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| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| Twentyfour Income Fund Limited | LSE:TFIF | London | Ordinary Share | GG00B90J5Z95 | ORD RED 1P |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| -3.00 | -2.85% | 102.20 | 102.00 | 102.20 | 102.60 | 101.40 | 101.80 | 5,828,013 | 16:27:16 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| Finance Services | -1.38M | -22.6M | -0.0353 | -28.95 | 654.02M |
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TIDMTFIF
TWENTYFOUR INCOME FUND LIMITED
INTERIM MANAGEMENT REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS
For the period from 1 April 2017 to 30 September 2017
LEI: 549300CCEV00IH2SU369
(Classified Regulated Information, under DTR 6 Annex 1 section 1.2)
The Company has today, in accordance with DTR 6.3.5, released its Interim
Management Report and Unaudited Condensed Financial Statements for the period
ended 30 September 2017. The Report will shortly be available via the
Company's Portfolio Manager's website www.twentyfouram.com and will shortly be
available for inspection online at www.morningstar.co.uk/uk/NSM website.
SUMMARY INFORMATION
The Company
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 were listed with a Premium Listing on the Official List of
the UK Listing Authority and admitted to trading on the Main Market of the
London Stock Exchange on 6 March 2013.
Investment Objective and Investment Policy
The Company's investment objective is to generate attractive risk adjusted
returns principally through income distributions.
The Company's investment policy is to invest in a diversified portfolio of UK
and European Asset Backed Securities.
The Company will maintain a Portfolio diversified by issuer, it being
anticipated that the Portfolio will comprise at least 50 Asset Backed
Securities at all times.
The Portfolio must comply, as at each date an investment is made, with the
following restrictions:
(i) no more than 20% of the Portfolio value will be backed by collateral
in any single country (save that this restriction will not apply to Northern
European countries); and
(ii) no more than 5% of the Portfolio value will be exposed to any single
Asset Backed Security or issuer of Asset Backed Securities; and
(iii) no more than 10% of the Portfolio value will be exposed in aggregate
to instruments not deemed securities for the purposes of FSMA.
As an exception to the requirements set out above the Portfolio Manager is
permitted to purchase new investments at any time when the Portfolio does not
comply with one or more of those restrictions so long as, at the time of
investment:
- the asset purchased will be compliant with the single country
restriction above (even where following the purchase more than 20% of the
Portfolio will be backed by collateral in another single country due to market
movements);
- the asset purchased will be compliant with the single Asset Backed
Security/issuer exposure restriction above (even where following the purchase
more than 5% of the Portfolio value will be exposed to another single Asset
Backed Security or issuer due to market movements); and
- such purchase does not make the Portfolio, in aggregate, less compliant
with any of (i), (ii) and (iii) above.
The Company will not employ gearing or derivatives for investment purposes. The
Company may use borrowing for short-term liquidity purposes, which could be
achieved through a loan facility or other types of collateralised borrowing
instruments including repurchase transactions and stock lending. The Directors
will restrict the borrowings of the Company to 10% of the Company's Net Asset
Value ("NAV") at the time of drawdown.
Target Returns
The Company has a target annual net total return on the Company's NAV of
between 6% and 9% per annum, which includes quarterly dividends with a target
yield each financial year of 6% or higher, of the Issue Price.*
Shareholder Information
Northern Trust International Fund Administration Services (Guernsey) Limited
(the "Administrator") is responsible for calculating the NAV per share of the
Company. The unaudited NAV per ordinary redeemable 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.
Financial Highlights
For the For the For the
period period
from 01.04.17 year ended from 01.04.16
to 30.09.17 31.03.17 to 30.09.16
Total Net Assets at period/year end GBP461,351,150 GBP452,612,049 GBP421,430,858
Net Asset Value per share at period/year end 116.56p 114.35p 110.23p
Share price at period/year end 117.75p 119.25p 112.00p
Premium to Net Asset Value at period/year end 1.02% 4.29% 1.61%
Dividends declared in respect of the period/ 3.00p 6.99p 3.00p
year end
As at 15 November 2017, the premium had moved to 2.98%. The estimated NAV per
share and mid-market share price stood at 116.52p and 119.99p respectively.
Ongoing Charges
Ongoing charges for the period ended 30 September 2017 have been calculated in
accordance with the Association of Investment Companies (the "AIC") recommended
methodology. The ongoing charges for the period ended 30 September 2017 were
0.90% (30 September 2016: 0.96%).
* The Issue Price being GBP1.00. This is a target only and not a profit forecast.
There can be no assurance that this target will be met or that the Company will
make any distributions at all. This target return should not be taken as an
indication of the Company's expected or actual current or future results. The
Company's actual return will depend upon a number of factors, including the
number of Ordinary Shares outstanding and the Company's total expense ratio.
Potential investors should decide for themselves whether or not the return is
reasonable and achievable in deciding whether to invest in or retain or
increase their investment in the Company. Further details on the Company's
financial risk management can be found in note 16 of the Company's Annual
Financial Statements for the year ended 31 March 2017, which can be found on
the Company's website (www.twentyfourincomefund.com).
CHAIRMAN'S STATEMENT
for the period from 1 April 2017 to 30 September 2017
I am pleased to present my report on the Company's progress for the six month
period ending
30 September 2017.
For the majority of the period the Company's shares continued to trade at a
premium, as they had done since launch, with the average premium during the
period being 3.05%. However this narrowed during the second quarter, trading
briefly at a discount in September, before rallying back to a 1% premium at the
end of the period. The Board is willing to continue to authorise the issuance
of further shares as a premium management mechanism, whilst the Portfolio
Manager can confirm that attractive investment opportunities are available in
the market. It should be noted that during the 6 months to 30 September 2017,
no new shares were issued, despite the shares trading up to, and above, a 5%
premium, reflecting the Manager's view that the opportunity to acquire assets
on an accretive basis to the portfolio, did not exist.
The Net Asset Value ("NAV") total return on the shares from launch to 30
September 2017 was 50.18% (including dividends paid). The NAV per Share rose
5.55% (including dividends paid) during the period, and the income component of
the return to investors remained strong as the Company declared two dividends
of 1.5p per share, to cover the pro-rata minimum annual distribution of 6p per
share, with a third dividend of 1.5p and a final dividend covering all excess
returns per share in respect of the year expected to be paid in the second half
of the Company's financial year.
The NAV performance of the Company has been pleasingly consistent over the past
six months, benefitting from the strong fundamental performance across the
markets the Company invests in, stable ratings, and the strong technical
support provided by the mismatch between demand and supply.
In addition the recent speculation around central bank policy at the Federal
Reserve Bank (the "Fed"), European Central Bank ("ECB") and Bank of England has
been of interest, highlighting the stability provided by the floating rate
nature of the portfolio. While it is unlikely that we will see a significant
number of rate rises in the next 12 months, we will see some direct benefit
through LIBOR reacting to changes in the Bank of England Base Rate, and in the
meantime we have avoided a significant amount of the NAV volatility that fixed
rate securities have suffered via interest rate duration.
The ongoing investment opportunity remains attractive, particularly in light of
the lower yield environment in most comparable asset classes. While risks to
market sentiment do exist, these appear largely to be external to the European
Asset Backed Securities ("ABS") market, and as we have seen before, when they
become significant enough to push volatility into the ABS market this tends to
be short-lived and the Company's NAV typically enjoys a strong recovery. I
remain confident of the Company's ability to fulfil its objectives.
Trevor Ash
Chairman
15 November 2017
PORTFOLIO MANAGER'S REPORT
for the period from 1 April 2017 to 30 September 2017
Market Commentary
The six month period to 30 September 2017 was largely benign in terms of
performance, characterised by low relative levels of volatility, and consistent
NAV appreciation. During the period the Company's NAV per Share increased 2.21p
while the Share Price decreased by 1.50p, and dividends for the period totalled
3p.
Throughout the period most markets have principally been focussed on politics,
central banks and market technicals. The trend of populist politics has been at
the forefront of the mind since mid-2016 with the Brexit referendum and then
the US presidential election. As the period opened, elections had been held in
the Netherlands, and while the potential for a far-right government was
avoided, the subsequent elections in France saw a greater chance of a victory
for Marine Le Pen's Front National. Again the result was favourable for
markets, but the uncertainty caused by such events certainly dominated the
headlines and the minds of investors. In contrast the snap election in the UK
did not bring the result expected at the start, and the precarious nature of
the Conservative Party's hold on power, plus the infighting within the party,
will continue to create headlines.
Political events were not limited to electoral risk however; Brexit
negotiations started following the triggering of Article 50 in March, and
progress during the six months in question was slow enough to force Prime
Minister May to attempt to reset the tone with her speech in Florence at the
end of the period. On a more global basis the ongoing issues of the Trump
administration have covered, but not been limited to, Russian interference in
the election, the sacking of the head of the FBI, the inability to pass any
major legislation, significant turnover in senior personnel at the White House
and the escalating conflict with North Korea over its nuclear missile
capability.
Central bank policy has also been a material driver of some markets over the
period, principally driven by changing expectations around the tightening of
monetary policy and the reduction of stimulus measures. The coordinated global
recovery, low levels of unemployment and bullish markets have pushed the Fed to
raise rates and start shrinking the size of their balance sheet, and the clear
expectation at the end of the period is that the Bank of England and the ECB
will follow suit by raising rates and tapering Quantitative Easing
respectively. The expectation, driven by the rhetoric coming out of the central
banks, has created significant volatility across sovereign and corporate bond
markets as yield curves have moved in response.
During the first quarter of the calendar year the European ABS market had been
characterised by low new issuance volumes of non-AAA rated paper. This lack of
supply continued and has been the main driver of market performance over the
period, as demand materially outweighed supply, and this became a theme for the
six month period in question. This technical strength has been supported by
strong performance of the underlying assets that the investments are backed by,
which has consistently led to stable or upgraded ratings across the majority of
sectors the Company is exposed to. This strong demand and excellent
fundamentals have allowed investors to look past the political risk and central
bank noise. This appetite for European ABS drove the primary market to
surprising levels of issuance through an abnormally busy July and even into the
first half of August. The secondary market has been characterised by good
liquidity and material competition for bonds.
Market Outlook
Sentiment in the ABS market is clearly bullish, and the expectation is for
performance to continue in this manner for the rest of 2017. On a long term
basis, additional support will come with the adoption of standardised
requirements for high quality transactions that will attract in the current
lower capital weightings of institutional investors, thus increasing demand.
The ABS market is expecting that there will be more supply going forward as
schemes such as the ECB's ABS Purchase Programme tapers, and as the Bank of
England's Term Funding Scheme comes to an end, which will partly offset the
additional appetite for bonds.
Brexit negotiations have disappointed so far, and while Brexit itself is not
going to be positive for the UK over the short to medium term, it is highly
unlikely that it will create the degree of fundamental issues that will have
investors questioning whether most UK ABS deals can pay coupons or will
ultimately redeem principal at par. It is important to remember that these
deals performed largely as expected through the global financial crisis, which
saw material spikes in unemployment and drops in asset values.
However the ABS market does not operate entirely in isolation, and while the
presence of external risk events, such as the elections in France, have
lessened, the Portfolio Manager continues to monitor the most likely causes of
wider market volatility for any signs of contamination.
Foreign Exchange Accounting
The Company's policy is to hedge foreign exchange risk. During the six month
period, the Company held Euro and Sterling denominated assets and while the EUR
/GBP exchange rate finished 3.3% higher at the end of the period, the exchange
rate was relatively volatile and experienced moves in the range of 11.2% during
the six months.
Currency risk is hedged using "rolling forwards" with a one month maturity,
selling forward a notional amount equivalent to the market value of the assets.
Any movements in foreign exchange rates are monitored daily and the hedge is
adjusted when necessary to ensure that currency exposure remains within strict
limits. The Company operates to a tolerance of +/-0.50% exposure to the NAV on
each non-GBP currency. The Company has significant exposure to Euro assets,
representing 62% of the Investment Portfolio at the end of the period, and
which remained fully hedged within these tolerances during this time. Foreign
Exchange hedging is used to manage the portfolio's currency risk efficiently
and not to enhance investment returns.
The net foreign currency gain on the portfolio (recorded within net gains on
financial assets at fair value through profit or loss) and the net foreign
currency losses on the forward currency contracts (included within net foreign
currency losses) are recognised in accordance with the hedging policy and
International Financial Reporting Standards, within the Unaudited Condensed
Statement of Comprehensive Income.
TwentyFour Asset Management
15 November 2017
TOP TWENTY HOLDINGS
As at 30 September 2017
Percentage
of
Nominal/ Asset Backed Fair Net Asset
Security Value
Security Shares Sector GBP Value
SCGC 2015-1 E 15,000,000 Consumer ABS 14,734,733 3.19
CBFLU 1 MEZZ 14,000,000 Buy-to-Let RMBS 14,070,000 3.05
TPMF 2017-A11X A1 11,076,404 Buy-to-Let RMBS 11,100,440 2.41
INTS 3 C 12,450,000 Prime RMBS 10,741,084 2.33
WARW 1 E 10,500,000 Non-Conforming RMBS 10,399,515 2.25
WARW 2 E 9,250,000 Non-Conforming RMBS 9,182,690 1.99
TPMF 2016-GR1X E 9,000,000 Prime RMBS 9,155,430 1.98
WARW 1 D 8,200,000 Non-Conforming RMBS 8,152,440 1.77
HLAE 2016-1X E 8,900,000 Leveraged Loan CLO 8,010,812 1.74
PARGN 15X CB 10,000,000 Buy-to-Let RMBS 7,527,256 1.63
SCGC 2016-1 E 7,500,000 Consumer ABS 7,290,116 1.58
ALME 3X FRNE 7,500,000 Leveraged Loan CLO 6,632,044 1.44
DRYD 2017-27X E 7,500,000 Leveraged Loan CLO 6,613,073 1.43
RMACS 2006-NS3X B1C 8,792,084 Non-Conforming RMBS 6,552,250 1.42
AVOCA 16X E 7,250,000 Leveraged Loan CLO 6,509,089 1.41
RMS 28 E 6,250,000 Non-Conforming RMBS 6,402,271 1.39
CASSA 2007-1 B 7,500,000 Prime RMBS 6,223,964 1.35
AURUS 2017-1 G 7,000,000 Consumer ABS 6,218,778 1.35
STNLT 2017-1 A 6,125,277 Non-Conforming RMBS 6,177,342 1.34
DRYD 2015-44X F 6,800,000 Leveraged Loan CLO 6,090,790 1.32
BOARD MEMBERS
Biographical details of the Directors are as follows:
Trevor Ash - (Chairman) (age 71)
Mr Ash is a resident of Guernsey and has over 30 years of investment
experience. He is a Fellow of the Chartered Institute for Securities and
Investment. He was formerly a managing director of Rothschild Asset Management
(CI) Limited. Mr Ash retired as a director of NM Rothschild & Sons (CI)
Limited, the banking arm of the Rothschild Group in the Channel Islands in
1999. Since retirement, he has acted as a director of a number of hedge funds,
fund of hedge funds, venture capital, derivative and other offshore funds
including several managed or advised by Insight, JP Morgan and Merrill Lynch.
Mr Ash was appointed to the Board on 11 January 2013.
Ian Burns - (Non-executive Director and Chairman of the Audit Committee) (age
58)
Mr Burns is a resident of Guernsey and a fellow of the Institute of Chartered
Accountants in England and Wales and a member of the Society of Trust and
Estate Planners. He is a founder and Executive Director of Via Executive
Limited, a specialist management consulting company and managing director of
Regent Mercantile Holdings Limited, a privately owned investment company. Mr
Burns is currently a non-executive director of London listed River and
Mercantile UK Micro Cap Limited and Fast Forward Innovations Limited (AIM) and
a number of private investment funds. Mr Burns was appointed to the Board on 17
January 2013.
Richard Burwood - (Non-executive Director) (age 50)
Mr Burwood is a resident of Guernsey with over 25 years' experience in banking
and investment management. During 18 years with Citibank London, Mr Burwood
spent 11 years as a fixed income portfolio manager spanning both banks/finance investments and Asset Backed Securities. He gained direct experience as a portfolio manager of securities backed by mortgages, auto loans and collateralised loan obligations. Mr Burwood has lived in Guernsey since 2010, initially working as a portfolio manager for EFG Financial Products (Guernsey) Ltd, managing the treasury department's ALCO Fixed Income portfolio. From 2011 to 2013, Mr Burwood worked as the Business and Investment Manager for the Guernsey branch of Man Investments (CH) AG. This role involved overseeing all aspects of the business including operations and management of proprietary investments. In January 2014, Mr Burwood joined the board of RoundShield Fund I GP Ltd, a Guernsey private equity fund, focused on European small to mid-cap opportunities. In August 2015, he became a Board Member of Funding Circle SME Income Fund Ltd, a Guernsey Company, offering investors access to a diversified pool of SME loans originated through Funding Circle's marketplaces in the UK, US and Europe. Mr Burwood was appointed to the Board on 17 January 2013. Jeannette (Jan) Etherden - (Non-executive Director) (age 57) Ms Etherden is a resident of the United Kingdom, with over 30 years' experience in the investment industry as an analyst, a fund manager, then a non-executive director. Previously head of UK equities for Confederation Life / Sun Life of Canada, she joined Newton in 1996 as a director specialising in multi-asset segregated portfolios and was also their Investment COO from 1999 to 2001. Subsequently she worked with Olympus Capital Management as business development manager for specialist hedge fund product. She is a director of Miton UK MicroCap Trust plc and of LXI REIT plc. Ms Etherden was appointed to the Board on 17 January 2013. STATEMENT OF PRINCIPAL RISKS AND UNCERTAINTIES The Company's assets are mainly comprised of Asset Backed Securities 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 and uncertainties assessed by the Board relating to the Company were disclosed in the Annual Report and Audited Financial Statements for the year ended 31 March 2017. The principal risks disclosed can be divided into the various areas as follows: * Market risk Market risk is risk associated with changes in market prices including spreads, interest rates, economic uncertainty, changes in laws and national and international political circumstances. * Reinvestment risk Reinvestment risk is the risk that any monies resulting from principal and income payments from a bond will not be reinvested at the prevailing interest rate when the bond was initially purchased. * Credit risk The investment portfolio is comprised of Asset Backed Securities which expose the Company to credit risk, being the risk that a counterparty will default on its contractual obligations resulting in financial loss to the Company. * Liquidity risk Liquidity risk is that the Company does not have sufficient cash resources to meet obligations, including the dividend target, as they fall due or can only do so on terms that are materially disadvantageous. * 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 is exposed to foreign currency risk through its investment in predominately Euro denominated assets although mitigates this risk through hedging. A detailed explanation of these can be found in note 16 of the Annual Report. The Board and Portfolio Manager do not consider these risks to have changed and these risks are considered to remain relevant for the remaining six months of the financial year. Related Parties Related party balances and transactions are disclosed in note 13 of these unaudited condensed interim financial statements. Going Concern Under the 2016 UK Corporate Governance Code (effective for periods beginning on or after 17 June 2016) and applicable regulations, the Directors are required to satisfy themselves that it is reasonable to assume that the Company is a going concern and to identify any material uncertainties to the Company's ability to continue as a going concern for at least 12 months from the date of approving the financial statements. The Directors believe that it is appropriate to continue to adopt a going concern basis in preparing the Interim Report and Unaudited Condensed Interim Financial Statements given the Company's holdings of cash and cash equivalents, the liquidity of investments and the income deriving from those investments, meaning the Company has adequate financial resources to meet its liabilities as they fall due over a period of 12 months from the approval of the financial statements. DIRECTORS' RESPONSIBILITY STATEMENT 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, financial position 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 2017 to 30 September 2017 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 2017 to 30 September 2017 and that have materially affected the financial position or performance of the Company during that period as included in note 13. By order of the Board Trevor Ash Chairman Ian Burns Director 15 November 2017 INDEPENT REVIEW REPORT TO TWENTYFOUR INCOME FUND LIMITED Our conclusion We have reviewed the accompanying condensed interim financial information of TwentyFour Income Fund Limited (the "Company") as of 30 September 2017. Based on our review, nothing has come to our attention that causes us to believe that the accompanying condensed interim financial information is not prepared, in all material respects, in accordance with International Accounting Standard 34, 'Interim Financial Reporting', and the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority. What we have reviewed The accompanying condensed interim financial information comprise: - the condensed interim statement of financial position as of 30 September 2017; - the condensed statement of comprehensive income for the six month period then ended; - the condensed statement of changes in equity for the six month period then ended; - the condensed statement of cash flows for the six month period then ended; and - the notes, comprising a summary of significant accounting policies and other explanatory information. The condensed interim financial information has been prepared in accordance with International Accounting Standard 34, 'Interim Financial Reporting', and the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority. Our responsibilities and those of the directors The Directors are responsible for the preparation and presentation of this condensed interim financial information in accordance with the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority. Our responsibility is to express a conclusion on this condensed interim financial information based on our review. This report, including the conclusion, has been prepared for and only for the Company for the purpose of complying with the Disclosure Guidance and Transparency Rules sourcebook of the United Kingdom's Financial Conduct Authority and for no other purpose. We do not, in giving this conclusion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing. Scope of review We conducted our review in accordance with International Standard on Review Engagements 2410, 'Review of interim financial information performed by the independent auditor of the entity' issued by the International Auditing and Assurance Standards Board. A review of interim financial information consists of making inquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing 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. We have read the other information contained in the interim report and considered whether it contains any apparent misstatements or material inconsistencies with the information in the interim financial statements. PricewaterhouseCoopers CI LLP Chartered Accountants Guernsey, Channel Islands 15 November 2017 (a) The maintenance and integrity of the Company's website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial
statements since they were initially presented on the website.
(b) Legislation in Guernsey governing the preparation and dissemination of
financial statements may differ from legislation in other jurisdictions.
UNAUDITED CONDENSED STATEMENT OF COMPREHENSIVE INCOME
for the period from 1 April 2017 to 30 September 2017
For the period For the period
from 01.04.17 from 01.04.16
to 30.09.17 to 30.09.16
Notes GBP GBP
Income (Unaudited) (Unaudited)
Interest income 14,398,886 12,181,289
Net foreign currency losses 7 (8,115,300) (17,904,777)
Net gains on financial assets
at fair value through profit or 8 20,309,231 34,804,266
loss
Total income 26,592,817 29,080,778
Portfolio management fees 13 (1,696,608) (1,361,602)
Directors' fees 13 (63,750) (63,750)
Administration and secretarial 14 (117,910) (100,161)
fees
Audit fees (25,850) (26,675)
Custody fees 14 (22,621) (19,929)
Broker fees (17,679) (25,079)
AIFM management fees 14 (82,823) (70,835)
Depositary fees 14 (32,017) (26,485)
Other expenses (1,473) (80,319)
Total expenses (2,060,731) (1,774,835)
Total comprehensive income for the 24,532,086 27,305,943
period
Earnings per Ordinary
Redeemable
Share - Basic & Diluted 3 0.062 0.081
All items in the above statement derive from continuing operations.
The notes form an integral part of these Unaudited Condensed Interim Financial
Statements.
UNAUDITED CONDENSED STATEMENT OF FINANCIAL POSITION
as at 30 September 2017
30.09.2017 31.03.2017
Assets Notes GBP GBP
Current assets (Unaudited) (Audited)
Financial assets at fair value through profit
and loss
- Investments 8 455,120,234 429,399,068
- Derivative assets: Forward currency 16 21,753 4,173,555
contracts
Amounts due from broker 5,536,624 6,117,241
Other receivables 9 2,773,685 3,177,504
Cash and cash equivalents 20,317,932 24,561,068
Total current assets 483,770,228 467,428,436
Liabilities
Current liabilities
Financial liabilities at fair value through
profit and loss
- Derivative liabilities: Forward currency 16 116,766 163,495
contracts
Amounts due to brokers 21,258,238 14,072,249
Other payables 10 1,044,074 580,643
Total liabilities 22,419,078 14,816,387
Net current assets 461,351,150 452,612,049
Equity
Share capital account 11 407,509,059 407,509,059
Retained earnings 53,842,091 45,102,990
Total equity 461,351,150 452,612,049
Ordinary Redeemable Shares in issue 11 395,814,151 395,814,151
Net Asset Value per Ordinary Redeemable Share 5 116.56 114.35
(pence)
The Financial Statements were approved by the Board of Directors on 15 November
2017 and signed on its behalf by:
The notes form an integral part of these Unaudited Condensed Interim Financial
Statements.
Trevor Ash
Chairman
Ian Burns
Director
UNAUDITED CONDENSED STATEMENT OF CHANGES IN EQUITY
for the period from 1 April 2017 to 30 September 2017
Share Retained
capital
account earnings Total
Note GBP GBP GBP
Balances at 1 April 2017 407,509,059 45,102,990 452,612,049
Distributions paid - (15,792,985) (15,792,985)
Total comprehensive gain for the - 24,532,086 24,532,086
period
Balances at 30 September 2017 407,509,059 53,842,091 461,351,150
(unaudited)
Share Retained
capital
account earnings Total
Note GBP GBP GBP
Balances at 1 April 2016 327,589,440 5,821,364 333,410,804
Issue of shares 66,742,970 - 66,742,970
Share issue costs (1,062,805) - (1,062,805)
Distributions paid - (4,966,054) (4,966,054)
Income equalisation on new issues 4 (678,835) 678,835 -
Total comprehensive gain for the - 27,305,943 27,305,943
period
Balances at 30 September 2016 392,590,770 28,840,088 421,430,858
(unaudited)
The notes form an integral part of these Unaudited Condensed Interim Financial
Statements.
UNAUDITED CONDENSED STATEMENT OF CASH FLOWS
for the period from 1 April 2017 to 30 September 2017
Notes For the For the
period from period from
01.04.17 to 01.04.16 to
30.09.17 30.09.16
GBP GBP
(Unaudited) (Unaudited)
Cash flows from operating activities
Total comprehensive income for the period 24,532,086 27,305,943
Adjustments for:
Net gain on investments 8 (20,309,231) (34,804,266)
Amortisation adjustment under effective interest 8 (4,532,307) (5,648,835)
rate method
Decrease/(increase) in other receivables 403,819 (337,235)
Increase/(decrease) other payables 463,431 (157,260)
Unrealised losses/(gains) on forward currency 7 4,105,073 (345,300)
contracts
Increase in margin account - (1,380,000)
Purchase of investments (209,928,866) (140,841,760)
Sale of investments 216,815,844 129,462,899
Net cash generated from/(used in) operating 11,549,849 (26,745,814)
activities
Cash flows from financing activities
Proceeds from issue of Ordinary Redeemable Shares - 63,936,720
Share issue costs - (1,001,778)
Dividend distribution (15,792,985) (12,487,646)
Net cash (outflow)/inflow from financing (15,792,985) 50,447,296
activities
(Decrease)/increase in cash and cash equivalents (4,243,136) 23,701,482
Cash and cash equivalents at beginning of the 24,561,068 4,913,606
period
Cash and cash equivalents at end of the period 20,317,932 28,615,088
The 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 2017 to 30 September 2017
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 were listed with a Premium Listing on the Official List of
the UK Listing Authority and admitted to trading on the Main Market of the
London Stock Exchange on 6 March 2013.
The Company's investment objective and policy is set out in the Summary
Information.
The Portfolio Manager of the Company is TwentyFour Asset Management LLP (the
"Portfolio Manager").
2. Principal Accounting Policies
a) Statement of compliance
The Unaudited Condensed Interim Financial Statements for the period 1 April
2017 to
30 September 2017 have been prepared on a going concern basis in accordance
with IAS 34 "Interim Financial Reporting", the Disclosure Guidance and
Transparency Rules Sourcebook of the United Kingdom's Financial Conduct
Authority ("FCA") and applicable legal and regulatory requirements.
The Unaudited Condensed Interim Financial Statements should be read in
conjunction with the annual financial statements for the year ended 31 March
2017, which were prepared in accordance with International Financial Reporting
Standards ("IFRS") and which received an unqualified auditor's report.
b) Changes in accounting policy
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
In the current financial period, 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 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:
- IFRS 9 Financial Instruments (Effective 1 January 2018)
- IFRS 15 Revenue from Contracts with Customers (Effective 1 January 2018)
The Directors anticipate that the adoption of IFRS 15 effective in a future
period will not have a material impact on the financial statements of the
Company. The Company is currently evaluating the potential effect of IFRS 9.
3. Earnings per Ordinary Redeemable Share - Basic & Diluted
The earnings per Ordinary Redeemable Share - Basic and Diluted has been
calculated based on the weighted average number of Ordinary Redeemable Shares
of 395,814,151
(30 September 2016: 336,678,999) and a net gain of GBP24,532,086 (30 September
2016: net gain of GBP27,305,943).
4. Income equalisation on new issues
In order to ensure there are no dilutive effects on earnings per share for
current shareholders when issuing new shares, earnings are calculated in
respect of accrued income at the time of purchase and a transfer is made from
share capital to income to reflect this. The transfer for the period is GBPNil as
there were no share issues (30 September 2016: GBP678,835).
5. Net Asset Value per Ordinary Redeemable Share
The net asset value of each Share of GBP1.17 (31 March 2017: GBP1.14) is determined
by dividing the net assets of the Company attributed to the Shares of GBP
461,351,150 (31 March 2017: GBP452,612,049) by the number of Shares in issue at
30 September 2017 of 395,814,151
(31 March 2017: 395,814,151).
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 GBP1,200 (2016: GBP
1,200).
7. Net foreign currency losses
For the period For the period
from 01.04.17 from 01.04.16
to 30.09.17 to 30.09.16
GBP GBP
(Unaudited) (Unaudited)
Movement on unrealised (loss)/gain on forward currency (4,105,073) 345,300
contracts
Realised loss on foreign currency (3,906,430) (18,226,373)
contracts
Unrealised foreign currency loss on receivables/payables (75,394) (25,515)
Unrealised foreign currency exchange (loss)/gain on (28,403) 1,811
interest receivable
(8,115,300) (17,904,777)
8. Investments
For the period For the period
from 01.04.17 from 01.04.16 to
to 30.09.17 31.03.17
Financial assets at fair value through profit or loss: GBP GBP
Unlisted Investments: (Unaudited) (Audited)
Opening book cost 400,893,973 339,411,981
Purchases at cost 217,114,855 316,045,880
Proceeds on sale/principal repayment (216,235,227) (277,600,058)
Amortisation adjustment under effective interest rate method 4,532,307 10,247,547
Realised gains on sale/principal repayment 22,861,967 21,558,885
Realised losses on sale/principal repayment (6,857,786) (8,770,262)
Closing book cost 422,310,089 400,893,973
Unrealised gain on investments 39,356,210 31,105,493
Unrealised loss on investments (6,546,065) (2,600,398)
Fair value 455,120,234 429,399,068
The Company does not experience any seasonality or cyclicality in its
investment activities.
For the period For the period
from 01.04.17 from 01.04.16 to
to 30.09.17 30.09.16
GBP GBP
(Unaudited) (Unaudited)
Realised gains on sale/principal repayment 22,861,967 7,053,229
Realised losses on sales/principal repayment (6,857,786) (5,012,449)
Increase in unrealised gain 8,250,717 23,624,711
(Increase)/decrease in unrealised loss (3,945,667) 9,138,775
Net gains on financial assets at fair value through profit 20,309,231 34,804,266
or loss
9. Other receivables
As at As at
30.09.17 31.03.17
GBP GBP
(Unaudited) (Audited)
Coupon interest receivable 2,751,109 3,174,960
Prepaid expenses 22,576 2,544
2,773,685 3,177,504
10. Other payables
As at As at
30.09.17 31.03.17
GBP GBP
(Unaudited) (Audited)
Portfolio Management fees payable 851,872 284,428
Custody fee payable 2,742 2,424
Administration and secretarial fees payable 59,672 58,314
Directors' fee payable 31,526 31,526
Audit fee payable 25,850 51,700
AIFM Management fee payable 37,157 36,751
Depositary fees payable 5,162 5,413
General expenses payable 30,093 110,087
1,044,074 580,643
11. Share Capital
Authorised Share Capital
Unlimited number of Ordinary Redeemable Shares at no par value.
Issued Share Capital
As at As at
30.09.17 31.03.17
GBP GBP
Ordinary Redeemable Shares (Unaudited) (Audited)
Share Capital at the beginning of the period/year 407,509,059 327,589,440
Issued Share Capital - 81,941,170
Share issue costs - (1,293,088)
Shares issued for repurchase - 43,083,300
Purchase of own shares to hold in treasury - (43,083,300)
Income equalisation on new issues - (728,463)
Total Share Capital at the end of the period/year 407,509,059 407,509,059
As at As at
30.09.17 31.03.17
Shares Shares
Ordinary Redeemable Shares (Unaudited) (Audited)
Shares at the beginning of the period/year 395,814,151 321,420,417
Issue of Shares - 74,393,734
Shares issued for repurchase - 39,000,000
Repurchase of own shares to hold in treasury - (39,000,000)
Total Shares in issue at the end of the period/year 395,814,151 395,814,151
As at As at
30.09.17 31.03.17
Shares Shares
Treasury Shares (Unaudited) (Audited)
Treasury shares at the beginning of the period/ 39,000,000 -
year
Purchased shares - 39,000,000
Total Shares in issue at the end of the period/ 39,000,000 39,000,000
year
The Share Capital of the Company consists of an unlimited number of Shares with
or without par value which, upon issue, the Directors may designate as:
Ordinary Redeemable Shares; Realisation Shares or such other class as the Board
shall determine and denominated in such currencies as shall be determined at
the discretion of the Board.
As at 30 September 2017, one share class has been issued, being the Ordinary
Redeemable Shares of the Company.
The Ordinary Redeemable Shares carry the following rights:
a) the Ordinary Redeemable Shares carry the right to receive all income of
the Company attributable to the Ordinary Redeemable Shares.
b) the Shareholders present in person or by proxy or present by a duly
authorised representative at a general meeting has, on a show of hands, one
vote and, on a poll, one vote for each Share held.
c) 56 days before the annual general meeting date of the Company in each
third year (the "Reorganisation Date"), the Shareholders are entitled to serve
a written notice (a "Realisation Election") requesting that all or a part of
the Ordinary Redeemable Shares held by them be redesignated to Realisation
Shares, subject to the aggregate NAV of the continuing Ordinary Redeemable
Shares on the last business day before the Reorganisation Date being not less
than GBP100 million. A Realisation Notice, once given is irrevocable unless the
Board agrees otherwise. If one or more Realisation Elections be duly made and
the aggregate NAV of the continuing Ordinary Redeemable Shares on the last
business day before the Reorganisation Date is less than GBP100 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
next realisation opportunity is due to occur at the end of the next three year
term in 2019.
The Company has the right to issue and purchase up to 14.99% of the total
number of its own shares at GBP0.01 each, to be classed as Treasury Shares and
may cancel those Shares or hold any such Shares as Treasury Shares, provided
that the number of Shares held as Treasury Shares shall not at any time exceed
10% of the total number of Shares of that class in issue at that time or such
amount as provided in the Companies Law.
On 24 January 2017, the Company issued and purchased 39,000,000 Ordinary Shares
of GBP0.01 at a price of 110.47p, to be held in treasury. The total amount paid
to purchase these shares was GBP43,083,300 and has been deducted from the
shareholders' equity. The Company has the right to re-issue these shares at a
later date. All shares issued were fully paid.
Shares held in Treasury are excluded from calculations when determining
Earnings per Ordinary Redeemable Share or Net Asset Value per Ordinary
Redeemable Share, as detailed in notes 3 and 5.
12. Analysis of Financial Assets and Liabilities by Measurement Basis
Assets at
fair
value through Loans and
profit and receivables Total
loss
GBP GBP GBP
30 September 2017 (Unaudited)
Financial Assets as per Statement of Financial
Position
Financial assets at fair value through profit or
loss:
- Investments 455,120,234 - 455,120,234
- Derivative assets: Forward currency contracts 21,753 - 21,753
Amounts due from broker - 5,536,624 5,536,624
Other receivables - 2,773,685 2,773,685
Cash and cash equivalents 20,317,932 20,317,932
455,141,987 28,628,241 483,770,228
Liabilities Other
at fair
value through financial
profit and liabilities Total
loss
GBP GBP GBP
Financial Liabilities as per Statement of Financial
Position
Financial liabilities at fair value through profit
or loss:
- Derivative liabilities: Forward currency contracts 116,766 - 116,766
Amounts due to brokers - 21,258,238 21,258,238
Other payables - 1,044,074 1,044,074
116,766 22,302,312 22,419,078
Assets at
fair
value through Loans and
profit and receivables Total
loss
GBP GBP GBP
31 March 2017 (Audited)
Financial Assets as per Statement of Financial
Position
Financial assets at fair value through profit or
loss:
- Investments 429,399,068 - 429,399,068
- Derivative assets: Forward currency contracts 4,173,555 - 4,173,555
Amounts due from broker - 6,117,241 6,117,241
Other receivables - 3,177,504 3,177,504
Cash and cash equivalents - 24,561,068 24,561,068
433,572,623 33,855,813 467,428,436
Liabilities Other
at fair
value through financial
profit and liabilities Total
loss
GBP GBP GBP
Financial Liabilities as per Statement of Financial
Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts 163,495 - 163,495
Amounts due to brokers - 14,072,249 14,072,249
Other payables - 580,643 580,643
163,495 14,652,892 14,816,387
13. Related Parties
a) Directors' Remuneration & Expenses
The Directors of the Company are remunerated for their services at such a rate
as the Directors determine. The aggregate fees of the Directors will not exceed
GBP150,000.
The annual Directors' fees comprise GBP35,000 payable to Mr Ash, the Chairman, GBP
32,500 to Mr Burns as Chairman of the Audit Committee and GBP30,000 to Mr Burwood
and Ms Etherden. During the period ended 30 September 2017, Directors fees of GBP
63,750 (30 September 2016: GBP63,750) were charged to the Company, of which GBP
31,526 (31 March 2017: GBP31,526) remained payable at the end of the period.
b) Shares held by related parties
As at 30 September 2017, Directors of the Company held the following shares
beneficially:
Number of Number of
Shares Shares
30.09.17 31.03.17
Trevor Ash 50,000 50,000
Ian Burns 29,242 29,242
Richard Burwood 5,000 5,000
Jeannette Etherden 25,000 25,000
As at 30 September 2017, the Portfolio Manager held Nil Shares (31 March 2017:
Nil Shares) and partners and employees of the Portfolio Manager held 1,979,390
Shares (31 March 2017: 1,266,377 Shares), which is 0.50% (31 March 2017: 0.32%)
of the Issued Share Capital.
c) Portfolio Manager
The portfolio management fee is payable to the Portfolio Manager, TwentyFour
Asset Management LLP, monthly in arrears at a rate of 0.75% per annum of the
lower of Net Asset Value, 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 GBP1,696,608
(30 September 2016: GBP1,361,602) of which GBP851,872 (31 March 2017: GBP284,428) is
due and payable at the period end. The Portfolio Management Agreement dated 29
May 2014 remains in force until determined by the Company or the Portfolio
Manager giving the other party not less than twelve months' notice in writing.
Under certain circumstances, the Company or the Portfolio Manager is entitled
to immediately terminate the agreement in writing.
The Portfolio Manager is also entitled to a commission of 0.15% of the
aggregate gross offering proceeds plus any applicable VAT in relation to any
issue of new Shares, following admission, in consideration of marketing
services that it provides to the Company. During the period, the Portfolio
Manager received GBPNil (30 September 2016: GBP113,692) in commission.
14. Material Agreements
a) Alternative Investment Fund Manager
The Company's Alternative Investment Fund Manager (the "AIFM") is Maitland
Institutional Services Limited. In consideration for the services provided by
the AIFM under the AIFM Agreement the AIFM is entitled to receive from the
Company a minimum fee of GBP20,000 per annum and fees payable quarterly in
arrears at a rate of 0.07% of the Net Asset Value of the Company below GBP50
million, 0.05% on Net Assets between GBP50 million and GBP100 million and 0.03% on
Net Assets in excess of GBP100 million. During the period ended 30 September
2017, AIFM fees of GBP82,823 (30 September 2016: GBP70,835) were charged to the
Company, of which GBP37,157
(31 March 2017: GBP36,751) remained payable at the end of the period.
b) Administrator and Secretary
Administration fees are payable to Northern Trust International Fund
Administration Services (Guernsey) Limited monthly in arrears at a rate of
0.06% of the Net Asset Value of the Company below GBP100 million, 0.05% on Net
Assets between GBP100 million and GBP200 million and 0.04% on Net Assets in excess
of GBP200 million as at the last business day of the month subject to a minimum GBP
75,000 each year. In addition, an annual fee of GBP25,000 will be charged for
corporate governance and company secretarial services. Total administration and
secretarial fees for the period amounted to GBP117,910 (30 September 2016: GBP
100,161) of which GBP59,672
(31 March 2017: GBP58,314) is due and payable at the period end.
c) Depositary
Depositary fees are payable to Northern Trust (Guernsey) Limited, monthly in
arrears, at a rate of 0.0175% of the Net Asset Value of the Company up to GBP100
million, 0.0150% on Net Assets between GBP100 million and GBP200 million and
0.0125% on Net Assets in excess of GBP200 million as at the last business day of
the month subject to a minimum GBP25,000 each year. Total depositary fees and
charges for the period amounted to GBP32,017 (30 September 2016: GBP26,485) of
which GBP5,162 (31 March 2017: GBP5,413) is due and payable at the period end.
The Depositary is also entitled to a Global Custody fee of a minimum of GBP8,500
per annum plus transaction fees. Total Global Custody fees and charges for the
period amounted to GBP22,621
(30 September 2016: GBP19,929) of which GBP2,742 (31 March 2017: GBP2,424) is due and
payable at the period end.
15. Financial Risk Management
The Company's activities expose it to a variety of financial risks: market risk
(including price risk, interest rate risk, foreign currency risk and
reinvestment risk), credit risk, liquidity risk, and capital risk.
These Unaudited Condensed Interim Financial Statements do not include all
financial risk management information and disclosures required in the annual
financial statements; they should be read in conjunction with the Company's
annual financial statements for the year ended 31 March 2017.
16. Fair Value Measurement
All assets and liabilities are carried at fair value or at carrying value 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 and year ended 30 September 2017 and 31 March 2017.
Level 1 Level 2 Level 3 Total
GBP GBP GBP GBP
Assets (Unaudited) (Unaudited) (Unaudited) (Unaudited)
Financial assets at fair value through
profit or loss:
Asset Backed Securities:
Buy-to-Let RMBS - 45,595,761 3,500,000 49,095,761
CMBS - 5,709,080 - 5,709,080
Consumer ABS - 34,196,710 3,541,833 37,738,543
Leveraged Loan CLO - 145,320,127 18,620,764 163,940,891
Non-Conforming RMBS - 107,881,465 24,475,870 132,357,335
Prime RMBS - 54,281,152 11,196,022 65,477,174
Student Loans - 801,450 - 801,450
Forward currency - 21,753 - 21,753
contracts
Total assets as at 30 September 2017 - 393,807,498 61,334,489 455,141,987
Liabilities
Financial liabilities at fair value through
profit or loss:
Forward currency contracts - 116,766 - 116,766
Total liabilities as at 30 September 2017 - 116,766 - 116,766
Level 1 Level 2 Level 3 Total
GBP GBP GBP GBP
Assets (Audited) (Audited) (Audited) (Audited)
Financial assets at fair value through
profit or loss:
Asset Backed Securities:
Buy-to-Let RMBS - 26,151,150 3,521,770 29,672,920
CMBS - 6,380,449 - 6,380,449
Consumer ABS - 17,381,807 19,375,719 36,757,526
Leveraged Loan CLO - 142,981,296 11,236,233 154,217,529
Non-Conforming RMBS - 115,564,375 3,800,826 119,365,201
Prime RMBS - 80,760,181 1,411,834 82,172,015
Student Loans - 833,428 - 833,428
Forward currency contracts - 4,173,555 - 4,173,555
Total assets as at 31 March 2017 - 394,226,241 39,346,382 433,572,623
Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts - 163,495 - 163,495
Total liabilities as at 31 March 2017 - 163,495 - 163,495
Asset Backed Securities which have a value based on quoted market prices in
active markets are classified in level 1. At the end of the period, no Asset
Backed Securities held by the Company are classified as level 1.
Asset Backed Securities which are not traded or dealt on organised markets or
exchanges are classified in level 2 or level 3. Asset Backed securities priced
at cost are classified as level 3. Asset Backed securities 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 is accurate
and the Portfolio Manager has the ability to challenge these vendors with
further observable inputs, are classified as level 2. Prices obtained from
vendors who are not easily challengeable or transparent in showing their
assumptions for the method of pricing these assets, are classified as level 3.
Asset Backed Securities priced at an average of two vendors' prices are
classified as level 3.
Where the Portfolio Manager determines that the price obtained from an
independent price vendor is not an accurate representation of the fair value of
the Asset Backed Security, the Portfolio Manager may source prices from third
party broker or dealer quotes and if the price represents a reliable and an
observable price, the Asset Backed Security is classified in level 2. Any
broker quote that is over 20 days old is considered stale and is classified as
level 3.
There were no transfers between level 1 and 2 during the year, however
transfers from level 2 to level 3 and from level 3 to level 2 occurred based on
the Portfolio Manager's ability to obtain a reliable and observable price as
detailed above.
Due to the inputs into the valuation of Asset Backed Securities classified as
level 3 not being available or visible to the Company, no meaningful
sensitivity on inputs can be performed.
The following tables present the movement in level 3 instruments for the
periods ended
30 September 2017 and 31 March 2017 by class of financial instrument.
Opening Net Net realised Net unrealised Transfer Closing
balance Purchases gain/(loss) for gain/(loss) into Level Transfer out balance
/(sales) the period for the period 3 Level 3
included in the included in
Statement of the Statement
Comprehensive of
Income for Comprehensive
level 3 Income for
Investments level 3
held at 30 Investments
September 2017 held at 30
September 2017
GBP GBP GBP GBP GBP GBP GBP
(Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited)
Buy-to-Let 3,521,770 - 1,392 (23,162) - - 3,500,000
RMBS
Consumer ABS 19,375,719 (8,404,474) 941,314 (213,945) - (8,156,781) 3,541,833
Leveraged Loan 11,236,233 18,208,779 207,130 204,852 - (11,236,230) 18,620,764
CLO
Non-Conforming 3,800,826 9,812,289 117,917 663,760 13,881,905 (3,800,827) 24,475,870
RMBS
Prime RMBS 1,411,834 2,819,516 (278,742) 1,007,133 7,648,117 (1,411,836) 11,196,022
Total at 30 39,346,382 22,436,110 989,011 1,638,638 21,530,022 (24,605,674) 61,334,489
September 2017
Opening Net Net realised Net unrealised Transfer Transfer out Closing
balance Purchases gain/(loss) for gain/(loss) into Level Level 3 balance
/(sales) the year for the year 3
included in the included in
Statement of the Statement
Comprehensive of
Income for Comprehensive
level 3 Income for
Investments level 3
held at 31 Investments
March 2017 held at 31
March 2017
GBP GBP GBP GBP GBP GBP GBP
(Audited) (Audited) (Audited) (Audited) (Audited) (Audited) (Audited)
Buy-to-Let - (2,017,018) 67,152 (8,113) 5,479,749 - 3,521,770
RMBS
CMBS - (973,931) (10,542) 24,400 960,073 - -
Consumer ABS - 19,165,711 8,746 201,262 - - 19,375,719
Leases - (8,154,565) 1,215,073 90,413 6,849,079 - -
Leveraged Loan 25,025,496 (60,120,439) 9,286,434 1,872,148 52,848,703 (17,676,109) 11,236,233
CLO
Non-Conforming - (21,409,645) 2,301,681 141,765 22,767,025 - 3,800,826
RMBS
Peripheral 1,786,704 (13,318,258) 1,434,630 (360,192) 10,457,116 - -
RMBS
Prime RMBS 2,263,309 1,047,225 367,356 (2,746) - (2,263,310) 1,411,834
Total at 31 29,075,509 (85,780,920) 14,670,530 1,958,937 99,361,745 (19,939,419) 39,346,382
March 2017
The following tables analyse within the fair value hierarchy the Company's
assets and liabilities not measured at fair value at 30 September 2017 and 31
March 2017 but for which fair value is disclosed.
Level 1 Level 2 Level 3 Total
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
GBP GBP GBP GBP
Assets
Cash and cash equivalents 20,317,932 - - 20,317,932
Amounts due from broker - 5,536,624 - 5,536,624
Other receivables - 2,773,685 - 2,773,685
Total assets as at 30 September 2017 20,317,932 8,310,309 - 28,628,241
Liabilities
Amounts due to brokers - 21,258,238 - 21,258,238
Other payables - 1,044,074 - 1,044,074
Total liabilities as at 30 September 2017 - 22,302,312 - 22,302,312
Level 1 Level 2 Level 3 Total
(Audited) (Audited) (Audited) (Audited)
GBP GBP GBP GBP
Assets
Cash and cash equivalents 24,561,068 - - 24,561,068
Amounts due from brokers - 6,117,241 - 6,117,241
Other receivables - 3,177,504 - 3,177,504
Total assets as at 31 March 2017 24,561,068 9,294,745 - 33,855,813
Liabilities
Amounts due to brokers - 14,072,249 - 14,072,249
Other payables - 580,643 - 580,643
Total liabilities as at 31 March 2017 - 14,652,892 - 14,652,892
The assets and liabilities included in the above table are carried at amortised
cost; their carrying values are a reasonable approximation of fair value.
Cash and cash equivalents include cash in hand and deposits held with banks.
Amounts due to brokers and other payables represent the contractual amounts and
obligations due by the Company for settlement of trades and expenses. Amounts
due from brokers and other receivables represent the contractual amounts and
rights due to the Company for settlement of trades and income.
17. 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.
The Company invests in a diversified portfolio of Asset Backed
Securities. The fair value of the major financial instruments held by the
Company and the equivalent percentages of the total value of the Company, are
reported in the Top Twenty Holdings, included within the Interim Management
Report.
Revenue earned is reported separately on the face of the Unaudited
Condensed Statement of Comprehensive Income as investment income being interest
income received from Asset Backed Securities.
18. Dividend Policy
The Board intends to distribute an amount at least equal to the value of the
Company's net income arising each quarter to the holders of Ordinary Redeemable
Shares. For these purposes, the Company's income will include the interest
payable by the Asset Backed Securities in the Portfolio and the amortisation of
any discount or premium to par at which an Asset Backed Security is purchased
over its remaining expected life, prior to its maturity, however there is no
guarantee that the dividend target for future financial years will be met or
that the Company will make any distributions at all.
Distributions made with respect to any income period 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 LIBOR differentials between each foreign currency
pair.
The Board expects that dividends will constitute the principal element of the
return to the holders of Ordinary Redeemable Shares.
The Company declared the following dividends in respect of distributable profit
for the period ended 30 September 2017:
Period to Dividend rate Net dividend Record date Ex-dividend date Pay date
per Share payable (GBP)
(pence)
30 June 2017 0.015 5,937,212 21 July 2017 20 July 2017 31 July 2017
29 September 2017 0.015 5,937,212 20 October 19 October 2017 31 October 2017
2017
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.
19. Ultimate Controlling Party
In the opinion of the Directors on the basis of shareholdings advised to
them, the Company has no ultimate controlling party.
20. Subsequent Events
These Financial Statements were approved for issuance by the Board on 15
November 2017. Subsequent events have been evaluated until this date.
On 31 October 2017, the Company paid a dividend as detailed in note 18.
CORPORATE INFORMATION
Directors Custodian, Principal Banker and
Trevor Ash (Chairman) Depositary
Ian Burns Northern Trust (Guernsey) Limited
Richard Burwood PO Box 71
Jeannette Etherden Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1 3DA
Registered Office Administrator and Company Secretary
PO Box 255 Northern Trust International Fund
Trafalgar Court Administration
Les Banques Services (Guernsey) Limited
St Peter Port PO Box 255
Guernsey, GY1 3QL Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1 3QL
Alternative Investment Fund Manager Broker and Financial Adviser
("AIFM") Numis Securities Limited
Maitland Institutional Services Limited The London Stock Exchange Building
Springfield Lodge 10 Paternoster Square
Colchester Road London, EC4M 7LT
Chelmsford, CM2 5PW
Portfolio Manager Independent Auditor
TwentyFour Asset Management LLP PricewaterhouseCoopers CI LLP
8th Floor, The Monument Building PO Box 321
11 Monument Street, Royal Bank Place
London 1 Glategny Esplanade
EC3R 8AF St Peter Port
Guernsey, GY1 4ND
UK Legal Advisers to the Company Receiving Agent
Eversheds Sutherland (International) Computershare Investor Services PLC
LLP The Pavilions
One Wood Street Bridgwater Road
London, EC2V 7WS Bristol, BS13 8AE
Guernsey Legal Advisers to the Company Registrars
Carey Olsen Computershare Investor Services
Carey House (Guernsey) Limited
Les Banques 1st Floor
St Peter Port Tudor House
Guernsey, GY1 4BZ Le Bordage
St Peter Port
Guernsey, GY1 1DB
END
(END) Dow Jones Newswires
November 15, 2017 10:09 ET (15:09 GMT)
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