TWENTYFOUR INCOME FUND LIMITED
INTERIM MANAGEMENT REPORT AND UNAUDITED CONDENSED INTERIM
FINANCIAL STATEMENTS
For the period from 1 April 2019
to 30 September 2019
LEI: 549300CCEV00IH2SU369
(Classified Regulated Information, under DTR 6 Annex 1 section
1.2)
The Company has today, in accordance with DTR 6.3.5, released
its Interim Management Report and Unaudited Condensed Financial
Statements for the period ended 30 September
2019. The Report will shortly be available via the
Company's Portfolio Manager’s website www.twentyfouram.com and
will shortly be available for inspection online at
www.morningstar.co.uk/uk/NSM website.
SUMMARY INFORMATION
The Company
TwentyFour Income Fund Limited (the “Company”) was incorporated
with limited liability in Guernsey, as a closed-ended investment company
on 11 January 2013. The Company’s
shares were listed with a Premium Listing on the Official List of
the UK Listing Authority and admitted to trading on the Main Market
of the London Stock Exchange on 6 March
2013.
Investment Objective and Investment Policy
The Company’s investment objective is to generate attractive
risk adjusted returns principally through income distributions.
The Company’s investment policy is to invest in a diversified
portfolio of predominantly UK and European Asset Backed
Securities.
At an Extraordinary General Meeting held on 10 May 2019, Shareholders agreed to pass a
resolution to update the Company’s Investment Policy. Amended
Investment Policy details are outlined below. Details of the prior
Investment Policy can be found in the Company’s Annual Financial
Statements for the year ended 31 March
2019.
The Company will maintain a Portfolio diversified by issuer, it
being anticipated that the Portfolio will comprise at least 50
Asset Backed Securities at all times.
The Portfolio must comply, as at each date an investment is
made, with the following restrictions:
(i) no more than 20
per cent. of the Portfolio value will be backed by collateral in
any single country (save that this restriction will not apply to
Northern European countries);
(ii) no more than 10 per
cent. of the Portfolio value will be exposed to any single Asset
Backed Security or issuer of Asset Backed Securities, but provided
that where more than 5 per cent. of the Portfolio value is exposed
to a single Asset Backed Security, these Asset Backed Securities in
respect of which more than 5 per cent. of the Portfolio value is
exposed, may not, in aggregate, make up more than 40 per cent. of
the total Portfolio value of the Company;
(iii) no more than 15 per cent. of
the Portfolio value will be exposed in aggregate to instruments not
deemed securities for the purposes of FSMA, provided that no more
than 3 per cent. of the Portfolio value will be exposed to any
single such instrument; and
(iv) up to 10 per cent. of
the Portfolio value may be exposed to Asset Backed Securities
backed by collateral from several countries where, in addition to
countries within the UK and Europe, one or more of the countries is
outside of the UK and Europe.
As an exception to the requirements set out above the Portfolio
Manager will be permitted to purchase new investments at any time
when the Portfolio does not comply with one or more of those
restrictions so long as, at the time of investment:
·
the asset purchased would be compliant with the single country
restriction above (even where following the purchase more than 20
per cent. of the Portfolio will be backed by collateral in another
single country due to market movements);
·
the asset purchased would be compliant with the single Asset Backed
Security/issuer exposure restriction above (even where following
the purchase more than 10 per cent. of
the Portfolio value will be exposed to any single Asset Backed
Security or issuer of Asset Backed Securities, provided that Asset
Backed Securities within the Portfolio to which more than 5 per
cent. of the Portfolio value is exposed, may not make up more than
40 per cent. of the total Portfolio value of the Company); and
·
such purchase does not make the Portfolio, in aggregate, less
compliant with any of (i), (ii), (iii) and (iv) above.
Uninvested cash or surplus capital or assets may be invested on
a temporary basis in:
·
cash or cash equivalents, namely money market funds or short term
money market funds (as defined in the ‘Guidelines on a Common
Definition of European Money Market Funds published by the
Committee of European Securities Regulators (CESR) and adopted by
the European Securities and Markets Authority (ESMA)) and other
money market instruments (including certificates of deposit,
floating rate notes and fixed rate commercial paper of banks or
other counterparties having a “single A” or higher credit rating as
determined by any internationally recognised rating agency selected
by the Board which, may or may not be registered in the EU);
and
·
any “government and public securities” as defined for the purposes
of the FCA Rules.
The Company may employ gearing or derivatives for investment
purposes.
The Company may, from time to time, use borrowing for investment
opportunities and short-term liquidity purposes, which could be
achieved through a loan facility or other types of collateralised
borrowing instruments including repurchase transactions or stock
lending. The Company may have more than one, loan, repurchase or
stock loan facility in place. The Company is permitted to provide
security to lenders in order to borrow money, which may be by way
of mortgages, charges or other security interests or by way of
outright transfer of title to the Company’s assets. In this case,
the Directors will restrict borrowing to an amount not exceeding 25
per cent. of the Company’s Net Asset Value at the time of drawdown.
Derivatives may be used for currency hedging purposes as set out
below and for efficient portfolio management.
In accordance with the Listing Rules, the Company can only make
a material change to its investment policy with the approval of its
Shareholders by Ordinary Resolution.
Target Returns
The Company has a target annual net total return on the
Company’s NAV of between 6% and 9% per annum, which includes
quarterly dividends with a target yield each financial year of 6%
or higher, of the Issue Price.*
Ongoing Charges
Ongoing charges for the period ended 30
September 2019 have been calculated in accordance with the
Association of Investment Companies (the “AIC”) recommended
methodology. The ongoing charges for the period ended 30 September 2019 were 0.95% (30 September 2018: 0.93%).
* The Issue Price being £1.00. This is a target only and not a
profit forecast. There can be no assurance that this target will be
met or that the Company will make any distributions at all. This
target return should not be taken as an indication of the Company’s
expected or actual current or future results. The Company’s actual
return will depend upon a number of factors, including the number
of Ordinary Shares outstanding and the Company’s total expense
ratio. Potential investors should decide for themselves whether or
not the return is reasonable and achievable in deciding whether to
invest in or retain or increase their investment in the Company.
Further details on the Company’s financial risk management can be
found in note 16 of the Company’s Annual Financial Statements for
the year ended 31 March 2019, which
can be found on the Company’s website
(www.twentyfourincomefund.com).
Shareholder Information
Northern Trust International Fund Administration Services
(Guernsey) Limited (the
“Administrator”) is responsible for calculating the NAV per share
of the Company. The unaudited NAV per ordinary redeemable share
will be calculated as at the close of business on the last business
day of every week and the last business day of every month by the
Administrator and will be announced by a Regulatory News Service
the following business day.
Financial Highlights
|
|
|
|
|
For
the six month |
For
the |
For
the six month |
|
|
|
|
|
period ending |
year
ended |
period ending |
|
|
|
|
|
30.09.19 |
31.03.19 |
30.09.18 |
|
|
|
|
|
|
|
|
Total Net
Assets |
|
|
|
£557,157,995 |
£500,465,449 |
£457,025,616 |
|
|
|
|
|
|
|
|
Net Asset
Value per share |
|
|
110.39p |
113.28p |
115.46p |
|
|
|
|
|
|
|
|
Share
price |
|
|
|
108.50p |
115.28p |
120.50p |
|
|
|
|
|
|
|
|
(Discount)/premium to Net Asset Value |
|
(1.71%) |
1.77% |
4.37% |
|
|
|
|
|
|
|
|
Dividends
declared in respect of the period/year |
3.00p |
6.45p |
3.00p |
As at 14 November 2019, the
discount had moved to 0.08%. The estimated NAV per share and
mid-market share price stood at 110.34p and 110.25p
respectively.
CHAIRMAN’S STATEMENT
for the period from 1 April 2019
to 30 September 2019
I am pleased to present my report on the Company’s progress for
the six months ending 30 September
2019.
The Company’s shares have typically traded at a premium since
launch, and continued to do so during the first three months of the
period, however in the second half this drifted to a discount. The
average premium during the period was 0.43%, and moved in a range
of +3.0% to -3.5% during the six months. I see the move to a
discount as more reflective of the current uncertain macro-economic
climate rather than specifically attributable to sentiment specific
to our Company.
It remains the view of the board that it may continue to
authorise the issuance of further shares as a premium management
mechanism when the shares trade at a premium and when the Portfolio
Managers can confirm that attractive investment opportunities are
available in the market.
The total return of the NAV per Share was 2.4% (including
dividends paid) during the period, and the income component of the
return to investors remained strong as the Company declared two
dividends of 1.5p per share, and paid a final dividend for the
previous period covering all excess returns in respect of the year
of 1.95p per share. The Net Asset Value (“NAV”) total return on the
shares from launch to 29 March 2019
was 66.7% (including dividends paid).
The NAV performance of the Company has varied during the period,
being broadly positive during the first three months, as European
ABS spread performance caught up with corporate credit after a slow
start to 2019. Some weakness was experienced during August and
September, though prices rebounded strongly into the end of the
period. Fundamental performance of the asset pools and structures
remains strong and stable, and ratings remain stable with a bias
towards upgrades over downgrades.
The market continued to provide attractive opportunities for
investment during the period, allowing for additional capital to be
issued. In addition the Board was pleased to see overwhelming
support for the changes to the investment mandate that the
Portfolio Managers proposed earlier in the period.
During the period the Company issued 81,250,000 shares, at an
average premium of 2.00%, raising a total of £93,123,125.
Subsequently at the Realisation Election, 6,000,000 shares were
placed in the market and 18,349,342 further shares were purchased
for cancellation by the Company.
The Company’s investment strategy continues to offer an
attractive opportunity to investors in terms of a greater credit
spread, the ability to remove duration risk and to achieve these
through investing in high quality assets. While I recognise the
potential for volatility, I believe the Company’s structure remains
an appropriate way for investors to invest in such assets. I remain
confident of the Company’s ability to fulfil its objectives.
Trevor
Ash
Chairman
14 November
2019
PORTFOLIO MANAGER’S REPORT
for the period from 1 April 2019
to 30 September 2019
Market Commentary
In April, the Board of TwentyFour Income Fund announced the
intention to issue new ordinary redeemable shares in response to
ongoing demand, and due to the Board and TwentyFour Asset
Management being of the view that there was an opportunity to
deploy additional funds with favourable returns. The capital
raising saw significant demand of £80m, which was very successful
against a backdrop of equity and wider market volatility during the
subscription period.
The key themes that have driven wider market sentiment
year-to-date, continued throughout the period, with central bank
policy and the trade tariff dispute dominating the markets; while
Brexit uncertainty remained heightened.
Sentiment in the European ABS market continued to improve
throughout the month, with the Brexit extension adding to the
support and following the successful refinancing of the large
legacy Northern Rock mortgage portfolio transaction in March. The
strong technical support remained due in part to a fairly limited
issuance in Q1, which was not focused in any particular sector but
spread across a diverse array of credits. The UK market also saw
its first Prime STS RMBS deal from Nationwide, which drew very
strong demand. The deal was also notable as it was the first
publicly placed deal in the market referencing Sonia as the index,
as opposed to Libor. The transition of UK issuers who migrated to
the Sonia index increased during the period, which had been
expected, as the Bank of England
encouraged and continues to encourage a move away from fixing to
Libor; which is due to be phased out at the end of 2021.
May saw fairly light supply in primary issuance at the beginning
of the month, with spreads continuing to grind tighter across most
asset classes; albeit at a slower pace. As the month progressed,
the market saw multiple new issues being announced, culminating in
what was the busiest two weeks of the year in ABS markets.
Throughout the month the tone of the market was positive despite
the “risk-off” tone in wider credit markets, and although there was
more supply, the levels of oversubscription and pricing being at
the tighter end of the range suggested that the supply was not
sufficient to fill investor demand. Secondary activity remained
fairly quiet at the start of the month with fairly balanced flows,
and spread levels remained broadly unchanged. However, supply
picked up steadily as the month progressed and we started to see a
little weakness seep into the ABS market, as broader volatility and
wider Crossover and Main index spreads started to feed into dealer
pricing at the end of the month. Primary CLO issuance was slower
over the month compared to April, and although CLO spreads
continued to lag the credit and loan markets, overall year-to-date
performance, particularly in the AAA and mezzanine space, remained
positive. Some of the focus on primary deals was at the shorter
end, as we saw a pick-up in CLO refinancing deals and continued to
see a steeper tiering on a spread basis develop between manager,
maturity and tranche rating.
Markets rallied across the board in June, with both “risk-off”
and “risk-on” assets posting positive returns, as the Fed seemed to
pacify the markets’ call for lower rates, and the rhetoric relating
to the US-China trade standoff eased during the month. As a result,
10-year US Treasury yields dipped below 2% for the first time since
2016, and European government bonds hit record low yield levels,
while all major equity indices were up on the month. The key event
in Europe was the ECB meeting
where outgoing president Mario
Draghi delivered a particularly dovish speech, stating that
the ECB stood ready to act with additional stimulus if the outlook
in Europe did not improve. This
naturally led to a strong rally in both European government bonds
and credit.
The positive macro sentiment filtered through to the European
ABS market throughout June, although a combination of heavy
secondary offerings and consistent primary issuance at the end of
May and early June weighed on spreads, and volatility remained
elevated. Secondary flow was respectable with decent liquidity
provided by dealers, and once the broader macro picture recovered
in wider markets, we saw more balanced flows in the ABS space, with
buyers returning to the secondary market as the month progressed;
leading to a compression in spreads. CLO secondary market supply
was also quite heavy in the first part of the month, which was
mainly attributable to rotation into primary, profit taking from Q1
and realisation of CLO outperformance in May. Again a lot of the
liquidity was provided by dealers, but this still led to a
dispersion in clearing levels of around 5-10 bp in mezzanine bonds
on ‘tier one’ managers and slightly wider for ‘tier two’. In the
latter part of the month there was a better tone with a strong
pick-up in two-way flows leading to a compression in spreads,
particularly in mezzanine bonds.
The momentum of primary ABS issuance continued unabated
throughout July against a fairly benign macro market backdrop. With
low levels of volatility, most deals were placed at the tighter end
of guidance with decent levels of oversubscription in mezzanine
bonds in particular. One or two deals found the going a little
tougher – typically those from less vanilla asset classes, but were
fully placed once the pricing terms were adjusted to more
attractive clearing levels. The pace of issuance in CLOs led to
spreads being a little weaker in the mezzanine tranches, which was
understandable given the amount of supply. This was in contrast to
AAA CLO spreads, which contracted by around 5bp over the month,
highlighting the compelling relative value of the asset class
versus other investment grade credit, particularly once the
heightened value of the Euribor floor is taken into account
following the movement in the swap curve; also reflecting the
attraction for yen and US dollar based investors. The deeper
mezzanine spreads have been driven more by the manager and the
quality of the underlying portfolio. Secondary spreads in the wider
ABS market generally held in well over the month, trending sideways
as opposed to widening in the face of heightened primary
supply.
At a macro level, August was far from the subdued market
activity normally associated with this time of year. Escalating
trade wars, geopolitical events and deteriorating economic data
combined to create a more vulnerable backdrop to risk markets and a
relentless rally in government bonds, resulting in all developed
economy government bond markets ending the month sharply tighter.
As is often the case when broader markets are volatile, and
particularly given the summer recess, the European ABS market was
typically very quiet with virtually no primary public issuance. As
a consequence, spread movement over the month in the UK market was
a little mixed, widening in sympathy with broader markets in the
first part of the month, negligibly in the case of AAAs but a
little more in mezzanine bonds. Some modest tightening occurred in
the latter part of the month on the back of improved sentiment and
falling yields in rates markets; albeit, based on very low traded
volumes. In contrast euro denominated ABS spreads held in better as
some sectors saw modest tightening, and this was reflective of
lower supply, the ongoing impact of the falling euro swap curve and
a more stable geopolitical backdrop.
Following the typical summer lull for ABS primary issuance, the
market bounced back in September with a wide range of deals priced.
Issuance over the month grossed around €9bn, a cumulative total of
around €71bn year-to-date, which is at this point, almost at the
same level as this time, last year. Another positive factor
was an increase in the amount of mezzanine bonds available in new
issues, giving more opportunity to add incremental yield.
Subscription levels were very strong across all transactions,
particularly in mezzanine bonds, and all tranches were priced at
the tighter end of initial guidance.
Market Outlook
Geopolitical events, central bank policy and Brexit remain in
the background and will continue to play a part in the ongoing
spikes in volatility as and when they are imported to the ABS
market, to varying degrees.
A large post-summer primary ABS pipeline has been absorbed by
the market, with relative ease, confirming that investor sentiment
remains strong with a large amount of cash being available on the
side-lines. We expect to see further supply over the final quarter
of the year and the backdrop suggests this will continue to be well
received subject to structure and pricing.
Current elevated spreads in the UK ABS market will likely be an
effective defensive holding against the deep uncertainty around the
Brexit outcome, and could ultimately also offer some spread upside,
given the high level of fundamental credit protection within the
structures. Fundamental performance of the underlying assets
remains robust and the portfolio managers will remain measured on
risk and will maintain appropriate levels of liquidity in the
Fund.
TwentyFour Asset Management
14 November 2019
TOP TWENTY HOLDINGS
as at 30 September 2019
|
|
|
|
|
|
Percentage of Net Asset Value |
|
Nominal/ |
|
Asset
Backed Security |
|
Fair
Value |
|
|
Security |
Shares |
|
Sector |
|
£ |
|
|
TULPENHUIS 0.0%
18/04/2051 |
25,000,000 |
|
Prime
RMBS |
|
22,117,181 |
|
3.97 |
VSK HOLDINGS LIMITED
SER |
790,000 |
|
Prime
RMBS |
|
13,978,478 |
|
2.51 |
CAP. BRIDGE FIN. NO1 '1 MEZZ' FRN 08/11/2018 |
14,000,000 |
|
Buy-to-Let RMBS |
|
13,545,000 |
|
2.43 |
VSK HLDGS. '1 C4-1'
VAR 01/10/2058 |
1,250,000 |
|
Prime
RMBS |
|
12,098,872 |
|
2.17 |
EQTY. RELEASE FNDG. NO 5 '5 B' FRN 14/07/2050 |
14,550,000 |
|
Prime
RMBS |
|
11,486,881 |
|
2.06 |
AUTOFLORENCE 1 SRL '1 F' 7.00% 25/12/2042 |
12,000,000 |
|
Auto
Loans |
|
10,695,869 |
|
1.92 |
ERNA 1 A '1 A' FRN
25/07/2031 |
11,342,680 |
|
CMBS |
|
10,084,228 |
|
1.81 |
FNDG. II '1 A' FRN
15/06/2022 |
10,000,000 |
|
Consumer
ABS |
|
10,015,253 |
|
1.80 |
SYON SECURITIES 19-1 B CLO FLT 19/07/2026 |
9,000,000 |
|
Prime
RMBS |
|
8,991,510 |
|
1.61 |
RESIDENTIAL MORTGAGE 28 '28 E' FRN 15/06/2046 |
8,550,000 |
|
Non-Conforming
RMBS |
|
8,628,292 |
|
1.55 |
AURORUS 2017 BV '1 G'
FRN 11/8/2078 |
9,200,000 |
|
Consumer
ABS |
|
8,342,601 |
|
1.50 |
AVOCA CLO XVI DAC '16X ER' FRN 15/07/2031 |
8,750,000 |
|
CLO |
|
7,453,312 |
|
1.34 |
TRINI 2015-1X E '1X E' FRN 15/07/2051 |
7,283,000 |
|
Non-Conforming RMBS |
|
7,395,887 |
|
1.33 |
HAYFIN EMERALD CLO II DAC '2X E' FRN 27/05/2032 |
8,500,000 |
|
CLO |
|
7,367,204 |
|
1.32 |
MAN GLG EURO CLO V DAC '5X E' FRN 15/12/2031 |
8,700,000 |
|
CLO |
|
7,311,940 |
|
1.31 |
TAURUS 2019-1 FR DAC '1FR E' FRN 02/02/2031 |
8,076,674 |
|
CMBS |
|
7,207,709 |
|
1.29 |
SC GERMANY CONSUMER 2016-1 UG '1 E' FRN 13/09/2029 |
7,500,000 |
|
Consumer
ABS |
|
6,990,669 |
|
1.25 |
SYON SECS. 19-1 Z FRN
19/07/2026 |
6,500,000 |
|
Prime
RMBS |
|
6,479,664 |
|
1.16 |
ALME LOAN FNDG. III DESIG '3X FRNE' FRN 15/04/2030 |
7,500,000 |
|
CLO |
|
6,423,444 |
|
1.15 |
CASTELL 2017-1 '1 F'
FRN 25/10/2044 |
6,000,000 |
|
Non-Conforming
RMBS |
|
6,064,200 |
|
1.09 |
The full portfolio listing as at 30
September 2019 can be obtained from the Administrator on
request.
BOARD MEMBERS
Biographical details of the Directors are as follows:
Trevor Ash – (Chairman)
(age 73)
Mr Ash is a resident of Guernsey and has over 30 years of investment
experience. He is a Fellow of the Chartered Institute for
Securities and Investment. He was formerly a managing director of
Rothschild Asset Management (CI) Limited. Mr Ash retired as a
director of NM Rothschild & Sons (CI) Limited, the banking arm
of the Rothschild Group in the Channel
Islands in 1999. Since retirement, he has acted as a
director of a number of hedge funds, fund of hedge funds, venture
capital, derivative and other offshore funds including several
managed or advised by Insight, JP Morgan and Merrill Lynch. Mr Ash
was appointed to the Board on 11 January
2013.
Ian Burns –
(Non-executive Director, Senior Independent Director and
Chairman of the Audit Committee) (age 60)
Mr Burns is a resident of Guernsey and a fellow of the Institute of
Chartered Accountants in England
and Wales and a member of the
Society of Trust and Estate Planners. He is a founder and Executive
Director of Via Executive Limited, a specialist management
consulting company and managing director of Regent Mercantile
Holdings Limited, a privately owned investment company. Mr Burns is
currently a non-executive director of London listed River and Mercantile UK Micro
Cap Limited and FastForward Innovations Limited (AIM) and a number
of private investment funds. Mr Burns was appointed to the Board on
17 January 2013.
Richard Burwood –
(Non-executive Director) (age 52)
Mr Burwood is a resident of Guernsey with over 25 years’ experience in
banking and investment management. During 18 years with Citibank
London, Mr Burwood spent 11 years as a fixed income portfolio
manager spanning both banks/finance investments and Asset Backed
Securities. Mr Burwood has lived in Guernsey since 2010, initially working as a
portfolio manager for EFG Financial Products, managing the treasury
department’s ALCO Fixed Income portfolio. From 2011 to 2013, Mr
Burwood worked as the Business and Investment Manager for Man
Investments, Guernsey. In January
2014, Mr Burwood joined the board of RoundShield Fund, a
Guernsey private equity fund,
focused on European small to mid-cap opportunities. In August 2015, he became a Board Member of Funding
Circle SME Income Fund, which provides investors access to a
diversified pool of SME loans originated through Funding Circle’s
marketplaces in the UK, US and Europe. Mr Burwood also serves on the boards
of Habrok, a hedge fund specialising in Indian equities, and EFG
International Finance, a structured note issuance company based in
Guernsey. Mr Burwood was appointed to the Board on
17 January 2013.
Joanne Fintzen -
(Non-executive Director) (age 49)
Ms Fintzen is a resident of the United
Kingdom, with extensive experience of the finance sector and
the investment industry. She trained as a Solicitor with
Clifford Chance and worked in the
Banking, Fixed Income and Securitisation areas. She joined
Citigroup in 1999 providing legal coverage to an asset management
division. She was subsequently appointed as European General
Counsel for Citigroup Alternative Investments where she was
responsible for the provision of legal and structuring support for
vehicles which invested $100bn across
asset-backed securities as well as hedge funds investing in various
different strategies in addition to private equity and venture
capital funds. Ms Fintzen was appointed to the Board on
7 January 2019.
STATEMENT OF PRINCIPAL RISKS AND
UNCERTAINTIES
The Company’s assets are mainly comprised of Asset Backed
Securities carrying exposure to risks related to the underlying
assets backing the security or the originator of the security. The
Company’s principal risks are therefore market or economic in
nature.
The principal risks and uncertainties assessed by the Board
relating to the Company were disclosed in the Annual Report and
Audited Financial Statements for the year ended 31 March 2019. The principal risks disclosed can
be divided into the various areas as follows:
·
Market risk
Market risk is risk associated with changes in market prices
including spreads, interest rates, economic uncertainty, changes in
laws and national and international political circumstances.
·
Reinvestment risk
Reinvestment risk is the risk that any monies resulting from
principal and income payments from a bond will not be reinvested at
the prevailing interest rate when the bond was initially
purchased.
·
Credit risk
The investment portfolio is comprised of Asset Backed Securities
which expose the Company to credit risk, being the risk that a
counterparty will default on its contractual obligations resulting
in financial loss to the Company.
·
Liquidity risk
Liquidity risk is that the Company does not have sufficient cash
resources to meet obligations, including the dividend target, as
they fall due or can only do so on terms that are materially
disadvantageous.
·
Foreign currency risk
Foreign currency risk is the risk that the value of a financial
instrument will fluctuate due to changes in foreign exchange rates.
The Company is exposed to foreign currency risk through its
investment in predominately Euro denominated assets although
mitigates this risk through hedging.
A detailed explanation of these can be found in note 16 of the
Annual Report. The Board and Portfolio Manager do not consider
these risks to have changed and these risks are considered to
remain relevant for the remaining six months of the financial
year.
As from financial year ends beginning on or after 1 January 2019, the 2018 UK Corporate Governance
Code comes into effect. The new code does not require any
additional reporting in the Company’s Unaudited Condensed Interim
Financial Statements, however, additional reporting will be
introduced in the Annual Report for the year end 30 March 2020. The additional reporting requires
the Board to provide more in-depth information about how the
directors performed their duty and are how they are working on the
strategic, long-term future of the Company. The new reporting will
also include assessments of both emerging and principal risks
facing the Company; policies and business impact on environmental
matters as well as information as to how the Company interacts with
its stakeholders.
Related Parties
Related party balances and transactions are disclosed in note 13
of these Unaudited Condensed Interim Financial Statements.
Going Concern
Under the 2018 UK Corporate Governance Code and applicable
regulations, the Directors are required to satisfy themselves that
it is reasonable to assume that the Company is a going concern and
to identify any material uncertainties to the Company’s ability to
continue as a going concern for at least 12 months from the date of
approving these Unaudited Condensed Interim Financial
Statements.
The Directors believe that it is appropriate to adopt the going
concern basis in preparing the Unaudited Condensed Interim
Financial Statements in view of the Company’s holdings in cash and
cash equivalents and the liquidity of investments and the income
deriving from those investments, meaning the Company has adequate
financial resources and suitable management arrangements in place
to continue as a going concern for at least twelve months from the
date of approval of the Unaudited Condensed Interim Financial
Statements.
DIRECTORS’ RESPONSIBILITY
STATEMENT
We confirm that to the best of our knowledge:
·
these Unaudited Condensed Interim Financial Statements have been
prepared in accordance with International Accounting Standard 34,
"Interim Financial Reporting" and give a true and fair view of the
assets, liabilities, financial position and profit or loss of the
Company as required by DTR 4.2.4R.
·
the interim management report includes a fair review of the
information required by:
(a) DTR 4.2.7R of the Disclosure and Transparency Rules, being
an indication of important events that have occurred during the
period from 1 April 2019 to
30 September 2019 and their impact on
the Unaudited Condensed Interim Financial Statements; and a
description of the principal risks and uncertainties for the
remaining six months of the year; and
(b) DTR 4.2.8R of the Disclosure and Transparency Rules, being
related party transactions that have taken place during the period
from 1 April 2019 to 30 September 2019 and that have materially
affected the financial position or performance of the Company
during that period as included in note 13.
By order of the Board
Trevor
Ash
Chairman
Ian
Burns
Director
14 November
2019
INDEPENDENT REVIEW REPORT
TO TWENTYFOUR INCOME FUND LIMITED
Our conclusion
We have reviewed the accompanying unaudited condensed interim
financial statements of TwentyFour Income Fund Limited (the
“Company”) as of 30 September 2019.
Based on our review, nothing has come to our attention that causes
us to believe that the accompanying unaudited condensed interim
financial statements are not prepared, in all material respects, in
accordance with International Accounting Standard 34, ‘Interim
Financial Reporting’, and the Disclosure Guidance and Transparency
Rules sourcebook of the United Kingdom’s Financial Conduct
Authority.
What we have reviewed
The accompanying unaudited condensed interim financial
statements comprise:
· the condensed statement of
financial position as of 30 September
2019;
· the condensed statement of
comprehensive income for the six-month period then ended;
· the condensed statement of
changes in equity for the six-month period then ended;
· the condensed statement of cash
flows for the six-month period then ended; and
· the notes, comprising a summary
of significant accounting policies and other explanatory
information.
The unaudited condensed interim financial statements have been
prepared in accordance with International Accounting Standard 34,
‘Interim Financial Reporting’, and the Disclosure Guidance and
Transparency Rules sourcebook of the United Kingdom’s Financial
Conduct Authority.
Our responsibilities and those of the
directors
The Directors are responsible for the preparation and
presentation of these unaudited condensed interim financial
statements in accordance with the Disclosure Guidance and
Transparency Rules sourcebook of the United Kingdom’s Financial
Conduct Authority.
Our responsibility is to express a conclusion on these unaudited
condensed interim financial statements based on our review. This
report, including the conclusion, has been prepared for and only
for the Company for the purpose of complying with the Disclosure
Guidance and Transparency Rules sourcebook of the United Kingdom’s
Financial Conduct Authority and for no other purpose. We do not, in
giving this conclusion, accept or assume responsibility for any
other purpose or to any other person to whom this report is shown
or into whose hands it may come save where expressly agreed by our
prior consent in writing.
Scope of review
We conducted our review in accordance with International
Standard on Review Engagements 2410, 'Review of interim financial
information performed by the independent auditor of the entity'
issued by the International Auditing and Assurance Standards Board.
A review of interim financial information consists of making
inquiries, primarily of persons responsible for financial and
accounting matters, and applying analytical and other review
procedures.
A review is substantially less in scope than an audit conducted
in accordance with International Standards on Auditing and
consequently does not enable us to obtain assurance that we would
become aware of all significant matters that might be identified in
an audit. Accordingly, we do not express an audit opinion.
We have read the other information contained in the interim
management report and considered whether it contains any apparent
misstatements or material inconsistencies with the information in
the unaudited condensed interim financial statements.
PricewaterhouseCoopers CI LLP
Chartered Accountants
Guernsey, Channel Islands
15 November
2019
a) The maintenance and integrity of the TwentyFour
Income Fund Limited website is the responsibility of the directors;
the work carried out by the auditor does not involve consideration
of these matters and, accordingly, the auditor accepts no
responsibility for any changes that may have occurred to the
unaudited condensed interim financial statements since they were
initially presented on the website.
b) Legislation
in Guernsey governing the
preparation and dissemination of unaudited condensed interim
financial statements may differ from legislation in other
jurisdictions.
CONDENSED STATEMENT OF COMPREHENSIVE
INCOME
for the period from 1 April 2019
to 30 September 2019
|
|
|
|
|
|
For
the period |
|
For
the period |
|
|
|
|
|
|
from
01.04.19 to 30.09.19 |
|
from
01.04.18 to 30.09.18 |
|
|
|
Note |
|
|
£ |
|
£ |
Income |
|
|
|
|
|
(Unaudited) |
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
Interest income on
financial assets at fair value through profit and loss |
|
|
|
|
|
16,219,029 |
|
13,909,213 |
Net foreign currency
losses |
|
|
7 |
|
|
(7,695,355) |
|
(2,806,146) |
Net losses on
financial assets |
|
|
|
|
|
|
|
|
at fair value through
profit or loss |
|
|
8 |
|
|
(3,597,275) |
|
(4,923,865) |
|
|
|
|
|
|
|
|
|
Total
income |
|
|
|
|
|
4,926,399 |
|
6,179,202 |
|
|
|
|
|
|
|
|
|
Portfolio management
fees |
|
|
13 |
|
|
(2,147,375) |
|
(1,727,461) |
Directors' fees |
|
|
13 |
|
|
(73,750) |
|
(63,750) |
Administration and
secretarial fees |
|
|
14 |
|
|
(142,362) |
|
(119,706) |
Audit fees |
|
|
|
|
|
(28,500) |
|
(27,500) |
Custody fees |
|
|
14 |
|
|
(28,632) |
|
(23,033) |
Broker fees |
|
|
|
|
|
(24,417) |
|
(22,890) |
AIFM management
fees |
|
|
14 |
|
|
(101,059) |
|
(84,090) |
Depositary fees |
|
|
14 |
|
|
(39,581) |
|
(32,551) |
Legal and professional
fees |
|
|
|
|
|
(249,116) |
|
(251,725) |
Listing fees |
|
|
|
|
|
(162,587) |
|
(16,449) |
Registration fees |
|
|
|
|
|
(17,738) |
|
(11,549) |
Other expenses |
|
|
|
|
|
(124,836) |
|
(43,074) |
|
|
|
|
|
|
|
|
|
Total
expenses |
|
|
|
|
|
(3,139,953) |
|
(2,423,778) |
|
|
|
|
|
|
|
|
|
Total
comprehensive income for the period |
|
|
|
1,786,446 |
|
3,755,424 |
|
|
|
|
|
|
|
|
|
Earnings per Ordinary Redeemable Share - |
|
|
|
|
|
|
Basic &
Diluted |
|
|
3 |
|
|
0.0036 |
|
0.009 |
All items in the above statement derive from continuing
operations.
The notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
CONDENSED STATEMENT OF FINANCIAL
POSITION
as at 30 September 2019
|
|
|
30.09.2019 |
|
31.03.2019 |
|
Note |
|
£ |
|
£ |
Assets |
|
|
(Unaudited) |
|
(Audited) |
Current
assets |
|
|
|
|
|
Financial assets at
fair value through profit and loss |
|
|
|
|
|
- Investments |
8 |
|
543,643,774 |
|
491,596,605 |
- Derivative assets:
Forward currency contracts |
16 |
|
1,107,049 |
|
52,575 |
Amounts due from
broker |
|
|
- |
|
3,908,529 |
Amounts due from
shares issued |
|
|
- |
|
3,456,600 |
Other receivables |
9 |
|
3,802,017 |
|
3,112,577 |
Cash and cash
equivalents |
|
|
36,503,817 |
|
36,505,984 |
|
|
|
|
|
|
Total
assets |
|
|
585,056,657 |
|
538,632,870 |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
Current
liabilities |
|
|
|
|
|
Financial liabilities
at fair value through profit and loss |
|
|
|
|
|
- Derivative
liabilities: Forward currency contracts |
16 |
|
24,448 |
|
1,919,402 |
Amounts due to
brokers |
|
|
16,744,029 |
|
35,401,772 |
Interest income
received in advance |
|
|
10,516,486 |
|
- |
Other payables |
10 |
|
613,699 |
|
846,247 |
|
|
|
|
|
|
Total
liabilities |
|
|
27,898,662 |
|
38,167,421 |
|
|
|
|
|
|
Net assets |
|
|
557,157,995 |
|
500,465,449 |
|
|
|
|
|
|
Equity |
|
|
|
|
|
Share capital
account |
11 |
|
530,491,915 |
|
459,436,544 |
Retained earnings |
|
|
26,666,080 |
|
41,028,905 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
equity |
|
|
557,157,995 |
|
500,465,449 |
|
|
|
|
|
|
|
|
|
|
|
|
Ordinary Redeemable
Shares in issue |
11 |
|
504,714,809 |
|
441,814,151 |
|
|
|
|
|
|
Net Asset Value per
Ordinary Redeemable Share (pence) |
5 |
|
110.39 |
|
113.28 |
The Unaudited Condensed Interim Financial Statements were
approved by the Board of Directors on 14
November 2019 and signed on its behalf by
Trevor
Ash
Chairman
Ian
Burns
Director
The notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
CONDENSED STATEMENT OF CHANGES IN
EQUITY
for the period from 1 April 2019
to 30 September 2019
|
|
|
Share
capital |
|
Retained |
|
|
|
|
|
account |
|
earnings |
|
Total |
|
|
Note |
£ |
|
£ |
|
£ |
Balances at 1 April 2019 |
|
459,436,544 |
|
41,028,905 |
|
500,465,449 |
|
|
|
|
|
|
|
|
Issue of
shares |
11 |
93,123,125 |
|
- |
|
93,123,125 |
Redemption
of shares |
11 |
(20,050,326) |
|
- |
|
(20,050,326) |
Share
issue costs |
11 |
(1,485,986) |
|
- |
|
(1,485,986) |
Dividend
distributions paid |
|
- |
|
(16,680,713) |
|
(16,680,713) |
Income
equalisation on new issues |
4 |
(531,442) |
|
531,442 |
|
- |
Total
comprehensive gain for the period |
|
- |
|
1,786,446 |
|
1,786,446 |
|
|
|
|
|
|
|
|
Balances at 30 September 2019 (unaudited) |
530,491,915 |
|
26,666,080 |
|
557,157,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share
capital |
|
Retained |
|
|
|
|
|
account |
|
earnings |
|
Total |
|
|
|
£ |
|
£ |
|
£ |
Balances at 1 April 2018 |
|
407,509,059 |
|
62,504,072 |
|
470,013,131 |
|
|
|
|
|
|
|
|
Dividend
distributions paid |
|
- |
|
(16,742,939) |
|
(16,742,939) |
Total
comprehensive gain for the period |
|
- |
|
3,755,424 |
|
3,755,424 |
|
|
|
|
|
|
|
|
Balances at 30 September 2018 (unaudited) |
407,509,059 |
|
49,516,557 |
|
457,025,616 |
The notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
CONDENSED STATEMENT OF CASH FLOWS
for the period from 1 April 2019
to 30 September 2019
|
|
For
the period |
|
For
the period |
|
Note |
from
01.04.19 to 30.09.19 |
|
from
01.04.18 to 30.09.18 |
|
|
£ |
|
£ |
|
|
(Unaudited) |
|
(Unaudited) |
Cash flows from
operating activities |
|
|
|
|
Total comprehensive
income for the period |
|
1,786,446 |
|
3,755,424 |
|
|
|
|
|
Adjustments for: |
|
|
|
|
Net losses on
investments |
7 |
3,597,275 |
|
4,923,865 |
Amortisation
adjustment under effective interest rate method |
|
(3,125,386) |
|
(2,931,412) |
Unrealised
(gains)/losses on forward currency contracts |
7 |
(2,949,428) |
|
93,078 |
Exchange losses on
cash and cash equivalents |
|
2,384 |
|
1,121 |
(Decrease)/increase in
other receivables |
|
(689,440) |
|
316,124 |
Increase other
payables |
|
10,363,430 |
|
6,491 |
Purchase of
investments |
8 |
(289,292,567) |
|
(162,114,527) |
Sale of
investments |
8 |
222,024,295 |
|
180,372,524 |
|
|
|
|
|
Net cash (used
in)/generated from operating activities |
|
(58,282,991) |
|
24,422,688 |
|
|
|
|
|
Cash flows from
financing activities |
|
|
|
|
|
|
|
|
|
Proceeds from issue of
Ordinary Redeemable Shares |
|
96,579,725 |
|
- |
Redemption of Ordinary
Redeemable Shares |
|
(20,050,326) |
|
- |
Share issue costs |
|
(1,565,478) |
|
- |
Dividend
distribution |
|
(16,680,713) |
|
(16,742,939) |
|
|
|
|
|
Net cash
inflow/(outflow) from financing activities |
|
58,283,208 |
|
(16,742,939) |
|
|
|
|
|
Increase in cash
and cash equivalents |
|
217 |
|
7,679,749 |
|
|
|
|
|
|
|
|
|
|
Cash and cash
equivalents at beginning of the period |
|
36,505,984 |
|
11,624,245 |
Exchange losses on
cash and cash equivalents |
|
(2,384) |
|
(1,121) |
|
|
|
|
|
Cash and cash
equivalents at end of the period |
|
36,503,817 |
|
19,302,873 |
The notes form an integral part of these Unaudited Condensed
Interim Financial Statements.
NOTES TO THE CONDENSED INTERIM
FINANCIAL STATEMENTS
for the period from 1 April 2019
to 30 September 2019
1. General Information
TwentyFour Income Fund Limited (the “Company”) was incorporated
with limited liability in Guernsey, as a closed-ended investment company
on 11 January 2013. The Company’s
Shares were listed with a Premium Listing on the Official List of
the UK Listing Authority and admitted to trading on the Main Market
of the London Stock Exchange on 6 March
2013.
The Company’s investment objective and policy is set out in the
Summary Information.
The Portfolio Manager of the Company is TwentyFour Asset
Management LLP (the “Portfolio Manager”).
2. Principal Accounting
Policies
a)
Statement of Compliance
The Unaudited Condensed Interim Financial Statements for the
period 1 April 2019 to 30 September 2019 have been prepared on a going
concern basis in accordance with IAS 34 “Interim Financial
Reporting”, the Disclosure Guidance and Transparency Rules
Sourcebook of the United Kingdom’s Financial Conduct Authority
(“FCA”) and applicable legal and regulatory requirements.
The Unaudited Condensed Interim Financial Statements should be
read in conjunction with the annual financial statements for the
year ended 31 March 2019, which were
prepared in accordance with International Financial Reporting
Standards (“IFRS”) and which received an unqualified auditor’s
report.
b)
Changes in Accounting Policy
In the current financial period, there have been no changes to
the accounting policies from those applied in the most recent
audited annual financial statements.
c) Significant Judgements and
Estimates
In the current financial period, there have been no changes to
the significant accounting judgements, estimates and assumptions
from those applied in the most recent audited annual financial
statements.
d) Standards, Amendments and
Interpretations Effective during the Period
The accounting policies adopted are consistent with those used
in the Annual Report and Audited Financial Statements for the year
ended 31 March 2019. As disclosed in
those Annual Financial Statements, IFRS 16 ‘Leases’, was applicable
for financial reporting periods starting 1
January 2019. As such, this standard has been adopted by the
Company, but has not materially affected the Company. There were no
other new standards, interpretations or amendments to standards
issued and effective for the period that materially impacted the
Company.
3. Earnings per Ordinary Redeemable
Share - Basic & Diluted
The earnings per Ordinary Redeemable Share - Basic and Diluted
has been calculated based on the weighted average number of
Ordinary Redeemable Shares of 503,096,552 (30 September 2018: 395,814,151) and a net gain of
£1,786,446 (30 September 2018: net
gain of £3,755,424).
4. Income
Equalisation on New Issues
In order to ensure there are no dilutive effects on earnings per
share for current shareholders when issuing new shares, earnings
are calculated in respect of accrued income at the time of purchase
and a transfer is made from share capital to income to reflect
this. The transfer for the period is £531,442 (30 September 2018: £Nil).
5. Net Asset Value per
Ordinary Redeemable Share
The net asset value of each Share of £1.10 (31 March 2019: £1.13) is determined by dividing
the net assets of the Company attributed to the Shares of
£557,157,995 (31 March 2019:
£500,465,449) by the number of Shares in issue at 30 September 2019 of 504,714,809
(31 March 2019: 441,814,151).
6. Taxation
The Company has been granted Exempt Status under the terms of
The Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 to income tax in
Guernsey. Its liability for
Guernsey taxation is limited to an
annual fee of £1,200 (2018: £1,200).
7. Net Foreign
Currency Losses
|
|
|
|
|
|
|
For
the period |
|
For
the period |
|
|
|
|
|
|
|
from
01.04.19 to 30.09.19 |
|
from
01.04.18
to 30.09.18 |
|
|
|
|
|
|
|
£ |
|
£ |
|
|
|
|
|
|
|
(Unaudited) |
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
Movement
on unrealised gain/(loss) on forward currency contracts |
2,949,428 |
|
(93,078) |
Realised
loss on foreign currency contracts |
(10,703,842) |
|
(2,695,110) |
Unrealised
foreign currency gain/(loss) on receivables/payables |
84,289 |
|
(26,768) |
Unrealised
foreign currency exchange (loss)/gain on interest receivable |
(25,230) |
|
8,810 |
|
|
|
|
|
|
|
(7,695,355) |
|
(2,806,146) |
8. Investments
|
|
|
|
|
|
|
For
the period from 01.04.19 to 30.09.19 |
|
For
the year from 01.04.18 to 31.03.19 |
Financial assets at fair value through profit or loss: |
£ |
|
£ |
Unlisted Investments: |
|
|
|
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Opening
book cost |
|
|
|
|
|
494,729,337 |
|
434,416,774 |
Purchases
at cost |
|
|
|
|
270,634,824 |
|
331,409,934 |
Proceeds
on sale/principal repayment |
|
(218,115,766) |
|
(279,264,771) |
Amortisation adjustment under effective interest rate method |
3,125,386 |
|
4,906,587 |
Realised
gains on sale/principal repayment |
|
15,867,355 |
|
11,564,064 |
Realised
losses on sale/principal repayment |
|
(15,831,970) |
|
(8,303,251) |
|
|
|
|
|
|
|
|
|
|
Closing
book cost |
|
|
|
|
550,409,166 |
|
494,729,337 |
|
|
|
|
|
|
|
|
|
|
Unrealised
gains on investments |
|
6,668,632 |
|
9,778,665 |
Unrealised
losses on investments |
|
(13,434,024) |
|
(12,911,397) |
|
|
|
|
|
|
|
|
|
|
Fair value |
|
|
|
|
|
|
543,643,774 |
|
491,596,605 |
The Company does not experience any seasonality or cyclicality
in its investment activities.
|
|
|
|
|
|
|
For
the period from 01.04.19 to 30.09.19 |
|
For
the period from 01.04.18 to
30.09.18 |
|
|
|
|
|
|
|
£ |
|
£ |
|
|
|
|
|
|
|
(Unaudited) |
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
Realised
gains on sale/principal repayment |
|
15,867,355 |
|
10,381,636 |
Realised
losses on sales/principal repayment |
(15,831,970) |
|
(2,108,544) |
Movement
in unrealised gains |
|
(3,110,033) |
|
(9,482,870) |
Movement
in unrealised losses |
|
(522,627) |
|
(3,714,087) |
|
|
|
|
|
|
|
|
|
|
Net
losses on financial assets at fair value through profit or
loss |
(3,597,275) |
|
(4,923,865) |
9. Other
Receivables
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
30.09.19 |
|
31.03.19 |
|
|
|
|
|
|
|
£ |
|
£ |
|
|
|
|
|
|
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Coupon
interest receivable |
|
|
3,658,832 |
|
3,100,037 |
Prepaid
expenses |
|
|
|
143,185 |
|
12,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,802,017 |
|
3,112,577 |
10. Other Payables
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
30.09.19 |
|
31.03.19 |
|
|
|
|
|
|
|
£ |
|
£ |
|
|
|
|
|
|
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Portfolio
management fees payable |
|
374,187 |
|
560,933 |
Custody
fees payable |
|
|
|
|
4,986 |
|
3,806 |
Administration and secretarial fees payable |
|
75,409 |
|
58,542 |
Audit
fees payable |
|
|
|
|
|
28,500 |
|
57,000 |
AIFM
management fees payable |
|
46,153 |
|
41,194 |
Depositary
fees payable |
|
|
|
|
6,664 |
|
5,353 |
Share
issue costs payable |
|
|
|
- |
|
79,492 |
General
expenses payable |
|
|
|
77,800 |
|
39,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
613,699 |
|
846,247 |
11. Share Capital
Authorised Share Capital
Unlimited number of Ordinary Redeemable Shares at no par
value.
Issued Share Capital
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
30.09.19 |
|
31.03.19 |
|
|
|
|
|
|
|
£ |
|
£ |
Ordinary Redeemable Shares |
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Share
Capital at the beginning of the period/year |
459,436,544 |
|
407,509,059 |
Issued
Share Capital |
|
|
|
|
93,123,125 |
|
53,010,450 |
Redeemed
Share Capital |
|
(20,050,326) |
|
- |
Share
issue costs |
|
(1,485,986) |
|
(609,620) |
Income
equalisation on new issues |
|
(531,442) |
|
(473,345) |
|
|
|
|
|
|
|
|
|
|
Total
Share Capital at the end of the period/year |
530,491,915 |
|
459,436,544 |
Reconciliation of number of Shares
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
30.09.19 |
|
31.03.19 |
|
|
|
|
|
|
|
Shares |
|
Shares |
Ordinary Redeemable Shares |
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Shares at
the beginning of the period/year |
441,814,151 |
|
395,814,151 |
Issue of
Shares |
|
|
81,250,000 |
|
46,000,000 |
Redemption
of Shares |
|
(18,349,342) |
|
- |
|
|
|
|
|
|
|
|
|
|
Total
Shares in issue at the end of the period/year |
504,714,809 |
|
441,814,151 |
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
30.09.19 |
|
31.03.19 |
|
|
|
|
|
|
|
£ |
|
£ |
Treasury Shares |
|
|
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Treasury
share capital at the beginning of the period/year |
43,083,300 |
|
43,083,300 |
|
|
|
|
|
|
|
|
|
|
Total
Treasury Share capital in issue at the end of the period/year |
43,083,300 |
|
43,083,300 |
Reconciliation of number of Shares
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
30.09.19 |
|
31.03.19 |
|
|
|
|
|
|
|
Shares |
|
Shares |
Treasury Shares |
|
(Unaudited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
Treasury
shares at the beginning of the period/year |
39,000,000 |
|
39,000,000 |
|
|
|
|
|
|
|
|
|
|
Total
Shares in issue at the end of the period/year |
39,000,000 |
|
39,000,000 |
The Share Capital of the Company consists of an unlimited number
of Shares with or without par value which, upon issue, the
Directors may designate as: Ordinary Redeemable Shares; Realisation
Shares or such other class as the Board shall determine and
denominated in such currencies as shall be determined at the
discretion of the Board.
As at 30 September 2019, one share
class has been issued, being the Ordinary Redeemable Shares of the
Company.
The Ordinary Redeemable Shares carry the following rights:
a) the Ordinary Redeemable Shares carry the right to receive all
income of the Company attributable to the Ordinary Redeemable
Shares.
b) the Shareholders present in person or by proxy or present by
a duly authorised representative at a general meeting
has, on a show of hands, one vote and, on a poll, one vote for each
Share held.
c) 56 days before the annual general meeting date of the
Company in each third year (the “Reorganisation Date”), the
Shareholders are entitled to serve a written notice (a “Realisation
Election”) requesting that all or a part of the Ordinary Redeemable
Shares held by them be redesignated to Realisation Shares, subject
to the aggregate NAV of the continuing Ordinary Redeemable Shares
on the last business day before the Reorganisation Date being not
less than £100 million. A Realisation Notice, once given is
irrevocable unless the Board agrees otherwise. If one or more
Realisation Elections be duly made and the aggregate NAV of the
continuing Ordinary Redeemable Shares on the last business day
before the Reorganisation Date is less than £100 million, the
Realisation will not take place. Shareholders do not have a right
to have their shares redeemed and shares are redeemable at the
discretion of the Board. The next realisation opportunity is due to
occur at the end of the next three year term, at the date of the
AGM in September 2022.
The Company has the right to issue and purchase up to 14.99% of
the total number of its own shares at £0.01 each, to be classed as
Treasury Shares and may cancel those Shares or hold any such Shares
as Treasury Shares, provided that the number of Shares held as
Treasury Shares shall not at any time exceed 10% of the total
number of Shares of that class in issue at that time or such amount
as provided in the Companies Law.
On 24 January 2017, the Company
issued and purchased 39,000,000 Ordinary Shares of £0.01 at a price
of 110.47p, to be held in treasury. The total amount paid to
purchase these shares was £43,083,300 and has been deducted from
the shareholders’ equity. The Company has the right to re-issue
these shares at a later date. All shares issued were fully
paid.
On 12 September 2019 the Company
purchased and immediately cancelled 18,349,342 Ordinary Shares at a
total cost of £20,050,326.
Shares held in Treasury are excluded from calculations when
determining Earnings per Ordinary Redeemable Share or Net Asset
Value per Ordinary Redeemable Share, as detailed in notes 3 and
5.
12. Analysis of Financial Assets
and Liabilities by Measurement Basis
|
|
|
|
|
|
|
|
Assets at fair |
|
|
|
|
|
|
|
|
|
|
|
|
value
through |
|
Amortised |
|
|
|
|
|
|
|
|
|
|
profit and loss |
|
cost |
|
Total |
|
|
|
|
|
|
|
|
£ |
|
£ |
|
£ |
30
September 2019 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets as per Statement of Financial Position |
|
|
|
|
|
|
Financial
assets at fair value through profit or loss: |
|
|
|
|
|
|
-
Investments |
|
|
|
|
|
|
543,643,774 |
|
- |
|
543,643,774 |
-
Derivative assets: Forward currency contracts |
|
1,107,049 |
|
- |
|
1,107,049 |
Other
receivables (excluding prepayments) |
|
- |
|
3,658,832 |
|
3,658,832 |
Cash and
cash equivalents |
|
|
|
- |
|
36,503,817 |
|
36,503,817 |
|
|
|
|
|
|
|
|
544,750,823 |
|
40,162,649 |
|
584,913,472 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair |
|
|
|
|
|
|
|
|
|
|
|
|
value
through |
|
Amortised |
|
|
|
|
|
|
|
|
|
|
profit and loss |
|
cost |
|
Total |
|
|
|
|
|
|
|
|
£ |
|
£ |
|
£ |
Financial Liabilities as per Statement of Financial
Position |
|
|
|
|
|
|
Financial
liabilities at fair value through profit or loss: |
|
|
|
|
|
|
-
Derivative liabilities: Forward currency contracts |
|
24,448 |
|
- |
|
24,448 |
Amounts
due to brokers |
|
|
|
- |
|
16,744,029 |
|
16,744,029 |
Interest
income received in advance |
|
- |
|
10,516,486 |
|
10,516,486 |
Other
payables |
|
|
|
|
|
|
- |
|
613,699 |
|
613,699 |
|
|
|
|
|
|
|
|
24,448 |
|
27,874,214 |
|
27,898,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at fair |
|
|
|
|
|
|
|
|
|
|
|
|
value
through |
|
Loans
and |
|
|
|
|
|
|
|
|
|
|
profit and loss |
|
receivables |
|
Total |
|
|
|
|
|
|
|
|
£ |
|
£ |
|
£ |
31 March
2019 (Audited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets as per Statement of Financial Position |
|
|
|
|
|
|
Financial
assets at fair value through profit or loss: |
|
|
|
|
|
|
-
Investments |
|
|
|
|
|
|
491,596,605 |
|
- |
|
491,596,605 |
-
Derivative assets: Forward currency contracts |
|
52,575 |
|
- |
|
52,575 |
Amounts
due from broker |
|
|
|
- |
|
3,908,529 |
|
3,908,529 |
Amounts
due from shares issued |
|
|
|
- |
|
3,456,600 |
|
3,456,600 |
Other
receivables (excluding prepayments) |
|
- |
|
3,100,037 |
|
3,100,037 |
Cash and
cash equivalents |
|
|
- |
|
36,505,984 |
|
36,505,984 |
|
|
|
|
|
|
|
|
491,649,180 |
|
46,971,150 |
|
538,620,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair |
|
Other |
|
|
|
|
|
|
|
|
|
|
value
through |
|
financial |
|
|
|
|
|
|
|
|
|
|
profit and loss |
|
liabilities |
|
Total |
|
|
|
|
|
|
|
|
£ |
|
£ |
|
£ |
Financial Liabilities as per Statement of Financial
Position |
|
|
|
|
|
|
Financial
liabilities at fair value through profit or loss: |
|
|
|
|
|
|
-
Derivative liabilities: Forward currency contracts |
|
1,919,402 |
|
- |
|
1,919,402 |
Amounts
due to brokers |
|
|
|
- |
|
35,401,772 |
|
35,401,772 |
Other
payables |
|
|
|
|
|
|
- |
|
846,247 |
|
846,247 |
|
|
|
|
|
|
|
|
1,919,402 |
|
36,248,019 |
|
38,167,421 |
13. Related Parties
a) Directors’ Remuneration &
Expenses
The Directors of the Company are remunerated for their services
at such a rate as the Directors determine. The aggregate fees of
the Directors will not exceed £150,000 per annum.
Until 31 December 2018, the annual
fees were £35,000 payable to Mr Ash, the Chairman, £32,500 to Mr
Burns as Chairman of the Audit Committee and £30,000 for all other
Directors.
Effective from 1 January 2019, the
annual fees are £40,000 for the Chairman, £37,500 for Chairman of
the Audit Committee, and £35,000 for all other Directors.
During the period ended 30 September
2019, Directors fees of £73,750 (30
September 2018: £63,750) were charged to the Company, of
which £Nil (31 March 2019: £Nil)
remained payable at the end of the period.
b) Shares Held by Related Parties
As at 30 September 2019, Directors
of the Company held the following shares beneficially:
|
Number of Shares |
Number of Shares |
|
30.09.19 |
31.03.19 |
Trevor Ash |
58,734 |
50,000 |
Ian Burns |
29,242 |
29,242 |
Richard Burwood |
22,476 |
5,000 |
Joanne Fintzen |
17,476 |
- |
As at 30 September 2019, the
Portfolio Manager held Nil Shares (31 March
2019: Nil Shares) and partners and employees of the
Portfolio Manager held 1,986,136 Shares (31
March 2019: 1,797,760 Shares), which is 0.39% (31 March 2019: 0.41%) of the Issued Share
Capital.
c) Portfolio Manager
The portfolio management fee is payable to the Portfolio
Manager, TwentyFour Asset Management LLP, monthly in arrears at a
rate of 0.75% per annum of the lower of Net Asset Value, which is
calculated weekly on each valuation day, or market capitalisation
of each class of shares. Total portfolio management fees for the
period amounted to £2,147,375 (30 September
2018: £1,727,461) of which £374,187 (31 March 2019: £560,933) is due and payable at
the period end. The Portfolio Management Agreement dated 29
May 2014 remains in force until determined by the Company or the
Portfolio Manager giving the other party not less than twelve
months' notice in writing. Under certain circumstances, the Company
or the Portfolio Manager is entitled to immediately terminate the
agreement in writing.
The Portfolio Manager is also entitled to a commission of 0.15%
of the aggregate gross offering proceeds plus any applicable VAT in
relation to any issue of new Shares, following admission, in
consideration of marketing services that it provides to the
Company. During the period, the Portfolio Manager received £140,970
(30 September 2018: £Nil) in
commission.
14. Material Agreements
a) Alternative Investment Fund
Manager
The Company’s Alternative Investment Fund Manager (the “AIFM”)
is Maitland Institutional Services Limited. In consideration for
the services provided by the AIFM under the AIFM Agreement the AIFM
is entitled to receive from the Company a minimum fee of £20,000
per annum and fees payable quarterly in arrears at a rate of 0.07%
of the Net Asset Value of the Company below £50 million, 0.05% on
Net Assets between £50 million and £100 million and 0.03% on Net
Assets in excess of £100 million. During the period ended
30 September 2019, AIFM fees of
£101,059 (30 September 2018: £84,090)
were charged to the Company, of which £46,153 (31 March 2019:
£41,194) remained payable at the end of the period.
b) Administrator and Secretary
Administration fees are payable to Northern Trust International
Fund Administration Services (Guernsey) Limited monthly in arrears at a rate
of 0.06% of the Net Asset Value of the Company below £100 million,
0.05% on Net Assets between £100 million and £200 million and 0.04%
on Net Assets in excess of £200 million as at the last business day
of the month subject to a minimum £75,000 each year. In addition,
an annual fee of £25,000 is charged for corporate governance and
company secretarial services. Total administration and secretarial
fees for the period amounted to £142,362 (30
September 2018: £119,706) of which £75,409 (31 March 2019: £58,542) is due and payable at end
of the period.
c) Depositary
Depositary fees are payable to Northern Trust (Guernsey) Limited, monthly in arrears, at a
rate of 0.0175% of the Net Asset Value of the Company up to £100
million, 0.0150% on Net Assets between £100 million and £200
million and 0.0125% on Net Assets in excess of £200 million as at
the last business day of the month subject to a minimum £25,000
each year. Total depositary fees and charges for the period
amounted to £39,581, (30 September
2018: £32,551) of which £6,664 (31
March 2019: £5,353) is due and payable at the period
end.
The Depositary is also entitled to a Global Custody fee of a
minimum of £8,500 per annum plus transaction fees. Total Global
Custody fees and charges for the period amounted to £28,632
(30 September 2018: £23,033) of which £4,986 (31 March 2019: £3,806) is due and payable at the
period end.
15. Financial Risk
Management
The Company’s activities expose it to a variety of financial
risks: market risk (including price risk, interest rate risk,
foreign currency risk and reinvestment risk), credit risk,
liquidity risk, and capital risk.
These Unaudited Condensed Interim Financial Statements do not
include the financial risk management information and disclosures
required in the annual financial statements; they should be read in
conjunction with the Company’s annual financial statements for the
year ended 31 March 2019.
,
16. Fair Value Measurement
All assets and liabilities are carried at fair value or at
carrying value which equates to fair value.
IFRS 13 requires the Company to classify fair value measurements
using a fair value hierarchy that reflects the significance of the
inputs used in making the measurements. The fair value hierarchy
has the following levels:
(i) Quoted prices (unadjusted) in active markets for
identical assets or liabilities (Level 1).
(ii) Inputs other than quoted prices included within Level 1
that are observable for the asset or liability, either directly
(that is, as prices) or indirectly (that is, derived from prices
including interest rates, yield curves, volatilities, prepayment
speeds, credit risks and default rates) or other market
corroborated inputs (Level 2).
(iii) Inputs for the asset or
liability that are not based on observable market data (that is,
unobservable inputs) (Level 3).
The following tables analyse
within the fair value hierarchy the Company’s financial assets and
liabilities (by class) measured at fair value for the period and
year ended 30 September 2019 and
31 March 2019.
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
£ |
|
£ |
|
£ |
|
£ |
Assets |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
Financial
assets at fair value through profit or loss: |
|
|
|
|
|
|
|
Asset Backed
Securities: |
|
|
|
|
|
|
|
|
Auto Loans |
|
- |
|
20,114,151 |
|
- |
|
20,114,151 |
Buy-to-Let
RMBS |
|
- |
|
45,703,563 |
|
13,545,000 |
|
59,248,563 |
CLO |
|
- |
|
193,202,639 |
|
- |
|
193,202,639 |
CMBS |
|
- |
|
27,758,296 |
|
- |
|
27,758,296 |
Consumer
ABS |
|
- |
|
35,397,959 |
|
- |
|
35,397,959 |
Non-Conforming
RMBS |
|
- |
|
94,098,412 |
|
7,500,000 |
|
101,598,412 |
Prime RMBS |
|
- |
|
54,073,304 |
|
48,194,531 |
|
102,267,835 |
Student
Loans |
|
- |
|
4,055,919 |
|
- |
|
4,055,919 |
Forward currency
contracts |
|
- |
|
1,107,049 |
|
- |
|
1,107,049 |
|
|
|
|
|
|
|
|
|
Total assets as at 30 September 2019 |
|
|
|
|
|
|
|
- |
|
475,511,292 |
|
69,239,531 |
|
544,750,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
Financial
liabilities at fair value through profit or loss: |
|
|
|
|
|
|
|
Forward
currency contracts |
- |
|
24,448 |
|
- |
|
24,448 |
Total liabilities as at 30 September 2019 |
|
|
|
|
|
|
|
- |
|
24,448 |
|
- |
|
24,448 |
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
£ |
|
£ |
|
£ |
|
£ |
Assets |
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
(Audited) |
Financial
assets at fair value through profit or loss: |
|
|
|
|
|
|
|
Asset Backed
Securities: |
|
|
|
|
|
|
|
|
Auto Loans |
|
- |
|
7,497,786 |
|
- |
|
7,497,786 |
Buy-to-Let
RMBS |
|
- |
|
33,617,638 |
|
4,274,394 |
|
37,892,032 |
CLO |
|
- |
|
146,496,116 |
|
22,634,620 |
|
169,130,736 |
CMBS |
|
- |
|
19,075,885 |
|
- |
|
19,075,885 |
Consumer
ABS |
|
- |
|
23,338,586 |
|
23,069,273 |
|
46,407,859 |
Non-Conforming
RMBS |
|
- |
|
140,656,997 |
|
5,738,296 |
|
146,395,293 |
Prime RMBS |
|
- |
|
58,566,061 |
|
4,964,961 |
|
63,531,022 |
Student
Loans |
|
- |
|
1,665,992 |
|
- |
|
1,665,992 |
Forward currency
contracts |
|
- |
|
52,575 |
|
- |
|
52,575 |
|
|
|
|
|
|
|
|
|
Total assets as at 31 March 2019 |
|
|
|
|
|
|
|
- |
|
430,967,636 |
|
60,681,544 |
|
491,649,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
Financial
liabilities at fair value through profit or loss: |
|
|
|
|
|
|
|
Forward
currency contracts |
- |
|
1,919,402 |
|
- |
|
1,919,402 |
|
|
|
|
|
|
|
|
|
Total
liabilities as at 31 March 2019 |
- |
|
1,919,402 |
|
- |
|
1,919,402 |
Asset Backed Securities which have a value based on quoted
market prices in active markets are classified in Level 1. At the
end of the period, no Asset Backed Securities held by the Company
are classified as Level 1.
Asset Backed Securities which are not traded or dealt on
organised markets or exchanges are classified in Level 2 or Level
3. Asset Backed securities priced at cost are classified as Level
3. Asset Backed securities with prices obtained from independent
price vendors, where the Portfolio Manager is able to assess
whether the observable inputs used for their modelling of prices
are accurate and the Portfolio Manager has the ability to challenge
these vendors with further observable inputs, are classified as
Level 2. Prices obtained from vendors who are not easily
challengeable or transparent in showing their assumptions for the
method of pricing these assets, are classified as Level 3. Asset
Backed Securities priced at an average of two vendors’ prices are
classified as Level 3.
Where the Portfolio Manager determines that the price obtained
from an independent price vendor is not an accurate representation
of the fair value of the Asset Backed Security, the Portfolio
Manager may source prices from third party broker or dealer quotes
and if the price represents a reliable and an observable price, the
Asset Backed Security is classified in Level 2. Any broker quote
that is over 20 days old is considered stale and is classified as
Level 3.
There were no transfers between Level 1 and 2 during the period,
however transfers between Level 2 and Level 3 occur based on the
Portfolio Manager’s ability to obtain a reliable and observable
price as detailed above.
Due to the inputs into the valuation of Asset Backed Securities
classified as Level 3 not being available or visible to the
Company, no meaningful sensitivity on inputs can be performed.
The following tables present the movement in Level 3 instruments
for the period and year ended 30 September
2019 and 31 March 2019 by
class of financial instrument.
|
|
Opening
balance |
|
Net
(sales)/ purchases |
|
Net
realised
gain/(loss)
for the period included in the Statement of Comprehensive
Income
for Level 3
Investments
held at
30 September 2019 |
|
Net
unrealized
(loss)/gain
for the period included in the Statement of
Comprehensive Income
for Level 3 Investments
held at
30 September
2019 |
|
Transfer
into Level 3 |
|
Transfer
out Level 3 |
|
Closing
balance |
|
|
£ |
|
£ |
|
£ |
|
£ |
|
£ |
|
£ |
|
£ |
|
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
Buy-to-Let RMBS |
|
4,274,394 |
|
- |
|
5,648 |
|
(530,648) |
|
14,070,000 |
|
(4,274,394) |
|
13,545,000 |
CLO |
|
22,634,620 |
|
(5,449,568) |
|
370,380 |
|
(75,297) |
|
- |
|
(17,480,135) |
|
- |
Consumer ABS |
|
23,069,273 |
|
(16,895,241) |
|
2,111,559 |
|
(1,418,094) |
|
- |
|
(6,867,497) |
|
- |
Non-
Conforming
RMBS |
|
5,738,296 |
|
1,152,765 |
|
90,435 |
|
(34,673) |
|
5,000,000 |
|
(4,446,823) |
|
7,500,000 |
Prime
RMBS |
|
4,964,961 |
|
39,008,270 |
|
(12,436,776) |
|
633,215 |
|
20,989,822 |
|
(4,964,961) |
|
48,194,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
at 30 September 2019 |
|
60,681,544 |
|
17,816,226 |
|
(9,858,754) |
|
(1,425,497) |
|
40,059,822 |
|
(38,033,810) |
|
69,239,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening
balance |
|
Net
sales |
|
Net
realised
gain/(loss)
for the year included in the Statement of Comprehensive
Income
for Level 3 Investments
held at
31 March 2019 |
|
Net
unrealised
Loss
for the year included in the Statement of
Comprehensive Income
for Level 3 Investments
held at
31 March 2019 |
|
Transfer
into Level 3 |
|
Transfer
out Level 3 |
|
Closing
balance |
|
|
£ |
|
£ |
|
£ |
|
£ |
|
£ |
|
£ |
|
£ |
|
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
(Audited) |
Buy-to-Let RMBS |
|
11,415,545 |
|
(8,065,099) |
|
28,579 |
|
(35,795) |
|
2,532,194 |
|
(1,601,030) |
|
4,274,394 |
CLO |
|
26,925,077 |
|
(9,451,515) |
|
686,952 |
|
(2,306,438) |
|
12,393,095 |
|
(5,612,551) |
|
22,634,620 |
Consumer ABS |
|
4,624,151 |
|
(4,623,230) |
|
(38,963) |
|
(1,498,289) |
|
24,605,604 |
|
- |
|
23,069,273 |
Non-
Conforming
RMBS |
|
56,869,802 |
|
(17,570,445) |
|
195,998 |
|
(220,758) |
|
5,785,031 |
|
(39,321,332) |
|
5,738,296 |
Prime
RMBS |
|
27,739,640 |
|
(3,856,534) |
|
1,847,870 |
|
(1,615,836) |
|
2,685,927 |
|
(21,836,106) |
|
4,964,961 |
Student Loans |
|
1,605,746 |
|
- |
|
- |
|
- |
|
- |
|
(1,605,746) |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
at
31 March 2019 |
|
129,179,961 |
|
(43,566,823) |
|
2,720,436 |
|
(5,677,116) |
|
48,001,851 |
|
(69,976,765) |
|
60,681,544 |
The tables below analyse within the fair value hierarchy the
Company’s assets and liabilities not measured at fair value at
30 September 2019 and 31 March 2019 but for which fair value is
disclosed.
The assets and liabilities included in the below table are
carried at amortised cost; their carrying values are a reasonable
approximation of fair value.
Cash and cash equivalents include cash in hand and deposits held
with banks.
Amounts due to brokers and other payables represent the
contractual amounts and obligations due by the Company for
settlement of trades and expenses. Amounts due from brokers and
other receivables represent the contractual amounts and rights due
to the Company for settlement of trades and income.
|
|
|
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
|
|
|
£ |
|
£ |
|
£ |
|
£ |
Assets |
|
|
|
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Cash and
cash equivalents |
|
36,503,817 |
|
- |
|
- |
|
36,503,817 |
Other receivables |
|
|
|
|
- |
|
3,802,017 |
|
- |
|
3,802,017 |
Total
assets as at 30 September 2019 |
36,503,817 |
|
3,802,017 |
|
- |
|
40,305,834 |
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
Amounts
due to brokers |
|
|
|
- |
|
16,744,029 |
|
- |
|
16,744,029 |
Other payables |
|
|
|
|
- |
|
613,699 |
|
- |
|
613,699 |
Total
liabilities as at 30 September 2019 |
- |
|
17,357,728 |
|
- |
|
17,357,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
|
|
|
£ |
|
£ |
|
£ |
|
£ |
Assets |
|
|
|
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
(Audited) |
|
|
|
|
|
|
|
|
|
|
|
|
Cash and
cash equivalents |
|
36,505,984 |
|
- |
|
- |
|
36,505,984 |
Amounts
due from brokers |
|
- |
|
3,908,529 |
|
- |
|
3,908,529 |
Amounts
due from shares issued |
- |
|
3,456,600 |
|
- |
|
3,456,600 |
Other receivables |
|
|
|
|
- |
|
3,112,577 |
|
- |
|
3,112,577 |
Total
assets as at 31 March 2019 |
36,505,984 |
|
10,477,706 |
|
- |
|
46,983,690 |
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
Amounts
due to brokers |
|
|
|
- |
|
35,401,772 |
|
- |
|
35,401,772 |
Other payables |
|
|
|
|
- |
|
846,247 |
|
- |
|
846,247 |
Total
liabilities as at 31 March 2019 |
- |
|
36,248,019 |
|
- |
|
36,248,019 |
17. Segmental Reporting
The Board is responsible for reviewing the Company’s entire
portfolio and considers the business to have a single operating
segment. The Board’s asset allocation decisions are based on a
single, integrated investment strategy, and the Company’s
performance is evaluated on an overall basis.
The Company invests in a diversified portfolio of Asset Backed
Securities. The fair value of the major financial instruments held
by the Company and the equivalent percentages of the total value of
the Company, are reported in the Top Twenty Holdings.
Revenue earned is reported separately on the face of the
Condensed Statement of Comprehensive Income as investment income
being interest income received from Asset Backed Securities.
18. Dividend Policy
The Board intends to distribute an amount at least equal to the
value of the Company’s income available for distribution arising
each quarter to the holders of Ordinary Redeemable Shares. For
these purposes, the Company’s income will include the interest
payable by the Asset Backed Securities in the Portfolio and the
amortisation of any discount or premium to par at which an Asset
Backed Security is purchased over its remaining expected life,
prior to its maturity. However there is no guarantee that the
dividend target for future financial years will be met or that the
Company will make any distributions at all.
Distributions made with respect to any quarter comprise (a) the
accrued income of the portfolio for the period, and (b) an
additional amount to reflect any income purchased in the course of
any share subscriptions that took place during the period.
Including purchased income in this way ensures that the
income yield of the shares is not diluted as a consequence of the
issue of new shares during an income period and (c) any income on
the foreign exchange contracts created by the LIBOR differentials
between each foreign currency pair, less (d) total expenditure for
the period.
The Board expects that dividends will constitute the principal
element of the return to the holders of Ordinary Redeemable
Shares.
Under The Companies (Guernsey)
Law, 2008, the Company can distribute dividends from capital and
revenue reserves, subject to the net asset and solvency test. The
net asset and solvency test considers whether a company is able to
pay its debts when they fall due, and whether the value of a
company’s assets is greater than its liabilities. The Board
confirms that the Company passed the net asset and solvency test
for each dividend paid.
The Company declared the following dividends in respect of
distributable profit for the period ended 30
September 2019:
Period to |
Dividend rate per Share (pence) |
|
Net
dividend payable (£) |
|
Record date |
|
Ex-dividend date |
|
Pay
date |
28 June 2019 |
0.0150 |
|
7,845,962 |
|
19 July
2019 |
|
18 July
2019 |
|
31 July
2019 |
30 September 2019 |
0.0150 |
|
7,570,722 |
|
18
October 2019 |
|
17
October 2019 |
|
31
October 2019 |
19. Ultimate Controlling Party
In the opinion of the
Directors on the basis of shareholdings advised to them, the
Company has no ultimate controlling party.
20. Subsequent Events
These Financial Statements were approved for issuance by the
Board on 14 November 2019. Subsequent
events have been evaluated until this date.
On 31 October 2019, the Company paid a dividend as
detailed in note 18.
CORPORATE INFORMATION
Directors
Trevor Ash (Chairman)
Ian Burns (Senior Independent Director)
Richard Burwood
Joanne Fintzen |
Custodian, Principal Banker and Depositary
Northern Trust (Guernsey) Limited
PO Box 71
Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1 3DA |
Registered Office
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1 3QL |
Administrator and Company Secretary
Northern Trust International Fund Administration
Services (Guernsey) Limited
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey, GY1 3QL |
Alternative Investment Fund Manager (“AIFM”)
Maitland Institutional Services Limited
Hamilton Centre
Rodney Way
Chelmsford, CM1 3BY |
Broker
and Financial Adviser
Numis Securities Limited
The London Stock Exchange Building
10 Paternoster Square
London, EC4M 7LT |
Portfolio Manager
TwentyFour Asset Management LLP
8th Floor, The Monument Building
11 Monument Street
London, EC3R 8AF |
Independent Auditor
PricewaterhouseCoopers CI LLP
PO Box 321
Royal Bank Place
1 Glategny Esplanade
St Peter Port
Guernsey, GY1 4ND |
UK
Legal Advisers to the Company
Eversheds Sutherland (International) LLP
One Wood Street
London, EC2V 7WS |
Receiving Agent
Computershare Investor Services PLC
The Pavilions
Bridgwater Road
Bristol, BS13 8AE |
|
|
Guernsey Legal Advisers to the Company
Carey Olsen
Carey House
Les Banques
St Peter Port
Guernsey, GY1 4BZ |
Registrars
Computershare Investor Services (Guernsey) Limited
1st Floor
Tudor House
Le Bordage
St Peter Port
Guernsey, GY1 1DB |
|
|
|
|