REG-TwentyFour Income Fund Limited: Interim Results for the six-months ended 30 September 2025
18/11/2025 07:02
18 November 2025
Interim results for the six-months ended 30 September 2025
TwentyFour Income Fund Limited (“ TFIF
” or “the Company ”), the FTSE
250-listed investment company whose investment objective is to deliver income
for shareholders by investing in less liquid asset-backed securities
(“ABS”), is pleased to announce its Interim Results for the six-months
ended 30 September 2025.
Financial highlights
* NAV return per ordinary share of 5.90% (FY 31 March
2025: 13.61%)
* Dividends declared of 4p for the period ended 30
September 2025, in line with the period target of 8p per annum and before
payment of the final, balancing dividend at the year end
* Total net assets increased to £867.57m (FY 31 March
2025: £843.79m)
* The Company has traded at an average premium to NAV
of 1.27% during the period, in contrast to the wider sector trading at a
discount
Portfolio highlights
* Positive performance across all securitised sectors
as spreads tightened supported by strong demand and fundamentals
* Collaterised Loan Obligations (“CLOs”) and
Significant Risk Transfer (“SRT”) were the best performing sectors in the
portfolio returning 8% and 6.8% respectively
* Allocation to new opportunities during the period in
CLO equity and BB-rated tranches offering more attractive risk-adjusted
returns
* Portfolio book yield of 12.51% and mark-to-market
yield of 10.30% at the end of the period
* Performance across the portfolio reflects the
strength of both income and mark-to-market gains, with portfolio carry the
dominant driver of returns
Since the period end, and as previously announced, the Company held its
triannual Realisation Opportunity as well as a Placing, Offer for Subscription
and Open Offer of new Ordinary Shares (the “Issue”) in October. The
Company received gross demand of £42.4m in relation to the issue with all
13,408,436 Ordinary Shares elected for realisation used to satisfy demand and
a further £27.6m raised through the issuance of 24,968,635 new Ordinary
Shares at a Subscription Price of 110.50p. This brings the total amount of new
funds raised since the start of the financial year to £64.3m (net).
Outlook
Despite continued political and fiscal uncertainty, strong supply and demand
for ABS remains. Proposed regulatory changes in Europe are likely to further
underpin that demand from banks and insurance companies over the longer term.
From an asset allocation perspective, the Portfolio Manager sees the best
relative value in bank-issued ABS – BB rated and selective equity tranches
of European CLOs - which offer an attractive premium compared to traditional
corporate credit. There is also a growing opportunity set in privately-placed
high-yield ABS transactions, where quality has improved and risk-adjusted
returns look appealing.
As outlined at the recent Realisation Opportunity, the Company has widened its
investment universe since the period end to consider opportunities outside of
Europe in both Australia and the US. Both offer complementary exposures and
diversification benefits to the existing portfolio while offering the
potential for capital and income generation.
Looking forward, higher-yielding ABS and CLOs should be the main drivers of
performance for the portfolio and offer investors protection against
mark-to-market volatility.
Commenting on the results, Bronwyn Curtis OBE, Chair, said
: “The first half of the financial year has been another successful period
for the Company, delivering on its investment objective for shareholders,
trading at an average 1.27% premium to NAV and issuing £64.3m of shares
(year-to-date) in response to strong market demand.
As the ABS asset class continues to grow, the Company is in a strong position
to take advantage of investment opportunities, whilst maintaining its
disciplined investment style, in order to continue to deliver a consistent
income for shareholders. “
Aza Teeuwen, Portfolio Manager, TFIF said: “As both
supply and demand have increased in the sector, with European ABS issuance at
€119bn year-to-date, our focus remains on allocating to high-quality, higher
yielding floating-rate assets – particularly Residential Mortgage-Backed
Securities (“RMBS”) and CLOs from established lenders in Western Europe.
Our preference remains for short-duration assets, providing us with a liquid
and flexible portfolio.
Looking forward, we expect supply to remain healthy for the rest of the year
with favourable conditions for European ABS supported by a more stable
interest rate environment.”
For further information please contact:
TwentyFour Income Fund Limited
Tel: +44 (0)20 7260 1000
Deutsche Numis
Tel: +44 (0)20 7015 8900
Hugh Jonathan / Matt Goss
JPES Partners
Tel: +44 (0)20 7520 7620
Charlotte Walsh
INTERIM MANAGEMENT REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS
For the period from 1 April 2025 to 30 September 2025
SUMMARY INFORMATION
LEI: 549300CCEV00IH2SU369
(Classified Regulated Information, under DTR 6 Annex 1 section 1.2)
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. During the period ended 30
September 2025, the Company’s investment policy was to invest in a
diversified portfolio of predominantly UK and European Asset-Backed Securities
(“ABS”). At an Extraordinary General Meeting held on 17 October 2025, the
Shareholders approved a change in the investment policy of the Company to
invest in a diversified portfolio of predominantly UK, European, US and
Australian ABS. The Company maintains a portfolio largely diversified by the
issuer, it being anticipated that the portfolio will comprise at least 50 ABS
at all times.
Total Target Returns*
During the period ended 30 September 2025, the Company had a target annual net
total Net Asset Value (“NAV”) return of between 6% and 9% per annum and
since the year ended 31 March 2023, an annual target dividend each financial
year of 8% of the Issue Price (the equivalent of 8 pence per year, per
Ordinary Share). Effective 1 October 2025, the Board determined that a target
return relative to the Sterling Overnight Indexed Average (“SONIA”) rate
published by the Bank of England would be more appropriate for the Company.
Accordingly, from this date, the Company has targeted and will continue to
target a net total return of SONIA rate plus 6% to 8% per annum. 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 period/year.
Ongoing Charges
Ongoing charges for the period ended 30 September 2025 have been calculated in
accordance with the Association of Investment Companies (the “AIC”)
recommended methodology. The ongoing charges for the period ended 30 September
2025 were 0.93% (30 September 2024: 0.85%).
Premium
As at 7 November 2025, the premium to NAV had moved to 1.67%. The estimated
NAV per Ordinary Share and mid-market share price stood at 110.16p and
112.00p, respectively.
Published NAV
Northern Trust International Fund Administration Services (Guernsey) Limited
(the “Administrator”) is responsible for calculating the NAV per Ordinary
Share of the Company. The unaudited NAV per Ordinary Share will be calculated
as at the close of business on the last business day of every week and the
last business day of every month by the Administrator and will be announced by
a Regulatory News Service the following business day. The basis for
determining the Net Asset Value per Ordinary Share can be found in note 5.
* The Issue Price being £1.00. This is an annual target
only and not a profit forecast. There can be no assurance that this target
will be met or that the Company shall continue to pay any dividends at all.
This annual target return should not be taken as an indication of the
Company’s expected or actual current or future results. The Company’s
actual return will depend upon a number of factors, including the number of
Ordinary Shares outstanding and the Company’s total expense ratio, as
defined by the AIC’s ongoing charges methodology. Potential investors should
decide for themselves whether or not any potential return is reasonable and
achievable in deciding whether to invest in or retain or increase their
investment in the Company. Further details on the Company’s financial risk
management can be found in note 17.
FINANCIAL HIGHLIGHTS
NAV per Ordinary Share
As at 30 September 2025 As at 31 March 2025
111.98p 112.83p
Share Price
As at 30 September 2025 As at 31 March 2025
114.00p 111.60p
Total Net Assets
As at 30 September 2025 As at 31 March 2025
£867.57 million £843.79 million
Total NAV Return per Ordinary Share
For the six-month period ended 30 September 2025 For the year ended 31 March 2025
5.90% 13.61%
Dividends Declared per Ordinary Share
For the six-month period ended 30 September 2025 For the year ended 31 March 2025
4.00p 11.07p
Dividends Paid per Ordinary Share
For the six-month period ended 30 September 2025 For the year ended 31 March 2025
7.07p 9.96p
Ordinary Shares in Issue
As at 30 September 2025 As at 31 March 2025
774.79 million 747.84 million
Repurchase Agreement Borrowing
As at 30 September 2025 As at 31 March 2025
0.75% 0.50%
Number of Positions in the Portfolio
As at 30 September 2025 As at 31 March 2025
210 206
Average Premium/(Discount)
For the six-month period ended 30 September 2025 For the year ended 31 March 2025
1.27% (3.87%)
Please see the 'Glossary of Terms and Alternative Performance Measures' for
definitions how the above financial highlights are calculated.
CHAIR’S STATEMENT
for the period from 1 April 2025 to 30 September 2025
Bronwyn Curtis OBE
In my capacity as Chair of the Board of Directors (the “Board”) of
TwentyFour Income Fund Limited, I am pleased to present my report on the
Company’s progress for the six-month period ended 30 September 2025 (the
“reporting period”).
Investment Performance
The six months to 30 September 2025 represented another strong period for the
Company, as favourable technical conditions and resilient underlying
collateral continued to support European securitised markets. The total return
of the Company’s NAV per Ordinary Share was 5.90% for the period. At the
start of the reporting period, the Company paid the fourth quarter dividend
for the previous financial year of 5.07p per Ordinary Share, which meant that
the Company paid a total dividend of 11.07p per Ordinary Share in respect of
the year ended 31 March 2025, a record dividend since inception. The Company
has subsequently maintained its dividend policy, declaring another two
dividends of 2p per Ordinary Share in respect of the current reporting period.
The strategy of investing in higher yielding, floating rate ABS in a higher
interest rate environment has enabled the Company to deliver these attractive
dividends, as substantially all excess investment income is paid out each
year.
The Company’s NAV per Ordinary Share decreased marginally from 112.83p to
111.98p (after dividend payments) over the reporting period, equating to a
total NAV return per Ordinary Share of 5.90%, after payment of dividends. At
the end of the period, the Ordinary Shares traded at a premium to NAV of 1.80%
and the Company has issued 26,950,000 million Ordinary Shares during the
period to satisfy strong demand. The portfolio again experienced no defaults
or material interest deferrals, continuing a strong credit performance record
since inception in 2013.
Dividend
The Company aims to distribute all its investment income to ordinary
shareholders. The Company is currently targeting quarterly payments equivalent
to an annual dividend of at least 8 pence per year. The fourth quarter
dividend is used to distribute residual income (if any), generated in the
year. Dividends paid by the Company in the reporting period totalled 5.07p per
Ordinary Share in line with expectations.
The Company has successfully met and exceeded its annual target dividend every
year since its Initial Public Offering, with the following chart showing the
Company’s dividends declared per Ordinary Share in respect of each financial
year.
Premium/Discount and Share Capital Management
The wider investment company market has continued to see trading at
historically wide discounts across the board, whilst the Company traded an
average premium to NAV of 1.27%. The Board constantly monitors the premium or
discount to NAV and the Company issued 26,950,000 Ordinary Shares into strong
demand and has not bought back any shares in this reporting period.
The Company’s triennial realisation opportunity (“Realisation
Opportunity”) took place in October 2025, after the period end, whereby
Shareholders may elect to realise some or all of their holdings of Ordinary
Shares. The Company also announced a Placing, Offer for Subscription and Open
Offer of new Ordinary Shares, as the Board and Portfolio Manager are
continuing to see positive investment opportunities in a growing market.
I am delighted that, as announced on 24 October 2025, the Company received
£42.4m gross demand in relation to the issue. As 13,408,436 Ordinary Shares
were elected for realisation in the 2025 Realisation Opportunity, this
resulted in a net issuance of 24,968,635 Ordinary Shares at a subscription
price of 110.50 pence per share. This brought the total new funds raised
through the net issuance of equity since the beginning of the financial year
to £64.3m.
Annual General Meeting
The Company’s 2025 Annual General Meeting (“AGM”), together with an
Extraordinary General Meeting (“EGM”), was held after period end on 17
October 2025 at the offices of the Company’s Administrator, with all
resolutions duly passed, including the changes to the Company’s Investment
Policy.
Market Overview
European credit and securitised markets have remained active, supported by
improving macroeconomic stability and strong investor demand for
income-generating assets.
Primary issuance in European ABS reached a post-Global Financial Crisis
(“GFC”) record of €119 billion year-to-date, while Collateralised Loan
Obligation (“CLO”) issuance exceeded €46 billion. The Board recognises
the growing opportunity set for the Portfolio Manager across asset classes and
jurisdictions, with the European ABS market now approaching €600 billion in
size, fuelled by expanding bank ABS supply (banks are increasingly using ABS
as a traditional funding tool again, following the end of quantitative
easing).
Following credit spread volatility related to the US tariff announcements, ABS
and CLO spreads tightened over the summer months, reflecting robust demand
despite significant net new supply. Collateral performance across European
consumer and mortgage pools remains resilient, with arrears near historic lows
and labour markets continuing to underpin household balance sheets.
The Board notes the Portfolio Manager’s disciplined approach to portfolio
construction and prudent risk management, including selective profit-taking in
tighter sectors and re-deployment into higher-yielding CLO equity and
mezzanine tranches. As detailed in the Portfolio Manager’s report, leverage
remained modest at around 1%, while portfolio yields remained strong at 12.51%
book yield and 10.30% mark-to-market yield, ensuring the Company remains
well-positioned to continue delivering its income objectives.
Sector Overview
The listed investment company sector has experienced another year of
significant challenge. Following a decade of strong growth and material net
issuance between 2013 and 2022, the past three years have been marked by
contraction. Investor demand across much of the sector has remained subdued,
leading to widespread share buybacks, tender offers and liquidations. As a
result, 2025 has already set a new record for capital returned to
shareholders, surpassing 2024, which itself was the highest level recorded
since 2000.
These dynamics have been driven by persistent discounts to net asset value,
despite some narrowing compared with the lows of 2024. The improvement has
likely been the result of buybacks and activist pressure rather than renewed
investor appetite. Calls for greater scale and liquidity from investors have
further intensified, prompting consolidation and merger activity across the
sector. Activism has also become a prominent feature, with boards facing
increasing scrutiny over strategy, viability and their company’s share price
discount to NAV.
Against this challenging backdrop, the Company has been one of the few
exceptions. Throughout the majority of the period, the Company’s Ordinary
Shares have traded at a premium to NAV, enabling us to issue new shares to
meet strong investor demand. This stands in sharp contrast to the broader
sector, where most companies have been forced to shrink. While our position
remains strong, the Board is mindful of the pressures facing the sector and
continues to monitor developments closely. We remain committed to ensuring
that the Company is well placed to navigate future challenges and sustain its
long-term success.
Environmental, Social and Governance (“ESG”)
The Board recognises the importance of ESG factors in both investment
management and in wider society, and has appointed the Portfolio Manager to
advise it in relation to all aspects relevant to the Company’s portfolio.
Throughout the period, the Portfolio Manager has continued to work extensively
on engaging with issuers to improve disclosure.
The Portfolio Manager has engaged on 42 occasions with issuers on ESG factors
during the reporting period, with a particular focus on the provisions of
lenders to support residential mortgage holders who are classified as
vulnerable, and reaching maturities on mortgages issued prior to the GFC.
Furthermore, the Portfolio Manager has conducted extended due diligence on
unsecured consumer lenders, where it has observed performance divergence
between geography and vintage.
On the environmental side, the focus of the Portfolio Manager continues to be
the decarbonisation pathway and carbon reporting. In CLO transactions
specifically, the Portfolio Manager noted an increase in the number of
managers disclosing carbon data on their deals, and has engaged in assessing
the consistency behind the data. An increasing proportion of CLO transactions
now have exclusions for EU Paris-aligned benchmarks in the documentation,
which allows investors to assess their alignment to net zero goals.
Outlook
The Board supports the Portfolio Manager’s view that, while European and UK
credit fundamentals remain resilient, macro and political developments are
likely to dominate market sentiment in the near term.
Concerns around the UK government’s fiscal trajectory, the re-emergence of
government lockdowns in the United States, and uncertainty ahead of the French
budget have together contributed to renewed volatility in long-dated
government bond markets. This volatility reinforces the attractiveness of the
Company’s short-duration, floating-rate exposure, where carry remains the
key driver of returns and mark-to-market sensitivity is limited.
As detailed in the Prospectus published on 1 October 2025, the Company
believes that both the US and Australian markets provide complementary
exposure to the Company’s current European focus which could enhance
portfolio diversification while offering potential for capital and income
generation. Allocations to these asset classes will continue to be guided by
the Portfolio Manager’s disciplined credit selection process and focus on
downside protection.
With securitised spreads well-supported by persistent institutional demand,
and regulatory developments expected to enhance long-term capital flows into
the sector, the Board remains confident that the Company is well-positioned to
continue meeting its income and total return objectives. The Board will
continue to monitor economic developments and remains fully supportive of the
Portfolio Manager’s strategy of maintaining a liquid, flexible, and low
leveraged portfolio, focused on high-quality, income-generating securitised
assets.
I would like to thank the Company's shareholders for their continuing support
and for sharing our confidence as a Board in the Portfolio Manager and the
change in the investment policy.
Bronwyn Curtis OBE
Chair
17 November 2025
PORTFOLIO MANAGER’S REPORT
for the period from 1 April 2025 to 30 September 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
six-month period ended 30 September 2025.
Investment Background
European credit markets maintained their strong momentum through the six
months to 30 September 2025, despite a complex macroeconomic backdrop
characterised by mixed growth signals and elevated geopolitical uncertainty.
While volatility around tariff announcements in April 2025 created temporary
market dislocation, sentiment and activity rebounded strongly from May 2025
onwards. By the end of the period, primary market volumes across securitised
products had exceeded post-GFC records, supported by robust technical demand
and solid underlying collateral performance.
Central banks globally have continued on the loosening cycle. The European
Central Bank (“ECB”) and Bank of England (“BoE”) have both signalled
that current rates are likely at or near their terminal levels, while
continuing to emphasise data dependency and caution on the timing of any
future rate cuts. The rates market, as of 1 October 2025, expects one or
potentially two more 0.25% rate cuts in the next 12 months from the BoE, but a
maximum of just one further cut from the ECB. The Federal Reserve’s
(“Fed”) rate cuts in the second half of 2025 helped stabilise broader risk
sentiment and supported risk assets globally.
European macro data has remained balanced, with manufacturing activity subdued
in Germany and France but with stronger consumer indicators in peripheral
economies. Euro area Gross Domestic Product (“GDP”) growth for Q2 and Q3
2025 was marginally positive, underpinned by resilient labour markets and
gradually improving real wage growth.
In securitised markets, European ABS issuance reached c.€119 billion
year-to-date, already the highest level since the GFC, while CLO issuance
totalled over €46 billion, excluding an additional circa €40 billion of
CLO refinancings. Supply was diverse across jurisdictions and asset classes,
with particularly strong activity in consumer and auto ABS, and an increasing
contribution from bank issuers in Europe.
Investor demand has remained solid, reflecting the relative value of ABS and
CLO spreads versus corporate credit and covered bonds. Mezzanine tranches in
particular have seen strong participation from asset managers and pension
funds, with oversubscription ratios often exceeding 5–8× on new deals.
Collateral performance has continued to hold up well across both consumer and
mortgage assets. European mortgage arrears remain near historic lows, while
consumer loan delinquencies have stabilised after rising modestly in 2024. We
do however see – and have expected – a degree of performance tiering
between prime borrowers and lower income/non-prime borrowers, as the cost of
living increases continue to disproportionately impact the weakest consumers.
Corporate fundamentals remain resilient, and despite isolated defaults within
leveraged-loan collateral pools, performance remains well within expectations.
Performance Review
Performance over the period was positive across all securitised sectors.
Spreads continued to tighten through the summer months, aided by persistent
inflows into the asset class and a lack of meaningful deterioration in
collateral metrics.
Within CLOs, B-rated tranches delivered total returns of approximately 8%
during the period, benefiting from both spread compression and refinancings.
CLO equity positions also performed well as distributions exceeded
expectations, supported by healthy collateral cashflows. We expect especially
the first quarter 2025 vintage to perform well as CLO managers were able to
ramp up the portfolio during the risk-off period following the US tariff
announcements in April 2025. After CLOs, the best performing sector in the
portfolio was Significant Risk Transfer (“SRT”) with 6.8% of return, with
the majority of that return being the result of income.
The supply-demand balance in European ABS markets remains supportive of
spreads, with new-issue spreads on senior UK Residential Mortgage-Backed
Securities (“RMBS”) and prime consumer ABS reaching their tightest levels
of the year in September 2025. Nevertheless, the portfolio management team has
maintained a disciplined approach to risk, taking profits on positions where
spread tightening appeared overdone, and reallocating proceeds into new
opportunities in CLO equity and BB-rated tranches offering more attractive
risk-adjusted returns.
Secondary trading volumes remained healthy across both ABS and CLOs, driven by
rotation into new issuance and re-risking among institutional investors.
Market liquidity has remained robust, aided by strong participation from
dealers and bank treasuries, which continue to allocate to AAA-rated tranches
for balance sheet purposes. In September 2025, we did note an increase in Bid
Wanted In Competition (“BWIC”) activities from US and UK hedge funds,
selling lower rated, Spanish and Italian consumer ABS and underperforming CLOs
likely to crystalise profits.
Overall, performance across the Company’s holdings reflected the strength of
both income and mark-to-market gains. Portfolio carry remains the dominant
driver of returns, while mark-to-market volatility during the brief April 2025
sell-off was more than offset by gains in subsequent months.
Portfolio Allocation
During the reporting period, the portfolio management team continued to focus
on high-quality, higher-yielding floating-rate assets, particularly CLO
BB-rated and equity tranches, alongside selective investments in consumer &
Auto ABS and RMBS.
Our focus has continued to be on secured risk such as mortgages and senior
secured corporate loans through the CLO market, with an overweight exposure to
Western Europe. The team has looked to fund these investments through the sale
of BB and B rated consumer ABS from Spain and Germany, where collateral
performance has disappointed and additionally has sold out of the remaining
Office Commercial Mortgage-Backed Securities (“CMBS”) exposure in
September 2025, as vacancy levels across offices in Europe continue to
increase.
Leverage remained modest at approximately 1% throughout the reporting period,
but we retain the flexibility to increase gearing should compelling
opportunities arise. Running income remained strong throughout the reporting
period, with overall book yields broadly stable, ending the period at 12.51%
and a mark-to-market yield of 10.30%.
The investment approach remains anchored in secured collateral from
established European lenders, with an emphasis on maintaining liquidity and
limiting spread duration. We continue to actively manage refinancing and
reinvestment risk in the CLO market and have taken the opportunity to redeem
positions where CLO managers have not reduced beta in portfolios.
While spreads are now tight across most sectors, the yield premium relative to
corporate bonds remains compelling, and we continue to see strong technical
support for securitised products.
Looking forward, we expect supply to remain healthy through to the end of the
calendar year, particularly in CLOs, SRT transactions and private RMBS. With
interest rates now expected to remain stable for an extended period, the
environment for carry-driven returns in European ABS appears favourable. The
Company remains well positioned to capture opportunities from both new
issuance and secondary market rotation, while preserving its focus on capital
preservation, liquidity, and income generation.
ESG
The ESG landscape of the ABS market continues to evolve. We have continued to
engage with RMBS and ABS issuers on Scope 3 financed emissions and alignment
with the United Nations Sustainable Development Goals (“SDGs”),
prioritising SDG 10 (Reduced Inequalities) and SDG 11 (Sustainable Cities and
Communities).
The engagement with CLO managers continues to focus on loan exclusions at a
portfolio level, and ongoing reporting with reference to the collateral pool.
As the regulatory landscape carries on evolving, we have engaged, throughout
the reporting period, with managers on maintaining compliance with European
regulation, and the response has been positive.
Outlook
Political developments and fiscal policy have once again become dominant
drivers of market sentiment as we move into the final quarter of 2025. In the
UK, concerns around the government’s growing fiscal deficit and the rising
cost of gilt issuance have reintroduced volatility at the long end of the
curve, with ten-year gilt yields retracing much of the compression seen
earlier in the summer. This has spilled over into broader rate markets, with
similar moves in other sovereign curves as investors reassess debt
sustainability across developed economies.
In the US, renewed government shutdown measures following the re-emergence of
health-related disruptions in several states have temporarily dampened
activity and heightened the divergence between services and manufacturing,
putting pressure on the growth and inflation outlook. The response from the
Fed has been measured, but the combination of slower growth and continued
fiscal expansion has fuelled further steepening of the US yield curve. With
the Fed’s independence called into question, we think volatility is likely
to persist.
Meanwhile, political uncertainty in Europe has risen with ongoing French
volatility, where the latest polling points to another fragmented outcome and
renewed fiscal debate around deficit rules. Collectively, these factors have
kept volatility elevated in long-dated government bonds, reinforcing our
conviction that short-dated and floating-rate credit continues to offer a more
stable and attractive return profile in the medium term.
Consumers and corporates are generally well positioned, supported by resilient
labour markets, although we remain cautious on newer lenders and vulnerable
borrower segments, where collateral performance could lag if economic data
softens further. The near-term technical in securitised markets remains
healthy, with strong demand from institutional buyers. We see the best
relative value in bank-issued ABS and BB-rated and selective equity tranches
of European CLOs, where spreads continue to offer an attractive premium over
other traditional corporate credit.
We also note a growing opportunity set in privately placed high-yield ABS
transactions, where improved structural features and strong collateral quality
are generating appealing risk-adjusted returns. While issuance remains robust,
we expect to see some fatigue emerge in certain segments such as UK mezzanine
RMBS; after a prolonged period of spread tightening.
Despite this, the broader supply-demand dynamic remains supportive and
proposed regulatory changes for banks and insurance companies are likely to
underpin further demand for simple, transparent and standardised (“STS”)
ABS and AAA-rated CLOs in the long run. With fiscal uncertainty, geopolitical
tensions, and policy divergence all contributing to cross-asset volatility, we
continue to favour liquid and flexible portfolio positioning, with a clear
preference for short-duration, floating-rate assets backed by high-quality
collateral.
While the balance of risks remains tilted to the downside and further spread
compression appears limited, the high-running carry provided by ABS and CLOs
should remain the principal driver of returns and continue to offer effective
protection against mark-to-market volatility.
TwentyFour Asset Management LLP
17 November 2025
TOP TWENTY HOLDINGS
as at 30 September 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 43,405,181 5.00
WILMSLOW ASSET BACKED SEUCIRITES SR 1 CL B FLTG RT 26,897,000 RMBS 26,900,631 3.10
UK MORTGAGES CORP FDG DAC KPF1 A 0.0% 31/07/2070 21,124,288 RMBS 25,750,508 2.97
UK MORTGAGES CORPORATE F 'KPF4 A' 0.00% 30/11/2070 21,695,373 RMBS 19,770,234 2.28
LLOYDS BANK PLC FRN 19/11/2029 16,750,000 SRT 17,185,299 1.98
DEUTSCHE BANK AG/CRAFT 202 '1X CLN' FRN 21/11/2033 22,000,000 SRT 17,125,076 1.97
SYON SECURITIES 19-1 B CLO FLT 19/07/2026 14,843,334 RMBS 15,033,328 1.73
EQTY. RELEASE FNDG. NO 5 '5 B' FRN 14/07/2050 16,500,000 RMBS 14,857,326 1.71
UKDAC MTGE 'KPF3 A' 0.0% 31/7/2070 15,645,635 RMBS 13,413,019 1.55
BBVA CONSUMO FTA '1 D' FRN 21/08/2038 13,588,432 Consumer ABS 12,015,483 1.38
RRE 8 LOAN MANAGEMENT DESIGNATED AC BDS 15/07/2040 13,000,000 CLO 11,611,568 1.34
ARMADA EURO CLO IV DAC '4X FR' FRN 15/01/2038 12,500,000 CLO 11,030,290 1.27
TULPENHUIS 0.0% 18/04/2051 11,124,894 RMBS 9,104,900 1.05
TIKEHAU CLO XII DAC '12X F' FRN 20/10/2038 10,000,000 CLO 8,733,399 1.01
SYON SECS. 2020-2 DAC '2 B' FRN 17/12/2027 8,018,362 RMBS 8,645,013 1.00
MILTONIA MTG. FIN. SRL '1 D' FRN 28/04/2062 10,000,000 RMBS 8,615,420 0.99
UK MORTGAGES CORP FDG DAC KPF2 A 0.0% 31/07/2070 7,279,203 RMBS 8,492,006 0.98
INVESCO EURO CLO IX DAC '9X FR' FRN 20/07/2038 9,750,000 CLO 8,319,644 0.96
HIGHWAYS 2021 PLC '1X D' FRN 18/11/2026 8,000,000 CMBS 8,031,928 0.93
UK MORTGAGES CORP FDG DAC CHL1 A 0.0% 31/07/2070 4,977,876 RMBS 7,647,546 0.88
295,687,799 34.08
The full portfolio listing as at 30 September 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 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 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 the
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
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
STATEMENT OF PRINCIPAL RISKS AND UNCERTAINTIES
The Company’s assets are mainly comprised of ABS carrying exposure to risks
related to the underlying assets, backing the security or the originator of
the security. The Company’s principal risks are therefore market or economic
in nature.
The principal risks can be divided into the various areas as follows:
* Investment Valuation and Market Risk
* Liquidity Risk
* Credit Risk and Investment Performance
* Foreign Currency Risk
* Transaction Risks – Settlement and
Counterparty Credit Risks
* Reinvestment Risk
* Operational Risks
* Accounting, Legal and Regulatory Risks
* Cyber Security Risks
* Geopolitical Risk and Economic
Disruption
* Climate Change Risk
The principal risks and uncertainties which have been identified above and the
steps which are taken by the Board to mitigate them are disclosed in further
detail within the Annual Report for the year ended 31 March 2025. The Board
and the Portfolio Manager do not consider these risks to have changed
materially during the six months ended 30 September 2025 and these risks are
considered to remain relevant for the remaining six months of the financial
year.
The Board’s process of identifying and responding to emerging risks is
disclosed in the Annual Report for the year ended 31 March 2025.
Going Concern
The Directors believe that it is appropriate to adopt the going concern basis
in preparing the Unaudited Condensed Interim Financial Statements in view of
the Company’s holdings in cash and cash equivalents and the liquidity of
investments and the income deriving from those investments, meaning the
Company has adequate financial resources and suitable management arrangements
in place to continue as a going concern for at least twelve months from the
date of approval of the Unaudited Condensed Interim Financial Statements.
The Company 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 articles provide for a Realisation Opportunity pursuant to
which Shareholders may elect, on a rolling basis, to realise some or all of
their holdings of Ordinary Shares at each third Annual General Meeting, with
the next Realisation Opportunity due to be in Autumn 2028. Details of the
October 2025 realisation opportunity are disclosed in note 23.
The Company’s continuing ability to meet its dividend target, along with the
Company’s ability to continue as a going concern, has been considered by the
Directors, paying attention to the external geopolitical and macroeconomic
factors, the increased risk of default due to elevated levels of inflation
above target and levels of global interest rates. No material doubts in
respect of the Company’s ability to continue as a going concern have been
identified.
STATEMENT OF DIRECTORS’ RESPONSIBILITIES
We confirm that to the best of our knowledge:
* these Unaudited Condensed Interim Financial
Statements have been prepared in accordance with International Accounting
Standard 34, "Interim Financial Reporting" and give a true and fair view of
the assets, liabilities, equity and profit or loss of the Company as required
by DTR 4.2.4R.
* the interim management report includes a fair review
of the information required by:
(a) DTR 4.2.7R of the Disclosure and Transparency Rules, being an indication
of important events that have occurred during the period from 1 April 2025 to
30 September 2025 and their impact on the Unaudited Condensed Interim
Financial Statements; and a description of the principal risks and
uncertainties for the remaining six months of the year; and
(b) DTR 4.2.8R of the Disclosure and Transparency Rules, being related party
transactions that have taken place during the period from 1 April 2025 to 30
September 2025 and that have materially affected the financial position or
performance of the Company during that period as included in note 14.
By order of the Board
Bronwyn Curtis
John Le Poidevin
Director
Director
17 November 2025
The directors are responsible for the maintenance and integrity of the
corporate and financial information included on the Company's website,
www.twentyfourincomefund.com
, and for the preparation and dissemination of financial statements.
Legislation in Guernsey governing the preparation and dissemination of
financial statements may differ from legislation in other jurisdictions.
INDEPENDENT REVIEW REPORT TO TWENTYFOUR INCOME FUND LIMITED
Conclusion
We have been engaged by TwentyFour Income Fund Limited (the "Company") to
review the condensed set of financial statements in the
half-yearly financial report for the six months ended 30 September 2025 of the
Company, which comprises the condensed statement of financial position, the
condensed statement of comprehensive income, the condensed statement of
changes in equity, the condensed statement of cash flows and the related
explanatory notes.
Based on our review, nothing has come to our attention that causes us to
believe that the condensed set of financial statements in
the half-yearly financial report for the six months ended 30 September 2025 is
not prepared, in all material respects, in accordance with IAS 34 Interim
Financial Reporting and the Disclosure Guidance and Transparency Rules ("the
DTR") of the UK's Financial Conduct Authority ("the UK FCA").
Scope of review
We conducted our review in accordance with International Standard on Review
Engagements (UK) 2410 Review of Interim Financial Information Performed by the
Independent Auditor of the Entity (“ISRE (UK) 2410”) issued by the
Financial Reporting Council for use in the UK. A review
of interim financial information consists of making enquiries, primarily of
persons responsible for financial and accounting matters, and applying
analytical and other review procedures. We read the other
information contained in the half-yearly financial report and consider whether
it contains any apparent misstatements or material inconsistencies with the
information in the condensed set of financial statements.
A review is substantially less in scope than an audit conducted in accordance
with International Standards on Auditing (UK) and consequently does not enable
us to obtain assurance that we would become aware of all significant matters
that might be identified in an audit. Accordingly, we do not express an audit
opinion.
Conclusions relating to going concern
Based on our review procedures, which are less extensive than those performed
in an audit as described in the Scope of review section of this report,
nothing has come to our attention to suggest that the directors have
inappropriately adopted the going concern basis of accounting or that the
directors have identified material uncertainties relating to going concern
that are not appropriately disclosed.
This conclusion is based on the review procedures performed in accordance with
ISRE (UK) 2410. However future events or conditions may cause the Company to
cease to continue as a going concern, and the above conclusions are not a
guarantee that the Company will continue in operation.
Directors’ responsibilities
The half-yearly financial report is the responsibility of, and has been
approved by, the directors. The directors are responsible for preparing the
interim financial report in accordance with the DTR of the UK FCA.
As disclosed in note 2, the annual financial statements
of the Company are prepared in accordance with
International Financial Reporting Standards. The
directors are responsible for preparing the condensed set of
financial statements included in the half-yearly financial report in
accordance with IAS 34 Interim Financial Reporting as adopted by the EU.
In preparing the half-yearly financial report, the directors are responsible
for assessing the Company’s ability to continue as a going concern,
disclosing, as applicable, matters related to going concern and using the
going concern basis of accounting unless they either intend to liquidate the
Company or to cease operations, or have no realistic alternative but to do so.
Our responsibility
Our responsibility is to express to the Company a conclusion on the
condensed set of financial statements in the half-yearly financial
report based on our review. Our conclusion, including our
conclusions relating to going concern, are based on procedures that are less
extensive than audit procedures, as described in the scope of review paragraph
of this report.
The purpose of our review work and to whom we owe our responsibilities
This report is made solely to the Company in accordance with the terms of our
engagement letter to assist the Company in meeting the requirements of the DTR
of the UK FCA. Our review has been undertaken so that we might state to the
Company those matters we are required to state to it in this report and for no
other purpose. To the fullest extent permitted by law, we
do not accept or assume responsibility to anyone other than the Company for
our review work, for this report, or for the conclusions we have reached.
Rachid Frihmat
For and on behalf of KPMG Audit Limited
Chartered Accountants
Guernsey
17 November 2025
CONDENSED STATEMENT OF COMPREHENSIVE INCOME
for the period from 1 April 2025 to 30 September 2025
For the period For the period
from 01.04.25 to 30.09.25 from 01.04.24 to 30.09.24
Notes £ £
(Unaudited) (Unaudited)
Income
Interest income on financial assets at fair value through profit or loss 39,438,096 39,333,165
Net foreign currency (losses)/gains 7 (15,913,969) 15,825,992
Net gains on financial assets at fair value through profit or loss 28,439,076 5,636,331
Bank interest income 433,607 473,291
Total income 52,396,810 61,268,779
Operating expenses
Portfolio management fees 14 (3,099,034) (2,631,614)
Directors' fees 14 (154,625) (142,500)
Administration and secretarial fees 15 (171,542) (193,658)
Audit fees (78,653) (80,784)
Custody fees 15 (41,850) (41,408)
Broker fees (26,357) (25,312)
AIFM management fees 15 (102,502) (120,349)
Depositary fees 15 (38,591) (55,582)
Legal and professional fees (62,377) (80,108)
Listing fees (17,617) (12,161)
Registration fees (23,620) (24,314)
Realisation expenses (1,047,881) -
Other expenses (118,978) (65,027)
Total operating expenses (4,983,627) (3,472,817)
Total operating profit 47,413,183 57,795,962
Finance costs on repurchase agreements 11 (316,380) (402,967)
Total comprehensive income for the period* 47,096,803 57,392,995
Earnings per Ordinary Share - Basic & Diluted 3 0.0620 0.0767
All items in the above statement derive from continuing operations.
The Company’s income and expenses are not affected by seasonality or
cyclicity.
The accompanying notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
* There was no other comprehensive income during the current and
prior periods.
CONDENSED STATEMENT OF FINANCIAL POSITIO N
as at 30 September 2025
30.09.2025 31.03.2025
Notes £ £
(Unaudited) (Audited)
Assets
Financial assets at fair value through profit or loss
- Investments 8 859,758,258 835,130,603
- Derivative assets: Forward currency contracts 17 1,051,008 3,009,311
Amounts due from brokers 1,761,573 3,514,887
Other receivables 9 8,244,726 8,108,910
Cash and cash equivalents 22,915,261 24,613,448
Total assets 893,730,826 874,377,159
Liabilities
Financial liabilities at fair value through profit or loss
- Derivative liabilities: Forward currency contracts 17 60,440 106,387
Amounts payable under repurchase agreements 11 6,435,979 4,168,090
Amounts due to brokers 17,771,847 24,886,494
Share issue costs payable 45,325 -
Other payables 10 1,848,660 1,429,667
Total liabilities 26,162,251 30,590,638
Net assets 867,568,575 843,786,521
Equity
Share capital account 12 809,489,864 780,234,543
Retained earnings 58,078,711 63,551,978
Total equity 867,568,575 843,786,521
Ordinary Shares in issue 12 774,786,661 747,836,661
Net Asset Value per Ordinary Share (pence) 5 111.98 112.83
The Unaudited Condensed Interim Financial Statements were approved by the
Board of Directors on 17 November 2025 and signed on its behalf by:
Bronwyn Curtis
John Le Poidevin
Director
Director
The accompanying notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
CONDENSED STATEMENT OF CHANGES IN EQUITY
for the period from 1 April 2025 to 30 September 2025
Share capital Retained
account earnings Total
Note £ £ £
(Unaudited) (Unaudited) (Unaudited)
Balances at 1 April 2025 780,234,543 63,551,978 843,786,521
Issue of Ordinary Shares 12 30,216,795 - 30,216,795
Share issue costs 12 (347,492) - (347,492)
Dividends paid 20 - (53,184,052) (53,184,052)
Income equalisation on new issues 4 (613,982) 613,982 -
Total comprehensive income for the period - 47,096,803 47,096,803
Balances at 30 September 2025 809,489,864 58,078,711 867,568,575
Share capital Retained
account earnings Total
Notes £ £ £
(Unaudited) (Unaudited) (Unaudited)
Balances at 1 April 2024 780,234,543 33,305,443 813,539,986
Dividends paid - (44,571,065) (44,571,065)
Total comprehensive income for the period - 57,392,995 57,392,995
Balances at 30 September 2024 780,234,543 46,127,373 826,361,916
The accompanying notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
CONDENSED STATEMENT OF CASH FLOWS
for the period from 1 April 2025 to 30 September 2025
For the period For the period
Notes from 01.04.25 to 30.09.25 from 01.04.24 to 30.09.24
£ £
(Unaudited) (Unaudited)
Cash flows from operating activities
Total comprehensive income for the period 47,096,803 57,392,995
Less:
Adjustments for non-cash transactions:
Interest income on financial assets at fair value through profit or loss (39,438,096) (39,333,165)
Bank interest income (433,607) (473,291)
Net gains on investments 8 (28,439,076) (5,636,331)
Amortisation adjustment under effective interest rate method 8 (8,117,980) (3,315,054)
Movement on unrealised losses/(gains) on forward currency contracts 7 1,912,355 (5,447,465)
Exchange (gains)/losses on cash and cash equivalents (4,751) 39,653
Increase in other receivables (67,837) (106,828)
Increase in other payables 418,993 335,379
Finance costs on repurchase agreements 316,380 402,967
Purchase of investments (161,835,848) (120,332,686)
Sale of investments/principal repayments 168,403,916 130,134,340
Investment income received 39,361,942 38,372,304
Bank interest income received 441,783 473,291
Net cash generated from operating activities 19,614,977 52,506,109
Cash flows from financing activities
Proceeds from issue of Ordinary Shares 12 30,216,795 -
Share issue costs (302,167) -
Dividend paid 20 (53,184,052) (44,571,065)
Finance costs paid 11 (286,651) (414,947)
Increase/(decrease) in amounts payable under repurchase agreements, excluding finance cost liabilities 11 2,238,160 (76,439)
Net cash used in financing activities (21,317,915) (45,062,451)
(Decrease)/increase in cash and cash equivalents (1,702,938) 7,443,658
Cash and cash equivalents at beginning of the period 24,613,448 13,142,803
Exchange gains/(losses) on cash and cash equivalents 4,751 (39,653)
Cash and cash equivalents at end of the period 22,915,261 20,546,808
The accompanying notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
NOTES TO THE UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS
for the period from 1 April 2025 to 30 September 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 on the London Stock
Exchange’s FTSE 250 Index.
The Company’s investment objective and policy is set out in the Summary
Information.
The Portfolio Manager of the Company is TwentyFour Asset Management LLP (the
“Portfolio Manager”).
2. Material Accounting Policies
a) Statement of Compliance
The Unaudited Condensed Interim Financial Statements for the period 1 April
2025 to 30 September 2025 have been prepared on a going concern basis in
accordance with IAS 34 “Interim Financial Reporting”, the Disclosure
Guidance and Transparency Rules Sourcebook of the United Kingdom’s FCA and
applicable legal and regulatory requirements.
The Unaudited Condensed Interim Financial Statements should be read in
conjunction with the Audited Financial Statements for the year ended 31 March
2025, which were prepared in accordance with International Financial Reporting
Standards (“IFRS”) and were in compliance with The Companies (Guernsey)
Law, 2008 and which received an unqualified Auditor’s report.
b) Presentation of Information
In the current financial period, there have been no changes to the accounting
policies from those applied in the most recent audited annual financial
statements.
c) Significant Judgements and Estimates
There have been no changes to the significant accounting judgements, estimates
and assumptions from those applied in the most recent audited annual financial
statements.
d) Standards, Amendments and Interpretations Effective during the Period
At the reporting date of these Financial Statements, the following standards,
interpretations and amendments were adopted for the period ended 30 September
2025 and the year ending 31 March 2026:
Lack of Exchangeability (Amendments to IAS 21)
(applicable to accounting periods beginning on or after 1 January 2025);
The directors of the Company (the “Directors” or the “Board”) believe
that the adoption of the above standards will not have a material impact on
the Company’s Unaudited Condensed Interim Financial Statements for the
period ended 30 September 2025 and for the Annual Audited Financial Statements
for the year ending 31 March 2026.
e) Standards, Amendments and Interpretations Issued but not yet Effective
The following standards, interpretations and amendments, which have not been
applied in these Unaudited Condensed Interim Financial Statements, were in
issue but not yet effective:
Classification and Measurement of Financial
Instruments (Amendments to IFRS 7 and IFRS 9) (applicable to periods beginning
on or after 1 January 2026); and
Presentation and Disclosures in Financial
Statements (IFRS 18) (applicable to accounting periods beginning on or after 1
January 2027).
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 the process of assessing the impact of the adoption of
the above standards, which will be 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’.
3. Earnings per Ordinary Share –
Basic & Diluted
The earnings per Ordinary Share – Basic is calculated by dividing a
company's income or profit by the number of Ordinary Shares outstanding.
Diluted earnings per Ordinary Share takes into account all potential dilution
that would occur if convertible securities were exercised or options were
converted to stocks.
As the Company has not issued options, only the Basic earnings per Ordinary
Share has been calculated.
Basic earnings per Ordinary Share has been calculated based on the weighted
average number of Ordinary Shares of 759,313,710 (30 September 2024:
747,836,661) and a net gain of £47,096,803 (30 September 2024: net gain of
£57,392,995).
4. Income Equalisation on New Issues
In order to ensure there are no dilutive effects on earnings per Ordinary
Share for current holders of Ordinary Shares when issuing new Ordinary Shares,
earnings are calculated in respect of accrued income at the time of purchase
and a transfer is made from share capital to income to reflect this. The
transfer for the period is £613,982 (30 September 2024: £Nil).
5. Net Asset Value per Ordinary
Share
The net asset value (“NAV”) of each Ordinary Share of £1.12 (31 March
2025: £1.13) is determined by dividing the value of the net assets of the
Company attributed to the Ordinary Shares of £867,568,575 (31 March 2025:
£843,786,521) by the number of Ordinary Shares in issue at 30 September 2025
of 774,786,661 (31 March 2025: 747,836,661).
6. Taxation
The Company has been granted Exempt Status under the terms of The Income Tax
(Exempt Bodies) (Guernsey) Ordinance, 1989 to income tax in Guernsey. Its
liability for Guernsey taxation is limited to an annual fee of £1,600 (2024:
£1,600).
7. Net Foreign Currency
(Losses)/Gains
For the period For the period
01.04.25 to 30.09.25 01.04.24 to 30.09.24
£ £
(Unaudited) (Unaudited)
Movement on unrealised (loss)/gain on forward currency contracts (1,912,355) 5,447,465
Realised (loss)/gain on foreign currency contracts (14,001,643) 10,425,600
Movement on unrealised foreign currency (loss)/gain on receivables/payables (42,815) 87,163
Movement on unrealised foreign currency exchange gain/(loss) on interest receivable 42,844 (134,236)
(15,913,969) 15,825,992
8. Investments
As at As at
30.09.25 31.03.25
£ £
(Unaudited) (Audited)
Financial assets at fair value through profit or loss:
Opening book cost 836,177,782 815,142,981
Purchases at cost 154,721,201 335,051,214
Proceeds on sale/principal repayment (166,650,602) (339,772,031)
Amortisation adjustment under effective interest rate method 8,117,980 11,383,217
Realised gains on sale/principal repayment 36,117,271 35,320,119
Realised losses on sale/principal repayment (17,910,609) (20,947,718)
Closing book cost 850,573,023 836,177,782
Unrealised gains on investments 22,410,479 17,810,726
Unrealised losses on investments (13,225,244) (18,857,905)
Fair value 859,758,258 835,130,603
For the period For the period
01.04.25 to 30.09.25 01.04.24 to 30.09.24
£ £
(Unaudited) (Unaudited)
Realised gains on sales/principal repayment 36,117,271 18,306,551
Realised losses on sales/principal repayment (17,910,609) (76,273,069)
Increase in unrealised gains 4,599,753 65,680,800
Decrease/(increase) in unrealised losses 5,632,661 (2,077,951)
Net gains on financial assets at fair value through profit or loss 28,439,076 5,636,331
9. Other Receivables
As at As at
30.09.25 31.03.25
£ £
(Unaudited) (Audited)
Coupon interest receivable 8,010,488 7,934,333
Bank interest receivable 98,962 107,138
Prepaid expenses 135,276 67,439
8,244,726 8,108,910
There are no material expected credit losses for coupon interest
receivable as at 30 September 2025.
10. Other Payables
As at As at
30.09.25 31.03.25
£ £
(Unaudited) (Audited)
Portfolio management fees payable 530,604 1,042,116
Custody fees payable - 21,319
Administration and secretarial fees payable 76,402 96,697
Audit fees payable 73,193 156,000
AIFM fees payable 11,383 30,527
Depositary fees payable 2,137 27,771
Realisation expenses payable 1,047,881 -
General expenses payable 107,060 55,237
1,848,660 1,429,667
A summary of the expected payment dates of payables can be found in the
‘Liquidity Risk’ section of note 17.
11. Amounts Payable Under Repurchase
Agreements
The Company, as part of its investment strategy, may enter into repurchase
agreements. A repurchase agreement is a short-term loan where both parties
agree to the sale and future repurchase of assets within a specified contract
period. Repurchase agreements may be entered into in respect of securities
owned by the Company which are sold to and repurchased from counterparties on
contractually agreed dates and the cash generated from this arrangement can be
used to purchase new securities, effectively creating leverage. The Company
still benefits from any income received, attributable to the security.
Under the Company’s Global Master Repurchase Agreement, it may from time to
time enter into transactions with a buyer or seller, pursuant to the terms and
conditions as governed by the agreement.
Finance costs on repurchase agreements have been presented separately from
interest income. Finance costs on repurchase agreements amounted to £316,380
(30 September 2024: £402,967). As at 30 September 2025, finance cost
liabilities on open Repurchase Agreements amounted to £37,419 (31 March 2025:
£7,690).
At the end of the period, amounts repayable under open Repurchase Agreements
were £6,435,979 (31 March 2025: £4,168,090). Two securities were designated
as collateral against the Repurchase Agreements (31 March 2025: one security),
with a total fair value of £8,659,186 (31 March 2025: £5,153,055), all of
which were investment grade residential mortgage-backed securities. The total
exposure was -0.74% (31 March 2025: -0.49%) 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 period For the year
01.04.25 to 30.09.25 01.04.24 to 31.03.25
£ £
(Unaudited) (Audited)
Amounts payable under Repurchase Agreements
Opening balance, excluding finance cost liabilities 4,160,400 14,041,222
Agreements entered during the period/year 36,677,657 36,311,829
Repaid/maturities during the period/year (34,439,497) (46,192,651)
Closing balance, excluding finance cost liabilities 6,398,560 4,160,400
Finance cost liabilities
Opening balance 7,690 49,285
Charged during the period/year 316,380 621,982
Repayments during the period/year (286,651) (663,577)
Closing balance 37,419 7,690
12. Share Capital
a) Authorised Share Capital
Unlimited number of Ordinary Shares at no par value.
b) Issued Share Capital
For the period For the year
01.04.25 to 30.09.25 01.04.24 to 31.03.25
£ £
(Unaudited) (Audited)
Ordinary Shares
Share Capital at the beginning of the period/year 780,234,543 780,234,543
Issue of Ordinary Shares 30,216,795 -
Share issue costs (347,492) -
Income equalisation on new issues (613,982) -
Total Share Capital at the end of the period/year 809,489,864 780,234,543
For the period For the year
01.04.25 to 30.09.25 01.04.24 to 31.03.25
Number of Ordinary Shares Number of Ordinary Shares
(Unaudited) (Audited)
Ordinary Shares
Shares at the beginning of the period/year 747,836,661 747,836,661
Issue of Ordinary Shares 26,950,000 -
Total Shares in issue at the end of the period/year 774,786,661 747,836,661
The Share Capital of the Company consists of an unlimited number of Ordinary
Shares at no par value which, upon issue, the Directors may designate as:
Ordinary Shares; realisation shares, being the Ordinary Shares of Shareholders
who have elected to realise their investment in the Company during a
Realisation Opportunity (“Realisation Shares”); or such other class as the
Board shall determine and denominated in such currencies as shall be
determined at the discretion of the Board.
As at 30 September 2025, one share class has been issued, being the Ordinary
Shares of the Company.
During the period, the Company issued 26,950,000 new Ordinary Shares (31 March
2025: none) under its blocklisting facility, increasing the Company’s issued
share capital to 774,786,661 Ordinary Shares.
The Company did not purchase any of its own shares during the period ended 30
September 2025 or during the year ended 31 March 2025. No shares were
cancelled during either period/year.
No shares were held in Treasury or sold from Treasury during the period ended
30 September 2025 or during the year ended 31 March 2025.
The Ordinary Shares carry the following rights:
i) The Ordinary Shares carry the right to
receive all income of the Company attributable to the Ordinary Shares.
ii) The Shareholders present in person or by
proxy or present by a duly authorised representative at a general meeting has,
on a show of hands, one vote and, on a poll, one vote for each Share held.
iii) 56 days before the Annual General Meeting
(“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 2025,
details of which can be found in note 23. The next Realisation Opportunity is
due to occur at the end of the next three-year term, at the date of the AGM in
Autumn 2028.
The Company has the right to issue and purchase up to 14.99% of the total
number of its own shares at £0.01 each, to be classed as Treasury Shares and
may cancel those Shares or hold any such Shares as Treasury Shares, provided
that the number of Ordinary Shares held as Treasury Shares shall not at any
time exceed 10% of the total number of Ordinary Shares of that class in issue
at that time or such amount as provided in The Companies (Guernsey) Law, 2008.
The Company has the right to re-issue Treasury Shares at a later date.
Shares held in Treasury are excluded from calculations when determining
earnings per Ordinary Share or NAV per Ordinary Share, as detailed in notes 3
and 5, respectively.
13. Analysis of Financial Assets
and Liabilities by Measurement Basis
Assets at fair
value through Amortised
profit or loss cost Total
£ £ £
30 September 2025
Financial Assets as per Statement of Financial Position (Unaudited)
Financial assets at fair value through profit or loss:
- Investments 859,758,258 - 859,758,258
- Derivative assets: Forward currency contracts 1,051,008 - 1,051,008
Amounts due from brokers - 1,761,573 1,761,573
Other receivables (excluding prepayments) - 8,109,450 8,109,450
Cash and cash equivalents - 22,915,261 22,915,261
860,809,266 32,786,284 893,595,550
Liabilities at fair
value through Amortised
profit or loss cost Total
30 September 2025 £ £ £
Financial Liabilities as per Statement of Financial Position (Unaudited)
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts 60,440 - 60,440
Amounts payable under repurchase agreements - 6,435,979 6,435,979
Amounts due to brokers - 17,771,847 17,771,847
Share issue costs payable - 45,325 45,325
Other payables - 1,848,660 1,848,660
60,440 26,101,811 26,162,251
Assets at fair
value through Amortised
profit or loss cost Total
£ £ £
31 March 2025
Financial Assets as per Statement of Financial Position (Audited)
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 (Audited)
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
14. Related Parties
a) Directors’ Remuneration & Expenses
The Directors of the Company are remunerated for their services at such a rate
as the Directors determine, subject to an upper limit of aggregate director
fees of £400,000 per annum.
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.
During the period ended 30 September 2025, directors’ fees of £154,625 (30
September 2024: £142,500) were charged to the Company, of which £Nil (31
March 2025: £Nil) remained payable at the end of the period.
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 period amounted to £3,099,034
(30 September 2024: £2,631,614) of which £530,604 (31 March 2025:
£1,042,116) is due and payable at the period 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 Shares, following admission, in consideration of marketing
services that it provides to the Company. During the period, the Portfolio
Manager received £45,325 (30 September 2024: £Nil) in commission.
c) Shares Held by Related Parties
As at 30 September 2025, Directors of the Company held the following shares
beneficially:
30.09.25 31.03.25
Number of Number of
Ordinary Shares Ordinary Shares
Bronwyn Curtis 114,154 114,154
John Le Poidevin 354,800 354,800
John de Garis 39,753 39,753
Joanne Fintzen 86,260 86,260
Paul Le Page 49,457 49,457
Subsequent to period end on 24 October 2025, the following directors were
allocated Ordinary Shares as part of the Placing programme, made available on
the market as part of the Realisation Opportunity (alongside and on the same
terms as other investors as detailed in note 23):
Bronwyn Curtis – 24,830 Ordinary Shares;
Joanne Fintzen – 45,248 Ordinary Shares; and
John Le Poidevin – 150,000 Ordinary Shares.
As at 30 September 2025, the Portfolio Manager held 40,446,948 Ordinary Shares
(31 March 2025: 40,446,948 Ordinary Shares), which is 5.22% (31 March 2025:
5.41%) of the Issued Share Capital. Partners and employees of the Portfolio
Manager held 5,377,796 Ordinary Shares (31 March 2025: 5,594,917 Ordinary
Shares), which is 0.69% (31 March 2025: 0.75%) of the Issued Share Capital.
The Portfolio Manager, partner and employee amounts therefore exclude shares
held under any long-term incentive plan (“LTIP”), issued by the Portfolio
Manager, which has not yet vested. Ordinary Shares that are held in employee
and partner LTIPs total 627,664 (31 March 2025: 461,499), which is 0.08% (31
March 2025: 0.06%) of the Issued Share Capital.
Any shares purchased by Directors, the Portfolio Manager and employees of the
Portfolio Manager are carried out in their capacity as Shareholders. No shares
are offered or awarded to any Related Parties as remuneration.
15. Material Agreements
a) Alternative Investment Fund Manager
The Company’s Alternative Investment Fund Manager (the “AIFM”) is
Waystone Management (IE) Limited (“Waystone”). In consideration for the
services provided by the AIFM under the AIFM Agreement, 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 period ended 30 September 2025, AIFM fees of £102,502 (30
September 2024: £120,349) were charged to the Company, of which £11,383 (31
March 2025: £30,527) remained payable at the end of the period.
b) Administrator and Secretary
Effective 1 April 2025, administration fees are payable to Northern Trust
International Fund Administration Services (Guernsey) Limited monthly in
arrears at a rate of 0.055% of the NAV of the Company below £100 million,
0.04% on Net Assets between £100 million and £200 million and 0.035% on Net
Assets in excess of £200 million as at the last business day of the month
subject to a minimum £65,000 per annum for the year to 31 March 2026, and
£75,000 per annum thereafter. Prior to this, administration fees were payable
at a rate of 0.06% per annum of the NAV of the Company below £100 million,
0.05% per annum on NAV between £100 million and £200 million and 0.04% per
annum on NAV in excess of £200 million as at the last business day of the
month subject to a minimum £75,000 per annum. In addition, an annual fee of
£25,000 is charged for corporate governance and company secretarial services.
Total administration and secretarial fees for the period amounted to £171,542
(30 September 2024: £193,658) of which £76,402 (31 March 2025: £96,697) was
due and payable at end of the period.
c) Depositary
Effective 1 April 2025, depositary fees are payable to Northern Trust
(Guernsey) Limited, monthly in arrears, at a rate of 0.0175% of the NAV of the
Company up to £100 million, 0.0150% on Net Assets between £100 million and
£200 million and 0.01% on Net Assets in excess of £200 million as at the
last business day of the month subject to a minimum £25,000 each period,
reduced to £15,000 for the year to 31 March 2026. Prior to this, depositary
fees were payable at a rate of 0.0175% per annum of the NAV of the Company up
to £100 million, 0.0150% per annum on NAV between £100 million and £200
million and 0.0125% per annum on NAV 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 period amounted to £38,591 (30 September
2024: £55,582), of which £2,137 (31 March 2025: £27,771) was due and
payable at the end of the period.
The Depositary is also entitled to a global custody fee of a minimum of
£8,500 per annum plus transaction fees. Total global custody fees and charges
for the period amounted to £41,850 (30 September 2024: £41,408) of which
£2,599 was prepaid (31 March 2025: £21,319 due and payable) at the end of
the period.
16. 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 Condensed 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 30 September 2025 and 31 March 2025:
As at 31 March 2025 Number of investments Range of Nominal Average Nominal Carrying Value % of Company's NAV
(Audited) £ million £ million £ million
Asset-Backed Securities*:
Auto Loans 11 5 - 85 29 27 3.1%
CLO 123 8 - 275 23 387 44.6%
CMBS 2 15 - 32 24 11 1.3%
Consumer ABS 7 11 - 70 39 30 3.5%
CRE ABS 5 8 - 17 12 21 2.4%
Credit Cards 3 9 - 18 14 9 1.1%
RMBS 53 1 - 85 17 327 37.7%
SRT 6 87 - 1,263 359 48 5.5%
210 860
As at 31 March 2025 Number of investments Range of Nominal Average Nominal Carrying Value % of Company's NAV
(Audited) £ 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
*Definition of Terms
“CLO” – Collateralised Loan Obligations
“CMBS” – Commercial Mortgage-Backed Securities
“CRE” – Commercial Real Estate
“RMBS” – Residential Mortgage-Backed Securities
“SRT” – Significant Risk Transfer
17. Financial Risk Management
The Company’s objective in managing risk is the creation and protection of
Shareholder value. Risk is inherent in the Company’s activities, but it is
managed through an ongoing process of identification, measurement and
monitoring.
The Company’s financial instruments include investments classified at fair
value through profit or loss, cash and cash equivalents, derivative
liabilities and amounts payable under repurchase agreements. The main risks
arising from the Company’s financial instruments are market risk, credit
risk and liquidity risk. The techniques and instruments utilised for the
purposes of efficient portfolio management are those which are reasonably
believed by the Board to be economically appropriate to the efficient
management of the Company.
Market Risk
Market risk embodies the potential for both losses and gains and
includes currency risk, interest rate risk, reinvestment risk and price risk.
The Company’s strategy on the management of market risk is driven by the
Company’s investment objective of generating attractive risk adjusted
returns principally through investment in ABS.
The underlying investments comprised in the portfolio are subject
to market risk. The Company is therefore at risk that market events may affect
performance and in particular may affect the value of the Company’s
investments. Market risk involves changes in market prices or rates, including
interest rates, availability of credit, inflation rates, economic uncertainty,
changes in law, national and international political circumstances.
(i) Price Risk
The price of an 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, levels of unemployment and taxation which can have an impact on
arrears, foreclosures and losses incurred with respect to the pool of assets
backing the security; (iii) changes in the market’s perception of the
adequacy of credit support built into the security’s structure to protect
against losses caused by arrears and foreclosures; (iv) changes in the
perceived creditworthiness of the originator of the security or any other
third parties to the transaction; (v) the speed at which mortgages or loans
within the pool are repaid by the underlying borrowers (whether voluntary or
due to arrears or foreclosures).
The Company’s policy also stipulates that no more than 10% of
the portfolio value can be exposed to any single 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
£ £ £ £
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
As at 30 September 2025
Financial assets at fair value 859,758,258 - - 859,758,258
through profit or loss
Derivative assets - - 1,051,008 1,051,008
Amounts due from brokers - - 1,761,573 1,761,573
Other receivables (excluding prepayments) - - 8,109,450 8,109,450
Cash and cash equivalents 22,915,261 - - 22,915,261
Repurchase agreements - (6,435,979) - (6,435,979)
Amounts due to brokers - - (17,771,847) (17,771,847)
Share issue costs payable - - (45,325) (45,325)
Other payables - - (1,848,660) (1,848,660)
Derivative liabilities - - (60,440) (60,440)
Net assets/(liabilities) 882,673,519 (6,435,979) (8,804,241) 867,433,299
Floating rate Fixed rate Non-interest bearing Total
£ £ £ £
(Audited) (Audited) (Audited) (Audited)
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/(liabilities) 859,744,051 (4,168,090) (11,856,879) 843,719,082
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 £22,066,838, respectively (31 March
2025: gain or loss of £21,493,601).
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 a 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
11 for details of the amounts payable under repurchase agreements.
The Company’s continuing position in relation to interest rate risk is
monitored on a weekly basis by the Portfolio Manager as part of its review of
the weekly NAV calculations prepared by the Administrator of the Company.
(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 Condensed
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
30.09.2025 30.09.2025 30.09.2025 30.09.2025
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
One Danish Krone forward foreign currency contract:
Settlement date 23 October 2025 52,399,058 kr. £6,146,601 £6,134,362 £12,239
Two Euro forward foreign currency
contracts totalling:
Settlement date 23 October 2025 €576,074,928 £504,359,981 £503,322,130 £1,037,851
Contract to close out 1 October 2025 Euro
foreign currency contract €2,054,815 £1,794,349 £1,793,431 £918
One Euro forward foreign currency contract:
Settlement date 23 October 2025 €20,167,980 £17,615,177 £17,620,955 (£5,778)
One US Dollar forward foreign currency contract:
Settlement date 23 October 2025 $22,877,335 £16,938,144 £16,991,593 (£53,449)
One Euro forward foreign currency contract:
Settlement date 23 October 2025 (€2,054,815) (£1,796,525) (£1,795,312) (£1,213)
£990,568
Contract Outstanding contracts Mark-to-market equivalent Unrealised gains/(losses)
values
31.03.2025 31.03.2025 31.03.2025 31.03.2025
(Audited) (Audited) (Audited) (Audited)
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
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 30 September 2025 and as at 31 March 2025, the Company held the
following assets and liabilities denominated in foreign currencies:
As at As at
30.09.2025 31.03.2025
£ £
Danish Krone (Unaudited) (Audited)
Assets/(Liabilities):
Investments 5,521,045 6,521,469
Cash and cash equivalents 803,803 879,985
Other receivables 96,544 112,604
Open forward currency contracts (6,134,362) (9,515,877)
287,030 (2,001,819)
As at As at
30.09.2025 31.03.2025
£ £
Euro (Unaudited) (Audited)
Assets/(Liabilities):
Investments 526,374,392 460,935,918
Cash and cash equivalents 8,356,944 5,099,229
Other receivables 8,112,692 6,222,255
Amounts due to brokers (17,771,847) (24,399,172)
Open forward currency contracts (519,147,773) (451,193,615)
Close out forward currency contract (1,793,432) -
4,130,976 (3,335,385)
As at As at
30.09.2025 31.03.2025
£ £
US Dollar (Unaudited) (Audited)
Assets/(Liabilities):
Investments 17,125,076 18,633,464
Cash and cash equivalents 718,632 646,571
Other receivables 254,582 262,342
Open forward currency contracts (16,991,593) (18,474,778)
1,106,697 1,067,599
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 30 September 2025 and 31 March 2025. The analysis
is based on the assumption that the relevant foreign exchange rate
increased/decreased by the percentage disclosed in the table, with all other
variables held constant. This represents management’s best estimate of a
reasonable possible shift in the foreign exchange rates, having regard to
historical volatility of those rates.
As at As at
30.09.2025 31.03.2025
£ £
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a: (Unaudited) (Audited)
- 20% increase in Danish Krone (41,524) 339,684
- 20% decrease in Danish Krone 81,230 (491,384)
As at As at
30.09.2025 31.03.2025
£ £
(Unaudited) (Audited)
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in Euro (235,548) 810,341
- 20% decrease in Euro 1,712,165 (452,181)
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in US Dollar (185,936) (177,518)
- 20% decrease in US Dollar 274,445 267,522
(iv) Reinvestment Risk
Reinvestment risk is the risk that future coupons from a bond will not be
reinvested upon redemption at the interest rate which was prevailing 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 analysis below shows the Company’s sensitivity to movement in market
prices based on a 10% increase or decrease, representing management’s best
estimate of a reasonable possible shift in market prices, having regard to
historical volatility.
At 30 September 2025, if market prices had been 10% higher with all other
variables held constant, the increase in net assets attributable to
Shareholders would have been £85,975,826 (31 March 2025: £85,513,060). 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 18, the valuation models used for some of the portfolio
assets (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
Portfolio Manager monitors exposure to credit risk on an
on-going basis.
The main concentration of credit risk to which the Company is exposed arises
from the Company’s investments in ABS. The Company is also exposed to
counterparty credit risk on forwards, cash and cash equivalents, amounts due
from brokers and other receivable balances. During the period, none
of the Company’s investments in ABS were in default (31 March 2025: 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.
The portfolio of ABS by ratings category using the highest rating assigned by
Standard and Poor’s (“S&P”), Moody’s Analytics (Moody’s”) or Fitch
Ratings (“Fitch”) :
30.09.25 31.03.25
(Unaudited) (Audited)
AAA 1.02% 1.40%
AA+ 1.73% 1.76%
AA- 5.36% 5.53%
A+ 0.41% 0.09%
A 1.00% 0.35%
A- 1.00% 0.93%
BBB+ 2.99% 4.38%
BBB 0.98% 1.40%
BBB- 1.82% 3.39%
BB+ 9.01% 5.44%
BB 2.68% 3.17%
BB- 14.47% 14.30%
B+ 3.80% 3.44%
B 1.95% 3.18%
B- 17.19% 16.37%
CCC+ 0.20% -
CCC 0.36% 1.11%
CCC- 0.40% 0.46%
NR* 33.63% 33.30%
100.00% 100.00%
* The non-rated exposure within the Company is managed in
exactly the same way as the exposure to any other rated bond in the portfolio.
A bond not rated by any of Moody’s, S&P or Fitch does not necessarily
translate as poor credit quality. Often smaller issues/tranches, or private
deals which the Company holds, will not apply for a rating due to the cost of
doing so from the relevant credit agencies. The Portfolio Manager has no
credit concerns with the unrated, or rated, bonds currently held, as there
have been no defaults in the period. 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 Condensed Statement of Financial
Position date, as summarised below:
As at As at
30.09.25 31.03.25
£ £
(Unaudited) (Audited)
Investments 859,758,258 835,130,603
Cash and cash equivalents 22,915,261 24,613,448
Unrealised gains on derivative assets 1,051,008 3,009,311
Amounts due from brokers 1,761,573 3,514,887
Other receivables (excluding prepayments) 8,109,450 8,041,471
893,595,550 874,309,720
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 ultimately
dependent upon payment of the underlying debt by the debtor.
Liquidity Risk
Liquidity risk is the risk that the Company may not be able to generate
sufficient cash resources to settle its obligations as they fall due or can
only do so on terms that are materially disadvantageous.
Investments made by the Company in ABS may be relatively illiquid and this may
limit the ability of the Company to realise its investments. Investments in
ABS could also have no active market and the Company could have 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
in note 12 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
£ £ £ £
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
As at 30 September 2025
Financial liabilities
Repurchase agreements - (6,435,979) - (6,435,979)
Unrealised loss on derivative liabilities (60,440) - - (60,440)
Share issue costs payable (45,325) - - (45,325)
Amounts due to brokers (17,771,847) - - (17,771,847)
Other payables (692,586) (1,156,074) - (1,848,660)
Total (18,570,198) (7,592,053) - (26,162,251)
Up to 1 month 1-6 months 6-12 months Total
£ £ £ £
(Audited) (Audited) (Audited) (Audited)
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)
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 at a
price not exceeding the higher of (i) 5% above the average of the mid-market
values of the Ordinary Shares for the 5 business days before the purchase is
made or, (ii) the higher of the price of the last independent trade and the
highest current investment bid for the Ordinary Shares.
In deciding whether to make any such purchases, the Directors will have regard
to what they believe to be in the best interests of the Company as a whole, to
the applicable legal requirements and any other requirements in its Articles.
The making and timing of any buybacks will be at the absolute discretion of
the Board and not at the option of the Shareholders, and is expressly subject
to the Company having sufficient surplus cash resources available (excluding
borrowed monies).
(ii) Realisation Opportunity
A Realisation Opportunity shall be at the annual general meeting of the
Company in each third year. On 20 October 2025, the Company concluded its most
recent Realisation Opportunity; details of which can be found in note 23. The
next Realisation Opportunity is expected to take place in Autumn 2028, 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
assets in 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 20, the Directors shall
propose an Ordinary Resolution that the Company continues its business as a
closed-ended collective investment scheme at the Annual General Meeting
following that financial reporting period.
18. Fair Value Measurement
All assets and liabilities are carried at fair value or at amortised cost,
which equates to fair value.
IFRS 13 requires the Company to classify fair value measurements using a fair
value hierarchy that reflects the significance of the inputs used in making
the measurements. The fair value hierarchy has the following levels:
(i) Quoted prices (unadjusted) in active markets for
identical assets or liabilities (Level 1).
(ii) Inputs other than quoted prices included within Level 1 that are
observable for the asset or liability, either directly (that is, as prices) or
indirectly (that is, derived from prices including interest rates, yield
curves, volatilities, prepayment speeds, credit risks and default rates) or
other market corroborated inputs (Level 2).
(iii) Inputs for the asset or liability that are not based on observable
market data (that is, unobservable inputs) (Level 3).
The following tables analyse within the fair value hierarchy the Company’s
financial assets and liabilities (by class) measured at fair value for the
period ended 30 September 2025 and year ended 31 March 2025.
Level 1 Level 2 Level 3 Total
£ £ £ £
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
Assets
Financial assets at fair value through profit or loss:
Asset-Backed Securities:
Auto Loans - 26,526,548 - 26,526,548
CLO - 386,834,870 - 386,834,870
CMBS - 11,402,320 - 11,402,320
Consumer ABS - 30,544,085 - 30,544,085
CRE ABS - 20,929,181 - 20,929,181
Credit Cards - 9,163,391 - 9,163,391
RMBS - 156,566,754 170,143,433 326,710,187
SRT - 26,347,805 21,299,871 47,647,676
Forward currency contracts - 1,051,008 - 1,051,008
Total assets as at 30 September 2025 - 669,365,962 191,443,304 860,809,266
Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts - 60,440 - 60,440
Total liabilities as at 30 September 2025 - 60,440 - 60,440
Level 1 Level 2 Level 3 Total
£ £ £ £
(Audited) (Audited) (Audited) (Audited)
Assets
Financial assets at fair value through profit or loss:
Asset-Backed Securities:
Auto Loans - 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
ABS which have a value based on quoted market prices in active
markets are classified in Level 1. At the end of the period, no ABS held by
the Company are classified as Level 1.
ABS which are not traded or dealt on organised markets or exchanges are
classified in Level 2 or Level 3. ABS with prices obtained from independent
price vendors, where the Portfolio Manager is able to assess whether the
observable inputs used for their modelling of prices are accurate and the
Portfolio Manager has the ability to challenge these vendors with further
observable inputs, are classified as Level 2. Prices obtained from vendors who
are not easily challengeable or transparent in showing their assumptions for
the method of pricing these assets, are classified as Level 3. 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 30 September 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 other
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 period ended 30 September 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 30 September 2025, investments (related
primarily to RMBS/MBS investments) totalling 15.75% of the portfolio were
valued by the third-party valuer (31 March 2025: 19.19%). These investments
are presented in the following tables. Valuations performed by the third-party
valuer are classified as Level 3.
Please see note 3 (ii) of the Audited Financial Statements for the year ended
31 March 2025 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 30
September 2025 and 31 March 2025:
30 September 2025 Fair Value (£) Financial Assets/Liabilities Unobservable Input Sensitivity Used Effect on Fair Value (£)
(Unaudited)
Dutch RMBS 52,510,081 Financial Asset Discount Margin -5% / +5% 2,375,011 / 911,464
(1000 bps/ 1100 bps)
UK RMBS 18,029,621 Financial Asset Discount Margin -5% / +5% 585,355 / (611,532)
(183 bps/ 1030 bps/ 1080 bps)
UK RMBS 25,750,508 Financial Asset Discount Margin -5% / +5% 684,392 / (2,443,046)
(Vertical risk retention - predominantly AAA) (127 bps)
UK RMBS 39,162,681 Financial Asset Discount Margin -3% / +3% 1,485,319 / (1,431,405)
(Vertical risk retention - predominantly AAA) (247 bps/ 296 bps/ 306 bps)
31 March 2025 Fair Value (£) Financial Assets/Liabilities Unobservable Input Sensitivity Used Effect on Fair Value (£)
(Audited)
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 28,891,014 Financial Asset Discount Margin -5% / +5% 809,955 / (2,896,614)
(Vertical risk retention - predominantly AAA) (126 bps)
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)
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 17 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 30
September 2025 totalling £56 million (31 March 2025: £50.3 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 current and prior periods, there were no transfers between Level 2
and Level 3.
The following tables present the movement in Level 3 instruments for the
period ended 30 September 2025 and year ended 31 March 2025 by class of
financial instrument.
Opening Total purchases during the Total sales during the period ended Realised gains on Realised losses on Unrealised gains for the period for Level 3 Investments held at 30 September 2025 Unrealised losses for the period for Level 3 Investments held at 30 September 2025 Transfer into Level 3 Transfer Closing
balance at period ended 30 September 2025 30 September 2025 Level 3 Investments Level 3 Investments out Level 3 balance at 30 September 2025
1 April 2025 held during the period ended held during the
30 September 2025 period ended
30 September 2025
£ £ £ £ £ £ £ £ £ £
(Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited)
RMBS 187,129,822 19,458,093 (46,886,775) 15,553,286 (13,476,109) 9,057,489 (692,373) - - 170,143,433
SRT 23,412,661 - (2,494,810) 1,088,672 (33,059) 176,749 (850,342) - - 21,299,871
210,542,483 19,458,093 (49,381,585) 16,641,958 (13,509,168) 9,234,238 (1,542,715) - - 191,443,304
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 2025 Realised losses on Unrealised gains for Unrealised losses for the year for Level 3 Investments held at 31 March 2025 Transfer into Level 3 Transfer Closing
1 April 2024 year ended 31 March 2025 Level 3 Investments held during the year ended 31 March 2025 the year for Level 3 Investments held at out Level 3 balance at
31 March 2025 31 March 2025 31 March 2025
£ £ £ £ £ £ £ £ £ £
(Audited) (Audited) (Audited) (Audited) (Audited) (Audited) (Audited) (Audited) (Audited) (Audited)
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
All other financial assets and liabilities are carried at amortised cost.
Their carrying values are a reasonable approximation of fair value.
19. 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 Condensed Statement
of Comprehensive Income as interest income on financial assets at fair value
through profit and loss being interest income received from credit securities.
20. 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 period, and (b) an additional amount to reflect any
income purchased in the course of any share subscriptions that took place
during the period. Including purchased income in this way ensures that the
income yield of the shares is not diluted as a consequence of the issue of new
shares during an income period and (c) any income on the foreign exchange
contracts created by the SONIA differentials between each foreign currency
pair, less (d) total expenditure for the period.
The Company, being a Guernsey regulated entity, is able to pay dividends out
of capital. Nonetheless, the Board carefully considers any dividend payments
made to ensure the Company's capital is maintained in the longer term. Careful
consideration is also given to ensuring sufficient cash is available to meet
the Company's liabilities as they fall due.
The Board expects that dividends will constitute the principal element of the
return to the holders of Ordinary Shares.
Under The Companies (Guernsey) Law, 2008, the Company can distribute dividends
from capital and revenue reserves, subject to the net asset and solvency test.
The net asset and solvency test considers whether a company is able to pay its
debts when they fall due, and whether the value of a company’s assets is
greater than its liabilities. The Board confirms that the Company passed the
net asset and solvency test for each dividend paid.
The Company declared the following dividends during the period ended 30
September 2025:
Period to Dividend rate per Ordinary Share (£) Net dividend payable (£) Ex-dividend date Record date Pay date
31 March 2025 0.0507 37,915,319 17 April 2025 22 April 2025 6 May 2025
30 June 2025* 0.0200 15,268,733 17 July 2025 18 July 2025 1 August 2025
53,184,052
30 September 2025* 0.0200 15,585,733 16 October 2025 17 October 2025 3 November 2025
*These dividends were declared in respect of distributable profit for the
period ended 30 September 2025.
21. Ultimate Controlling Party
In the opinion of the Directors on the basis of shareholdings
advised to them, the Company has no ultimate controlling party.
22. Significant Events During the
Period
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 30 September 2025, the Company does not have any direct
exposure to securities in either region.
In early April 2025, Donald Trump’s administration announced a set of
tariffs on trade partners globally. The severity, and volatility of said
tariffs led to a global risk-off move in financial markets as the risk of
inflationary and growth impacts were elevated. Although the direct impact to
ABS is limited, the Directors, along with the Portfolio Manager, are
monitoring developments related to trade policy. Longer term uncertainty could
result in a more constrained growth picture for global economies.
The situation in Israel and Gaza, and subsequent global government reactions
continues to dominate news flow. As at 30 September 2025, the Company does not
have any direct exposure to securities in either region. The Directors, along
with the Portfolio Manager, are monitoring developments related to this
military action, including current and potential future interventions of
foreign governments and economic sanctions, which could result in higher oil
prices and inflation.
During the period, asset managers within the UK and Europe have continued to
see increased pressure from stakeholders to assess and disclose the impact of
climate change on investment portfolios. The Portfolio Manager has a
formalised approach to the risk integrated within a robust ESG framework which
is a major factor in the Portfolio Manager’s investment analysis. The Board
continues to evaluate what aspects the Company will consider reporting, based
on the regulatory requirements of the Company and developing best practice in
the Company’s sector.
23. Subsequent Events
These Unaudited Condensed Interim Financial Statements were approved for
issuance by the Board on 17 November 2025. Subsequent events have been
evaluated until this date.
The Company issued the following Ordinary Shares under its blocklisting
facility, increasing the Company’s issued share capital post year end to
805,555,296 Ordinary Shares, after the Realisation Opportunity:
Issue Date Ordinary Shares issued Price per Ordinary Share (pence)
1 October 2025 2,500,000 113.90
3 October 2025 1,000,000 114.22
8 October 2025 1,000,000 114.27
10 November 2025 1,300,000 112.22
On 9 October 2025, the Company declared a dividend of 2.00p per Ordinary
Share, which was paid on 3 November 2025.
On 20 October 2025, the Company concluded its Realisation Opportunity.
Effective that date, 13,408,436 Ordinary Shares had been elected for
realisation at a price of 107.64p per Ordinary Share, which was the closing 21
October 2025 NAV of 109.84p, less 2%. All of these shares were made available
for purchase on the market on 28 October 2025 as part of a Placing, Offer for
Subscription and Open Offer of new Ordinary Shares (the “Issue”) at a
price of 110.50p per Ordinary Share.
On 24 October 2025, the Company also successfully placed 38,377,071 Ordinary
Shares, 13,408,436 of which were Ordinary Shares made available for purchase
from the Realisation Opportunity and the remaining 24,968,635 of which were
new Ordinary Shares. During this placing programme, several Directors of the
Board purchased additional shares, details of which can be found in note 14c.
All investors who subscribed under the Issue paid the same ‘blended’ price
in respect of each Ordinary Share, being the subscription price of 110.50p.
This was determined by the ratio of Realisation Shares at the realisation
price (107.64p) to newly issued Ordinary Shares at the Issue price (112.04p),
used to satisfy demand under the Placing. Immediately following the admission
of the new Ordinary Shares to trading, the Company’s issued share capital
comprised 804,255,296 Ordinary Shares.
As at 7 November 2025, the published NAV per Ordinary Share for the Company
was 110.16p. This represents a decrease of 1.62% (NAV as at 30 September 2025:
111.98p).
GLOSSARY OF TERMS AND ALTERNATIVE PERFORMANCE MEASURES
Alternative Performance Measures (“APMS”)
In accordance with ESMA Guidelines on Alternative Performance Measures
("APMs"), the Board has considered what APMs are included in the Interim
Management Report and Unaudited Condensed Interim Financial Statements which
require further clarification. APMs are defined as a financial measure of
historical or future financial performance, financial position or cash flows,
other than a financial measure defined or specified in the applicable
financial reporting framework. The APMs below are unaudited and outside the
scope of IFRS.
Premium/Discount
If the Ordinary Share price of an investment company is higher than the NAV
per Ordinary Share, the shares are said to be trading at a premium. The size
of the premium is calculated by subtracting the Ordinary Share price from the
NAV per Ordinary Share and is usually expressed as a percentage of the NAV per
Ordinary Share. If the Ordinary Share price is lower than the NAV per Ordinary
Share, the shares are said to be trading at a discount.
30.09.2025 31.03.2025
pence pence
Ordinary Share price 114.00 111.60
NAV per Ordinary Share (a) 111.98 112.83
Premium/(discount) to NAV (b) 2.02 (1.23)
Premium/(discount) as a percentage (b/a) 1.80% (1.09%)
Average Premium/Discount
The premium or discount 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 is taken for the period/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 £867,568,575 (31 March
2025: £843,786,521) by the number of Ordinary Shares at the end of the period
of 774,786,661 shares (31 March 2025: 747,836,661). This produces a NAV per
Ordinary Share of 111.98p (31 March 2025: 112.83p), which was a decrease of
0.75% (31 March 2025: increase of 3.71%).
Ongoing Charges
The ongoing charges represent the Company’s management fee and all other
operating expenses, excluding finance costs, share issue or buyback costs and
non-recurring legal and professional fees, expressed as a percentage of the
average of the weekly net assets during the period/year. The Board continues
to be conscious of expenses and works hard to maintain a sensible balance
between good quality service and cost.
Total 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 period/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.
30.09.2025 31.03.2025
£ £
Amounts payable under repurchase agreements (a) 6,435,979 4,168,090
Investments at fair value through profit or loss (b) 859,758,258 835,130,603
Repurchase agreement borrowing (a/b) 0.75% 0.50%
CORPORATE INFORMATION
Directors Bronwyn Curtis (Chair) Joanne Fintzen (Senior Independent Director) John Le Poidevin John de Garis Paul Le Page 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 (“AIFM”) Waystone Management Company (IE) Limited 35 Shelbourne Road Ballsbridge Dublin Ireland, D04 A4E0 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
Portfolio Manager TwentyFour Asset Management LLP 8th Floor, The Monument Building 11 Monument Street London, EC3R 8AF Financial Adviser and Corporate Broker Deutsche Numis 45 Gresham Street London, EC2V 7BF
Custodian, Principal Banker and Depositary Northern Trust (Guernsey) Limited PO Box 71 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3DA Independent Auditor KPMG Audit Limited (formerly KPMG Channel Islands Limited) Glategny Court Glategny Esplanade St Peter Port Guernsey, GY1 1WR
Guernsey Legal Adviser to the Company Carey Olsen Carey House Les Banques St Peter Port Guernsey, GY1 4BZ Receiving Agent Computershare Investor Services PLC The Pavilions Bridgwater Road Bristol, BS13 8AE
Registrar Computershare Investor Services (Guernsey) Limited 1st Floor Tudor House Le Bordage St Peter Port Guernsey, GY1 1DB
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