainable Finance Disclosure Regulations.
The AIFM’s remuneration policy applies to its identified staff whose
professional activities might have a material impact on the Company’s risk
profile and so covers senior management, risk takers, control functions and
any employees receiving total remuneration that takes them into the same
remuneration bracket as senior management and risk takers and whose
professional activities have a material impact on the risk profile of the
Company. The AIFM’s policy is to pay identified staff a fixed component with
the potential for identified staff to receive a variable component. It is
intended that the fixed component will represent a sufficiently high
proportion of the total remuneration of the individual to allow the AIFM to
operate a fully flexible policy, with the possibility of not paying any
variable component. When the AIFM pays a variable component as performance
related pay certain criteria, as set out in the AIFM’s remuneration policy,
must be adhered to. The various remuneration components are combined to ensure
an appropriate and balanced remuneration package that reflects the relevant
staff rank and professional activity as well as best market practice. The
AIFM’s remuneration policy is consistent with, and promotes, sound and
effective risk management and does not encourage risk-taking which is
inconsistent with the risk profile of the funds it manages.
These disclosures are made in respect of the remuneration policies of the
AIFM. The disclosures are made in accordance with the ESMA Guidelines.
Total remuneration (in EUR) paid to the identified staff of the AIFM fully or
partly involved in the activities of the Company that have a material impact
on the Company’s risk profile during the financial year to 31 December 2024
(the AIFM’s financial year):
EUR GBP
Fixed remuneration
Senior Management 3,377,918 2,859,810
Other identified staff - -
Variable remuneration
Senior Management 732,962 620,540
Other identified staff - -
Total remuneration paid 4,110,880 3,480,350
Number of identified staff – 20
Neither the AIFM nor the Company pays any fixed or variable remuneration to
identified staff of the Portfolio Manager.
There have been no material changes made to the Remuneration Policy or the
AIFM’s remuneration practices and procedures during the financial year.
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, Waystone
Management Company (IE) Limited.
Peadar De Barra
Waystone Management Company (IE) Limited
15 July 2025
REPORT OF THE DEPOSITARY TO THE SHAREHOLDERS
for the year ended 31 March 2025
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 Waystone Management Company (IE) Limited
(the “AIFM”) and the Company for the year ended 31 March 2025, 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
15 July 2025
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 2025, 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 2025, 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 (unchanged from 2024):
The risk Our response
Financial assets at fair value through profit or loss - Investments (“investments”) Valuation of investments Our audit procedures included:
£835,130,603 (2024: £813,356,415) Refer to the Audit Committee Report, note 2(f) (material 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 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;
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 * Performed retrospective testing on realised positions to assess the reliability and accuracy of management’s valuations and for any evidence of valuation bias;
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 * 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;
represents the majority of the net assets. To determine the valuation of investments, the Portfolio Manager requests external prices from independent pricing vendors or, * For a risk based selection of 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;
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 * 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
determine, with the assistance of an independent valuation expert, the valuation based on internal models, which may include benchmarking to comparable transactions, * Assessed the fair value levelling of the investments held by the Company at year-end.
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 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.
and error given the high level of subjectivity, estimation uncertainty and complexity when deriving fair value.
Our application of materiality and an overview of the scope of our audit
Materiality for the financial statements as a whole was set at £16,500,000,
determined with reference to a benchmark of net assets of £843,786,521, of
which it represents approximately 2.0% (2024: 2%).
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 75% (2024: 65%) of materiality for the financial
statements as a whole, which equates to £12,300,000. 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 £825,000, 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 were:
• Availability of capital to meet operating costs and other
financial commitments; and
• The outcome of the next realisation opportunity.
We considered whether these risks 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.
We also considered the risk that the outcome of the realisation opportunity
could affect the Company over the going concern period, by considering
outcomes of previous realisation opportunities and considering key financial
metrics including the Company’s share price relative to its reported net
asset value per share over the past 12 months.
We considered whether the going concern disclosure in note 2(a) to the
financial statements gives a full and accurate description of the directors'
assessment of going concern.
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 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 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 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 responsibilities
Directors' responsibilities
As explained more fully in their statement, 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
15 July 2025
STATEMENT OF COMPREHENSIVE INCOME
For the year ended 31 March 2025
Year ended Year ended
31.03.25 31.03.24
Notes £ £
Income
Interest income on financial assets at fair value through profit or loss 80,949,982 73,921,243
Net foreign currency gains 8 16,340,353 15,368,676
Net gains on financial assets at fair value through profit or loss 9 15,111,788 53,903,533
Net losses on swaps (903,927) -
Bank interest income 1,225,155 882,550
Total income 112,723,351 144,076,002
Operating expenses
Portfolio management fees 15 (5,636,256) (5,690,248)
Directors' fees 15 (285,000) (254,304)
Administration and secretarial fees 16 (387,527) (358,119)
Audit fees (156,000) (156,000)
Custody fees 16 (83,019) (75,874)
Broker fees (45,977) (50,002)
AIFM management fees 16 (222,270) (257,384)
Depositary fees 16 (111,335) (102,283)
Legal and professional fees (210,515) (76,103)
Listing fees (21,456) (25,000)
Registration fees (42,356) (64,792)
Other expenses (168,592) (195,940)
Total operating expenses (7,370,303) (7,306,049)
Total operating profit 105,353,048 136,769,953
Finance costs on repurchase agreements 12 (621,982) (755,788)
Total comprehensive income for the year* 104,731,066 136,014,165
Earnings per Ordinary Share - Basic & Diluted 4 0.1400 0.1825
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 2025
31.03.2025 31.03.2024
Notes £ £
Assets
Financial assets at fair value through profit or loss
- Investments 9 835,130,603 813,356,415
- Derivative assets: Forward currency contracts 18 3,009,311 1,958,943
Amounts due from brokers 3,514,887 3,427,786
Other receivables 10 8,108,910 7,642,019
Cash and cash equivalents 24,613,448 13,142,803
Total assets 874,377,159 839,527,966
Liabilities
Financial liabilities at fair value through profit or loss
- Derivative liabilities: Forward currency contracts 18 106,387 20,877
Amounts payable under repurchase agreements 12 4,168,090 14,090,507
Amounts due to brokers 24,886,494 10,596,437
Other payables 11 1,429,667 1,280,159
Total liabilities 30,590,638 25,987,980
Net assets 843,786,521 813,539,986
Equity
Share capital account 13 780,234,543 780,234,543
Retained earnings 63,551,978 33,305,443
Total equity 843,786,521 813,539,986
Ordinary Shares in issue 13 747,836,661 747,836,661
Net Asset Value per Ordinary Share (pence) 6 112.83 108.79
The Audited Financial Statements were approved by the Board of Directors on 15
July 2025 and signed on its behalf by:
Bronwyn Curtis John Le Poidevin
Director Director
The accompanying notes form an integral part of these Financial Statements.
STATEMENT OF CHANGES IN EQUITY
For the year ended 31 March 2025
Share capital Retained
account earnings Total
Note £ £ £
Balances at 1 April 2024 780,234,543 33,305,443 813,539,986
Dividends paid 21 - (74,484,531) (74,484,531)
Total comprehensive income for the year - 104,731,066 104,731,066
Balances at 31 March 2025 780,234,543 63,551,978 843,786,521
Share capital (Accumulated losses)
account /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
The accompanying notes form an integral part of these Financial Statements.
STATEMENT OF CASH FLOWS
For the year ended 31 March 2025
Year ended Year ended
Notes 31.03.25 31.03.24
£ £
Cash flows from operating activities
Total comprehensive income for the year 104,731,066 136,014,165
Less:
Adjustments for non-cash transactions:
Interest income on financial assets at fair value through profit or loss (80,949,982) (73,921,243)
Bank interest income (1,225,155) (882,550)
Net gains on investments 9 (15,111,788) (53,903,533)
Amortisation adjustment under effective interest rate method 9 (11,383,217) (8,874,421)
Movement on unrealised (gains)/losses on forward currency contracts 8 (964,858) 341,679
Exchange gains on cash and cash equivalents (3,288) (6,164)
(Increase)/decrease in other receivables (42,804) 80,981
Increase in other payables 149,508 218,780
Finance costs on repurchase agreements 621,982 755,788
Purchase of investments (320,761,157) (270,559,457)
Sale of investments/principal repayments 339,684,930 266,535,617
Investment income received 80,633,033 73,112,680
Bank interest income received 1,118,017 944,140
Net cash generated from operating activities 96,496,287 69,856,462
Cash flows from financing activities
Proceeds from issue of Ordinary Shares 13 - 30,244,890
Share issue costs - (353,035)
Dividend paid 21 (74,484,531) (77,354,015)
Finance costs paid 12 (663,577) (863,838)
Decrease in amounts payable under repurchase agreements, excluding finance cost liabilities 12 (9,880,822) (35,629,143)
Net cash used in financing activities (85,028,930) (83,955,141)
Increase/(decrease) in cash and cash equivalents 11,467,357 (14,098,679)
Cash and cash equivalents at beginning of the year 13,142,803 27,235,318
Exchange gains on cash and cash equivalents 3,288 6,164
Cash and cash equivalents at end of the year 24,613,448 13,142,803
The accompanying notes form an integral part of these Financial Statements.
NOTES TO THE FINANCIAL STATEMENTS
For the year ended 31 March 2025
1. General Information
TwentyFour Income Fund Limited (the “Company”) was incorporated with
limited liability in Guernsey, as a closed-ended investment company on 11
January 2013. The Company’s shares (“Ordinary Shares”, being the sole
share class) were listed on the Official List of the Financial Conduct
Authority (“FCA”) 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. Material Accounting Policies
a) Basis of Preparation
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. Additional commentary on going concern is in the Directors’
Report.
Realisation Opportunity
The next Realisation Opportunity is due to occur after the AGM in October
2025. The Board’s view, having consulted with the Company’s Corporate
Broker, Portfolio Manager and a number of investors, is that should the share
price remain at the current levels, relative to NAV, 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 2025:
Non-current Liabilities with Covenants and Classification of
Liabilities as Current or Non-Current (Amendments to IAS 1) (applicable to
accounting periods beginning on or after 1 January 2024);
Lease
(https://www.ifrs.org/content/ifrs/home/projects/completed-projects/2020/classification-of-liabilities.html)
Liability in a Sale or Leaseback (Amendments to IFRS 16) (applicable to
accounting periods beginning on or after 1 January 2024);
Supplier Finance Arrangements (Amendments to IAS 7 and IFRS 7)
(applicable to accounting periods beginning on or after 1 January 2024);
The Directors 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 2025.
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:
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 Disclosure in Financial Statements (IFRS 18)
(applicable to accounting periods beginning on or after 1 January 2027).
IFRS 18 will replace IAS 1 Presentation of Financial Statements and the new
standard introduces the following key new requirements:
* Entities are required to classify all income and expenses into five
categories in the statements of profit or loss, namely the operating,
investing, financing, discontinued operations and income tax categories.
Entities are also required to present a newly-defined operating profit
subtotal. Entities’ net profit will not change as a result of applying IFRS
18.
* Management-defined performance measures (“MPMs”) are disclosed in a
single note in the financial statements.
* Enhanced guidance is provided on how to group information in the financial
statements.
In addition, all entities are required to use the operating profit subtotal as
the starting point for the statement of cash flows when presenting operating
cash flows under the indirect method.
The Directors are in process of assessing the impact of the adoption of the
above standards, which are effective in future periods, on the financial
statements of the Company, particularly with respect to the structure of the
Company’s statement of comprehensive income, the statement of cash flows and
the additional disclosures required for MPMs. The Directors are also assessing
the impact on how information is grouped in the financial statements,
including for items currently labelled as ‘other’.
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 ABS 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 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 ABS are calculated in
accordance with either i) or ii) below and the change in fair value, if any,
is recorded as ‘net gains on financial assets at fair value through profit
or loss’ in the Statement of Comprehensive Income.
i) ABS Traded or Dealt on an Active Market or Exchange
ABS 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) ABS Not Traded or Dealt on an Active Market or Exchange
ABS 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
ABS, 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’ 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’
in the Statement of Financial Position. 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 ABS 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, if
any, are repayable on demand and form an integral part of the Company’s cash
management.
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 within ‘net gains on financial assets at
fair value through profit or loss’.
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 ABS. 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 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 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.
Assessment as an Investment Entity
In accordance with IFRS 10, the criteria which define an investment entity are
as follows:
* An entity that obtains funds from one or more investors for the purpose of
providing those investor(s) with investment management services;
* An entity that commits to its investors that its business purpose is to
invest solely for returns from capital appreciation, investment income or
both; and
* An entity that measures and evaluates the performance of substantially all
of its investments on a fair value basis.
The Directors are satisfied that the Company meets each of these criteria and
hence is an investment entity in accordance with IFRS 10.
(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
19.19% of the Company’s investments at 31 March 2025 (31 March 2024:
19.12%). 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 ABS 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 ABS as determined by the Portfolio Manager, impacts the effective
interest rate of the ABS Securities which in turn impacts the calculation of
income as discussed in note 2(i). As the ABS 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 per Ordinary Share - Basic & Diluted
The earnings per Ordinary Share - Basic and Diluted has been calculated based
on the weighted average number of Ordinary Shares of 747,836,661 (31 March
2024: 745,285,022) and a net gain of £104,731,066 (31 March 2024: net gain of
£136,014,165).
5. Income Equalisation on New Issues
In order to ensure there are no dilutive effects on earnings 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 £Nil (31 March 2024: £221,517).
6. Net Asset Value per Ordinary Share
The Net Asset Value of each Ordinary Share of £1.13 (31 March 2024: £1.09)
is determined by dividing the net assets of the Company attributed to the
Ordinary Shares of £843,786,521 (31 March 2024: £813,539,986) by the number
of Ordinary Shares in issue at 31 March 2025 of 747,836,661 (31 March 2024:
747,836,661).
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 £1,600 (2024:
£1,200).
8. Net Foreign Currency Gains
For the year For the year
01.04.24 to 31.03.25 01.04.23 to 31.03.24
£ £
Movement on unrealised gain/(loss) on forward currency contracts 964,858 (341,679)
Realised gains on foreign currency contracts 15,366,851 15,671,051
Movement on unrealised foreign currency (loss)/gain on receivables/payables (5,067) 3,428
Movement on unrealised foreign currency exchange gain on interest receivable 13,711 35,876
16,340,353 15,368,676
9. Investments
As at As at
31.03.25 31.03.24
£ £
Financial assets at fair value through profit or loss:
Opening book cost 815,142,981 832,506,047
Purchases at cost 335,051,214 281,155,894
Proceeds on sale/principal repayment (339,772,031) (269,963,403)
Amortisation adjustment under effective interest rate method 11,383,217 8,874,421
Realised gains on sale/principal repayment 35,320,119 3,698,699
Realised losses on sale/principal repayment (20,947,718) (41,128,677)
Closing book cost 836,177,782 815,142,981
Unrealised gains on investments 17,810,726 19,029,145
Unrealised losses on investments (18,857,905) (20,815,711)
Fair value 835,130,603 813,356,415
For the year For the year
01.04.24 to 31.03.25 01.04.23 to 31.03.24
£ £
Realised gains on sales/principal repayment 35,320,119 3,698,699
Realised losses on sales/principal repayment (20,947,718) (41,128,677)
(Decrease)/increase in unrealised gains (1,218,419) 15,109,456
Decrease in unrealised losses 1,957,806 76,224,055
Net gains on financial assets at fair value through profit or loss 15,111,788 53,903,533
10. Other Receivables
As at As at
31.03.25 31.03.24
£ £
Coupon interest receivable 7,934,333 7,617,384
Bank interest receivable 107,138 -
Prepaid expenses 67,439 24,635
8,108,910 7,642,019
There are no material expected credit losses for coupon interest receivable as
at 31 March 2025.
11. Other Payables
As at As at
31.03.25 31.03.24
£ £
Portfolio management fees payable 1,042,116 835,269
Custody fees payable 21,319 25,479
Administration and secretarial fees payable 96,697 92,065
Audit fees payable 156,000 156,000
AIFM fees payable 30,527 66,283
Depositary fees payable 27,771 34,720
General expenses payable 55,237 70,343
1,429,667 1,280,159
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 £621,982
(31 March 2024: £755,788). As at 31 March 2025, finance cost liabilities on
open repurchase agreements amounted to £7,690 (31 March 2024: £49,285).
At the end of the year, amounts repayable under open repurchase agreements
were £4,168,090 (31 March 2024: £14,090,507). One security was designated as
collateral against the repurchase agreements (31 March 2024: two securities),
with a fair value of £5,153,055 (31 March 2024: total fair value of
£17,525,866), all of which were investment grade RMBS. The total exposure was
-0.49% (31 March 2024: -1.73%) of the Company’s NAV. The contracts were
across two counterparties and were all rolling agreements with a maturity of 3
months.
The changes in amounts payable under repurchase agreements are disclosed
below:
For the year For the year
01.04.24 to 31.03.25 01.04.23 to 31.03.24
£ £
Amounts payable under Repurchase Agreements
Opening balance, excluding finance cost liabilities 14,041,222 49,670,365
Agreements entered during the year 36,311,829 66,055,670
Repaid/maturities during the year (46,192,651) (101,684,813)
Closing balance, excluding finance cost liabilities 4,160,400 14,041,222
Finance cost liabilities
Opening balance 49,285 157,335
Charged during the year 621,982 755,788
Repayments during the year (663,577) (863,838)
Closing balance 7,690 49,285
13. Share Capital
a) Authorised Share Capital
Unlimited number of Ordinary Shares at no par value.
b) Issued Share Capital
For the year For the year
01.04.24 to 31.03.25 01.04.23 to 31.03.24
£ £
Ordinary Shares
Share Capital at the beginning of the year 780,234,543 750,558,986
Issue of Ordinary Shares - 30,244,890
Share issue costs - (347,816)
Income equalisation on new issues - (221,517)
Total Share Capital at the end of the year 780,234,543 780,234,543
For the year For the year
01.04.24 to 31.03.25 01.04.23 to 31.03.24
Number of Ordinary Shares Number of Ordinary Shares
Ordinary Shares
Shares at the beginning of the year 747,836,661 718,036,661
Issue of Ordinary Shares - 29,800,000
Total Shares in issue at the end of the year 747,836,661 747,836,661
The Company did not purchase any of its own shares during the year ended 31
March 2025 or during the year ended 31 March 2024. No shares were cancelled
during either year.
No shares were held in Treasury during the year ended 31 March 2025 or the
year ended 31 March 2024.
During the year, there were no new Ordinary Shares issued (31 March 2024:
29,897,074 Ordinary Shares for total consideration of £30,244,890).
Subsequent to year end, the Company issued 14,250,000 new Ordinary Shares
under its blocklisting facility, increasing the Company’s issued share
capital to 762,066,661 Ordinary Shares.
The Share Capital of the Company consists of an unlimited number of Ordinary
Shares at no par value which, upon issue, the Directors may designate as:
Ordinary Shares; realisation shares, being the Ordinary Shares of Shareholders
who have elected to realise their investment in the Company during a
Realisation Opportunity (“Realisation Shares”); or such other class as the
Board shall determine and denominated in such currencies as shall be
determined at the discretion of the Board.
As at 31 March 2025, one share class has been issued, being the Ordinary
Shares of the Company.
The Ordinary Shares carry the following rights:
i) The Ordinary Shares carry the right to receive all income
of the Company attributable to the Ordinary Shares.
ii) The Shareholders present in person or by proxy or present by a
duly authorised representative at a general meeting has, on a show of hands,
one vote and, on a poll, one vote for each Ordinary Share held.
iii) 56 days before the Annual General Meeting (“AGM”) 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 Election, 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 Ordinary Shares held as Treasury Shares shall not at any
time exceed 10% of the total number of Ordinary Shares of that class in issue
at that time or such amount as provided in The Companies (Guernsey) Law, 2008.
The Company has the right to re-issue Treasury Shares at a later date.
Shares held in Treasury are excluded from calculations when determining
earnings/(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 2025
Financial Assets as per Statement of Financial Position
Financial assets at fair value through profit or loss:
- Investments 835,130,603 - 835,130,603
- Derivative assets: Forward currency contracts 3,009,311 - 3,009,311
Amounts due from brokers - 3,514,887 3,514,887
Other receivables (excluding prepayments) - 8,041,471 8,041,471
Cash and cash equivalents - 24,613,448 24,613,448
838,139,914 36,169,806 874,309,720
Liabilities at fair
value through Amortised
profit or loss cost Total
31 March 2025 £ £ £
Financial Liabilities as per Statement of Financial Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts 106,387 - 106,387
Amounts payable under repurchase agreements - 4,168,090 4,168,090
Amounts due to brokers - 24,886,494 24,886,494
Other payables - 1,429,667 1,429,667
106,387 30,484,251 30,590,638
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 brokers - 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
31 March 2024 £ £ £
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
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 £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.
During the year ended 31 March 2025, Directors’ fees of £285,000, (31 March
2024: £254,304) were charged to the Company, of which £Nil (31 March 2024:
£Nil) 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 £5,636,256
(31 March 2024: £5,690,248) of which £1,042,116 (31 March 2024: £835,269)
is due and payable at the year end. The Portfolio Management Agreement
dated 29 May 2014, as amended, 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 £Nil (31 March 2024: £45,367) in commission.
c) Shares Held by Related Parties
As at 31 March 2025, Directors of the Company held the following Ordinary
Shares beneficially:
31.03.25 31.03.24
Number of Number of
Ordinary Shares Ordinary Shares
Bronwyn Curtis 114,154 114,154
John Le Poidevin ¹ 354,800 260,121
John de Garis 39,753 39,753
Joanne Fintzen ² 86,260 38,538
Paul Le Page 49,457 49,457
¹ On 2 August 2024, John Le Poidevin purchased 94,679 Ordinary Shares.
² On 5 April 2024, Joanne Fintzen purchased 47,722 Ordinary Shares.
As at 31 March 2025, the Portfolio Manager held 40,446,948 Ordinary Shares (31
March 2024: 36,406,018 Shares), which is 5.41% (31 March 2024: 4.87%) of the
Issued Share Capital. Partners and employees of the Portfolio Manager held
5,594,917 Ordinary Shares (31 March 2024: 8,432,398 Shares), which is 0.75%
(31 March 2024: 1.13%) of the Issued Share Capital.
The Portfolio Manager, partner and employee amounts therefore exclude shares
held under any long-term incentive plan (“LTIP”) which has not yet vested.
Ordinary Shares that are held in employee and partner LTIPs total 461,499 (31
March 2024: 830,530), which is 0.06% (31 March 2024: 0.11%) 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
Waystone Management Company (IE) Limited, effective 21 June 2024 upon
retirement of the previous AIFM, Apex Fundrock Ltd (“Apex”). In
consideration for the services provided by the AIFM under the AIFM Agreement,
up until the end of 20 June 2024, Apex was 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.
Effective 21 June 2024, Waystone is entitled to receive from the Company a
minimum fee of £65,000 per annum and fees payable monthly in arrears at a
rate of 0.03% of the Net Assets below £250 million, 0.025% of the Net Assets
between £250 million and £500 million, 0.02% on Net Assets between £500
million and £1 billion and 0.015% on Net Assets in excess of £1 billion.
During the year ended 31 March 2025, AIFM fees of £222,270 (31 March 2024:
£257,384) were charged to the Company, of which £30,527 (31 March 2024:
£66,283) 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 £387,527
(31 March 2024: £358,119) of which £96,697 (31 March 2024: £92,065) 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 £111,335
(31 March 2024: £102,283) of which £27,771 (31 March 2024: £34,720) 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 £83,019 (31 March 2024: £75,874) of which £21,319
(31 March 2024: £25,479) 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 ABS. The fair value of the ABS 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 2025 and 31 March 2024:
As at 31 March 2025 Number of investments Range of Nominal Average Nominal Carrying Value % of
Company's NAV
£ million £ million £ million
Asset-Backed Securities*:
Auto Loans 11 5 - 58 27 26 3.1%
CLO 116 8 - 123 18 334 39.6%
CMBS 5 15 - 65 35 26 3.1%
Consumer ABS 7 11 - 45 27 17 2.1%
CRE ABS 5 8 - 17 12 21 2.5%
Credit Cards 3 9 - 18 14 9 1.1%
RMBS 53 2 - 750 51 349 41.3%
SRT 6 87 - 1,263 359 53 6.3%
206 835
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
* 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
ABS.
The underlying investments comprised in the portfolio are subject to market
risk. The Company is therefore at risk that market events may affect
performance and in particular may affect the value of the Company’s
investments. Market risk 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 ABS 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 ABS or issuer of ABS.
(ii) Interest Rate Risk
Interest rate risk arises from the possibility that changes in interest
rates will affect the fair value of financial assets and liabilities at fair
value through profit or loss.
The following tables summarise the Company’s exposure to interest rate
risk:
Floating rate Fixed rate Non-interest bearing Total
£ £ £ £
As at 31 March 2025
Financial assets at fair value 835,130,603 - - 835,130,603
through profit or loss
Derivative assets - - 3,009,311 3,009,311
Amounts due from brokers - - 3,514,887 3,514,887
Other receivables (excluding prepayments) - - 8,041,471 8,041,471
Cash and cash equivalents 24,613,448 - - 24,613,448
Repurchase agreements - (4,168,090) - (4,168,090)
Amounts due to brokers - - (24,886,494) (24,886,494)
Other payables - - (1,429,667) (1,429,667)
Derivative liabilities - - (106,387) (106,387)
Net assets 859,744,051 (4,168,090) (11,856,879) 843,719,082
Floating rate Fixed rate Non-interest bearing Total
£ £ £ £
As at 31 March 2024
Financial assets at fair value 813,356,415 - - 813,356,415
through profit or loss
Derivative assets - - 1,958,943 1,958,943
Amounts due from brokers - - 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
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 £21,493,601, respectively (31 March
2024: gain or loss of £20,662,480).
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 ABS 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, and 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 Outstanding contracts Mark-to-market equivalent Unrealised gains/(losses)
values
31.03.2025 31.03.2025 31.03.2025 31.03.2025
One Danish Krone forward foreign currency contract:
Settlement date 16 April 2025 84,767,674 kr. £9,578,688 £9,515,877 £62,811
Four Euro forward foreign currency
contracts totalling:
Settlement date 16 April 2025 €544,871,398 £459,234,834 £456,299,561 £2,935,273
One US Dollar forward foreign currency contract:
Settlement date 16 April 2025 $23,845,679 £18,378,158 £18,474,778 (£96,620)
One Euro forward foreign currency contract:
Settlement date 16 April 2025 (€6,097,056) (£5,104,486) (£5,105,946) £1,460
£2,902,924
Unrealised gains/(losses)
Contract Outstanding contracts Mark-to-market equivalent
values
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 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 2025 and as at 31 March 2024, the Company held the following
assets and liabilities denominated in foreign currencies:
As at As at
31.03.2025 31.03.2024
£ £
Danish Krone
Assets/(Liabilities):
Investments 6,521,469 9,626,337
Cash and cash equivalents 879,985 974,405
Other receivables 112,604 185,957
Open forward currency contracts (9,515,877) (10,440,444)
(2,001,819) 346,255
As at As at
31.03.2025 31.03.2024
£ £
Euro
Assets/(Liabilities):
Investments 460,935,918 435,362,991
Cash and cash equivalents 5,099,229 (2,911,638)
Other receivables 6,222,255 5,868,282
Amounts due to brokers (24,399,172) (10,586,437)
Open forward currency contracts (451,193,615) (429,481,825)
(3,335,385) (1,748,627)
As at As at
31.03.2025 31.03.2024
£ £
US Dollar
Assets/(Liabilities):
Investments 18,633,464 14,248,960
Cash and cash equivalents 646,571 41,484
Other receivables 262,342 -
Open forward currency contracts (18,474,778) (14,248,231)
1,067,599 42,213
The tables below summarise the sensitivity of the Company’s assets and
liabilities to changes in foreign exchange movements between foreign
currencies and Sterling at 31 March 2025 and 31 March 2024. 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
31.03.2025 31.03.2024
£ £
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in Danish Krone 339,684 (49,200)
- 20% decrease in Danish Krone (491,384) 99,327
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in Euro 810,341 563,495
- 20% decrease in Euro (452,181) (29,071)
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in US Dollar (177,518) (8,484)
- 20% decrease in US Dollar 267,522 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 ABS generally rise and the
proceeds of ABS held by the Company that mature or are sold are not able to be
reinvested in ABS with a yield comparable to that of the portfolio as a whole.
(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 2025, 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 £83,513,060 (31 March 2024: £81,335,642). 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 ABS. 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 ABS were in default (31 March 2024: 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 ABS or issuer of ABS, no more than 40% of the portfolio
being exposed to issues with a value greater than 5%, and no more than 10% of
the portfolio value being exposed to instruments not deemed securities for the
purposes of the Financial Services and Market Act 2000.
Portfolio of ABS by ratings category using the highest rating assigned by
Standard and Poor’s (“S&P”), Moody’s Analytics (“Moody’s”) or
Fitch Ratings (“Fitch”):
31.03.25 31.03.24
AAA 1.40% -
AA+ 1.76% -
AA- 5.53% 2.42%
A+ 0.09% 3.62%
A 0.35% 2.31%
A- 0.93% 3.00%
BBB+ 4.38% 6.83%
BBB 1.40% 1.77%
BBB- 3.39% 4.10%
BB+ 5.44% 8.62%
BB 3.17% 4.65%
BB- 14.30% 12.78%
B+ 3.44% 4.70%
B 3.18% 5.35%
B- 16.37% 12.26%
CCC 1.11% -
CCC- 0.46% 0.59%
NR* 33.30% 27.00%
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 ABS and monitors the on-going
investment in these securities. The Company may also use credit default swaps
to mitigate the effects of market volatility on credit risk.
The Company manages its counterparty exposure in respect of cash and cash
equivalents and forwards by investing with counterparties with a “single
A” or higher credit rating. All cash is currently placed with The Northern
Trust Company. The Company is subject to credit risk to the extent that this
institution may be unable to return this cash. The Northern Trust Company is a
wholly owned subsidiary of The Northern Trust Corporation. 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
31.03.25 31.03.24
£ £
Investments 835,130,603 813,356,415
Cash and cash equivalents 24,613,448 13,142,803
Unrealised gains on derivative assets 3,009,311 1,958,943
Amounts due from brokers 3,514,887 3,427,786
Other receivables (excluding prepayments) 8,041,471 7,617,384
874,309,720 839,503,331
Investments in ABS that are not backed by mortgages present certain risks that
are not presented by Mortgage-Backed Securities (“MBS”). Primarily, these
securities may not have the benefit of the same security interest in the
related collateral. Therefore, there is a possibility that recoveries on
defaulted collateral may not, in some cases, be available to support payments
on these securities. The risk of investing in these types of ABS 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 ABS may be relatively illiquid and this may
limit the ability of the Company to realise its investments. Investments in
ABS may also have no active market and the Company 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 2025
Financial liabilities
Repurchase agreements - (4,168,090) - (4,168,090)
Unrealised loss on derivative liabilities (106,387) - - (106,387)
Amounts due to brokers (24,886,494) - - (24,886,494)
Other payables (1,273,667) (156,000) - (1,429,667)
Total (26,266,548) (4,324,090) - (30,590,638)
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 brokers (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)
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 AGM of the Company in each third
year. On 21 October 2022, the Company concluded its most recent Realisation
Opportunity. The next Realisation Opportunity is due to take place in October
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 AGM 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 2025 and year ended 31 March 2024.
Level 1 Level 2 Level 3 Total
£ £ £ £
Assets
Financial assets at fair value through profit or loss:
Asset-Backed Securities:
Auto Loans - 26,483,220 - 26,483,220
CLO - 333,914,234 - 333,914,234
CMBS - 26,008,985 - 26,008,985
Consumer ABS - 17,386,122 - 17,386,122
CRE ABS - 20,813,688 - 20,813,688
Credit Cards - 8,931,680 - 8,931,680
RMBS - 161,666,742 187,129,822 348,796,564
SRT - 29,383,449 23,412,661 52,796,110
Forward currency contracts - 3,009,311 - 3,009,311
Total assets as at 31 March 2025
- 627,597,431 210,542,483 838,139,914
Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts - 106,387 - 106,387
Total liabilities as at 31 March 2025
- 106,387 - 106,387
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
Total assets as at 31 March 2024
- 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
Total liabilities as at 31 March 2024 - 20,877 - 20,877
ABS which have a value based on quoted market prices in active markets are
classified in Level 1. At the end of the year, no ABS held by the Company are
classified as Level 1.
ABS which are not traded or dealt on organised markets or exchanges are
classified in Level 2 or Level 3. ABS with prices obtained from independent
price vendors, where the Portfolio Manager is able to assess whether the
observable inputs used for their modelling of prices are accurate and the
Portfolio Manager has the ability to challenge these vendors with further
observable inputs, are classified as Level 2. Prices obtained from vendors who
are not easily challengeable or transparent in showing their assumptions for
the method of pricing these assets, are classified as Level 3. ABS 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 2025 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 2025. 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 2025, investments (related primarily to
RMBS/MBS investments) totalling 19.19% (31 March 2024: 19.12%) 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 2025 and 31
March 2024:
31 March 2025 Fair Value (£) Financial Assets/Liabilities Unobservable Input Sensitivity Used Effect on Fair Value (£)
Dutch RMBS 50,280,493 Financial Asset Discount Margin +5% / -5% 5,560,212 / (4,472,411)
(970 bps)
UK RMBS 47,149,375 Financial Asset Discount Margin +5% / -5% 2,216,759 / (1,856,093)
(184 bps/ 950 bps/ 1000 bps/ 1055 bps)
UK RMBS (Vertical risk retention – Predominantly AAA) 28,891,014 Financial Asset Discount Margin (126 bps) +5% / -5% 809,955 / (2,896,614)
UK RMBS 33,911,940 Financial Asset Discount Margin +3% / -3% 1,887,359 / (1,771,230)
(Vertical risk retention - predominantly AAA) (300 bps/ 306 bps)
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 +5% / -5% 6,871,331 / (5,477,982)
(965 bps)
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 +3% / -3% 3,338,550 / (2,880,236)
(300 bps/ 351 bps)
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 2025 totalling £50.3 million (2024: £28.3 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 2024: none).
The following tables present the movement in Level 3 instruments for the year
ended 31 March 2025 and year ended 31 March 2024 by class of financial
instrument.
Opening Total purchases during the Total sales during the year ended Realised gains on Level 3 Investments Realised losses on Unrealised gains for the year for Level 3 Investments held at 31 March 2025 Unrealised losses for the year for Level 3 Investments held at 31 March 2025 Transfer into Level 3 Transfer Closing
balance at year ended 31 March 2025 31 March 2025 held during the year ended 31 March 2025 Level 3 Investments out Level 3 balance at 31 March 2025
1 April 2024 held during the year ended 31 March 2025
£ £ £ £ £ £ £ £ £ £
RMBS 183,915,529 92,693,391 (107,016,668) 18,431,113 (15,231,648) 19,463,220 (5,125,115) - - 187,129,822
SRT - 23,543,595 (395,757) 29,024 (35,227) 331,811 (60,785) - - 23,412,661
183,915,529 116,236,986 (107,412,425) 18,460,137 (15,266,875) 19,795,031 (5,185,900) - - 210,542,483
Opening balance at Total purchases during the Total sales during the year ended Realised gains on Level 3 Investments held during the year ended 31 March 2024 Realised losses on Unrealised gains for Unrealised losses for the year for Level 3 Investments held at 31 March 2024 Transfer into Level 3 Transfer Closing
1 April 2023 year ended 31 March 2024 Level 3 Investments held during the year ended 31 March 2024 the year for Level 3 Investments held at out Level 3 balance at
31 March 2024 31 March 2024 31 March 2024
£ £ £ £ £ £ £ £ £ £
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
207,207,308 68,388,091 (111,175,331) 2,023,664 (15,796,291) 36,159,879 (2,891,791) - - 183,915,529
All other financial assets and liabilities are carried at amortised cost.
Their carrying values are a reasonable approximation of fair value.
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
ABS.
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 ABS in the portfolio and the amortisation
of any discount or premium to par at which an ABS is purchased over its
remaining expected life, prior to its maturity. However, there is no guarantee
that the dividend target for future financial years will be met or that the
Company shall pay any dividends at all.
Since 24 February 2023, the annual target dividend has been 8% (the equivalent
of 8 pence per Ordinary Share) or higher of the Issue Price.
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
2025:
Period to Dividend rate per Ordinary Share (£) Net dividend payable (£) Ex-dividend date Record date Pay date
1 March 2024 0.0396 29,614,332 18 April 2024 19 April 2024 3 May 2024
30 June 2024* 0.0200 14,956,733 18 July 2024 19 July 2024 2 August 2024
30 September 2024* 0.0200 14,956,733 17 October 2024 18 October 2024 1 November 2024
31 December 2024* 0.0200 14,956,733 16 January 2025 17 January 2025 3 February 2025
74,484,531
31 March 2025* 0.0507 37,915,319 17 April 2025 22 April 2025 6 May 2025
*These dividends were declared in respect of distributable profit for the year
ended 31 March 2025.
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
The ongoing war in Ukraine following the Russian invasion in 2022, has
resulted in increased inflation and changing investor risk appetite. This 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 2025, 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 2025, 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. Longer term direct involvement
from the United States and Iran could result in higher oil prices and
inflation.
On 20 January 2025, Donald Trump was inaugurated for a second term as
President of the United States. President Trump has indicated that he would
look to reduce the US support for Ukraine and renegotiate trade deals with all
the US' major trading counterparties. The exact outcome remains uncertain, but
ongoing trade tensions between the US and China, and the US and the European
Union, could result in reduced economic growth, increasing inflation and has a
likely impact on investor risk sentiment. The Portfolio Manager continues to
monitor any direct or indirect impact from trade tariffs but recognises that
the Company has limited direct exposures to sectors that could be most
impacted, such as the automotive industry.
Following Labour's win in the latest UK elections, the new government
officially took office on 5 July 2024. The Company has historically had a
significant exposure to UK mortgages and the government has indicated that it
may look to review mortgage lending in the UK, potentially loosening lending
standards and introducing higher Loan to Value and Loan to Income caps. The
direct impact on the existing portfolio is expected to be minimal, but it
remains uncertain what appetite banks have for higher risk lending in the
future; this will be closely monitored by the Portfolio Manager.
At their summit on 17–18 April 2024, the European Council reaffirmed the
need to relaunch EU securitisation markets through targeted regulatory and
prudential reforms. In response, Commission President, Ursula von der Leyen,
commissioned former Italian Prime Minister, Mario Draghi, to prepare a
comprehensive report on EU competitiveness, which explicitly included
recommendations to revisit the securitisation regulations. The exact
implications are uncertain, but it is widely anticipated that regulation for
bank and insurance investors will be loosened, which in turn could result in
more diverse supply from banks and a new buyer base for securitisations.
24. Subsequent Events
These Audited Financial Statements were approved for issuance by the Board on
15 July 2025. Subsequent events have been evaluated until this date.
Effective 1 April 2025, following a review of external market data, levels of
inflation and the time and responsibilities expected of directors in future
years, the annual fees were increased to £80,750 for the Chair of the Board,
£65,000 for the Audit Committee Chair, £54,500 for the Senior Independent
Director, the Chair of the Remuneration and Nomination Committee and Chair of
the Management Engagement Committee, and £52,400 for all other Directors.
On 10 April 2025, the Company declared a dividend of 5.07p per Ordinary Share,
which was paid on 6 May 2025.
The Company issued the following Ordinary Shares under its blocklisting
facility, increasing the Company’s issued share capital post year end to
762,086,661 Ordinary Shares:
Issue Date Ordinary Shares issued Price per Ordinary Share (pence)
16 May 2025 3,000,000 109.43
9 June 2025 2,000,000 111.53
11 June 2025 1,000,000 111.82
13 June 2025 1,000,000 111.82
16 June 2025 1,000,000 111.82
17 June 2025 1,000,000 111.99
20 June 2025 1,300,000 111.99
27 June 2025 1,000,000 112.20
4 July 2025 750,000 113.09
11 July 2025 2,200,000 113.23
As at 4 July 2025, the published NAV per Ordinary Share for the Company was
111.01p. This represents a decrease of 1.61% (NAV as at 31 March 2025:
112.83p).
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, are 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.
31.03.2025 31.03.2024
pence pence
Share price 111.60 104.80
NAV per Ordinary Share (a) 112.83 108.79
Discount to NAV (b) (1.23) (3.99)
Discount as a percentage (b/a) (1.09%) (3.67%)
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. The fixed
interim dividend is 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 share price at the end of the period. The strategy aims
to generate a minimum 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 £843,786,521 (2024:
£813,539,986) by the number of Ordinary Shares at the end of the year of
747,836,661 units (2024: 747,836,661). This produces a NAV per Ordinary Share
of 112.83p (2024: 108.79p), which was an increase of 3.71% (2024: increase of
7.74%).
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 refers to the total gain from the Company,
which includes the increase or decrease in the Company’s value (capital
gains) and the income generated from dividends, whilst reinvesting the
dividends paid back into the NAV per Ordinary Share to purchase additional
shares at each ex-dividend date during the year.
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.
31.03.2025 31.03.2024
£ £
Amounts payable under repurchase agreements (a) 4,168,090 14,090,507
Investments at fair value through profit or loss (b) 835,130,603 813,356,415
Repurchase agreement borrowing (a/b) 0.50% 1.73%
CORPORATE INFORMATION
Directors Bronwyn Curtis (Chair) John de Garis Joanne Fintzen (Senior Independent Director) Paul Le Page John Le Poidevin 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
Alternative Investment Fund Manager Effective 21 June 2024 Waystone Management Company (IE) Limited 35 Shelbourne Road Ballsbridge Dublin Ireland 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
Up until 21 June 2024 Apex Fundrock Limited Hamilton Centre Rodney Way Chelmsford, CM1 3BY Financial Adviser and Corporate Broker Deutsche Numis 45 Gresham Street London, EC2V 7BF
Portfolio Manager TwentyFour Asset Management LLP 8th Floor, The Monument Building 11 Monument Street London, EC3R 8AF Independent Auditor KPMG Channel Islands Limited Glategny Court Glategny Esplanade St Peter Port Guernsey, GY1 1WR
Custodian, Principal Banker and Depositary Northern Trust (Guernsey) Limited PO Box 71 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3DA Receiving Agent Computershare Investor Services PLC The Pavilions Bridgwater Road Bristol, BS13 8AE
Guernsey Legal Adviser to the Company Carey Olsen Carey House Les Banques St Peter Port Guernsey, GY1 4BZ Registrar Computershare Investor Services (Guernsey) Limited 1st Floor Tudor House Le Bordage St Peter Port Guernsey, GY1 1DB
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