TwtyFr SelMth Inc Fd Correction : Annual Financial Report

 
TIDMSMIF 
 
TWENTYFOUR SELECT MONTHLY INCOME FUND LIMITED 
LEI: 549300P9Q5O2B3RDNF78 
(Classified Regulated Information, under DTR 6 Annex 1 section 1.1) 
 
The following replaces the RNS 'Annual Financial Report' announcement released 
on 13 December 2019 at 07:00. 
 
A typographical error has been identified as part of the annual financial 
report publication process, which was released on 13 December and to correct 
this, the Company is re-releasing the annual financial report below. The only 
amendment to the below is as follows: 
 
Text under the headings 'Materiality', 'Audit scope' and 'Key audit matters' in 
the Independent Auditor's Report has been added. 
 
Annual Report and Audited Financial Statements 
 
For the year ended 30 September 2019 
 
The Directors of TwentyFour Select Monthly Income Fund Limited (the "Company") 
announce the results for the year ended 30 September 2019. 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 
 
SUMMARY INFORMATION 
 
The Company 
 
TwentyFour Select Monthly Income Fund Limited (the "Company") was incorporated 
with limited liability in Guernsey, as a closed-ended investment company on 12 
February 2014. 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 ("LSE") on 10 March 2014. 
 
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 
credit securities. 
 
The portfolio can be comprised of any category of credit security, including, 
without prejudice to the generality of the foregoing, bank capital, corporate 
bonds, high yield bonds, leveraged loans, payment-in kind notes and asset 
backed securities. The portfolio will include securities of a less liquid 
nature. The portfolio will be dynamically managed by TwentyFour Asset 
Management LLP (the "Portfolio Manager") and, in particular, will not be 
subject to any geographical restrictions. 
 
The Company maintains a portfolio diversified by issuer; the portfolio 
comprises at least 50 Credit Securities. No more than 5% of the portfolio value 
will be invested in any single Credit Security or issuer of Credit Securities, 
tested at the time of making or adding to an investment in the relevant Credit 
Security. Uninvested cash, surplus capital or assets may be invested on a 
temporary basis in: 
 
·      Cash or cash equivalents, money market instruments, bonds, commercial 
paper or other debt obligations with banks or other counterparties having a 
"single A" or higher credit rating as determined by any internationally 
recognised rating agency which, may or may not be registered in the EU; and 
 
·      Any "government and public securities" as defined for the purposes of 
the Financial Conduct Authority (the "FCA") Rules. 
 
Efficient portfolio management techniques are employed by the Company, 
including currency and interest rate hedging and the use of derivatives to 
manage key risks such as interest rate sensitivity and to mitigate market 
volatility. The Company's currency hedging policy will only be used for 
efficient portfolio management and not to attempt to enhance investment 
returns. 
 
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 arranging a loan facility or other types of collateralised 
borrowing instruments including repurchase transactions and stock lending. The 
Articles restrict the borrowings of the Company to 10% of the Company's Net 
Asset Value ("NAV") at the time of drawdown. 
 
At launch the Company had a target net total return on the original issue price 
of between 8% and 10% per annum. This comprised a target dividend payment of 6p 
and a target capital return of 2p-4p both based on the original issue amount of 
100p. There is no guarantee that this can or will be achieved, particularly 
given the current low interest rate environment. As such the total return 
generated has been lower than initially anticipated, although the 6p dividend 
per annum has consistently been met and the Portfolio Manager is confident, 
based on the current outlook, that this dividend target will be maintained in 
the current year. Refer to note 19 to the Financial Statements for details of 
the Company's dividend policy. 
 
In accordance with the Listing Rules, the Company can only make a material 
change to its investment policy with the approval of its Shareholders by 
Ordinary Resolution. 
 
 
Shareholder Information 
 
Maitland Institutional Services Limited ("Maitland") is responsible for 
calculating the NAV per share of the Company. Maitland delegated this 
responsibility to Northern Trust International Fund Administration Services 
(Guernsey) Limited (the "Administrator"). However Maitland still performs an 
oversight function. The unaudited NAV per Ordinary Share will be calculated as 
at the close of business on every Wednesday that is also a business day and the 
last business day of every month and will be announced by a Regulatory 
Information Service the following business day. 
 
Financial Highlights 
 
                                                            Year ended        Year ended 
                                                              30.09.19          30.09.18 
 
Total Net Assets                                          GBP167,827,286      GBP169,743,090 
 
Net Asset Value per Share                                       90.63p            93.17p 
 
Share price                                                     93.00p            97.00p 
 
Premium to NAV                                                   2.62%             4.11% 
 
Dividends declared during the year                               6.34p             6.55p 
 
Dividends paid during the year                                   6.55p             6.56p 
 
As at 4 December 2019, the premium had moved to 1.93%. The estimated NAV per 
share and share price stood at 91.83p and 93.60p, respectively. 
 
Results are discussed further in the Director's Report. 
 
Ongoing Charges 
 
Ongoing charges for the year ended 30 September 2019 have been calculated in 
accordance with the Association of Investment Companies (the "AIC") recommended 
methodology. The ongoing charges for the year ended 30 September 2019 were 
1.12% (30 September 2018: 1.18%) on an annualised basis. 
 
CHAIRPERSON'S STATEMENT 
 
For the year ended 30 September 2019 
 
The financial year started with challenging conditions for investors with 
largely weaker corporate earnings, slower global growth expectations from the 
International Monetary Fund ("IMF") and a very hawkish October 2018 commentary 
from the Federal Reserve ("Fed"). Sentiment was impacted when Fed Chair, Powell 
raised the possibility of Fed Funds being tightened beyond the perceived 
neutral rate, creating fears of a policy error. As a result global stock 
markets had the worst month in 6 years and the benchmark 10 year US Treasury 
yield breached the 3.25% resistance level. Geopolitical fears and comments from 
President Trump reiterating his disapproval of Powell and the Fed's tightening 
bias added further to volatility. 
 
At the November 2018 Federal Open Market Committee ("FOMC") meeting Powell made 
a complete U-turn and his dovish tone resulted in a sharp turnaround for the 
interest rates market, sending the 10 year US Treasury Yield below 3%. 
Nevertheless the Fed increased the Fed Funds rate to 2.25-2.50% on 19 December 
2018, but the market immediately began to sense that the next move would be 
lower, despite the Dot-plot charts suggesting the opposite. 
 
Then on the 4 January 2019, at the American Economic Associations ("AEA") 
meeting in Atlanta, Powell emphasised that the Fed were adopting a 
data-dependant stance and that 'he wouldn't hesitate to adjust the balance 
sheet reduction if it was causing problems for the economy'. This supportive 
guidance led to a sharp rally in credit markets, reversing the credit spread 
widening seen in Q4-2018. 
 
The key event over the summer was the Federal Open Markets Committee ("FOMC") 
meeting on 31 July 2019 when the Fed Funds rate was cut for the first time in a 
decade; Powell said it was a 'mid-cycle adjustment' but that it didn't mean the 
Fed would stop at just one cut. Amid this, and the trade tariff uncertainty, 
the key 2-10s yield curve briefly inverted, which many investors consider a 
reliable end-of-cycle predictor. 
 
Over the reporting period sentiment was pulled in different directions by trade 
talks between USA and China and the emergence of tensions between the EU and 
USA over EU state subsidies added to concerns over the economic outlook in 
Europe. Narratives relating to these tensions continue to impact sentiment, 
volatility and the economic outlook and these remain unresolved. 
 
Volatility in European assets remained relatively high driven by a difficult 
political backdrop and poor economic performance. Germany is especially 
sensitive to a fall in global trade and to the ongoing trade disputes and 
falling factory orders were an area of concern for investors and policy makers. 
 
Reflecting this Mario Draghi struck a dovish note, stating that the European 
Central Bank ("ECB") saw risks tilted to the downside and 'they stood ready to 
adjust all instruments if necessary'. Draghi delivered on this in September 
2019, announcing a further cut in the ECB refinancing rate to -50bps, further 
quantitative easing ("QE") from 1 November 2019 and tiering for bank reserve 
deposits held at the ECB. It remains to be seen if this policy will succeed in 
the 'real economy' but markets responded favourably. 
 
Brexit news continued to dominate the headlines in the UK with paralysis in the 

political system adding to uncertainty and negotiating difficulties. Whilst the 
UK economy remained relatively resilient UK assets increasingly discounted high 
perceived risks from Brexit and potential domestic political fallout. These 
accounts will be approved on the 12 December 2019 which is election day in the 
UK and therefore the uncertainty remains as I write this. Hopefully by the time 
you read it that uncertainty will have been lifted. 
 
The portfolio managers recognised that the weaker sentiment and heightened 
volatility in Q4 2018 was an intra-cycle dip, rather than the start of an 
end-of-cycle period, and took the opportunity, to selectively add favoured 
credits at the shorter end of the credit curve. However, a lack of new issuance 
volume impaired secondary market flows limiting the availability of suitable 
assets. Despite demand for tap issues the portfolio managers declined a number 
of requests for new share issuance and only GBP3m of new shares were issued over 
the year. 
 
Portfolio performance and dividends 
 
Despite considerable economic uncertainty, geopolitical volatility and a very 
challenging period for markets in Q4 2018, the fund generated a respectable 
return over the financial year. The total return based on reinvestment of 
dividends for the year was 5.16% (NAV per Share). Reflecting the difficult 
backdrop the 3 months to 31 December 2018 produced a negative return of 2.92% 
but the last 9 months generated a strong 7.94% return. 
 
Once again the key outperforming sector for the year was Banking, where the 
portfolio managers continue to be very selective. The net contribution from the 
banking sector was 2.92%, or 57% of the total return for the Fund, despite 
representing only 35% of the average allocation during the period. Insurance 
was another key performing sector generating a net contribution of 0.99%. The 
allocation to asset backed securities ("ABS") averaged 28% through the year but 
contributed a net 1.17% of the return, as the bonds were slow to recover from 
the sharp sell-off in late 2018. The portfolio managers still consider the 
sector to represent relative value and maintain the exposure. The only sectors 
where there were negative returns for the year were in European high yield 
corporates (net contribution -0.17%) and North American high yield corporates 
(net contribution -0.54%). These were primarily due to the underperformance in 
the French paper and pulp company, Lecta and US energy producer, EP Energy. 
 
During the period, the Share Price dropped 4p (2018: 2.5p) but dividends 
totalling 6.55p (2018: 6.56p) were paid, therefore the Share Price return 
including dividends paid (but not reinvested) was 2.63% (2018: 4.08%). To some 
extent this reflects the fall in the premium to NAV which fell from 4.11% to 
2.62%. Results are discussed further in the Director's Report. 
 
Moving forward 
 
This economic and credit cycle is now extended and whilst defaults and recover 
rates remain attractive an expectation that this will not remain so forever is 
not unreasonable. Although the manager does not currently anticipate a 
significant change to existing conditions, we must be mindful that the quality 
of the general credit universe has fallen over the past decade. Favourable 
issuance terms have led to relaxed covenants and lower yields enabling weaker 
companies to refinance, often with extended maturities. 
 
As a credit fund we are exposed to a deterioration in the credit environment 
and the higher yield we generate is a reward of illiquidity and credit risks. 
The focus of the Manager is very bottom up and is built on a strong 
understanding of each security held and the specific drivers of credit. This 
centres on only buying securities that satisfy strict criteria and then closely 
monitoring these, thus helping mitigate many risks more top down strategies 
incur. 
 
The closed ended structure for this fund was chosen to enable the manager to 
exploit the illiquidity premium on certain types of fixed income security. This 
dramatically reduces any mismatch between the liquidity of the fund and that of 
the underlying assets held, making this the most prudent way to hold such 
assets. 
 
However, recent comments by Powell and Carney, Head of the Bank of England, 
about potential illiquidity in fixed income markets is a warning that the cost 
and availability of liquidity is not constant. High demand for fixed income 
products coupled with low yields and spreads has ensured robust issuance 
activity reducing the cost to deploy funds but secondary market liquidity can 
be problematic due to changes in the market eco-system including regulatory 
reforms. Whilst this can generate an illiquidity premium which feeds our 
strategy, we are very aware of the wider impact of a shift in liquidity and 
monitor this closely, benefiting from detailed liquidity analysis by the 
Manager and the AFIM. 
 
The current economic expansion is the longest in modern history and hence 
investor sentiment is becoming more fragile. Geopolitical risks remain elevated 
and with global growth declining and economic risk growing the portfolio 
managers anticipate more frequent periods of volatility as the end of this 
cycle approaches. They intend to utilise any heightened volatility to source 
suitable new assets and maintain the relatively attractive yield without taking 
increased risks. As such the portfolio managers are confident that the 
Company's income will continue to be sufficient to maintain the 0.5p dividend 
per month for the year ahead. 
 
Claire Whittet 
 
Chair 
 
12 December 2019 
 
PORTFOLIO MANAGER'S REPORT 
 
For the year ended 30 September 2019 
 
The first half of the financial year was defined by two very distinct quarters. 
The first quarter began with a number of challenges for investors; with 
disappointing earnings from a number of bellwether corporates, such as Amazon 
and Caterpillar, and a sobering downgrade of global growth expectations from 
the International Monetary Fund ("IMF"). However, market sentiment became 
severely impaired following a very hawkish October 2018 commentary from Fed 
Chair, Jerome Powell, raising the possibility of Fed Funds being tightened 
beyond the perceived neutral rate, resulting in market fears of an impending 
policy error. This led to global stocks having their worst month in 6 years, 
the benchmark 10y US Treasury yield breaching the 3.25% resistance level and 
the key 2-10s curve briefly steepen to 34bps. Geopolitical fears then took hold 
again, resulting in Treasury yields retreating back, with volatility being 
further stoked by comments from President Trump who reiterated his disapproval 
of Powell and the Fed's tightening bias. 
 
Sensing a repeat of the 'Bernanke-tantrum' of 2013 Powell adopted a dovish tone 
in his November 2018 statement, which resulted in a sharp change of direction 
for the rates market, with the 10y UST yield dipping below 3% and the 2s10s 
curve flatten by c.20bps over the month. As expected the Fed hiked Fed Funds to 
2.25-2.50% on 19 December 2018 but the market then began to question whether 
the Fed would be able to hike at all in 2019; despite the Dot-plot charts 
suggesting the opposite. This uncertainty, coupled to some forced selling by 
international funds resulted in a weak quarter for sentiment and asset 
performance. 
 
At the American Economic Associations ("AEA") meeting in Atlanta on 4 January 
2019, Powell, who was joined by Janet Yellen and Ben Bernanke, emphasised that 
the Fed were taking a data-dependant stance and that 'he wouldn't hesitate to 
adjust the balance sheet reduction if it was causing problems for the economy'. 
The market took this as confirmation of a supportive Fed, leading to a sharp 
rally in credit markets, rapidly reversing the widening of Q4 2018; while the 
dovish stance led to a weaker USD, which in turn helped the EM sector to also 
recover. 
 
Fresh round of talks between US and China helped market sentiment over the 
early spring period, although President Trump threatened to impose $11bn of 
tariffs on European goods, which led the EU to formally open trade talks. There 
was a brief reversal in sentiment in May 2019 as the US imposed restrictions on 
Huawei Corporation, together with negative rhetoric from the Trump 
administration claiming China had back-tracked on previous trade agreements. An 
agreement that the US-China talks could re-convene at the G20 meeting helped 
sentiment recover and this was supplemented by a very dovish tone from Powell, 
increasing expectations of further cuts to Fed Funds. The key event over the 
summer was the FOMC meeting on 31 July 2019 when Fed Funds were cut for the 
first time in a decade; Powell said it was a 'mid-cycle adjustment' but that it 
didn't mean the Fed would stop at just one cut. Amid this, and the trade tariff 
uncertainty, the key 2s10s yield curve briefly inverted, which many investors 
consider a reliable end-of-cycle predictor. 
 
In the Eurozone, volatility continued in Italian Government Bonds ("BTPs"), as 
a disagreement between the EU and coalition government in Rome intensified over 
the budget deficit. Moody's added to the volatility by downgrading Italy's 
rating to Baa3. Italy continued to underperform their EU peers despite the Bank 
of Italy predicting a deficit of over 3% in 2019, although the downside was 
softened by the positive tone in the wider market. In Germany the ruling CDU 
lost the key Hesse elections, which ultimately resulted in Angela Merkel 
announcing her resignation as head of the party, although she intends to stay 
on as Chancellor until the end of her term in 2021. In France President 
Macron's popularity hit the low point as he caved-in to demands from a populist 
uprising against the perceived elitist nature of the French government. German 
factory orders began to concern investors in Q2 and Mario Draghi struck a 
dovish note, stating that the ECB saw risks tilted to the downside but they 
stood ready to adjust all instruments if necessary. This was, correctly, 

interpreted by the market that further stimulus was being planned and hence the 
market rallied in anticipation. In June, the market was left in no doubt about 
a supportive ECB when Draghi delivered a speech at the meeting in Sintra, where 
he stated 'additional stimulus if the outlook for Europe doesn't improve'. 
 
Meanwhile in the UK the news was dominated by the ongoing saga of Brexit. Talks 
failed around the key Irish border issue resulting in Theresa May being ousted 
as Prime Minister and a number of resignations (and sackings) in the 
Conservative party, resulting in new leader and Prime Minister Johnson losing a 
coalition majority in the House and being forced by Parliament to take 
'no-deal' off the negotiating table with the EU. Hopes that a deal would be 
struck before the EU elections in May 2019 faded along with the leaving date of 
31 October 2019, and the calling of a UK general  election on the 12 December 
2019 merely fuelled the uncertainty. 
 
Portfolio Commentary 
 
The portfolio managers recognised that the weaker sentiment and heightened 
volatility in Q4 2018 was an intra-cycle dip, rather than the start of an 
end-of-cycle period, and took the opportunity, where possible, to add favoured 
credits at the shorter end of the credit curve. However, a lack of new issuance 
volume, which impaired secondary market flow, did limit the availability of 
suitable assets and as such the portfolio managers declined a number of 
requests for new share issuance. The sharp improvement in market sentiment, 
following the Fed 'pivot' in January, added to the challenge of sourcing 
suitable assets; although the re-financing of the original AT1 ("Additional 
Tier 1") issues in 2013 and 2014 are now occurring in the market and is 
gradually creating new opportunity and alleviating any re-investment risk for 
the fund. 
 
Overall the fund has performed in line with expectations this year ending 30 
September 2019, generating a total return based on reinvestment of dividends of 
5.16% for the year (NAV per Share), meeting its main goals of generating 
attractive income while protecting capital. As a comparison the Euro High Yield 
index generated a total return of 5.22% over the period, the Sterling High 
Yield 6.25% and Dollar High Yield indices 6.30%. 
 
Market Outlook and Strategy 
 
With the US economic expansion extending into record territory and geopolitical 
risks remaining elevated, in particular fears of a hard Brexit and an all-out 
trade war between the US and China, market commentary is invariably drawn to 
talk of when the next recession could appear. As a consequence market sentiment 
is relative fragile. Nevertheless, the supportive actions of central banks in 
2019, including rate cuts from the Federal Reserve and a further rate cut and 
further quantitative easing from the ECB, have helped risk assets to perform 
strongly, even as risk-off rates products have also generated strong returns to 
more cautious investors. Thanks mainly to central bank actions, volatility 
remained relatively low during the period, apart from Q4 2018 when the 
portfolio managers ("PMs") were able to find very attractive investment 
opportunities, and this is likely to continue unless geopolitical risks become 
elevated. In this environment, trading will likely remain low, but with bond 
maturities also being relatively infrequent the PMs are confident of finding 
attractive reinvestment opportunities and maintaining the month income of 0.50p 
for the year. 
 
Environmental, Social and Governance 
 
Introduction 
 
TwentyFour believes that Environmental, Social and Governance ("ESG") 
considerations can have a material influence on the value of investments. As 
such TwentyFour has a formal framework which incorporates ESG factors into its 
investment process. TwentyFour has a fourteen strong ESG steering group 
representing all areas of its business, including three partners, and is 
governed by the firm's Executive Committee. 
 
TwentyFour's ESG Investment Approach 
 
TwentyFour believes that investment returns can be enhanced and protected by 
taking ESG considerations into account in the investment process, and has 
therefore adopted an Integration approach to ESG. As part of the firm's 
integrated investment approach every member of the investment team is required 
to 'own' the process. As such, all investment professionals at TwentyFour are 
responsible for including ESG factors in their investment decisions, and this 
forms part of their appraisal process. Currently, statistical evidence 
(Barclays Equity Gilt Study 2017) shows the strongest correlation between 
performance and governance, which is an area TwentyFour has focussed on since 
the firm's inception. Another of our firm's principles is to regularly meet 
companies that we invest in. 
 
Integration 
 
An integrated approach means that we are disciplined in including ESG 
parameters in our overall investment relative value analysis. In other words, 
ESG considerations are explicitly part of our investment process. As an anchor 
to our ESG investment process, we utilise a third party database in order to 
help provide measurement and context. This data has been incorporated into our 
proprietary 'Observatory' relative value database. The data covers a 
comprehensive number of ESG parameters for publically listed companies. This 
helps us in a number of ways. It allows our Portfolio Managers to place an 
issuer's ESG profile on a relative basis compared to its peers. We are thus 
better placed to identify the financial implications of any specific ESG risks 
including current controversies. Momentum (whether the company is on an 
improving ESG trend) through time is captured and finally our analysis 
highlights any areas where we specifically require to think about or engage 
with a company. 
 
Just as we utilise company ratings, but never rely on them as we always conduct 
our own research, it is the same with ESG in that we do not solely rely on 
third party output. Depending on our interaction with a company or our 
knowledge of industry trends we are able to adjust scores as appropriate. There 
is a structural problem facing fixed income investors in that not all issuers 
are publically listed entities so the information set available in some 
instances may be sparse, or just very different. In such cases we have to 
conduct even more of our own analysis. Our model prompts portfolio managers 
with the most relevant standard questions regarding ESG factors which 
facilitate a consistent basis for such analysis. 
 
ABS do not fit neatly into the model of corporates that ESG databases cover. 
While the sponsor or originator of the deal will likely be covered in the 
database, the issuer is typically a Special Purpose Vehicle ("SPV"), set up 
solely for the purpose of issuing the bonds. Given the limited operational 
scope of the SPV there is little opportunity for the issuer to engage in 
activities covering ESG. However, that does not mean that the sponsor's 
business, the asset pool, the servicing of the underlying loans and so on are 
impossible to analyse through an ESG lens. Fortunately in this strategy we 
build our own models for every security considered. We have constructed a 
number of data requirements that we feel are appropriate for structured credit 
and which are consistent with our ESG database. As mentioned our level of 
engagement is proportionately higher for these transactions. Thus we have 
integrated ESG factors into our ABS investment decisions. 
 
Our ESG investment process from a top down view, which is implemented by every 
member of the portfolio management team, can be described as; 
 
·      Numerical ESG scores created 
 
·      ESG peer assessment provided 
 
·      Trend Analysis assessed (momentum) 
 
·      Controversies assessed 
 
·      Investment and valuation implications considered 
 
·      Engagement process when applicable 
 
In summary, we have produced a framework which integrates ESG into our existing 
relative value decision making process. Importantly, we have really focussed on 
making our model flexible and easy for portfolio managers to use. Sometimes ESG 
factors will be the dominant driver in an investment decision, other times much 
less so. Crucially our model has the ability to evolve and is flexible enough 
to adapt to future regulatory or investor demands. 
 
Engagement and Voting 
 
We believe in actively engaging on behalf of the Company's investors at a 
company, industry and regulatory level. As fixed income investors, our voting 
rights are limited, thus engagement as a fixed income manager is somewhat 
different to that of managers in the equity space. Our level of engagement is 
relatively high when appropriate. There are a number of reasons for this, 
though central is the experience level of our partners and portfolio managers 
who can easily engage with companies or industry bodies at the highest level 
when necessary. With respect to some issuers we will interact with them at 
multiple levels, from senior to junior debt, ABS to whole loans. 
 
Our buying power also gives us the opportunity to engage. This is particularly 
the case in our ABS business where we are more often than not directly 
influencing the structure, asset mix and terms of a transaction. 
 
We also engage on behalf of the Company's investors at the industry and 
regulatory level. TwentyFour Asset Management is an advisor to the Bank of 
England, the PRA/FCA, the UK Treasury, the European Commission, the European 
Banking Authority and a number of other EU Finance Ministries. Our firm is the 
only UK asset manager who are founding partners of the Prime Collateralised 
Securities ("PCS") initiative. We are in our fifth term as vice-chair of the 
Association for Financial Markets in Europe ("AFME") and a member of the Bank 
of England Residential Property Forum. 
 
Screening 
 
As mentioned above we can and do run funds which screen out investments or 
sectors, which our risk systems and models can easily accommodate. 
 
Conclusion 
 

We believe that our integrated approach across our strategies achieves the main 
objectives of responsible investing and is in the interest of our clients. We 
have more to do, and while we do not have all the answers we will always seek 
to improve our process through time. We will not however engage in the 'arms 
race' to have the largest profile with the most badges in an attempt to impress 
with our ESG credentials. That particular trend will reduce competition and at 
the margin will actually be negative for the advancement of responsible 
investing. As the industry evolves we have the platform to incorporate 
information and techniques where it makes sense for our investors and as such 
we are happy to openly engage with our clients to discuss ideas or 
requirements. 
 
TwentyFour Asset Management LLP 
 
12 December 2019 
 
TOP TWENTY HOLDINGS 
 
As at 30 September 2019 
 
                                                   Credit                    Percentage 
 
                             Nominal/            Security  Fair Value *    of Net Asset 
 
                               Shares              Sector            GBP            Value 
 
Nationwide Bldg Society        40,960    Financial- Banks     6,421,229            3.83 
10.25 29/06/2049 
 
Coventry Bldg Society       4,560,000    Financial- Banks     4,768,238            2.84 
6.875 31/12/2049 
 
Aldermore Group 11.875 31/  3,350,000    Financial- Banks     3,443,015            2.05 
12/2049 
 
Santander Uk                2,000,000    Financial- Banks     3,139,047            1.87 
 
Bracken Midco1 8.875 15/10  2,960,000        High Yield -     2,809,825            1.67 
/2023                                            European 
 
Societe Generale 7.375 31/  2,960,000    Financial- Banks     2,533,027            1.51 
12/2049 
 
Barclays PLC 7.875 31/12/   2,365,000    Financial- Banks     2,521,207            1.50 
2049 
 
Oaknorth Bank 7.75 01/06/   2,500,000    Financial- Banks     2,512,500            1.50 
2028 
 
Phoenix Group 5.75 31/12/   2,780,000          Financial-     2,501,363            1.49 
2049                                            Insurance 
 
Arbour Clo 2 15/05/2030     3,000,000                 ABS     2,489,166            1.48 
 
Banco de Sabadell 6.5 31/   2,800,000    Financial- Banks     2,482,273            1.48 
12/2049 
 
Capital Bridging Finance 1  2,500,000                 ABS     2,418,750            1.44 
MEZZ 12/11/2018 
 
Rothesay Life 6.875 31/12/  2,500,000          Financial-     2,397,856            1.43 
2049                                            Insurance 
 
Paragon Group of Companies  2,200,000    Financial- Banks     2,348,636            1.40 
7.25 09/09/2026 
 
St Pauls Clo 25/04/2030     2,835,000                 ABS     2,257,280            1.35 
 
Intesa Sanpaolo 7.75 31/12  2,150,000    Financial- Banks     2,243,209            1.34 
/2019 
 
Onesavings Bank 9.125 31/   2,200,000    Financial- Banks     2,233,825            1.33 
12/2049 
 
Deutsche Pfandbriefbank     2,400,000    Financial- Banks     2,197,733            1.31 
5.75 31/12/2049 
 
Banco Bilbao Vizcaya        2,200,000    Financial- Banks     2,156,450            1.28 
Argentaria 8.875 29/12/ 
2049 
 
Hayfin Emerald Clo 5.47 06  2,500,000                 ABS     2,140,750            1.28 
/09/2031 
 
Total                                                        56,015,379           33.38 
 
* Fair value is the price that would be received to sell an asset or paid to 
transfer a liability in an orderly transaction between market participants at 
the measurement date. 
 
The full portfolio listing of bonds and asset backed securities ("ABS") as at 
30 September 2019 can be obtained from the Administrator on request. 
 
BOARD MEMBERS 
 
Biographical details of the Directors are as follows: 
 
Claire Whittet - (Chair) (age 64) 
 
Ms Whittet is a resident of Guernsey and has 40 years' experience in the 
banking industry. She joined Rothschild Bank International Ltd in 2003 as a 
Director and was latterly Managing Director and Co-Head before becoming a 
Non-Executive Director on her retirement in 2016. She began her career at the 
Bank of Scotland where she was for 19 years in a variety of personal and 
corporate finance roles. Subsequently, Ms Whittet joined Bank of Bermuda and 
was Global Head of Private Client Credit before joining Rothschild. Ms Whittet 
holds a number of Non-Executive Directorships. 
 
Ms Whittet has an MA from Edinburgh University, is a member of the Chartered 
Institute of Bankers in Scotland, a member of the Chartered Insurance 
Institute, a Chartered Banker, a member of the Institute of Directors and holds 
the Institute of Directors Diploma in Company Direction. Ms Whittet was 
appointed to the Board on 12 February 2014. 
 
Christopher F. L. Legge - (Non-executive Director) (age 64) 
 
Mr Legge is a Guernsey resident and worked for Ernst & Young in Guernsey from 
1983 to 2003. Having joined the firm as an audit manager in 1983, he was 
appointed a partner in 1986 and managing partner in 1998. From 1990 to 1998, he 
was head of Audit and Accountancy and was responsible for the audits of a 
number of banking, insurance, investment fund, property fund and other 
financial services clients. He also had responsibility for the firm's training, 
quality control and compliance functions. He was appointed managing partner for 
the Channel Islands region in 2000 and merged the business with Ernst & Young 
LLP in the United Kingdom. He retired from Ernst & Young in 2003. 
 
Mr Legge currently holds a number of Non-Executive Directorships in the 
financial services sector and also chairs the Audit Committees of several UK 
listed companies. He is an FCA and holds a BA (Hons) in Economics from the 
University of Manchester. Mr Legge was appointed to the Board on   12 February 
2014. 
 
Ian Martin - (Non-executive Director) (age 55) 
 
Mr Martin has over 34 years' experience in finance gathered in a variety of 
multi asset investment focused roles in the UK, Asia, Switzerland and South 
America. More recently he was the Chief Investment Officer (CIO) and Head of 
Asset Management and Research at Lloyds Bank in Geneva and then Head of Bespoke 
Portfolio Management and Advisory for key clients in UBP Bank in Geneva. 
Previous roles have included senior roles in equity derivatives and multi asset 
trading as well as CIO and Managing Director of a Fund of Hedge funds company. 
 
He has an MSc, is a Fellow of the Institute of Directors (IOD) holding the 
Chartered Director qualification as well as being a Chartered Member of the 
Chartered Institute of Securities and Investment (CISI). Currently he is a 
Director of Bedlam Family Office. Mr Martin was appointed to the Board on 15 
July 2014. 
 
DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED EXCHANGES 
 
The following summarises the Directors' directorships in other public listed 
companies: 
 
Company Name                                                  Stock Exchange 
 
Claire Whittet (Chair) 
 
BH Macro Limited                                              London 
 
Eurocastle Investment Limited                                 Amsterdam 
 
International Public Partnerships Limited                     London 
 
Riverstone Energy Limited                                     London 
 
Third Point Offshore Investors Limited                        London 
 
Christopher Legge 
 
Ashmore Global Opportunities Limited                          London 
 
NB Distressed Debt Investment Fund                            London 
Limited 
 
Sherborne Investors (Guernsey) B Limited                      London 
 
Sherborne Investors (Guernsey) C Limited                      London 
 
Third Point Offshore Investors Limited                        London 
 
Ian Martin 
 
None 
 
DIRECTORS' REPORT 
 
The Directors present their Annual Report and Audited Financial Statements for 
the year ended 30 September 2019. 
 
Business Review 
 
The Company 
 
TwentyFour Select Monthly Income Fund Limited (the "Company") was incorporated 
with limited liability in Guernsey, as a closed-ended investment company on 12 
February 2014. 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 LSE on 10 March 2014. 
 
Investment Objective and Policy 
 
The investment objective and policy is set out in the Summary Information. 
 
Discount/Premium to Net Asset Value 
 
The Board monitors and manages the level of the share price discount/premium to 
NAV. In managing this, the Company can operate a share buyback facility whereby 
it may purchase, subject to various terms as set out in its Articles and in 
accordance with The Companies (Guernsey) Law, 2008, up to 14.99% of the 
Company's Ordinary Redeemable Shares in issue immediately following Admission 
for trading in the LSE. 
 
The Company also offers investors a Quarterly Tender, contingent on certain 
factors, to provide Shareholders with a quarterly opportunity to submit 
Ordinary Shares for placing or repurchase by the Company at a price 
representing a discount of no more than 2% to the then prevailing NAV. For 
additional information refer to note 16 (ii) to the Financial Statements. 
 
Shareholder Information 
 
Shareholder information is set out in the Summary Information. 
 
The Company has the ability to issue up to 18,517,915 ordinary shares under a 
TAP facility as approved at the Annual General Meeting ("AGM") on 4 July 2019. 
During the financial year ended 30 September 2019, the Company issued 3,000,000 
shares being 2,000,000 shares on 3 October 2018 and 1,000,000 shares on 26 
November 2018. 
 
Going Concern 
 
The Directors believe that, having considered the Company's investment 
objective (see Summary Information), financial risk management (see note 16 to 
the Financial Statements) and in view of the Company's holdings in cash and 
cash equivalents, the liquidity of investments and the income deriving from 
those investments, the Company has adequate financial resources and suitable 

management arrangements in place to continue as a going concern for at least 
twelve months from the date of approval of the financial statements. 
 
Viability Statement 
 
Under the UK Corporate Governance Code, the Board is required to make a 
"viability statement" which considers the Company's current position and 
principal risks and uncertainties combined with an assessment of the prospects 
of the Company in order to be able to state that they have a reasonable 
expectation that the Company will be able to continue in operation over the 
period of their assessment. The Board considers that three years is an 
appropriate period to assess the viability of the Company given the uncertainty 
of the investment world and the strategy period. In selecting this period the 
Board considered the environment within which the Company operates and the 
risks associated with the Company. 
 
The Company's prospects are driven by its business model and strategy. The 
Company's aim is to provide investors with an attractive level of income and a 
focus on capital preservation in uncertain times, by investing in less liquid, 
high yielding credit securities. 
 
The Board confirms they have performed a robust assessment of the principal 
risks facing the Company and the Board's assessment of the Company over the 
three year period has been made with reference to the Company's current 
position and prospects, the Company's strategy, and the Board's risk appetite 
having considered each of the Company's Principal Risks and Uncertainties 
summarised in the Director's Report. 
 
The Board has also considered the Company's cash flows and income flows, its 
likely ability to pay dividends and the portfolio analysis, including but not 
limited to liquidity analysis, foreign exchange analysis, credit analysis and 
valuation analysis. The analysis has taken the form of stress tests on the 
Company as well as cash flow modelling based on a range of different market 
scenarios. All of the foregoing have been considered against the background of 
the Company's dividend target. 
 
Key assumptions considered by the Board in relation to the viability of the 
Company are as follows: 
 
Dividend Target 
 
The ongoing viability of the Company and the validity of the going concern 
basis depend on the Company meeting its dividend target annually during the 
three-year period. In the event that the Company does not meet the dividend 
target as disclosed in note 19 to the Financial Statements, the Directors will 
convene a general meeting in accordance with the Continuation Vote requirements 
set out in note 16 to the Financial Statements. The Board acknowledges the 
increase in deficit as mentioned in the results section below and continues to 
monitor income closely to ensure the dividend target is met. 
 
Quarterly Tenders 
 
The Company has incorporated into its structure a mechanism for a quarterly 
tender to reduce the risk of Ordinary Shares trading at a discount to NAV. It 
is anticipated that the Company will tender on a quarterly basis for up to 20% 
of the Ordinary Shares in issue as at the relevant Quarter Record Date, subject 
to an aggregate limit of 50% of the Ordinary Shares in issue in any twelve 
month period ending on the relevant Quarter Record Date. In the event that 
quarterly tender applications, on any tender submission deadline, exceed the 
50% limit, the Directors will convene a General Meeting in accordance with the 
Continuation Vote requirements set out in note 16 to the Financial Statements. 
The quarterly tenders will be at the discretion of the Board. Ordinary Shares 
trading at a discount to NAV over a long period of time may impact the 
viability of the Company. 
 
The Board having considered the analysis above, have a reasonable expectation 
that the Company will remain viable over the three year period to 30 September 
2022. 
 
During the year 621,675 shares were tendered and repurchased. 
 
Results 
 
The results for the year are set out in the Statement of Comprehensive Income. 
The Directors paid income distributions of GBP11,740,789 in respect of the year 
ended 30 September 2019, a breakdown of which can be found in note 19 to the 
Financial Statements. The 30 September 2019 distribution which was declared on 
10 October 2019 was paid on 31 October 2019. 
 
Distributions made with respect to any income period comprise excess income, 
defined as (a) the total income of the portfolio for the period, (b) an 
additional amount paid out of capital to reflect any additional income in the 
course of any share subscriptions that took place during the period (including 
additional 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 from the foreign exchange contracts caused by the 
libor differentials between each foreign exchange currency pair. 
 
The Company has seen a drop in retained earnings during the period. Retained 
earnings includes realised and unrealised gains and loss on the Company's 
assets such as bonds and foreign exchange derivatives, which are used purely 
for hedging, as well as security income. Securities purchased at a premium and 
large foreign exchange rate movements, of which both were notable in the period 
- for example the EUR versus GBP rate moved in the range 9.1% during the period 
- can affect retained earnings. However, the primary objective of the Company 
is to generate income and current and future income generation is continuingly 
being reviewed by the Company to ensure the dividend target is met, whilst 
continuing to improve and maintain the Company's retained earnings when 
possible. 
 
Key Performance Indicators ("KPIs") 
 
At each Board meeting, the Directors consider a number of performance measures 
to assess the Company's success in achieving its objectives. Below are the main 
KPIs which have been identified by the Board for determining the progress of 
the Company: 
 
·      Monthly Dividends; 
 
·      Net Asset Value; 
 
·      Share Price; 
 
·      Discount/Premium; and 
 
·      Ongoing Charges. 
 
A record of these measures is disclosed within Financial Highlights. 
 
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 NAV, which is calculated weekly on each valuation day and on the last 
business day of each month, or market capitalisation of each class of share. 
For additional information refer to note 14 to the Financial Statements. 
 
The Board considers that the interests of Shareholders, as a whole, are best 
served by the ongoing appointment of the Portfolio Manager to achieve the 
Company's investment objectives. 
 
Alternative Investment Fund Manager ("AIFM") 
 
Alternative investment fund management services are provided by Maitland 
Institutional Services Limited ("Maitland") (formerly Phoenix Fund Services 
(UK) Limited). The AIFM fee is payable quarterly in arrears at a rate of 0.07% 
of the NAV 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. For 
additional information refer to note 15 to the Financial Statements. 
 
Custodian and Depositary 
 
Custody and Depositary services are provided by Northern Trust (Guernsey) 
Limited. The terms of the Depositary agreement allow Northern Trust (Guernsey) 
Limited to receive professional fees for services rendered. The Depositary 
agreement includes custodian duties. For additional information refer to note 
15 to the Financial Statements. 
 
Directors 
 
The Directors of the Company during the year and at the date of this Report are 
set out in Corporate Information. 
 
Directors' and Other Interests 
 
The Directors of the Company held the following Ordinary Shares beneficially: 
 
                                                                    30.09.19     30.09.18 
 
                                                                      Shares       Shares 
 
Claire Whittet                                                        25,000       25,000 
 
Christopher Legge                                                     50,000       50,000 
 
Ian Martin                                                            35,000       35,000 
 
The Board do not hold any shareholdings in entities where the Company has a 
stake in the same entity that amounts to more than 1% of its portfolio. 
 
Corporate Governance 
 
The Board is committed to high standards of corporate governance and has 
implemented a framework for corporate governance which it considers to be 
appropriate for an investment company in order to comply with the principles of 
the UK Corporate Governance Code (the "UK Code"). The Company is also required 
to comply with the Code of Corporate Governance (the "GFSC Code") issued by the 
Guernsey Financial Services Commission. 
 
The UK Listing Authority requires all UK premium listing companies to disclose 
how they have complied with the provisions of the UK Code. This Corporate 
Governance Statement, together with the Going Concern Statement, Viability 
Statement and the Statement of Directors' Responsibilities, indicates how the 
Company has complied with the principles of good governance of the UK Code and 
its requirements on Internal Control. 
 
The Company is a member of the AIC and by complying with the AIC Code of 
Corporate Governance (the "AIC Code") is deemed to comply with both the UK Code 
and the GFSC Code. 
 
The Board has considered the principles and recommendations of the AIC Code, by 
reference to the guidance notes provided by the AIC Guide, and consider that 
reporting against these will provide better information to shareholders. To 
ensure ongoing compliance with these principles the Board reviews a report from 
the Corporate Secretary at each quarterly meeting, identifying how the Company 
is in compliance and identifying any changes that might be necessary. 
 

The AIC Code and the AIC Guide are available on the AIC's website, 
www.theaic.co.uk. The UK Code is available in the Financial Reporting Council's 
website, www.frc.org.uk. 
 
Throughout the year ended 30 September 2019, the Company has complied with the 
recommendations of the AIC Code and thus the relevant provisions of the UK 
Code, except as set out below. 
 
The UK Code includes provisions relating to: 
 
·      the role of the Chief Executive; 
 
·      Executive Directors' remuneration; 
 
·      Annually assessing the need for an internal audit function; 
 
·      Senior Independent Director; 
 
For the reasons set out in the AIC Guide, the Board considers that the first 
three provisions are not relevant to the position of the Company as it is an 
externally managed investment company. The Company has therefore not reported 
further in respect of these provisions. 
 
The reason for not appointing a Senior Independent Director is set out below. 
 
There have been no other instances of non-compliance, other than those noted 
above. 
 
The AIC updated its Code on 5 February 2019 to reflect revised Principles and 
Provisions included in the UK Corporate Governance Code which was revised in 
2018. These changes apply to financial years beginning on or after 1 January 
2019 and the Directors intend to report on the Company's compliance with the 
changes in the Annual Report for the year ended 30 September 2020. 
 
Role, Composition and Independence of the Board 
 
The Board is the Company's governing body and has overall responsibility for 
maximising the Company's success by directing and supervising the affairs of 
the business and meeting the appropriate interests of shareholders and relevant 
stakeholders, while enhancing the value of the Company and also ensuring 
protection of investors. A summary of the Board's responsibilities is as 
follows: 
 
·      statutory obligations and public disclosure; 
 
·      strategic matters and financial reporting; 
 
·      risk assessment and management including reporting compliance, 
governance, 
 
monitoring and control; and 
 
·      other matters having a material effect on the Company. 
 
The Board's responsibilities for the Annual Report and Audited Financial 
Statements are set out in the Statement of Directors' Responsibilities. 
 
The Board currently consists of three non-executive Directors, all of whom are 
considered to be independent of the Portfolio Manager and as prescribed by the 
Listing Rules. 
 
The Board does not consider it appropriate to appoint a Senior Independent 
Director because all Directors are deemed to be independent by the Company. The 
Board considers it has the appropriate balance of diverse skills and 
experience, independence and knowledge of the Company and the wider sector, to 
enable it to discharge its duties and responsibilities effectively and that no 
individual or group of individuals dominates decision making. The Chair is 
responsible for leadership of the Board and ensuring its effectiveness. 
 
Chair 
 
The Chair is Claire Whittet. The Chair of the Board must be, and is considered 
to be, independent for the purposes of Chapter 15 of the Listing Rules. 
 
Biographies for all the Directors can be found within the Board Members 
section. Furthermore, the Board: 
 
·      has no current or historical employment with the Portfolio Manager; and 
 
·      has no current directorships in any other investment funds managed by 
the 
 
Portfolio Manager. 
 
The Board needs to ensure that the Annual Report and Audited Financial 
Statements, taken as a whole, is fair, balanced and understandable and provides 
the information necessary for shareholders to assess the Company's position and 
performance, business model and strategy. In seeking to achieve this, the 
Directors have set out the Company's investment objective and policy and have 
explained how the Board and its delegated Committees operate and how the 
Directors review the risk environment within which the Company operates and set 
appropriate risk controls. Furthermore, throughout the Annual Report and 
Audited Financial Statements the Board has sought to provide further 
information to enable shareholders to have a fair, balanced and understandable 
view. 
 
The Board has contractually delegated responsibility for the management of its 
investment portfolio, the arrangement of custodial and depositary services and 
the provision of accounting and company secretarial services. 
 
The Board is responsible for the appointment and monitoring of all service 
providers to the Company. 
 
The Directors are kept fully informed of investment and financial controls and 
other matters by all services providers that are relevant to the business of 
the Company and should be brought to the attention of the Directors. 
 
The Company has adopted a policy that the composition of the Board of 
Directors, which is required by the Company's Articles to comprise of at least 
two persons, is at all times such that a majority of the Directors are 
independent of the Portfolio Manager and any company in the same group as the 
Portfolio Manager; the Chair of the Board of Directors is free from any 
conflicts of interest and is independent of the Portfolio Manager and of any 
company in the same group as the Portfolio Manager; and that no more than one 
director, partner, employee or professional adviser to the Portfolio Manager or 
any company in the same group as the Portfolio Manager may be a Director of the 
Company at any one time. 
 
The Board has a breadth of experience relevant to the Company and the Directors 
believe that any changes to the Board's composition can be managed without 
undue disruption. With any new director appointment to the Board, consideration 
will be given as to what induction process is appropriate. 
 
The Board has also given careful consideration to the recommendations of the 
Davies Review. The Board has reviewed its composition and believes that the 
current appointments provide an appropriate range of skills, experience and 
diversity. In order to maintain its diversity, the Board is committed to 
continuing its implementation of the recommendations of the Davies Review as 
part of its succession planning over future years and complying with the 
disclosure requirements of DTR 7.2.8 in terms of the Company's diversity 
policy. 
 
Cross-Directorships 
 
Ms Whittet and Mr Legge both hold positions on the Board of Third Point 
Offshore Investors Ltd, a London listed Company, as noted within Disclosure of 
Directorships in Public Companies Listed on Recognised Exchanges. The Board 
does not consider this to be a threat to their independence. 
 
Directors' Attendance at Meetings 
 
The Board holds quarterly Board meetings, to discuss general management 
including: dividend policy, structure, finance, corporate governance, 
marketing, risk management, liquidity, compliance, asset allocation and 
gearing, contracts and performance. The quarterly Board meetings are the 
principal source of regular information for the Board enabling it to determine 
policy and to monitor performance, compliance and controls but these meetings 
are also supplemented by communication and discussions throughout the year. 
 
A representative from each of the Portfolio Manager, AIFM, Administrator, 
Custodian and Depositary and Corporate Broker attends each Board meeting either 
in person or by telephone thus enabling the Board to fully discuss and review 
the Company's operation and performance. Each Director has direct access to the 
Portfolio Manager and Company Secretary and may, at the expense of the Company, 
seek independent professional advice on any matter. 
 
Both appointment and removal of these parties is to be agreed by the Board as a 
whole. 
 
The Audit and Risk Committee meets at least twice a year, the Management 
Engagement Committee ("MEC") and Remuneration and Nomination Committee meet at 
least once a year, a dividend meeting is held monthly and there are additional 
meetings covering the Quarterly Tender as and when necessary. In addition, ad 
hoc meetings of the Board to review specific items between the regular 
scheduled quarterly meetings can be arranged. Between formal meetings there is 
regular contact with the Portfolio Manager, AIFM, Administrator, Custodian and 
Depositary and the Corporate Broker. 
 
Although two of the Directors hold other listed Board positions, none of these 
is for a trading company and the Board is satisfied that they have sufficient 
time commitment to carry out their duties for the Company as evidenced by their 
attendance at the Board, Audit and Management Engagement Committee meetings 
during the year which was as follows: 
 
                Board Meetings  Audit and Risk Committee  Management Engagement       Remuneration and         Ad hoc Committee 
                                        Meetings            Committee Meetings      Nomination Committee           Meetings 
                                                                                          Meetings 
 
                 Held  Attended Held            Attended Held            Attended Held            Attended Held            Attended 
 
 
 
Claire Whittet    5       5            2           2            1           1            1           1           16           10 
 
Christopher       5       5            2           2            1           1            1           1           16           12 
Legge 
 
Ian               5       5            2           2            1           1            1           1           16           13 
Martin 
 
At the Board meetings, the Directors review the management of the Company's 
assets and liabilities and all other significant matters so as to ensure that 
the Directors maintain overall control and supervision of the Company's 
affairs. 
 
Election of Directors 
 
The election of Directors is set out in the Directors' Remuneration Report. 
 
Board Performance and Training 
 
During the year the Board undertook an annual self-evaluation and Chair 

evaluation and discussed the results in September 2019. The Board assessed and 
discussed their composition and balance of skills, board processes, information 
flows, any areas for additional training, board dynamics, accountability and 
their effectiveness. There were no material findings from this evaluation. 
 
In 2017, the Board commissioned Optimus Group Limited ("Optimus") to conduct an 
independent evaluation of the performance of the Board, its committees and its 
individual Directors including mapping its performance to the UK Code, the AIC 
Code and the AIC Handbook for Directors of Investment Companies. The conclusion 
of the evaluation was positive and Optimus were satisfied that the Board is 
compliant with the Code in those areas reviewed. Following the review the Board 
created the Remuneration and Nomination Committee. The next external evaluation 
will take place during 2020. 
 
On appointment to the Board, Directors will be offered relevant training and 
induction. Training is an on-going matter as is discussion on the overall 
strategy of the Company and the Board met with the Portfolio Manager early in 
the year to discuss these matters. 
 
On appointment to the Board, each Director considered the expected time needed 
to discharge their responsibilities effectively. The Directors confirmed that 
each had sufficient time to allocate and would inform the Board of any 
subsequent changes. 
 
In respect of the Criminal Finances Act 2017 which has introduced a new 
corporate criminal offence ("CCO") of 'failing to take reasonable steps to 
prevent the facilitation of tax evasion', the Board confirms that they are 
committed to zero tolerance towards the criminal facilitation of tax evasion. 
 
Retirement by Rotation 
 
Under the terms of their appointment, each Director is required to retire by 
rotation and be subject to re-election at least every three years. The 
Directors are also required to seek re-election if they have already served for 
more than nine years. The Company may terminate the appointment of a Director 
immediately on serving written notice and no compensation is payable upon 
termination of office as a director of the Company becoming effective. 
Notwithstanding the foregoing, all Directors have agreed to stand for 
re-election annually. 
 
Board Committees and their Activities 
 
Terms of Reference 
 
All Terms of Reference of the Board's Committees are available from the 
Administrator upon request. 
 
Management Engagement Committee 
 
The Board has established a Management Engagement Committee with formal duties 
and responsibilities. The Management Engagement Committee commits to meeting at 
least once a year and comprises the entire Board with Ian Martin appointed as 
Chair. These duties and responsibilities include the regular review of the 
performance, fees and contractual arrangements with the Portfolio Manager and 
other service providers and the preparation of the Committee's annual opinion 
as to the Portfolio Manager's services. 
 
The Management Engagement Committee carried out its review of the performance 
and capabilities of the Portfolio Manager at its meeting during the year and 
the Board recommended the continued appointment of TwentyFour Asset Management 
LLP as Portfolio Manager to be in the interest of the Company. 
 
The Board conducts an annual strategy day with the PMs at their offices and in 
addition to this attended the PMs Annual conference. The Board also conducted a 
site visit at Maitland Institutional Services Limited the AFIM for the Company. 
 
The Board considers that the interests of Shareholders, as a whole, are best 
served by the ongoing appointment of the AIFM and Custodian and Depositary to 
achieve the Company's investment objectives. 
 
Audit and Risk Committee 
 
An Audit and Risk Committee has been established consisting of all Directors 
with Christopher Legge appointed as Chair. As there are only 3 Directors of the 
Company, the Board considers it appropriate that all Directors should be 
members of the Audit and Risk Committee. The terms of reference of the Audit 
and Risk Committee provide that the committee shall be responsible, amongst 
other things, for reviewing the Interim and Annual Financial Statements, 
considering the appointment and independence of external auditors, discussing 
with the external auditors the scope of the audit and reviewing the Company's 
compliance with the AIC Code. 
 
Further details on the Audit and Risk Committee can be found in the Audit and 
Risk Committee Report. 
 
Remuneration and Nomination Committee 
 
The Remuneration and Nomination Committee has been established consisting of 
all Directors with Christopher Legge appointed as Chair. 
 
The Committee met on the 6 September 2019. 
 
During the meeting an independent report regarding Non-executive Directors' 
fees in 2018 was tabled. After consideration of the report it was suggested 
that the directors' fees be increased to the following: Chair: GBP44,000 (4.8% 
increase), Audit Committee Chair: GBP38,500 (4.1% increase), MEC Chair GBP33,500 
(4.7% increase) and an ordinary Director GBP31,500 (5% increase). It was agreed 
to make a recommendation to the Board to increase the fees as suggested with 
effect from 1 October 2019. 
 
Diversity of the Board was discussed and it was noted that the split of 33% 
remained within the gender diversity guidelines. The Committee also discussed 
the skills and experience of the Board and considers them adequate to fulfill 
their duties. 
 
International Tax Reporting 
 
For purposes of the US Foreign Account Tax Compliance Act, the Company 
registered with the US Internal Revenue Service ("IRS") as a Guernsey reporting 
Foreign Financial Institution ("FFI"), received a Global Intermediary 
Identification Number (E5XSVA.99999.SL.831), and can be found on the IRS FFI 
list. 
 
The Common Reporting Standard ("CRS") is a global standard for the automatic 
exchange of financial account information developed by the Organisation for 
Economic Co-operation and Development ("OECD"), which has been adopted in 
Guernsey. 
 
The Board ensures that the Company is compliant with Guernsey regulations and 
guidance in this regard. The activities of the Company do not constitute 
relevant activities as defined by the Income Tax (Substance Requirements) 
(Implementation) Regulations, 2018 (as amended) and as such the Company was out 
of scope. 
 
Strategy 
 
The strategy for the Company is to capture the illiquidity premium that is 
associated with 'off the run' bond issues. As part of the general search for 
high conviction, relative value securities the Portfolio Manager continually 
came across interesting investment opportunities but too often these bonds did 
not offer sufficient liquidity to use in the typical daily mark-to-market UCITs 
funds, however they are suitable for closed ended vehicles. By remaining highly 
selective and without conceding on underlying credit quality, the strategy 
targets a monthly distribution of 0.5p per share, with all excess income, as 
discussed in the Results section of the Director's Report, being distributed to 
investors at the year-end of the Company. 
 
Internal Controls 
 
The Board is ultimately responsible for establishing and maintaining the 
Company's system of internal financial and operating control and for 
maintaining and reviewing its effectiveness. The Company's risk matrix 
continues to be the core element of the Company's risk management process in 
establishing the Company's system of internal financial and reporting control. 
The risk matrix is prepared and maintained by the Board which initially 
identifies the risks facing the Company and then collectively assesses the 
likelihood of each risk, the impact of those risks and the strength of the 
controls operating over each risk. The system of internal financial and 
operating control is designed to manage rather than to eliminate the risk of 
failure to achieve business objectives and by their nature can only provide 
reasonable and not absolute assurance against misstatement and loss. 
 
These controls aim to ensure that assets of the Company are safeguarded, proper 
accounting records are maintained and the financial information for publication 
is reliable. The Board confirms that there is an ongoing process for 
identifying, evaluating and managing the significant risks faced by the 
Company. 
 
This process has been in place for the year under review and up to the date of 
approval of this Annual Report and Audited Financial Statements and is reviewed 
by the Board and is in accordance with the AIC Code. 
 
The AIC Code requires Directors to conduct at least annually a review of the 
Company's system of internal financial and operating control, covering all 
controls, including financial, operational, compliance and risk management. The 
Board has evaluated the systems of internal controls of the Company. In 
particular, it has prepared a process for identifying and evaluating the 
significant risks affecting the Company and the policies by which these risks 
are managed. The Board also considers whether the appointment of an internal 
auditor is required and has determined that there is no requirement for a 
direct internal audit function. 
 
The Board has delegated the day to day responsibilities for the management of 
the Company's investment portfolio, the provision of depositary services and 
administration, registrar and corporate secretarial functions including the 
independent calculation of the Company's NAV and the production of the Annual 
Report and Financial Statements which are independently audited. 
 
Formal contractual agreements have been put in place between the Company and 
providers of these services. Even though the Board has delegated responsibility 
for these functions, it retains accountability for these functions and is 
responsible for the systems of internal control. At each quarterly Board 
meeting, compliance reports are provided by the Administrator, Company 
Secretary, Portfolio Manager, AIFM and Depositary. The Board also receives 

confirmation from the Administrator of its accreditation under its Service 
Organisation Controls 1 report. 
 
The Company's risk exposure and the effectiveness of its risk management and 
internal control systems are reviewed by the Audit and Risk Committee at its 
meetings and annually by the Board. The Board believes that the Company has 
adequate and effective systems in place to identify, mitigate and manage the 
risks to which it is exposed. Principal Risks and Uncertainties are summerised 
below. 
 
Principal Risks and Uncertainties 
 
The Board is responsible for the Company's system of internal financial and 
reporting controls and for reviewing its effectiveness. The Board is satisfied 
that by using the Company's risk matrix as its core element in establishing the 
Company's system, internal financial and reporting controls while monitoring 
the investment limits and restrictions set out in the Company's investment 
objective and policy, that the Board has carried out a robust assessment of the 
principal risks and uncertainties facing the Company. 
 
The principal risks which have been identified and the steps which are taken by 
the Board to mitigate them are as follows: 
 
Market risk 
 
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 
which are valued on a marked to market basis. Market risk is the risk 
associated with changes in market prices, including spreads, economic 
uncertainty, changes in laws and political (national and international) 
circumstances. While the Company, through its investments in Credit Securities 
intends to hold a diversified portfolio of assets, factors such as levels of 
sovereign debt or political events may have a material impact which could be 
materially detrimental to the performance of the Company's investments. 
 
Under extreme market conditions the portfolio may not benefit from 
diversification. For additional information refer to Note 16 to the Financial 
Statements. 
 
Liquidity risk 
 
Investments made by the Company may be illiquid and this may limit the ability 
of the Company to realise its investments for the purposes of cash management, 
such as generating cash for dividend payments to Shareholders or buying back 
Ordinary Shares under the Quarterly Tenders or in the market. Substantially all 
of the assets of the Company are invested in Credit Securities. There may be no 
active market in the Company's interests in Credit Securities and the Company 
may be required to provide liquidity to fund Tender Requests or repay any 
borrowings. The Company does not have redemption rights in relation to any of 
its investments. As a consequence, the value of the Company's investments may 
be materially adversely affected. For additional information refer to note 16 
to the Financial Statements. 
 
Credit risk 
 
The Company may not achieve the Dividend Target and investors may not get back 
the full value of their investment because the Company invests in Credit 
Securities issued by other companies, trusts or other investment vehicles 
which, compared to bonds issued or guaranteed by governments, are generally 
exposed to greater risk of default in the repayment of the capital provided to 
the issuer or interest payments due to the Company. The amount of credit risk 
is indicated by the issuer's credit rating which is assigned by one or more 
internationally recognised rating agencies. This does not amount to a guarantee 
of the issuer's creditworthiness but generally provides a good indicator of the 
likelihood of default. Securities which have a lower credit rating are 
generally considered to have a higher credit risk and a greater possibility of 
default than more highly rated securities. There is a risk that an 
internationally recognised rating agency may assign incorrect or inappropriate 
credit ratings to issuers. Issuers often issue securities which are ranked in 
order of seniority which, in the event of default, would be reflected in the 
priority in which investors might be paid back. 
 
The level of defaults in the portfolio and the losses suffered on such defaults 
may increase in the event of adverse financial or credit market conditions. 
 
In the event of a default of a Credit Security, the Company's right to recover 
will depend on the ability of the Company to exercise any rights that it has 
against the borrower under the insolvency legislation of the jurisdiction in 
which the borrower is incorporated. As a creditor, the Company's level of 
protection and rights of enforcement may therefore vary significantly from one 
country to another, may change over time and may be subject to rights and 
protections which the relevant borrower or its other creditors might be 
entitled to exercise. Refer to Investment Objective and Policy within Summary 
Information for information regarding investment restrictions currently in 
place in order to manage credit risk. For additional information refer to note 
16 to the Financial Statements. 
 
Foreign currency risk 
 
The Company is exposed to foreign currency risk through its investments 
denominated in currencies other than Sterling. The Company's share capital is 
denominated in Sterling and its expenses are incurred in Sterling. The 
Company's Financial Statements are maintained and presented in Sterling. At 
year end, of the foreign currency investments, approximately 51% are in Euros 
and 8% are in US Dollars. Amongst other factors affecting the foreign exchange 
markets, events in the Eurozone and U.S. may have an impact upon the value of 
the Euro and US dollar which in turn will impact the value of the Company's 
Euro and US dollar denominated investments. The Company manages its exposure to 
currency movements by using spot and forward foreign exchange contracts, which 
are rolled forward periodically. For additional information refer to note 16 to 
the Financial Statements. 
 
Reinvestment risk 
 
Quantitative easing resulted in lower yields across all fixed income products 
and tightening credit spreads. This could pose a challenge for the Portfolio 
Manager when it comes to reinvesting any monies that result from portfolio 
asset redemptions and income payments. The Portfolio Manager has recognised 
this potential challenge and performed ongoing cash flow analysis on the 
current portfolio; encouragingly the redemptions and expected income payments 
over the coming 12 months do not pose a significant challenge. Trying to 
predict market conditions years ahead is notoriously difficult, however the 
Portfolio Manager recognises there may be a requirement to be more 
opportunistic in terms of timing for new investments i.e. aim to reinvest when 
the market is most volatile and also to remain vigilant to requests for 
issuance of new shares. For further information refer to note 16 to the 
Financial Statements. 
 
Other Risks and Uncertainties 
 
The Board has identified the following other risks and uncertainties along with 
steps taken to mitigate them: 
 
Operational risks 
 
The Company is exposed to the risk arising from any failures of systems and 
controls in the operations of the Portfolio Manager, Administrator, AIFM and 
the Custodian and Depositary amongst others. The Board and its Audit and Risk 
Committee regularly review reports from the Portfolio Manager, the AIFM, 
Administrator and Custodian and Depositary on their internal controls. The 
Administrator will report to the Portfolio Manager any valuation issues which 
will be brought to the Board for final approval as required. 
 
Accounting, legal and regulatory risks 
 
The Company is exposed to the risk that it may fail to maintain accurate 
accounting records, fail to comply with requirements of its Admission document 
and fail to meet listing obligations. The accounting records prepared by the 
Administrator are reviewed by the Portfolio Manager. The Portfolio Manager, 
Administrator, AIFM, Custodian and Depositary and Corporate Broker provide 
regular updates to the Board on compliance with the Admission document and 
changes in regulation. Changes in legal or regulatory environment can have a 
major impact on some classes of debt. The Portfolio Manager and Board monitor 
this and take appropriate action where needed. 
 
Income recognition risk 
 
The Board considers income recognition as another risk and uncertainty of the 
Company. The Portfolio Manager estimates the remaining life of the security and 
its likely terminal value, which has an impact on the effective interest rate 
of the Credit Securities which in turn impacts the calculation of interest 
income. The Board asked the Audit and Risk Committee to consider this risk with 
work undertaken by the Audit and Risk Committee as discussed within the Audit 
and Risk Committee Report. As a result of this work, the Board is satisfied 
that income is appropriately stated in all material aspects in the Financial 
Statements. 
 
Cyber security risks 
 
The Company is exposed to risk arising from a successful cyber-attack through 
its service providers. The Company requests of its service providers that they 
have appropriate safeguards in place to mitigate the risk of cyber-attacks 
(including minimizing the adverse consequences arising from any such attack), 
that they provide regular updates to the Board on cyber security, and conduct 
ongoing monitoring of industry developments in this area. The Board is 
satisfied that the Company's service providers have the relevant controls in 
place to mitigate this risk. 
 
Shareholder Engagement 
 
The Board welcomes shareholders' views and places great importance on 
communication with its shareholders. Shareholders wishing to meet with the 
Chair and other Board members should contact the Company's Administrator. 
 
The Portfolio Manager and Listing Sponsor maintain a regular dialogue with 
institutional shareholders, the feedback from which is reported to the Board. 
 

The Company's AGM provides a forum for shareholders to meet and discuss issues 
of the Company and shareholders with the opportunity to vote on the resolutions 
as specified in the Notice of AGM. The Notice of the AGM and the results are 
released to the LSE in the form of an announcement. 
 
Members of the Board attend investor days and conferences held by the Portfolio 
Manager. 
 
An Extraordinary Resolution was proposed at the AGM on 4 July 2019 to dis-apply 
pre-emption rights to equity shares allotted by the Directors of the Company 
for cash, as if the pre-emption rights contained in the Articles in respect of 
such equity securities did not apply. It was carried by the necessary 75% of 
votes in favour. 
 
In addition, the Company maintains a website which contains comprehensive 
information, including links to regulatory announcements, share price 
information, financial reports, investment objectives and investor contacts. 
 
Environmental, Social and Governance ("ESG") considerations 
 
The Board, together with the Portfolio Manager, take ESG matters seriously and 
their approach is covered within the Portfolio Managers Report. 
 
Significant Shareholdings 
 
Shareholders with holdings of more than 3.0% of the Shares of the Company at 9 
December 2019 were as follows: 
 
                                                  Number of shares      Percentage of 
                                                                         issued share 
                                                                              capital 
 
Nortrust Nominees Limited                               12,891,836              6.96% 
 
Pershing Nominees Limited                               10,558,038              5.70% 
 
HSBC Global Custody Nominee (UK) Limited                 9,086,625              4.91% 
 
Huntress (CI) Nominees Limited                           6,427,648              3.47% 
 
State Street Nominees Limited                            6,148,442              3.32% 
 
W B Nominees Limited                                     5,923,269              3.20% 
 
Hargreaves Lansdown (Nominees) Limited                   5,900,918              3.19% 
 
Roy Nominees Limited                                     5,635,000              3.04% 
 
Those invested directly or indirectly in 3.0% or more of the issued share 
capital of the Company will have the same voting rights as other holders of the 
Shares. 
 
Independent Auditor 
 
A resolution for the reappointment of PricewaterhouseCoopers CI LLP was 
proposed and approved at the AGM on 4 July 2019. 
 
Signed on behalf of the Board of Directors on 12 December 2019 by: 
 
Claire Whittet 
 
Chair 
 
Christopher Legge 
 
Director 
 
STATEMENT OF DIRECTORS' RESPONSIBILITIES 
 
The Directors are responsible for preparing the Annual Report and the Audited 
Financial Statements in accordance with applicable Guernsey law and 
regulations. 
 
Guernsey Company law requires the Directors to prepare Financial Statements for 
each financial year. Under that law they have elected to prepare the Financial 
Statements in accordance with International Financial Reporting Standards 
("IFRS") and applicable law. 
 
The Financial Statements are required by law to give a true and fair view of 
the state of affairs of the Company and of the profit or loss of the Company 
for that period. 
 
In preparing these Financial Statements, the Directors are required to: 
 
·      select suitable accounting policies and then apply them consistently; 
 
·      make judgements and estimates that are reasonable and prudent; 
 
·      state whether applicable accounting standards have been followed, 
subject to any material departures disclosed and explained in the Financial 
Statements; and 
 
·      prepare the Financial Statements on the going concern basis unless it is 
inappropriate to presume that the Company will continue in business. 
 
The Directors confirm that they have complied with these requirements in 
preparing the Financial Statements. 
 
The Directors are responsible for keeping proper accounting records which 
disclose with reasonable accuracy at any time the financial position of the 
Company and to enable them to ensure that the Financial Statements have been 
properly prepared in accordance with The Companies (Guernsey) Law, 2008. They 
have general responsibility for taking such steps as are reasonably open to 
them to safeguard the assets of the Company and to prevent and detect fraud and 
other irregularities. 
 
So far as the Directors are aware, there is no relevant audit information of 
which the Company's auditors are unaware, and each Director has taken all the 
steps that he or she ought to have taken as a Director in order to make himself 
or herself aware of any relevant audit information and to establish that the 
Company's auditors are aware of that information. 
 
The Directors are responsible for the oversight of the maintenance and 
integrity of the corporate and financial information in relation to the Company 
website; the work carried out by the 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. 
 
Legislation in Guernsey governing the preparation and dissemination of 
financial statements may differ from legislation in other jurisdictions. 
 
The Directors confirm that to the best of their knowledge: 
 
(a)  The Financial Statements have been prepared in accordance with IFRS and 
give a true and fair view of the assets, liabilities, financial position and 
profit or loss of the Company as at and for the year ended 30 September 2019. 
 
(b)  The Annual Report includes information detailed in the Chair's Statement, 
Portfolio Manager's Report, Directors' Report, Directors' Remuneration Report, 
Audit and Risk  Committee Report, Alternative Investment Fund Manager's Report 
and Depositary Statement provides a fair review of the information required by: 
 
(i)         DTR 4.1.8 and DTR 4.1.9 of the Disclosure and Transparency Rules, 
being a fair review of the Company business and a description of the principal 
risks and uncertainties facing the Company; and 
 
(ii)        DTR 4.1.11 of the Disclosure and Transparency Rules, being an 
indication of important events that have occurred since the end of the 
financial year and the likely future development of the Company. 
 
In the opinion of the Board, the Financial Statements taken as a whole, are 
fair, balanced and understandable and provide the information necessary to 
assess the Company's position and performance, business model and strategy. 
 
By order of the Board, 
 
Claire Whittet 
 
Chair 
 
Christopher Legge 
 
Director 
 
12 December 2019 
 
DIRECTORS' REMUNERATION REPORT 
 
The Directors' remuneration report has been prepared in accordance with the UK 
Code as issued by the UK Listing Authority. An ordinary resolution for the 
approval of the annual remuneration report was put to the shareholders at the 
AGM held on 4 July 2019. 
 
Remuneration policy 
 
The Company's policy in regard to Directors' remuneration is to ensure that the 
Company maintains a competitive fee structure in order to recruit, retain and 
motivate non-executive Directors of excellent quality in the overall interests 
of shareholders. 
 
It is the responsibility of the Remuneration and Nomination Committee to 
determine and approve the Directors' remuneration, who will have given the 
matter proper consideration, having regard to the level of fees payable to 
non-executive Directors in the industry generally, the role that individual 
Directors fulfil in respect of Board and Committee responsibilities and the 
time committed to the Company's affairs. The Chair's remuneration is decided 
separately and is approved by the Board as a whole. 
 
No element of the Directors' remuneration is performance related, nor does any 
Director have any entitlement to pensions, share options or any long term 
incentive plans from the Company. 
 
Remuneration 
 
The Directors of the Company are remunerated for their services at such a rate 
as the Directors determine, provided that the aggregate amount of such fees 
does not exceed GBP150,000 per annum. 
 
Directors are remunerated in the form of fees, payable quarterly in arrears, to 
the Director personally. No Directors have been paid additional remuneration by 
the Company outside their normal Director's fees and expenses. 
 
In the year ended 30 September 2019 the Directors received the following annual 
remuneration in the form of Directors' fees: 
 
Claire Whittet (Chair of the Board)                                               GBP42,000 
 
Christopher Legge (Audit and Risk Committee Chairman)                             GBP37,000 
 
Ian Martin (MEC Chairman)                                                         GBP32,000 
 
Total                                                                            GBP111,000 
 
 
As discussed in the Directors' Report, directors fees increased from 1 October 
2019. 
 
Appropriate Directors' and Officers' liability insurance cover is maintained by 
the Company on behalf of the Directors. 
 
The Directors were appointed as non-executive Directors by letters issued in 
February and July 2014. Each Director's appointment letter provides that, upon 
the termination of his/her appointment, that he/she must resign in writing and 
all records remain the property of the Company. The Directors' appointments can 
be terminated in accordance with the Articles and without compensation. 
 
There is no notice period specified in the Articles for the removal of 
Directors. The Articles provide that the office of Director shall be terminated 
by, among other things: (a) written resignation; (b) unauthorised absences from 
board meetings for six months or more; (c) unanimous written request of the 
other Directors; and (d) an ordinary resolution of the Company. 
 
Under the terms of their appointment, each Director is required to retire by 

rotation and be subject to re-election at least every three years but have 
opted for annual re-election. The Directors are required to seek re-election if 
they have already served for more than nine years. The Company may terminate 
the appointment of a Director immediately on serving written notice and no 
compensation is payable upon termination of office as a director of the Company 
becoming effective. 
 
The amounts payable to Directors shown in note 14 to the Financial Statements 
are for services as non-executive Directors. 
 
No Director has a service contract with the Company, nor are any such contracts 
proposed. 
 
Signed on behalf of the Board of Directors on 12 December 2019 by: 
 
Claire Whittet 
 
Chair 
 
Christopher Legge 
 
Director 
 
AUDIT AND RISK COMMITTEE REPORT 
 
We present the Audit and Risk Committee's Report, setting out the 
responsibilities of the Audit and Risk Committee and its key activities for the 
year ended 30 September 2019. 
 
The Audit and Risk Committee has scrutinised the appropriateness of the 
Company's system of risk management and internal financial and operating 
controls, the robustness and integrity of the Company's financial reporting, 
along with the external audit process. The Audit and Risk Committee has devoted 
time to ensuring that controls and processes have been properly established, 
documented and implemented. 
 
During the course of the year, the information that the Audit and Risk 
Committee has received has been timely and clear and has enabled the Committee 
to discharge its duties effectively. 
 
The Audit and Risk Committee is supportive of the latest UK Code 
recommendations and other corporate governance organisations such as the AIC, 
and believes that the revised AIC Code, when issued, will allow the Audit and 
Risk Committee to further strengthen its role as a key independent oversight 
Committee. 
 
A new version of the UK Code was issued during 2018 and was effective from 1 
January 2019. The Audit and Risk Committee has considered the impact on its 
responsibilities with the Company and is well placed to ensure compliance. 
 
Role and responsibilities 
 
The primary function of the Audit and Risk Committee is to assist the Board in 
fulfilling its oversight responsibilities. This includes reviewing the 
financial reports and other financial information and any significant financial 
judgement contained therein, before publication. 
 
In addition, the Audit and Risk Committee reviews the systems of internal 
financial and operating controls on a continuing basis that the Administrator, 
Portfolio Manager, AIFM, and Custodian and Depositary and the Board have 
established with respect to finance, accounting, risk management, compliance, 
fraud and audit. The Audit and Risk Committee also reviews the accounting and 
financial reporting processes, along with reviewing the roles, independence and 
effectiveness of the external auditor. 
 
The ultimate responsibility for reviewing and approving the Annual and Interim 
Financial Statements remain with the Board. 
 
The Audit and Risk Committee's full terms of reference can be obtained by 
contacting the Company's Administrator. 
 
Risk management and internal control 
 
The Board, as a whole, considers the nature and extent of the Company's risk 
management framework and the risk profile that is acceptable in order to 
achieve the Company's strategic objectives. As a result, it is considered that 
the Board has fulfilled its obligations under the AIC Code. 
 
The Audit and Risk Committee continues to be responsible for reviewing the 
adequacy and effectiveness of the Company's on-going risk management systems 
and processes. Its system of internal controls, along with its design and 
operating effectiveness, is subject to review by the Audit and Risk Committee 
through reports received from the Portfolio Manager, AIFM and Custodian and 
Depositary, along with those from the Administrator and external auditor. 
 
Fraud, Bribery and Corruption 
 
The Board has relied on the overarching requirement placed on the service 
providers under the relevant agreements to comply with applicable law, 
including anti-bribery laws. A review of the service provider policies took 
place at the Management Engagement Committee Meeting on 4 July 2019. The Board 
receives confirmation from all service providers that there has been no fraud, 
bribery or corruption. 
 
Financial reporting and significant financial issues 
 
The Audit and Risk Committee assesses whether suitable accounting policies have 
been adopted and whether the Portfolio Manager has made appropriate estimates 
and judgements. The Audit and Risk Committee reviews accounting papers prepared 
by the Portfolio Manager and Administrator which provides details on the main 
financial reporting judgements. 
 
The Audit and Risk Committee also reviews reports by the external auditors 
which highlight any issues with respect to the work undertaken on the audit. 
 
The significant issues considered during the year by the Audit and Risk 
Committee in relation to the Financial Statements and how they were addressed 
are detailed below: 
 
(i) Valuation of investments: 
 
The Company's investments had a fair value of GBP158,334,767 as at 30 September 
2019 (30 September 2018: GBP162,829,994) and represent a substantial portion of 
net assets of the Company. As such this is the largest factor in relation to 
the consideration of the Financial Statements. These investments are valued in 
accordance with the Accounting Policies set out in note 2 and note 3 to the 
Financial Statements. The Audit and Risk Committee considered the valuation of 
the investments held by the Company as at 30 September 2019 to be reasonable 
based on information provided by the Portfolio Manager, AIFM, Administrator, 
Custodian and Depositary on their processes for the valuation of these 
investments. 
 
(ii) Income Recognition: 
 
The Audit and Risk Committee considered the calculation of income from 
investments recorded in the Financial Statements as at 30 September 2019. As 
disclosed in note 3(ii)(b) of the Notes to the Financial Statements, the 
estimated life of Credit Securities is determined by the Portfolio Manager, 
impacting the effective interest rate of the Credit Securities which in turn 
impacts the calculation of income from investments. The Audit and Risk 
Committee reviews the Portfolio Manager's processes at least annually for 
determining the expected life of the Company's investments and have found them 
to be reasonable based on the explanations provided and information obtained 
from the Portfolio Manager. The Auditor also reviews the processes and 
methodology supporting them. The Audit and Risk Committee was therefore 
satisfied that income was appropriately stated in all material aspects in the 
Financial Statements. 
 
Following a review of the presentations and reports from the Portfolio Manager 
and Administrator and consulting where necessary with the external auditor, the 
Audit and Risk Committee is satisfied that the Financial Statements 
appropriately address the critical judgements and key estimates (both in 
respect to the amounts reported and the disclosures). The Audit and Risk 
Committee is also satisfied that the significant assumptions used for 
determining the value of assets and liabilities have been appropriately 
scrutinised, challenged and are sufficiently robust. 
 
The Company's reporting currency is Sterling while a significant proportion of 
the investments owned are denominated in foreign currencies. The Company 
operates a hedging strategy designed to mitigate the impact of foreign currency 
rate changes on the performance of the Company. The Audit and Risk Committee 
has used information from the Administrator and Portfolio Manager to satisfy 
itself concerning the effectiveness of the hedging process, as well as to 
confirm that realised and unrealised foreign currency gains and losses have 
been correctly recorded. 
 
At the Audit and Risk Committee meeting to review the Annual Report and Audited 
Financial Statements, the Audit and Risk Committee received and reviewed a 
report on the audit from the external auditors. On the basis of its review of 
this report, the Audit and Risk Committee is satisfied that the external 
auditor has fulfilled its responsibilities with diligence and professional 
scepticism. The Audit and Risk Committee advised the Board that these Annual 
Financial Statements, taken as a whole, are fair, balanced and understandable. 
 
The Audit and Risk Committee is satisfied that the judgements made by the 
Portfolio Manager and Administrator are reasonable, and that appropriate 
disclosures have been included in the Financial Statements. 
 
External Auditors 
 
The Audit and Risk Committee has responsibility for making a recommendation on 
the appointment, re-appointment and removal of the external auditors. 
PricewaterhouseCoopers CI LLP ("PwC") were appointed as the first auditors of 
the Company. During the year the Audit and Risk Committee received and reviewed 
audit plans and reports from the external auditors. It is standard practice for 
the external auditors to meet privately with the Audit and Risk Committee 
without the Portfolio Manager and other service providers being present at each 
Audit and Risk Committee meeting. 
 
To assess the effectiveness of the external audit process, the auditors were 
asked to articulate the steps that they have taken to ensure objectivity and 
independence, including where the auditor provides non-audit services. The 
Audit and Risk Committee monitors the auditors' performance, behaviour and 
effectiveness during the exercise of their duties, which informs the decision 
to recommend reappointment on an annual basis. 
 
The Company generally does not utilise external auditors for internal audit 
purposes, secondments or valuation advice. Services which are in the nature of 
audit, such as tax compliance, private letter rulings, accounting advice and 
disclosure advice are normally permitted but all non-audit services are 

required to be pre-approved by the Audit and Risk Committee. 
 
The FRC Ethical Standards require that the audit engagement leaders on listed 
entities are rotated at least every 5 years. Roland Mills replaced Evelyn Brady 
as audit engagement leader following the signing of the Annual Report and 
Audited Financial Statements for the year ended 30 September 2018. 
 
The following table summarises the remuneration paid to PwC and to other PwC 
member firms for audit and non-audit services in respect of the year ended 30 
September 2019 and for the year ended 30 September 2018. 
 
                                                              Year ended      Year ended 
                                                                30.09.19        30.09.18 
 
PricewaterhouseCoopers CI LLP - Assurance work                         GBP               GBP 
 
- Annual audit of the Company                                     54,000          51,500 
 
- Interim review                                                  17,000          16,000 
 
PricewaterhouseCoopers CI LLP - Non assurance work 
 
- Tax consulting and compliance services                          15,000          15,000 
 
- Ratio of assurance to non-assurance work                         83% /           82% / 
                                                                     17%             18% 
 
The Company does not qualify as an EU Public Interest Entity and is therefore 
not subject to the restrictions on non-audit services provided by its auditor 
under this regime. 
 
For any questions on the activities of the Audit and Risk Committee not 
addressed in the foregoing, a member of the Audit and Risk Committee remains 
available to attend each AGM to respond to such questions. 
 
The Audit and Risk Committee and Risk Report was approved by the Audit and Risk 
Committee on 12 December 2019 and signed on behalf by: 
 
Christopher Legge 
 
Chairman, Audit and Risk Committee 
 
ALTERNATIVE INVESTMENT MANAGER'S REPORT 
 
Maitland Institutional Services Ltd acts as the Alternative Investment Fund 
Manager ("AIFM") of TwentyFour Select Monthly Income Fund Limited ("the 
Company") providing portfolio management and risk management services to the 
Company. 
 
The AIFM has delegated the following of its alternative investment fund 
management functions: 
 
·    It has delegated the portfolio management function for listed investments 
to TwentyFour Asset Management LLP. 
 
·    It has delegated the portfolio management function for unlisted 
investments to TwentyFour Asset Management LLP. 
 
The AIFM is required by the Alternative Investment Fund Managers Directive 
2011, 61/EU (the "AIFM Directive") and all applicable rules and regulations 
implementing the AIFM Directive in the UK (the "AIFM" Rules): 
 
·    To make the annual report available to investors and to ensure that the 
annual report is prepared in accordance with applicable accounting standards, 
the Company's articles of incorporation and the AIFM Rules and that the annual 
report is audited in accordance with International Standards on Auditing; 
 
·    Be responsible for the proper valuation of the Company's assets, the 
calculation of the Company's net asset value and the publication of the 
Company's net asset value; and, 
 
·   To make available to the Company's shareholders, a description of all fees, 
charges and expenses and the amounts thereof, which have been directly or 
indirectly borne by them, 
 
·    Ensure that the Company's shareholders have the ability to redeem their 
share in the capital of the Company in a manner consistent with the principle 
of fair treatment of investors under the AIFM Rules and in accordance with the 
Company's redemption policy and its obligations. 
 
The AIFM is required to ensure that the annual report contains a report that 
shall include a fair and balanced review of the activities and performance of 
the Company, containing also a description of the principal risks and 
investment or economic uncertainties that the Company might face. 
 
AIFM Remuneration 
 
The AIFM is subject to a remuneration policy which meets the requirements of 
the Alternative Investment Fund Managers Directive (AIFMD) as out in SYSC 19B 
of the FCA Handbook. 
 
The policy is designed to ensure practices for employee remuneration are 
consistent with, and promote, sound and effective risk management.  It does not 
encourage risk-taking which is inconsistent with the risk profiles, rules or 
instrument of incorporation of the funds managed, and does not impair the 
AIFM's compliance with its duty to act in the best interests of the funds it 
manages. 
 
The AIFM has reviewed the Remuneration Policy and its application in the last 
year which has resulted in no material changes to the policy or irregularities 
to process. 
 
The remuneration disclosure does not include portfolio management activities as 
these are undertaken by various third party investment managers appointed by 
the AIFM.  The investment manager is required to make separate public 
disclosure as part of their obligations under the Capital Requirements 
Directive. 
 
The AIFM is required to disclose the total remuneration it pays to its staff 
during the financial year of the fund, split into fixed and variable 
remuneration, with separate aggregate disclosure for staff whose actions may 
have a material impact to the risk profile of a fund or the AIFM itself.  This 
includes executives, senior risk and compliance staff and certain senior 
managers. 
 
Year ending 30th           Number of           Fixed         Variable        Total 
September 2019           beneficiaries 
 
Total remuneration             75          GBP5,162,113.68     GBP67,544     GBP5,229,657.68 
paid by the AIFM 
during the year 
 
Remuneration paid to           6            GBP798,329.21      GBP32,694      GBP831,023.21 
employees who are 
material risk takers 
 
Further information is available in the AIFM's Remuneration Policy Statement 
which can be obtained from www.maitlandgroup.com or, on request free of charge, 
by writing to the registered office of the AIFM. 
 
In so far as the AIFM is aware: 
 
·    There is no relevant audit information of which the Company's auditors or 
the Company's Board of directors are unaware; and 
 
·    The AIFM has taken all steps that it ought to have taken to make itself 
aware of any relevant audit information and to establish that the auditors are 
aware of that information. 
 
We hereby certify that this report is made on behalf of the AIFM, Maitland 
Institutional Services Ltd. 
 
R Ackermann 
 
P.F. Brickley 
 
Directors 
 
Maitland Institutional Services Ltd 
 
12 December 2019 
 
DEPOSITARY STATEMENT 
 
for the year ended 30 September 2019 
 
Report of the Depositary to the Shareholders 
 
Northern Trust (Guernsey) Limited has been appointed as Depositary to 
TwentyFour Select Monthly Income Fund Limited (the "Company") in accordance 
with the requirements of Article 36 and Articles 21(7), (8) and (9) of the 
Directive 2011/61/EU of the European Parliament and of the Council of 8 June 
2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC 
and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (the 
"AIFM Directive"). 
 
We have enquired into the conduct of Maitland Institutional Services Limited 
(the "AIFM") and the Company for the year ended 30 September 2019, in our 
capacity as Depositary to the Company. 
 
This report including the review provided below has been prepared for and 
solely for the Shareholders in the Company. We do not, in giving this report, 
accept or assume responsibility for any other purpose or to any other person to 
whom this report is shown. 
 
Our obligations as Depositary are stipulated in the relevant provisions of the 
AIFM Directive and the relevant sections of Commission Delegated Regulation 
(EU) No 231/2013 (collectively the "AIFMD legislation") and The Authorised 
Closed Ended Investment Scheme Rules 2008. 
 
Amongst these obligations is the requirement to enquire into the conduct of the 
AIFM and the Company and their delegates in each annual accounting period. 
 
Our report shall state whether, in our view, the Company has been managed in 
that period in accordance with the AIFMD legislation. It is the overall 
responsibility of the AIFM and the Company to comply with these provisions. If 
the AIFM, the Company or their delegates have not so complied, we as the 
Depositary will state why this is the case and outline the steps which we have 
taken to rectify the situation. 
 
The Depositary and its affiliates is or may be involved in other financial and 
professional activities which may on occasion cause a conflict of interest with 
its roles with respect to the Company. The Depositary will take reasonable care 
to ensure that the performance of its duties will not be impaired by any such 
involvement and that any conflicts which may arise will be resolved fairly and 
any transactions between the Depositary and its affiliates and the Company 
shall be carried out as if effected on normal commercial terms negotiated at 
arm's length and in the best interests of Shareholders. 
 
Basis of Depositary Review 
 
The Depositary conducts such reviews as it, in its reasonable discretion, 
considers necessary in order to comply with its obligations and to ensure that, 
in all material respects, the Company has been managed (i) in accordance with 
the limitations imposed on its investment and borrowing powers by the 
provisions of its constitutional documentation and the appropriate regulations 
and (ii) otherwise in accordance with the constitutional documentation and the 
appropriate regulations. Such reviews vary based on the type of Fund, the 
assets in which a Fund invests and the processes used, or experts required, in 
order to value such assets. 
 
Review 
 
In our view, the Company has been managed during the period, in all material 
respects: 
 
(i) in accordance with the limitations imposed on the investment and borrowing 
powers of the 
 

Company by the constitutional document; and by the AIFMD legislation; and 
 
(ii) otherwise in accordance with the provisions of the constitutional 
document; and the AIFMD 
 
legislation. 
 
For and on behalf of 
 
Northern Trust (Guernsey) Limited 
 
12 December 2019 
 
INDEPENT AUDITOR'S REPORT 
 
TO THE MEMBERS OF TWENTYFOUR SELECT MONTHLY INCOME FUND LIMITED 
 
Report on the audit of the financial statements 
 
______________________________________________________________________________________ 
 
Our opinion 
 
In our opinion, the financial statements give a true and fair view of the 
financial position of TwentyFour Select Monthly Income Fund Limited (the 
"Company") as at 30 September 2019, and of its financial performance and its 
cash flows for the year then ended in accordance with International Financial 
Reporting Standards and have been properly prepared in accordance with the 
requirements of The Companies (Guernsey) Law, 2008. 
 
______________________________________________________________________________________ 
What we have audited 
 
The Company's financial statements comprise: 
 
  * the statement of financial position as at 30 September 2019; 
  * the statement of comprehensive income for the year then ended; 
  * the statement of changes in equity for the year then ended; 
  * the statement of cash flows for the year then ended; and 
  * the notes to the financial statements, which include a summary of 
    significant accounting policies. 
 
______________________________________________________________________________________ 
 
Basis for opinion 
 
We conducted our audit in accordance with International Standards on Auditing 
("ISAs"). Our responsibilities under those standards are further described in 
the Auditor's responsibilities for the audit of the financial statements 
section of our report. 
 
We believe that the audit evidence we have obtained is sufficient and 
appropriate to provide a basis for our opinion. 
 
______________________________________________________________________________________ 
Independence 
 
We are independent of the Company in accordance with the ethical requirements 
that are relevant to our audit of the financial statements of the Company, as 
required by the Crown Dependencies' Audit Rules and Guidance. We have fulfilled 
our other ethical responsibilities in accordance with these requirements. 
 
______________________________________________________________________________________ 
 
Our audit approach 
 
Overview 
 
Materiality 
 
 - Overall materiality was GBP3.4 million which represents 2% of net assets 
 
Audit scope 
 
 - The Company is incorporated and based in Guernsey. 
 
- We conducted our audit of the financial statements from information provided 
by Northern Trust International Fund Administration Services (Guernsey) Limited 
(the "Administrator") to whom the Board of directors has delegated the 
administration function. The Company engages TwentyFour Asset Management LLP 
(the "Portfolio Manager") to manage the investment portfolio. We had 
significant interaction with both the Administrator and the Portfolio Manager 
during our audit. 
 
We conducted all of our audit work in Guernsey. 
 
Key audit matters 
 
- Valuation of investments. 
 
Audit scope 
 
As part of designing our audit, we determined materiality and assessed the 
risks of material misstatement in the financial statements. In particular, we 
considered where the directors made subjective judgements; for example, in 
respect of significant accounting estimates that involved making assumptions 
and considering future events that are inherently uncertain. As in all of our 
audits, we also addressed the risk of management override of internal controls, 
including among other matters, consideration of whether there was evidence of 
bias that represented a risk of material misstatement due to fraud. 
 
We tailored the scope of our audit in order to perform sufficient work to 
enable us to provide an opinion on the financial statements as a whole, taking 
into account the structure of the Company, the accounting processes and 
controls, and the industry in which the Company operates. 
 
______________________________________________________________________________________ 
 
Materiality 
 
The scope of our audit was influenced by our application of materiality. An 
audit is designed to obtain reasonable assurance whether the financial 
statements are free from material misstatement. Misstatements may arise due to 
fraud or error. They are considered material if individually or in aggregate, 
they could reasonably be expected to influence the economic decisions of users 
taken on the basis of the financial statements. 
 
Based on our professional judgement, we determined certain quantitative 
thresholds for materiality, including the overall Company materiality for the 
financial statements as a whole as set out in the table below. These, together 
with qualitative considerations, helped us to determine the scope of our audit 
and the nature, timing and extent of our audit procedures and to evaluate the 
effect of misstatements, both individually and in aggregate on the financial 
statements as a whole. 
 
Overall Company materiality                 GBP3.4 million (2018: GBP3.4 million) 
 
How we determined it                        2% of net assets 
 
Rationale for the materiality benchmark     We believe that net assets is the most 
                                            appropriate benchmark because this is the 
                                            key metric of interest to investors. 
 
We agreed with the Audit Committee that we would report to them misstatements 
identified during our audit above GBP168,000, as well as misstatements below that 
amount that, in our view, warranted reporting for qualitative reasons. 
 
______________________________________________________________________________________ 
 
Key audit matters 
 
Key audit matters are those matters that, in our professional judgment, were of 
most significance in our audit of the financial statements of the current 
period. These matters were addressed in the context of our audit of the 
financial statements as a whole, and in forming our opinion thereon, and we do 
not provide a separate opinion on these matters. 
 
Key audit matter                 How our audit addressed the Key audit matter 
 
Valuation of investments         -      We understood and evaluated the internal 
Investments are designated as    control environment in place at the Administrator and 
financial assets at fair value   the Portfolio Manager over the valuation of the 
through profit or loss and are   investment portfolio. 
disclosed separately on the      -      We assessed the accounting policy for 
Statement of Financial Position  investment valuation compliance with International 
(GBP158.3 million). Investments    Financial Reporting Standards. 
comprise a diverse portfolio of  -      We performed testing to check that the 
credit securities and are fair   investment valuations had been accounted for and 
valued in accordance with the    applied consistently in accordance with the stated 
policies set out in note 2(e),   accounting policy. 
and the fair value of            -      We tested the valuation of investments by using 
investments and movement therein our asset pricing team in the PwC UK network firm to 
are further disclosed in notes 9 reprice the portfolio. Prices were obtained by our 
and 17 respectively.             pricing team from a range of sources, including 
                                 exchange traded and consensus prices. 
Investments represent the most 
significant balance on the       Whilst we sought to reprice the entire portfolio, due 
Statement of Financial Position  to licensee access restrictions, for 6 of the 110 
and, due to the market liquidity investments (representing 6% of the net asset value) 
and assumptions underlying each  our PwC pricing team were unable to obtain prices. The 
security, the valuations are     engagement team sought supporting evidence for these 
subject to management estimate,  prices from the Administrator and/or the Portfolio 
as detailed under note 3(ii)(a). Manager and in doing so, we also assessed the 
                                 independence, reputation and reliability of the 
Owing to the level of            sources of the supporting evidence provided in these 
subjectivity that could be       instances. 
applied in fair valuing          -      In order to determine the ongoing reliability 
investments, the risk of         of the investment valuations from period to period, we 
manipulation or error could be   also, for a sample of disposals, compared the sales 
material and as a result we have transaction price to the most recently recorded 
designated the valuation of      valuation prior to the disposal, which allowed us to 
investments as a significant     assess the reliability of the valuation data at that 
audit risk.                      point. 
                                 -      During the year the Board adopted a new 
                                 investment fair value hierarchy philosophy (the 
                                 hierarchy disclosure required by IFRS), which saw more 
                                 granularity in the determination of what observable 
                                 inputs are used in determining whether a price of an 
                                 investment is Level 3 (based on unobservable data) or 
                                 Level 2 (unquoted but based on observable data for the 
                                 same/similar instruments). 
 
                                 We obtained the Board approved fair value hierarchy 
                                 philosophy and we engaged with the Board and the 
                                 Portfolio Manager to understand the drivers for 
                                 amending the principles therein.We also tested the 
                                 Portfolio Manager's year-end process by evaluating a 

                                 sample of the fair value hierarchy changes from Level 
                                 3 to Level 2. 
 
                                 No matters or material differences were identified in 
                                 our testing which required reporting to those charged 
                                 with governance or that would lead us to believe that 
                                 the portfolio of investments does not materially 
                                 reflect fair value. 
 
Other information 
 
The directors are responsible for the other information. The other information 
comprises all the information included in the Annual Report and Audited 
Financial Statements but does not include the financial statements and our 
auditor's report thereon. 
 
Our opinion on the financial statements does not cover the other information 
and we do not express any form of assurance conclusion thereon. 
 
In connection with our audit of the financial statements, our responsibility is 
to read the other information identified above and, in doing so, consider 
whether the other information is materially inconsistent with the financial 
statements or our knowledge obtained in the audit, or otherwise appears to be 
materially misstated.  If, based on the work we have performed, we conclude 
that there is a material misstatement of this other information, we are 
required to report that fact. We have nothing to report in this regard. 
 
______________________________________________________________________________________ 
 
Responsibilities of the directors for the financial statements 
 
The directors are responsible for the preparation of financial statements that 
give a true and fair view in accordance with International Financial Reporting 
Standards, the requirements of Guernsey law and for such internal control as 
the directors determine is necessary to enable the preparation of financial 
statements that are free from material misstatement, whether due to fraud or 
error. 
 
In preparing the financial statements, the directors are responsible for 
assessing the Company's ability to continue as a going concern, disclosing, as 
applicable, matters relating to going concern and using the going concern basis 
of accounting unless the directors either intend to liquidate the Company or to 
cease operations, or have no realistic alternative but to do so. 
 
______________________________________________________________________________________ 
 
Auditor's responsibilities for the audit of the financial statements 
 
Our objectives are to obtain reasonable assurance about whether the financial 
statements as a whole are free from material misstatement, whether due to fraud 
or error, and to issue an auditor's report that includes our opinion. 
Reasonable assurance is a high level of assurance, but is not a guarantee that 
an audit conducted in accordance with ISAs will always detect a material 
misstatement when it exists. Misstatements can arise from fraud or error and 
are considered material if, individually or in aggregate, they could reasonably 
be expected to influence the economic decisions of users taken on the basis of 
these financial statements. 
 
As part of an audit in accordance with ISAs, we exercise professional judgement 
and maintain professional scepticism throughout the audit. We also: 
 
-     Identify and assess the risks of material misstatement of the financial 
statements, whether due to fraud or error, design and perform audit procedures 
responsive to those risks, and obtain audit evidence that is sufficient and 
appropriate to provide a basis for our opinion. The risk of not detecting a 
material misstatement resulting from fraud is higher than for one resulting 
from error, as fraud may involve collusion, forgery, intentional omissions, 
misrepresentations, or the override of internal control; 
 
-     Obtain an understanding of internal control relevant to the audit in 
order to design audit procedures that are appropriate in the circumstances, but 
not for the purpose of expressing an opinion on the effectiveness of the 
Company's internal control; 
 
-     Evaluate the appropriateness of accounting policies used and the 
reasonableness of accounting estimates and related disclosures made by the 
directors; 
 
-     Conclude on the appropriateness of the directors' use of the going 
concern basis of accounting and, based on the audit evidence obtained, whether 
a material uncertainty exists related to events or conditions that may cast 
significant doubt on the Company's ability to continue as a going concern. If 
we conclude that a material uncertainty exists, we are required to draw 
attention in our auditor's report to the related disclosures in the financial 
statements or, if such disclosures are inadequate, to modify our opinion. Our 
conclusions are based on the audit evidence obtained up to the date of our 
auditor's report. However, future events or conditions may cause the Company to 
cease to continue as a going concern; and 
 
-     Evaluate the overall presentation, structure and content of the financial 
statements, including the disclosures, and whether the financial statements 
represent the underlying transactions and events in a manner that achieves fair 
presentation. 
 
We communicate with those charged with governance regarding, among other 
matters, the planned scope and timing of the audit and significant audit 
findings, including any significant deficiencies in internal control that we 
identify during our audit. 
 
We also provide those charged with governance with a statement that we have 
complied with relevant ethical requirements regarding independence, and to 
communicate with them all relationships and other matters that may reasonably 
be thought to bear on our independence, and where applicable, related 
safeguards. 
 
From the matters communicated with those charged with governance, we determine 
those matters that were of most significance in the audit of the financial 
statements of the current period and are therefore the key audit matters. We 
describe these matters in our auditor's report unless law or regulation 
precludes public disclosure about the matter or when, in extremely rare 
circumstances, we determine that a matter should not be communicated in our 
report because the adverse consequences of doing so would reasonably be 
expected to outweigh the public interest benefits of such communication. 
 
______________________________________________________________________________________ 
Report on other legal and regulatory requirements 
 
Under The Companies (Guernsey) Law, 2008 we are required to report to you if, 
in our opinion: 
 
-     we have not received all the information and explanations we require for 
our audit; 
 
-     proper accounting records have not been kept; or 
 
-     the financial statements are not in agreement with the accounting 
records. 
 
We have no exceptions to report arising from this responsibility. 
 
We have nothing to report in respect of the following matters which we have 
reviewed: 
 
-     the Director's Report in relation to going concern. As noted in the 
Directors' statement, the directors have concluded that it is appropriate to 
adopt the going concern basis in preparing the financial statements. The going 
concern basis presumes that the Company has adequate resources to remain in 
operation, and that the directors intend it to do so, for at least one year 
from the date the financial statements were signed. As part of our audit we 
have concluded that the directors' use of the going concern basis is 
appropriate. However, because not all future events or conditions can be 
predicted, these statements are not a guarantee as to the Company's ability to 
continue as a going concern; 
 
-     the Directors' statement that they have carried out a robust assessment 
of the principal risks facing the Company and the directors' statement in 
relation to the longer-term viability of the Company. Our review was 
substantially less in scope than an audit and only consisted of making 
inquiries and considering the directors' process supporting their statements; 
checking that the statements are in alignment with the relevant provisions of 
the UK Corporate Governance Code; and considering whether the statements are 
consistent with the knowledge acquired by us in the course of performing our 
audit; and 
 
-     the part of the Corporate Governance Statement relating to the Company's 
compliance with the ten further provisions of the UK Corporate Governance Code 
specified for our review. 
 
This report, including the opinion, has been prepared for and only for the 
members as a body in accordance with Section 262 of The Companies (Guernsey) 
Law, 2008 and for no other purpose.  We do not, in giving this opinion, 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. 
 
Roland Mills 
 
For and on behalf of PricewaterhouseCoopers CI LLP 
 
Chartered Accountants and Recognised Auditor 
 
Guernsey, Channel Islands 
 
12 December 2019 
 
STATEMENT OF COMPREHENSIVE INCOME 
 
for the year ended 30 September 2019 
 
                                                           Year ended        Year ended 
                                                             30.09.19          30.09.18 
 
                                        Notes                       GBP                 GBP 
 
Income                                                    (Unaudited)       (Unaudited) 
 
Interest income on financial                               12,308,151        11,969,011 
assets at fair value through 
profit and loss 
 
Net foreign currency losses               8                  (64,175)       (1,289,838) 
 
Net losses on financial assets 
 
at fair value through profit or           9               (2,967,024)       (3,831,521) 
loss 
 

Total income                                                9,276,952         6,847,652 
 
Expenses 
 
Portfolio management fees                 14              (1,265,691)       (1,201,499) 
 
Directors' fees                           14                (111,000)         (111,000) 
 
Administration fees                       15                (119,705)         (119,623) 
 
AIFM management fees                      15                 (80,792)          (77,924) 
 
Audit fee                                                    (54,000)          (49,975) 
 
Custody fees                              15                 (19,232)          (18,150) 
 
Broker fees                                                  (50,000)          (53,452) 
 
Depositary fees                           15                 (27,861)          (26,523) 
 
Legal fees                                                   (68,567)          (71,162) 
 
Other expenses                                               (96,972)         (168,151) 
 
Total expenses                                            (1,893,820)       (1,897,459) 
 
Total comprehensive income for the                          7,383,132         4,950,193 
year 
 
Earnings per Ordinary Share - 
 
Basic & Diluted                           4                     0.040             0.029 
 
 
All items in the above statement derive from continuing operations. 
 
The accompanying notes are an integral part of these Financial Statements. 
 
STATEMENT OF FINANCIAL POSITION 
 
as at 30 September 2019 
 
                                                                 30.09.19        30.09.18 
 
Assets                                             Notes                GBP               GBP 
 
Current assets                                                (Unaudited)       (Audited) 
 
Financial assets at fair value through profit and 
loss 
 
 - Investments                                       9        158,334,767     162,829,994 
 
 - Derivative assets: Forward currency contracts    16            686,397          10,686 
 
Amounts due from broker                                           629,488       3,019,184 
 
Other receivables                                   10          2,717,968       2,984,168 
 
Cash and cash equivalents                                       7,197,759       6,834,535 
 
Total current assets                                          169,566,379     175,678,567 
 
Liabilities 
 
Current liabilities 
 
Amounts due to broker                                             444,938       4,810,956 
 
Other payables                                      11            282,609         395,189 
 
Financial liabilities at fair value through 
profit and loss 
 
 - Derivative liabilities: Forward currency         16             34,760         729,332 
contracts 
 
Interest income received in advance                               976,786               - 
 
Total current liabilities                                       1,739,093       5,935,477 
 
Total net assets                                              167,827,286     169,743,090 
 
Equity 
 
Share capital account                               12        180,201,379     177,393,446 
 
Retained earnings                                            (12,374,093)     (7,650,356) 
 
Total equity                                                  167,827,286     169,743,090 
 
Ordinary Shares in issue                            12        185,179,151     182,179,151 
 
Net Asset Value per Ordinary Share (pence)           6              90.63           93.17 
 
The Financial Statements were approved by the Board of Directors on 12 December 
2019 and signed on its behalf by: 
 
Claire Whittet 
 
Chair 
 
Christopher Legge 
 
Director 
 
The accompanying notes are an integral part of these Financial Statements. 
 
STATEMENT OF CHANGES IN EQUITY 
 
for the year ended 30 September 2019 
 
                                             Share capital       Retained 
 
                                                   account       earnings          Total 
 
                                      Notes              GBP              GBP              GBP 
 
                                               (Unaudited)    (Unaudited)    (Unaudited) 
 
Balance at 1 October 2018                      177,393,446    (7,650,356)    169,743,090 
 
Issue of shares                                  2,847,700              -      2,847,700 
 
Share issue costs                                 (33,602)              -       (33,602) 
 
Income equalisation on new issues       5          (6,165)          6,165              - 
 
Distributions paid                                       -   (12,113,034)   (12,113,034) 
 
Total comprehensive income for the                       -      7,383,132      7,383,132 
year 
 
Balance at 30 September 2019                   180,201,379   (12,374,093)    167,827,286 
 
 
 
                                            Share capital       Retained 
 
                                                  account       earnings          Total 
 
                                                        GBP              GBP              GBP 
 
                                              (Unaudited)    (Unaudited)    (Unaudited) 
 
Balance at 1 October 2017                     157,001,121    (1,793,164)    155,207,957 
 
Issue of shares                                20,817,500              -     20,817,500 
 
Share issue costs                               (244,606)              -      (244,606) 
 
Income equalisation on new issues      5        (180,569)        180,569              - 
 
Distributions paid                                      -   (10,987,954)   (10,987,954) 
 
Total comprehensive income for the                      -      4,950,193      4,950,193 
year 
 
Balance at 30 September 2018                  177,393,446    (7,650,356)    169,743,090 
 
The accompanying notes are an integral part of these Financial Statements. 
 
STATEMENT OF CASH FLOWS 
 
for the year ended 30 September 2019 
 
                                                           Year ended        Year ended 
                                                             30.09.19          30.09.18 
 
                                                Notes               GBP                 GBP 
 
Cash flows from/(used in) operating activities            (Unaudited)       (Unaudited) 
 
Total comprehensive income for the year                     7,383,132         4,950,193 
 
Adjustments for: 
 
Net losses on financial assets at fair value      9         2,967,024         3,831,521 
through 
   profit or loss 
 
Amortisation adjustment under effective           9         (511,152)         (783,913) 
interest 
   rate method 
 
Unrealised (gains)/losses on derivatives          8       (1,370,283)           613,703 
 
Exchange gain on cash and cash equivalents                    (4,009)           (5,502) 
 
Deacrease/(increase) in other receivables                     266,200         (221,218) 
 
Increase/(decrease) in other payables                         864,206          (47,510) 
 
Purchase of investments                                  (65,710,201)      (71,864,425) 
 
Sale of investments                                        65,773,234        52,601,891 
 
Net cash generated from/(used in) operating activities      9,658,151      (10,925,260) 
 
Cash flows (used in)/from financing activities 
 
Proceeds from issue of ordinary shares           12         2,847,700        20,817,500 
 
Share issue costs                                12          (33,602)         (244,606) 
 
Dividend distribution                                    (12,113,034)      (10,987,956) 
 
Net cash (outflow)/inflow from financing                  (9,298,936)         9,584,938 
activities 
 
Increase/(decrease) in cash and cash                          359,215       (1,340,322) 
equivalents 
 
Cash and cash equivalents at beginning of year              6,834,535         8,169,355 
 
Exchange gain on cash and cash equivalents                      4,009             5,502 
 
Cash and cash equivalents at end of year                    7,197,759         6,834,535 
 
The accompanying notes are an integral part of these Financial Statements. 
 
NOTES TO THE FINANCIAL STATEMENTS 
 
for the year ended 30 September 2019 
 
1.   General Information 
 
TwentyFour Select Monthly Income Fund Limited (the "Company") was incorporated 
with limited liability in Guernsey, as a closed-ended investment company on 12 
February 2014. 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 ("LSE") on 10 March 2014. 
The 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) Basis of preparation and Statement of compliance 
 
The Financial Statements have been prepared in accordance with International 
Financial Reporting Standards ("IFRS") as issued by the International 
Accounting Standards Board ("IASB") and are in compliance with the Companies 
(Guernsey) Law, 2008. 
 
b) Presentation of information 
 
The Financial Statements have been prepared on a going concern basis under the 
historical cost convention adjusted to take account of the revaluation of the 
Company's financial assets and liabilities at fair value through profit or 
loss. 
 
c) Standards, amendments and interpretations effective during the year 
 
The following standards, interpretations and amendments were adopted for the 
year ended 30 September 2019: 
 
- IFRS 9 Financial Instruments 
 
- IFRS 15 Revenue from Contracts with Customers 
 
      i) IFRS 9 'Financial Instruments' 
 
IFRS 9 'Financial Instruments' ("IFRS 9") replaces IAS 39 'Financial 
Instruments: Recognition and Measurement' ("IAS 39"). IFRS 9 specifies how an 
entity should classify and measure financial assets`. The standard requires all 

financial assets to be classified on the basis of the entity's business model 
for managing the financial assets and the contractual cash flow characteristics 
of the financial asset. These requirements improve and simplify the approach 
for classification and measurement of financial assets compared with the 
requirements of IAS 39. 
 
The standard also results in one impairment method, replacing the numerous 
impairment methods in IAS 39 that arise from the different classification. 
 
As a result of the adoption of IFRS 9, the Company has adopted consequential 
amendments to IAS 1 'Presentation of Financial Statements', which require: 
 
·    impairment of financial assets to be presented in a separate line item in 
the Statement of Comprehensive Income. Under IAS 39, impairment was recognised 
when losses were incurred. The Company did not previously report any incurred 
losses; and 
 
·    separate presentation in the Statement of Comprehensive Income of interest 
revenue calculated using the effective interest method. 
 
The adoption of IFRS 9 had no material impact on the net assets attributable to 
holders of Ordinary Redeemable Shares of the Company. 
 
Classification and measurement of financial assets and financial liabilities 
 
IFRS 9 contains three principal classification categories for financial assets: 
measured at amortised cost, at fair value through other comprehensive income 
and at fair value through profit or loss ("FVTPL"). The classification of 
financial assets under IFRS 9 is generally based on the business model in which 
a financial asset is managed and its contractual cash flow characteristics. 
IFRS 9 eliminates the previous IAS 39 categories of held to maturity, loans and 
receivables and available for sale. 
 
IFRS 9 largely retains the existing requirements in IAS 39 for the 
classification and measurement of financial liabilities. 
 
The adoption of IFRS 9 has not had a significant effect on the Company's 
accounting policies related to financial liabilities and derivative financial 
instruments. 
 
The following table and the accompanying notes below explain the original 
measurement categories under IAS 39 and the new measurement categories under 
IFRS 9 for each class of the Company's financial assets and liabilities as at 1 
October 2018. 
 
There was no effect of adopting IFRS 9 on the carrying amounts of the financial 
assets as at 1 October 2018 which would relate solely to the new impairment 
requirements. 
 
                                      Original            New    Original          New 
                                classification Classification    carrying     carrying 
                                  under IAS 39   under IFRS 9      amount       amount 
                                                                under IAS   under IFRS 
                                                                       39            9 
 
Financial Assets 
 
Financial assets at fair value                                          GBP            GBP 
through profit or loss: 
 
- Investments*                  Assets at      Assets at      162,829,994  162,829,994 
                                FVTPL          FVTPL 
 
- Derivative assets: Forward    Assets at      Assets at           10,686       10,686 
  currency contracts            FVTPL          FVTPL 
 
Amounts due from Broker         Loans and      Amortised cost   3,019,184    3,019,184 
                                receivables 
 
Other receivables (excluding    Loans and      Amortised cost   2,944,973    2,944,973 
prepayments)                    receivables 
 
Cash and cash                   Loans and      Amortised cost   6,834,535    6,834,535 
equivalents                     receivables 
 
Total Financial Assets                                        175,639,372  175,639,372 
 
Financial Liabilities 
 
Financial liabilities at fair                                           GBP            GBP 
value through profit or loss: 
 
- Derivative liabilities:       Liabilities at Liabilities at     729,332      729,332 
Forward currency contracts      FVPTL          FVPTL 
 
Amounts due to brokers          Other          Amortised cost   4,810,956    4,810,956 
                                financial 
                                liabilities 
 
Other payables                  Other          Amortised cost     395,189      395,189 
                                financial 
                                liabilities 
 
Total Financial                                                 5,935,477    5,935,477 
Liabilities 
 
* Under IAS 39, these financial assets were designated as at FVTPL because they 
were managed on a fair value basis and their performance was monitored on this 
basis. The Company has elected to measure these assets at FVTPL under IFRS 9. 
 
There were no changes to the carrying amounts of the financial assets on 
transition from IAS 39 to IFRS 9. 
 
Impairment of financial assets 
 
IFRS 9 replaces the 'incurred loss' model in IAS 39 with an expected credit 
loss ("ECL") model. Therefore, the carrying amount of other receivables remains 
the same under IFRS 9 as the expected credit losses on the financial assets 
have been assessed as immaterial as noted below. 
 
The new impairment model applies to financial assets measured at amortised cost 
and the standard mandates the use of the simplified approach to calculating the 
expected credit losses for trade receivables. The impairment calculation is 
based on the Company's historical default rates over the expected life of the 
trade receivables and is adjusted for forward-looking estimates. Given the 
historical level of defaults and the credit risk of the investment portfolio, 
there is a negligible impact because of the lifetime expected credit loss to be 
recognised versus the previous impairment model applied by the Company. 
 
Cash and cash equivalents are also subject to the impairment requirements of 
IFRS 9 and the identified impairment loss is also assessed as immaterial. 
 
Transition 
 
The Company applied IFRS 9 prospectively, with an initial application date of 1 
October 2018. The Company has not restated the comparative information, which 
will continue to be reported under IAS 39. 
 
ii) IFRS 15 'Revenue from Contracts with Customers' 
 
IFRS 15 'Revenue from Contracts with Customers' specifies how and when to 
recognise revenue as well as requiring entities to provide users of financial 
statements with more informative, relevant disclosures. The standard provides a 
single, principles based five-step model to be applied to all contracts with 
customers. IFRS 15 is effective for annual reporting periods beginning on or 
after 1 January 2018. Material revenue streams have been reviewed and there has 
not been a material impact on timing of recognition or gross up for principal/ 
agent considerations. 
 
The Company has undertaken a review of its revenue streams and concluded that 
there is no impact on the way in which the Company recognises its revenues as 
all revenues are earned on financial instruments. The Company has applied IFRS 
15 retrospectively although no restatements were required. 
 
d) Standards, amendments and interpretations issued but not yet effective 
 
At the reporting date of these Financial Statements, the following standards, 
interpretations and amendments, which have not been applied in these Financial 
Statements, were in issue but not yet effective: 
 
- IFRS 16 Leases (Effective 1 January 2019) 
 
The Company expects that the adoption of IFRS 16 in the future period will not 
have an impact on the Company's Financial Statements, as it does not hold any 
leases. 
 
e) Financial assets at fair value through profit or loss 
 
Classification 
 
The Company classifies its investments in credit securities and derivatives as 
financial assets at fair value through profit or loss. 
 
Financial assets and financial liabilities designated at fair value through 
profit or loss at inception are financial instruments that are not classified 
as held for trading but are managed and their performance is evaluated on a 
fair value basis in accordance with the Company's business model per IFRS 9. 
 
The Company's policy requires the Portfolio Manager and the Board of Directors 
to evaluate the information about these financial assets and liabilities on a 
fair value basis together with other related financial information. 
 
The Company's policy requires the Portfolio Manager and the Board of Directors 
to evaluate the information about these financial assets and liabilities on a 
fair value basis together with other related financial information. 
 
Recognition, derecognition and measurement 
 
Regular purchases and sales of investments are recognised on the trade date, 
the date on which the Company commits to purchase or sell the investment. 
Financial assets and financial liabilities at fair value through profit or loss 
are initially recognised at fair value. Transaction costs are expensed as 
incurred in the Statement of Comprehensive Income. Financial assets are 
derecognised when the rights to receive cash flows from the investments have 
expired or the Company has transferred substantially all risks and rewards of 
ownership. 
 
The Company may invest in any category of credit security, including, without 
prejudice to the generality of the foregoing, bank capital, corporate bonds, 
high yield bonds, leveraged loans, payment-in-kind notes and asset backed 
securities. 
 
The Company records any principal repayments as they arise and realises a gain 
or loss in the net gains on financial assets at fair value through profit or 
loss in the Statement of Comprehensive Income in the period in which they 
occur. 
 
The interest income arising on these Credit Securities is recognised on a 
time-proportionate basis using the effective interest rate method and shown 
within income in the Statement of Comprehensive Income. 
 
Fair value estimation 
 
IFRS 13 defines fair value as the price that would be received to sell an asset 

or paid to transfer a liability in an orderly transaction between market 
participants at the measurement date (an exit price). 
 
i)   Credit Securities traded or dealt on an active market or exchange 
 
Credit Securities that are traded or dealt on an active market or exchange are 
valued by reference to their quoted mid-market price as at the close of trading 
on the reporting date as the Directors deem the mid-market price to be a 
reasonable approximation of an exit price. 
 
ii)  Credit Securities not traded or dealt on an active market or exchange 
 
Credit Securities which are not traded or dealt on active markets or exchanges 
are valued by reference to their mid-price, as at the close of business on the 
reporting date as determined by pricing service providers that use broker 
dealer quotations, reported trades or valuation estimates from their internal 
pricing models. If a price cannot be obtained from an independent price vendor, 
or where the Portfolio Manager determines that the provided price is not an 
accurate representation of the fair value of the Credit Security, the Portfolio 
Manager will source mid-price quotes at the close of business on the reporting 
date from independent third party brokers/dealers for the relevant security. If 
no mid-price is available then a bid-price will be used. 
 
In cases where no third party price is available (either from an independent 
price vendor or independent third party brokers/dealers), or where the 
Portfolio Manager determines that the provided price is not an accurate 
representation of the fair value of the Credit Security, the Portfolio Manager 
will determine the valuation based on the Portfolio Manager's valuation policy. 
This may include the use of a comparable arm's length transaction, reference to 
other securities that are substantially the same, discounted cash flow analysis 
and other valuation techniques commonly used by market participants making the 
maximum use of market inputs and relying as little as possible on 
entity-specific inputs. 
 
Forward foreign currency contracts 
 
Forward foreign currency contracts are derivative contracts and as such are 
recognised at fair value on the date on which they are entered into and 
subsequently measured at their fair value. Fair value is determined from 
underlying asset prices indices, reference rates and other observable inputs. 
These instruments are normally valued by pricing service providers or by 
utilising broker or dealer quotations. All forward foreign currency contracts 
are carried as assets when fair value is positive and as liabilities when fair 
value is negative. Gains and losses on forward currency contracts are 
recognised as part of net foreign currency gains in the Statement of 
Comprehensive Income. 
 
Impairment 
 
Financial assets that are stated at cost or amortised cost are reviewed at each 
reporting date to determine whether there is objective evidence of impairment. 
If any such indication exists, an impairment loss is recognised in the 
Statement of Comprehensive Income as the difference between the asset's 
carrying amount and the present value of estimated future cash flows discounted 
at the financial asset's effective interest rate. 
 
Any impairment losses impacting the amortised cost disclosed for the financial 
assets at fair value through profit and loss are recognised in the Statement of 
Comprehensive Income as realised losses within the net gain/loss on financial 
assets at fair value through profit or loss. 
 
f) Offsetting financial instruments 
 
Financial assets and liabilities are offset and the net amount reported in the 
Statement of Financial Position when there is a legally enforceable right to 
offset the recognised amounts and there is an intention to settle on a net 
basis or realise the asset and settle the liability simultaneously. Derivatives 
are not settled on a net basis and therefore derivative assets and liabilities 
are shown gross. 
 
g) Amounts due from and due to brokers 
 
Amounts due from and to brokers represent receivables for securities sold and 
payables for securities purchased that have been contracted for but not yet 
settled or delivered on the statement of financial position date respectively. 
These amounts are recognised initially at fair value and subsequently measured 
at amortised cost using the effective interest rate method. 
 
h) Income 
 
Interest income is recognised on a time-proportionate basis using the effective 
interest rate method. Discounts received or premiums paid in connection with 
the acquisition of Credit Securities are amortised into interest income using 
the effective interest rate method over the expected life of the related 
security. 
 
The effective interest rate method is a method of calculating the amortised 
cost of a financial asset or financial liability and of allocating the interest 
income or interest expense over the relevant period. The effective interest 
rate is the rate that exactly discounts estimated future cash payments or 
receipts throughout the expected life of the financial instrument, or, when 
appropriate, a shorter period, to the net carrying amount of the financial 
asset or financial liability. 
 
When calculating the effective interest rate, the Portfolio Manager estimates 
cash flows considering the expected life of the financial instrument, including 
future credit losses and deferred interest payments. The calculation includes 
all fees and points paid or received between parties to the contract that are 
an integral part of the effective interest rate and all other premiums or 
discounts. 
 
i) Cash and cash equivalents 
 
Cash and cash equivalents comprises deposits held at call with banks and other 
short-term investments in an active market with original maturities of three 
months or less and bank overdrafts. Bank overdrafts are included in current 
liabilities in the Statement of Financial Position. 
 
j) Share capital 
 
Ordinary Shares are classified as equity. Incremental costs directly 
attributable to the issue of Ordinary Shares are shown in equity as a 
deduction, net of tax, from the proceeds and disclosed in the Statement of 
Changes in Equity. 
 
Repurchased Tendered Shares are treated as a distribution of capital and 
deducted from the Share Capital account. 
 
k) Other reserves 
 
Other reserves consist of equalisation on issues of new shares, distributions 
paid and total comprehensive income for the year. 
 
l) Foreign currency translation 
 
Functional and presentation currency 
 
Items included in the financial statements are measured using Sterling, the 
currency of the primary economic environment in which the Company operates (the 
"functional currency"). The Financial Statements are presented in Sterling, 
which is the Company's presentation currency. 
 
Transactions and balances 
 
Foreign currency transactions are translated into the functional currency using 
the exchange rates prevailing at the dates of the transactions. Foreign 
currency assets and liabilities are translated into the functional currency 
using the exchange rate prevailing at the Statement of Financial Position date. 
 
Foreign exchange gains and losses relating to the financial assets and 
liabilities carried at fair value through profit or loss are presented in the 
Statement of Comprehensive Income. 
 
m) Transaction costs 
 
Transaction costs on financial assets and liabilities at fair value through 
profit or loss include fees and commissions paid to agents, advisers, brokers 
and dealers. Transaction costs, when incurred, are immediately recognised in 
the Statement of Comprehensive Income. 
 
n) Segment reporting 
 
Operating segments are reported in a manner consistent with the internal 
reporting provided to the chief operating decision-maker. The chief operating 
decision-maker, who is responsible for allocating resources and assessing 
performance of the operating segments, has been identified as the Board. The 
Directors are of the opinion that the Company is engaged in a single segment of 
business, being investments in Credit Securities. The Directors manage the 
business in this way. For additional information refer to note 18. 
 
o) Expenses 
 
All expenses are included in the Statement of Comprehensive Income on an 
accruals basis and are recognised through profit or loss in the Statement of 
Comprehensive Income. 
 
p) Other receivables 
 
Other receivables are amounts due in the ordinary course of business. If 
collection is expected in one year or less, they are classified as current 
assets. If not, they are presented as non-current assets. Other receivables are 
recognised initially at fair value and subsequently measured at amortised cost 
using the effective interest rate method, less provision for impairment. 
 
q) Other payables 
 
Other payables are obligations to pay for services that have been acquired in 
the ordinary course of business. Other payables are classified as current 
liabilities if payment is due within one year or less. If not, they are 
presented as non-current liabilities. Other payables are recognised initially 
at fair value and subsequently measured at amortised cost using the effective 
interest rate method. 
 
r) Dividend distributions 
 
Dividend distributions to the Company's shareholders are recognised as 
liabilities in the Company's financial statements and disclosed in the 
Statement of Changes in Equity in the period in which the dividends are 
approved by the Board. 
 
s) Income equalisation on new issues 
 
In order to ensure there are no dilutive effects on earnings per share for 
current shareholders when issuing new shares, a transfer is made between share 
capital and other reserves to reflect that amount of income included in the 
purchase price of the new shares. 
 
t) Treasury Shares 
 
The Company has the right to issue and purchase up to 14.99% of the total 
number of its own shares, as disclosed in note 12. 
 
Shares held in Treasury are excluded from calculations when determining 
Earnings per Ordinary Share or Net Asset Value per Ordinary Share as detailed 
in notes 4 and 6. 
 

3.    Significant accounting judgements, estimates and assumptions 
 
       The preparation of the Company's Financial Statements requires 
management to make judgements, estimates and assumptions that affect the 
reported amounts of revenues, expenses, assets and liabilities and the 
accompanying disclosures. Uncertainty about these assumptions and estimates 
could result in outcomes that require a material adjustment to the carrying 
amount of assets or liabilities affected in future periods. 
 
(i) Judgements 
 
In the process of applying the Company's accounting policies, management has 
made the following judgements, which have the most significant effect on the 
amounts recognised in the Financial Statements: 
 
Functional currency 
 
As disclosed in note 2(l), the Company's functional currency is Sterling. 
Sterling is the currency in which the Company measures its performance and 
reports its results, as well as the currency in which it receives subscriptions 
from its investors. Dividends are also paid to its investors in Sterling. The 
Directors believe that Sterling best represents the functional currency. 
 
(ii) Estimates and assumptions 
 
The key assumptions concerning the future and other key sources of estimation 
uncertainty at the reporting date, that have a significant risk of causing a 
material adjustment to the carrying amounts of assets and liabilities within 
the next financial year, are described below. The Company based its assumptions 
and estimates on parameters available when the Financial Statements were 
prepared. Existing circumstances and assumptions about future developments, 
however, may change due to market changes or circumstances arising which are 
beyond the control of the Company. Such changes are reflected in the 
assumptions when they occur. 
 
       (a) Fair value of securities not quoted in active markets 
 
The Company carries its investments in Credit Securities at fair value, with 
changes in value being recognised in the Statement of Comprehensive Income. In 
cases where prices of Credit Securities are not quoted in an active market, the 
Portfolio Manager will obtain prices determined at the close of business on the 
reporting date from an independent price vendor. The Portfolio Manager 
exercises its judgement on the quality of the independent price vendor and 
information provided. If a price cannot be obtained from an independent price 
vendor or where the Portfolio Manager determines that the provided price is not 
an accurate representation of the fair value of the Credit Security, the 
Portfolio Manager will source prices from independent third party brokers or 
dealers for the relevant security, which may be indicative rather than 
tradable. Where no third party price is available, or where the Portfolio 
Manager determines that the third party quote is not an accurate representation 
of the fair value, the Portfolio Manager will determine the valuation based on 
the Portfolio Manager's valuation policy. This may include the use of a 
comparable arm's length transaction, reference to other securities that are 
substantially the same, discounted cash flow analysis and other valuation 
techniques commonly used by market participants making the maximum use of 
market inputs and relying as little as possible on entity-specific inputs. No 
Credit Securities were priced by the Portfolio Manager during the year or any 
previous year. 
 
(b) Estimated life of Credit Securities 
 
In determining the estimated life of the Credit Securities held by the Company, 
the Portfolio Manager estimates the remaining life of the security with respect 
to expected prepayment rates, default rates and loss rates together with other 
information available in the market underlying the security. The estimated life 
of the Credit Securities, as determined by the Portfolio Manager, impacts the 
effective interest rate of the Credit Securities which in turn impacts the 
calculation of income as discussed in note 2(h). 
 
(c) Determination of observable inputs 
 
       As discussed in note 17, when determining the levels of investments 
within the fair value hierarchy, the determination of what constitutes 
'observable' requires significant judgement by the Company. The Company 
considers observable data to be market data that is readily available, 
regularly distributed or updated, reliable and verifiable, not proprietary, and 
provided by independent sources that are actively involved in the relevant 
market. 
 
4.    Earnings per Ordinary Share - Basic & Diluted 
 
The earnings per Ordinary Share - Basic and Diluted of 4.0p (30 September 2018: 
2.9p) has been calculated based on the weighted average number of Ordinary 
Shares of 185,006,548 (30 September 2018: 167,986,686) and a net gain for the 
year of GBP7,383,132 (30 September 2018: GBP4,950,193). 
 
5.    Income on equalisation of new issues 
 
       In order to ensure there were no dilutive effects on earnings per share 
for current shareholders when issuing new shares, earnings have been calculated 
in respect of the accrued income at the time of purchase and a transfer has 
been made from share capital to income to reflect this. The transfer for the 
year amounted to GBP6,165 (30 September 2018: GBP180,569). 
 
6.    Net Asset Value per Ordinary Share 
 
The net asset value of each Share of 90.63 (30 September 2018: 93.17p) is 
determined by dividing the net assets of the Company attributed to the Shares 
of GBP167,827,286 (30 September 2018: GBP169,743,090) by the number of Shares in 
issue at 30 September 2019 of 185,179,151 (30 September 2018: 182,179,151). 
 
7.    Taxation 
 
       The Company has been granted Exempt Status under the terms of The Income 
Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 to income tax in Guernsey. Its 
liability for Guernsey taxation is limited to an annual fee of GBP1,200 (30 
September 2018: GBP1,200). The activities of the Company do not constitute 
relevant activities as defined by the Income Tax (Substance Requirements) 
(Implementation) Regulations, 2018 (as amended) and as such the Company was out 
of scope. 
 
8.    Net foreign currency (losses)/gains 
 
                                                              Year ended      Year ended 
                                                                30.09.19        30.09.18 
 
                                                                       GBP               GBP 
 
Movement in net unrealised gains/(losses) on forward           1,370,283       (613,703) 
currency contracts 
 
Movement in unrealised gains/(losses) on spot currency            10,387        (10,890) 
contracts 
 
Realised losses on forward currency contracts                  (230,440)       (642,348) 
 
Realised currency losses/(gains) on receivables/payables     (1,190,963)              51 
 
Unrealised currency losses on receivables/payables              (23,442)        (22,948) 
 
                                                                (64,175)     (1,289,838) 
 
9.    Investments 
 
                                                                       As at           As at 
                                                                    30.09.19        30.09.18 
 
                                                                           GBP               GBP 
 
Financial assets at fair value through profit and loss: 
 
Unlisted Investments: 
 
Opening amortised cost                                           158,413,688     137,736,071 
 
Purchases at                                                      61,344,183      72,998,902 
cost 
 
Proceeds on sale/principal repayment                            (63,383,538)    (55,621,075) 
 
Amortisation adjustment under effective interest rate method         511,152         783,913 
 
Realised gain on sale/principal repayment                          4,595,217       4,609,061 
 
Realised loss on sale/principal repayment                        (5,408,535)     (2,093,184) 
 
Closing amortised cost                                           156,072,167     158,413,688 
 
Unrealised gain on investments                                     5,579,321       6,821,995 
 
Unrealised loss on investments                                   (3,316,721)     (2,405,689) 
 
Fair value                                                       158,334,767     162,829,994 
 
 
 
                                                                     As at          As at 
                                                                  30.09.19       30.09.18 
 
                                                                         GBP              GBP 
 
Realised gain on sale/principal repayment                        4,595,217      4,609,061 
 
Realised loss on sale/principal repayment                      (5,408,535)    (2,093,184) 
 
Decrease in unrealised gain                                    (1,242,674)    (5,717,151) 
 
Increase in unrealised                                           (911,032)      (630,247) 
loss 
 
Net loss on financial assets at fair value through profit or   (2,967,024)    (3,831,521) 
loss 
 
10. Other receivables 
 
                                                                   As at                                                    As 
                                                                30.09.19    at 
                                                                                                                      30.09.18 
 
                                                                       GBP                                                     GBP 
 
Interest income receivable                                     2,479,801                                             2,845,755 
 
Prepaid expenses                                                  28,904                                                39,195 
 
Dividends receivable                                             209,263                                                99,190 
 

Foreign currency receivable                                            -                                                    28 
 
                                                               2,717,968                                             2,984,168 
 
11.  Other payables 
 
                                                                     As at                                                    As 
                                                                  30.09.19    at 
                                                                                                                        30.09.18 
 
                                                                         GBP                                                     GBP 
 
Portfolio management fees payable                                  107,716                                               205,615 
 
Directors' fees payable                                                  -                                                27,750 
 
Administration fees payable                                         23,322                                                23,440 
 
AIFM management fees payable                                        16,138                                                18,905 
 
Audit fees payable                                                  54,000                                                51,500 
 
Other expenses payable                                              76,953                                                53,960 
 
Depositary fees payable                                              2,239                                                 2,150 
 
Custody fees payable                                                 2,241                                                 1,454 
 
Foreign currency payable                                                 -                                                10,415 
 
                                                                   282,609                                               395,189 
 
12.  Share Capital 
 
Authorised Share Capital 
 
The Directors may issue an unlimited number of Ordinary Shares at no par value 
and an unlimited number of Ordinary Shares with a par value. 
 
Issued Share Capital 
 
                                                                      As at              As at 
                                                                   30.09.19                               30.09.18 
 
                                                                          GBP                                      GBP 
 
Ordinary Shares 
 
Share Capital at the beginning of the                           177,393,446                            157,001,121 
year 
 
Issue of shares                                                   2,847,700                             20,817,500 
 
Share issue costs                                                  (33,602)                              (244,606) 
 
Income equalisation on new  issues                                  (6,165)                              (180,569) 
 
Total Share Capital at the end of the                           180,201,379                            177,393,446 
year 
 
Reconciliation of number of Shares 
 
                                                                       30.09.19        30.09.18 
 
                                                                         Shares          Shares 
 
Ordinary Shares 
 
Shares at the beginning of the year                                 182,179,151     160,929,151 
 
Issue of shares                                                       3,000,000      21,250,000 
 
Total Shares in issue at the end of                                 185,179,151     182,179,151 
the year 
 
 The Ordinary Shares carry the following rights: 
 
a)   the Ordinary Shares carry the right to receive all income of the Company 
attributable to the Ordinary Shares. 
 
b)   the Shareholders present in person or by proxy or present by a duly 
authorised representative at a general meeting has, on a show of hands, one 
vote and, on a poll, one vote for each Share held. 
 
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. 
 
The Company held no Treasury as at 30 September 2019 (2018: Nil). 
 
13. Analysis of Financial Assets and Liabilities by Measurement Basis as per 
Statement of Financial Position 
 
                                                 Financial 
 
                                            assets at fair 
 
                                             value through      Amortised 
 
                                           profit and loss           Cost          Total 
 
                                                         GBP              GBP              GBP 
 
30 September 2019 
 
Financial Assets 
 
Financial assets at fair value through 
profit and loss 
 
-Investments 
 
  -Bonds                                        97,230,422              -     97,230,422 
 
  -Asset backed                                 61,104,345              -     61,104,345 
securities 
 
  -Derivative assets: Forward currency             686,397              -        686,397 
   contracts 
 
Amounts due from broker                                  -        629,488        629,488 
 
Other receivables (excluding prepaid                     -      2,689,064      2,689,064 
expenses) 
 
Cash and cash equivalents                                -      7,197,759      7,197,759 
 
                                               159,021,164     10,516,311    169,537,475 
 
                                                 Financial 
 
                                            liabilities at          Other 
                                                      fair 
 
                                             value through      financial 
 
                                           profit and loss    liabilities          Total 
 
                                                         GBP              GBP              GBP 
 
30 September 2019 
 
Financial Liabilities 
 
Amounts due to broker                                    -        444,938        444,938 
 
Other payables                                           -        282,609        282,609 
 
Interest income received in advance                      -        976,786        976,786 
 
Financial liabilities at fair value 
through profit and loss 
 
-Derivative liabilities: Forward                    34,760              -         34,760 
currency 
 contracts 
 
                                                    34,760      1,704,333      1,739,093 
 
                                                 Financial 
 
                                            assets at fair 
 
                                             value through      Amortised 
 
                                           profit and loss           Cost          Total 
 
                                                         GBP              GBP              GBP 
 
30 September 2018 
 
Financial Assets 
 
Financial assets at fair value through 
profit and loss 
 
-Investments 
 
  -Bonds                                       106,254,172              -    106,254,172 
 
  -Asset backed                                 56,575,822              -     56,575,822 
securities 
 
 -Derivative assets: Forward currency               10,686              -         10,686 
contracts 
 
Amounts due from broker                                  -      3,019,184      3,019,184 
 
Other receivables (excluding prepaid                     -      2,944,973      2,944,973 
expenses) 
 
Cash and cash equivalents                                -      6,834,535      6,834,535 
 
                                               162,840,680     12,798,692    175,639,372 
 
                                                 Financial 
 
                                            liabilities at          Other 
                                                      fair 
 
                                             value through      financial 
 
                                           profit and loss    liabilities          Total 
 
                                                         GBP              GBP              GBP 
 
30 September 2018 
 
Financial Liabilities 
 
Amounts due to broker                                    -      4,810,956      4,810,956 
 
Other payables                                           -        395,189        395,189 
 
Financial liabilities at fair value 
through profit and loss 
 
-Derivative liabilities: Forward                   729,332              -        729,332 
currency 
 contracts 
 
                                                   729,332      5,206,145      5,935,477 
 
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. The aggregate fees of the Directors will not exceed 
GBP150,000. 
 
The Directors' fees for the year and the outstanding fees at year end are as 
follows. 
 
                                                                 30.09.19          30.09.18 
 
                                                                        GBP                 GBP 
 
Claire Whittet (Chair of the                                       42,000            42,000 
Board) 
 
Christopher Legge (Audit Committee Chairman)                       37,000            37,000 
 
Ian Martin (MEC Chairman)                                          32,000            32,000 
 
Total                                                             111,000           111,000 
Directors' 
fees 
 

                                                                    As at             As at 
 
                                                                 30.09.19          30.09.18 
 
                                                                        GBP                 GBP 
 
Directors' fee payable (note 11)                                        -            27,750 
 
b) Shares held by related parties 
 
The Directors of the Company held the following shares beneficially: 
 
                                                           30.09.19 30.08.19 
                                                             Shares   Shares 
 
Claire Whittet                                               25,000   25,000 
 
Christopher Legge                                            50,000   50,000 
 
Ian Martin                                                   35,000   35,000 
 
Directors are entitled to receive the dividends on any shares held by them 
during the year. Dividends declared by the Company are set out in note 19. 
 
As at 30 September 2019, the Portfolio Manager held no Shares (30 September 
2018: no Shares) of the Issued Share Capital. Partners and employees of the 
Portfolio Manager decreased their holdings during the year, and held 1,010,642 
Shares (30 September 2018: 1,153,258), which is 0.55% (30 September 2018: 
0.63%) 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 NAV, which is calculated weekly on each valuation day, or market 
capitalisation of each class of shares. Total portfolio management fees for the 
year amounted to GBP1,265,691 (30 September 2018: GBP1,201,499) of which GBP107,716 
(30 September 2018: GBP205,615) is payable at year end. The Portfolio Management 
Agreement dated 17 February 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 0.175% 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 year, the Portfolio 
Manager received GBP5,145 (30 September 2018: GBP36,431) in commission. 
 
15.  Material Agreements 
 
a) Alternative Investment Fund Manager ("AIFM") 
 
The Company's 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 year, 
AIFM fees of GBP80,792 (30 September 2018: GBP77,924) were charged to the Company, 
of which GBP16,138 (30 September 2018: GBP18,905) remained payable at the end of 
the year. 
 
b) Administrator and Secretary 
 
Administration fees are payable to Northern Trust International Fund 
Administration Services (Guernsey) Limited monthly in arrears at a rate of 
0.06% 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 
of GBP75,000 for each year. In addition, an annual fee of GBP25,000 will be charged 
for corporate governance and company secretarial services. During the year, 
administration and secretarial fees of GBP119,705 (30 September 2018: GBP119,623) 
were charged to the Company, of which GBP23,322 (30 September 2018: GBP23,440) 
remained payable at the end of the year. 
 
c) Broker 
 
For its services as the Company's broker, Numis Securities Limited (the 
"Broker") is entitled to receive a retainer fee of GBP50,000 per annum and also a 
commission of 1% on all tap issues. During the year, the Broker received GBP 
28,477 (30 September 2018: GBP208,175) in commission, which is charged as a cost 
of issuance. 
 
d) Depositary 
 
Depositary's fees are payable to Northern Trust (Guernsey) Limited monthly in 
arrears at a rate of 0.0175% of the NAV of the Company below 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 of GBP25,000 for each year. During the year, depositary fees 
of GBP27,861 (30 September 2018: GBP26,523) were charged to the Company, of which GBP 
2,239 (30 September 2018: GBP2,150) remained payable at the end of the year. 
 
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 
year amounted to GBP19,232 (30 September 2018: GBP18,150) of which GBP2,241 (30 
September 2018: GBP1,454) is due and payable at the end of the year. 
 
16.  Financial Risk Management 
 
The Company's activities expose it to a variety of financial risks: Market risk 
(including price risk, reinvestment risk, interest rate risk and foreign 
currency risk), credit risk, liquidity risk and capital risk. 
 
The Company's financial instruments include financial assets/liabilities at 
fair value through profit or loss, cash and cash equivalents, amounts due to/ 
from broker, other receivables and other payables. 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 
foreign currency risk, interest rate risk, price risk and reinvestment risk. 
The Company's strategy on the management of market risk is driven by the 
Company's investment objective. The Company's investment objective is to 
generate attractive risk adjusted returns principally through investment in 
Credit Securities. 
 
(i) Price risk 
 
The underlying investments comprised in the portfolio are subject to price 
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 
which are valued on a mark to market and mark to model basis. Price risk is 
risk associated with changes in market prices or rates, including interest 
rates, availability of credit, inflation rates, economic uncertainty, changes 
in laws, national and international political circumstances. The Company's 
policy is to manage price risk by holding a diversified portfolio of assets, 
through its investments in Credit Securities. 
 
The Company's policy also stipulates that at purchase no more than 5% of the 
portfolio value can be exposed to any single Credit Security or issuer of 
Credit Securities. 
 
The price of a Credit Security can be affected by a number of factors, 
including: (i) changes in the market's perception of the underlying assets 
backing the security; (ii) economic and political factors such as interest 
rates and levels of unemployment and taxation which can have an impact on the 
arrears, foreclosures and losses incurred with respect to the pool of assets 
backing the security; (iii) changes in the market's perception of the adequacy 
of credit support built into the security's structure to protect against losses 
caused by arrears and foreclosures; (iv) changes in the perceived 
creditworthiness of the originator of the security or any other third parties 
to the transaction; (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). 
 
(ii) Reinvestment risk 
 
Reinvestment risk is the risk that future coupons from a bond will not be 
reinvested at the yield 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 Credit Securities generally rise 
and the proceeds of Credit Securities held by the Company that mature or are 
sold are not able to be reinvested in Credit Securities with a yield comparable 
to that of the portfolio as a whole. The Company assesses reinvestment risk on 
at least a monthly basis by calculating the projected amortisation profile of 
the Company across the next three years. In addition, changes in the Company's 
yield and income are assessed over the same timeframe as bonds redeem or mature 
to identify any periods where reinvestment risk may be more significant. 
 
Price sensitivity analysis 
 
The following details the Company's sensitivity to movement in market prices. 
The analysis is based on a 10% and 5% (30 September 2017: 10% and 5%) increase 
or decrease in market prices. This represents management's best estimate of a 
reasonable possible shift in market prices, having regard to historical 
volatility. 
 
At 30 September 2019, if the market prices had been 10% and 5% (30 September 
2018: 10% and 5%) higher with all other variables held constant, the increase 
in the net assets attributable to equity Shareholders would have been GBP 
15,833,391 and GBP7,916,695 respectively (30 September 2018: GBP16,282,999 and GBP 
8,141,500). The total comprehensive income for the year would have also 
increased by GBP15,833,391 and GBP7,916,695 (30 September 2018: GBP16,282,999 and GBP 

8,141,500). An equal change in the opposite direction would have decreased the 
net assets attributable to equity Shareholders and total comprehensive income 
respectively. 
 
Actual trading results may differ from the above sensitivity analysis and those 
differences may be material. 
 
(iii) Interest rate risk 
 
            Interest rate risk arises from the possibility that changes in 
interest rates will affect the fair value of financial assets at fair value 
through profit or loss. 
 
       The tables below summarise the Company's exposure to interest rate risk: 
 
                                   Floating     Fixed rate   Non-interest         Total 
                                       rate                       bearing 
 
As at 30 September 2019                   GBP              GBP              GBP             GBP 
 
Investments                      31,828,751    126,506,016              -   158,334,767 
 
Derivative assets: Forward                -              -        686,397       686,397 
currency contracts 
 
Amounts due from broker                   -              -        629,488       629,488 
 
Other receivables                         -              -      2,717,968     2,717,968 
 
Cash and cash equivalents         7,197,759              -              -     7,197,759 
 
Derivative liabilities:                   -              -       (34,760)      (34,760) 
Forward currency contracts 
 
Amounts due to broker                     -              -      (444,938)     (444,938) 
 
Other payables                            -              -      (282,609)     (282,609) 
 
Interest income received in               -              -      (976,786)     (976,786) 
advance 
 
Net current assets               39,026,510    126,506,016      2,294,760   167,827,286 
 
As at 30 September 2018                   GBP              GBP              GBP             GBP 
 
Investments                      41,553,484    121,276,510              -   162,829,994 
 
Derivative assets: Forward                -              -         10,686        10,686 
currency contracts 
 
Amounts due from broker                   -              -      3,019,184     3,019,184 
 
Other receivables                         -              -      2,984,168     2,984,168 
 
Cash and cash equivalents         6,834,535              -              -     6,834,535 
 
Derivative liabilities:                   -              -      (729,332)     (729,332) 
Forward currency contracts 
 
Amounts due to broker                     -              -    (4,810,956)   (4,810,956) 
 
Other payables                            -              -      (395,189)     (395,189) 
 
Net current assets               48,388,019    121,276,510         78,561   169,743,090 
 
The Company holds fixed rate and floating rate financial instruments which, 
based on current portfolio duration, have low exposure to fair value interest 
rate risk as, when the short-term interest rates increase, the interest rate on 
a floating rate note will increase. The maximum time to re-fix interest rates 
is six months and therefore the Company has low interest rate risk and, as such 
it is not deemed necessary to perform sensitivity analysis over interest rate 
risk. 
 
As at 30 September 2019, 75% of the Company's net current asset position was 
invested in fixed rate securities, however the overall credit spread duration 
of the Company was 3.6 years. A credit spread duration of 3.6 indicates that 
the portfolio's value will rise or fall by 3.6bp should the reference credit 
spread rise or fall by 1bp. The value of Credit securities may be affected by 
interest rate movements. Interest receivable on bank deposits or payable on 
bank overdraft positions will be affected by fluctuations in interest rates, 
however the underlying cash positions will not be affected. 
 
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 Net Asset Value calculations prepared by the Company's 
Administrator. 
 
(iv) Foreign currency risk 
 
Foreign currency risk is the risk that the value of a financial instrument will 
fluctuate due to changes in foreign exchange rates. The Company invests 
predominantly in non-Sterling assets while its Shares are denominated in 
Sterling, its expenses are incurred in Sterling and its presentational currency 
is Sterling. Therefore the Statement of Financial Position may be significantly 
affected by movements in the exchange rate between foreign currencies and 
Sterling. The Company manages the exposure to currency movements by using spot 
and forward foreign exchange contracts, rolling forward on a periodic basis. 
 
At year end, the Company had seven (30 September 2018: six) open forward 
currency contracts. 
 
Open forward currency contracts 
 
                                                Outstanding        Mark to   Unrealised 
                                                  contracts         market       gains/ 
                                                                equivalent     (losses) 
 
                                    Contract 
                                      values 
 
                                    30.09.19       30.09.19       30.09.19     30.09.19 
 
                                    Currency              GBP              GBP            GBP 
 
Seven Sterling forward foreign 
 
currency contracts totalling: 
 
6 EUR forward foreign currency  (91,751,565)   (81,878,779)   (81,204,969)      673,810 
contract 
 
1 USD forward foreign currency  (16,678,881)   (13,506,042)   (13,528,215)     (22,173) 
contract 
 
                                                                                651,637 
 
                                                Outstanding        Mark to   Unrealised 
                                                  contracts         market     (losses) 
                                                                equivalent 
                                    Contract 
                                      values 
 
                                    30.09.18       30.09.18       30.09.18     30.09.18 
 
                                    Currency              GBP              GBP            GBP 
 
Six Sterling forward foreign 
currency 
 
contracts 
totalling: 
 
1 CHF forward foreign currency      (40,495)       (31,731)       (31,817)         (86) 
contract 
 
3 EUR forward foreign currency  (85,850,355)   (76,100,188)   (76,512,544)    (412,356) 
contract 
 
2 USD forward foreign currency  (25,230,064)   (19,025,947)   (19,332,151)    (306,204) 
contract 
 
                                                                              (718,646) 
 
At year end, the Company had nil (30 September 2018: three) open spot currency 
contracts. 
 
Open spot currency contracts 
 
                                              Outstanding         Mark to    Unrealised 
                                                contracts          market        losses 
                                                               equivalent 
                                  Contract 
                                    values 
 
                                  30.09.18       30.09.18        30.09.18      30.09.18 
 
                                  Currency              GBP               GBP             GBP 
 
Three Sterling spot foreign 
currency contract 
 
2 EUR spot currency                901,166        802,804         802,657         (147) 
contract 
 
1 GBP spot currency            (2,844,503)    (2,171,045)     (2,181,285)      (10,240) 
contract 
 
                                                                               (10,387) 
 
As at 30 September 2019 and 2018 the Company held the following assets and 
liabilities denominated in currencies other than Pound Sterling: 
 
                                                                  30.09.19       30.09.18 
 
                                                                         GBP              GBP 
 
Investments                                                     92,633,805     97,050,699 
 
Cash and cash                                                      835,621        678,883 
equivalents 
 
Amounts due from broker and other receivables                    1,930,690      4,365,964 
 
Less: Amounts due to                                                     -    (3,973,710) 
broker 
 
Less: Other                                                      (976,786)              - 
payables 
 
Less: Open forward currency                                   (94,733,184)   (95,876,512) 
contracts 
 
Less: Open spot currency                                                 -    (1,378,627) 
contracts 
 
                                                                 (309,854)        866,697 
 
The following tables summarise the sensitivity of the Company's assets and 
liabilities to changes in foreign exchange movements between Euro, US Dollar 
and Swiss Franc, and the Company functional currency of Sterling as at 30 
September 2019 and 2018. 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. 
 
                                                                   30.09.19     30.09.18 
 
                                                                          GBP            GBP 
 
Impact on Statement of Comprehensive Income 
and Equity in response to a: 
 
 
- 10% (30.09.18: 10%) increase in EUR/GBP                            74,838     (31,533) 
 
- 10% (30.09.18: 10%) decrease in EUR/GBP                          (11,890)      132,789 
 
Impact on Statement of Changes in Equity in response to 
a: 
 
- 10% (30.09.18: 10%) increase in EUR/GBP                            74,838     (31,533) 
 

- 10% (30.09.18: 10%) decrease in EUR/GBP                          (11,890)      132,789 
 
                                                                   30.09.19     30.09.18 
 
                                                                          GBP            GBP 
 
Impact on Statement of Comprehensive Income 
and Equity in response to a: 
 
 
- 10% (30.09.18: 10%) increase in USD/GBP                          (20,651)     (17,975) 
 
- 10% (30.09.18: 10%) decrease in USD/GBP                             8,978     (10,682) 
 
Impact on Statement of Changes in Equity in response to 
a: 
 
- 10% (30.09.18: 10%) increase in USD/GBP                          (20,651)     (17,975) 
 
- 10% (30.09.18: 10%) decrease in USD/GBP                             8,978     (10,682) 
 
                                                                   30.09.19     30.09.18 
 
                                                                          GBP            GBP 
 
Impact on Statement of Comprehensive Income 
and Equity in response to a: 
 
 
- 10% (30.09.18: 10%) increase in CHF/GBP                           (1,474)           43 
 
- 10% (30.09.18: 10%) decrease in CHF/GBP                             1,615            7 
 
Impact on Statement of Changes in Equity in response to 
a: 
 
- 10% (30.09.18: 10%) increase in CHF/GBP                           (1,474)           43 
 
- 10% (30.09.18: 10%) decrease in CHF/GBP                             1,615            7 
 
       Credit risk 
 
Credit risk refers to the risk that a counterparty will default on its 
contractual obligations resulting in financial loss to the Company. The Company 
has a credit policy in place and the exposure to credit risk is monitored on an 
on-going basis. 
 
The main concentration of credit risk to which the Company is exposed arises 
from the Company's investments in Credit Securities. The Company is also 
exposed to counterparty credit risk on forwards, cash and cash equivalents, 
amounts due from brokers and other receivable balances. 
 
The Company's policy is to manage this risk by maintaining a portfolio 
diversified by issuer. While the prospectus permits no more than 5% of the 
portfolio value to be invested in any single Credit Security or issuer of 
Credit Securities, the Portfolio Manager operates to stricter exposures 
dependent on the credit rating of each single Credit Security or issuer of 
Credit Securities. 
 
Portfolio of debt securities by ratings category using the highest rating 
assigned by Standard and Poor's ("S&P"), Moody's Analytics ("Moody's") or Fitch 
Ratings ("Fitch"): 
 
                                                                 30.09.19      30.09.18 
 
BBB+                                                                1.72%         2.66% 
 
BBB                                                                 1.12%         0.00% 
 
BBB-                                                               14.46%         6.76% 
 
BB+                                                                 9.38%         9.09% 
 
BB                                                                 12.01%         4.94% 
 
BB-                                                                10.31%         7.98% 
 
B+                                                                  4.77%         6.45% 
 
B                                                                  21.55%        30.80% 
 
B-                                                                  4.46%         8.20% 
 
CCC+                                                                1.09%         0.22% 
 
CCC                                                                 0.00%         0.49% 
 
CC                                                                  0.19%         0.00% 
 
Not Rated*                                                         18.94%        22.41% 
 
                                                                  100.00%       100.00% 
 
*The non-rated exposure within the Company is managed in exactly the same way 
as the exposure to any other rated bond in the portfolio. A bond not rated by 
any of Moody's, S&P or Fitch does not necessarily translate as poor credit 
quality. Often smaller issues/tranches, or private deals which the Company 
holds, won't apply for a rating due to the cost of doing so from the relevant 
credit agencies. The portfolio managers have no significant credit concerns 
with the unrated, or rated, bonds currently held. 
 
To further understand credit risk, the Portfolio Manager undertakes extensive 
due diligence procedures on investments in Credit Securities and monitors the 
on-going investment in these securities. 
 
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. The majority of 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 S&P 500. The 
Northern Trust Corporation has a credit rating of A+ from Standard & Poor's and 
A2 from Moody's. 
 
The Company's maximum credit exposure is limited to the carrying amount of 
financial assets recognised as at the statement of financial position date, as 
summarised below: 
 
                                                                 30.09.19      30.09.18 
 
                                                                        GBP             GBP 
 
Investments                                                   158,334,767   162,829,994 
 
Amounts due from                                                  629,488     3,019,184 
broker 
 
Cash and cash                                                   7,197,759     6,834,535 
equivalents 
 
Derivative assets: Forward currency contracts                     686,397        10,686 
 
Other receivables                                               2,717,968     2,984,168 
 
                                                              169,566,379   175,678,567 
 
Investments in Credit Securities that are not backed by mortgages present 
certain risks that are 
 
not presented by mortgage-backed securities ("MBS"). Primarily, these 
securities may not have the benefit of the same security interest in the 
related collateral. Therefore, there is a possibility that recoveries on 
defaulted collateral may not, in some cases, be available to support payments 
on these securities. The risk of investing in these types of Credit Securities 
is 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 in full as they fall due or 
can only do so on terms that are materially disadvantageous. 
 
Investments made by the Company in Credit Securities may be relatively illiquid 
and this may limit the ability of the Company to realise its investments for 
the purposes of cash management such as generating cash for dividend payments 
to Shareholders or buying back Ordinary Shares under the Quarterly Tenders or 
in the market. Investments in Credit Securities may also have no active market 
and the Company also has no redemption rights in respect of these investments. 
The Company has the ability to borrow to ensure sufficient cash flows. 
 
The Portfolio Manager considers expected cash flows from financial assets in 
assessing and managing liquidity risk, in particular its cash resources and 
trade receivables. Cash flows from trade and other receivables are all 
contractually due within twelve months. 
 
The Portfolio Manager shall maintain a liquidity management policy to monitor 
the liquidity risk of the Company. 
 
Shareholders have no right to have their shares redeemed or repurchased by the 
Company, except as detailed under the Capital Risk Management (Quarterly 
Tenders) section of this note. Shareholders wishing to release their investment 
in the Company are therefore required to dispose of their shares on the market. 
 
The following table analyses the Company's liabilities into relevant maturity 
groupings based on the maturities at the statement of financial position date. 
The amounts in the table are the undiscounted net cash flows on the financial 
liabilities: 
 
                                      Up to 1          1-6        6-12         Total 
                                        month       months      months 
 
As at 30 September 2019                     GBP            GBP           GBP              GBP 
 
Amounts due to broker               (444,938)            -           -      (444,938) 
 
Derivative liabilities:                     -     (34,760)           -       (34,760) 
Forward currency contracts 
 
Other payables                      (228,609)     (54,000)           -      (282,609) 
 
Total                               (673,547)     (88,760)           -      (762,307) 
 
                                      Up to 1          1-6        6-12         Total 
                                        month       months      months 
 
As at 30 September 2018                     GBP            GBP           GBP              GBP 
 
Amounts due to broker             (4,810,956)            -           -    (4,810,956) 
 
Derivative liabilities:                     -    (729,332)           -      (729,332) 
Forward currency contracts 
 
Other payables                      (343,689)     (51,500)           -      (395,189) 
 
Total                             (5,154,645)    (780,832)           -    (5,935,477) 
 
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. 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 Shares. 
There are no regulatory requirements to return capital to Shareholders. 
 
(i) Quarterly Tenders 
 
With the objective of minimising the risk of the Ordinary Shares trading at a 
discount to NAV and to assist in the narrowing of any discount at which the 
Ordinary Shares may trade from time to time, the Company has incorporated into 
its structure a mechanism (a "Quarterly Tender"), contingent on certain factors 
as described below, which can be exercised at the discretion of the Directors, 
to provide Shareholders with a quarterly opportunity to submit Ordinary Shares 
for placing or repurchase by the Company at a price representing a discount of 
no more than 2% to the then prevailing NAV. 
 
Upon confirmation of the number of Tender Requests made in respect of each 
Quarter Record Date, the Company intends first, through its corporate broker 
acting on a reasonable endeavours basis, to seek to satisfy Tender Requests by 
placing the Tendered Shares with investors in the secondary market. 
 
Second, subject to the Tender Restrictions, the Company intends to repurchase 
for cancellation any Tendered Shares not placed in the secondary market. 
 
It is anticipated that the Company will tender on a quarterly basis for up to 
20% of the Ordinary Shares in issue as at the relevant Quarter Record Date, 
subject to an aggregate limit of 50% of the Ordinary Shares in issue in any 
twelve month period ending on the relevant Quarter Record Date. 
 
      (ii)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 Redeemable Shares in 
issue immediately following Admission at a price not exceeding the higher of 
(i) 5% above the average of the mid-market values of the Ordinary Redeemable 
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 Redeemable Shares. 
 
In deciding whether to make any such purchases the Directors will have regard 
to what they believe to be in the best interests of Shareholders as a whole, to 
the applicable legal requirements and any other requirements in its Articles. 
The making and timing of any buybacks will be at the absolute discretion of the 
Board and not at the option of the Shareholders, and is expressly subject to 
the Company having sufficient surplus cash resources available (excluding 
borrowed moneys). 
 
The Listing Rules prohibit the Company from conducting any share buybacks 
during close periods immediately preceding the publication of annual and 
interim results. 
 
(iii) Continuation votes 
 
In the event that: 
 
(i) the Dividend Target, as disclosed in note 19, is not met; or 
 
(ii) on any Tender Submission Deadline, applications for the Company to 
repurchase 50% or more of the Company's issued Ordinary Shares, calculated as 
at the relevant Quarter Record Date, are received by the Company, 
 
A General Meeting will be convened at which the Directors will propose an 
Ordinary Resolution that the Company should continue as an investment company. 
If any such Ordinary Resolution is not passed, the Directors shall draw up 
proposals for the voluntary liquidation, unitisation, reorganisation or 
reconstruction of the Company for submission to the members of the Company at a 
General Meeting to be convened by the Directors for a date not more than 6 
months after the date of the meeting at which such Ordinary Resolution was not 
passed. 
 
17.  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 table analyses within the fair value hierarchy the Company's 
financial assets and liabilities (by class) measured at fair value as at 30 
September 2019. 
 
                                     Level 1         Level 2     Level 3          Total 
 
                                            GBP              GBP           GBP              GBP 
 
Assets 
 
Financial assets at fair value 
 
through profit or loss 
 
            -Investments 
 
               -Bonds                       -     89,863,362   7,367,060     97,230,422 
 
               -Asset backed                -     61,104,345           -     61,104,345 
            securities 
 
            -Derivative assets: 
 
             Forward currency               -        686,397           -        686,397 
            contracts 
 
Total assets as at 30 September 2019        -    151,654,104   7,367,060    159,021,164 
 
Liabilities 
 
Financial liabilities at fair value 
 
through profit or loss 
 
            -Derivative liabilities: 
 
            Forward currency contracts      -         34,760           -         34,760 
 
Total liabilities as at 30 September        -         34,760           -         34,760 
2019 
 
The following table analyses within the fair value hierarchy the Company's 
financial assets and liabilities (by class) measured at fair value as 30 
September 2018. 
 
                                       Level 1      Level 2      Level 3          Total 
 
                                             GBP            GBP            GBP              GBP 
 
Assets 
 
Financial assets at fair value 
 
through profit or loss 
 
           -Investments 
 
              -Bonds                         -   40,656,257   65,597,915    106,254,172 
 
              -Asset backed                  -   46,866,424    9,709,398     56,575,822 
           securities 
 
            -Derivative assets: 
 
             Forward currency                -       10,686            -         10,686 
           contracts 
 
Total assets as at 30 September 2018         -   87,533,367   75,307,313    162,840,680 
 
Liabilities 
 
Financial liabilities at fair value 
 
through profit or loss 
 
            -Derivative liabilities: 
 
             Forward currency                -      729,332            -        729,332 
           contracts 
 
Total liabilities as at 30 September         -      729,332                     729,332 
2018 
 
Credit Securities which have a value based on quoted market prices in active 
markets are classified in level 1. At the end of the year, no Credit Securities 
held by the Company are classified as level 1. 
 
Credit Securities which are not traded or dealt on organised markets or 
exchanges are classified in level 2 or level 3. Credit securities priced at 
cost are classified as level 3. Credit 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 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. 
Credit 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 Credit Security, the Portfolio Manager may source prices from third party 
dealer quotes and if the price represents a reliable and an observable price, 
the Credit Security is classified in level 2. Any dealer 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 3 to level 2 occurred based on the Portfolio Manager's 
ability to obtain a more reliable and observable price as detailed above. 
 
Due to the inputs into the valuation of Credit Securities classified as level 3 
not being available or visible to the Company, no meaningful sensitivity on 
inputs can be performed. 
 
Following the change in the Company's fair value measurement policy, 49 of 110 
portfolio positions were priced using an average of Markit and ICE at 30 Sept 
2019. The Fair Value methodology used for previous years would have rendered 
all of these positions as IFRS 13 Level 3 securities. The updated fair value 
methodology acknowledges that an average price of Markit and ICE prices uses 
observable market data inputs, and that the price calculated for such positions 
is an interpolation of two observable market data inputs, and should therefore 
be considered as Level 2 securities under IFRS 13 rather than Level 3. 
 
The following table presents the movement in level 3 instruments for the year 
ended 30 September 2019 by class of financial instrument. 
 
                                            Bonds         Asset backed           Total 
                                                            securities 
 
  30.09.19                                      GBP                    GBP                GBP 
 
  Opening balance                      65,597,915            9,709,398       75,307,313 
 
  Net purchases                      (11,225,449)              792,964     (10,432,485) 
 
  Net realised loss for the year      (1,517,620)          (1,091,307)      (2,608,927) 
 

  Net unrealised gain/(loss) for          289,073             (34,597)          254,476 
  the year 
 
  Transfer into Level 3                         -            2,500,000        2,500,000 
 
  Transfer out of Level 3            (53,143,919)          (4,509,398)     (57,653,317) 
 
  Closing balance                               -            7,367,060        7,367,060 
 
The following table presents the movement in level 3 instruments for the year 
ended 30 September 2018 by class of financial instrument. 
 
                                           Bonds           Asset backed           Total 
                                                             securities 
 
30.09.18                                       GBP                      GBP                GBP 
 
Opening balance                       73,901,893              8,361,751       82,263,644 
 
Net purchases                              1,842              5,849,062        5,850,904 
 
Net loss for the year                (1,086,461)                652,813        (433,648) 
 
Net unrealised gain for the          (1,074,122)              (254,682)      (1,328,804) 
year 
 
Transfer into Level 3                  8,972,727                      -        8,972,727 
 
Transfer out of Level 3             (15,117,964)            (4,899,546)     (20,017,510) 
 
Closing balance                       65,597,915              9,709,398       75,307,313 
 
       The following table analyses within the fair value hierarchy the 
Company's assets and liabilities not measured at fair value at 30 September 
2019 but for which fair value is disclosed. 
 
                              Level 1         Level 2          Level 3            Total 
 
30 September 2019                   GBP               GBP                GBP                GBP 
 
Assets 
 
Amounts due from broker             -         629,488                -          629,488 
 
Other                               -       2,717,968                -        2,717,968 
receivables 
 
Cash and cash               7,197,759               -                -        7,197,759 
equivalents 
 
Total                       7,197,759       3,347,456                -       10,545,215 
 
Liabilities 
 
Amounts due to broker               -         444,938                -          444,938 
 
Other payables                      -         282,609                -          282,609 
 
Interest income received            -         976,786                -          976,786 
in advance 
 
Total                               -       1,704,333                -        1,704,333 
 
The following table analyses within the fair value hierarchy the Company's 
assets and liabilities not measured at fair value at 30 September 2018 but for 
which fair value is disclosed. 
 
                              Level 1         Level 2          Level 3            Total 
 
30 September 2018                   GBP               GBP                GBP                GBP 
 
Assets 
 
Amounts due from broker             -       3,019,184                -        3,019,184 
 
Other                               -       2,984,168                -        2,984,168 
receivables 
 
Cash and cash               6,834,535               -                -        6,834,535 
equivalents 
 
Total                       6,834,535       6,003,352                -       12,837,887 
 
Liabilities 
 
Amounts due to broker               -       4,810,956                -        4,810,956 
 
Other payables                      -         395,189                -          395,189 
 
Total                               -       5,206,145                -        5,206,145 
 
The assets and liabilities included in the above tables are carried at 
amortised cost; their carrying values are a reasonable approximation of fair 
value. 
 
Cash and cash equivalents include 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. 
 
18.  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 Credit 
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. 
 
             Revenue earned is reported separately on the face of the Statement 
of Comprehensive Income as interest income on financial assets at fair value 
through profit and loss being interest income received from Credit Securities. 
 
19.  Dividend Policy 
 
             The Board intends to distribute an amount at least equal to the 
value of the Company's excess income, as defined below, arising each financial 
year to the holders of Ordinary Shares. However, there is no guarantee that the 
dividend target of 6.0 pence per Ordinary Share for each financial year will be 
met or that the Company will make any distributions at all. 
 
Excess income is defined as the distributions made with respect to any income 
period, which comprise (a) the accrued income of the portfolio for the period 
(for these purposes, the Company's income will include the interest payable by 
the Credit Securities in the portfolio and amortisation of any discount or 
premium to par at which a Credit Security is purchased over its remaining 
expected life), 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 gain / (loss) on the foreign exchange contracts 
caused by the libor differentials between each foreign exchange currency pair. 
This definition differs from the IFRS "net income" definition which also 
recognises gains and losses on financial assets. 
 
The Board expects that dividends will constitute the principal element of the 
return to the holders of Ordinary Shares. 
 
The Company declared the following dividends in respect of the profit for the 
year ended 30 September 2019: 
 
Period to      Dividend     Net dividend      Ex-dividend      Record date         Pay date 
               rate per             paid             date 
                  Share   Income 
                (pence)              (GBP) 
 
31 October         0.50          920,896      15 November      16 November      30 November 
2018                                                 2018             2018             2018 
 
30 November        0.50          925,896      13 December      14 December      31 December 
2018                                                 2018             2018             2018 
 
31 December        0.50          925,896       17 January       18 January       31 January 
2018                                                 2019             2019             2019 
 
31 January         0.50          925,896      14 February      15 February      28 February 
2019                                                 2019             2019             2019 
 
28 February        0.50          925,896    14 March 2019    15 March 2019    29 March 2019 
2019 
 
31 March 2019      0.50          925,896    18 April 2019    23 April 2019    30 April 2019 
 
30 April 2019      0.50          925,896      16 May 2019      17 May 2019      31 May 2019 
 
31 May 2019        0.50          925,896     20 June 2019     21 June 2019     28 June 2019 
 
30 June 2019       0.50          925,896     18 July 2019     19 July 2019     31 July 2019 
 
31 July 2019       0.50          925,896   15 August 2019   16 August 2019   30 August 2019 
 
31 August 2019     0.50          925,896     19 September     20 September     30 September 
                                                     2019             2019             2019 
 
30 September       0.84        1,560,933       17 October       18 October       31 October 
2019                                                 2019             2019             2019 
 
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. 
 
20.  Ultimate Controlling Party 
 
       In the opinion of the Directors on the basis of shareholdings advised to 
them, the Company has no ultimate controlling party. 
 
21.  Subsequent Events 
 
These Financial Statements were approved for issuance by the Board on 12 
December 2019. Subsequent events have been evaluated to this date. 
 
Subsequent to the year end and up to the date of signing of the Annual Report 
and Audited Financial Statements, the following events took place: 
 
Dividend declarations 
 
Declaration date 
                                                                          Dividend rate 
                                                                          per Share 
                                                                          (pence) 
 
10 October 2019                                                                    0.84 
 
7 November 2019                                                                    0.50 
 
12 December 2019                                                                   0.50 
 
CORPORATE INFORMATION 
 

Directors                                    Receiving Agent 
Claire Whittet (Chair)                       Computershare Investor Services PLC 
 
Christopher Legge                            The Pavillions 
 
Ian Martin                                   Bridgewater Road 
 
                                             Bristol, BS13 8AE 
 
Registered Office                            UK Legal Advisers to the Company 
 
PO Box 255                                   Eversheds Sutherland 
 
Trafalgar Court                              One Wood Street 
 
Les Banques                                  London, EC2V 7WS 
 
St Peter Port 
 
Guernsey, GY1 3QL 
 
Portfolio Manager                            Guernsey Legal Advisers to the 
                                             Company 
 
TwentyFour Asset Management LLP              Carey Olsen 
 
8th Floor The Monument Building              Carey House 
 
11 Monument Street                           Les Banques 
 
London, EC3R 8AF                             St Peter Port 
 
                                             Guernsey, GY1 4BZ 
 
Alternative Investment Fund Manager          Independent Auditor 
 
Maitland Institutional Services Limited      PricewaterhouseCoopers CI LLP 
 
Hamilton Centre                              PO Box 321 
 
Rodney Way                                   Royal Bank Place 
 
Chelmsford, CM1 3BY                          Glategny Esplanade 
 
                                             St Peter Port 
 
                                             Guernsey, GY1 4ND 
 
Custodian, Principal Banker and              Registrar 
Depositary 
 
Northern Trust (Guernsey) Limited            Computershare Investor Services 
PO Box 71                                    (Guernsey) Limited 
 
Trafalgar Court                              1st Floor 
 
Les Banques                                  Tudor House 
 
St Peter Port                                Le Bordage 
 
Guernsey, GY1 3DA                            St Peter Port 
 
                                             Guernsey, GY1 1DB 
 
Administrator and Company Secretary          Broker and Financial Adviser 
 
Northern Trust International Fund            Numis Securities Limited 
Administration                               The London Stock Exchange Building 
Services (Guernsey) Limited 
 
PO Box 255                                   10 Paternoster Square 
 
Trafalgar Court                              London, EC4M 7LT 
 
Les Banques 
 
St Peter Port 
 
Guernsey, GY1 3QL 
 
 
 
 
END 
 

(END) Dow Jones Newswires

December 13, 2019 12:23 ET (17:23 GMT)