TIDMNBMI
RNS Number : 6526M
NB Global Monthly Income Fund Ltd
18 September 2023
NB GLOBAL MONTHLY INCOME FUND LIMITED
2023 INTERIM REPORT
UNAUDITED INTERIM FINANCIAL STATEMENTS
FOR THE SIX MONTHSED 30 JUNE 2023
COMPANY OVERVIEW | Features
Features
NB Global Monthly Income Fund Limited (the "Company" or
"Fund")
The Company is a closed-ended investment company incorporated
and registered in Guernsey on 10 March 2011 with registered number
53155. The Company is governed under the provisions of the
Companies (Guernsey) Law, 2008 as amended (the "Law"), and the
Registered Collective Investment Scheme Rules and guidance 2021
issued by the Guernsey Financial Services Commission. It is a
non-cellular company limited by shares and has been declared by the
Guernsey Financial Services Commission to be a registered
closed-ended collective investment scheme. On 20 April 2011, the
Company was admitted to the Official List of the UK Listing
Authority with a premium listing trading on the Main Market of the
London Stock Exchange ("LSE").
Alternative Investment Fund Manager ("AIFM") and Manager
Investment management services are provided to the Company by
Neuberger Berman Investment Advisers LLC (the "AIFM") and Neuberger
Berman Europe Limited (the "Manager"), collectively the "Investment
Manager". The AIFM is responsible for risk management and
discretionary management of the Company's portfolio and the Manager
provides certain administrative services to the Company.
Investment Objective
Up Until 2022, the Company's investment objective had been to
target consistent levels of monthly income, whilst seeking to
preserve or increase investors' capital. Following the passing of
shareholder resolutions at the Company's extraordinary general
meeting held on 27 January 2023, the Company's investment objective
is now is to undertake a managed wind-down of its portfolio
("Managed Wind-down") and to realise all existing assets in the
Company's portfolio in an orderly manner. Details of the Company's
investment objective and investment policy can be found on the
Company's website, www.nbgmif.com .
Wind-down Strategy
The Company pursues its investment objective by effecting an
orderly realisation of its assets and making timely returns of
capital to Shareholders, by way of several capital distributions.
The Company aims to effect the sale of its assets, including both
liquid and less liquid assets, in a manner that will maintain
Shareholder value.
The Company has ceased to make any new investments or to
undertake capital expenditure except where, in the opinion of the
Board and the Investment Manager:
-- the investment is a follow-on investment made in connection
with an existing asset in order to comply with the Company's
pre-existing obligations; or
-- failure to make the follow-on investment may result in a
breach of contract or applicable law or regulation by the Company;
or
-- the investment is considered necessary to protect or enhance
the value of any existing investments or to facilitate orderly
disposals.
Any cash received by the Company as part of the realisation
process, but prior to its distribution to Shareholders, will be
held by the Company as cash on deposit and/or as cash equivalents.
Regular distributions of the sales proceeds have been made to
shareholders as follows:
Date of cash Number of shares % of shares redeemed Total amount
distribution of redeemed since EGM vote distributed
sale proceeds of January 2023
27 March 2023 43,206,203 19.40% GBP34,997,024
31 May 2023 46,047,295 20.47% GBP36,939,140
13 July 2023 35,888,693 15.78% GBP28,477,678
26 September 2023 25,218,501 11.08% GBP20,000,000
Total 150,360,692 66.73% 100,413,842
Capital Structure
As at 30 June 2023, the Company's share capital comprised
96,542,430 Sterling Ordinary Shares ("NBMI") of no par value (of
which nil were held in treasury). On 24 August 2023, another
compulsory redemption for approximately GBP20,000,000 was announced
at a price of 79.31 pence per share, and a redemption date of 26
September 2023. This will result in approximately 26.12% of the
existing share capital being redeemed.
Non-Mainstream Pooled Investments
The Company currently conducts its affairs so that the shares
issued by the Company can be recommended by Independent Financial
Advisers to ordinary retail investors in accordance with the
Financial Conduct Authority's ("FCA") rules in relation to
non-mainstream investment products and intends to continue to do so
for the foreseeable future.
The Company's shares are excluded from the FCA's restrictions,
which apply to non-mainstream pooled investment products.
LIBOR
Working groups and official sector committees, including the
Financial Stability Board ("FSB"), set out clear timelines to aid
in market participants' plans for a smooth transition from LIBOR to
new risk-free reference rates. The FSB announced the dates after
which representative LIBOR rates were no longer available. All
LIBOR settings either ceased to be provided by any administrator or
no longer were representative across currency settings from 1 July
2023 onwards. Alternative risk-free reference rates, such as SONIA
in the U.K. and SOFR in the U.S., are robust, stable and rooted in
active and liquid underlying markets. SONIA is now widely used
across all core sterling markets, supporting a wide range of
borrowers across different sectors.
Dividends
On 14 February 2023 a dividend of 0.54 pence per share was paid
in relation to remaining dividend monies due to investors from
2022. Following the approval of the proposals put forward at the
Company's extraordinary general meeting held on 27 January 2023,
the last monthly dividend of 0.90 pence per share was paid on 21
February 2023 in relation to the month of January 2023, the Company
moving to paying dividends on a quarterly rather than monthly
basis. The first such dividend of 1.48 pence per share in relation
to the quarter ended 31 March 2023 was paid on23 May 2023. A second
dividend for the period ending 30 June 2023 was declared on 18 July
2023 for 2.30 pence per share and was paid on 16 August 2023.
The Board intends to pay quarterly dividends where there is
sufficient net income to do so. As the Managed Wind-down
progresses, the Board anticipates that the income from the
Company's portfolio will gradually reduce. As a result of this
reduction, the Company may have insufficient net income to pay
dividends.
The annualised dividend yield (based on the dividends declared
in respect of the period and share price as at 30 June 2023) was
6.47%.
STRATEGIC REVIEW | Financial Highlights
Financial Highlights
Key Figures
(U.S. Dollars in millions, except As at 30 JUNE As at 31 DECEMBER
per share data) 2023 2022
=================================== ============== ==================
Net Asset Value
=================================== ============== ==================
- Sterling Ordinary Shares $98.1 $211.4
=================================== ============== ==================
Net Asset Value per share
=================================== ============== ==================
- Sterling Ordinary Shares GBP0.7990 GBP0.7926
=================================== ============== ==================
Share price
=================================== ============== ==================
- Sterling Ordinary Shares GBP0.7360 GBP0.7140
=================================== ============== ==================
Discount to Net Asset Value Per
Share (1)
=================================== ============== ==================
- Sterling Ordinary Shares (7.88%) (9.92%)
=================================== ============== ==================
Net investment income per share GBP0.0335 GBP0.0636
=================================== ============== ==================
Earnings per share GBP0.0822 (GBP0.2185)
=================================== ============== ==================
Dividends per share (2)
=================================== ============== ==================
- Sterling Ordinary Shares 2.38 pence 5.74 pence
=================================== ============== ==================
Current Gross Portfolio Yield (1) 11.82% 10.51%
=================================== ============== ==================
Annualised dividend yield (1, 3)
=================================== ============== ==================
- Sterling Ordinary Shares 6.47% 6.68%
=================================== ============== ==================
NAV Total Return (1)
=================================== ============== ==================
- Sterling Ordinary Shares 3.81% (10.09%)
=================================== ============== ==================
Share Price Return (1)
=================================== ============== ==================
- Sterling Ordinary Shares 7.24% (13.60%)
=================================== ============== ==================
On-Going Charges (1)
=================================== ============== ==================
- Sterling Ordinary Shares (0.63%) (1.22%)
=================================== ============== ==================
1 Further explanation and definitions of the calculation is
contained in the section "Alternative Performance Measures" in the
Audited Annual Financial Statements.
2 Dividends are those that were declared in respect of the
period.
3 Interim dividends have been annualised so as to give a
meaningful comparable figure.
STRATEGIC REVIEW | Chair's Statement
Chair's Statement
Dear Shareholder,
It is with pleasure that I present to you the Interim Report of
NB Global Floating Rate Income Fund Limited for the six months
ended 30 June 2023.
Managed Wind Down
The Board announced on 21 November 2022 that participation in a
cash exit offer in December 2022 would likely result in the
Company's net asset value falling below GBP150 million, which would
have rendered the Company, in the opinion of the Board, sub-scale.
That probable outcome, combined with the Company's persistent share
price discount to NAV per share and feedback from Shareholders, led
the Board to believe that it was in the best interests of the
Company and its Shareholders as a whole that the Company be placed
into a managed wind-down.
An EGM notice and circular was published on 20 December 2022
seeking shareholder approval to realise the Company's portfolio in
an orderly manner and to distribute portfolio realisation proceeds
to Shareholders over time. This required amendment to the Company's
Investment Objective and Policy and articles of incorporation. On
27 January 2023, both resolutions as set out in the EGM notice and
circular were duly passed by a poll with over 98% in favour.
In the period between 27 January and 31 August 2023, there were
three compulsory redemptions amounting to GBP100.4 million being
distributed to Shareholders. This is equivalent to approximately
55.6% of fund NAV as of 27 January 2023.
On 24 August 2023, the Board announced its intention to
distribute a further aggregate amount of approximately GBP20
million to Shareholders with a target distribution date of 26
September 2023. Following this distribution, the Company will have
distributed approximately 66.7% of the fund NAV as of 27 January
2023.
As the Company's portfolio consists of both liquid and less
liquid assets, it will take varied time periods to realise assets
in an orderly manner with a view to maintaining Shareholder value.
Based on current and anticipated market conditions, the Investment
Manager estimates that the process of realising the most illiquid
assets in the Company's portfolio could require a further period of
up to 18 months. The Board will continue to monitor the realisation
of assets and distribute realisation proceeds to Shareholders as it
deems appropriate.
Performance
The first half of 2023 saw positive returns across credit
markets and for fixed income more broadly and this was reflected in
the Company's results.
Over the first half of 2023, the Company's share price total
return was 7.24% per Sterling Ordinary Share and the Company's Net
Asset Value ("NAV") total return per share was 3.81%.
Over the first six months of 2023, the global high yield bond
market saw solid returns, driven by better-than-expected economic
data and robust earnings results from most issuers together with
declining rates of inflation. This was despite bouts of volatility
from concerns over sticky inflation, more hawkish central banks,
the mini-banking crisis and rising recession risk in the earlier
part of the year. Credit markets performed well across the board in
the first half of 2023 as the ICE BofA Global High Yield Index
returned 4.94%, with lower rated segments outperforming as CCC
& below and single-Bs were up 8.30% and 5.65%, respectively.
The senior floating rate loan market finished the reporting period
with strong returns as the Morningstar LSTA US Leveraged Loan index
returned 6.48% and the CCC and single-Bs of the loan index also
outperformed with returns of 8.47% and 7.19%, respectively.
Global high yield spreads-as measured by the ICE BofA Global
High Yield Constrained Index-narrowed by 58 basis points in 1H2023.
That said, we believe current valuations are still compensating
investors for the average default outlook based on the managers'
bottom-up default risk assessment, even in the event of a mild
recession during the remaining part of 2023 and/or into 2024.
The tightening of financial conditions has resulted in some
bouts of risk-off market sentiment so far in 2023 with a few of the
key events being the mini-banking crisis, concerns over rising
recession risk and the U.S. debt ceiling debacle, all of which were
either resolved or concerns grew less acute over the late
spring/early summer months. The Fund's exposure to Floating Rate
base instruments-which varied between 68% and 75% of assets through
the period-acted to boost performance given the rising returns
available in floating rate assets.
The spread premia required for credit did decrease over the
period, particularly so in lower rated credits such as CCC and
below. The Fund did have some selective exposure to CCC rated
issuers. That said, the CCC issuers in the Fund had a higher dollar
price, on average, than that of the index which was the result of
of the Investment Manager's differentiated views of the individual
CCC credits based on their proprietary internal credit ratings.
As at 30 June 2023, the Portfolio's current yield was 11.82%,
and the yield to maturity was 15.9% compared to 31 December 2022
when the Portfolio's yield was 10.51%, and the yield to maturity
was 13.99%.
Portfolio Positioning
At 30 June 2023, the portfolio was exposed to Global Floating
Rate Loans (14%), Global High Yield bonds (14%), Private Debt
(41%), CLO debt (5%) and Special situations (26%). Of this, 45% was
invested in floating rate assets with the remainder in fixed rate
debt, with a combined duration of 0.97 years. In terms of rating,
4.6% was BB, 31.5% was single B and 42.3% was CCC, with the
remainder being unrated.
Dividends
Following the results of the 27 January 2023 EGM, the Company
moved to paying dividends on a quarterly rather than monthly basis,
with the first such dividend being paid in relation to the period
ended 31 March 2023.
The most recent dividend was GBP2.2 million, equating to
GBP0.023 per Sterling Ordinary Share in respect of the quarter
ended 30 June 2023
The Board intends to pay quarterly dividends where there is
sufficient net income to do so. As the Managed Wind-down (refer to
the paragraph on the EGM results below) progresses, the Board
anticipates that the income from the Portfolio will gradually
reduce. As a result of this reduction, the Company may have
insufficient net income to pay dividends.
Outlook
The Board believes that while underlying credit fundamentals
have likely peaked, issuer balance sheets are entering a period of
slower growth from a position of relative strength. In the past
year, central banks around the world have increased interest rates
at a pace not seen for many decades and the Board is mindful that
the impact thereof is yet to fully feed through. The macro-economic
outlook, should it deteriorate, may have an impact on trading
liquidity conditions which in turn could impact both the speed of
realisations of assets in the portfolio as well as the Investment
Manager's ability to achieve attractive price levels.
Thank you for your continued support
Rupert Dorey
Chair
15 September 2023
STRATEGIC REVIEW | Investment Manager's Report
Investment Manager's Report
Market and Macroeconomic Environment
Non-investment grade credit markets finished the year-to-date
period ended 30 June 2023 with strong returns, mostly driven by
resilient economic data, a pause in Fed rate hikes and better than
expected earnings results from most issuers. High yield spreads
tightened significantly over the period on receding recession fears
and despite a more hawkish tone late in the quarter from some
central banks. U.S. loan market weighted average bid prices
increased 85 basis points in the second quarter to close at $94.24.
The European loan market saw more modest positive returns in the
last month of the quarter as bid prices closed slightly lower at
EUR94.42 up from first quarter-end levels where the bid closed at
EUR93.26. Although defaults have risen from last year's lows, the
default rate remains low and issuer fundamentals of free cash flow,
interest coverage and leverage have stayed in relatively favourable
ranges with the default outlook for 2023 still around the long-term
average.
In the reporting period, U.S. senior floating rate
loans-measured by the Morningstar LSTA U.S. Leveraged Loan Index
(the "LLI")-returned 6.48% with the middle and lowest rated credit
tiers outperforming as the BB, B and CCC rated segments of the LLI
returned 4.95%, 7.19% and 8.47%, respectively. The Morningstar
European Leveraged Loan Index ("ELLI") returned 7.06% (excluding
currency) in the period with B rated loans outperforming with a
return of 7.36% (excluding currency), as compared the BB and CCC
index with returns of 5.05% and 2.88%, respectively (excluding
currency).
The global high yield bond market finished the reporting period
with solid returns. The ICE BofA Global High Yield Constrained
Index returned 4.94% year to date through 30 June 2023. In the
period, CCCs outperformed with returns of 8.30% compared to BB and
B returns of 3.91% and 5.65%, respectively,
CLO debt spreads tightened over the reporting period, as various
economic data continued to point towards a slowing bias in the pace
of rate hikes, with tightening further supported by an increase in
the price of loans. The CLO BB index gained 8.44% year to date.
Returns have been driven primarily by coupon income and to a lesser
extent by price appreciation.
Performance 31 December 2022 to 30 June 2023
For the year to date period ended 30 June 2023, the NB Global
Monthly Income Fund-Sterling Share Class GBP-returned 4.13%.
(Performance data quoted represents past performance and does not
indicate future results. Total returns shown are net of all fees
and expenses and include reinvestment of income dividends and other
distributions, if any).
During the period, holdings in the Diversified Financial
Services, Technology & Electronics and Support-Services sectors
were the most significant drivers of performance whilst holdings in
the Media-Cable, Media-Broadcast and Theaters & Entertainment
sectors were the largest detractors from performance. The Company's
positioning in B and CCC & below rated issuers added the most
to performance whilst positioning in BB and Not Rated issuers added
the least over the period.
As at 30 June 2023, Private Debt was the portfolio's largest
allocation at 41% followed by Distressed Debt and U.S. Yield at
11.9% and 11.2%, respectively. The Company's allocation to BB rated
credits was 5.0% whilst the exposure to B and CCC & below rated
issuers finished the period at 34.2% and 45.6%, respectively. The
overall Fund exposure to USD assets was at 86% at the end of the
reporting period, with an average duration of 0.93 years. Regarding
sector allocation, the top three weights included Software, Health
Care Providers & Services and Diversified Financial Services
whilst the bottom three weights included Wireless
Telecommunications Services, Household Products and Oil, Gas &
Consumable Fuels.
Portfolio Positioning
As at June 30 2023
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As at December 31 2022
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Outlook
In our view, non-investment grade valuations are more than
compensating investors for the benign default outlook; these
instruments will continue to provide durable income and are
especially attractive compared to other fixed income alternatives.
The lagged effects of monetary tightening, rising inventories and
changes in consumer behaviour are likely to continue to push the
rate of inflation in a downward trend which has already led to a
pause in some central banks' rate hike campaigns. Importantly, our
analysts remain focused on the specific credit fundamentals of
individual issuers in their coverage, assessing the base and
downside cases in the event of a soft landing or recession.
Relatively healthy consumer and business balance sheets and growing
nominal GDP should continue to remain supportive for issuer
fundamentals, in our view. While the incoming macroeconomic data
and overall credit cycle dynamics can move non-investment grade
credit markets day-to-day, we remain very focused on
industry-specific trends and idiosyncratic risks to individual
issuers.
Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited
15 September 2023 15 September 2023
STRATEGIC REVIEW | Portfolio Information
Portfolio Information
Top 10 Issuers as at 30 June 2023 (excluding cash)
ISSUER SECTOR FAIR PORTFOLIO
VALUE WEIGHT
($)
------------------------- ------------------------ ---------- ----------
CHARIOT BUYER LLC Building & Development 5,101,350 5.75%
------------------------- ------------------------ ---------- ----------
Business Equipment &
BROCK HOLDINGS III LLC Services 5,095,913 5.75%
------------------------- ------------------------ ---------- ----------
PHOENIX NEWCO INC Health Care 3,348,800 3.78%
------------------------- ------------------------ ---------- ----------
Retailers (except food
EG GROUP LTD and drug) 2,615,405 2.95%
------------------------- ------------------------ ---------- ----------
REDSTONE BUYER LLC Electronics/Electrical 2,357,277 2.66%
------------------------- ------------------------ ---------- ----------
CD&R DOCK BIDCO LTD Food Service 2,076,150 2.34%
------------------------- ------------------------ ---------- ----------
Business Equipment &
IVANTI SOFTWARE INC Services 2,019,452 2.28%
------------------------- ------------------------ ---------- ----------
VARSITY BRANDS HOLDING
CO INC Clothing & Textiles 1,996,853 2.25%
------------------------- ------------------------ ---------- ----------
ASSUREDPARTNERS INC Insurance 1,964,772 2.22%
------------------------- ------------------------ ---------- ----------
KESTREL ACQUISITION LLC Utilities 1,909,547 2.15%
------------------------- ------------------------ ---------- ----------
Top 10 S&P Sector Breakdown
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Top 10 S&P Sector Breakdown
Key Statistics 30 JUNE 2023 31 DECEMBER
2022
------------------------- ------------ -----------
Current Gross Portfolio
Yield (1) 11.82% 10.51%
------------------------- ------------ -----------
Number of Investments 98 231
------------------------- ------------ -----------
Number of Issuers 84 193
------------------------- ------------ -----------
1 The Company's Current Gross Portfolio Yield is a market-value
weighted average of the current yields of the holdings in the
portfolio, calculated as the coupon (base rate plus spread) divided
by current price. The calculation does not take into account any
fees, Company expenses or sales charges paid, which would reduce
the results. The Current Gross Portfolio Yield for the Company will
fluctuate from month to month. The Current Gross Portfolio Yield
should be regarded as an estimate of the Company's rate of
investment income and it will not equal what is distributed by way
of dividends by the Company.
GOVERNANCE | Interim Management Report and Directors'
Responsibility Statement
Interim Management Report and Directors' Responsibility
Statement
Principal Risks and Uncertainties
The principal risks of the Company are in the following
areas:
-- macro-economic conditions;
-- credit risk;
-- geographical risks;
-- concentration risk;
-- liquidity risk;
-- investment activity and performance;
-- level of discount or premium; and
-- operational risk.
These risks, and the way in which they are managed, are
described in more detail in the Strategic Report of the Company's
latest annual report and audited financial statements for the year
ended 31 December 2022, which can be found on the Company's
website. The Board's view is that these risks remain appropriately
identified for the remainder of 2023. In addition to the Principal
Risks, there remains the ongoing Russia-Ukraine conflict and the
potential for it to still impact European food and energy prices
("Ukraine Conflict"), as well as the successive interest rate hikes
implemented by major Western governments in an attempt to bring
inflation under control ("Inflation Risk"). The Board considers
that downside risk to global growth and delay in global economic
recovery and market liquidity arising from the Ukraine Conflict and
higher interest rates could potentially result in a risk of a
reduction in portfolio performance. The Investment Manager reviews
the portfolio on a regular basis for the impact of these economic
challenges on underlying assets' performance. In addition, the
Board reviews the Company's risks on a quarterly basis and will
continue to review the specific impacts of the Ukraine Conflict and
the follow on effects to the general economy of higher interest
rates as further information becomes available.
A brief description of each of the Principal Risks is detailed
below:
Macroeconomic Conditions
Macroeconomic conditions can change significantly and to the
detriment of the portfolio or the Company causing a credit or
liquidity risk to crystallise.
Credit Risk
The key risk for the Company remains credit risk i.e. that the
Company buys a loan or bond of a particular issuer and it does not
perform as expected and either defaults on a payment or experiences
a significant drop in the secondary market value.
Concentration Risk
Since the amendment of the Company's Investment Objective and
Policy on 27 January 2023 and the commencement of realisation of
assets, the proportion of less liquid assets such as private debt
as a percentage of total assets has increased. By definition, these
less liquid assets trade in a smaller market and are subject to
specific buyer underwriting and often protracted negotiation upon
disposal which introduces further risk. With fewer assets held, the
concentration risk with respect to the remaining assets in the
portfolio has increased. As the realisation process continues and
the number of holdings reduces further, portfolio diversification
benefits will decrease further.
Geographical risks
The Company may invest a relatively large percentage of its
assets in issuers located in a single country, a small number of
countries, or a particular geographic region. At 30 June 2023,
74.7% of the portfolio was invested in issuers domiciled in the
US.
Liquidity Risk
Liquidity risk is the risk that the Company will not be able to
meet its obligations as and when these fall due.
Investment Activity and Performance
The Company's investment activity and performance could fall
below its stated objective or peer group for a variety of reasons
including market conditions.
Level of Discount or Premium
A discount or premium to NAV can occur for a variety of reasons,
including market conditions or to the extent investors undervalue
the management activities of the Investment Manager or discount
their valuation methodology and judgment.
Operational Risk
Disruption to, or the failure of either the Investment
Manager's, Administrator's or Sub- Administrator's accounting,
dealings or payment systems, or the Custodian's records could
prevent the accurate reporting or monitoring of the Company's
financial position and the receipt or transmission of payments and
the safeguarding of the Company's assets.
Going Concern
As a result of the Company being placed into managed winddown on
27 January 2023, consideration was made to present these Financial
Statements on the liquidation basis of accounting in accordance
with Accounting Standard Update ("ASU") 2013-07, "Presentation of
Financial Statements (Topic 205) - Liquidation Basis of Accounting.
Factors such as the difference in valuation of the Company's assets
using the going concern and the liquidation bases, and the movement
in NAV due to accrual of costs to liquidation were considered. It
was established that the liquidation basis of accounting has no
material impact on the information disclosed. The Financial
Statements have therefore been prepared on a going concern basis
for the period ended 30 June 2023.
After making enquiries of the Investment Manager and the
Sub-Administrator, the Directors are satisfied that the Company has
adequate resources to discharge its liabilities as they fall due
for at least one year from the date these Financial Statements were
approved. Accordingly, the Directors continued to adopt a going
concern basis in preparing these Financial Statements.
Related Party Transactions
Other than fees payable in the ordinary course of business,
there have been no material transactions with related parties,
which have affected the financial position or performance of the
Company in the six-month period to 30 June 2023. Additional related
party disclosures are given in Note 3.
Directors' Responsibilities Statement
The Board of Directors confirms that, to the best of its
knowledge:
The Financial Statements have been prepared in conformity with
US generally accepted accounting principles )"US GAAP"), give a
true and fair view of the assets, liabilities, financial position
and the return of the undertakings included in the consolidation as
a whole as required by DTR 4.2.4R of the Disclosure Guidance and
Transparency Rules ("DTR") of the UK's Financial Conduct
Authority.
The combination of the Chair's Statement, the Investment
Manager's Report and this Interim Management Report meet the
requirements of an Interim Management Report, and include a fair
review of the information required by:
1 . DTR 4.2.7R of the DTR, of the U.K.'s FCA, being an
indication of important events that have occurred during the first
six months of the year and their impact on the set of Financial
statements; and a description of the principal risks and
uncertainties for the remaining six months of the year; and
2. DTR 4.2.8R of the DTR, of the U.K.'s FCA, being related party
transactions that have taken place in the first six months of the
current year and that have materially affected these Financial
Statements or performance of the Company during that period and any
material changes in the related party transactions described in the
last annual report that could have such a material effect.
By order of the Board
Rupert Dorey
Chair
15 September 2023
GOVERNANCE | Independent Review Report
Independent Review Report to the members of NB Global Monthly
Income Fund Limited
Conclusion
We have been engaged by NB Global Monthly Income Fund Limited
(the "Company") to review the financial statements in the
half-yearly financial report for the six months ended 30 June 2023
of the Company, which comprises the unaudited statement of assets
and liabilities including the unaudited condensed schedule of
investments, the unaudited statements of operations, changes in net
assets and cash flows and the related explanatory notes.
Based on our review, nothing has come to our attention that
causes us to believe that the financial statements in the
half-yearly financial report for the six months ended 30 June 2023
is not prepared, in all material respects, in conformity with U.S.
generally accepted accounting principles and the Disclosure
Guidance and Transparency Rules ("the DTR") of the UK's Financial
Conduct Authority ("the UK FCA").
Emphasis of matter relating to going concern
As discussed in note 1 to the financial statements, the
Company's shareholders approved a plan for Managed Winddown of the
Company at the Extraordinary General Meeting on 27 January 2023. As
a result, management determined liquidation became imminent on that
date. However, these financial statements are prepared on a going
concern basis as described in note 2. Our opinion is not modified
in respect of this matter.
Scope of review
We conducted our review in accordance with International
Standard on Review Engagements (UK) 2410 Review of Interim
Financial Information Performed by the Independent Auditor of the
Entity ("ISRE (UK) 2410") issued by the Financial Reporting Council
for use in the UK. A review of interim financial information
consists of making enquiries, primarily of persons responsible for
financial and accounting matters, and applying analytical and other
review procedures. We read the other information contained in the
half-yearly financial report and consider whether it contains any
apparent misstatements or material inconsistencies with the
information in the financial statements.
A review is substantially less in scope than an audit conducted
in accordance with International Standards on Auditing (UK) and
consequently does not enable us to obtain assurance that we would
become aware of all significant matters that might be identified in
an audit. Accordingly, we do not express an audit opinion.
Conclusions relating to going concern
The directors have prepared the financial statements on the
going concern basis.
Based on our review procedures, which are less extensive than
those performed in an audit as described in the Scope of review
section of this report, nothing has come to our attention to
suggest that the directors have inappropriately adopted the going
concern basis of accounting or that the directors have identified
material uncertainties relating to going concern that are not
appropriately disclosed.
This conclusion is based on the review procedures performed in
accordance with ISRE (UK) 2410.
Director's responsibilities
The half-yearly financial report is the responsibility of, and
has been approved by, the directors. The directors are responsible
for preparing the interim financial report in accordance with the
DTR of the UK FCA.
As disclosed in note 2, the annual financial statements of the
Company are prepared in conformity with U.S. generally accepted
accounting principles. The directors are responsible for preparing
the condensed set of financial statements included in the
half-yearly financial report in conformity with U.S. generally
accepted accounting principles.
In preparing the half-yearly financial report, the directors are
responsible for assessing the Company's ability to continue as a
going concern, disclosing, as applicable, matters related to going
concern and using the going concern basis of accounting.
Our responsibility
Our responsibility is to express to the Company a conclusion on
the financial statements in the half-yearly financial report based
on our review. Our conclusion, including our conclusions relating
to going concern, are based on procedures that are less extensive
than audit procedures, as described in the scope of review
paragraph of this report.
The purpose of our review work and to whom we owe our
responsibilities
This report is made solely to the Company in accordance with the
terms of our engagement letter to assist the Company in meeting the
requirements of the DTR of the UK FCA. Our review has been
undertaken so that we might state to the Company those matters we
are required to state to it in this report and for no other
purpose. To the fullest extent permitted by law, we do not accept
or assume responsibility to anyone other than the Company for our
review work, for this report, or for the conclusions we have
reached.
Dermot Dempsey
For and on behalf of KPMG Channel Islands Limited
Chartered Accountants
Guernsey
15 September 2023
FINANCIAL STATEMENTS | Unaudited Statement of Assets and
Liabilities
Unaudited Statement of Assets and Liabilities
AS AT 30 JUNE 2023 AND 31 december
2022 31 december
(Expressed in U.S. Dollars) Notes 30 JUNE 2023 2022
======================================== ======== ============== ==============
Assets
======================================== ======== ============== ==============
Investments, at fair value (2023:
cost of $104,695,090, 2022: cost
of $232,486,076) 2 88,664,908 193,977,821
======================================== ======== ============== ==============
Derivative assets, at fair value
(2023: cost of $Nil, 2022: cost
of $Nil) 2 (e) 2,031,157 13,315,197
======================================== ======== ============== ==============
Cash and cash equivalents
======================================== ======== ============== ==============
- Sterling (2023: cost of $36,346,070,
2022: cost of $66,907) 37,003,703 65,433
======================================== ======== ============== ==============
- Euro (2023: cost of $206,269,
2022: cost of $316,934) 210,251 329,874
======================================== ======== ============== ==============
- U.S. Dollar 647,065 3,708,825
======================================== ======== ============== ==============
Total cash and cash equivalents 37,861,019 4,104,132
======================================== ======== ============== ==============
128,557,084 211,397,150
======================================== ======== ============== ==============
Other assets
======================================== ======== ============== ==============
Receivables for investments sold 4,574,633 1,800,911
======================================== ======== ============== ==============
Interest receivable 1,661,087 3,057,153
======================================== ======== ============== ==============
Other receivables and prepayments 354,576 247,252
======================================== ======== ============== ==============
Total other assets 6,590,296 5,105,316
======================================== ======== ============== ==============
Total assets 135,147,380 216,502,466
======================================== ======== ============== ==============
Liabilities
======================================== ======== ============== ==============
Payables for investments purchased - 1,890,980
======================================== ======== ============== ==============
Payables to Investment Manager
and affiliates 3 260,592 389,749
======================================== ======== ============== ==============
Derivative liabilities, at fair
value (2023: proceeds of $Nil, 2
2022: proceeds of $Nil) (e) 387,320 1,142,190
======================================== ======== ============== ==============
Dividend payable - 1,439,988
======================================== ======== ============== ==============
Redemption Payable 36,205,096 -
======================================== ======== ============== ==============
Accrued expenses and other liabilities 3 228,688 280,869
======================================== ======== ============== ==============
Total liabilities 37,081,696 5,143,776
======================================== ======== ============== ==============
Total assets less liabilities 98,065,684 211,358,690
======================================== ======== ============== ==============
Share capital 602,568,568 727,332,978
======================================== ======== ============== ==============
Accumulated reserves (504,502,884) (515,974,288)
======================================== ======== ============== ==============
Total net assets 98,065,684 211,358,690
======================================== ======== ============== ==============
Net Asset Value per share GBP0.7990 GBP0.7926
======================================== ======== ============== ==============
The Financial Statements were approved and authorised for issue
by the Board of Directors on 15 September 2023, and signed on its
behalf by:
Rupert Dorey
Director
The accompanying notes form an integral part of the Unaudited
Interim Financial Statements
FINANCIAL STATEMENTS | Unaudited Condensed Schedule of
Investments
Unaudited Condensed Schedule of Investments
Fair Value
As at 30 JUNE 2023 as %
(Expressed in U.S. Dollars) Cost Fair Value of Net Assets
------------------------------------ ------------ ------------ ----------------
Portfolio of investments
------------------------------------ ------------ ------------ ----------------
Financial investments
------------------------------------ ------------ ------------ ----------------
* Private Debt 46,443,239 39,609,219 40.39%
------------------------------------ ------------ ------------ ----------------
* Special Situations 12,476,977 8,988,869 9.17%
------------------------------------ ------------ ------------ ----------------
* CLO Debt Tranches 6,471,082 5,416,157 5.52%
------------------------------------ ------------ ------------ ----------------
* Global High Yield Bonds 20,990,708 18,722,314 19.09%
------------------------------------ ------------ ------------ ----------------
* Global Floating Rate Loans 15,308,068 14,446,305 14.73%
------------------------------------ ------------ ------------ ----------------
* Equity 3,005,016 1,482,044 1.51%
------------------------------------ ------------ ------------ ----------------
Total financial investments 104,695,090 88,664,908 90.41%
------------------------------------ ------------ ------------ ----------------
Forward exchange contracts
------------------------------------ ------------ ------------ ----------------
- Euro to Sterling (87,945) (0.09%)
------------------------------------ ------------ ------------ ----------------
- Sterling to U.S. Dollar 4,280,708 4.37%
------------------------------------ ------------ ------------ ----------------
- U.S. Dollar to Euro 87,676 0.09%
------------------------------------ ------------ ------------ ----------------
- U.S. Dollar to Sterling (2,636,602) (2.69%)
------------------------------------ ------------ ------------ ----------------
1,643,837 1.68%
------------------------------------ ------------ ------------ ----------------
Fair Value
as %
Cost Fair Value of Net Assets
Geographic diversity of investment
portfolio (domicile of issuer)
------------------------------------ ------------ ------------ ----------------
Caribbean 2,117,246 1,780,249 1.82%
------------------------------------ ------------ ------------ ----------------
North America 86,590,811 73,265,374 74.70%
------------------------------------ ------------ ------------ ----------------
Europe 15,987,033 13,619,285 13.89%
------------------------------------ ------------ ------------ ----------------
104,695,090 88,664,908 90.41%
------------------------------------ ------------ ------------ ----------------
Fair Value
As at 31 december 2022 (Audited) as %
(Expressed in U.S. Dollars) Cost Fair Value of Net Assets
------------------------------------ ------------ ------------ ---------------
Portfolio of investments
------------------------------------ ------------ ------------ ---------------
Financial investments
------------------------------------ ------------ ------------ ---------------
* Private Debt 58,866,585 48,995,511 23.18%
------------------------------------ ------------ ------------ ---------------
* Special Situations 32,663,128 21,781,078 10.31%
------------------------------------ ------------ ------------ ---------------
* CLO Debt Tranches 25,802,090 21,086,321 9.98%
------------------------------------ ------------ ------------ ---------------
* Global High Yield Bonds 55,122,809 47,757,640 22.60%
------------------------------------ ------------ ------------ ---------------
* Global Floating Rate Loans 56,756,793 52,867,206 25.01%
------------------------------------ ------------ ------------ ---------------
* Equity 3,274,671 1,490,065 0.70%
------------------------------------ ------------ ------------ ---------------
Total financial investments 232,486,076 193,977,821 91.78%
------------------------------------ ------------ ------------ ---------------
Forward exchange contracts
------------------------------------ ------------ ------------ ---------------
- Euro to Sterling - 19,477 0.01%
------------------------------------ ------------ ------------ ---------------
- Sterling to U.S. Dollar - 15,514,320 7.34%
------------------------------------ ------------ ------------ ---------------
- U.S. Dollar to Euro - (1,003,290) (0.47%)
------------------------------------ ------------ ------------ ---------------
- U.S. Dollar to Sterling - (2,357,500) (1.12%)
------------------------------------ ------------ ------------ ---------------
- 12,173,007 5.76%
------------------------------------ ------------ ------------ ---------------
Fair Value
as %
Cost Fair Value of Net Assets
Geographic diversity of investment
portfolio (domicile of issuer)
------------------------------------ ------------ ------------ ---------------
Australia/Oceania 3,206,983 1,110,182 0.53%
------------------------------------ ------------ ------------ ---------------
Caribbean 8,922,164 7,508,815 3.55%
------------------------------------ ------------ ------------ ---------------
North America 182,504,305 155,536,053 73.59%
------------------------------------ ------------ ------------ ---------------
Europe 37,852,624 29,822,771 14.11%
------------------------------------ ------------ ------------ ---------------
232,486,076 193,977,821 91.78%
------------------------------------ ------------ ------------ ---------------
30 JUNE 2023 31 december 2022
Industry diversity of
Investment Portfolio (UNAUDITED) (AUDITED)
Fair
( Expressed in U.S. Dollars) Cost Fair Value Cost Value
--------------------------------- ------------ ----------- ------------ ------------
Aerospace & Defence - - 2,043,195 1,882,157
--------------------------------- ------------ ----------- ------------ ------------
Air Transport 1,875,000 1,509,810 5,375,763 5,014,192
--------------------------------- ------------ ----------- ------------ ------------
Automotive 1,936,337 1,815,000 7,079,824 4,765,562
--------------------------------- ------------ ----------- ------------ ------------
Broadcast Radio & Television - - 1,135,678 663,677
--------------------------------- ------------ ----------- ------------ ------------
Brokers, Dealers & Investment
Houses 508,752 392,993 1,017,505 687,265
--------------------------------- ------------ ----------- ------------ ------------
Business Equipment & Services 12,416,190 10,087,190 22,594,249 18,884,361
--------------------------------- ------------ ----------- ------------ ------------
Building & Development 8,729,004 8,168,005 19,296,469 17,020,351
--------------------------------- ------------ ----------- ------------ ------------
Cable & Satellite Television 779,568 413,613 6,439,158 3,615,076
--------------------------------- ------------ ----------- ------------ ------------
Chemicals & Plastics 2,440,309 1,311,900 4,801,871 3,830,361
--------------------------------- ------------ ----------- ------------ ------------
Clothing & Textiles 2,823,973 2,668,853 3,593,350 3,437,482
--------------------------------- ------------ ----------- ------------ ------------
Containers & Glass Products 974,848 926,181 2,549,486 2,185,687
--------------------------------- ------------ ----------- ------------ ------------
Drugs 362,341 372,287 362,806 306,623
--------------------------------- ------------ ----------- ------------ ------------
Electronics/Electrical 17,858,423 13,992,024 22,579,385 17,402,973
--------------------------------- ------------ ----------- ------------ ------------
Equipment Leasing - - 2,524,952 2,043,229
--------------------------------- ------------ ----------- ------------ ------------
Financial Intermediaries 10,567,122 9,004,162 33,720,708 27,477,262
--------------------------------- ------------ ----------- ------------ ------------
Food Products 1,967,237 1,600,000 2,202,118 1,972,030
--------------------------------- ------------ ----------- ------------ ------------
Food Service 2,297,491 2,076,150 3,136,450 2,562,555
--------------------------------- ------------ ----------- ------------ ------------
Health Care 15,247,995 12,601,739 22,514,402 19,000,974
--------------------------------- ------------ ----------- ------------ ------------
Industrial Equipment 2,806,158 2,634,423 13,634,769 12,507,808
--------------------------------- ------------ ----------- ------------ ------------
Insurance 4,878,935 4,260,578 6,778,546 5,656,427
--------------------------------- ------------ ----------- ------------ ------------
Leisure Goods/Activities/Movies 1,417,611 1,405,308 2,674,753 2,260,818
--------------------------------- ------------ ----------- ------------ ------------
Nonferrous Metals & Minerals - - 2,179,328 2,162,813
--------------------------------- ------------ ----------- ------------ ------------
Oil & Gas 229,522 205,326 10,572,843 10,015,444
--------------------------------- ------------ ----------- ------------ ------------
Publishing 997,655 845,830 1,952,655 1,643,505
--------------------------------- ------------ ----------- ------------ ------------
Retailers (except food
and drug) 5,639,182 5,163,413 7,491,211 6,510,001
--------------------------------- ------------ ----------- ------------ ------------
Steel - - 428,106 354,233
--------------------------------- ------------ ----------- ------------ ------------
Surface Transport 1,978,588 1,480,000 4,504,697 3,714,474
--------------------------------- ------------ ----------- ------------ ------------
Telecommunications/Cellular
Communications 177,182 142,159 6,834,885 4,864,626
--------------------------------- ------------ ----------- ------------ ------------
Utilities 5,785,667 5,587,964 12,466,914 11,535,855
--------------------------------- ------------ ----------- ------------ ------------
104,695,090 88,664,908 232,486,076 193,977,821
--------------------------------- ------------ ----------- ------------ ------------
As at 30 June 2023, investments with issuers which were greater
than 1% of NAV (Excluding cash):
% of
Securities NAV (eXCLUDING
(EXPRESSED IN U.S. DOLLARS) Country Industry Fair Value CASH)
============================== ========== ========================== =========== ================
Chariot Buyer LLC 5,101,350 5.20%
---------------------------------------------------------------------- ----------- ----------------
United
Chariot Buyer LLC States Building & Development 5,101,350 5.20%
------------------------------ ---------- -------------------------- ----------- ----------------
Brock Holdings III Inc 5,095,913 5.20%
---------------------------------------------------------------------- ----------- ----------------
Brock Holdings Notes 15% United Business Equipment
04/24/24 States & Services 3,760,772 3.84%
------------------------------ ---------- -------------------------- ----------- ----------------
United Business Equipment
Brock Holdings III Inc States & Services 1,335,141 1.36%
------------------------------ ---------- -------------------------- ----------- ----------------
Phoenix Newco Inc 3,348,800 3.41%
---------------------------------------------------------------------- ----------- ----------------
United
Phoenix Newco Inc States Health Care 3,348,800 3.41%
------------------------------ ---------- -------------------------- ----------- ----------------
EG Group Ltd 2,615,405 2.67%
---------------------------------------------------------------------- ----------- ----------------
EG Group Ltd 2L TL EUR United Retailers (except
02/21 Kingdom food and drug) 2,050,198 2.09%
------------------------------ ---------- -------------------------- ----------- ----------------
United Retailers (except
Optfin TL B1 1L EUR Kingdom food and drug) 565,207 0.58%
------------------------------ ---------- -------------------------- ----------- ----------------
Redstone Buyer LLC 2,357,277 2.40%
---------------------------------------------------------------------- ----------- ----------------
United
Redstone Buyer LLC States Electronics/Electrical 1,963,827 2.00%
------------------------------ ---------- -------------------------- ----------- ----------------
United
Redstone Buyer LLC States Electronics/Electrical 393,450 0.40%
------------------------------ ---------- -------------------------- ----------- ----------------
CD&R Dock Bidco Ltd 2,076,150 2.12%
====================================================================== =========== ================
United
CD&R Dock Bidco Ltd Kingdom Food Service 1,810,492 1.85%
============================== ---------- -------------------------- =========== ================
United
CD&R Dock Bidco Ltd Kingdom Food Service 265,658 0.27%
============================== ---------- -------------------------- =========== ================
Ivanti Software Inc 2,019,452 2.06%
---------------------------------------------------------------------- ----------- ----------------
United
Ivanti 1L TL-B 11/20 States Electronics/Electrical 1,480,952 1.51%
------------------------------ ---------- -------------------------- ----------- ----------------
Ivanti Software 1L TL-B United Business Equipment
02/21 States & Services 538,500 0.55%
------------------------------ ---------- -------------------------- ----------- ----------------
Varsity Brands Holding
Co Inc 1,996,853 2.04%
---------------------------------------------------------------------- ----------- ----------------
Varsity Brands Holding United
Co Inc States Clothing & Textiles 1,996,853 2.04%
------------------------------ ---------- -------------------------- ----------- ----------------
AssuredPartners Inc 1,964,772 2.00%
---------------------------------------------------------------------- ----------- ----------------
AssuredPartners Inc 5.625% United
01/15/29 States Insurance 1,640,195 1.67%
------------------------------ ---------- -------------------------- ----------- ----------------
AssuredPartners Inc 5.625% United
01/15/29 States Insurance 324,577 0.33%
------------------------------ ---------- -------------------------- ----------- ----------------
Kestrel Acquisition LLC 1,909,547 1.95%
---------------------------------------------------------------------- ----------- ----------------
United
Kestrel Acquisition LLC States Utilities 1,909,547 1.95%
------------------------------ ---------- -------------------------- ----------- ----------------
Team Services Group LLC 1,874,920 1.91%
---------------------------------------------------------------------- ----------- ----------------
United
Team Services 1L TL 10/20 States Health Care 944,920 0.96%
------------------------------ ---------- -------------------------- ----------- ----------------
United
Team Services 2L TL 10/20 States Health Care 930,000 0.95%
------------------------------ ---------- -------------------------- ----------- ----------------
Quantum Health Inc 1,724,800 1.76%
---------------------------------------------------------------------- ----------- ----------------
United
Quantum Health 1L TL 11/20 States Health Care 1,724,800 1.76%
------------------------------ ---------- -------------------------- ----------- ----------------
FCG Acquisitions Inc 1,709,423 1.74%
---------------------------------------------------------------------- ----------- ----------------
United
FCQ Acquisitions Inc States Industrial Equipment 1,709,423 1.74%
------------------------------ ---------- -------------------------- ----------- ----------------
The Edelman Financial
Group Inc 1,704,510 1.74%
---------------------------------------------------------------------- ----------- ----------------
Edelman Financial 2L TL United
06/18 States Financial Intermediaries 1,704,510 1.74%
------------------------------ ---------- -------------------------- ----------- ----------------
Palmer Square European
CLO DAC 1,651,350 1.68%
---------------------------------------------------------------------- ----------- ----------------
Palmer Square FLT 04/15/31 Ireland Financial Intermediaries 1,004,767 1.02%
------------------------------ ---------- -------------------------- ----------- ----------------
Palmer Square FLT 04/15/31 Ireland Financial Intermediaries 646,583 0.66%
------------------------------ ---------- -------------------------- ----------- ----------------
Team Health Holdings Inc 1,622,337 1.65%
---------------------------------------------------------------------- ----------- ----------------
United
Team Health Holdings Inc States Health Care 1,622,337 1.65%
------------------------------ ---------- -------------------------- ----------- ----------------
% of
Securities NAV (eXCLUDING
(EXPRESSED IN U.S. DOLLARS) Country Industry Fair Value CASH)
============================== ========== ========================== =========== ================
Woof Intermediate Inc 1,600,000 1.63%
---------------------------------------------------------------------- ----------- ----------------
Woof Intermediate Inc 2L United
TL-B 12/20 States Food Products 1,600,000 1.63%
------------------------------ ---------- -------------------------- ----------- ----------------
Vistajet Malta Finance
Plc 1,509,810 1.54%
---------------------------------------------------------------------- ----------- ----------------
Vistajet Malta Finance
Plc 6.375% 02/01/30 Malta Air Transport 1,509,810 1.54%
------------------------------ ---------- -------------------------- ----------- ----------------
ConvergeOne Holdings Inc 1,431,713 1.46%
---------------------------------------------------------------------- ----------- ----------------
United
ConvergeOne 1L TL 01/19 States Electronics/Electrical 1,078,273 1.10%
------------------------------ ---------- -------------------------- ----------- ----------------
United
ConvergeOne 2L TL 01/19 States Electronics/Electrical 353,440 0.36%
------------------------------ ---------- -------------------------- ----------- ----------------
Asurion LLC 1,428,306 1.46%
---------------------------------------------------------------------- ----------- ----------------
United
Asurion 2L TL-B4 07/21 States Insurance 1,428,306 1.46%
------------------------------ ---------- -------------------------- ----------- ----------------
Tecta America 1,398,750 1.43%
---------------------------------------------------------------------- ----------- ----------------
United
Tecta America 2L TL 03/21 States Building & Development 1,398,750 1.43%
------------------------------ ---------- -------------------------- ----------- ----------------
Constant Contact Inc 1,245,000 1.27%
---------------------------------------------------------------------- ----------- ----------------
Constant Contact 2L TL United
02/21 States Electronics/Electrical 1,245,000 1.27%
---------- --------------------------
Post CLO Ltd 1,190,745 1.21%
====================================================================== =========== ================
Post CLO Ltd 2018-1X FLT United
04/16/31 States Financial Intermediaries 1,190,745 1.21%
============================== ---------- -------------------------- =========== ================
SRS Distribution Inc 1,152,949 1.18%
---------------------------------------------------------------------- ----------- ----------------
SRS Distribution Inc 6.125% United
07/01/29 States Building & Development 1,152,949 1.18%
------------------------------ ---------- -------------------------- ----------- ----------------
Maverick Bidco Inc 1,131,250 1.15%
---------------------------------------------------------------------- ----------- ----------------
United
Maverick Bidco Inc States Electronics/Electrical 1,131,250 1.15%
------------------------------ ---------- -------------------------- ----------- ----------------
Condor Merger Sub Inc 1,117,193 1.14%
---------------------------------------------------------------------- ----------- ----------------
Condor Merger Sub Inc 7.375% United Business Equipment
02/15/30 States & Services 1,117,193 1.14%
------------------------------ ---------- -------------------------- ----------- ----------------
EG Global Finance Plc 1,096,401 1.12%
---------------------------------------------------------------------- ----------- ----------------
EG Global Finance Plc 8.500% United Retailers (except
10/30/25 Kingdom food and drug) 1,096,401 1.12%
------------------------------ ---------- -------------------------- ----------- ----------------
Sophia LP 1,094,500 1.12%
---------------------------------------------------------------------- ----------- ----------------
United
Sophia LP States Electronics/Electrical 1,094,500 1.12%
------------------------------ ---------- -------------------------- ----------- ----------------
54,169,476 55.24%
-------------------------------------------------------------------- ----------- ----------------
As at 31 December 2022, investments with issuers which were
greater than 1% of NAV (Excluding cash) (Audited):
% of
Securities NAV (eXCLUDING
(EXPRESSED IN U.S. DOLLARS) Country Industry Fair Value CASH)
============================== ========== ======================== ============ ================
Chariot Buyer LLC 5,005,500 2.37%
-------------------------------------------------------------------- ------------ ----------------
United
Chariot Buyer LLC States Building & Development 5,005,500 2.37%
------------------------------ ---------- ------------------------ ------------ ----------------
Brock Holdings III Inc 4,833,532 2.29%
-------------------------------------------------------------------- ------------ ----------------
Brock Holdings Notes 15% United Business Equipment
04/24/24 States & Services 3,498,391 1.66%
------------------------------ ---------- ------------------------ ------------ ----------------
United Business Equipment
Brock Holdings III Inc States & Services 1,335,141 0.63%
------------------------------ ---------- ------------------------ ------------ ----------------
Phoenix Newco Inc 3,421,600 1.62%
-------------------------------------------------------------------- ------------ ----------------
United
Phoenix Newco Inc States Health Care 3,421,600 1.62%
------------------------------ ---------- ------------------------ ------------ ----------------
EG Group Ltd 3,142,756 1.48%
-------------------------------------------------------------------- ------------ ----------------
EG Group Ltd 2L TL EUR United Retailers (except
02/21 Kingdom food and drug) 1,842,558 0.88%
------------------------------ ---------- ------------------------ ------------ ----------------
United Retailers (except
Optfin TL B 1L GBP Kingdom food and drug) 785,314 0.37%
------------------------------ ---------- ------------------------ ------------ ----------------
United Retailers (except
Optfin TL B1 1L EUR Kingdom food and drug) 514,884 0.23%
------------------------------ ---------- ------------------------ ------------ ----------------
Praire ECI Acquiror LP 2,856,981 1.35%
-------------------------------------------------------------------- ------------ ----------------
United
Praire ECI Acquiror LP States Oil & Gas 2,856,981 1.35%
------------------------------ ---------- ------------------------ ------------ ----------------
First Brands Group LLC 2,751,630 1.30%
-------------------------------------------------------------------- ------------ ----------------
First Brands Group LLC United
1L TL-B 03/21 States Automotive 1,854,960 0.88%
------------------------------ ---------- ------------------------ ------------ ----------------
First Brands Group LLC United
2L TL 03/21 States Automotive 896,670 0.42%
------------------------------ ---------- ------------------------ ------------ ----------------
CD&R Dock Bidco Ltd 2,562,555 1.22%
==================================================================== ------------ ----------------
United
CD&R Dock Bidco Ltd Kingdom Food Service 2,315,960 1.10%
============================== ---------- ------------------------ ------------ ----------------
United
CD&R Dock Bidco Ltd Kingdom Food Service 246,595 0.12%
------------------------------ ---------- ------------------------ ------------ ----------------
Team Health Holdings Inc 2,379,410 1.12%
==================================================================== ------------ ----------------
United
Team Health Holdings Inc States Health Care 1,783,002 0.85%
------------------------------ ---------- ------------------------ ------------ ----------------
Team Health Holdings Inc United
6.375% 02/01/25 States Health Care 596,408 0.28%
------------------------------ ---------- ------------------------ ------------ ----------------
Tecta America 2,360,638 1.12%
-------------------------------------------------------------------- ------------ ----------------
Tecta America Corp TL 2L United
03/21 States Building & Development 1,417,500 0.67%
------------------------------ ---------- ------------------------ ------------ ----------------
Tecta America Corp 1L 2L United
03/21 States Building & Development 943,138 0.45%
============================== ---------- ------------------------ ============ ================
Cova Holdings LLC 2,162,813 1.02%
==================================================================== ============ ================
United Nonferrous Metals
Cova Holdings LLC States & Minerals 2,162,813 1.02%
------------------------------ ---------- ------------------------ ------------ ----------------
Asurion LLC 2,147,553 1.02%
-------------------------------------------------------------------- ------------ ----------------
United
Asurion LLC 2L TL-B4 07/21 States Insurance 1,398,877 0.66%
------------------------------ ---------- ------------------------ ------------ ----------------
United
Asurion LLC States Insurance 748,676 0.36%
------------------------------ ---------- ------------------------ ------------ ----------------
Genesis Energy 2,118,380 1.00%
-------------------------------------------------------------------- ------------ ----------------
Genesis Energy LP/FIN 8.000% United
01/15/27 States Oil & Gas 1,220,822 0.58%
------------------------------ ---------- ------------------------ ------------ ----------------
Genesis Energy LP/FIN 6.500% United
10/01/25 States Oil & Gas 897,558 0.42%
------------------------------ ---------- ------------------------ ------------ ----------------
35,743,348 16.91%
------------------------------------------------------------------ ------------ ----------------
As at 30 June 2023, the below were the largest 50 investments
based on the NAV:
Securities Fair
(EXPRESSED IN U.S. value
DOLLARS) Country Industry $ %
------------------------- ---------------- -------------------------- ----------- -------
Chariot Buyer LLC United States Building & Development 5,101,350 5.20%
------------------------- ---------------- -------------------------- ----------- -------
Brock Holdings Notes Business Equipment
15% 04/24/24 United States & Services 3,760,772 3.83%
------------------------- ---------------- -------------------------- ----------- -------
Phoenix Newco Inc United States Health Care 3,348,800 3.41%
------------------------- ---------------- -------------------------- ----------- -------
EG Group Ltd 2L TL Retailers (except
EUR 02/21 United Kingdom food and drug) 2,050,198 2.09%
------------------------- ---------------- -------------------------- ----------- -------
Varsity Brands Holding
Co Inc United States Clothing & Textiles 1,996,853 2.04%
------------------------- ---------------- -------------------------- ----------- -------
Redstone Buyer LLC United States Electronics/Electrical 1,963,827 2.00%
------------------------- ---------------- -------------------------- ----------- -------
Kestrel Acquisition
LLC United States Utilities 1,909,547 1.95%
------------------------- ---------------- -------------------------- ----------- -------
CD&R Dock Bidco Ltd United Kingdom Food Service 1,810,491 1.85%
------------------------- ---------------- -------------------------- ----------- -------
Quantum Health Inc United States Health Care 1,724,800 1.76%
------------------------- ---------------- -------------------------- ----------- -------
FCG Acquisitions
Inc United States Industrial Equipment 1,709,423 1.74%
------------------------- ---------------- -------------------------- ----------- -------
The Edelman Financial
Group Inc United States Financial Intermediaries 1,704,510 1.74%
------------------------- ---------------- -------------------------- ----------- -------
Assuredpartners Inc United States Insurance 1,640,195 1.67%
------------------------- ---------------- -------------------------- ----------- -------
Team Health Holdings
Inc United States Health Care 1,622,337 1.65%
------------------------- ---------------- -------------------------- ----------- -------
Woof Intermediate
Inc United States Food Products 1,600,000 1.63%
------------------------- ---------------- -------------------------- ----------- -------
Vistajet Malta 6.375%
02/01/30 Malta Air Transport 1,509,810 1.54%
------------------------- ---------------- -------------------------- ----------- -------
Ivanti Software Inc United States Electronics/Electrical 1,480,951 1.51%
------------------------- ---------------- -------------------------- ----------- -------
Asurion LLC United States Insurance 1,428,306 1.46%
------------------------- ---------------- -------------------------- ----------- -------
Tecta America Corp United States Building & Development 1,398,750 1.43%
------------------------- ---------------- -------------------------- ----------- -------
Brock Holdings III Business Equipment
LLC United States & Services 1,335,141 1.36%
------------------------- ---------------- -------------------------- ----------- -------
Constant Contact
Inc United States Electronics/Electrical 1,245,000 1.27%
------------------------- ---------------- -------------------------- ----------- -------
Post CLO Ltd Post_18-1A United States Financial Intermediaries 1,190,745 1.21%
------------------------- ---------------- -------------------------- ----------- -------
SRS Distribution
Inc United States Building & Development 1,152,949 1.18%
------------------------- ---------------- -------------------------- ----------- -------
Maverick Bidco Inc United States Electronics/Electrical 1,131,250 1.15%
------------------------- ---------------- -------------------------- ----------- -------
Condor Merger Sub Business Equipment
Inc United States & Services 1,117,193 1.14%
------------------------- ---------------- -------------------------- ----------- -------
EG Global Finance Retailers (except
Plc United Kingdom food and drug) 1,096,401 1.12%
------------------------- ---------------- -------------------------- ----------- -------
Sophia LP United States Electronics/Electrical 1,094,500 1.12%
------------------------- ---------------- -------------------------- ----------- -------
Convergeone Holdings
Inc United States Electronics/Electrical 1,078,273 1.10%
------------------------- ---------------- -------------------------- ----------- -------
Palmer Square European
CLO DAC Plmer_21-1 Ireland Financial Intermediaries 1,004,768 1.02%
------------------------- ---------------- -------------------------- ----------- -------
Realpage Inc United States Electronics/Electrical 965,830 0.98%
------------------------- ---------------- -------------------------- ----------- -------
Retailers (except
CNT Holdings I Corp United States food and drug) 953,330 0.97%
------------------------- ---------------- -------------------------- ----------- -------
Team Services Group
LLC 1L TL 10/20 United States Health Care 944,920 0.96%
------------------------- ---------------- -------------------------- ----------- -------
Team Services Group
LLC 2L TL 10/20 United States Health Care 930,000 0.95%
------------------------- ---------------- -------------------------- ----------- -------
Summit Behavioral
Healthcare LLC United States Health Care 930,000 0.95%
------------------------- ---------------- -------------------------- ----------- -------
Klockner Pentaplast Containers & Glass
Of America Inc United States Products 926,181 0.94%
------------------------- ---------------- -------------------------- ----------- -------
Safe Fleet Holdings
LLC United States Automotive 925,000 0.94%
------------------------- ---------------- -------------------------- ----------- -------
Engineered Machinery
Holdings Inc United States Industrial Equipment 925,000 0.94%
------------------------- ---------------- -------------------------- ----------- -------
Project Sky Merger
Sub Inc United States Electronics/Electrical 900,000 0.92%
------------------------- ---------------- -------------------------- ----------- -------
First Brands Group
LLC United States Automotive 890,000 0.91%
------------------------- ---------------- -------------------------- ----------- -------
US Anesthesia Partners
Inc United States Health Care 890,000 0.91%
------------------------- ---------------- -------------------------- ----------- -------
Broadstreet Partners
Inc United States Insurance 867,500 0.88%
------------------------- ---------------- -------------------------- ----------- -------
Ascend Learning LLC United States Publishing 845,830 0.86%
------------------------- ---------------- -------------------------- ----------- -------
AA Bond Co Ltd United States Financial Intermediaries 841,635 0.86%
------------------------- ---------------- -------------------------- ----------- -------
Polaris Newco LLC United States Electronics/Electrical 827,705 0.84%
------------------------- ---------------- -------------------------- ----------- -------
New Fortress Energy
Inc United States Utilities 823,289 0.84%
------------------------- ---------------- -------------------------- ----------- -------
Lightstone Holdco
LLC United States Utilities 822,223 0.84%
------------------------- ---------------- -------------------------- ----------- -------
Eaton Vance CDO Ltd
18-1X Cayman Islands Financial Intermediaries 815,218 0.83%
------------------------- ---------------- -------------------------- ----------- -------
Precisely Software
Inc United States Electronics/Electrical 812,963 0.83%
------------------------- ---------------- -------------------------- ----------- -------
Palmer Square European
CLO DAC Plmer_22-1X Ireland Financial Intermediaries 793,812 0.81%
------------------------- ---------------- -------------------------- ----------- -------
WWEX UNI Topco Holdings
LLC United States Surface Transport 780,000 0.80%
------------------------- ---------------- -------------------------- ----------- -------
Foundational Education Business Equipment
Group Inc United States & Services 770,000 0.79%
------------------------- ---------------- -------------------------- ----------- -------
68,387,576 69.72%
--------------------------------------------------------------------- ----------- -------
As at 31 December 2022, the below were the largest 50
investments based on the NAV (Audited):
Securities Fair
(EXPRESSED IN U.S. value
DOLLARS) Country Industry $ %
-------------------------- ---------------- -------------------------- ----------- -------
Chariot Buyer LLC United States Building & Development 5,005,500 2.37%
-------------------------- ---------------- -------------------------- ----------- -------
Brock Holdings Notes Business Equipment
15% 04/24/24 United States & Services 3,498,391 1.66%
-------------------------- ---------------- -------------------------- ----------- -------
Phoenix Newco Inc United States Health Care 3,421,600 1.62%
-------------------------- ---------------- -------------------------- ----------- -------
Prairie ECI Acquiror
LP United States Oil & Gas 2,856,981 1.35%
-------------------------- ---------------- -------------------------- ----------- -------
CD&R Dock Bidco Ltd United Kingdom Food Service 2,315,960 1.10%
-------------------------- ---------------- -------------------------- ----------- -------
Nonferrous Metals
Covia Holdings LLC United States & Minerals 2,162,813 1.02%
-------------------------- ---------------- -------------------------- ----------- -------
Varsity Brands Holding
Co Inc United States Clothing & Textiles 2,006,804 0.95%
-------------------------- ---------------- -------------------------- ----------- -------
Kestrel Acquisition
LLC United States Utilities 1,936,124 0.92%
-------------------------- ---------------- -------------------------- ----------- -------
Waterbridge Midstream
Op United States Oil & Gas 1,905,812 0.90%
-------------------------- ---------------- -------------------------- ----------- -------
First Brands Group
LLC 1L TL-B 03/21 United States Automotive 1,854,960 0.88%
-------------------------- ---------------- -------------------------- ----------- -------
EG Group Ltd 2L TL Retailers (except
EUR 02/21 United Kingdom food and drug) 1,842,558 0.87%
-------------------------- ---------------- -------------------------- ----------- -------
American Airlines United States Air Transport 1,807,391 0.86%
-------------------------- ---------------- -------------------------- ----------- -------
Woof Intermediate
Inc United States Food Products 1,800,000 0.85%
-------------------------- ---------------- -------------------------- ----------- -------
Vistajet Malta 6.375%
02/01/30 Malta Air Transport 1,789,810 0.85%
-------------------------- ---------------- -------------------------- ----------- -------
Team Health Holdings
Inc United States Health Care 1,783,002 0.84%
-------------------------- ---------------- -------------------------- ----------- -------
FCG Acquisitions
Inc United States Industrial Equipment 1,706,375 0.81%
-------------------------- ---------------- -------------------------- ----------- -------
MHI Holdings LLC United States Industrial Equipment 1,677,153 0.79%
-------------------------- ---------------- -------------------------- ----------- -------
Quantum Health Inc United States Health Care 1,654,800 0.78%
-------------------------- ---------------- -------------------------- ----------- -------
Redstone Buyer LLC United States Electronics/Electrical 1,637,854 0.77%
-------------------------- ---------------- -------------------------- ----------- -------
Summit Midstream
Holdings LLC United States Utilities 1,608,657 0.76%
-------------------------- ---------------- -------------------------- ----------- -------
Cable & Satellite
CSC holdings LLC United States Television 1,601,732 0.76%
-------------------------- ---------------- -------------------------- ----------- -------
The Edelman Financial
Group Inc United States Financial Intermediaries 1,586,363 0.75%
-------------------------- ---------------- -------------------------- ----------- -------
Assuredpartners Inc United States Insurance 1,559,650 0.74%
-------------------------- ---------------- -------------------------- ----------- -------
Global Aircraft Leasing
Co Ltd United States Equipment Leasing 1,503,987 0.71%
-------------------------- ---------------- -------------------------- ----------- -------
AA Bond Co Ltd United States Financial Intermediaries 1,470,651 0.70%
-------------------------- ---------------- -------------------------- ----------- -------
Springleaf Finance
Corporation United States Financial Intermediaries 1,426,320 0.67%
-------------------------- ---------------- -------------------------- ----------- -------
Tecta America Corp
TL 2L 03/21 United States Building & Development 1,417,500 0.67%
-------------------------- ---------------- -------------------------- ----------- -------
Asurion LLC 2L TL-B4
07/21 United States Insurance 1,398,877 0.66%
-------------------------- ---------------- -------------------------- ----------- -------
Ivanti Software Inc United States Electronics/Electrical 1,393,525 0.66%
-------------------------- ---------------- -------------------------- ----------- -------
Camelot Return Merger United States Building & Development 1,376,445 0.65%
-------------------------- ---------------- -------------------------- ----------- -------
Trnts 2019-10x ER
FLT 01/15/35 United States Financial Intermediaries 1,343,223 0.64%
-------------------------- ---------------- -------------------------- ----------- -------
Brock Holdings III Business Equipment
Inc United States & Services 1,335,141 0.63%
-------------------------- ---------------- -------------------------- ----------- -------
Realogy Group/Co-Issuer
5.250% 04/15/30 United States Building & Development 1,309,470 0.62%
-------------------------- ---------------- -------------------------- ----------- -------
Redwood Star Merger
Sub 8.750% 04/01/30 United States Industrial Equipment 1,309,176 0.62%
-------------------------- ---------------- -------------------------- ----------- -------
Syncsort Incorporated
(clearlake) United States Electronics/Electrical 1,305,080 0.62%
-------------------------- ---------------- -------------------------- ----------- -------
PPM CLO 3 Ltd United States Financial Intermediaries 1,231,366 0.58%
-------------------------- ---------------- -------------------------- ----------- -------
Genesis Energy LP United States Oil & Gas 1,220,822 0.58%
-------------------------- ---------------- -------------------------- ----------- -------
522 Funding CLO Ltd
Morgn_20-6X Cayman Islands Financial Intermediaries 1,214,708 0.57%
-------------------------- ---------------- -------------------------- ----------- -------
Ascent Resources
Utica Holdings/ARU
Finance Corp United States Oil & Gas 1,210,546 0.57%
-------------------------- ---------------- -------------------------- ----------- -------
Post CLO Ltd Post_18-1A United States Financial Intermediaries 1,185,046 0.56%
-------------------------- ---------------- -------------------------- ----------- -------
Maverick Bidco Inc United States Electronics/Electrical 1,156,250 0.55%
-------------------------- ---------------- -------------------------- ----------- -------
Constant Contact
Inc United States Electronics/Electrical 1,129,995 0.53%
-------------------------- ---------------- -------------------------- ----------- -------
Pro Mach 1L Tl-B
08/21 United States Industrial Equipment 1,120,219 0.53%
-------------------------- ---------------- -------------------------- ----------- -------
Constellation Automotive
Ltd New Zealand Automotive 1,110,182 0.53%
-------------------------- ---------------- -------------------------- ----------- -------
Sophia LP United States Electronics/Electrical 1,091,750 0.52%
-------------------------- ---------------- -------------------------- ----------- -------
SRS Distribution
Inc United States Building & Development 1,079,374 0.51%
-------------------------- ---------------- -------------------------- ----------- -------
Paymentsense Ltd United Kingdom Financial Intermediaries 1,063,063 0.50%
-------------------------- ---------------- -------------------------- ----------- -------
Business Equipment
Webhelp Inc France & Services 1,057,191 0.50%
-------------------------- ---------------- -------------------------- ----------- -------
Altice France Holding Cable & Satellite
SA France Television 1,056,622 0.50%
-------------------------- ---------------- -------------------------- ----------- -------
Vaco Holdings 1L Business Equipment
Tl 01/22 United States & Services 1,055,856 0.50%
-------------------------- ---------------- -------------------------- ----------- -------
82,592,675 39.08%
---------------------------------------------------------------------- ----------- -------
The accompanying notes form an integral part of the Unaudited
Interim Financial Statements
FINANCIAL STATEMENTS | Unaudited Statement of Operations
Unaudited Statement of Operations
(UNAUDITED) (UNAUDITED)
1 January 1 January
2023 to 2022 to
30 JUNE 30 JUNE
(Expressed in U.S. Dollars) Note 2023 2022
Income
------------------------------------------------------ ------ ------------- -------------
2(b),
Interest income net of withholding taxes 2(h) 8,692,780 10,568,184
------------------------------------------------------ ------ ------------- -------------
Other income from investments 34,167 10,585
------------------------------------------------------ ------ ------------- -------------
Total income 8,726,947 10,578,769
------------------------------------------------------ ------ ------------- -------------
Expenses
------------------------------------------------------ ------ ------------- -------------
Investment management and services 3 624,819 1,089,970
------------------------------------------------------ ------ ------------- -------------
Administration and professional fees 3 422,931 497,613
------------------------------------------------------ ------ ------------- -------------
Directors' fees and travel expenses 3 87,568 98,000
------------------------------------------------------ ------ ------------- -------------
Total expenses 1,135,318 1,685,583
------------------------------------------------------ ------ ------------- -------------
Net investment income 7,591,629 8,893,186
------------------------------------------------------ ------ ------------- -------------
Realised and unrealised gains and losses
------------------------------------------------------ ------ ------------- -------------
Net realised loss on investments 2(e) (18,828,871) (1,689,062)
------------------------------------------------------ ------ ------------- -------------
Net realised gain/(loss) on derivatives 2(e) 16,787,619 (10,381,797)
------------------------------------------------------ ------ ------------- -------------
Total net realised loss (2,041,252) (12,070,859)
------------------------------------------------------ ------ ------------- -------------
Net change in unrealised appreciation/(depreciation)
on investments 2(e) 22,478,070 (36,688,308)
------------------------------------------------------ ------ ------------- -------------
Net change in unrealised depreciation
on derivatives 2(e) (10,529,169) (16,867,119)
------------------------------------------------------ ------ ------------- -------------
Total net unrealised appreciation/(depreciation) 11,948,901 (53,555,427)
------------------------------------------------------ ------ ------------- -------------
Realised and unrealised gain/(loss) on
foreign currency 2(e) 1,152,090 (295,165)
------------------------------------------------------ ------ ------------- -------------
Net realised and unrealised gain/( loss) 11,059,739 (65,921,451)
------------------------------------------------------ ------ ------------- -------------
Net increase/(decrease) in net assets
resulting from operations 18,651,368 (57,028,265)
------------------------------------------------------ ------ ------------- -------------
Earnings per share GBP0.0822 (GBP0.1780)
------------------------------------------------------ ------ ------------- -------------
FINANCIAL STATEMENTS | Unaudited Statement of Changes in Net
Assets
Unaudited Statement of Changes in Net Assets
FOR THE PERIOD 1 January 2023 to 30 JUNE
2023
(Expressed in U.S. Dollars) VALUE
------------------------------------------- --------------
Net assets as at 1 January 2023 211,358,690
-------------------------------------------- --------------
Dividends (7,179,964)
-------------------------------------------- --------------
Tender offer redemptions (124,764,410)
-------------------------------------------- --------------
Net increase in net assets resulting from
operations 18,651,368
-------------------------------------------- --------------
Net assets as at 30 June 2023 98,065,684
-------------------------------------------- --------------
FOR THE period 1 January 2022 to 30 JUNE
2022
(Expressed in U.S. Dollars) VALUE
------------------------------------------- -------------
Net assets as at 1 January 2022 315,681,147
-------------------------------------------- -------------
Dividends (8,617,505)
-------------------------------------------- -------------
Net decrease in net assets resulting from
operations (57,028,265)
-------------------------------------------- -------------
Net assets as at 30 June 2022 250,035,377
-------------------------------------------- -------------
FINANCIAL STATEMENTS | Unaudited Statement of Cash Flows
Unaudited Statement of Cash Flows
(unaudited) (unaudited)
1 January 2023 1 January 2022
to to
(Expressed in U.S. Dollars) 30 JUNE 2023 30 JUNE 2022
------------------------------------------------------ ----------------- -----------------
Cash flows from operating activities:
------------------------------------------------------ ----------------- -----------------
Net increase/(decrease) in net assets
resulting from operations 18,651,368 (57,028,265)
------------------------------------------------------ ----------------- -----------------
Adjustment to reconcile net increase/(decrease)
in net assets resulting from operations
to net cash generated from operating
activities:
------------------------------------------------------ ----------------- -----------------
Net realised loss on investments 18,828,871 1,689,062
------------------------------------------------------ ----------------- -----------------
Net realised gain on derivatives (16,787,619) -
------------------------------------------------------ ----------------- -----------------
Net change in unrealised (appreciation)/depreciation
on investments and derivatives (11,948,901) 53,555,427
------------------------------------------------------ ----------------- -----------------
Net change in unrealised gain/(loss)
on translation of assets and liabilities 1,174,905 (206,807)
------------------------------------------------------ ----------------- -----------------
Amortisation of discounts/premiums (419,725) (288,483)
------------------------------------------------------ ----------------- -----------------
Changes in receivables for investments
sold (2,773,721) 1,202,716
------------------------------------------------------ ----------------- -----------------
Changes in interest receivable(1) 1,396,066 (856,779)
------------------------------------------------------ ----------------- -----------------
Changes in other receivables and prepayments (107,324) 33,952
------------------------------------------------------ ----------------- -----------------
Changes in payables for investments
purchased (1,890,980) (3,514,019)
------------------------------------------------------ ----------------- -----------------
Changes in payables to Investment Manager
and affiliates (129,157) (83,582)
------------------------------------------------------ ----------------- -----------------
Changes in accrued expenses and other
liabilities (52,181) 15,290
------------------------------------------------------ ----------------- -----------------
Purchase of investments(2) (2,733,085) (53,056,421)
------------------------------------------------------ ----------------- -----------------
Realisation of investments(2) 112,114,922 61,926,490
------------------------------------------------------ ----------------- -----------------
Proceeds from settlements of derivatives 16,787,619 -
------------------------------------------------------ ----------------- -----------------
Net cash generated from operating
activities 132,111,058 3,388,581
------------------------------------------------------ ----------------- -----------------
Cash flows from financing activities:
------------------------------------------------------ ----------------- -----------------
Tender offer redemptions paid (88,559,314) -
------------------------------------------------------ ----------------- -----------------
Dividends paid (8,619,952) (8,593,365)
------------------------------------------------------ ----------------- -----------------
Net cash used in financing activities (97,179,266) (8,593,365)
------------------------------------------------------ ----------------- -----------------
Effect of exchange rate changes on
cash (1,174,905) 206,807
------------------------------------------------------ ----------------- -----------------
Net increase/(decrease) in cash and
cash equivalents 33,756,887 (4,997,977)
------------------------------------------------------ ----------------- -----------------
Cash and cash equivalents at beginning
of the period 4,104,132 11,667,943
------------------------------------------------------ ----------------- -----------------
Cash and cash equivalents at end of
the period 37,861,019 6,669,966
------------------------------------------------------ ----------------- -----------------
(1) Interest received for the period ended 30 June 2023 totalled
$6,876,989 (30 June 2022: $9,711,405)
(2) Included in these figures is $Nil (2022: $Nil) of non-cash
transactions. These can arise due to the repricing and
restructuring of certain investments during a period.
The accompanying notes form an integral part of the Unaudited
Interim Financial Statements
FINANCIAL STATEMENTS | Notes to the Unaudited Interim Financial
Statements
For the period ended 30 June 2023
NOTE 1 - DESCRIPTION OF BUSINESS
The Company is a closed-ended investment company incorporated
and registered in Guernsey with registered number 53155. It is a
non-cellular company limited by shares and has been declared by the
Guernsey Financial Services Commission to be a registered
closed-ended collective investment scheme. On 20 April 2011, the
Company was admitted to the Official List of the UK Listing
Authority with a premium listing trading on the Main Market of the
LSE.
As previously required under Article 51 of the Company's
Articles of Incorporation (applicable at the time), at the AGM held
on 11 June 2020 an ordinary resolution was proposed that the
Company continues its business as a closed-ended investment company
and was duly passed. Following the EGM held on 8 September 2020
where all resolutions were passed, the Company adopted new Articles
which no longer require that a continuation vote be proposed. On 16
June 2022 the Board issued to Shareholders the EGM Circular setting
out a Cash Exit Facility Offer. The Cash Exit Facility Offer gave
Shareholders the opportunity to tender up to 25 per cent. of their
Shares at a discount of 2 per cent. to NAV per Share on 30 June
2022.
Elections to participate in the Cash Exit Facility Offer were
received with respect to 25,500,417 Shares, equivalent to 10.32 per
cent. of the 247,185,038 Shares in issue (excluding 76,083,114
treasury shares). The Directors and any funds managed by Neuberger
Berman did not participate in the Cash Exit Facility Offer in
respect of those Shares held by them. Following faster than
anticipated settlement of trades and in combination with the timing
of other cash receipts, the Company had sufficient cash available
to fund the Redemption Proceeds in full and a single Redemption
Proceeds payment was made to eligible Shareholders on 8 August
2022.
Following the passing of shareholder resolutions at the
Company's extraordinary general meeting held on 27 January 2023,
the Company's investment objective is to realise all existing
assets in the Company's portfolio in an orderly manner ("Managed
Wind-down"). Details of the Company's investment objective and
investment policy can be found on the Company's website,
www.nbgmif.com .
The Company will pursue its investment objective by effecting an
orderly realisation of its assets and making timely returns of
capital to Shareholders, by way of several capital distributions.
The Company will aim to effect the sale of its assets, including
both liquid and less liquid assets, in a manner that will maintain
Shareholder value. The Company will cease to make any new
investments or to undertake capital expenditure except where, in
the opinion of the Board and the Investment Manager:
-- the investment is a follow-on investment made in connection
with an existing asset in order to comply with the Company's
pre-existing obligations; or
-- failure to make the follow-on investment may result in a
breach of contract or applicable law or regulation by the Company;
or
-- the investment is considered necessary to protect or enhance
the value of any existing investments or to facilitate orderly
disposals.
Any cash received by the Company as part of the realisation
process, but prior to its distribution to shareholders, will be
held by the Company as cash on deposit and/or as cash
equivalents.
NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of preparation
The accompanying Unaudited Interim Financial Statements
("Financial Statements") which give a true and fair view, have been
prepared on a going concern basis and in accordance with accounting
principles generally accepted in the United States of America ("US
GAAP"), The Companies (Guernsey) Law 2008 and the Financial
Accounting Standards Board ("FASB") Accounting Standards
Codification ("ASC") Topic 946 ("ASC 946"). The Board believes that
the underlying assumptions are appropriate and that the Company's
Financial Statements therefore are fairly presented in accordance
with US GAAP.
The Directors have undertaken a rigorous review of the Company's
ability to continue as a going concern including reviewing the
on-going cash flows and the level of cash balances, the liquidity
of investments and the income deriving from those investments as of
the reporting date and have determined that during the Managed
Wind-down (which is intended to consist of an orderly realisation
of assets to which normal valuation methods will continue to
apply), the Company has adequate financial resources to meet its
liabilities as they fall due.
After making enquiries of the Investment Manager and the
Sub-Administrator, the Directors are satisfied that the Company has
adequate resources to discharge its liabilities as they fall due
for at least one year from the date these Financial Statements were
approved. Accordingly, the Directors continued to adopt a going
concern basis in preparing these Financial Statements.
(a) Critical accounting judgement and estimates
The preparation of Financial Statements in conformity with US
GAAP requires that the Directors make estimates and assumptions
that affect the application of policies and reported amounts of
assets and liabilities, income and expenses. Such estimates and
associated assumptions are generally based on historical experience
and various other factors that are believed to be reasonable under
the circumstances, and form the basis of making the judgments about
attributing values of assets and liabilities that are not readily
apparent from other sources. Actual results may vary from such
accounting estimates in amounts that may have a material impact on
the financial results and position of the Company.
Critical accounting estimates
The only area where estimates are significant to the Financial
Statements is the valuation of investments in Note 2(e).
Critical judgements
The functional currency for the Company is U.S. Dollars because
this is the currency of the primary economic environment in which
it operates.
The Directors consider that the Company is engaged in a single
segment of business, being the realisation of the entire portfolio
as at 27(th) January 2023 under the Managed Wind-down pursuant to
its investment policy, hence segment reporting is not required.
(b) Revenue recognition
Interest earned on debt instruments is accounted for net of
applicable withholding taxes and is recognised as income over the
terms of the loans. Discounts received or premiums paid in
connection with the acquisition of loans are amortised into
interest income using the effective interest method over the
contractual life of the related loan. If a loan is paid off prior
to maturity, the recognition of the fees and costs is accelerated
as appropriate. The Company raises a provision when the collection
of interest is deemed doubtful.
(c) Cash and cash equivalents
The Company's cash and cash equivalents comprise cash in hand
and demand deposits and highly liquid investments with original
maturities of less than 90 days that are both readily convertible
to known amounts of cash and so near maturity that they represent
insignificant risk of changes in value.
(d) Foreign currency transactions
Monetary assets and liabilities denominated in a currency other
than U.S. Dollars are remeasured in U.S. Dollar equivalents using
spot rates as at the reporting date. On initial recognition, a
foreign currency transaction is recorded and converted at the spot
exchange rate at the transaction date. Non-monetary assets and
liabilities measured at fair value are translated using spot rates
as at the date when fair value is determined. Transactions during
the period, including purchases and sales of securities, income and
expenses, are translated at the rate of exchange prevailing on the
date of the transaction . The rates of exchange against U.S.
Dollars at 30 June 2023 were 1.27130 USD: 1GBP and 1.09100 USD:
1EUR (31 December 2022 were 1.20290 USD: 1GBP and 1.06720 USD:
1EUR).
(e) Fair value of financial instruments and derivatives
The fair value of the Company's assets and liabilities that
qualify as financial instruments under FASB ASC 825, Financial
Instruments, approximate the carrying amounts presented in the
Statement of Assets and Liabilities. A financial instrument is
defined by FASB ASC 825 as cash, evidence of an ownership interest
in an entity, or a contract that creates a contractual obligation
or right to deliver to or receive cash or another financial
instrument from a second entity on potentially favourable terms.
Fair value estimates are made at a discrete point in time, based on
relevant market data, information about the financial instruments,
and other factors.
Fair value was determined using available market information and
appropriate valuation methodologies. Estimates of fair value of
financial instruments without quoted market prices are subjective
in nature and involve various assumptions and estimates that are
matters of judgment. Accordingly, fair values are not necessarily
indicative of the amounts realised on disposition of financial
instruments. The use of different market assumptions and/or
estimation methodologies may have a material effect on estimated
fair value amounts.
The following estimates and assumptions were used at 30 June
2023 to estimate the fair value of each class of financial
instruments:
- Valuation of financial investments - The special situations,
CLO debt tranches, global floating rate loans and bonds are valued
at bid price. The Investment Manager and the Directors believe that
bid price is the best estimate of fair value and is in line with
the valuation policy adopted by the Company. In cases where no
third party price is available, or where the Investment Manager
determines that the provided price is not an accurate
representation of the fair value of the investment, the Investment
Manager will determine the valuation based on the Investment
Manager's fair valuation policy. Any investments made through the
secondary market are generally marked based on market quotations,
to the extent available, and the Investment Manager will take into
account current pricing of the security.
- Cash and cash equivalents - The carrying value is a reasonable
estimate of fair value due to the short-term nature of these
instruments.
- Receivables for investments sold - The carrying value
reasonably approximates fair value as they reflect the value at
which investments are sold to a willing buyer and settlement period
on their balances is short term.
- Interest receivables - The carrying value reasonably approximates fair value.
- Other receivables - The carrying value reasonably approximates fair value.
- Private Debt - For the primary issuance of private debt
investments, the valuation is based on a discounted cash flow (DCF)
approach. For secondary purchases, the valuation is based on
unadjusted broker quotes or pricing provided by approved pricing
sources.
- Derivatives - The Company estimates fair values of derivatives
based on the latest available forward exchange rates.
- Payables for investments purchased - The carrying value
reasonably approximates fair value as they reflect the value at
which investments are purchased from a willing seller and
settlement period on their balances is short term.
- Payables to the Investment Manager and affiliates - The
carrying value reasonably approximates fair value when the
repayment period is short-term.
- Accrued expenses and other short-term liabilities - The
carrying value reasonably approximates fair value when the
repayment period is short-term.
A fair value hierarchy that prioritises the inputs to valuation
techniques used to measure fair value is established under FASB ASC
Topic 820. The objective of a fair value measurement is to
determine 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). Accordingly,
the fair value hierarchy gives the highest priority to valuations
based upon unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1) and the lowest priority to
valuations based upon unobservable inputs that are significant to
the valuation (Level 3).
The levels of the fair value hierarchy under FASB ASC Topic
820-10-35-39 to 55 are as follows:
The guidance establishes three levels of the fair value
hierarchy as follows:
Level 1 : Quoted prices are available in active markets for
identical investments as of the reporting date.
Level 2 : Inputs other than quoted prices included within Level
1 that are observable for the asset or liability, either directly
or indirectly.
Level 3 : Pricing inputs are unobservable for the investment and
include situations where there is little, if any, market activity
for the investment. The inputs used in the determination of the
fair value require significant management judgement or
estimation.
The inputs or methodologies used for valuing securities are not
necessarily an indication of the risk associated with investing in
those securities. Transfers between levels of the fair value
hierarchy are deemed to have occurred at the end of the reporting
period.
The Company, where possible, uses independent third-party
vendors to price its portfolio. As part of its valuation process,
the AIFM evaluates the number of broker quotes that combine to make
up the valuation provided by these vendors and if it believes that
the number of broker quotes is not sufficient to ensure a Level 2
price it designates those positions Level 3. As at 30 June 2023 the
AIFM designated 2 (31 December 2022: 10) of its Global Floating
Rate loans, 10 (31 December 2022: 14) of its Private Debt
positions, Nil (31 December 2022: Nil) of its Special Situations, 1
(31 December 2022: Nil) of its Global High Yield Bonds, 2 of its
Private Equities (31 December 2022: 2) and 2 (31 December 2022: 6)
CLO Debt Tranches as Level 3. With respect to the level 3 Private
Equity position, the Investment Manager's Investment Committee has
derived the fair value, based on comparable companies in similar
industries.
The following table details the Company's financial instruments
that were accounted for at fair value as at 30 June 2023.
Financial Instruments at Fair Value as at 30 JUNE 2023
------------------------------------------------------------------------------------------
Level Level Level 3 Total
Financial investments 1 ($) 2 ($) ($) ($)
------------------------------ ---------- -------------- ------------- --------------
Private Debt - 24,240,819 15,368,400 39,609,219
------------------------------- ---------- -------------- ------------- --------------
Special Situations - 8,988,869 - 8,988,869
------------------------------- ---------- -------------- ------------- --------------
CLO Debt Tranches - 5,416,157 - 5,416,157
------------------------------- ---------- -------------- ------------- --------------
Global High Yield - 14,961,542 3,760,772 18,722,314
------------------------------- ---------- -------------- ------------- --------------
Global Floating Rate
Loans - 12,223,230 2,223,075 14,446,305
------------------------------- ---------- -------------- ------------- --------------
Equity - 146,903 1,335,141 1,482,044
------------------------------- ---------- -------------- ------------- --------------
Total financial investments - 65,977,520 22,687,388 88,664,908
------------------------------- ---------- -------------- ------------- --------------
Balance at start of
the period 154,867 158,349,031 35,473,923 193,977,821
------------------------------- ---------- -------------- ------------- --------------
Purchases during the
period (1) - 2,470,706 262,379 2,733,085
------------------------------- ---------- -------------- ------------- --------------
Sales during the period
(1) (154,867) (100,440,505) (11,519,550) (112,114,922)
------------------------------- ---------- -------------- ------------- --------------
Realised loss on investments - (18,002,939) (825,932) (18,828,871)
------------------------------- ---------- -------------- ------------- --------------
Unrealised gain on
revaluation - 21,511,646 966,424 22,478,070
------------------------------- ---------- -------------- ------------- --------------
Amortisation - 419,725 - 419,725
------------------------------- ---------- -------------- ------------- --------------
Transfer from Level
3 to Level 2 - 8,719,376 (8,719,376) -
------------------------------- ---------- -------------- ------------- --------------
Transfer from Level
2 to Level 3 - (7,049,520) 7,049,520 -
------------------------------- ---------- -------------- ------------- --------------
Balance at end of
the period - 65,977,520 22,687,388 88,664,908
------------------------------- ---------- -------------- ------------- --------------
(1) Included in these figures is $Nil of non-cash transactions.
These arose due to the repricing and restructuring of certain
investments during the period.
Due to changes in observable inputs, the Company transferred
securities from Level 2 to Level 3 and from Level 3 to Level 2 of
the fair value hierarchy. Level 3 assets are valued using single
broker quotes or valuation models.
DERIVATIVES at Fair Value
as at 30 June 2023
------------------------------------ -------------- ------- ---------- ------- ----------
No. of NOTIONAL Level Level Level Total
Financial assets contracts AMOUNTS 1 ($) 2 ($) 3 ($) ($)
----------------------- ----------- -------------- ------- ---------- ------- ----------
Derivatives (for
hedging purposes
only) 17 326,940,253 - 2,031,157 - 2,031,157
----------------------- ----------- -------------- ------- ---------- ------- ----------
Financial liabilities
----------------------- ----------- -------------- ------- ---------- ------- ----------
Derivatives (for
hedging purposes
only) 10 (131,696,502) - (387,320) - (387,320)
----------------------- ----------- -------------- ------- ---------- ------- ----------
Total 27 195,243,751 - 1,643,837 - 1,643,837
----------------------- ----------- -------------- ------- ---------- ------- ----------
The Company considers the notional amounts as at 30 June 2023 to
be representative of the volume of its derivative activities during
the period ended 30 June 2023.
The following table details the Company's financial instruments
that were accounted for at fair value as at 31 December 2022.
Financial Instruments at Fair Value as at 31 DECEMBER 2022
------------------------------------------------------------------------------------------
Level Level Level 3 Total
Financial investments 1 ($) 2 ($) ($) ($)
------------------------------ ---------- -------------- ------------- --------------
Private Debt - 32,459,104 16,536,407 48,995,511
------------------------------- ---------- -------------- ------------- --------------
Special Situations - 21,781,078 - 21,781,078
------------------------------- ---------- -------------- ------------- --------------
CLO Debt Tranches - 16,700,354 4,385,967 21,086,321
------------------------------- ---------- -------------- ------------- --------------
Global High Yield - 44,259,249 3,498,391 47,757,640
------------------------------- ---------- -------------- ------------- --------------
Global Floating Rate
Loans - 43,149,246 9,717,960 52,867,206
------------------------------- ---------- -------------- ------------- --------------
Equity 154,867 - 1,335,198 1,490,065
------------------------------- ---------- -------------- ------------- --------------
Total financial investments 154,867 158,349,031 35,473,923 193,977,821
------------------------------- ---------- -------------- ------------- --------------
Level Level Level 3 Total
1 ($) 2 ($) ($) ($)
------------------------------ ---------- -------------- ------------- --------------
Balance at start of
the year 532,417 264,560,590 42,265,947 307,358,954
------------------------------- ---------- -------------- ------------- --------------
Purchases during the
year (1) - 70,156,444 4,885,772 75,042,216
------------------------------- ---------- -------------- ------------- --------------
Sales during the year
(1) - (125,630,923) (13,871,225) (139,502,148)
------------------------------- ---------- -------------- ------------- --------------
Realised loss on investments - (13,476,006) (1,239,405) (14,715,411)
------------------------------- ---------- -------------- ------------- --------------
Unrealised loss on
revaluation (377,550) (29,037,615) (5,490,886) (34,906,051)
------------------------------- ---------- -------------- ------------- --------------
Amortisation - 700,261 - 700,261
------------------------------- ---------- -------------- ------------- --------------
Transfer from Level
3 to Level 2 - 15,860,570 (15,860,570) -
------------------------------- ---------- -------------- ------------- --------------
Transfer from Level
2 to Level 3 - (24,784,290) 24,784,290 -
------------------------------- ---------- -------------- ------------- --------------
Balance at end of
the year 154,867 158,349,031 35,473,923 193,977,821
------------------------------- ---------- -------------- ------------- --------------
(1) Included in these figures is $4,662,223 of non-cash
transactions. These arose due to the repricing and restructuring of
certain investments during the year.
Due to changes in observable inputs, the Company transferred
securities from Level 2 to Level 3 and from Level 3 to Level 2 of
the fair value hierarchy. Level 3 assets are valued using single
broker quotes or valuation models.
DERIVATIVES at Fair Value
as at 31 DECEMBER 2022
------------------------------------ ------------- --------------------- ------- ------------
No. of NOTIONAL Level Level Level Total
Financial assets contracts AMOUNTS 1 ($) 2 ($) 3 ($) ($)
----------------------- ----------- ------------- ------- ------------ ------- ------------
Derivatives (for
hedging purposes
only) 12 255,213,341 - 13,315,197 - 13,315,197
----------------------- ----------- ------------- ------- ------------ ------- ------------
Financial liabilities
----------------------- ----------- ------------- ------- ------------ ------- ------------
Derivatives (for
hedging purposes
only) 12 (22,378,444) - (1,142,190) - (1,142,190)
----------------------- ----------- ------------- ------- ------------ ------- ------------
Total 24 232,834,897 - 12,173,007 - 12,173,007
----------------------- ----------- ------------- ------- ------------ ------- ------------
The Company considers the notional amounts as at 31 December
2022 to be representative of the volume of its derivative
activities during the year ended 31 December 2022.
The following tables summarise the significant unobservable
inputs the Company used to value its investments categorised within
Level 3 at 30 June 2023. The tables are not intended to be
all-inclusive but instead capture the significant unobservable
inputs relevant to the determination of fair values.
Unobservable Inputs as at 30 June 2023
Sector Significant Weighted
Fair Value Primary Valuation unobservable Range Average
($) Technique Inputs / INPUT*
=================== =========== ================== ================ =========== =========
Unadjusted
Private Debt 15,368,400 Vendor Pricing Broker Quote 1 N/A
------------------- =========== ================== ================ =========== =========
Enterprise
Global High Yield 3,760,772 Vendor Pricing Value N/A N/A
------------------- =========== ================== ================ =========== =========
Global Floating Enterprise
Rate Loans 2,223,075 Vendor Pricing Value 1 N/A
------------------- =========== ================== ================ =========== =========
Equity 1,335,141 Market Comparable EBITDA multiple 4-18 N/A
=================== =========== ================== ================ =========== =========
Total 22,687,388
=================== ===========
* Debt Investments with a single broker quote result in Level 3
classification. Unobservable inputs from the broker quote were not
included because the Company does not develop the quantitative
inputs and they are not readily available. The EBITDA multiple
increase/(decrease) results in an increase/(decrease) in the
valuation of the equity.
Unobservable Inputs as at 31 DECEMBER 2022
Sector Significant Weighted
Fair Value Primary Valuation unobservable Range Average
($) Technique Inputs / INPUT*
=================== =========== ================== ================ =========== =========
Unadjusted
Private Debt 16,536,407 Vendor Pricing Broker Quote 1 N/A
------------------- =========== ================== ================ =========== =========
Unadjusted
CLO Debt Tranches 4,385,967 Vendor Pricing Broker Quote 1 N/A
------------------- =========== ================== ================ =========== =========
Second Lien
Global High Yield 3,498,391 Market Approach Quotations 100 N/A
------------------- =========== ================== ================ =========== =========
Global Floating Unadjusted
Rate Loans 9,717,960 Vendor Pricing Broker Quote 1 N/A
------------------- =========== ================== ================ =========== =========
Equity 1,335,198 Market Comparable EBITDA multiple 4-18 N/A
=================== =========== ================== ================ =========== =========
Total 35,473,923
=================== ===========
* Debt Investments with a single broker quote result in Level 3
classification. Unobservable inputs from the broker quote were not
included because the Company does not develop the quantitative
inputs and they are not readily available. The EBITDA multiple
increase/(decrease) results in an increase/(decrease) in the
valuation of the equity.
Derivative activity
The derivatives assets and liabilities per each counterparty are
offset in accordance with the guidance in Accounting Standards
Codification Topic 210 (ASC 210) section 210-20-45 and ASC 815
section 815-10-45 to determine the net amounts presented in the
Statement of Assets and Liabilities. As at 30 June 2023, there were
5 counterparties for the forward contracts (31 December 2022: 5).
The Company is subject to enforceable master netting agreements
with its counterparties of foreign currency exchange contracts with
Royal Bank of Canada of $2,010,628 (31 December 2022: $248,225),
State Street of $(8,904) (31 December 2022: ($930,462)), Westpac of
$4,325 (31 December 2022: ($42,789)), Goldman Sachs of $16,204 (31
December 2022: ($168,940)) and UBS AG of $(378,415) (31 December
2022: $13,066,972). These agreements govern the terms of certain
transactions and reduce the counterparty risk associated with
relevant transactions by specifying offsetting mechanisms.
The following table, at 30 June 2023, show the gross and net
derivatives assets and liabilities by contract type and amount for
those derivatives contracts for which netting is permissible.
NET AMOUNTS OF
GROSS AMOUNTS RECOGNISED ASSETS
OFFSET IN THE PRESENTED IN THE
GROSS AMOUNTS STATEMENTS OF STATEMENT OF ASSETS
OF RECOGNISED ASSETS AND LIABILITIES AND LIABILITIES
DESCRIPTION ASSETS ($) ($) ($)
================== =============== ======================== =====================
Forward currency
contracts 4,370,817 (2,339,660) 2,031,157
================== =============== ======================== =====================
Total 4,370,817 (2,339,660) 2,031,157
================== =============== ======================== =====================
Net Amounts of
Gross Amounts Recognised LIABILITIES
Offset in the Presented in the
Gross Amounts Statements of Statement of Assets
of Recognised Assets and Liabilities and Liabilities
Description Liabilities ($) ($) ($)
================== ================= ======================== ========================
Forward currency
contracts (2,726,980) 2,339,660 (387,320)
================== ================= ======================== ========================
Total (2,726,980) 2,339,660 (387,320)
================== ================= ======================== ========================
There is no collateral for forward contracts.
The following table, at 31 December 2022, show the gross and net
derivatives assets and liabilities by contract type and amount for
those derivatives contracts for which netting is permissible.
NET AMOUNTS OF
GROSS AMOUNTS RECOGNISED ASSETS
OFFSET IN THE PRESENTED IN THE
GROSS AMOUNTS STATEMENTS OF STATEMENT OF ASSETS
OF RECOGNISED ASSETS AND LIABILITIES AND LIABILITIES
DESCRIPTION ASSETS ($) ($) ($)
================== =============== ======================== =====================
Forward currency
contracts 15,549,556 (2,234,359) 13,315,197
================== =============== ======================== =====================
Total 15,549,556 (2,234,359) 13,315,197
================== =============== ======================== =====================
Net Amounts of
Gross Amounts Recognised LIABILITIES
Offset in the Presented in the
Gross Amounts Statements of Statement of Assets
of Recognised Assets and Liabilities and Liabilities
Description Liabilities ($) ($) ($)
================== ================= ======================== ========================
Forward currency
contracts (3,376,549) 2,234,359 (1,142,190)
================== ================= ======================== ========================
Total (3,376,549) 2,234,359 (1,142,190)
================== ================= ======================== ========================
There is no collateral for forward contracts.
The following table presents the impact of derivative
instruments on the Statement of Operations in conformity with US
GAAP.
FOR THE PERIOD FOR THE PERIODEDED
30 June 2023 30 june 2022
($) ($)
----------------------------------------- ----------------- -----------------
Net realised gain/(loss) on derivatives 16,787,762 (10,381,797)
----------------------------------------- ----------------- -----------------
Net change in unrealised depreciation
on derivatives (10,529,169) (16,867,119)
----------------------------------------- ----------------- -----------------
Total 6,258,593 (27,248,916)
----------------------------------------- ----------------- -----------------
Primary underlying risks (credit risk, liquidity risk and market
risk) associated with the derivatives are explained in Note 4.
The Company presents the gain or loss on derivatives in the
Statement of Operations.
The net realised and unrealised gain/(loss) on investments shown
in the Statement of Operations For the period ended 30 June 2023 by
type of investment is as follows:
FOR THE PERIODED 30 JUNE 2023
(EXPRESSED IN U.S. DOLLARS)
----------------------------------------- -------------
Realised gain on investments 443,435
----------------------------------------- -------------
Realised loss on investments (19,272,306)
----------------------------------------- -------------
(18,828,871)
----------------------------------------- -------------
Realised gain on derivatives 31,886,959
----------------------------------------- -------------
Realised loss on derivatives (15,099,340)
----------------------------------------- -------------
16,787,619
----------------------------------------- -------------
Unrealised gain on investments 24,612,523
----------------------------------------- -------------
Unrealised loss on investments (2,134,453)
----------------------------------------- -------------
22,478,070
----------------------------------------- -------------
Unrealised gain on derivatives 7,799,118
----------------------------------------- -------------
Unrealised loss on derivatives (18,328,287)
----------------------------------------- -------------
(10,529,169)
----------------------------------------- -------------
Realised and unrealised gain on foreign
currency transactions 1,983,620
----------------------------------------- -------------
Realised and unrealised loss on foreign
currency transactions (831,530)
----------------------------------------- -------------
1,152,090
----------------------------------------- -------------
The net realised and unrealised gain/(loss) on investments shown
in the Statement of Operations for the period ended 30 June 2022 by
type of investment is as follows:
FOR THE PERIODED 30 JUNE 2022
(EXPRESSED IN U.S. DOLLARS)
----------------------------------------- -------------
Realised gain on investments 434,835
----------------------------------------- -------------
Realised loss on investments (2,123,897)
----------------------------------------- -------------
(1,689,062)
----------------------------------------- -------------
Realised gain on derivatives 3,958,146
----------------------------------------- -------------
Realised loss on derivatives (14,339,943)
----------------------------------------- -------------
(10,381,797)
----------------------------------------- -------------
Unrealised gain on investments 1,153,799
----------------------------------------- -------------
Unrealised loss on investments (37,842,107)
----------------------------------------- -------------
(36,688,308)
----------------------------------------- -------------
Unrealised gain on derivatives 5,639,877
----------------------------------------- -------------
Unrealised loss on derivatives (22,506,996)
----------------------------------------- -------------
(16,867,119)
----------------------------------------- -------------
Realised and unrealised gain on foreign
currency transactions 115,145
----------------------------------------- -------------
Realised and unrealised loss on foreign
currency transactions (410,310)
----------------------------------------- -------------
(295,165)
----------------------------------------- -------------
(f) Investment Transactions, Investment Income, Expenses and
Valuation
All investment transactions are recorded on a trade date basis.
Upon sale or maturity, the difference between the consideration
received and the cost of the investment is recognised as a realised
gain or loss. The cost is determined based on the first in, first
out ("FIFO") cost method.
The Company carries investments on its Statement of Assets and
Liabilities at fair value in accordance with US GAAP, with changes
in fair value recognised within the Statement of Operations in each
reporting period. Quoted investments are valued according to their
bid price as at the close of the relevant reporting date.
Investments in private securities are priced at the bid price using
a pricing service for private loans. Asset backed securities are
valued according to their bid price. If a price cannot be
ascertained from the above sources, the Company will seek bid
prices from third party broker/dealer quotes for the investments.
The Directors believe that bid price is the best estimate of fair
value and is in line with the valuation policy adopted by the
Company.
In cases where no third party price is available, or where the
Investment Manager determines that the provided price is not an
accurate representation of the fair value of the investment, the
Investment Manager determines the valuation based on the Investment
Manager's fair valuation policy. The overall criterion for fair
value is a price at which the securities involved would change
hands in a transaction between a willing buyer and a willing
seller, neither being under compulsion to buy or sell and both
having the same knowledge of the relevant facts.
Consistent with the above criterion, the following criteria are
considered when applicable:
-- Valuation of other securities by the same issuer for which market quotations are available;
-- Reasons for absence of market quotations;
-- The credit quality of the issuer and the related economics;
-- Recent sales prices and/or bid and ask quotations for the security;
-- Value of similar securities of issuers in the same or similar
industries for which market quotations are available;
-- Economic outlook of the industry;
-- Issuer's position in the industry;
-- The financial information of the issuer; and
-- The nature and duration of any restriction on disposition of the security.
(g) Derivative Contracts
The Company may, from time to time, hold derivative financial
instruments for the purposes of hedging foreign currency exposure.
These derivatives are measured at fair value in accordance with US
GAAP, with changes in fair value recognised within the Statement of
Operations in each reporting year.
Depending on the product and the terms of the transaction, the
fair value of the over the counter (OTC) derivative products, such
as foreign exchange contracts, can be modelled taking into account
the counterparties' credit worthiness and using a series of
techniques, including simulation models.
Many pricing models do not entail material subjectivity because
the methodologies employed do not necessitate significant judgments
and the pricing inputs are observed from actively quoted markets.
The forward exchange contracts valued by the Company using pricing
models fall into this category and are categorised within level 2
of the fair value hierarchy.
The Company may enter into forward foreign currency contracts to
hedge against foreign currency exchange risk and to support
efficient portfolio management.
As shares are denominated in Pound Sterling and investments are
denominated in U.S. Dollars, Euro or Sterling, holders of any class
of shares are subject to foreign currency fluctuations between the
currency in which such shares are denominated and the currency of
the investments made by the Company. Consequently, the Investment
Manager seeks to engage in currency hedging between the U.S. Dollar
and any other currency in which the assets of the Company or a
class of shares is denominated, subject to suitable hedging
contracts such as forward currency exchange contracts being
available in a timely manner and on terms acceptable to the
Investment Manager, in its sole and absolute discretion.
Note 2(e) details the gross and net derivative asset and
liability position by contract type and the amount for those
derivative contracts for which netting is permissible under US
GAAP. The derivative assets and liabilities have been netted where
an enforceable master netting arrangement is in place.
(h) Taxation
The Company is exempt from Guernsey tax on income derived from
non-Guernsey sources. However, certain of its underlying
investments may generate income that is subject to tax in other
jurisdictions, principally in the United States and typically by
way of withholding taxes levied on interest and other income paid
to the Company. During the period ended 30 June 2023, the Company
suffered withholding taxes of $53,543 (30 June 2022: $10,524). As
of 30 June 2022, withholding taxes receivable (reclaimable)
totalled $199,590 (30 June 2022: $146,407).
The changes to the Company's discount control policy approved by
shareholders at the Extraordinary General Meeting held on 8
September 2020 ("EGM") resulted in the Company becoming an
"offshore fund" for UK tax purposes under the UK's offshore fund
rules. On 26 January 2021 the Company was approved by HM Revenue
and Customs ("HMRC") to be treated as a "reporting fund" for these
purposes with effect from the beginning of its accounting period
commencing 1 January 2020 and is required to calculate its income
in accordance with the relevant rules applicable to offshore
reporting funds and report its "excess reportable income", if any,
to shareholders. This can be found on the Company's website.
In accordance with US GAAP, management is required to determine
whether a tax position of the Company is more likely than not to be
sustained upon examination by the applicable taxing authority,
including resolution of any related appeals or litigation
processes, based on the technical merits of the position. The tax
benefit to be recognised is measured as the largest amount of
benefit that has 50% or higher chance of being realised upon
ultimate settlement. De-recognition of a tax benefit previously
recognised could result in the Company recording a tax liability
that would reduce net assets. This policy also provides guidance on
thresholds, measurement, de-recognition, classification, interest
and penalties, accounting in periods, disclosure, and transition
that intends to provide better Financial Statements comparability
among different entities.
As of 30 June 2023, the Company has recorded no liability for
net unrecognised tax benefits relating to uncertain tax positions
it has taken or expects to take in future tax returns (31 December
2022: Nil)
(i) Dividends
Dividends are recognised in the Statement of Changes in Net
Assets in the period in which the dividends are declared.
(j) Expenses
Operating expenses are recognised in the Statement of Operations
on an accruals basis. Operating expenses include amounts directly
or indirectly incurred by the Company as part of its
operations.
(k) Share capital, share buybacks and treasury shares
Any costs incurred as a result of a share buyback and/or a sale
of shares held in treasury will be charged to that share class.
Costs directly attributable to the issue of new shares (that would
have been avoided if there had not been a new issue of new shares)
are written off against the value of the ordinary share premium.
Dividends paid on the ordinary shares are recognised in the
Statement of Changes in Net Assets. The Company's own shares can be
repurchased and held in treasury to be reissued in the future or
subsequently cancelled. Holders of ordinary shares are entitled to
attend, speak and vote at general meetings of the Company. Each
ordinary share (excluding shares in treasury) carries one vote.
Shares held in treasury do not carry voting rights.
NOTE 3 - AGREEMENTS AND RELATED PARTIES TRANSACTIONS
Related Party Agreements
Investment Management Agreement
Investment management services are provided to the Company by
Neuberger Berman Investment Advisers LLC (the "AIFM") and Neuberger
Berman Europe Limited (the "Manager"), collectively the "Investment
Manager". The AIFM is responsible for risk management and
discretionary management of the Company's portfolio and the Manager
provides certain administrative services to the Company.
The Board is responsible for managing the business affairs of
the Company but delegates certain functions to the Investment
Manager an amended and restated Investment Management Agreement
(the "Agreement") dated 18 March 2011, as amended ("IMA").
The Manager is a related party of the AIFM, each of the AIFM and
the Manager are indirectly wholly owned subsidiaries of Neuberger
Berman Group LLC. On 17 July 2014, the Company, the Manager and
Neuberger Berman Investment Advisers LLC (which had acted as
Sub-Investment Manager) made certain classification amendments to
an original Investment Management Agreement dated 18 March 2011 for
the purposes of the AIFM Directive.
The Sub-Investment Management Agreement was terminated on 17
July 2014 and the Sub-Investment Manager was appointed as the AIFM
per the IMA dated 17 July 2014. The Manager, Neuberger Berman
Europe Limited, was appointed under the same agreement. In
accordance with the terms of the IMA, the Manager shall pay a fee
to the AIFM out of the Investment Management fee received from the
Company. The Company does not pay any fees to the AIFM . On 31
December 2017, the Company entered into an Amendment Agreement
amending the IMA in respect of the manufacture of the Company's Key
Information Document by the AIFM, MiFID II, anti-money laundering
and bribery, cyber security and data protection. On 1 October 2019,
the IMA was amended to reflect a reduction in the Investment
Manager's fee and was amended effective 8 September 2020 and
effective 27 January 2023 to reflect further changes to the
Investment Manager's fee. The IMA was amended by way of a side
letter dated 23 February 2023, which was effective 27 January, to
reflect changes to fees. The IMA was also amended effective 30
January 2023, to reflect changes for GDPR.
The AIFM is responsible for risk management and the
discretionary management of the assets held in the Company's
portfolio and will conduct the day-to-day management of the
Company's assets (including uninvested cash). The AIFM is not
required to submit and generally will not submit individual
investment or divestment decisions for approval by the Board. The
Manager provides certain administrative services to the
Company.
Until 7 September 2020, the Manager was entitled to a management
fee of 0.65% per annum of the Company's NAV. The IMA was amended on
8 September 2020 and the Investment Manager thereafter was entitled
to the following rates per annum of the Company's NAV:
On first GBP500m of the NAV 0.75%
On GBP500m - GBP750m of the NAV 0.70%
On 750m - GBP1bn of the NAV 0.65%
Any amount greater than GBP1bn of the NAV 0.60%
Effective 27 January 2023 the IMA was further amended to reflect
a reduction in the Investment Manager's applicable fee above by 7.5
basis points until 50% of the Company's assets by market value held
as at the date of the EGM have been realised and thereafter a
reduction to the applicable fee above by a further 7.5 basis points
until all of the Company's assets have been realised.
Thereafter management fee will be reduced by 15 basis points
until the date at which all of the Company's assets have been
realised. Any existing asset held by the Company will be deemed to
have been realised at the date at which the contract for the sale
of the asset is entered into, as opposed to the date at which the
Company receives the proceeds from the sale of the asset.
For the period ended 30 June 2023, the management fee expense
was $624,819 (30 June 2022: $1,089,970), of which $260,592 (30 June
2022: $515,553) was unpaid at the period end.
The Manager is not entitled to a performance fee.
Directors
The Directors are related parties and are remunerated for their
services at a fee of GBP40,000 per annum each (GBP50,000 for the
Chair). The Chair of the Audit and Risk Committee receives an
additional GBP6,000 for services in this role. The Chair of the
Management Engagement Committee and the Chair of the Remuneration
and Nomination Committee receive an additional GBP3,000 each per
annum and the Senior Independent Director receives an additional
GBP3,000 per annum. For the period ended 30 June 2023, the
Directors' fees and travel expenses amounted to $87,568 (30 June
2022: $98,000). Of these, $252 were prepaid at the period-end (30
June 2022: $Nil).
As at 30 June 2023, Mr Dorey (inc. spouse) and Mr Staples held
146,758 and 19,597 Sterling Ordinary Shares in the Company
respectively (30 June 2022: Mr Dorey (inc. spouse) and Mr Staples
held 245,671 and 45,000 Sterling Ordinary Shares in the Company
respectively).
Ms. Duhot did not hold any shares in the Company at 30 June 2023
(30 June 2022: Nil). As at 30 June 2023 Mr Dorey's wife held 48,191
Sterling Ordinary Shares (30 June 2022: 80,671 Sterling Ordinary
Shares).
During the period ended June 2023, the Directors received the
following dividend payments on their shares held: Mr Dorey GBP4,342
(2022: GBP6,758); Mr Staples GBP1,184 (2022: GBP1,238) and Mr
Dorey's wife received GBP2,123 (2022: GBP2,219).
Neuberger Berman Europe Limited and Neuberger Berman Investment
Advisers LLC
The contracts with Neuberger Berman Europe Limited and Neuberger
Berman Investment Advisers LLC are classified as related party
transactions. Other than fees payable in the ordinary course of
business and the additional fees disclosed in Note 3, there have
been no material transactions with related parties, which have
affected the financial position or performance of the Company in
the financial period.
Significant Agreements
Administration, Custody and Company Secretary Agreement
Effective 1 March 2015, the Company entered into an
Administration and Sub-Administrator agreement with U.S. Bank
Global Fund Services (Guernsey) Limited ("Administrator") and U.S.
Bank Global Fund Services (Ireland) Limited ("Sub-Administrator"),
both wholly owned subsidiaries of U.S. Bancorp. This agreement was
subject to an amendment effective 1 October 2020. Under the terms
of the agreement, Sub-Administration services are delegated to U.S.
Bank Global Fund Services (Ireland) Limited.
For the period ended 30 June 2023, the administration fee was
$66,854 (30 June 2022: $68,025 ) of which $12,212 (30 June 2022:
$10,440) was unpaid at the period end.
Effective 22 April 2019, Sanne Fund Services (Guernsey) Limited
was appointed the Company Secretary and is entitled to an annual
fee of GBP80,000 plus out of pocket expenses . For the period ended
30 June 2023, the secretarial fees were $57,967 (30 June 2022:
$54,864), $28,449 (30 June 2022: $56,354) was unpaid at the period
end.
Effective 1 March 2015, U.S. Bank National Association
("Custodian") became the Custodian of the Company. The Custodian
fees for the period ended 30 June 2023 were $14,034 (30 June 2022 :
$29,019 ) and the amount owing to them was $24,521 ( 30 June 2022 :
$45,820 ) .
Effective 1 January 2020, the Company entered into an amendment
agreement to reduce the Administration and Custodian fees, which
was further amended effective 1 October 2020 to reflect further
reductions to the Administration fees.
Registrar's Agreement
Link Market Services (Guernsey) Limited is the appointed
registrar of the Company. For the period ended 30 June 2023, the
Registrar's fees amounted to $28,934 ( 30 June 2022: $41,568). Of
these, $52,868 (30 June 2022: $60,530 was unpaid) was prepaid at
the period end.
Corporate Broker Agreement
Effective 1 January 2019, Numis Securities Limited were
appointed the Company's Corporate Broker and Financial Advisors. As
at 30 June 2023 Numis Securities Limited are entitled to an annual
retainer fee of GBP50,000 p.a. For the period ended 30 June 2023,
the Corporate Broker and Financial Advisors' fees amounted to
$30,833 (30 June 2022: $31,994). Of these, $nil (30 June 2022:
$nil) were unpaid at the period end.
Professional fees
Professional fees during the period were $224,310 ( 30 June 2022
: $272,143).
NOTE 4 - RISK FACTORS
Market Risk
Market risk is the potential for changes in the value of
investments. Market risk includes interest rate risk, foreign
exchange risk and price risk.
Interest Rate Risk
Interest rate risk primarily results from exposures to changes
in the level, slope and curvature of the yield curve, the
volatility of interest rates and credit spreads. Floating rate
investments, such as senior secured loans, typically receive a
coupon, which is linked to a variable base rate, usually LIBOR (or
e.g. its replacement SOFR in the US and SONIA in the UK, for loans
issued after 2021) or EURIBOR. As such, income earned will be
affected by changes in the variable component albeit downward moves
are likely to be capped by the LIBOR (or SOFR/SONIA/EURIBOR) floors
that are prevalent in the majority of transactions. The Financial
Conduct Authority announced in 2017 it would not compel or persuade
panel banks to make LIBOR submissions after 2021.
The Company's portfolio comprises predominantly floating rate
investments; however, it does have material exposure to fixed rate
investments, which are subject to interest rate risk through
movements in their market price when interest rates change. In
preparation for the transition from LIBOR to new reference rates,
credit spread adjustments had been worked out well ahead of the
transition, so the Company does not believe there to be any
material valuation risk as a result of the shift to a new reference
rate (e.g., SOFR in the US and SONIA in the UK). The concept of a
credit spread adjustment is, by design, intended to equalize the
total coupon on loans before and after the transition to ensure
that no party (borrower or lender) benefits simply from the
conversion. Another way to state this is that without a spread
adjustment, there would be some value transfer (likely from lenders
to borrowers / issuers) upon transition from LIBOR to SOFR- and
SONIA-based rates. The spread adjustment is only intended to be
used for legacy debt maturing after LIBOR is no longer used. New
issues that use a SOFR- or SONIA-based rate do not require a spread
adjustment, since the margin over the reference rate can be set at
the appropriate level at issuance. Moreover, the Company has
documented the LIBOR-related contract language for securities it
holds that reference LIBOR.
Price Risk
Price Risk is the risk that the price of the security will fall.
The Investment Manager manages the exposure to price risk by
diversifying the portfolio.
Foreign Exchange Risk
Foreign Exchange Risk arises from various currency exposures,
primarily with respect to Sterling and Euro investments and share
issue proceeds. The Company makes use of hedging techniques, as
part of its risk management strategy, including but not limited to
the use of forward exchange contracts to mitigate its exposure to
this risk. These instruments involve market risk, credit risk, or
both kinds of risks. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from
movement in currency and interest rates.
Credit Risk
The Company has invested in a range of bank debt investments and
corporate and other bonds. Until such investments are sold or are
paid in full at maturity, the Company is exposed to issuer credit
risk, relating to whether the issuer will make interest and/or
principal payments on their debt obligations.
The Company maintains positions in a variety of securities,
derivative financial instruments and cash and cash equivalents in
accordance with its guidelines. The Company's trading activities
expose the Company to counterparty credit risk from brokers,
dealers and other financial institutions (collectively,
"counterparties") with which it transacts business. "Counterparty
credit risk" is the risk that a counterparty to a trade will fail
to meet an obligation that it has entered into with the Company,
resulting in a financial loss to the Company. The Company's policy
with respect to counterparty credit risk is to minimise its
exposure to counterparties with perceived higher risk of default by
dealing only with counterparties that meet the credit standards set
out by the Investment Manager.
All the Company's assets other than derivative financial
instruments were held by the Custodian. The Custodian segregates
the assets of the Company from the Custodian's own assets and other
Custodian clients' assets. The Investment Manager believes the risk
is low with respect to any losses as a result of this ring-fencing.
The Company conducts its trading activities with respect to
non-derivative positions with a number of counterparties.
Counterparty credit risk borne by these transactions is mitigated
by trading with multiple counterparties.
In addition, the Company trades in over-the-counter ("OTC")
derivative instruments. The Company is subject to counterparty
credit risk related to the potential inability of counterparties to
these derivative transactions to perform their obligations to the
Company. The Company's exposure to counterparty credit risk
associated with counterparty non-performance is generally limited
to the fair value (derivative assets and liabilities) of OTC
derivatives reported as net assets, net of collateral received or
paid, pursuant to agreements with each counterparty.
The Investment Manager attempts to reduce the counterparty
credit risk of the Company by establishing certain credit terms in
its International Swaps and Derivatives Association ("ISDA") Master
Agreements (with netting terms) with counterparties, and through
credit policies and monitoring procedures. Under ISDA Master
Agreements in certain circumstances (e.g., when a credit event such
as a default occurs) all outstanding transactions under the
agreement are terminated, the termination value is assessed and
only a single net amount is due or payable in settlement of all
transactions. The Company receives and gives collateral in the form
of cash and marketable securities and it is subject to the ISDA
Master Agreement Credit Support Annex.
This means that securities received/given as collateral can be
pledged or sold during the term of the transaction. The terms also
give each party the right to terminate the related transactions on
the other party's failure to post collateral.
Concentration Risks
The Company has invested a relatively large percentage of its
assets in issuers located in the USA. As a result, the Company's
performance may be closely aligned with the market, currency or
economic, political or regulatory conditions and developments in
the USA and could be more volatile than the performance of more
geographically diversified investments.
Following the entering of the Managed Wind-down of the Company,
the realisation of the underlying positions over time has led and
will continue to lead to the remaining portfolio becoming less
liquid and more concentrated in fewer issuers.
Liquidity Risk
Liquidity risk is the risk that the Company will not be able to
meet its obligations as and when these become due. Liquidity risk
is managed by the Investment Manager to ensure that the Company
maintains sufficient working capital in cash or near cash form so
as to be able to meet the Company's ongoing requirements as they
fall due.
Participation Commitments
With respect to the senior loans, the Company may: 1) hold
assignments; 2) act as a participant in primary lending syndicat
es; or 3) hold participations. If the Company holds a participation
of a senior loan interest, the Company would typically in a
contractual agreement with the lender or other third party seller
of the participation, rather than directly with the borrower. As
such, the Company not only assumes the credit risk of the borrower,
but also that of the seller of the participation or other persons
positioned between the Company and the borrower. As of 30 June
2023, there were no such outstanding participation commitments in
the Company.
Other Risks
Legal, tax and regulatory changes could occur that may adversely
affect the Company. The regulatory environment for alternative
investment companies is evolving, and changes in the regulation of
investment companies may adversely affect the value of investments
held by the Company or the ability of the Company to pursue its
Managed Wind-down. The effect of any future regulatory change on
the Company could be substantial and adverse.
NOTE 5 - CONTINGENCIES
In the opinion of the Directors, there were no contingencies as
at period end.
NOTE 6 - SHARE CAPITAL
The share capital of the Company consists of an unlimited number
of Ordinary Shares of no par value, which upon issue the Directors
may classify as:
(i) U.S. Dollar Ordinary Shares, Sterling Ordinary Shares or
Euro Ordinary Shares or as shares of such other classes as the
Directors may determine;
(ii) B Shares of such classes denominated in such currencies as
the Directors may determine; and
(iii) C Shares of such classes denominated in such currencies as
the Directors may determine.
The rights attached to the above shares are one vote in respect
of each share held.
(iv) In respect of a Share of a class denominated in any
currency other than U.S. Dollars or Sterling held by the
shareholder, such number of votes per Share of such class as shall
be determined by the Directors in their absolute discretion upon
the issue for the first time of shares of the relevant class.
Under the Managed Wind-down, the return of cash to Shareholders
will be affected through the compulsory redemptions of Ordinary
Shares in volumes and on dates to be determined at the Directors'
sole discretion. Shares will be redeemed from all Ordinary
Shareholders pro rata to their existing holdings of Ordinary Shares
on the relevant record date for any given Redemption Date. The
Directors are authorised to make such redemptions under the
Articles.
The B Shares are issued on terms such that each B Share shall be
compulsorily redeemed by the Company shortly following issue and
the redemption proceeds paid to the holders of such B Shares on
such terms and in such manner as the Directors may from time to
time determine.
The Directors are authorised to issue C Shares of such classes
(and denominated in such currencies) as they may determine in
accordance with Article 4 and with C Shares of each such class
being convertible into Ordinary Shares of such class as the
Directors may determine at the time of issue of such C Shares.
The C Shares will not carry the right to attend and receive
notice of any general meetings of the Company, nor will they carry
the right to vote at such meetings.
The C Shares will be entitled to participate in a winding-up of
the Company or on a return of capital in relation to the C share
surplus as defined in the Prospectus.
The C Shares will be entitled to receive such dividends as the
Directors may resolve to pay to such holders out of the assets
attributable to such class of C Shares.
There were no U.S. Dollar Ordinary, Euro Ordinary Shares, B
Shares or C Shares in issue as at 30 June 2023 or as at 30 June
2022.
As at 30 June 2023, the Company's share capital comprised
96,542,430 Sterling Ordinary Shares ("NBMI") of no par value (of
which nil were held in treasury). On 24 April 2023, 76,083,114
Sterling Ordinary Shares, being all the shares held in treasury
were cancelled. As detailed in Note 1, effective 6 July, following
the closing of the first Cash Exit Facility Offer on 30 June 2022,
25,500,417 Ordinary Shares were validly tendered, redeemed and
cancelled on 7 July 2022.
Sterling
FROM 1 JANUARY 2023 to 30 June 2023 Ordinary Shares
------------------------------------- -----------------
Balance as at 1 January 2023 221,684,621
-------------------------------------- -----------------
Cancelled following tender offers (125,142,191)
-------------------------------------- -----------------
Balance as at 30 June 2023 (1) 96,542,430
-------------------------------------- -----------------
(1) Balance of issued shares (less Treasury shares) used to calculate NAV per share.
Sterling
FROM 1 JANUARY 2022 to 31 December 2022 Ordinary Shares
----------------------------------------- -----------------
Balance as at 1 January 2022 247,185,038
------------------------------------------ -----------------
Cancelled following tender offers (25,500,417)
------------------------------------------ -----------------
Balance as at 31 December 2022 (1) 221,684,621
------------------------------------------ -----------------
(1) Balance of issued shares (less Treasury shares) used to calculate NAV per share.
Treasury Shares
As at 30 June 2023, the Company held the following shares in
treasury.
30 June 2023 30 June 2022
============================= ============= =============
Sterling Ordinary Treasury
Shares
============================= ============= =============
Opening number of shares 76,083,114 76,083,114
============================== ============= =============
Shares bought into Treasury - -
============================= ============= =============
Shares sold or cancelled (76,083,114 -
from Treasury )
============================= ============= =============
Closing number of shares - 76,083,114
============================== ============= =============
(1) The Company has shareholder approval to be able to buy back
shares and may elect to buy back Ordinary Shares at certain times
during the year either for cancellation or to be held as Treasury
shares at the absolute discretion of the Directors. No shares were
bought back during the period ended 30 June 2023 or the year ended
31 December 2022.
The Computation for earnings per share for the periods ended 30
June 2023 and 30 June 2022 were as follows:
30 june 2023 30 June 2022
========================================== ============== ================
Net increase/(decrease) in net assets
resulting from operations GBP15,126,620 (GBP43,993,317)
========================================== ============== ================
Divided by weighted average shares
outstanding for
Sterling Ordinary Shares 184,009,057 247,185,038
=========================================== ============== ================
Earnings per share for Sterling Ordinary
Shares GBP0.0822 (GBP0.1780)
=========================================== ============== ================
Note 7 - FINANCIAL HIGHLIGHTS
Sterling
Ordinary ShareS as at
30 June 2023 30 June 2023 (GBP)
======================================== =======================
Per share operating performance
---------------------------------------- -----------------------
NAV per share at the beginning of
the period 0.7926
---------------------------------------- -----------------------
Income from investment operations
(a)
---------------------------------------- -----------------------
Net income per share for the period 0.0335
---------------------------------------- -----------------------
Net realised and unrealised gain from
investments 0.0437
---------------------------------------- -----------------------
Foreign currency translation gain (0.0391)
---------------------------------------- -----------------------
Total gain from operations 0.0381
---------------------------------------- -----------------------
Distributions per share during the
period (0.0317)
---------------------------------------- -----------------------
NAV per share at the end of the period 0.7990
---------------------------------------- -----------------------
NAV Total return 1, (b) 3.81%
---------------------------------------- -----------------------
Ratios to average net assets (b)
---------------------------------------- -----------------------
Net investment income 4.18%
---------------------------------------- -----------------------
On-Going Charges (0.63%)
---------------------------------------- -----------------------
(a) The weighted average number of shares outstanding for the
period was used for calculation. See note 6 also.
(b) An individual shareholder's return may vary from these
returns based on the timing of the shareholder's investments in the
Company.
(1) The NAV total return is the % of change in NAV per share
from the start of the period. It assumes that dividends paid to
shareholders are reinvested at NAV at the time the shares are
quoted ex-dividend.
Sterling
Ordinary ShareS as at
31 DeCEMBER 2022 31 DECEMBER 2022 (GBP)
======================================= ========================
Per share operating performance
--------------------------------------- ------------------------
NAV per share at the beginning of
the period 0.9429
--------------------------------------- ------------------------
Income from investment operations
(a)
--------------------------------------- ------------------------
Net income per share for the period 0.0637
--------------------------------------- ------------------------
Net realised and unrealised loss from
investments (0.2800)
--------------------------------------- ------------------------
Foreign currency translation gain 0.1230
--------------------------------------- ------------------------
Total loss from operations (0.0933)
--------------------------------------- ------------------------
Distributions per share during the
year (0.0570)
--------------------------------------- ------------------------
NAV per share at the end of the year 0.7926
--------------------------------------- ------------------------
NAV Total return 1, (b) (10.09%)
--------------------------------------- ------------------------
Ratios to average net assets (b)
--------------------------------------- ------------------------
Net investment income 7.34%
--------------------------------------- ------------------------
On-Going Charges (1.22%)
--------------------------------------- ------------------------
(a) The weighted average number of shares outstanding for the
year was used for calculation. See note 6 also.
(b) An individual shareholder's return may vary from these
returns based on the timing of the shareholder's investments in the
Company.
(1) The NAV total return is the % of change in NAV per share
from the start of the year. It assumes that dividends paid to
shareholders are reinvested at NAV at the time the shares are
quoted ex-dividend.
NOTE 8 - SUBSEQUENT EVENT
On 24 August 2023, the Company advised that it intends to
distribute to Shareholders an aggregate amount of approximately
GBP20 million by way of a partial compulsory redemption of Shares
in the capital of the Company on 26 September 2023.
ADDITIONAL INFORMATION | Contact Details
Registrar
Link Market Services
(Guernsey) Limited
UK Transfer Agent
Link Asset Services
34 Beckenham Road
Beckenham
Kent
BR3 4TU
United Kingdom
Shareholders holding
shares directly and
not through a broker,
saving scheme or ISA
and have queries in
relation to their shareholdings
should contact the
Registrar on +44 (0)371
664 0445. Calls are
charged at the standard
geographic rate and
will vary by provider.
Calls outside the United
Kingdom will be charged
at the applicable international
rate. Lines are open
between 9 a.m. to 5:30
p.m. (excluding bank
holidays). Shareholders
can also access their
details via Link's
website:
www.signalshares.com
Contact Details Full contact details
of the Company's advisers
Directors and Manager can be
found on the Company's
Rupert Dorey - Chair Designated Administrator website.
Laure Duhot
David Staples U.S. Bank Global Fund
Services (Guernsey)
All c/o the Company's Limited
registered office.
Custodian and Principal
Registered Office Bankers
1 Royal Plaza US Bank National Association
Royal Avenue
St Peter Port Sub-Administrator
Guernsey
GY1 2HL U.S. Bank Global Fund
Services (Ireland)
Company Secretary Limited
Sanne Fund Services Financial Adviser
(Guernsey) Limited and Corporate Broker
Solicitors to the Numis Securities Limited
Company (as to English
law and U.S. securities Alternative Investment
law) Fund Manager
Herbert Smith Freehills Neuberger Berman Investment
LLP Advisers LLC
Advocates to the Company Manager
(as to Guernsey law)
Neuberger Berman Europe
Carey Olsen Limited
ADDITIONAL INFORMATION | Shareholder Information
Shareholder Information
Website
Information relating to the Company can be found on the Company's
website: www.nbgmif.com
The contents of websites referred to in this document are not
incorporated in to, nor do they form part of, this report.
Annual Reports
Copies of the Company's annual reports may be obtained from
the Company Secretary or by visiting https://www.nbgmif.com
under the Investor Information section.
Net Asset Value Publication
The NAV is published daily. It is calculated at the close of
business each day and notified to the London Stock Exchange
the next business day. It can also be found on the Company's
website. Note the Board intends to keep under review the daily
publication of the NAV of the Company's Ordinary Shares in light
of the diminishing size of the Company during the Managed Wind-down
and the costs of preparing such daily NAV publications.
Company Numbers
Sterling Ordinary Shares
LSE ISIN code: GG00BP0XL116
Bloomberg code: NBMI:LN
Legal Entity Identifier
549300P4FSBHZFALLG04
Association of Investment Companies
The Company is a member of the Association of Investment Companies.
Contact details are as follows:
+44 (0)20 7282 555
enquiries@theaic.co.uk
www.theaic.co.uk
Registrar
The Registrar provides an on-line and telephone share dealing
service to existing shareholders who are not seeking advice
on buying or selling. This service is available at www.linksharedeal.com
or by phoning +44(0)371 664 0445. Calls cost 12p per minute
plus network charges +44(0)20 3367 2699 (from outside the UK).
Lines are open 8 a.m. to 4:30 p.m. Monday to Friday (excluding
UK bank holidays).
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END
IR BXGDCBGBDGXU
(END) Dow Jones Newswires
September 18, 2023 02:00 ET (06:00 GMT)
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