TWENTYFOUR INCOME FUND LIMITED
ANNUAL REPORT AND AUDITED FINANCIAL
STATEMENTS
For the year ended 31 March 2019
LEI: 549300CCEV00IH2SU369
(Classified Regulated Information under DTR 6 Annex 1 section
1.1)
The Company has today, in accordance with DTR 6.3.5, released
its Report and Audited Financial Statements for the year ended
31 March 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 UK and European Asset Backed Securities.
The Company will maintain a Portfolio diversified by issuer, it
being anticipated that the Portfolio will comprise at least 50
Asset Backed Securities at all times.
The Portfolio must comply, as at each date an investment is
made, with the following restrictions:
(i) no more than
20% of the Portfolio value will be backed by collateral in any
single country (save that this restriction will not apply to
Northern European countries); and
(ii) no more than 5%
of the Portfolio value will be exposed to any single Asset Backed
Security or issuer of Asset Backed Securities; and
(iii) no more than 10% of
the Portfolio value will be exposed in aggregate to instruments not
deemed securities for the purposes of the Financial Services and
Markets Act, 2000 (the “FSMA”).
As an exception to the requirements set out above, the Portfolio
Manager is permitted to purchase new investments at any time when
the Portfolio does not comply with one or more of those
restrictions so long as, at the time of investment:
· the asset purchased will be
compliant with the single country restriction above (even where
following the purchase more than 20% of the Portfolio will be
backed by collateral in another single country due to market
movements);
· the asset purchased will be
compliant with the single Asset Backed Security/issuer exposure
restriction above (even where following the purchase more than 5%
of the Portfolio value will be exposed to another single Asset
Backed Security or issuer due to market movements); and
· such purchase does not make the
Portfolio, in aggregate, less compliant with any of (i), (ii) and
(iii) above.
The Company will not employ gearing or derivatives for
investment purposes. The Company may use borrowing for short-term
liquidity purposes, which could be achieved through a loan facility
or other types of collateralised borrowing instruments including
repurchase transactions and stock lending. The Directors will
restrict the borrowings of the Company to 10% of the Company’s Net
Asset Value (“NAV”) at the time of drawdown.
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.
At the Extraordinary General Meeting of the Company held on
10 May 2019, Shareholders voted to
amend the Company’s investment policy. Details of these amendments
can be found on Note 21 to the Financial Statements.
Target Returns
The Company has a target annual net total return on the
Company’s NAV of between 6% and 9% per annum, which includes
quarterly dividends with a target yield each financial year of 6%
or higher, of the Issue Price.*
Shareholder Information
Northern Trust International Fund Administration Services
(Guernsey) Limited (the
“Administrator”) is responsible for calculating the NAV per share
of the Company. The unaudited NAV per ordinary redeemable share
will be calculated as at the close of business on the last business
day of every week and the last business day of every month by the
Administrator and will be announced by a Regulatory News Service
the following business day.
|
|
|
|
|
|
31.03.19 |
31.03.18 |
|
|
|
|
|
|
|
|
| Total Net
Assets |
|
|
|
|
£500,465,449 |
£470,013,131 |
|
|
|
|
|
|
|
|
| Net Asset
Value per share |
|
|
|
113.28p |
118.75p |
|
|
|
|
|
|
|
|
| Share
price |
|
|
|
115.28p |
119.50p |
|
|
|
|
|
|
|
|
| Premium to
Net Asset Value |
|
|
|
1.77% |
0.63% |
|
|
|
|
|
|
|
|
| Dividends
declared in respect of the year |
|
|
6.45p |
7.23p |
As at 10 July 2019, the premium
had moved to 0.79%. The estimated NAV per share and mid-market
share price stood at 113.11p and 114.00p respectively.
Ongoing Charges
Ongoing charges for the year ended 31
March 2019 have been calculated in accordance with the
Association of Investment Companies (the “AIC”) recommended
methodology. The ongoing charges for the year ended 31 March 2019 were 0.95% (31 March 2018: 0.94%).
* 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.
See note 16 for further detail.
CHAIRMAN’S STATEMENT
for the year ended 31 March
2019
I am pleased to present my report on the Company’s progress for
the financial year ending 31 March
2019.
The Company’s shares continued to trade at a premium during the
year, as they have typically done since launch, with the average
premium during the year being 3.39%. The range of premium has been
relatively wide, from 0.63% at the start of the year, reaching
7.51% in the last quarter of 2018, and which ended at 1.77%. The
Board is willing to continue to authorise the issuance of further
shares as a premium management mechanism, while the Portfolio
Managers can confirm that attractive investment opportunities are
available in the market.
The Net Asset Value (“NAV”) total return on the shares from
launch to 31 March 2019 was 62.81%
(including dividends paid). The NAV per Share rose 1.57% (including
dividends paid) during the year, and the income component of the
return to investors remained strong as the Company declared three
dividends of 1.5p per share, to cover the pro-rata minimum return
of 6p per share, and a final dividend covering all excess returns
in respect of the year of 1.95p per share. The Board is pleased to
confirm the Company continued to meet the dividend payout target in
accordance with the dividend policy.
The NAV performance of the Company has varied during the year,
and while NAV performance was consistent over the first six months
of the year, the factors that had driven material levels of
volatility in equity, corporate bond and high yield markets since
January 2018 finally spilled over
into European ABS markets during the last six weeks of 2018. Since
the start of 2019 the NAV has been recovering, though European ABS
has lagged the recovery seen in other markets. Fundamental
performance of the asset pools and structures remains strong and
stable.
The change in the spread opportunity continues to provide the
Portfolio Managers with attractive opportunities, and so, being
consistent with the ongoing messaging around capital raising, the
Company has continued to issue equity to satisfy investor demand.
During the year the Company issued 46 million Ordinary shares, at
an average premium of 2.37%, raising a total of £52.4 million.
Following the year ended 31 March
2019, an additional 81.25 million Ordinary shares were
issued, raising a total of £93.1 million. The investor demand
demonstrates the relative value of the asset class versus
mainstream credit, and the Board is very pleased with the result of
recent capital raises in a period with increased volatility
witnessed in the capital markets.
While the imminent chance of any change in monetary policy is
now more balanced globally, there remains an expectation that the
Bank of England’s Monetary Policy Committee would favour a hike in
rates subject to a resolution of the UK’s future relationship with
the European Union.
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
11 July 2019
PORTFOLIO MANAGER’S REPORT
for the year ended 31 March
2019
Market Commentary
The year to 31 March 2019 saw
periods of spread stability, interspersed with two periods of
widening, ending with consistent positive performance through the
first quarter of 2019. During the period the Company’s NAV per
Share increased 1.57% (including dividends paid), whilst the Share
Price had an increase of 2.21% (including dividends paid), and
dividends for the period totalled 6.45p.
The Company declared dividends totalling 6.45p during the year,
noting that the percentage of income being generated from
amortisations fell compared to previous years, due in part to an
increase in the number of securities being purchased closer to par
and maturities of those purchased at a significant discount to par
in prior years.
As the Company’s financial year started, themes emerged in
financial markets that were to remain through the period, and which
were to drive performance of almost all markets. In April both
Treasuries and Gilts experienced volatility as expectations of
future monetary policy changed, and with continued rhetoric around
trade tariffs.
While this drove volatility across fixed income, the European
ABS market was largely isolated, with pricing stable and a range of
new issue transactions seeing strong levels of investor
participation. As summer approached, speculation concerning an
inversion of the US yield curve, driven by continued flattening,
continued to prove problematic for markets. The combative style of
Italy’s populist coalition also helped push corporate spreads
wider, and to a limited extent spreads in peripheral ABS and CLOs
moved wider in sympathy, though this was not reflected generally
across the asset class and investor demand remained strong.
Corporate bonds, high yield and ABS markets saw spreads move
wider into the summer, and where for most that was driven by an
extension of the previous issues, as well as a weakening political
position for Germany’s Angela
Merkel, in ABS it was more to do with short-term primary
market indigestion as issuers looked to fund themselves before the
summer break. This increase in supply continued into July as more
deals were added to the pipeline, and with investors starting to
drift off for summer holidays, deals had to compete for investor
focus based on spreads paid, which filtered through into portfolio
pricing. As the pipeline cleared towards month-end, spreads
regained stability, and largely traded sideways through August.
ABS spreads enjoyed a positive autumn while geopolitics,
esoteric emerging market events in Turkey and Argentina, and Brexit developments in the UK
continued to roil markets. Primary markets came back to life after
the summer, but in a more measured manner with issuers
pragmatically pricing at attractive levels to engage investors and
subsequently receiving the levels of oversubscription seen earlier
in the year.
While the first six months of the period were largely stable,
the Portfolio Managers took the opportunity to gradually de-risk
the portfolio, recognising that the pressures in wider markets have
previously spilled over into ABS performance during similar periods
of volatility.
This strong performance continued through October and the first
half of November, though at that point investors’ risk tolerance
became bound up in the ongoing risk-off move seen across other
markets. This was driven by multiple factors: the prospect of the
UK’s Brexit withdrawal agreement being rejected; the Italian
government battling the EU over deficit control; the US Federal
Reserve being materially at odds with financial markets on the
direction of monetary policy; and China and the US failing to make any material
progress on a trade deal. The deteriorating sentiment ultimately
leaked into ABS, where spreads started exhibiting similar negative
performance that other markets had exhibited all year.
This spread widening continued into year-end with the last
remnants of price moves filtering through as markets opened in
January, at which point ABS prices again de-correlated from most
other markets. This time, however, it was equities and credit
spreads exhibiting positive performance as Fed Chair Jerome Powell performed a material volte-face,
aligning himself with a more dovish outlook for US rates. With the
risk of a ‘no-deal’ Brexit seemingly taken off the table once
various attempts to pass the withdrawal agreement failed, the
Italian Government agreeing a deficit plan with the EU before
Christmas and both the US and China making more friendly noises, further
impetus was given to pricing.
In contrast the European ABS markets remained quiet, principally
as a mix of wider spreads and uncertainty over the technical
implication of new regulation stopped issuers from coming to
market. Without seeing new deals being priced, and therefore no
idea as to investors’ appetite for risk, it was impossible for the
market to rally in line with others. This vacuum continued until
mid-February, since when issuance has picked up, and as expected
this has driven spreads tighter and prices upwards.
Since the spread widening in November the Portfolio Managers
have seen an opportunity to add risk in a measured manner, however
their outlook recognises that risks to stability in financial
market pricing are still present.
Market Outlook
As the Company’s financial year came to an end, ABS pricing was
enjoying a degree of the positive performance that equities and
corporate bonds had seen for several months, while continuing to
materially lag those markets.
While equities are now breaking new highs and credit spreads are
at multi-year lows, the negative drivers of the last 12 months are
still present. The UK still has not resolved its future
relationship with the EU, and while the threat of a ‘hard’ Brexit
has reduced, it has not disappeared and the risk of a general
election also remains. In addition the upcoming EU elections,
ongoing domestic issues in US politics and the aftermath of
elections in Spain remain issues
for markets to contemplate.
The US-China trade war continues with no sign of resolution one
week, and talks of strong progress the next. The next governor of
the ECB remains to be identified, the Fed continues to confuse
markets, and the BoE’s MPC still finds it impossible to do
anything.
With these elements still present in the background the
Portfolio Managers remain balanced in their appreciation of future
spread performance. Recognising the material spread premium
available in European ABS and the conviction around expected credit
performance based on strong performance in both consumer and
corporate loan markets, they continue to find opportunities to
invest and achieve the Company’s objective despite this
outlook.
Foreign Exchange Accounting
The Company’s policy is to hedge foreign exchange risk. During
the year the Company held Euro and Sterling denominated assets, and
whilst the EUR/GBP exchange rate finished 1.43% lower at the end of
the year, it experienced moves in the range of 5.17% during the 12
month period.
Currency risk is hedged using “rolling forwards” with a one
month maturity, selling forward a notional amount equivalent to the
market value of the assets. Any movements in foreign exchange rates
are monitored daily and the hedge is adjusted when necessary to
ensure that currency exposure remains within strict limits. The
Company operates to a tolerance of +/-0.50% exposure to the NAV on
each non-GBP currency. The Company has significant exposure to Euro
assets, representing 58% of the Investment Portfolio at the year
end, and which remained fully hedged within these tolerances during
this time. Foreign Exchange hedging is used to manage the
portfolio’s currency risk efficiently and not to enhance investment
returns. The Company does not, however, apply hedge accounting as
set out in IFRS 9.
The net foreign currency gain on the portfolio (recorded within
net losses on financial assets at fair value through profit or
loss) and the net foreign currency gain on the forward currency
contracts (included within net foreign currency gains) are
recognised in accordance with the hedging policy and International
Financial Reporting Standards, within the Statement of
Comprehensive Income.
TwentyFour Asset Management
11 July 2019
TOP TWENTY HOLDINGS
As at 31 March 2019
|
Nominal/Shares |
|
|
Asset Backed Security Sector |
|
Fair Value
£ |
|
Percentage of Net Asset Value |
| Security |
|
|
|
|
|
|
|
|
| SC GERMANY CONSUMER
SRS 15-1 CLS E DUE 13/12/2028 |
18,000,000 |
|
|
Consumer ABS |
|
16,201,776 |
|
3.24 |
| TULPENHUIS 0.0%
18/04/2051 |
17,000,000 |
|
|
Prime RMBS |
|
14,649,053 |
|
2.93 |
| CAP. BRIDGE FIN. NO.1
'1 MEZZ' FRN 03/07/2018 |
14,000,000 |
|
|
Buy-to-Let RMBS |
|
14,070,000 |
|
2.81 |
| WARWICK FIN. RESD. '1
E' FRN 21/09/2049 |
10,500,000 |
|
|
Non-Conforming RMBS |
10,491,301 |
|
2.10 |
| WARWICK FIN. RESD.
MORTGAGES '2 E' FRN 21/09/2049 |
9,250,000 |
|
|
Non-Conforming RMBS |
9,252,262 |
|
1.85 |
| CASTELL 2018-1 '1 X'
FRN 25/01/2046 |
9,136,785 |
|
|
Non-Conforming RMBS |
9,158,578 |
|
1.83 |
| OPTIMUM THREE '3 MEZR'
FRN 25/05/2021 |
9,000,000 |
|
|
Non-Conforming RMBS |
9,000,000 |
|
1.80 |
| RESIDENTIAL MORTGAGE
28 '28 E' FRN 15/06/2046 |
8,550,000 |
|
|
Non-Conforming RMBS |
8,623,821 |
|
1.72 |
| AURORUS 2017 BV '1 G'
FRN 11/8/2078 |
9,200,000 |
|
|
Consumer ABS |
|
7,985,421 |
|
1.60 |
| TAURUS 2019-1 FR DAC
'1FR E' FRN 02/02/2031 |
9,100,000 |
|
|
CMBS |
|
7,865,077 |
|
1.57 |
| EQTY. RELEASE FNDG. NO
5 '5 B' FRN 14/07/2050 |
9,050,000 |
|
|
Prime RMBS |
|
7,330,500 |
|
1.46 |
| AVOCA CLO XVI DAC '16X
ER' FRN 15/07/2031 |
8,750,000 |
|
|
CLO |
|
7,173,437 |
|
1.43 |
| MAN GLG EURO CLO V DAC
'5X E' FRN 15/12/2031 |
8,700,000 |
|
|
CLO |
|
7,159,509 |
|
1.43 |
| SC GERMANY CONSUMER
2016-1 UG '1 E' FRN 13/09/2029 |
7,500,000 |
|
|
Consumer ABS |
|
6,867,497 |
|
1.37 |
| VSK HLDGS. '1 C4-1'
VAR 01/10/2058 |
375,000 |
|
|
Prime RMBS |
|
6,340,767 |
|
1.27 |
| VSK HLDGS. '1 C4-2'
VAR 01/10/2058 |
375,000 |
|
|
Prime RMBS |
|
6,340,767 |
|
1.27 |
| HAYFIN EMERALD CLO II
DAC '2X E' FRN 27/05/2032 |
7,500,000 |
|
|
CLO |
|
6,236,619 |
|
1.25 |
| ALME LOAN FNDG. III
DESIG '3X FRNE' FRN 15/04/2030 |
7,500,000 |
|
|
CLO |
|
6,168,103 |
|
1.23 |
| CASTELL 2017-1 '1 F'
FRN 25/10/2044 |
6,000,000 |
|
|
Non-Conforming RMBS |
6,096,600 |
|
1.22 |
| PARAGON MORTGAGES NO
15 '15X CB' FRN 15/12/2039 |
7,600,000 |
|
|
Buy-to-Let RMBS |
|
5,763,110 |
|
1.15 |
The full portfolio listing as at 31 March
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 59)
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 51)
Mr Burwood is a resident of Guernsey with over 25 years’ experience in
banking and investment management. During 18 years with Citibank
London, Mr Burwood spent 11 years as a fixed income portfolio
manager spanning both banks/finance investments and Asset Backed
Securities. He gained direct experience as a portfolio manager of
securities backed by mortgages, auto loans and collateralised loan
obligations. Mr Burwood has lived in Guernsey since 2010, initially working as a
portfolio manager for EFG Financial Products (Guernsey) Ltd, managing the treasury
department’s ALCO Fixed Income portfolio. From 2011 to 2013, Mr
Burwood worked as the Business and Investment Manager for the
Guernsey branch of Man Investments
(CH) AG. This role involved overseeing all aspects of the business
including operations and management of proprietary investments. In
January 2014, Mr Burwood joined the
board of RoundShield Fund I GP Ltd, a Guernsey private equity fund, focused on
European small to mid-cap opportunities. In August 2015, he became a Board Member of Funding
Circle SME Income Fund Ltd, a Guernsey company, offering investors access to
a diversified pool of SME loans originated through Funding Circle’s
marketplaces in the UK, US and Europe. Mr Burwood was appointed to the Board
on 17 January 2013.
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 as well as private equity and venture capital
funds. Ms Fintzen was appointed to the Board on 7 January 2019.
DISCLOSURE OF DIRECTORSHIPS IN PUBLIC
COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES
The following summarises the Directors’ directorships in other
public companies:
| Company
Name |
|
|
|
Stock
Exchange |
|
|
|
|
|
|
|
| Trevor
Ash (Chairman) |
|
|
|
|
| Sherbourne
Investors (Guernsey) B Limited |
London |
| Sherbourne
Investors (Guernsey) C Limited |
London |
|
|
|
|
|
|
|
| Ian
Burns |
|
|
|
|
|
|
FastForward Innovations Limited |
|
|
London and Berlin |
| River and
Mercantile UK Micro Cap Limited |
London |
|
|
|
|
|
|
|
| Richard
Burwood |
|
|
|
|
| Funding
Circle SME Income Fund Limited, and its associated funding
vehicles: |
London |
| -
Basinghall Lending DAC |
|
|
|
Dublin |
| - Tallis
Lending DAC |
|
|
|
Dublin |
DIRECTORS’ REPORT
The Directors present their Annual Report and Audited Financial
Statements for the year ended 31 March 2019.
Business Review
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 Policy
The Company’s investment objective and policy is set out in the
Summary Information.
Discount/Premium to Net Asset
Value
The Board monitors and manages the level of the share price
discount/premium to NAV. In managing this, the Company operates a
share buyback facility whereby it may purchase, subject to various
terms as set out in its Articles and in accordance with the
Companies (Guernsey) Law, 2008, up
to 14.99% of the Company’s Ordinary Redeemable Shares in issue
immediately following Admission for trading on the London Stock
Exchange. On 1 February 2016, the
first three year anniversary of the Company, investors were offered
a realisation opportunity to realise all or part of their
Shareholding in the Company. Subsequently, the realisation
opportunity will be offered as at the date of the annual general
meeting of the Company in each third year subject to the aggregate
NAV of the continuing Ordinary Redeemable Shares on the last
Business Day before Reorganisation being not less than £100
million. The next realisation opportunity will take place in
September 2019.
Shareholder Information
Shareholder information is set out in the Summary
Information.
Going Concern
The Directors believe that it is appropriate to adopt the going
concern basis in preparing the 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 Financial
Statements.
The Company also achieved its dividend target of 6% of the issue
price for the year ended 31 March 2019, meaning that as
per the Company’s Articles, no Continuation Vote is required.
The Company’s continuing ability to meet dividend target and the
expected outcome of the upcoming realisation opportunity has been
considered as part of the viability assessment. No material doubts
to going concern have been identified.
Viability Statement
Under the UK Corporate Governance Code, the Board is required to
make a “viability statement” which considers the Company’s current
position and principal risks and uncertainties combined with an
assessment of the prospects of the Company in order to be able to
state that they have a reasonable expectation that the Company will
be able to continue in operation over the period of their
assessment. The Board considers that three years is an appropriate
period to assess the viability of the Company given the uncertainty
of the investment world and the strategy period. In selecting this
period the Board considered the environment within which the
Company operates and the risks associated with the Company.
The Company’s prospects are driven by its business model and
strategy. The Company’s aim is to provide investors with an
attractive level of income with a high degree of certainty around
that income and a focus on capital preservation in uncertain times,
by investing in less liquid, high yielding asset backed
securities.
The Board’s assessment of the Company over the three year period
has been made with reference to the Company’s current position and
prospects, the Company’s strategy, and the Board’s risk appetite
having considered each of the Company’s principal risks and
uncertainties summarised below.
The Board has also considered the Company’s cash flows, income
flows, its likely ability to pay dividends and analysis of the
portfolio with reference to:
· liquidity analysis, including
but not limited to, the changes in liquidity of the Company over
time based on the liquidity of the underlying assets;
· foreign exchange analysis,
including but not limited to, monitoring the effectiveness of the
Company’s foreign exchange hedging strategy;
· credit analysis, including but
not limited to, analysing the current credit ratings and credit
rating outlooks of the underlying securities by the main rating
agencies, as well as sufficient diversification across sectors;
and
· valuation analysis, including
but not limited to, assessing the pricing accuracy of the
underlying securities.
In this context, the Board’s central case is that the prospects
for economic activity will remain such that the investment
objective, policy and strategy of the Company will be viable for
the foreseeable future through a period of at least three years
from the year end, 31 March 2019.
In making this judgement, the Board has assessed that the main
risks to the viability of the Company are key global and market
uncertainties driven by factors external to the Company which in
turn can impact on the liquidity and NAV of the investment
portfolio. A simulation has been designed to estimate the impact of
these uncertainties on the NAV of the Company at times of stress,
such as the UK’s exit from the EU, based on historical performance
data, using techniques which analyse how changes in the Company’s
ability to generate income (by assessing different levels of
reinvestment rates available as well as changes in FX income
generation, over a 3-year period) would impact the annual dividend
the Company is able to generate. All of the foregoing has been
considered against the background of the Company’s dividend target
and consideration of the upcoming realisation opportunity.
Key assumptions covered by the Board in relation to the
viability of the Company include:
Dividend Target
The ongoing viability of the Company and the validity of the
going concern basis depend on the Company meeting its dividend
target annually during the three-year period. In the event that the
Company does not meet the dividend target annually, as disclosed in
note 19, during the three-year period an Ordinary Resolution will
be put to the Shareholders, at the AGM following any reporting
period in which the dividend target is not met, with the
continuation vote requirements set out in note 16.
Realisation Opportunity
The realisation opportunity (full details are set out in note
16) is due to occur just after the AGM in 2019. Based on the strong
NAV per Share performance, with the Company trading at a premium
for the majority of the year, and with no feedback from investors
suggesting otherwise, it is believed the realisation opportunity is
a low risk to the viability prospects of the Company.
Results
The results for the year are set out in the Statement of
Comprehensive Income. The Directors proposed income distributions
of £26,946,387 in respect of income available for distribution
earned during the year ended 31 March
2019, a breakdown of which can be found in note 19.
Distributions declared during the year amount to £28,917,363, as
recognised in the Statement of Changes in Equity.
Income available for distribution in any quarter comprises (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 (so as to
ensure 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.
Key Performance Indicators
(“KPIs”)
At each Board meeting, the Directors consider a number of
performance measures to assess the Company’s success in achieving
its objectives. Below are the main KPIs which have been identified
by the Board for determining the progress of the Company:
· Net Asset Value
· Share Price
· Discount/Premium
· Ongoing Charges
· Dividends Declared
A record of these measures is disclosed in the Summary
Information.
Portfolio Manager
The Company entered into a Portfolio Management Agreement with
TwentyFour Asset Management LLP, the Portfolio Manager, on
29 May 2014. Pursuant to this
agreement, the Portfolio Manager is entitled to a portfolio
management fee paid monthly in arrears, at a rate of 0.75% per
annum of the lower of Net Asset Value, which is calculated as of
the last business day of each month, or market capitalisation of
each class of shares. For additional information, refer to note
14.
The Board considers that the interests of Shareholders, as a
whole, are best served by the continued appointment of the
Portfolio Manager to achieve the Company’s investment
objectives.
Alternative Investment Fund
Manager
Alternative investment fund management services have been
provided by Maitland Institutional Services Limited (“Maitland”)
since their appointment as Alternative Investment Fund Manager
(“AIFM”) on 29 May 2014. The AIFM fee
is 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. For additional information refer to note 15.
Custodian and Depositary
Custodian and Depositary services are provided by Northern Trust
(Guernsey) Limited. The terms of
the Depositary agreement, allow Northern Trust (Guernsey) Limited to receive professional fees
for services rendered. For additional information, refer to note
15.
Directors
The Directors of the Company during the year and at the date of
this Report are set out in the Corporate Information section.
Directors' and Other Interests
As at 31 March 2019, Directors of
the Company held the following numbers of Ordinary Redeemable
Shares beneficially:
|
|
|
|
|
Number of Shares |
|
Number
of Shares |
|
|
|
|
|
31.03.19 |
|
31.03.18 |
| Trevor
Ash |
|
|
|
50,000 |
|
50,000 |
| Ian Burns |
|
|
|
|
29,242 |
|
29,242 |
| Richard Burwood |
|
|
|
|
5,000 |
|
5,000 |
| Joanne
Fintzen1 |
|
|
|
|
- |
|
N/A |
| Jeannette
Etherden2 |
|
|
|
N/A |
|
25,000 |
1 Joanne Fintzen was
appointed to the board on 7 January
2019. Subsequent to the year end, Ms Fintzen purchased
17,476 Ordinary Redeemable Shares in the Company.
2 Jeanette Etherden
retired from the board on 14 March
2019.
Corporate Governance
The Board is committed to high standards of corporate governance
and has implemented a framework for corporate governance which it
considers to be appropriate for an investment company in order to
comply with the principles of the UK Corporate Governance Code (the
“UK Code”). The Company is also required to comply with the Code of
Corporate Governance (the “GFSC Code”) issued by the Guernsey
Financial Services Commission.
The UK Listing Authority requires all UK premium listed
companies to disclose how they have complied with the provisions of
the UK Code. This Corporate Governance Statement, together with the
Going Concern Statement, Viability Statement and the Statement of
Directors’ Responsibilities, indicate how the Company has complied
with the principles of good governance of the UK Code and its
requirements on Internal Control.
The Company is a member of the AIC and by complying with the
2016 AIC Code of Corporate Governance (“the AIC Code”) is deemed to
comply with both the UK Code and the GFSC Code.
The Board has considered the principles and recommendations of
the AIC Code, by reference to the guidance notes provided by the
AIC Guide, and considers that reporting against these will provide
appropriate information to shareholders. To ensure ongoing
compliance with these principles the Board reviews a report from
the Corporate Secretary at each quarterly meeting, identifying how
the Company is in compliance and identifying any changes that might
be necessary.
The AIC updated its Code on 5 February
2019 to reflect revised Principles and Provisions included
in the UK Corporate Governance Code which was revised in 2018.
These changes apply to financial years beginning on or after
1 January 2019 and the Directors
intend to report on the Company’s compliance with the changes in
the Annual Report for the year ended 31
March 2020.
The AIC Code and the AIC Guide are available on the AIC’s
website, www.theaic.co.uk. The UK Code is available in the
Financial Reporting Council’s website, www.frc.org.uk.
Throughout the year ended 31 March
2019, the Company has complied with the recommendations of
the AIC Code and thus the relevant provisions of the UK Code,
except as set out below.
The UK Code includes provisions relating to:
· the role of the Chief
Executive;
· Executive Directors’
remuneration;
· Annually assessing the need for
an internal audit function;
· Remuneration Committee; and
· Nomination Committee.
For the reasons set out in the AIC Guide, the Board considers
the first three provisions are not relevant to the position of the
Company as it is an externally managed investment company. The
Company has therefore not reported further in respect of these
provisions. The Board is satisfied that any relevant issues can be
properly considered by the Board. The Board, as a whole, fulfils
the function of a Nomination and Remuneration Committee and
therefore no separate Nomination or Remuneration Committees are
considered necessary.
Details of compliance with the AIC Code are noted below. There
have been no other instances of non-compliance, other than those
noted above.
The Company’s risk exposure and the effectiveness of its risk
management and internal control systems are reviewed by the Audit
Committee at its meetings and annually by the Board. The Board
believes that the Company has adequate and effective systems in
place to identify, mitigate and manage the risks to which it is
exposed.
Role, Composition and Independence of
the Board
The Board is the Company’s governing body and has overall
responsibility for maximising the Company’s success by directing
and supervising the affairs of the business and meeting the
appropriate interests of shareholders and relevant stakeholders,
while enhancing the value of the Company and also ensuring
protection of investors. A summary of the Board’s responsibilities
is as follows:
· statutory obligations and public
disclosure;
· strategic matters and financial
reporting;
· risk assessment and management
including reporting compliance, governance,
monitoring and control; and
· other matters having a material
effect on the Company.
The Board’s responsibilities for the Annual Report and Audited
Financial Statements are set out in the Statement of Directors’
Responsibilities.
The Board currently consists of four non-executive Directors,
all of whom are considered to be independent of the Portfolio
Manager and as prescribed by the Listing Rules.
The Board considers it has the appropriate balance of diverse
skills and experience, independence and knowledge of the Company
and the wider sector, to enable it to discharge its duties and
responsibilities effectively and that no individual or group of
individuals dominates decision making. The Chairman is responsible
for leadership of the Board and ensuring its effectiveness. On
5 June 2017, Ian Burns was
appointed as the Senior Independent Director.
Chairman
The Chairman is Trevor Ash. The
Chairman of the Board must be independent for the purposes of
Chapter 15 of the Listing Rules. Trevor
Ash is considered independent because he:
· has no current or historical
employment with the Portfolio Manager; and
· has no current directorships in
any other investment funds managed by the Portfolio Manager.
Biographies of all the Directors can be found in the Board
Members section.
Board Role and Composition
The Board is required to ensure that the Annual Report and
Audited Financial Statements, taken as a whole, is fair, balanced
and understandable and provides the information necessary for
shareholders to assess the Company’s position and performance,
business model and strategy. In seeking to achieve this, the
Directors have set out the Company’s investment objective and
policy and have explained how the Board and its delegated
Committees operate, and how the Directors review the risk
environment within which the Company operates and set appropriate
risk controls. Furthermore, throughout the Annual Report and
Audited Financial Statements the Board has sought to provide
further information to enable shareholders to have a fair, balanced
and understandable view.
The Board has contractually delegated responsibility for the
management of its investment portfolio, the arrangement of
custodial and depositary services and the provision of accounting
and company secretarial services.
The Board is responsible for the appointment and monitoring of
all service providers to the Company.
The Directors are kept fully informed of investment and
financial controls and other matters by all services providers that
are relevant to the business of the Company and should be brought
to the attention of the Directors.
The Company has adopted a policy that the composition of the
Board of Directors, which is required by the Company’s Articles,
comprises of at least two persons, that at all times a majority of
the Directors are independent of the Portfolio Manager and any
company in the same group as the Portfolio Manager; the Chairman of
the Board of Directors is free from any conflicts of interest and
is independent of the Portfolio Manager and of any company in the
same group as the Portfolio Manager; and that no more than one
director, partner, employee or professional adviser to the
Portfolio Manager or any company in the same group as the Portfolio
Manager may be a Director of the Company at any one
time.
The Board has also given careful consideration to the
recommendations of the Davies Review. The Board has reviewed its
composition and believes that the current appointments provide an
appropriate range of skills, experience and diversity. In order to
maintain its diversity, the Board is committed to continuing its
implementation of the recommendations of the Davies Review as part
of its succession planning over future years and by complying with
the disclosure requirement of DTR 7.2.8 in terms of the Company’s
diversity policy.
Directors’ Attendance at Meetings
The Board holds quarterly Board meetings, to discuss general
management, structure, finance, corporate governance, marketing,
risk management, compliance, asset allocation and gearing,
contracts and performance. The quarterly Board meetings are the
principal source of regular information for the Board enabling it
to determine policy and to monitor performance, compliance and
controls but these meetings are also supplemented by communication
and discussions throughout the year.
A representative of the Portfolio Manager, AIFM, Administrator,
Custodian and Depositary and Corporate Broker attends each Board
meeting either in person or by telephone thus enabling the Board to
fully discuss and review the Company’s operation and performance.
Each Director has direct access to the Portfolio Manager and
Company Secretary and may, at the expense of the Company, seek
independent professional advice on any matter.
Both appointment and removal of these parties is to be agreed by
the Board as a whole.
The Audit Committee meets at least twice a year, the Management
Engagement Committee meets at least once a year and a dividend
meeting is held quarterly. In addition, ad hoc meetings of the
Board to review specific items between the regular scheduled
quarterly meetings can be arranged.
Between formal meetings there is regular contact with the
Portfolio Manager, AIFM, Administrator, Custodian and Depositary
and the Corporate Broker.
Attendance at the Board and Committee meetings during the year
was as follows:
|
|
|
Quarterly Board Meetings |
Audit Committee Meetings |
Management Engagement Committee Meetings |
Ad hoc
Committee Meetings |
|
|
|
Held |
Attended |
Held |
Attended |
Held |
Attended |
Held |
Attended |
|
|
|
|
|
|
|
|
|
|
|
| Trevor Ash |
|
|
4 |
4 |
2 |
2 |
1 |
1 |
8 |
6 |
| Ian Burns |
|
|
4 |
4 |
2 |
2 |
1 |
1 |
8 |
7 |
| Richard
Burwood |
|
4 |
4 |
2 |
2 |
1 |
1 |
8 |
7 |
| Joanne
Fintzen1 |
|
1 |
1 |
1 |
1 |
- |
- |
2 |
1 |
| Jeannette
Etherden2 |
4 |
4 |
2 |
2 |
1 |
1 |
8 |
5 |
1 Joanne Fintzen was
appointed to the board on 7 January
2019
2 Jeanette Etherden
retired from the board on 14 March
2019
The number of meetings held indicate the meetings held during
each Director’s membership of the relevant Board or Committee
during the year ended 31 March
2019.
Board Performance and Training
During the prior year, the Board commissioned a review of its
performance by external evaluation practitioner Trust Associates
Limited. The review determined the Board’s approach to corporate
governance and its supervision of its regulatory compliance to be
good. The review also determined the Board to be effective with
independent thought and action with the right balance of skills and
experience necessary for its proper functioning and the
safeguarding of shareholders’ interests.
Retirement by Rotation
Under the terms of their appointment, each Director is required
to retire by rotation and be subject to re-election at least every
three years. The Directors are required to seek re-election on an
annual basis if they have already served for more than nine years.
At the 20 September 2018 Annual
General Meeting, Trevor Ash was
re-elected to the Board. The Company may terminate the appointment
of a Director immediately on serving written notice and no
compensation is payable upon termination of office as a director of
the Company becoming effective.
Election of Directors
The election of Directors is set out in the Directors’
Remuneration Report.
UK Criminal Finances Act 2017
In respect of the UK Criminal Finances Act 2017 which has
introduced a new Corporate Criminal Offence of ‘failing to take
reasonable steps to prevent the facilitation of tax evasion’, the
Board confirms that it is committed to zero tolerance towards the
criminal facilitation of tax evasion.
The Board also keeps under review developments involving other
social and environmental issues, such as the General Data
Protection Regulation (“GDPR”), which came into effect on
25 May 2018, and Modern Slavery, and
will report on those to the extent they are considered relevant to
the Company’s operations. There are no findings to report at year
end.
Board Committees and their
Activities
Terms of Reference
All Terms of Reference of the Board’s Committees are available
from the Administrator upon request.
Management Engagement Committee
The Board has established a Management Engagement Committee with
formal duties and responsibilities. The Management Engagement
Committee commits to meeting at least once a year and comprises the
entire Board. Jan Etherden was
appointed as Chairperson until her retirement from the Board on
14 March 2019, after which,
Richard Burwood was appointed
Chairperson. These duties and responsibilities include the regular
review of the performance of and contractual arrangements with the
Portfolio Manager and other service providers and the preparation
of the Committee's annual opinion as to the Portfolio Manager's
services.
The Management Engagement Committee carried out a review of the
performance and capabilities of the Portfolio Manager and other
service providers at its 20 September
2018 meeting and recommended the continued appointment of
TwentyFour Asset Management LLP as Portfolio Manager is in the
interest of shareholders. The Committee also recommended that the
appointment of all the Company’s current service providers should
continue.
Audit Committee
An Audit Committee has been established consisting of all
Directors with Ian Burns appointed
as Chairman. The terms of reference of the Audit Committee
provide that the committee shall be responsible, amongst other
things, for reviewing the Interim and Annual Financial Statements,
considering the appointment and independence of external auditors,
discussing with the external auditors the scope and results from
the audit and reviewing the Company’s compliance with the AIC
Code.
Further details on the Audit Committee can be found in the Audit
Committee Report.
Nomination Committee
There is no separate Nomination Committee. The Board as a whole
fulfils the function of a Nomination Committee. Whilst the
Directors take the lead in the appointment of new Directors, any
proposal for a new Director will be discussed and approved by all
members of the Board.
The Company engaged Cornforth Consulting in the process of
identifying a replacement for Jeanette
Etherden.
Remuneration Committee
In view of its non-executive and independent nature, the Board
considers that it is not appropriate for there to be a separate
Remuneration Committee. The Board as a whole fulfils the functions
of the Remuneration Committee, although the Board has included a
separate Directors’ Remuneration Report of these Financial
Statements.
International Tax Reporting
For purposes of the US Foreign Account Tax Compliance Act, the
Company registered with the US Internal Revenue Service (“IRS”) as
a Guernsey reporting Foreign
Financial Institution (“FFI”), received a Global Intermediary
Identification Number (8V9U53.99999.SL.831), and can be found on
the IRS FFI list.
The Common Reporting Standard (“CRS”) is a global standard
developed for the automatic exchange of financial account
information developed by the Organisation for Economic Co-operation
and Development (“OECD”), which has been adopted in Guernsey and which came into effect on
1 January 2016.
The Board ensures that the Company is compliant with
Guernsey regulations and guidance
in this regard.
Strategy
The strategy for the Company is to target less liquid, higher
yielding asset backed securities. These securities, whilst
fundamentally robust, do not offer enough liquidity for use in the
typical daily mark-to-market UCITs funds, but are well suited to a
traded closed-ended vehicle, where investors can obtain liquidity
by trading shares on the London Stock Exchange. This part of the
fixed income market has been largely overlooked and therefore
represents attractive relative value. The strategy aims to generate
a dividend in the Reporting Period ending 31
March 2019 of 6 pence per
Ordinary Share and in each subsequent Reporting Period such
Dividend Target as the Directors determine at their absolute
discretion from time to time, with all excess income being
distributed to investors at the year-end of the Company.
Internal Controls
The Board is ultimately responsible for establishing and
maintaining the Company’s system of internal financial and
operating control and for maintaining and reviewing its
effectiveness. The Company’s risk matrix continues to be the core
element of the Company’s risk management process in establishing
the Company’s system of internal financial and reporting control.
The risk matrix is prepared and maintained by the Board which
initially identifies the risks facing the Company and then
collectively assesses the likelihood of each risk, the impact of
those risks and the strength of the controls operating over each
risk. The system of internal financial and operating control is
designed to manage rather than to eliminate the risk of failure to
achieve business objectives and by their nature can only provide
reasonable and not absolute assurance against misstatement and
loss.
These controls aim to ensure that assets of the Company are
safeguarded, proper accounting records are maintained and the
financial information for publication is reliable. The Board
confirms that there is an ongoing process for identifying,
evaluating and managing the significant risks faced by the
Company.
This process has been in place for the year under review and up
to the date of approval of this Annual Report and Audited Financial
Statements and is reviewed by the Board and is in accordance with
the AIC Code.
The AIC Code requires Directors to conduct at least annually a
review of the Company’s system of internal financial and operating
control, covering all controls, including financial, operational,
compliance and risk management. The Board has evaluated the systems
of internal controls of the Company. In particular, it has prepared
a process for identifying and evaluating the significant risks
affecting the Company and the policies by which these risks are
managed. The Board also considers whether the appointment of an
internal auditor is required and has determined that there is no
requirement for a direct internal audit function.
The Board has delegated the day to day responsibilities for the
management of the Company’s investment portfolio, the provision of
depositary services and administration, registrar and corporate
secretarial functions including the independent calculation of the
Company’s NAV and the production of the Annual Report and Financial
Statements which are independently audited.
Formal contractual agreements have been put in place between the
Company and providers of these services. Even though the Board has
delegated responsibility for these functions, it retains
accountability for these functions and is responsible for the
systems of internal control. At each quarterly Board meeting,
compliance reports are provided by the Administrator, Company
Secretary, Portfolio Manager, AIFM and Depositary. The Board also
receives confirmation from the Administrator of its accreditation
under its Service Organisation Controls 1 report.
The Company’s risk exposure and the effectiveness of its risk
management and internal control systems are reviewed by the Audit
Committee at its meetings and annually by the Board. The Board
believes that the Company has adequate and effective systems in
place to identify, mitigate and manage the risks to which it is
exposed. Principal Risks and Uncertainties are set out below.
Principal Risks and Uncertainties
The Board is responsible for the Company’s system of internal
financial and reporting controls and for reviewing its
effectiveness. The Board is satisfied that by using the Company’s
risk matrix as its core element in establishing the Company’s
system, internal financial and reporting controls while monitoring
the investment limits and restrictions set out in the Company’s
investment objective and policy, that the Board has carried out a
robust assessment of the principal risks and uncertainties facing
the Company.
The principal risks which have been identified and the steps
which are taken by the Board to mitigate them are as follows:
Market risk
The underlying investments comprised in the portfolio are
subject to market risk. The Company is therefore at risk that
market events may affect performance and in particular may affect
the value of the Company’s investments which are valued on a marked
to market basis. Market risk is risk associated with changes in
market prices, including spreads, interest rates, economic
uncertainty, changes in laws and political (national and
international) circumstances. While the Company, through its
investments in Asset Backed Securities, intends to hold a
diversified portfolio of assets, any of these factors including
specific market events, such as the global financial crisis and
levels of sovereign debt and the UK’s exit from the EU, may have a
material impact which could be materially detrimental to the
performance of the Company’s investments. As the process of a major
country leaving the EU has no precedent, the Board and the
Portfolio Manager regularly assess the risks and ongoing
uncertainties and expect an ongoing period of market uncertainty as
the implications are processed.
Under extreme market conditions the portfolio may not benefit
from diversification.
Liquidity risk
Investments made by the Company may be relatively illiquid and
this may limit the ability of the Company to realise its
investments and in turn pay dividends. Substantially all of the
assets of the Company are invested in Asset Backed Securities.
There may be no active market in the Company’s interests in Asset
Backed Securities. The Company does not have redemption rights in
relation to any of its investments. As a consequence, the value of
the Company’s investments may be materially adversely affected.
Credit risk
The Company may not achieve the Dividend Target and investors
may not get back the full value of their investment because it is
invested in Asset Backed Securities comprising debt securities
issued by companies, trusts or other investment vehicles which,
compared to bonds issued or guaranteed by governments, are
generally exposed to greater risk of default in the repayment of
the capital provided to the issuer or interest payments due to the
Company. The amount of credit risk is indicated by the issuer’s
credit rating which is assigned by one or more internationally
recognised rating agencies. This does not amount to a guarantee of
the issuer’s creditworthiness but generally provides a strong
indicator of the likelihood of default. Securities which have a
lower credit rating are generally considered to have a higher
credit risk and a greater possibility of default than more highly
rated securities. There is a risk that an internationally
recognised rating agency may assign incorrect or inappropriate
credit ratings to issuers. Issuers often issue securities which are
ranked in order of seniority which, in the event of default, would
be reflected in the priority in which investors might be paid back.
The level of defaults in the portfolio and the losses suffered on
such defaults may increase in the event of adverse financial or
credit market conditions.
In the event of a default under an Asset Backed Security, the
Company’s right to recover under the Asset Backed Security will
depend on the ability of the Company to exercise any rights that it
has against the borrower under the insolvency legislation of the
jurisdiction in which the borrower is incorporated. As a creditor,
the Company’s level of protection and rights of enforcement may
therefore vary significantly from one country to another, may
change over time and may be subject to rights and protections which
the relevant borrower or its other creditors might be entitled to
exercise. Refer to the Investment Objective and Investment Policy
in the Summary Information for information regarding investment
restrictions currently in place in order to manage credit risk. The
credit ratings on the Company’s underlying investments are
disclosed in note 16.
Foreign currency risk
The Company is exposed to foreign currency risk through its
investments in predominantly Euro denominated assets. The
Company’s share capital is denominated in Sterling and its expenses
are incurred in Sterling. The Company’s financial statements are
maintained and presented in Sterling. Amongst other factors
affecting the foreign exchange markets, events in the Eurozone may
have an impact upon the value of the Euro which in turn will impact
the value of the Company’s Euro denominated investments. The
Company manages its exposure to currency movements by using spot
and forward foreign exchange contracts, which are rolled forward
periodically.
Reinvestment risk
The Portfolio Manager is conscious of the challenge to reinvest
any monies that result from principal and income payments and to
minimise reinvestment risk as much as possible. Cash flow analysis
is conducted on an ongoing basis and is an important part of the
Portfolio Management process, ensuring such proceeds can be
invested efficiently and in the best interests of the Company.
The Portfolio Manager expects amortisations of around £45m over
the next 12 months, however, while market conditions are always
subject to change, the Portfolio Manager does not currently foresee
reinvestment risk significantly impacting the yield and affecting
each quarter’s minimum dividend. The Portfolio Manager also
recognises the need to be opportunistic as and when market
conditions are particularly favourable in order to reinvest any
proceeds.
Other risks and uncertainties
The Board has identified the following other risks and
uncertainties along with the steps taken to mitigate them:
Operational risks
The Company is exposed to the risk arising from any failures of
systems and controls in the operations of the Portfolio Manager,
Administrator, AIFM, Custodian and the Depositary amongst others.
The Board and its Audit Committee regularly review reports from the
Portfolio Manager, AIFM, the Administrator, Custodian and
Depositary on their internal controls. The Administrator, Custodian
and Depositary will report to the Portfolio Manager any operational
issues which will be brought to the Board for final approval as
required.
Accounting, legal and regulatory
risks
The Company is exposed to the risk that it may fail to maintain
accurate accounting records or fail to comply with requirements of
its Admission document and fail to meet listing obligations. The
accounting records prepared by the Administrator are reviewed by
the Portfolio Manager. The Portfolio Manager, Administrator, AIFM,
Custodian, Depositary and Corporate Broker provide regular updates
to the Board on compliance with the Admission document and changes
in regulation. Changes in the legal or the regulatory
environment can have a major impact on some classes of debt. The
Portfolio Manager monitors this and takes appropriate action.
Income recognition risk
The Board considers income recognition to be a principal risk
and uncertainty of the Company as the Portfolio Manager estimates
the remaining expected life of the security and its likely terminal
value, which has an impact on the effective interest rate of the
Asset Backed Securities which in turn impacts the calculation of
interest income. The Board asked the Audit Committee to consider
this risk with work undertaken by the Audit Committee as discussed
in the Audit Committee Report. As a result of the work undertaken
by the Audit Committee, the Board is satisfied that income is
appropriately stated in all material aspects in the Financial
Statements.
Cyber security risks
The Company is exposed to risk arising from a successful
cyber-attack through its service providers. The Company requests of
its service providers that they have appropriate safeguards in
place to mitigate the risk of cyber-attacks (including minimising
the adverse consequences arising from any such attack), that they
provide regular updates to the Board on cyber security, and conduct
ongoing monitoring of industry developments in this area. The Board
is satisfied that the Company’s service providers have the relevant
controls in place to mitigate this risk.
Shareholder Engagement
The Board welcomes shareholders’ views and places great
importance on communication with its shareholders. Shareholders
wishing to meet the Chairman and other Board members should contact
the Company’s Administrator.
The Portfolio Manager and Listing Sponsor maintain a regular
dialogue with institutional shareholders, the feedback from which
is reported to the Board.
The Company’s Annual General Meeting (“AGM”) provides a forum
for shareholders to meet and discuss issues of the Company and
shareholders with the opportunity to vote on the resolutions as
specified in the Notice of AGM. The Notice of the AGM and the
results are released to the London Stock Exchange in the form of an
announcement. Board members will be available to respond to
shareholders’ questions at the AGM.
In addition, the Company maintains a website,
www.twentyfourincomefund.com, which contains comprehensive
information, including links to regulatory announcements, share
price information, financial reports, investment objective and
investor contacts.
Significant Shareholdings
Shareholders with holdings of more than 3.0% of the Ordinary
Shares of the Company at 11 June 2019
(latest available) were as follows:
|
Number of shares |
|
Percentage of issued share capital |
|
|
|
|
| Investec Wealth &
Investment |
47,626,397 |
|
9.11% |
| Aviva Investors |
42,612,286 |
|
8.15% |
| Brewin Dolphin,
stockbrokers |
32,331,706 |
|
6.18% |
| Premier Asset
Management |
31,035,113 |
|
5.93% |
| Fidelity
International |
28,316,197 |
|
5.41% |
| Baillie Gifford |
25,589,169 |
|
4.89% |
| Charles Stanley |
20,458,903 |
|
3.91% |
| BMO Global Asset
Management (UK) |
17,823,074 |
|
3.41% |
| Killik,
stockbrokers |
17,703,217 |
|
3.38% |
Those invested directly or indirectly in 3.0% or more of the
issued share capital of the Company will have the same voting
rights as other holders of Shares.
Disclosure of Information to
Auditors
The Directors who held office at the date of approval of these
Financial Statements confirm that, so far as they are each aware,
there is no relevant audit information of which the Company’s
auditor is unaware; and each Director has taken all the steps that
they ought to have taken as a Director to make themselves aware of
any relevant audit information and to establish that the Company’s
auditor is aware of that information.
Independent Auditors
A resolution for the reappointment of PricewaterhouseCoopers CI
LLP will be proposed at the forthcoming AGM.
Signed on behalf of the Board of Directors on 11 July 2019 by:
Trevor
Ash
Chairman
Ian
Burns
Director
STATEMENT OF DIRECTORS’
RESPONSIBILITIES
The Directors are responsible for preparing the Annual Report
and the Financial Statements in accordance with applicable
Guernsey law and regulations.
Guernsey company law requires
the Directors to prepare Financial Statements for each financial
year. Under that law they have elected to prepare the Financial
Statements in accordance with International Financial Reporting
Standards (“IFRS”) and applicable law.
The Financial Statements are required by law to give a true and
fair view of the state of affairs of the Company and of the profit
or loss of the Company for that period.
In preparing these Financial Statements, the Directors are
required to:
- select suitable accounting
policies and then apply them consistently;
- make judgements and estimates
that are reasonable and prudent;
- state whether applicable
accounting standards have been followed, subject to any material
departures disclosed and explained in the Financial Statements;
and
- prepare the Financial Statements
on the going concern basis unless it is inappropriate to presume
that the Company will continue in business.
The Directors confirm that they have complied with these
requirements in preparing the Financial Statements.
The Directors are responsible for keeping proper accounting
records which disclose with reasonable accuracy at any time the
financial position of the Company and to enable them to ensure that
the Financial Statements have been properly prepared in accordance
with The Companies (Guernsey) Law,
2008. They have general responsibility for taking such steps as are
reasonably open to them to safeguard the assets of the Company and
to prevent and detect fraud and other irregularities.
The Directors are responsible for the oversight of the
maintenance and integrity of the corporate and financial
information in relation to the Company website; the work carried
out by the auditor does not involve consideration of these matters
and, accordingly, the auditor accepts no responsibility for any
changes that may have occurred to the financial statements since
they were initially presented on the website.
Legislation in Guernsey
governing the preparation and dissemination of financial statements
may differ from legislation in other jurisdictions.
The Directors confirm that to the best of their knowledge:
(a) The Financial Statements have been prepared in
accordance with IFRS and give a true and fair view of the assets,
liabilities, financial position and profit or loss of the Company
as at and for the year ended 31 March
2019; and
(b) The Annual Report includes information detailed in the
Corporate Information, Summary Information, Chairman’s Statement,
Portfolio Manager’s Report, Top Twenty Holdings, Board Members,
Disclosure of Directorships in Public Companies Listed on
Recognised Stock Exchanges, Directors’ Report, Statement of
Directors’ Responsibilities, Directors’ Remuneration Report, Audit
Committee Report, Alternative Investment Fund Manager’s Report and
Depositary Statement provides a fair review of the information
required by:
(i) DTR 4.1.8
and DTR 4.1.9 of the Disclosure and Transparency Rules, being a
fair review of the Company business and a description of the
principal risks and uncertainties facing the Company; and
(ii) DTR 4.1.11 of the Disclosure and Transparency Rules,
being an indication of important events that have occurred since
the end of the financial year and the likely future development of
the Company.
In the opinion of the Board, the Financial Statements taken as a
whole, are fair, balanced and understandable and provide the
information necessary to assess the Company’s performance, business
model and strategy.
By order of the Board
Trevor
Ash
Chairman
Ian
Burns
Director
11 July
2019
DIRECTORS’ REMUNERATION REPORT
The Directors' remuneration report has been prepared on behalf
of the Directors in accordance with the UK Code as issued by the UK
Listing Authority. An ordinary resolution for the approval of the
annual remuneration report will be put to the shareholders at the
AGM to be held on 19 September 2019.
Remuneration Policy
The Company's policy in regard to Directors' remuneration is to
ensure that the Company maintains a competitive fee structure in
order to recruit, retain and motivate non-executive Directors of
excellent quality in the overall interests of shareholders.
The Directors do not consider it necessary for the Company to
establish a separate Remuneration Committee. All of the matters
recommended by the UK Code that would be delegated to such a
committee are considered by the Board as a whole.
It is the responsibility of the Board as a whole to determine
and approve the Directors' fees, following a recommendation from
the Chairman who will have given the matter proper consideration,
having regard to the level of fees payable to non-executive
Directors in the industry generally, the role that individual
Directors fulfil in respect of Board and Committee responsibilities
and the time committed to the Company's affairs. The Chairman's
remuneration is decided and approved separately by the Board as a
whole.
No element of the Directors' remuneration is performance
related, nor does any Director have any entitlement to pensions,
share options or any long term incentive plans from the
Company.
Remuneration
The Directors of the Company are remunerated for their services
at such a rate as the Directors determine, provided that the
aggregate amount of such fees does not exceed £150,000 per
annum.
Directors are remunerated in the form of fees, payable quarterly
in arrears, to the Director personally. No Directors have
been paid additional remuneration outside the normal Directors’
fees and expenses.
In the year ended 31 March 2019,
the Directors received the following annual remuneration in the
form of Directors’ fees:
| Trevor Ash (Chairman of the
Board) |
£36,250 |
| Ian Burns (Audit Committee
Chairman) |
£33,750 |
| Richard Burwood |
£31,250 |
| Jeannette Etherden1 |
£29,500 |
| Joanne Fintzen2 |
£8,167 |
| Total |
£138,917 |
1 Jeanette Etherden
retired from the board on 14 March
2019
2 Joanne Fintzen was
appointed to the board on 7 January
2019
Until 31 December 2018, the annual
fees were £35,000 for the Chairman, £32,500 for the Audit Committee
Chairman and £30,000 for all other Directors.
Effective from 1 January 2019, the
annual fees are £40,000 for the Chairman, £37,500 for Audit
Committee Chairman, and £35,000 for all other Directors.
The remuneration policy set out above is the one applied for the
year ended 31 March 2019 and is not
expected to change in the foreseeable future.
Directors' and Officers’ liability insurance cover is maintained
by the Company on behalf of the Directors.
The Directors were appointed as non-executive Directors by
letters of appointment. Each Director’s appointment letter provides
that, upon the termination of his/her appointment, he/she must
resign in writing and all records remain the property of the
Company. The Directors’ appointments can be terminated in
accordance with the Articles and without compensation. There is no
notice period specified in the Articles for the removal of
Directors. The Articles provide that the office of director shall
be terminated by, among other things: (a) written resignation;
(b) unauthorised absences from board meetings for six months
or more; (c) unanimous written request of the other directors; and
(d) an ordinary resolution of the Company.
Under the terms of their appointment, each Director is required
to retire by rotation and be subject to re-election at least every
three years. The Directors are required to seek re-election on an
annual basis if they have already served for more than nine years.
At the 20 September 2018 Annual
General Meeting, Trevor Ash was
re-elected. The Company may terminate the appointment of a Director
immediately on serving written notice and no compensation is
payable upon termination of office as a director of the Company
becoming effective.
The amounts payable to Directors shown in note 14 were for
services as non-executive Directors.
No Director has a service contract with the Company, nor are any
such contracts proposed.
Signed on behalf of the Board of Directors on 11 July 2019 by:
Trevor
Ash
Chairman
Ian
Burns
Director
AUDIT COMMITTEE REPORT
We present the Audit Committee's Report, setting out the
responsibilities of the Audit Committee and its key activities for
the year ended 31 March 2019.
The Audit Committee has continued its detailed scrutiny of the
appropriateness of the Company’s system of risk management and
internal controls, the robustness and integrity of the Company’s
financial reporting, along with the external audit process. The
Committee has devoted time to ensuring that the internal financial
and operating controls and processes have been properly
established, documented and implemented.
During the course of the year, the information that the Audit
Committee has received has been timely and clear and has enabled
the Audit Committee to discharge its duties effectively.
The Audit Committee supports the aims of the UK Code and the
best practice recommendations of other corporate governance
organisations such as the AIC, and believes that reporting against
the revised AIC Code allows the Audit Committee to further
strengthen its role as a key independent oversight Committee.
Role and Responsibilities
The primary function of the Audit Committee is to assist the
Board in fulfilling its oversight responsibilities. This includes
reviewing the financial reports and other financial information and
any significant financial judgement contained therein, before
publication.
In addition, the Audit Committee reviews the systems of internal
financial and operating controls on a continuing basis that the
Administrator, Portfolio Manager, AIFM, and Custodian Depositary
and the Board have established with respect to finance, accounting,
risk management, compliance, fraud and audit. The Audit Committee
also reviews the accounting and financial reporting processes,
along with reviewing the roles, independence and effectiveness of
the external auditor.
The ultimate responsibility for reviewing and approving the
Annual and Interim Financial Statements remains with the Board.
The Audit Committee's full terms of reference can be obtained by
contacting the Company's Administrator.
Risk Management and Internal
Control
The Board, as a whole, considers the nature and extent of the
Company’s risk management framework and the risk profile that is
acceptable in order to achieve the Company’s strategic objectives.
As a result, it is considered that the Board has fulfilled its
obligations under the AIC Code.
The Audit Committee continues to be responsible for reviewing
the adequacy and effectiveness of the Company’s ongoing risk
management systems and processes. Its system of internal controls,
along with its design and operating effectiveness, is subject to
review by the Audit Committee through reports received from the
Portfolio Manager, AIFM and Custodian and Depositary, along with
those from the Administrator and external auditor.
Fraud, Bribery and Corruption
The Audit Committee, in conjunction with the Management
Engagement Committee, has relied on the overarching requirement
placed on the service providers under the relevant agreements to
comply with applicable law, including anti-bribery laws. A review
of the service provider policies took place at the Management
Engagement Committee Meeting, held on 20
September 2018. The Board receives regular confirmation from
all service providers that there has been no fraud, bribery or
corruption.
Financial Reporting and Significant
Financial Issues
The Audit Committee assesses whether suitable accounting
policies have been adopted and whether the Portfolio Manager has
made appropriate estimates and judgements. The Audit Committee
reviews accounting papers prepared by the Portfolio Manager and
Administrator which provide details on the main financial reporting
judgements.
The Audit Committee also reviews reports by the external
auditors which highlight any issues with respect to the work
undertaken on the audit.
The significant issues considered during the year by the Audit
Committee in relation to the Financial Statements and how they were
addressed are detailed below:
(i) Valuation of investments:
The Company’s investments had a fair value of £491,596,605 as at
31 March 2019 (31 March 2018: £457,332,017) and represent a
substantial portion of net assets of the Company. As such this is
the largest factor in relation to the consideration of the
Financial Statements. These investments are valued in accordance
with the accounting policies set out in note 2 to the Financial
Statements. In January 2019 the
committee carried out an on-site review of the revaluation
processes, systems and controls at the London offices of the Portfolio Manager. By
this and through regular reporting during the year by the Portfolio
Manager, AIFM, Administrator, Custodian and Depositary the Audit
Committee satisfied itself that both the sources of price
information and valuation process itself are robust and reliable,
and considered the valuation of the investments held by the
Company as at 31 March 2019 to be reasonable.
(ii) Income Recognition:
The Audit Committee considered the calculation of income from
investments recorded in the Financial Statements as at 31 March 2019. As disclosed in note 3(ii)(b) of
the Notes to the Financial Statements, the estimated life of Asset
Backed Securities is determined by the Portfolio Manager, impacting
the effective interest rate of the Asset Backed Securities which in
turn impacts the calculation of income from investments. The Audit
Committee reviewed the Portfolio Manager's process for determining
the expected life of the Company's investments and found it to be
reasonable based on the explanations provided and information
obtained from the Portfolio Manager. The Audit Committee is
therefore satisfied that income is correctly stated in the
Financial Statements.
Following a review of the presentations and reports from the
Portfolio Manager and Administrator and consulting where necessary
with the external auditor, the Audit Committee is satisfied that
the Financial Statements appropriately address the critical
judgements and key estimates (both in respect to the amounts
reported and the disclosures). The Audit Committee is also
satisfied that the significant assumptions used for determining the
value of assets and liabilities have been appropriately
scrutinised, challenged and are sufficiently robust.
The Company’s reporting currency is Sterling while a significant
proportion of the investments owned are denominated in foreign
currencies. The Company operates a hedging strategy designed to
mitigate the impact of foreign currency rate changes on the
performance of the fund. The Audit Committee has used information
from the Administrator and Portfolio Manager to satisfy itself
concerning the effectiveness of the hedging process, as well as to
confirm that realised and unrealised foreign currency gains and
losses have been correctly recorded.
At the request of the Audit Committee, the Administrator
confirmed that it was not aware of any material misstatements
including matters relating to Financial Statement presentation. At
the Audit Committee meeting to review the Annual Report and Audited
Financial Statements, the Audit Committee received and reviewed a
report on the audit from the external auditors. On the basis of its
review of this report, the Audit Committee is satisfied that the
external auditor has fulfilled its responsibilities with diligence
and professional scepticism. The Audit Committee advised the Board
that these Annual Financial Statements, taken as a whole, are fair,
balanced and understandable.
The Audit Committee is satisfied that the judgements made by the
Portfolio Manager and Administrator are reasonable, and that
appropriate disclosures have been included in the Financial
Statements.
Going Concern
The going concern basis can be found in the Directors’
Report.
External Auditors
The Audit Committee has responsibility for making a
recommendation on the appointment, re-appointment and removal of
the external auditors. PricewaterhouseCoopers CI LLP (“PwC”) was
appointed as the first auditors of the Company. During the year,
the Audit Committee received and reviewed audit plans and reports
from the external auditors. It is standard practice for the
external auditors to meet privately with the Audit Committee
without the Portfolio Manager and other service providers being
present at each Audit Committee meeting.
To assess the effectiveness of the external audit process, the
auditors were asked to articulate the steps that they have taken to
ensure objectivity and independence, including where the auditor
provides non-audit services. The Audit Committee monitors the
auditors’ performance, behaviour and effectiveness during the
exercise of their duties, which informs the decision to recommend
reappointment on an annual basis.
During the year, the Committee performed its annual review of
the independence, effectiveness and objectivity of the external
auditor and considered the Financial Reporting Council’s (“FRC”)
Audit Quality Review of PwC’s previous audit work. The Committee
concluded that the effectiveness of the external auditor and the
audit process were satisfactory and recommend to the Board the
reappointment of PwC as external auditor for the 2019 financial
year. Evelyn Brady had been the
audit engagement partner since 2014. Under FRC Ethical Standards,
the audit opinion for the 31 March
2018 year-end was the final audit opinion that she could
sign. Roland Mills replaced her as
engagement partner for the 31 March
2019 audit.
As a general rule, the Company does not utilise external
auditors for internal audit purposes, secondments or valuation
advice. Services which do not compromise auditor independence, such
as tax compliance, tax structuring, private letter rulings,
accounting advice, quarterly reviews and disclosure advice are
normally permitted but will be pre-approved by the Audit
Committee.
The following tables summarise the remuneration paid to PwC and
to other PwC member firms for audit and non-audit services during
the year ended 31 March 2019 and the
year ended 31 March 2018.
|
|
|
|
|
|
01.04.18 to
31.03.19 |
01.04.17 to 31.03.18 |
|
PricewaterhouseCoopers CI LLP - Assurance work |
£ |
|
£ |
| - Annual
audit |
|
|
|
|
|
57,000 |
|
55,000 |
| - Interim
review |
|
|
|
|
17,550 |
|
16,995 |
|
PricewaterhouseCoopers CI LLP - Non-assurance work |
|
|
| -
Reportable Income calculation |
|
|
8,000 |
|
8,000 |
|
|
|
|
|
|
|
|
|
|
| Ratio
of audit to non-audit work |
|
|
1 :
0.5 |
|
1 :
0.5 |
The Company does not qualify as an EU Public Interest Entity and
is therefore not subject to the restrictions on non-audit services
provided by its auditor under this regime.
For any questions on the activities of the Audit Committee not
addressed in the foregoing, a member of the Audit Committee remains
available to attend each AGM to respond to such questions.
The Audit Committee Report was approved by the Audit Committee
on 11 July 2019 and signed on behalf
by:
Ian
Burns
Chairman, Audit Committee
11 July 2019
ALTERNATIVE INVESTMENT FUND MANAGER’S
REPORT
Maitland Institutional Services Ltd acts as the Alternative
Investment Fund Manager (“AIFM”) of TwentyFour Income Fund Limited
(“the Company”) providing portfolio management and risk management
services to the Company.
The AIFM has delegated the following of its alternative
investment fund management functions:
· It has delegated the portfolio management
function for listed investments to TwentyFour Asset Management
LLP.
· It has delegated the portfolio management
function for unlisted investments to TwentyFour Asset Management
LLP.
The AIFM is required by the Alternative Investment Fund Managers
Directive 2011, 61/EU (the “AIFM Directive”) and all applicable
rules and regulations implementing the AIFM Directive in the UK
(the “AIFM” Rules):
· to make the annual report available to
investors and to ensure that the annual report is prepared in
accordance with applicable accounting standards, the Company’s
articles of incorporation and the AIFM Rules and that the annual
report is audited in accordance with International Standards on
Auditing;
· be responsible for the proper valuation of
the Company’s assets, the calculation of the Company’s net asset
value and the publication of the Company’s net asset value;
· to make available to the Company’s shareholders, a
description of all fees, charges and expenses and the amounts
thereof, which have been directly or indirectly borne by them;
and
· ensure that the Company’s shareholders have
the ability to redeem their share in the capital of the Company in
a manner consistent with the principle of fair treatment of
investors under the AIFM Rules and in accordance with the Company’s
redemption policy and its obligations.
The AIFM is required to ensure that the annual report contains a
report that shall include a fair and balanced review of the
activities and performance of the Company, containing also a
description of the principal risks and investment or economic
uncertainties that the Company might face.
AIFM Remuneration
Under the Alternative Investment Fund Managers Directive, acting
as the AIFM, Maitland Institutional Services Ltd is required to
disclose how those whose actions have a material impact on the
Company are remunerated.
Due to the nature of the activities conducted by Maitland
Institutional Services Ltd, it has deemed itself as a lower risk
firm in accordance with SYSC 19B and
the remuneration code. The only employees at Maitland
Institutional Services Ltd permitted to have a material impact on
the risk profile of the AIF are the Board and the Head of Risk and
Compliance.
The delegated Portfolio Manager, TwentyFour Asset Management
LLP, is subject to regulatory requirements on remuneration that are
broadly equivalent to those detailed in the Alternative Investment
Fund Managers Directive, which include the Capital Requirements
Directive or Markets in Financial Instruments Directive.
While a portion of the remuneration paid by the Portfolio Manager
is variable and based, in part, on the performance of the
investment portfolio, the investment discretion of the Portfolio
Manager is strictly controlled within certain pre-defined
parameters as detailed in the prospectus of the Company.
Under the AIFM Directive, the AIFM is required to stipulate how
much it pays to its staff, in relation to fixed and variable
remuneration and how much, in relation to the Company, is firstly
attributed to all staff and those that are deemed, under the
directive, to have an impact on the risk profile of the
Company. Maitland Institutional Services Ltd does not pay any
form of variable remuneration.
The table provided below has been calculated in accordance with
the Maitland remuneration policy taking into account fees charged
during the year for the TwentyFour Income Fund Limited as
Alternative Investment Manager. Our most recent remuneration policy
which contains further information on the fees charged for all
funds for which we act as Alternative Investment Manager, are
available from our website www.maitlandgroup.com.
| March 2019 |
Number of
Beneficiaries |
Total remuneration
paid |
Fixed
remuneration |
| Total remuneration paid by the AIFM
during the year |
85 |
£174,555 |
£174,555 |
| Remuneration paid to employees of
the AIFM who have a material impact on the risk profile of the
AIF |
5 |
£20,205 |
£20,205 |
In so far as the AIFM is aware:
· there is no relevant audit information of
which the Company’s auditors or the Company’s board of directors
are unaware; and
· the AIFM has taken all steps that it ought
to have taken to make itself aware of any relevant audit
information and to establish that the auditors are aware of that
information.
We hereby certify that this report is made on behalf of the
AIFM, Maitland Institutional Services Ltd.
R. Ackermann
P.F. Brickley
Directors
Maitland Institutional Services Ltd
11 July 2019
REPORT OF THE DEPOSITORY TO THE SHAREHOLDERS
for the year ended 31 March 2019
Northern Trust (Guernsey)
Limited has been appointed as Depositary to TwentyFour Income Fund
Limited (the “Company”) in accordance with the requirements of
Article 36 and Articles 21(7), (8) and (9) of the Directive
2011/61/EU of the European Parliament and of the Council of
8 June 2011 on Alternative Investment
Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and
Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (the “AIFM
Directive”).
We have enquired into the conduct of Maitland Institutional
Services Limited (the “AIFM”) and the Company for the year ended
31 March 2019, in our capacity as
Depositary to the Company.
This report including the review provided below has been
prepared for and solely for the Shareholders in the Company. We do
not, in giving this report, accept or assume responsibility for any
other purpose or to any other person to whom this report is
shown.
Our obligations as Depositary are stipulated in the relevant
provisions of the AIFM Directive and the relevant sections of
Commission Delegated Regulation (EU) No 231/2013 (collectively the
“AIFMD legislation”) and The Authorised Closed Ended Investment
Scheme Rules 2008.
Amongst these obligations is the requirement to enquire into the
conduct of the AIFM and the Company and their delegates in each
annual accounting period.
Our report shall state whether, in our view, the Company has
been managed in that period in accordance with the AIFMD
legislation. It is the overall responsibility of the AIFM and the
Company to comply with these provisions. If the AIFM, the Company
or their delegates have not so complied, we as the Depositary will
state why this is the case and outline the steps which we have
taken to rectify the situation.
The Depositary and its affiliates is or may be involved in other
financial and professional activities which may on occasion cause a
conflict of interest with its roles with respect to the Company.
The Depositary will take reasonable care to ensure that the
performance of its duties will not be impaired by any such
involvement and that any conflicts which may arise will be resolved
fairly and any transactions between the Depositary and its
affiliates and the Company shall be carried out as if effected on
normal commercial terms negotiated at arm’s length and in the best
interests of Shareholders.
Basis of Depositary Review
The Depositary conducts such reviews as it, in its reasonable
discretion, considers necessary in order to comply with its
obligations and to ensure that, in all material respects, the
Company has been managed (i) in accordance with the limitations
imposed on its investment and borrowing powers by the provisions of
its constitutional documentation and the appropriate regulations
and (ii) otherwise in accordance with the constitutional
documentation and the appropriate regulations. Such reviews vary
based on the type of Fund, the assets in which a Fund invests and
the processes used, or experts required, in order to value such
assets.
Review
In our view, the Company has been managed during the period, in
all material respects:
(i) in accordance with the limitations imposed on the investment
and borrowing powers of the Company by the constitutional
documents; and by the AIFMD legislation; and
(ii) otherwise in accordance with the provisions of the
constitutional documents; and the AIFMD legislation.
For and on behalf of
Northern Trust (Guernsey)
Limited
11 July 2019
INDEPENDENT AUDITOR’S REPORT
TO THE MEMBERS OF TWENTYFOUR INCOME FUND LIMITED
Report on the audit of the financial
statements
____________________________________________________________________________________________________
Our opinion
In our opinion, the financial statements give a true and fair
view of the financial position of TwentyFour Income Fund Limited
(the “Company”) as at 31 March 2019,
and of its financial performance and its cash flows for the year
then ended in accordance with International Financial Reporting
Standards and have been properly prepared in accordance with the
requirements of The Companies (Guernsey) Law, 2008.
____________________________________________________________________________________________________
What we have audited
The Company’s financial statements comprise:
· the statement of financial
position as at 31 March 2019;
· the statement of comprehensive
income for the year then ended;
· the statement of changes in
equity for the year then ended;
· the statement of cash flows for
the year then ended; and
· the notes to the financial
statements, which include a summary of significant accounting
policies.
____________________________________________________________________________________________________
Basis for opinion
We conducted our audit in accordance with International
Standards on Auditing (“ISAs”). Our responsibilities under those
standards are further described in the Auditor’s responsibilities
for the audit of the financial statements section of our
report.
We believe that the audit evidence we have obtained is
sufficient and appropriate to provide a basis for our opinion.
____________________________________________________________________________________________________
Independence
We are independent of the Company in accordance with the ethical
requirements that are relevant to our audit of the financial
statements of the Company, as required by the Crown Dependencies’
Audit Rules and Guidance. We have fulfilled our other ethical
responsibilities in accordance with these requirements.
____________________________________________________________________________________________________
Our audit approach
Materiality
· Overall Company materiality was
£11.3 million which represents 2.25% of net assets.
____________________________________________________________________________________________________
Audit scope
· The Company is incorporated and
based in Guernsey.
· We conducted our audit of the
financial statements from information provided by Northern Trust
International Fund Administration Services (Guernsey) Limited (the “Administrator”) to
whom the board of directors has delegated the provision of certain
functions. The Company engages TwentyFour Asset Management LLP (the
“Portfolio Manager”) to manage the investment portfolio. We had
significant interaction with both the Administrator and Portfolio
Manager in completing aspects of our audit work.
· We conducted all of our audit
work in Guernsey. Furthermore, we
also had a meeting with Portfolio Manager in London during the planning stage of audit.
____________________________________________________________________________________________________
Key audit matters
· Risk of fraud in interest income
on financial assets at fair value through profit or loss
· Valuation of investments
____________________________________________________________________________________________________
Audit scope
As part of designing our audit, we determined materiality and
assessed the risks of material misstatement in the financial
statements. In particular, we considered where the directors made
subjective judgements; for example, in respect of significant
accounting estimates that involved making assumptions and
considering future events that are inherently uncertain. As in all
of our audits, we also addressed the risk of management override of
internal controls, including among other matters, consideration of
whether there was evidence of bias that represented a risk of
material misstatement due to fraud.
We tailored the scope of our audit in order to perform
sufficient work to enable us to provide an opinion on the financial
statements as a whole, taking into account the structure of the
Company, the accounting processes and controls, and the industry in
which the Company operates.
____________________________________________________________________________________________________
Materiality
The scope of our audit was influenced by our application of
materiality. An audit is designed to obtain reasonable assurance
whether the financial statements are free from material
misstatement. Misstatements may arise due to fraud or error. They
are considered material if individually or in aggregate, they could
reasonably be expected to influence the economic decisions of users
taken on the basis of the financial statements.
Based on our professional judgement, we determined certain
quantitative thresholds for materiality, including the overall
Company materiality for the financial statements as a whole as set
out in the table below. These, together with qualitative
considerations, helped us to determine the scope of our audit and
the nature, timing and extent of our audit procedures and to
evaluate the effect of misstatements, both individually and in
aggregate on the financial statements as a whole.
| Overall Company
materiality |
£11.3 million (2018: £10.6
million) |
| How we determined it |
2.25% of net assets |
| Rationale for the materiality
benchmark |
We believe that net assets is the
most appropriate benchmark because this is the key metric of
interest to members of the Company. |
We agreed with the Audit Committee that we would report to them
misstatements identified during our audit above £563,000, as well
as misstatements below that amount that, in our view, warranted
reporting for qualitative reasons.
____________________________________________________________________________________________________
Key audit matters
Key audit matters are those matters that, in our professional
judgment, were of most significance in our audit of the financial
statements of the current period. These matters were addressed in
the context of our audit of the financial statements as a whole,
and in forming our opinion thereon, and we do not provide a
separate opinion on these matters.
| Key audit matter |
How our audit addressed the Key
audit matter |
Risk of fraud in
interest income on financial assets at fair value through profit or
loss
Interest income earned in respect of financial assets designated as
at fair value through the profit or loss is recognised in the
Statement of Comprehensive Income using the effective interest rate
method (£27.2 million) as set out in note 2(h).
The requirement to estimate the expected cash flows when forming an
effective interest rate model is subject to significant management
estimate and judgement, as detailed in note 3(ii)(b), and could be
open to manipulation by management.
As a result, we have designated the risk of fraud in interest
income on financial assets at fair value through profit or loss as
a significant audit risk. |
· We assessed the accounting policy
for the recognition of interest income for compliance with
International Financial Reporting Standards and ensured that
interest income had been accounted for in accordance with the
stated accounting policy.
· We held discussions with the
Portfolio Manager to understand and evaluate the processes in place
for recognising interest income and to understand the estimates
required by the Portfolio Manager in respect of the expected life
of the Asset Backed Securities, expectations on prepayments and
expected losses.
· We tested the effective interest
rate models prepared by the Portfolio Manager and adopted by the
Company, and verified key inputs into the models on a sample
basis. We also verified the arithmetical accuracy of the
models and the interest income summary prepared by the Portfolio
Manager.
· In assessing the Portfolio
Manager’s estimates with respect to the expected life of the Asset
Backed Securities, expectations on prepayments and expected losses,
we obtained supporting documentation to corroborate the Portfolio
Manager’s estimates.
· We also selected a targeted sample
of securities to assess if there had been any significant changes
to the expected repayment dates from the prior year. Where there
had been changes, we obtained supporting explanation and analysis
to support those changes.
No matters or material differences were identified in our testing
which required reporting to those charged with
governance. |
Valuation of
investments
Investments are designated as financial instruments at fair value
through the profit or loss and are disclosed separately on the
Statement of Financial Position (£491.6 million). Investments
comprise of a diverse portfolio of Asset Backed Securities and are
fair valued in accordance with the policies set out in note 2(e),
and the fair value of investments and movements therein are further
disclosed in notes 17 and 9 respectively.
Investments represent the most significant balance on the Statement
of Financial Position and, due to the market liquidity and
assumptions underlying each security, the valuations are subject to
management estimate and judgment, as detailed under note 3(ii)
(a).
Owing to the level of subjectivity that could be applied in fair
valuing investments, the risk of manipulation or error could be
material and as a result we have designated the valuation of
investments as a significant audit risk. |
· We understood and evaluated the
internal control environment in place at the Administrator and the
Portfolio Manager over the valuation of the investment
portfolio.
· We assessed the accounting policy
applicable to the valuation of investments for compliance with
International Financial Reporting Standards. During our substantive
audit testing noted below, we also determined that the valuation of
investments had been accounted for and applied consistently in
accordance with the stated accounting policy.
· We tested the valuation of
investments by using an independent third party price provider to
reprice the portfolio. Prices were obtained from a range of
sources, including exchange traded and consensus prices. We sought
to reprice the entire portfolio, however, where there were
investments for which we were unable to be obtain such audit
evidence, or for where there were investments that were repriced
but exceeded a tolerable variance threshold from the Company’s own
final year end prices, the engagement team sought supporting
evidence for these prices from the Administrator and/or the
Portfolio Manager. We assessed the independence, reputation and
reliability of the source of the supporting evidence provided in
these instances.
· In order to determine the ongoing
reliability of the investments valuations from period to period, we
also, for a sample of disposals, compared the sales transaction
price to the most recently recorded valuation prior to the
disposal, which allowed us to assess the reliability of the
valuation data at that point.
No matters or material differences were identified in our testing
which required reporting to those charged with
governance. |
____________________________________________________________________________________________________
Other information
The directors are responsible for the other information. The
other information comprises all the information included in the
Annual Report and Audited Financial Statements but does not include
the financial statements and our auditor’s report thereon.
Our opinion on the financial statements does not cover the other
information and we do not express any form of assurance conclusion
thereon.
In connection with our audit of the financial statements, our
responsibility is to read the other information identified above
and, in doing so, consider whether the other information is
materially inconsistent with the financial statements or our
knowledge obtained in the audit, or otherwise appears to be
materially misstated. If, based on the work we have
performed, we conclude that there is a material misstatement of
this other information, we are required to report that fact. We
have nothing to report in this regard.
____________________________________________________________________________________________________
Responsibilities of the directors for
the financial statements
The directors are responsible for the preparation of the
financial statements that give a true and fair view in accordance
with International Financial Reporting Standards, the requirements
of Guernsey law and for such
internal control as the directors determine is necessary to enable
the preparation of financial statements that are free from material
misstatement, whether due to fraud or error.
In preparing the financial statements, the directors are
responsible for assessing the Company’s ability to continue as a
going concern, disclosing, as applicable, matters relating to going
concern and using the going concern basis of accounting unless the
directors either intend to liquidate the Company or to cease
operations, or have no realistic alternative but to do so.
____________________________________________________________________________________________________
Auditor’s responsibilities for the
audit of the financial statements
Our objectives are to obtain reasonable assurance about whether
the financial statements as a whole are free from material
misstatement, whether due to fraud or error, and to issue an
auditor’s report that includes our opinion. Reasonable assurance is
a high level of assurance, but is not a guarantee that an audit
conducted in accordance with ISAs will always detect a material
misstatement when it exists. Misstatements can arise from fraud or
error and are considered material if, individually or in aggregate,
they could reasonably be expected to influence the economic
decisions of users taken on the basis of these financial
statements.
As part of an audit in accordance with ISAs, we exercise
professional judgement and maintain professional scepticism
throughout the audit. We also:
· Identify and assess the risks of
material misstatement of the financial statements, whether due to
fraud or error, design and perform audit procedures responsive to
those risks, and obtain audit evidence that is sufficient and
appropriate to provide a basis for our opinion. The risk of not
detecting a material misstatement resulting from fraud is higher
than for one resulting from error, as fraud may involve collusion,
forgery, intentional omissions, misrepresentations, or the override
of internal control.
· Obtain an understanding of
internal control relevant to the audit in order to design audit
procedures that are appropriate in the circumstances, but not for
the purpose of expressing an opinion on the effectiveness of the
Company’s internal control.
· Evaluate the appropriateness of
accounting policies used and the reasonableness of accounting
estimates and related disclosures made by the directors.
· Conclude on the appropriateness
of the directors’ use of the going concern basis of accounting and,
based on the audit evidence obtained, whether a material
uncertainty exists related to events or conditions that may cast
significant doubt on the Company’s ability to continue as a going
concern. If we conclude that a material uncertainty exists, we are
required to draw attention in our auditor’s report to the related
disclosures in the financial statements or, if such disclosures are
inadequate, to modify our opinion. Our conclusions are based on the
audit evidence obtained up to the date of our auditor’s report.
However, future events or conditions may cause the Company to cease
to continue as a going concern. For example, the terms on which the
United Kingdom may withdraw from
the European Union are not clear, and it is difficult to evaluate
all of the potential implications on the Group and the wider
economy.
· Evaluate the overall
presentation, structure and content of the financial statements,
including the disclosures, and whether the financial statements
represent the underlying transactions and events in a manner that
achieves fair presentation.
We communicate with those charged with governance regarding,
among other matters, the planned scope and timing of the audit and
significant audit findings, including any significant deficiencies
in internal control that we identify during our audit.
We also provide those charged with governance with a statement
that we have complied with relevant ethical requirements regarding
independence, and to communicate with them all relationships and
other matters that may reasonably be thought to bear on our
independence, and where applicable, related safeguards.
From the matters communicated with those charged with
governance, we determine those matters that were of most
significance in the audit of the financial statements of the
current period and are therefore the key audit matters. We describe
these matters in our auditor’s report unless law or regulation
precludes public disclosure about the matter or when, in extremely
rare circumstances, we determine that a matter should not be
communicated in our report because the adverse consequences of
doing so would reasonably be expected to outweigh the public
interest benefits of such communication.
____________________________________________________________________________________________________
Report on other legal and regulatory
requirements
Under The Companies (Guernsey)
Law, 2008 we are required to report to you if, in our opinion:
· we have not received all the
information and explanations we require for our audit;
· proper accounting records have
not been kept; or
· the financial statements are not
in agreement with the accounting records.
We have no exceptions to report arising from this
responsibility.
We have nothing to report in respect of the following matters
which we have reviewed:
· the directors’ statement set out
on page 12 in relation to going concern. As noted in the
directors’ statement, the directors have concluded that it is
appropriate to adopt the going concern basis in preparing the
financial statements. The going concern basis presumes that the
Company has adequate resources to remain in operation, and that the
directors intend it to do so, for at least one year from the date
the financial statements were signed. As part of our audit we have
concluded that the directors’ use of the going concern basis is
appropriate. However, because not all future events or conditions
can be predicted, these statements are not a guarantee as to the
Company’s ability to continue as a going concern;
· the directors’ statement that
they have carried out a robust assessment of the principal risks
facing the Company and the directors’ statement in relation to the
longer-term viability of the Company. Our review was substantially
less in scope than an audit and only consisted of making inquiries
and considering the directors’ process supporting their statements;
checking that the statements are in alignment with the relevant
provisions of the UK Corporate Governance Code; and considering
whether the statements are consistent with the knowledge acquired
by us in the course of performing our audit; and
· the part of the Corporate
Governance Statement relating to the Company’s compliance
with the ten further provisions of the UK Corporate Governance Code
specified for our review.
This report, including the opinion, has been prepared for and
only for the members as a body in accordance with Section 262 of
The Companies (Guernsey) Law, 2008
and for no other purpose. We do not, in giving this opinion,
accept or assume responsibility for any other purpose or to any
other person to whom this report is shown or into whose hands it
may come save where expressly agreed by our prior consent in
writing.
Roland Mills
For and on behalf of PricewaterhouseCoopers CI LLP
Chartered Accountants and Recognised Auditor
Guernsey, Channel Islands
11 July 2019
STATEMENT OF COMPREHENSIVE INCOME
For the year ended 31 March 2019
|
|
|
|
|
|
|
01.04.18 to 31.03.19 |
|
|
01.04.17 to 31.03.18 |
|
|
|
Note |
|
|
|
£ |
|
|
£ |
| Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest income on
financial assets at fair value through profit and loss |
|
|
|
|
|
|
27,168,323 |
|
|
29,489,045 |
| Net foreign currency
gains/(losses) |
|
|
8 |
|
|
|
7,321,109 |
|
|
(5,773,678) |
| Net (losses)/gains on
financial assets |
|
|
|
|
|
|
|
|
|
|
| at fair value through
profit or loss |
|
|
9 |
|
|
|
(22,787,164) |
|
|
25,585,816 |
|
|
|
|
|
|
|
|
|
|
|
| Total
income |
|
|
|
|
|
|
11,702,268 |
|
|
49,301,183 |
|
|
|
|
|
|
|
|
|
|
|
| Portfolio management
fees |
|
|
14 |
|
|
|
(3,462,140) |
|
|
(3,425,378) |
| Directors' fees |
|
|
14 |
|
|
|
(138,917) |
|
|
(127,500) |
| Administration and
secretarial fees |
|
|
15 |
|
|
|
(236,007) |
|
|
(237,384) |
| Audit fees |
|
|
|
|
|
|
(57,000) |
|
|
(55,000) |
| Custody fees |
|
|
15 |
|
|
|
(46,696) |
|
|
(45,672) |
| Broker fees |
|
|
|
|
|
|
(45,895) |
|
|
(25,167) |
| AIFM management
fees |
|
|
15 |
|
|
|
(174,555) |
|
|
(166,851) |
| Depositary fees |
|
|
15 |
|
|
|
(65,143) |
|
|
(64,549) |
| Legal and professional
fees |
|
|
|
|
|
|
(337,373) |
|
|
(29,325) |
| Listing fees |
|
|
|
|
|
|
(59,300) |
|
|
(24,034) |
| Registration fees |
|
|
|
|
|
|
(26,857) |
|
|
(28,415) |
| Other expenses |
|
|
|
|
|
|
(83,534) |
|
|
(3,417) |
|
|
|
|
|
|
|
|
|
|
|
| Total
expenses |
|
|
|
|
|
|
(4,733,417) |
|
|
(4,232,692) |
|
|
|
|
|
|
|
|
|
|
|
| Total comprehensive
income for the year |
|
|
|
|
|
|
6,968,851 |
|
|
45,068,491 |
|
|
|
|
|
|
|
|
|
|
|
|
Earnings per Ordinary Redeemable Share - |
|
|
|
|
|
|
|
|
|
| Basic &
Diluted |
|
|
4 |
|
|
|
0.0173 |
|
|
0.114 |
All items in the above statement derive from continuing
operations.
The notes form an integral part of these Financial
Statements.
STATEMENT OF FINANCIAL POSITION
As at 31 March 2019
|
|
|
31.03.2019 |
|
31.03.2018 |
|
Note |
|
£ |
|
£ |
| Assets |
|
|
|
|
|
| Current
assets |
|
|
|
|
|
| Financial assets at
fair value through profit and loss |
|
|
|
|
|
| - Investments |
9 |
|
491,596,605 |
|
457,332,017 |
| - Derivative assets:
Forward currency contracts |
17 |
|
52,575 |
|
4,135,400 |
| Amounts due from
broker |
|
|
3,908,529 |
|
2,607,294 |
| Amounts due from
shares issued |
|
|
3,456,600 |
|
- |
| Other receivables |
10 |
|
3,112,577 |
|
2,844,683 |
| Cash and cash
equivalents |
|
|
36,505,984 |
|
11,624,245 |
|
|
|
|
|
|
| Total
assets |
|
|
538,632,870 |
|
478,543,639 |
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
| Current
liabilities |
|
|
|
|
|
| Financial liabilities
at fair value through profit and loss |
|
|
|
|
|
| - Derivative
liabilities: Forward currency contracts |
17 |
|
1,919,402 |
|
202,337 |
| Amounts due to
brokers |
|
|
35,401,772 |
|
7,560,754 |
| Other payables |
11 |
|
846,247 |
|
767,417 |
|
|
|
|
|
|
| Total
liabilities |
|
|
38,167,421 |
|
8,530,508 |
|
|
|
|
|
|
| Net assets |
|
|
500,465,449 |
|
470,013,131 |
|
|
|
|
|
|
|
|
|
|
|
|
| Equity |
|
|
|
|
|
| Share capital
account |
12 |
|
459,436,544 |
|
407,509,059 |
| Retained earnings |
|
|
41,028,905 |
|
62,504,072 |
|
|
|
|
|
|
| Total
equity |
|
|
500,465,449 |
|
470,013,131 |
|
|
|
|
|
|
|
|
|
|
|
|
| Ordinary Redeemable
Shares in issue |
12 |
|
441,814,151 |
|
395,814,151 |
|
|
|
|
|
|
| Net Asset Value per
Ordinary Redeemable Share (pence) |
6 |
|
113.28 |
|
118.75 |
The Financial Statements were approved by the Board of Directors
on 11 July 2019 and signed on its behalf by
Trevor
Ash
Chairman
Ian
Burns
Director
The notes form an integral part of these Financial
Statements.
STATEMENT OF CHANGES IN EQUITY
For the year ended 31 March 2019
|
|
|
Share
capital account |
|
Retained earnings |
|
Total |
|
|
Note |
£ |
|
£ |
|
£ |
|
Balances at 1 April 2018 |
|
407,509,059 |
|
62,504,072 |
|
470,013,131 |
|
|
|
|
|
|
|
|
| Issue of
shares |
12 |
53,010,450 |
|
- |
|
53,010,450 |
| Share
issue costs |
12 |
(609,620) |
|
- |
|
(609,620) |
| Dividend
distributions paid |
|
- |
|
(28,917,363) |
|
(28,917,363) |
| Income
equalisation on new issues |
5 |
(473,345) |
|
473,345 |
|
- |
| Total
comprehensive gain for the year |
|
- |
|
6,968,851 |
|
6,968,851 |
|
|
|
|
|
|
|
|
|
Balances at 31 March 2019 |
|
459,436,544 |
|
41,028,905 |
|
500,465,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share
capital account |
|
Retained earnings |
|
Total |
|
|
|
£ |
|
£ |
|
£ |
|
Balances at 1 April 2017 |
|
407,509,059 |
|
45,102,990 |
|
452,612,049 |
|
|
|
|
|
|
|
|
| Dividend
distributions paid |
|
- |
|
(27,667,409) |
|
(27,667,409) |
| Total
comprehensive gain for the year |
|
- |
|
45,068,491 |
|
45,068,491 |
|
|
|
|
|
|
|
|
|
Balances at 31 March 2018 |
|
407,509,059 |
|
62,504,072 |
|
470,013,131 |
The notes form an integral part of these Financial
Statements.
STATEMENT OF CASH FLOWS
For the year ended 31 March 2019
|
Note |
01.04.18 to 31.03.19 |
|
01.04.17 to 31.03.18 |
|
|
£ |
|
£ |
|
|
|
|
|
| Cash flows from
operating activities |
|
|
|
|
| Total comprehensive
income for the year |
|
6,968,851 |
|
45,068,491 |
|
|
|
|
|
| Adjustments for: |
|
|
|
|
| Net losses/(gains) on
investments |
9 |
22,787,164 |
|
(25,585,816) |
| Amortisation
adjustment under effective interest rate method |
|
(4,906,589) |
|
(9,424,396) |
| Unrealised losses on
forward currency contracts |
8 |
5,799,890 |
|
76,997 |
| Exchange
(gains)/losses on cash and cash equivalents |
|
(6,700) |
|
1,352 |
| Increase/(decrease) in
other receivables |
|
(267,894) |
|
332,821 |
| (Decrease)/increase
other payables |
|
(662) |
|
186,774 |
| Purchase of
investments |
9 |
(303,568,916) |
|
(383,161,384) |
| Sale of
investments |
9 |
277,963,536 |
|
387,237,099 |
|
|
|
|
|
| Net cash generated
from operating activities |
|
4,768,680 |
|
14,731,938 |
|
|
|
|
|
|
|
|
|
|
| Cash flows from
financing activities |
|
|
|
|
|
|
|
|
|
| Proceeds from issue of
Ordinary Redeemable Shares |
|
49,553,850 |
|
- |
| Share issue costs |
|
(530,128) |
|
- |
| Dividend
distribution |
|
(28,917,363) |
|
(27,667,409) |
|
|
|
|
|
| Net cash
inflow/(outflow) from financing activities |
|
20,106,359 |
|
(27,667,409) |
|
|
|
|
|
|
|
|
|
|
| Increase/(decrease)
in cash and cash equivalents |
|
24,875,039 |
|
(12,935,471) |
|
|
|
|
|
|
|
|
|
|
| Cash and cash
equivalents at beginning of the year |
|
11,624,245 |
|
24,561,068 |
| Exchange
gains/(losses) on cash and cash equivalents |
|
6,700 |
|
(1,352) |
|
|
|
|
|
|
|
|
|
|
| Cash and cash
equivalents at end of the year |
|
36,505,984 |
|
11,624,245 |
The notes form an integral part of these Financial
Statements.
NOTES TO THE FINANCIAL STATEMENTS
for the year ended 31 March 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 Financial Statements have been prepared in accordance with
International Financial Reporting Standards (“IFRS”) as issued by
the International Accounting Standards Board (“IASB”) and are in
compliance with The Companies (Guernsey) Law, 2008.
b)
Presentation of information
The Financial Statements have been prepared on a going concern
basis under the historical cost convention adjusted to take account
of the revaluation of the Company's financial assets and
liabilities at fair value through profit or loss.
c) Standards, amendments and
interpretations effective during the year
At the reporting date of these Financial Statements, the
following standards, interpretations and amendments, were adopted
for the year ended 31 March 2019:
- IFRS 9 Financial Instruments
- IFRS 15 Revenue from Contracts with Customers
i) IFRS 9 ‘Financial
Instruments’
IFRS 9 'Financial Instruments' (“IFRS 9”) replaces IAS 39
‘Financial Instruments: Recognition and Measurement’ (“IAS 39”).
IFRS 9 specifies how an entity should classify and measure
financial assets`. The standard requires all financial assets to be
classified on the basis of the entity’s business model for managing
the financial assets and the contractual cash flow characteristics
of the financial asset. These requirements improve and simplify the
approach for classification and measurement of financial assets
compared with the requirements of IAS 39.
The standard also results in one impairment method, replacing
the numerous impairment methods in IAS 39 that arise from the
different classification.
As a result of the adoption of IFRS 9, the Company has adopted
consequential amendments to IAS 1 ‘Presentation of Financial
Statements’, which require:
• impairment of financial assets to be presented in a separate
line item in the Statement of Comprehensive Income. Under IAS 39,
impairment was recognised when losses were incurred. The Company
did not previously report any incurred losses; and
• separate presentation in the Statement of Comprehensive Income
of interest revenue calculated using the effective interest
method.
The adoption of IFRS 9 had no material impact on the net assets
attributable to holders of Ordinary Redeemable Shares of the
Company.
Classification and measurement of
financial assets and financial liabilities
IFRS 9 contains three principal classification categories for
financial assets: measured at amortised cost, at fair value through
other comprehensive income and at fair value through profit or loss
(“FVTPL”). The classification of financial assets under IFRS 9 is
generally based on the business model in which a financial asset is
managed and its contractual cash flow characteristics. IFRS 9
eliminates the previous IAS 39 categories of held to maturity,
loans and receivables and available for sale.
IFRS 9 largely retains the existing requirements in IAS 39 for
the classification and measurement of financial liabilities.
The adoption of IFRS 9 has not had a significant effect on the
Company’s accounting policies related to financial liabilities and
derivative financial instruments.
The following table and the accompanying notes below explain the
original measurement categories under IAS 39 and the new
measurement categories under IFRS 9 for each class of the Company’s
financial assets and liabilities as at 1
April 2018.
There was no effect of adopting IFRS 9 on the carrying amounts
of the financial assets as at 1 April 2018 which would relate
solely to the new impairment requirements.
|
|
|
|
Original classification under IAS 39 |
New
Classification under IFRS 9 |
Original carrying amount under IAS 39 |
|
New
carrying amount under IFRS 9 |
|
Financial Assets |
|
|
|
|
|
|
|
|
|
| Financial
assets at fair value through profit or loss: |
|
|
|
|
£ |
|
£ |
| -
Investments* |
|
|
Assets at FVTPL |
|
Mandatorily at
FVTPL |
|
457,332,017 |
|
457,332,017 |
| -
Derivative assets: Forward currency contracts |
Assets at FVTPL |
|
Mandatorily at
FVTPL |
|
4,135,400 |
|
4,135,400 |
| Amounts
due from Broker |
|
Loans and
receivables |
|
Amortised cost |
|
2,607,294 |
|
2,607,294 |
| Other
receivables (excluding prepayments) |
Loans and
receivables |
|
Amortised cost |
|
2,825,071 |
|
2,825,071 |
| Cash and
cash equivalents |
|
Loans and
receivables |
|
Amortised cost |
|
11,624,245 |
|
11,624,245 |
|
|
|
|
|
|
|
|
|
|
|
| Total
Financial Assets |
|
|
|
|
|
478,524,027 |
|
478,524,027 |
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities |
|
|
|
|
|
|
|
|
|
| Financial
liabilities at fair value through profit or loss: |
|
|
|
|
£ |
|
£ |
| -
Derivative liabilities: Forward currency contracts |
Liabilities at
FVPTL |
|
Liabilities at
FVPTL |
|
202,337 |
|
202,337 |
| Amounts
due to brokers |
|
|
Other financial
liabilities |
|
Amortised cost |
|
7,560,754 |
|
7,560,754 |
| Other
payables |
|
|
Other financial
liabilities |
|
Amortised cost |
|
767,417 |
|
767,417 |
|
|
|
|
|
|
|
|
|
|
|
| Total
Financial Liabilities |
|
|
|
|
|
8,530,508 |
|
8,530,508 |
|
|
|
|
|
|
|
|
|
|
|
* Under IAS 39, these financial assets were designated as at
FVTPL because they were managed on a fair value basis and their
performance was monitored on this basis. These assets have been
classified as mandatorily measured at FVTPL under IFRS 9.
There were no changes to the carrying amounts of the financial
assets on transition from IAS 39 to IFRS 9.
Impairment of financial assets
IFRS 9 replaces the ‘incurred loss’ model in IAS 39 with an
expected credit loss (“ECL”) model. Therefore, the carrying amount
of other receivables remains the same under IFRS 9 as the expected
credit losses on the financial assets have been assessed as
immaterial.
The new impairment model applies to financial assets measured at
amortised cost and the standard mandates the use of the simplified
approach to calculating the expected credit losses for trade
receivables. The impairment calculation is based on the Company’s
historical default rates over the expected life of the trade
receivables and is adjusted for forward-looking estimates. Given
the historical level of defaults and the credit risk of the
investment portfolio, there is a negligible impact because of the
lifetime expected credit loss to be recognised versus the previous
impairment model applied by the Company.
Cash and cash equivalents are also subject to the impairment
requirements of IFRS 9 and the identified impairment loss is also
assessed as immaterial.
Transition
The Company applied IFRS 9 prospectively, with an initial
application date of 1 April 2018. The
Company has not restated the comparative information, which
continue to be reported under IAS 39.
ii) IFRS 15 ‘Revenue from Contracts with Customers’
IFRS 15 ‘Revenue from Contracts with Customers’ specifies how
and when to recognise revenue as well as requiring entities to
provide users of financial statements with more informative,
relevant disclosures. The standard provides a single, principles
based five-step model to be applied to all contracts with
customers. IFRS 15 is effective for annual reporting periods
beginning on or after 1 January 2018.
Material revenue streams have been reviewed and there has not been
a material impact on timing of recognition or gross up for
principal/agent considerations.
The Company has undertaken a review of its revenue streams and
concluded that there is no impact on the way in which the Company
recognises its revenues as all revenues are earned on financial
instruments. The Company has applied IFRS 15 retrospectively
although no restatements were required.
d) Standards, amendments and
interpretations issued but not yet effective
At the reporting date of these Financial Statements, the
following standards, interpretations and amendments, which have not
been applied in these Financial Statements, were in issue but not
yet effective:
- IFRS 16 Leases (Effective 1 January
2019)
The Company expects that the adoption of IFRS 16 in the future
period will not have an impact on the Company’s Financial
Statements, as it does not hold any leases.
e) Financial assets at fair value
through profit or loss
Classification
The Company classifies its investments in debt securities and
derivatives as financial assets at fair value through profit or
loss.
Financial assets and financial liabilities designated at fair
value through profit or loss at inception are financial instruments
that are not classified as held for trading but are managed and
their performance is evaluated on a fair value basis in accordance
with the Company’s business model per IFRS 9.
The Company’s policy requires the Portfolio Manager and the
Board of Directors to evaluate the information about these
financial assets and liabilities on a fair value basis together
with other related financial information.
Recognition, derecognition and
measurement
Regular purchases and sales of investments are recognised on the
trade date – the date on which the Company commits to purchase or
sell the investment. Financial assets and financial liabilities at
fair value through profit or loss are initially recognised at fair
value. Transaction costs are expensed as incurred in the Statement
of Comprehensive Income. Financial assets are derecognised when the
rights to receive cash flows from the investments have expired or
the Company has transferred substantially all risks and rewards of
ownership.
Investments in Asset Backed Securities are the purchase of an
interest in pools of loans. The investment characteristics of Asset
Backed Securities are such that principal payments are made more
frequently than traditional debt securities. The principal may be
repaid at any time because the underlying debt or other assets
generally may be repaid at any time.
The Company records these principal repayments as they arise and
realises a gain or loss in the net gains on financial assets at
fair value through profit or loss in the Statement of Comprehensive
Income in the period in which they occur.
The interest income arising on these securities is recognised
within income in the Statement of Comprehensive Income.
Fair value estimation
Fair value is the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction between
market participants at the measurement date. Investments in Asset
Backed Securities are fair valued in accordance with either i) or
ii) below and the change in fair value, if any, is recorded as net
gains/(losses) on financial assets/(liabilities) at fair value
through profit or loss in the Statement of Comprehensive
Income.
i) Asset Backed Securities traded or dealt on an active market
or exchange.
Asset Backed Securities that are traded or dealt on an active
market or exchange are valued by reference to their quoted
mid-market price as at the close of trading on the reporting date
as management deem the mid-market price to be a reasonable
approximation of an exit price.
ii) Asset Backed Securities not traded or dealt on an active
market or exchange.
Asset Backed Securities which are not traded or dealt on active
markets or exchanges are valued by reference to their price, as at
the close of business on the reporting date as determined by an
independent price vendor. If a price cannot be obtained from an
independent price vendor, or where the Portfolio Manager determines
that the provided price is not an accurate representation of the
fair value of the Asset Backed Security, the Portfolio Manager will
source prices at the close of business on the reporting date from
third party broker/dealer quotes for the relevant security.
In cases where no third party price is available (either from an
independent price vendor or third party broker/dealer quotes), or
where the Portfolio Manager determines that the provided price is
not an accurate representation of the fair value of the Asset
Backed Security, the Portfolio Manager will determine the valuation
based on the Portfolio Manager’s valuation policy. This may include
the use of a comparable arm’s length transaction, reference to
other securities that are substantially the same, discounted cash
flow analysis and other valuation techniques commonly used by
market participants making the maximum use of market inputs and
relying as little as possible on entity-specific
inputs.
Forward foreign currency
contracts
Forward foreign currency contracts are derivative contracts and
as such are recognised at fair value on the date on which they are
entered into and subsequently measured at their fair value. Fair
value is determined by rates in active currency markets. All
forward foreign currency contracts are carried as assets when fair
value is positive and as liabilities when fair value is negative.
Gains and losses on forward currency contracts are recognised as
part of net foreign currency gains in the Statement of
Comprehensive Income.
f) Offsetting financial
instruments
Financial assets and liabilities are offset and the net amount
reported in the Statement of Financial Position when there is a
legally enforceable right to offset the recognised amounts and
there is an intention to settle on a net basis or realise the asset
and settle the liability simultaneously.
g) Amounts due from and due to
brokers
Amounts due from and to brokers represent receivables for
securities sold and payables for securities purchased that have
been contracted for but not yet settled or delivered on the
statement of financial position date respectively. These amounts
are recognised initially at fair value and subsequently measured at
amortised cost using the effective interest method.
h) Income
Interest income is recognised on a time-proportionate basis
using the effective interest method. Discounts received or premiums
paid in connection with the acquisition of Asset Backed Securities
are amortised into interest income using the effective interest
method over the estimated life of the related security.
The effective interest rate method is a method of calculating
the amortised cost of a financial asset or financial liability and
of allocating the interest income or interest expense over the
relevant period. The effective interest rate is the rate that
exactly discounts estimated future cash payments or receipts
throughout the expected life of the financial instrument, or, when
appropriate (see note 3(ii)(b)), a shorter period, to the net
carrying amount of the financial asset or financial liability. When
calculating the effective interest rate, the Company estimates cash
flows considering the expected life of the financial instrument but
does not consider future credit losses. The calculation includes
all fees and points paid or received between parties to the
contract that are an integral part of the effective interest rate
and all other premiums or discounts.
i) Cash and cash equivalents
Cash and cash equivalents comprises cash in hand and deposits
held at call with banks and other short-term investments in an
active market with original maturities of three months or less and
bank overdrafts. Bank overdrafts are shown in current liabilities
in the Statement of Financial Position.
j) Share capital
As there are only Ordinary Redeemable Shares in issue, which are
redeemable at the discretion of the Board, the shares are presented
as equity in accordance with IAS 32 – “Financial Instruments:
Disclosure and Presentation”. Incremental costs directly
attributable to the issue of ordinary redeemable shares are shown
in equity as a deduction, net of tax, from the proceeds and
disclosed in the Statement of Changes in Equity.
k) Foreign currency translation
Functional and presentation
currency
Items included in the financial statements are measured using
Sterling, the currency of the primary economic environment in which
the Company operates (the “functional currency”). The Financial
Statements are presented in Sterling, which is the Company’s
presentation currency.
Transactions and balances
Foreign currency transactions are translated into the functional
currency using the exchange rates prevailing at the dates of the
transactions. Foreign currency assets and liabilities are
translated into the functional currency using the exchange rate
prevailing at the statement of financial position date.
Foreign exchange gains and losses relating to the financial
assets and liabilities carried at fair value through profit or loss
are presented in the Statement of Comprehensive Income.
l) Transaction costs
Transaction costs on financial assets at fair value through
profit or loss include fees and commissions paid to agents,
advisers, brokers and dealers. Transaction costs, when
incurred, are immediately recognised in the Statement of
Comprehensive Income.
m) Segment reporting
Operating segments are reported in a manner consistent with the
internal reporting provided to the chief operating decision-maker.
The chief operating decision-maker, who is responsible for
allocating resources and assessing performance of the operating
segments, has been identified as the Board. The Directors are of
the opinion that the Company is engaged in a single segment of
business, being investments in Asset Backed Securities. The
Directors manage the business in this way. Additional information
can be found in note 18.
n) Expenses
All expenses are included in the Statement of Comprehensive
Income on an accruals basis. Expenses incurred on the acquisition
of investments at fair value through profit or loss are charged to
the Statement of Comprehensive Income. All other expenses are
recognised through profit or loss in the Statement of Comprehensive
Income.
o) Other receivables
Other receivables are amounts due in the ordinary course of
business. If collection is expected in one year or less, they are
classified as current assets. If not, they are presented as
non-current assets. Other receivables are recognised initially at
fair value and subsequently measured at amortised cost using the
effective interest method, less any expected credit losses.
p) Other payables
Other payables are obligations to pay for services that have
been acquired in the ordinary course of business. Other
payables are classified as current liabilities if payment is due
within one year or less. If not, they are presented as non-current
liabilities. Other payables are recognised initially at fair value
and subsequently measured at amortised cost using the effective
interest method.
q) Dividend distribution
Dividend distribution to the Company’s shareholders is
recognised as a liability in the Company’s financial statements and
disclosed in the Statement of Changes in Equity in the period in
which the dividends are approved by the Board.
r) Income equalisation on new
issues
In order to ensure there are no dilutive effects on earnings per
share for current shareholders when issuing new shares, a transfer
is made between share capital and income to reflect that amount of
income included in the purchase price of the new shares.
s) Treasury Shares
The Company has the right to issue and purchase up to 14.99% of
the total number of its own shares, as disclosed in note 12.
Shares held in Treasury are excluded from calculations when
determining Earnings/(loss) per Ordinary Redeemable Share or Net
Asset Value per Ordinary Redeemable Share as detailed in notes 4
and 6.
3. Significant accounting judgements, estimates and
assumptions
The preparation of the Company’s Financial Statements requires
management to make judgements, estimates and assumptions that
affect the reported amounts of revenues, expenses, assets and
liabilities and the accompanying disclosures. Uncertainty about
these assumptions and estimates could result in outcomes that
require a material adjustment to the carrying amount of assets or
liabilities affected in future periods.
(i) Judgements
In the process of applying the Company’s accounting policies,
management has made the following judgements, which have the most
significant effect on the amounts recognised in the Financial
Statements:
Functional currency
As disclosed in note 2(k), the Company’s functional currency is
Sterling. Sterling is the currency in which the Company measures
its performance and reports its results, as well as the currency in
which it receives subscriptions from its investors. Dividends are
also paid to its investors in Sterling. The Directors believe that
Sterling best represents the functional currency.
(ii) Estimates and
assumptions
The key assumptions concerning the future and other key sources
of estimation uncertainty at the reporting date, that have a
significant risk of causing a material adjustment to the carrying
amounts of assets and liabilities within the next financial year,
are described below. The Company based its assumptions and
estimates on parameters available when the Financial Statements
were prepared. Existing circumstances and assumptions about future
developments, however, may change due to market changes or
circumstances arising which are beyond the control of the Company.
Such changes are reflected in the assumptions when they occur.
(a) Fair value of
securities not quoted in an active markets
The Company carries its investments in Asset Backed Securities
at fair value, with changes in value being recognised in the
Statement of Comprehensive Income. In cases where prices of Asset
Backed Securities are not quoted in an active market, the Portfolio
Manager will obtain prices determined at the close of business on
the reporting date from an independent price vendor. The Portfolio
Manager exercises its judgement on the quality of the independent
price vendor and information provided. If a price cannot be
obtained from an independent price vendor or where the Portfolio
Manager determines that the provided price is not an accurate
representation of the fair value of the Asset Backed Security, the
Portfolio Manager will source prices from third party broker or
dealer quotes for the relevant security. Where no third party price
is available, or where the Portfolio Manager determines that the
third party quote is not an accurate representation of the fair
value, the Portfolio Manager will determine the valuation based on
the Portfolio Manager's valuation policy. This may include the use
of a comparable arm's length transaction, reference to other
securities that are substantially the same, discounted cash flow
analysis and other valuation techniques commonly used by market
participants making the maximum use of market inputs and relying as
little as possible on entity-specific inputs.
(b) Estimated life of
Asset Backed Securities
In determining the estimated life of the Asset Backed Securities
held by the Company, the Portfolio Manager estimates the remaining
life of the security with respect to expected prepayment rates,
default rates and loss rates together with other information
available in the market underlying the security. The estimated life
of the Asset Backed Securities as determined by the Portfolio
Manager, impacts the effective interest rate of the Asset Backed
Securities which in turn impacts the calculation of income as
discussed in note 2(g).
(c) Determination of observable inputs
In note 17, Fair Value Measurement, when determining the levels
of investments within the fair value hierarchy, the determination
of what constitutes ‘observable’ requires significant judgement by
the Company. The Company considers observable data to be market
data that is readily available, regularly distributed or updated,
reliable and verifiable, not proprietary, and provided by
independent sources that are actively involved in the relevant
market.
4. Earnings per Ordinary 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 402,734,014 (31 March 2018:
395,814,151) and a net gain of £6,968,851 (31 March 2018: net gain of £45,068,491).
5. 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 year is £473,345 (31 March 2018: £Nil).
6. Net Asset Value per
Ordinary Redeemable Share
The net asset value of each Share of £1.13 (31 March 2018: £1.19) is determined by dividing
the net assets of the Company attributed to the Shares of
£500,465,449 (31 March 2018:
£470,013,131) by the number of Shares in issue at 31 March 2019 of 441,814,151
(31 March 2018: 395,814,151).
7. Taxation
The Company has been granted Exempt Status under the terms of
The Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 to income tax in
Guernsey. Its liability for
Guernsey taxation is limited to an
annual fee of £1,200 (2018: £1,200).
8. Net foreign
currency gains/(losses)
|
|
|
|
|
|
|
01.04.18 to 31.03.19 |
|
01.04.17 to
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
| Movement
on unrealised loss on forward currency contracts |
(5,799,890) |
|
(76,997) |
| Realised
gain/(loss) on foreign currency contracts |
13,239,682 |
|
(5,577,904) |
| Unrealised
foreign currency loss on receivables/payables |
(123,865) |
|
(117,892) |
| Unrealised
foreign currency exchange gain/(loss) on interest receivable |
5,182 |
|
(885) |
|
|
|
|
|
|
|
7,321,109 |
|
(5,773,678) |
9. Investments
|
|
|
|
|
|
|
01.04.18 to 31.03.19 |
|
01.04.17 to 31.03.18 |
|
Financial assets at fair value through profit or loss: |
£ |
|
£ |
|
Unlisted Investments: |
|
|
|
|
|
|
|
| Opening
book cost |
|
|
|
|
|
434,416,774 |
|
400,893,973 |
| Purchases
at cost |
|
|
|
|
331,409,934 |
|
376,649,889 |
| Proceeds
on sale/principal repayment |
|
(279,264,771) |
|
(383,727,152) |
|
Amortisation adjustment under effective interest rate method |
4,906,587 |
|
9,424,396 |
| Realised
gains on sale/principal repayment |
|
11,564,064 |
|
33,089,087 |
| Realised
losses on sale/principal repayment |
|
(8,303,251) |
|
(1,913,419) |
|
|
|
|
|
|
|
|
|
|
| Closing
book cost |
|
|
|
|
494,729,337 |
|
434,416,774 |
|
|
|
|
|
|
|
|
|
|
| Unrealised
gains on investments |
|
9,778,665 |
|
24,351,361 |
| Unrealised
losses on investments |
|
(12,911,397) |
|
(1,436,118) |
|
|
|
|
|
|
|
|
|
|
| Fair value |
|
|
|
|
|
|
491,596,605 |
|
457,332,017 |
|
|
|
|
|
|
|
01.04.18 to 31.03.19 |
|
01.04.17 to
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
| Realised
gains on sale/principal repayment |
|
11,564,064 |
|
33,089,087 |
| Realised
losses on sales/principal repayment |
(8,303,251) |
|
(1,913,419) |
| Movement
in unrealised gains |
|
(14,572,696) |
|
(6,754,132) |
| Movement
in unrealised losses |
|
(11,475,279) |
|
1,164,280 |
|
|
|
|
|
|
|
|
|
|
| Net
(losses)/gains on financial assets at fair value through profit or
loss |
(22,787,162) |
|
25,585,816 |
10. Other receivables
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
| Coupon
interest receivable |
|
|
3,100,037 |
|
2,825,071 |
| Prepaid
expenses |
|
|
|
|
12,540 |
|
19,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,112,577 |
|
2,844,683 |
|
|
|
|
|
|
|
|
|
|
11. Other payables
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
| Portfolio
management fees payable |
|
560,933 |
|
546,666 |
| Custody
fee payable |
|
|
|
|
3,806 |
|
2,957 |
|
Administration and secretarial fees payable |
|
58,542 |
|
60,044 |
| Directors'
fee payable |
|
|
|
|
- |
|
31,875 |
| Audit fee
payable |
|
|
|
|
57,000 |
|
55,000 |
| AIFM
management fee payable |
|
41,194 |
|
35,991 |
| Depositary
fees payable |
|
|
|
|
5,353 |
|
5,257 |
| Share
issue costs payable |
|
|
|
79,492 |
|
- |
| General
expenses payable |
|
|
|
39,927 |
|
29,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
846,247 |
|
767,417 |
|
|
|
|
|
|
|
|
|
|
12. Share Capital
Authorised Share Capital
Unlimited number of Ordinary Redeemable Shares at no par
value.
Issued Share Capital
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
|
Ordinary Redeemable Shares |
|
|
|
|
| Share
Capital at the beginning of the year |
|
407,509,059 |
|
407,509,059 |
| Issued
Share Capital |
|
|
|
|
53,010,450 |
|
- |
| Share issue costs |
|
|
|
|
|
|
(609,620) |
|
- |
| Income
equalisation on new issues |
|
|
(473,345) |
|
- |
|
|
|
|
|
|
|
|
|
|
| Total
Share Capital at the end of the year |
|
|
459,436,544 |
|
407,509,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
Shares |
|
Shares |
|
Ordinary Redeemable Shares |
|
|
|
|
|
|
|
| Shares at
the beginning of the year |
|
|
395,814,151 |
|
395,814,151 |
| Issue of Shares |
|
|
|
|
|
|
46,000,000 |
|
- |
|
|
|
|
|
|
|
|
|
|
| Total
Shares in issue at the end of the year |
|
|
441,814,151 |
|
395,814,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
| Treasury
Shares |
|
|
|
|
|
|
|
|
|
| Treasury
share capital at the beginning of the year |
43,083,300 |
|
43,083,300 |
|
|
|
|
|
|
|
|
|
|
| Total
Treasury Share capital in issue at the end of the year |
|
43,083,300 |
|
43,083,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
Shares |
|
Shares |
| Treasury
Shares |
|
|
|
|
|
|
|
|
|
| Treasury
shares at the beginning of the year |
39,000,000 |
|
39,000,000 |
|
|
|
|
|
|
|
|
|
|
| Total
Shares in issue at the end of the 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 31 March 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 2019.
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.
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 4 and
6.
13. Analysis of Financial Assets
and Liabilities by Measurement Basis
|
|
|
|
|
|
|
|
Assets at fair |
|
|
|
|
|
|
|
|
|
|
|
|
value
through |
|
Amortised |
|
|
|
|
|
|
|
|
|
|
profit and loss |
|
cost |
|
Total |
|
|
|
|
|
|
|
|
£ |
|
£ |
|
£ |
| 31 March
2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at fair |
|
|
|
|
|
|
|
|
|
|
|
|
value
through |
|
Loans
and |
|
|
|
|
|
|
|
|
|
|
profit and loss |
|
receivables |
|
Total |
|
|
|
|
|
|
|
|
£ |
|
£ |
|
£ |
| 31 March
2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets as per Statement of Financial Position |
|
|
|
|
|
|
| Financial
assets at fair value through profit or loss: |
|
|
|
|
|
|
| -
Investments |
|
|
|
|
|
|
457,332,017 |
|
- |
|
457,332,017 |
| -
Derivative assets: Forward currency contracts |
|
4,135,400 |
|
- |
|
4,135,400 |
| Amounts
due from broker |
|
- |
|
2,607,294 |
|
2,607,294 |
| Other
receivables (excluding prepayments) |
|
- |
|
2,825,071 |
|
2,825,071 |
| Cash and
cash equivalents |
|
|
|
|
|
- |
|
11,624,245 |
|
11,624,245 |
|
|
|
|
|
|
|
|
461,467,417 |
|
17,056,610 |
|
478,524,027 |
|
|
|
|
|
|
|
|
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 |
|
202,337 |
|
- |
|
202,337 |
| Amounts
due to brokers |
|
|
|
|
- |
|
7,560,754 |
|
7,560,754 |
| Other
payables |
|
|
|
|
|
|
- |
|
767,417 |
|
767,417 |
|
|
|
|
|
|
|
|
202,337 |
|
8,328,171 |
|
8,530,508 |
14. Related Parties
a) Directors’ Remuneration &
Expenses
The Directors of the Company are remunerated for their services
at such a rate as the Directors determine. The aggregate fees of
the Directors will not exceed £150,000.
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 year ended 31 March
2019, Directors fees of £138,917 (31
March 2018: £127,500) were charged to the Company, of which
£Nil (31 March 2018: £31,875)
remained payable at the end of the year.
b) Shares held by related parties
As at 31 March 2019, Directors of
the Company held the following shares beneficially:
|
|
|
|
Number of Shares |
Number of Shares |
|
|
|
|
31.03.19 |
31.03.18 |
| Trevor
Ash |
|
|
50,000 |
50,000 |
| Ian Burns |
|
|
|
29,242 |
29,242 |
| Richard Burwood |
|
|
|
5,000 |
5,000 |
| Joanne
Fintzen1 |
|
|
|
- |
N/A |
| Jeannette
Etherden2 |
|
|
N/A |
25,000 |
1 Joanne Fintzen was
appointed to the board on 7 January
2019. Subsequent to the year end, Ms Fintzen purchased
17,476 Ordinary Redeemable Shares in the Company.
2 Jeanette Etherden
retired from the board on 14 March
2019.
As at 31 March 2019, the Portfolio
Manager held Nil Shares (31 March
2018: Nil Shares) and partners and employees of the
Portfolio Manager held 1,797,760 Shares (31
March 2018: 1,689,670 Shares), which is 0.41% (31 March 2018: 0.43%) 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
year amounted to £3,462,140 (31 March
2018: £3,425,378) of which £560,933 (31 March 2018: £546,666) is due and payable at
the year 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 year, the Portfolio Manager received £79,516
(31 March 2018: £Nil) in
commission.
15. 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 year ended
31 March 2019, AIFM fees of £174,555
(31 March 2018: £166,851) were
charged to the Company, of which £41,194 (31
March 2018: £35,991) remained payable at the end of the
year.
b) Administrator and Secretary
Administration fees are payable to Northern Trust International
Fund Administration Services (Guernsey) Limited monthly in arrears at a rate
of 0.06% of the Net Asset Value of the Company below £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 year amounted to £236,007 (31
March 2018: £237,384) of which £58,542 (31 March 2018: £60,044) is due and payable at end
of the year.
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 year amounted
to £65,143 (31 March 2018: £64,549)
of which £5,353 (31 March 2018:
£5,257) is due and payable at the year 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 year amounted to £46,696
(31 March 2018: £45,672) of which
£3,806 (31 March 2018: £2,957) is due
and payable at the year end.
16. Financial Risk
Management
The Company’s objective in managing risk is the creation and
protection of shareholder value. Risk is inherent in the Company’s
activities, but it is managed through an ongoing process of
identification, measurement and monitoring.
The Company’s financial instruments include investments
designated at fair value through profit or loss and cash and cash
equivalents. The main risks arising from the Company’s financial
instruments are market risk, credit risk and liquidity risk. The
techniques and instruments utilised for the purposes of efficient
portfolio management are those which are reasonably believed by the
Board to be economically appropriate to the efficient management of
the Company.
Market risk
Market risk embodies the potential for both losses and gains and
includes currency risk, interest rate risk, reinvestment risk and
price risk. The Company’s strategy on the management of market risk
is driven by the Company’s investment objective. The Company’s
investment objective is to generate attractive risk adjusted
returns principally through investment in Asset Backed
Securities.
(i) Price risk
The underlying investments comprised in the portfolio are
subject to market risk. The Company is therefore at risk that
market events may affect performance and in particular may affect
the value of the Company’s investments which are valued on a mark
to market basis. Market risk is risk associated with changes in
market prices or rates, including interest rates, availability of
credit, inflation rates, economic uncertainty, changes in laws,
national and international political circumstances such as the
recent UK vote to leave the EU. The Company’s policy is to manage
price risk by holding a diversified portfolio of assets, through
its investments in Asset Backed Securities.
The Company’s policy also stipulates that no more than 5% of the
Portfolio value can be exposed to any single Asset Backed Security
or issuer of Asset Backed Securities.
The price of an Asset Backed Security can be affected by a
number of factors, including: (i) changes in the market’s
perception of the underlying assets backing the security; (ii)
economic and political factors such as interest rates and levels of
unemployment and taxation which can have an impact on the arrears,
foreclosures and losses incurred with respect to the pool of assets
backing the security; (iii) changes in the market’s perception of
the adequacy of credit support built into the security’s structure
to protect against losses caused by arrears and foreclosures; (iv)
changes in the perceived creditworthiness of the originator of the
security or any other third parties to the transaction; (v) the
speed at which mortgages or loans within the pool are repaid by the
underlying borrowers (whether voluntary or due to arrears or
foreclosures).
(ii) Interest rate risk
Interest rate risk arises from the possibility that changes in
interest rates will affect the fair value of financial assets at
fair value through profit or loss.
The tables below summarise the Company’s exposure to interest
rate risk:
|
|
|
|
|
Floating
rate |
|
Fixed
rate |
|
Non-interest bearing |
|
Total |
| As at
31 March 2019 |
£ |
|
£ |
|
£ |
|
£ |
| Financial
assets at fair value through profit or loss |
491,596,605 |
|
- |
|
- |
|
491,596,605 |
| Derivative
assets |
|
|
|
- |
|
- |
|
52,575 |
|
52,575 |
| Amounts
due from broker |
|
- |
|
- |
|
3,908,529 |
|
3,908,529 |
| Other
receivables |
|
|
|
- |
|
- |
|
3,112,577 |
|
3,112,577 |
| Cash and
cash equivalents |
|
36,505,984 |
|
- |
|
- |
|
36,505,984 |
| Capital
Shares sold receivable |
|
- |
|
- |
|
3,456,600 |
|
3,456,600 |
| Amounts
due to broker |
|
- |
|
- |
|
(35,401,772) |
|
(35,401,772) |
| Other
payables |
|
|
|
- |
|
- |
|
(846,247) |
|
(846,247) |
| Derivative
liabilities |
|
|
|
- |
|
- |
|
(1,919,402) |
|
(1,919,402) |
|
|
|
|
|
|
|
|
|
|
|
|
| Net
current assets |
|
|
|
528,102,589 |
|
- |
|
(27,637,140) |
|
500,465,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating
rate |
|
Fixed
rate |
|
Non-interest bearing |
|
Total |
| As at
31 March 2018 |
|
£ |
|
£ |
|
£ |
|
£ |
| Financial
assets at fair value through profit or loss |
457,332,017 |
|
- |
|
- |
|
457,332,017 |
| Derivative
assets |
|
|
|
- |
|
- |
|
4,135,400 |
|
4,135,400 |
| Amounts
due from broker |
|
|
- |
|
- |
|
2,607,294 |
|
2,607,294 |
| Other
receivables |
|
|
|
- |
|
- |
|
2,844,683 |
|
2,844,683 |
| Cash and
cash equivalents |
|
|
11,624,245 |
|
- |
|
- |
|
11,624,245 |
| Amounts
due to broker |
|
|
|
- |
|
- |
|
(7,560,754) |
|
(7,560,754) |
| Other
payables |
|
|
|
- |
|
- |
|
(767,417) |
|
(767,417) |
| Derivative
liabilities |
|
|
|
- |
|
- |
|
(202,337) |
|
(202,337) |
|
|
|
|
|
|
|
|
|
|
|
|
| Net
current assets |
|
|
|
468,956,262 |
|
- |
|
1,056,869 |
|
470,013,131 |
|
|
|
|
|
|
|
|
|
|
|
|
The Company only holds floating rate financial instruments and
when short-term interest rates increase, the interest rate on a
floating rate will increase. The time to re-fix interest rates
ranges from 1 month to a maximum of 6 months and therefore the
Company has minimal interest rate risk. However the Company may
choose to utilise appropriate strategies to achieve the desired
level of interest rate exposure (the Company is permitted to use,
for example, interest rate swaps to accomplish this). The value of
asset backed securities may be affected by interest rate movements.
Interest receivable on bank deposits or payable on bank overdraft
positions will be affected by fluctuations in interest rates,
however the underlying cash positions will not be affected.
The Company’s continuing position in relation to interest rate
risk is monitored on a weekly basis by the Portfolio Manager as
part of its review of the weekly NAV calculations prepared by the
Company’s Administrator.
(iii) Foreign currency risk
Foreign currency risk is the risk that the value of a financial
instrument will fluctuate due to changes in foreign exchange rates.
The Company invests predominantly in non-Sterling assets while its
Shares are denominated in Sterling, its expenses are incurred in
Sterling. Therefore the Statement of Financial Position may be
significantly affected by movements in the exchange rate between
Euro and Sterling. The Company manages the exposure to currency
movements by using spot and forward foreign exchange contracts,
rolling forward on a periodic basis.
|
|
|
|
|
|
|
Outstanding contracts |
|
Mark to market equivalent |
|
Unrealised (losses)/gains |
|
|
|
|
|
Contract
values |
|
|
|
|
|
|
|
|
31.03.2019 |
|
31.03.2019 |
|
31.03.2019 |
|
31.03.2019 |
|
|
|
|
|
€ |
|
£ |
|
£ |
|
£ |
| Eight
Sterling forward foreign currency |
|
|
|
|
|
|
|
| contracts
totalling: |
|
|
|
|
|
|
|
|
|
|
|
Settlement
date 18 April 2019 |
323,454,001 |
|
276,923,458 |
|
278,836,592 |
|
(1,913,134) |
| Five Euro
forward foreign currency |
|
|
|
|
|
|
|
|
| contracts
totalling: |
|
|
|
|
|
|
|
|
|
|
|
Settlement
date 2 April 2019 |
(3,409,319) |
|
(2,901,682) |
|
(2,937,841) |
|
36,159 |
|
Settlement
date 18 April 2019 |
(768,162) |
|
(658,623) |
|
(662,201) |
|
3,578 |
|
|
|
|
|
|
|
|
|
|
|
|
| Spot
Contracts Receivable |
|
|
|
|
|
|
|
6,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,866,827) |
|
|
|
|
|
|
|
|
|
|
|
|
(iii) Foreign currency risk
|
|
|
|
|
|
|
|
|
|
Mark to market equivalent |
|
Unrealised gains/(losses) |
|
|
|
|
|
Contract values |
|
Outstanding contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.03.2018 |
|
31.03.2018 |
|
31.03.2018 |
|
31.03.2018 |
|
|
|
|
|
€ |
|
£ |
|
£ |
|
£ |
| Two
Sterling forward foreign currency |
|
|
|
|
|
|
|
| contracts
totalling: |
|
|
|
|
|
|
|
|
|
|
|
Settlement
date 13 April 2018 |
322,894,014 |
|
287,255,340 |
|
283,125,370 |
|
4,129,970 |
|
|
|
|
|
|
|
|
|
|
|
|
| Three Euro
forward foreign currency |
|
|
|
|
|
|
|
| contracts
totalling: |
|
|
|
|
|
|
|
|
|
|
|
Settlement
date 13 April 2018 |
(17,853,633) |
|
(15,846,967) |
|
(15,654,723) |
|
(192,244) |
|
|
|
|
|
|
|
|
|
|
|
|
| Spot
Contracts Payable |
|
|
|
|
|
|
|
(4,663) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,933,063 |
As at 31 March 2019 and as at
31 March 2018, the Company held the
following assets and liabilities denominated in Euro:
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.2019 |
|
31.03.2018 |
| Assets: |
|
|
|
|
|
|
£ |
|
£ |
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
|
291,455,842 |
|
271,324,285 |
| Cash and
cash equivalents |
|
|
|
345,503 |
|
682,980 |
| Other
receivables |
|
|
|
|
|
2,402,677 |
|
2,319,599 |
| Amounts
due from broker |
|
|
|
|
- |
|
2,607,294 |
| Amounts
due to broker |
|
|
|
(22,186,772) |
|
(7,560,754) |
| Less: Open
forward currency contracts |
|
|
(275,236,551) |
|
(267,470,647) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,219,301) |
|
1,902,757 |
|
|
|
|
|
|
|
|
|
|
The tables below summarise the sensitivity of the Company’s
assets and liabilities to changes in foreign exchange movements
between Euro and Sterling at 31 March
2019 and 31 March 2018. The
analysis is based on the assumption that the relevant foreign
exchange rate increased/decreased by the percentage disclosed in
the table, with all other variables held constant. This represents
management’s best estimate of a reasonable possible shift in the
foreign exchange rates, having regard to historical volatility of
those rates.
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.2019 |
|
31.03.2018 |
|
|
|
|
|
|
|
£ |
|
£ |
| Impact on
Statement of Comprehensive Income in response to a: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| - 10%
increase |
|
|
|
|
|
395,422 |
|
(138,041) |
|
|
|
|
|
|
|
|
|
|
| - 10%
decrease |
|
|
|
|
|
(232,137) |
|
254,059 |
|
|
|
|
|
|
|
|
|
|
| Impact on
Statement of Changes in Equity in response to a: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| - 10%
increase |
|
|
|
|
|
395,422 |
|
(138,041) |
|
|
|
|
|
|
|
|
|
|
| - 10%
decrease |
|
|
|
|
|
(232,137) |
|
254,059 |
(iv) Reinvestment risk
Reinvestment risk is the risk that future coupons from a bond
will not be reinvested at the prevailing interest rate when the
bond was initially purchased.
A key determinant of a bond’s yield is
the price at which it is purchased and, therefore, when the market
price of bonds generally increases, the yield of bonds purchased
generally decreases. As such, the overall yield of the portfolio,
and therefore the level of dividends payable to Shareholders, would
fall to the extent that the market prices of Asset Backed
Securities generally rise and the proceeds of Asset Backed
Securities held by the Company that mature or are sold are not able
to be reinvested in Asset Backed Securities with a yield comparable
to that of the portfolio as a whole.
Price sensitivity analysis
The following details the Company’s sensitivity to movement in
market prices. The analysis is based on a 5% increase or decrease
in market prices. This represents management’s best estimate of a
reasonable possible shift in market prices, having regard to
historical volatility.
At 31 March 2019, if the market
prices had been 5% higher with all other variables held constant,
the increase in the net assets attributable to equity Shareholders
would have been £24,579,830 (31 March
2018: £22,866,601). An equal change in the opposite
direction would have decreased the net assets attributable to
equity Shareholders by the same amount.
Actual trading results may differ from the above sensitivity
analysis and those differences may be material.
Credit risk
Credit risk refers to the risk that a counterparty will default
on its contractual obligations resulting in financial loss to the
Company. The Company has a credit policy in place and the exposure
to credit risk is monitored on an on-going basis.
The main concentration of credit risk to which the Company is
exposed arises from the Company’s investments in Asset Backed
Securities. The Company is also exposed to counterparty credit risk
on forwards, cash and cash equivalents, amounts due from brokers
and other receivable balances. At the year end, one of the
Company’s investments in Asset Backed Securities was impaired
(31 March 2018: none).
The Company’s policy to manage this risk is by no more than 20%
of the portfolio value being backed by collateral in any single
country (save that this restriction will not apply to Northern
European countries). The Company also manages this credit risk by
no more than 5% of the portfolio being exposed to any single Asset
Backed Security or issuer of Asset Back Securities and no more than
10% of the portfolio value being exposed to instruments not deemed
securities for the purposes of the Financial Services and Market
Act 2000.
Portfolio of Asset Backed Securities by ratings category using
the highest rating assigned by Standard and Poor’s (“S&P”),
Moody’s Analytics (Moody’s”) or Fitch Ratings (“Fitch”):
|
|
|
|
|
31.03.19 |
|
31.03.18 |
| AAA |
|
|
|
|
2.03% |
|
3.31% |
| AA+ |
|
|
|
|
0.00% |
|
1.21% |
| AA |
|
|
|
|
0.29% |
|
0.81% |
| AA- |
|
|
|
|
1.49% |
|
1.15% |
| A+ |
|
|
|
|
1.59% |
|
0.69% |
| A |
|
|
|
|
4.78% |
|
7.38% |
| A- |
|
|
|
|
3.96% |
|
4.52% |
| BBB+ |
|
|
|
|
6.18% |
|
5.40% |
| BBB |
|
|
|
|
5.40% |
|
8.88% |
| BBB- |
|
|
|
|
7.04% |
|
3.90% |
| BB+ |
|
|
|
|
2.52% |
|
2.75% |
| BB |
|
|
|
|
14.88% |
|
14.60% |
| BB- |
|
|
|
|
1.62% |
|
1.98% |
| B+ |
|
|
|
|
3.86% |
|
4.11% |
| B |
|
|
|
|
21.73% |
|
22.90% |
| B- |
|
|
|
|
1.73% |
|
1.42% |
| CCC+ |
|
|
|
|
1.24% |
|
1.33% |
| CCC |
|
|
|
|
0.38% |
|
0.27% |
| NR* |
|
|
|
|
19.28% |
|
13.39% |
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00% |
|
100.00% |
|
|
|
|
|
|
|
|
*The non-rated exposure within the Company is managed in exactly
the same way as the exposure to any other rated bond in the
portfolio. A bond not rated by any of Moody’s, S&P or Fitch
does not necessarily translate as poor credit quality. Often
smaller issues/tranches, or private deals which the Company holds,
won’t apply for a rating due to the cost of doing so from the
relevant credit agencies. The Portfolio Managers have no credit
concerns with the unrated, or rated, bonds currently held.
To further minimise credit risk, the Portfolio Manager
undertakes extensive due diligence procedures on investments in
Asset Backed Securities and monitors the on-going investment in
these securities. The Company may also use credit default swaps to
mitigate the effects of market volatility on credit risk.
The Company manages its counterparty exposure in respect of cash
and cash equivalents and forwards by investing with counterparties
with a “single A” or higher credit rating. All cash is currently
placed with The Northern Trust Company. The Company is subject to
credit risk to the extent that this institution may be unable to
return this cash. The Northern Trust Company is a wholly owned
subsidiary of The Northern Trust Corporation. The Northern Trust
Corporation is publicly traded and a constituent of the S&P
500. The Northern Trust Corporation has a credit rating of A+ from
Standard & Poor's and A2 from Moody's.
The Company’s maximum credit exposure is limited to the carrying
amount of financial assets recognised as at the statement of
financial position date, as summarised below:
|
|
|
|
|
|
|
As
at |
|
As
at |
|
|
|
|
|
|
|
31.03.19 |
|
31.03.18 |
|
|
|
|
|
|
|
£ |
|
£ |
|
Investments |
|
|
|
|
|
491,596,605 |
|
457,332,017 |
| Cash and
cash equivalents |
|
|
|
36,505,984 |
|
11,624,245 |
| Unrealised
gains on derivative assets |
|
|
52,575 |
|
4,135,400 |
| Capital
Shares sold receivable |
|
|
|
3,456,600 |
|
- |
| Amounts
due from broker |
|
|
|
|
3,908,529 |
|
2,607,294 |
| Other
receivables |
|
|
|
|
|
3,112,577 |
|
2,844,683 |
|
|
|
|
|
|
|
538,632,870 |
|
478,543,639 |
Investments in Asset Backed Securities that are not backed by
mortgages present certain risks that are not presented by
Mortgage-Backed Securities (“MBS”). Primarily, these securities may
not have the benefit of the same security interest in the related
collateral. Therefore, there is a possibility that recoveries on
defaulted collateral may not, in some cases, be available to
support payments on these securities. The risk of investing in
these types of Asset Backed Securities is ultimately dependent upon
payment of the underlying debt by the debtor.
Liquidity risk
Liquidity risk is the risk that the Company may not be able to
generate sufficient cash resources to settle its obligations in
full as they fall due or can only do so on terms that are
materially disadvantageous.
Investments made by the Company in Asset Backed Securities may
be relatively illiquid and this may limit the ability of the
Company to realise its investments. Investments in Asset Backed
Securities may also have no active market and the Company also has
no redemption rights in respect of these investments. The Company
has the ability to borrow to ensure sufficient cash flows.
The Portfolio Manager considers expected cash flows from
financial assets in assessing and managing liquidity risk, in
particular its cash resources and trade receivables. Cash flows
from trade and other receivables are all contractually due within
twelve months.
The Portfolio Manager maintains a liquidity management policy to
monitor the liquidity risk of the Company.
Shareholders have no right to have their shares redeemed or
repurchased by the Company, however Shareholders may elect to
realise their holdings as detailed under note 12 and the Capital
Risk Management section of this note.
Shareholders wishing to release their investment in the Company
are therefore required to dispose of their shares on the market.
Therefore there is no risk that the Company will not be able to
fund redemption requests.
The tables below analyse the Company’s liabilities into relevant
maturity groupings based on the maturities at the statement of
financial position date. The amounts in the table are the
undiscounted net cash flows on the financial liabilities:
|
|
|
|
|
Up to
1 month |
|
1-6
months |
|
6-12
months |
|
Total |
| As at 31
March 2019 |
|
|
|
£ |
|
£ |
|
£ |
|
£ |
|
Financial liabilities |
|
|
|
|
|
|
|
|
|
|
| Amounts
due to brokers |
|
- |
|
(35,401,772) |
|
- |
|
(35,401,772) |
| Unrealised
loss on derivative liabilities |
(1,919,402) |
|
- |
|
- |
|
(1,919,402) |
| Share
issue costs payable |
|
(79,492) |
|
- |
|
- |
|
(79,492) |
| Other
payables |
|
|
|
(709,755) |
|
(57,000) |
|
- |
|
(766,755) |
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
(2,708,649) |
|
(35,458,772) |
|
- |
|
(38,167,421) |
|
|
|
|
|
Up to
1 month |
|
1-6
months |
|
6-12
months |
|
Total |
| As at 31
March 2018 |
|
|
|
£ |
|
£ |
|
£ |
|
£ |
|
Financial liabilities |
|
|
|
|
|
|
|
|
|
|
| Amounts
due to brokers |
|
|
- |
|
(7,560,754) |
|
- |
|
(7,560,754) |
| Unrealised
loss on derivatives |
|
(202,337) |
|
- |
|
- |
|
(202,337) |
| Share
issue costs payable |
|
- |
|
- |
|
- |
|
- |
| Other
payables |
|
|
|
(712,417) |
|
(55,000) |
|
- |
|
(767,417) |
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
(914,754) |
|
(7,615,754) |
|
- |
|
(8,530,508) |
Capital risk management
The Company manages its capital to ensure that it is able to
continue as a going concern while following the Company’s stated
investment policy and when considering and approving dividend
payments. The capital structure of the Company consists of
Shareholders’ equity, which comprises share capital and other
reserves. To maintain or adjust the capital structure, the Company
may return capital to Shareholders or issue new Shares. There are
no regulatory requirements to return capital to Shareholders.
(i) Share buybacks
The Company has been granted the authority to make market
purchases of up to a maximum of 14.99% of the aggregate number of
Ordinary Redeemable Shares in issue immediately following Admission
at a price not exceeding the higher of (i) 5% above the average of
the mid-market values of the Ordinary Redeemable Shares for the 5
business days before the purchase is made or, (ii) the higher of
the price of the last independent trade and the highest current
investment bid for the Ordinary Redeemable Shares.
In deciding whether to make any such purchases the Directors
will have regard to what they believe to be in the best interests
of Shareholders as a whole, to the applicable legal requirements
and any other requirements in its Articles. The making and timing
of any buybacks will be at the absolute discretion of the Board and
not at the option of the Shareholders, and is expressly subject to
the Company having sufficient surplus cash resources available
(excluding borrowed moneys). The Listing Rules prohibit the Company
from conducting any share buybacks during close periods immediately
preceding the publication of annual and interim results.
(ii)Realisation opportunity
The realisation opportunity shall be at the annual general
meeting of the Company in each third year, with the next
realisation opportunity being in 2019, subject to the aggregate NAV
of the continuing Ordinary Redeemable Shares on the last Business
Day before Reorganisation being not less than £100 million.
It is anticipated that realisations will be satisfied by the
assets underlying the relevant shares being managed on a
realisation basis, which is intended to generate cash for
distribution as soon as practicable and may ultimately generate
cash which is less than the published NAV per Realisation
Share.
In the event that the Realisation takes place, it is anticipated
that the ability of the Company to make returns of cash to the
holders of Realisation Shares will depend in part on the ability of
the Portfolio Manager to realise the portfolio.
(iii) Continuation votes
In the event that the Company does not meet the dividend target
in any financial reporting period as disclosed in note 19, the
Directors may convene a general meeting of the Company where the
Directors will propose a resolution that the Company should
continue as an Investment Company.
,
17. Fair Value Measurement
All assets and liabilities are carried at fair value or at
carrying value which equates to fair value.
IFRS 13 requires the Company to classify fair value measurements
using a fair value hierarchy that reflects the significance of the
inputs used in making the measurements. The fair value hierarchy
has the following levels:
(i) Quoted prices (unadjusted) in active markets for
identical assets or liabilities (level 1).
(ii) Inputs other than quoted prices included within level 1
that are observable for the asset or liability, either directly
(that is, as prices) or indirectly (that is, derived from prices
including interest rates, yield curves, volatilities, prepayment
speeds, credit risks and default rates) or other market
corroborated inputs (level 2).
(iii) Inputs for the asset or
liability that are not based on observable market data (that is,
unobservable inputs) (level 3).
The following tables analyse
within the fair value hierarchy the Company’s financial assets and
liabilities (by class) measured at fair value for the years ended
31 March 2019 and 31 March 2018.
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
£ |
|
£ |
|
£ |
|
£ |
| Assets |
|
|
|
|
|
|
|
|
| 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 |
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
£ |
|
£ |
|
£ |
|
£ |
| Assets |
|
|
|
|
|
|
|
|
| Financial assets at
fair value through profit or loss: |
|
|
|
|
|
|
|
|
| Asset Backed
Securities: |
|
|
|
|
|
|
|
|
| Auto Loans |
|
- |
|
7,478,778 |
|
- |
|
7,478,778 |
| Buy-to-Let
RMBS |
|
- |
|
37,148,081 |
|
11,415,545 |
|
48,563,626 |
| CLO |
|
- |
|
137,037,519 |
|
26,925,077 |
|
163,962,596 |
| CMBS |
|
- |
|
4,376,846 |
|
- |
|
4,376,846 |
| Consumer
ABS |
|
- |
|
44,719,647 |
|
4,624,151 |
|
49,343,798 |
| Non-Conforming
RMBS |
|
- |
|
88,225,309 |
|
56,869,802 |
|
145,095,111 |
| Prime RMBS |
|
- |
|
7,930,225 |
|
27,739,640 |
|
35,669,865 |
| Student
Loans |
|
- |
|
1,235,651 |
|
1,605,746 |
|
2,841,397 |
| Forward currency
contracts |
|
- |
|
4,135,400 |
|
- |
|
4,135,400 |
|
|
|
|
|
|
|
|
|
| Total assets as at 31 March 2018 |
|
|
|
|
|
|
|
| - |
|
332,287,456 |
|
129,179,961 |
|
461,467,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
| Financial liabilities
at fair value through profit or loss: |
|
|
|
|
|
|
|
|
| Forward
currency contracts |
- |
|
202,337 |
|
- |
|
202,337 |
|
|
|
|
|
|
|
|
|
| Total
liabilities as at 31 March 2018 |
- |
|
202,337 |
|
- |
|
202,337 |
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 year, 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 year,
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 years ended 31 March 2019 and
31 March 2018 by class of financial
instrument.
|
Opening balance |
Net
purchases /(sales) |
Net realised gain for the period included in the Statement
of Comprehensive Income for level 3 Investments held at 31 March
2019 |
Net unrealised (loss)/gain for the period 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 |
|
£ |
£ |
|
|
|
|
£ |
|
|
|
|
£ |
£ |
£ |
£ |
|
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 |
|
Opening
balance |
Net
purchases /(sales) |
Net realised gain/(loss) for the year included in the
Statement of Comprehensive Income for level 3 Investments held at
31 March 2018 |
Net unrealised gain/(loss) for the year included in the
Statement of Comprehensive Income for level 3 Investments held at
31 March 2018 |
Transfer
into Level 3 |
Transfer
out Level 3 |
Closing
balance |
|
£ |
£ |
|
|
|
|
£ |
|
|
|
|
£ |
£ |
£ |
£ |
|
Buy-to-Let RMBS |
3,521,770 |
7,721,719 |
|
|
|
|
89,305 |
|
|
|
|
82,751 |
- |
- |
11,415,545 |
|
CLO |
11,236,233 |
11,744,605 |
|
|
|
|
1,105,869 |
|
|
|
|
340,083 |
9,539,914 |
(7,041,627) |
26,925,077 |
|
Consumer ABS |
19,375,719 |
(7,371,112) |
|
|
|
|
955,419 |
|
|
|
|
(179,095) |
- |
(8,156,780) |
4,624,151 |
|
Non-Conforming RMBS |
3,800,826 |
36,741,849 |
|
|
|
|
(114,809) |
|
|
|
|
1,154,226 |
19,088,536 |
(3,800,826) |
56,869,802 |
| Prime
RMBS |
1,411,834 |
(2,295,001) |
|
|
|
|
540,318 |
|
|
|
|
1,808,040 |
27,686,283 |
(1,411,834) |
27,739,640 |
|
Student Loans |
- |
1,553,260 |
|
|
|
|
17,700 |
|
|
|
|
34,786 |
- |
- |
1,605,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total
at 31 March 2018 |
39,346,382 |
48,095,320 |
|
|
|
|
2,593,802 |
|
|
3,240,791 |
56,314,733 |
(20,411,067) |
129,179,961 |
The following tables analyse within the fair value hierarchy the
Company’s assets and liabilities not measured at fair value at
31 March 2019 and 31 March 2018 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 |
|
|
|
|
|
|
|
|
|
|
|
| Cash and
cash equivalents |
|
|
|
36,505,984 |
|
- |
|
- |
|
36,505,984 |
| Amounts
due from broker |
|
|
|
- |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total |
|
|
|
|
|
£ |
|
£ |
|
£ |
|
£ |
| Assets |
|
|
|
|
|
|
|
|
|
|
|
| Cash and
cash equivalents |
11,624,245 |
|
- |
|
- |
|
11,624,245 |
| Amounts
due from brokers |
- |
|
2,607,294 |
|
- |
|
2,607,294 |
| Other receivables |
|
|
|
|
- |
|
2,844,683 |
|
- |
|
2,844,683 |
| Total
assets as at 31 March 2018 |
11,624,245 |
|
5,451,977 |
|
- |
|
17,076,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
| Amounts
due to brokers |
|
|
|
- |
|
7,560,754 |
|
- |
|
7,560,754 |
| Other payables |
|
|
|
|
- |
|
767,417 |
|
- |
|
767,417 |
| Total
liabilities as at 31 March 2018 |
- |
|
8,328,171 |
|
- |
|
8,328,171 |
18. Segmental Reporting
The Board is responsible for reviewing the Company’s entire
portfolio and considers the business to have a single operating
segment. The Board’s asset allocation decisions are based on a
single, integrated investment strategy, and the Company’s
performance is evaluated on an overall basis.
The Company invests in a diversified portfolio of Asset Backed
Securities. The fair value of the major financial instruments held
by the Company and the equivalent percentages of the total value of
the Company, are reported in the Top Twenty Holdings, included
within the Directors’ Report.
Revenue earned is reported separately on the face of the
Statement of Comprehensive Income as investment income being
interest income received from Asset Backed Securities.
19. 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 year ended 31
March 2019:
| Period to |
Dividend rate per Share (pence) |
|
Net
dividend payable (£) |
|
Record date |
|
Ex-dividend date |
|
Pay
date |
| 29 June 2018 |
0.0150 |
|
5,937,212 |
|
20 July
2018 |
|
19 July
2018 |
|
31 July
2018 |
| 30 September 2018 |
0.0150 |
|
5,937,212 |
|
19
October 2018 |
|
18
October 2018 |
|
31
October 2018 |
| 31 December 2018 |
0.0150 |
|
6,237,212 |
|
17
January 2019 |
|
18
January 2019 |
|
31
January 2018 |
| 29 March 2019 |
0.0195 |
|
8,834,751 |
|
18 April
2019 |
|
23 April
2019 |
|
30 April
2019 |
20. Ultimate Controlling Party
In the opinion of the
Directors on the basis of shareholdings advised to them, the
Company has no ultimate controlling party.
21. Subsequent Events
These Financial Statements were approved for issuance by the
Board on 11 July 2019. Subsequent
events have been evaluated until this date.
On 10 April 2019, the Company
issued 11.25 million Ordinary Redeemable Shares for a gross
consideration of £13 million.
On 30 April 2019, the Company paid a dividend as
detailed in note 19.
At the Extraordinary General Meeting of the Company held on
10 May 2019, all Resolutions set out
in the Extraordinary General Meeting Notice sent to Shareholders
dated 15 April 2019 were duly passed.
As such the Company’s Investment Policy and Articles of
Incorporation were amended.
Amendments to the Investment
Policy
The Company’s investment policy is to invest in a diversified
portfolio of predominantly UK and European Asset Backed
Securities.
2.1 Diversification
The Company will maintain a Portfolio diversified by issuer
concentration, it being anticipated that the Portfolio will
comprise at least 50 Asset Backed Securities at all times.
2.2 Investment restrictions
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.
2.3 Cash management
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.
2.4 Gearing and derivatives
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.
Amendments to the Articles
1. Definitions
Realisation Sale Election - An instruction sent by a
Member during the Election Period in accordance with Article 8.1
requesting that all or part of the Ordinary Shares held by such
holder be placed out in the market by the Company’s broker,
redeemed or repurchased or purchased out of the proceeds of a
Realisation Issue or such other cash sources as may be available to
the Company from time to time or purchased under a tender offer or
by a market maker and if not so redeemed or purchased shall be
converted into Realisation Shares.
8. Realisation
8.1 The Company may at its discretion make available to Members
during an Election Period the opportunity to make a Realisation
Sale Election on such basis as the Company shall notify to Members
before or at the time that the Company sends to Members a reminder
notice in accordance with Article 8.2 below.
8.2 Unless the Company makes available to Members a Realisation
Sale Election in accordance with Article 8.1, Members shall be
entitled to serve a Realisation Share Election in writing to the
Company at such address as the Company shall specify or if none is
specified at the Office or in such other manner as the Board may
determine during the Election Period requesting that all or a part,
provided such part be rounded up to the nearest whole Ordinary
Share, of the Ordinary Shares held by them be redesignated to
Realisation Shares with effect from the Reorganisation Date
together with, in the case of Certificated shares, the certificates
(if any) of such Ordinary Shares to be redesignated and any other
evidence that the Board may reasonably require to prove the title
of the holder and the due execution by him of the Realisation Share
Election or, if the Realisation Share Election is executed by some
other Person on his behalf, the authority of that other Person to
do so and in the case of Uncertificated shares in accordance with,
and otherwise in compliance with, the procedures prescribed by the
Board.
8.3 The Company will not less than 56 days prior to the
Reorganisation Date remind Ordinary Share-holders of their right to
make a Realisation Election and, if required by applicable law or
regulation, shall issue a prospectus to enable the Company to issue
Realisation Shares.
8.4 A Realisation Election, once given, is irrevocable, unless
the Board agrees otherwise.
8.5 Members who do not submit a valid and complete Realisation
Election during the Election Period in respect of their Ordinary
Shares will be deemed not to have made a Realisation Election in
respect of such Ordinary Shares. Ordinary Shares held by Members
who do not submit a Realisation Election in respect of those
Ordinary Shares will remain Ordinary Shares.
8.6 Subject to the aggregate Net Asset Value of the Ordinary
Shares held by Members who do not submit Realisation Elections in
respect of those Ordinary Shares (“continuing Ordinary Shares”) at
the close of business on the last Business Day before any
Reorganisation Date being not less than £100 million (or in the
case of Realisation Sale Elections the aggregate of the Net Asset
Value of the continuing Ordinary Shares at the close of business on
the last Business Day before the Reorganisation Date and the gross
proceeds of any Realisation Issue), Ordinary Shares the holders of
which have made the Realisation Share Election (where this is
available in accordance with Article 8.2) or any Ordinary Shares
the holders of which have made Realisation Sale Elections but which
are not placed out in the market by the Company’s broker, redeemed
or repurchased or purchased out of the proceeds of the Realisation
Issue or such other cash sources as may be available to the Company
from time to time or purchased under a tender offer or by a market
maker will be redesignated as Realisation Shares and the Portfolio
will be split in accordance with Article 8.7 into two separate and
distinct Pools namely the Continuation Pool comprising the assets
attributable to the Continuing Ordinary Shares and the Realisation
Pool comprising the assets attributable to the Realisation Shares
(which assets will be managed in accordance with an orderly
realisation programme with the aim of making progressive returns of
cash to holders of Realisation Shares as soon as practicable) with
effect from the Reorganisation Date. In the event that some but not
all of the Ordinary Shares the holders of which have made
Realisation Share Elections (where this is available in accordance
with Article 8.2) or any Ordinary Shares the holders of which have
made Realisation Sale Elections are placed or repurchased by the
Company or purchased by a market maker, the Company shall ensure
that so far as is practicable, those Ordinary Shares are placed or
repurchased or purchased pro rata to the number of Ordinary
Shares in respect of which Shareholders have made Realisation
Elections.
8.7 The Board shall divide and allocate the assets and
liabilities of the Company on the Reorganisation Date in the
following manner:
8.7.1 The assets of the Company, or on any Reorganisation Date
(a ‘‘Subsequent Reorganisation Date’’) on which Realisation Shares
(“Preceding Realisation Shares”) redesignated with effect from a
preceding Reorganisation Date are still in issue, the assets
attributable to the Ordinary Shares in issue immediately before the
Subsequent Reorganisation Date, shall be divided as at the opening
of business on the Reorganisation Date into two pools which will be
accounted for as two separate sub-portfolios, being respectively
the Continuation Pool and the Realisation Pool. Each of the
Company’s holdings of investments (excluding assets attributable to
holders of Preceding Realisation Shares) shall be split between the
Continuation Pool and the Realisation Pool pro rata as nearly as
practicable to the numbers of Ordinary Shares and Realisation
Shares (excluding any Preceding Realisation Shares) respectively in
existence immediately following Realisation and the remainder of
the assets and liabilities (excluding assets and liabilities
attributable to holders of Preceding Realisation Shares) being
apportioned to the Continuation Pool. Assets and liabilities shall
be allocated between the Continuation Pool and the Realisation Pool
in such manner as in the Board’s opinion best achieves the
objective of splitting the Company’s assets fairly between the
Continuation Pool and the Realisation Pool.
8.7.2 Costs and expenses of the realisation of assets comprising
the Realisation Pool will be attributed to the Realisation Pool and
the costs and expenses of reorganising the Company’s assets into
the Continuation Pool and the Realisation Pool (including without
limitation the preparation and publication of any prospectus or
other publication which may be required in connection with such
reorganisation) may be apportioned as between the Continuation Pool
and the Realisation Pool in the proportion that the Board in its
sole discretion deems fair and reasonable. In particular, the Board
may increase the proportion of cash to be allocated to a particular
Pool if they consider it would be equitable to both the holders of
Realisation
Shares and the holders of Ordinary Shares to do so, or if they
determine it is necessary or desirable to retain cash for the
Company’s working capital purposes, they may decrease the
proportion of cash to be so allotted and the Board may choose an
alternative allocation, or subsequently rebalance the Pools, in
respect of non-cash assets if they consider a pro rata allocation
to be impracticable or that to do so would be equitable to both
holders of Realisation Shares and the holders of Ordinary
Shares.
8.8 Ordinary Shares which are redesignated as Realisation Shares
will not rank for any dividend or other distribution declared, paid
or made on the Ordinary Shares after their redesignation.
8.9 The Board is authorised to cause the Company to repurchase,
redeem, convert or otherwise acquire and hold all or any
Realisation Shares in such manner and on such terms as the Board
may determine, and to redeem any such Realisation Shares inter
alia for any reason or for no reason at the Board’s absolute
discretion. The price of shares purchased by the Company may be
paid out of the share capital, share premium or retained earnings
to the fullest extent permitted under the Law.
8.10 A certificate for new Realisation Shares will be sent
within two Months of the Reorganisation Date to each holder without
charge, with a new certificate for any balance of Ordinary Shares
comprised in the surrendered certificate. To the extent that the
Realisation Shares are redeemed on Realisation, the Board need not
issue or despatch any certificate in respect thereof.
8.11 Existing Certificates for Ordinary Shares that have been
redesignated will cease to be valid.
8.12 If one or more Realisation Elections are duly made and the
Net Asset Value of the continuing Ordinary Shares at the close of
business on the last Business Day before the Reorganisation Date
(and where applicable the gross proceeds of any Realisation Issue)
is less than £100 million, the Realisation will not take place, no
Ordinary Shares will be redesignated as Realisation Shares and the
Portfolio will not be split into the Continuation Pool and the
Realisation Pool and with effect from the Reorganisation Date,
unless the Directors have previously been released from this
obligation by an Extraordinary Resolution, the investment objective
and investment policy of the Company will be to realise the
Company’s assets on a timely basis with the aim of making
progressive returns of cash to Members as soon as practicable. The
Directors will seek to liquidate the Company’s assets as
efficiently and at as much value as is possible.
8.13 The provisions of Articles 8 and 9 shall override all other
provisions of the Articles that may be inconsistent with Articles 8
and 9.
8.14 The Board may make such alterations to the timetable and
procedures as set out in Article 8 as it in its absolute discretion
considers appropriate to give effect to the intent of Article
8.
9. Rights of shares following the
realisation
9.2 The Realisation Shares shall have the following rights in
the event that the Realisation takes
place:
9.2.1 As to dividends
All profits of the Company available for distribution by way of
dividend and/or distribution from time to time and forming part of
or derived from the Realisation Pool (including accumulated revenue
reserves by way of dividend forming part of the Realisation Pool),
and resolved to be distributed shall be distributed to the holders
of Realisation Shares by way of dividend and, for the avoidance of
doubt Ordinary Shares which are redesignated as Realisation Shares
will not rank for any dividend declared or paid on the Ordinary
Shares after their redesignation.
9.2.2 As to capital
On a return of assets on a winding up of the Company, the
Realisation Shares carry a right to a return of the nominal amount
paid up in respect of such Realisation Shares and a right to share
pari passu and in proportion to the number of Realisation
Shares held, in the surplus assets of the Company remaining in the
Realisation Pool after payment of the nominal amount paid up on the
Realisation Shares and after payment of all liabilities attaching
to the assets in the Realisation Pool and any excess of those
liabilities over the amount of the assets in the Realisation Pool
will be paid out of the assets in the Continuation Pool.
9.2.3 As to voting
The holders of Realisation Shares shall, subject to any terms on
which any new Realisation Shares may be issued, or may for the time
being be held, and to the provisions of the Articles, receive
notice of, attend and vote at general meetings and shall have one
vote for each Realisation Share held, provided that they may not
vote on any proposed resolutions other than any resolution proposed
at any general meeting of the Company at any time at which
Realisation Shares are listed on the Premium segment of the
Official List (a) to give effect to the provisions of Article 9.2,
and (b) in respect of any matter prescribed by the Listing Rules as
requiring approval of the Shareholders of the Company.
9.2.4 As to class rights
Other than with respect to the Realisation or a winding-up in
the case of any proposals drawn up by the Board pursuant to Article
50.1, or if the Company is to be wound up pursuant to Article 8.12,
separate approval of the holders of Realisation Shares as a class
must be obtained in respect of any proposals which would modify,
alter or abrogate the rights attaching to the Realisation Shares
including for these purposes (a) any resolution to wind up the
Company, or to approve a takeover of the Company or any material
change to the investment policy applicable to the Realisation Pool
and (b) any proposal to issue or create Realisation Shares other
than pursuant to Realisation Elections (in respect of any
Reorganisation Date), in which circumstances the prior approval of
the holders of Realisation Shares as a class is required by the
passing of a resolution at a separate class meeting.
9.2.5 As to redemption
The cash received by the Company as a result of the realisation
of assets comprised in the Realisation Pool will be returned to the
holders of Realisation Shares as soon as practicable through any of
the following means or a combination thereof, at the discretion of
the Directors: capital distributions, and/or share repurchases
and/or redemptions, and/or tender offers. For the purpose of giving
effect to this provision the Board is authorised subject to the
provisions of the Articles, to cause the Company to repurchase,
redeem, convert or otherwise acquire and hold all or any
Realisation Shares in such manner and on such terms as the Board
may determine, and to redeem any such Realisation Share inter
alia for any reason or no reason at the Board’s discretion,
provided that the price paid per Realisation Share is equal to or
greater than the Net Asset Value per Realisation Share, calculated
as at the close of business on the first Business Day following the
date of the relevant Board decision, less any fiscal charges, fees
and expenses incurred by the Company as a result of such purchase,
redemption, conversion and/or acquisition. The price of shares
purchased and/or redeemed by the Company may be paid out of share
capital, share premium or retained earnings or any other reserve
forming part of the Realisation Pool to the fullest extent
permitted under the Companies Law.
The Realisation Shares created by the redesignation of Ordinary
Shares with respect to any Reorganisation Date shall be a separate
class of shares which shall be distinct from any Reorganisation
Shares created by the redesignation of Ordinary Shares with respect
to any Subsequent Reorganisation Date, the Realisation Pool created
on any Reorganisation Date shall be a separate pool of assets which
shall be distinct from any Realisation Pool created on any
Subsequent Reorganisation Date and accordingly each class of
Realisation Shares shall as a class have mutatis mutandis the
rights attributable to Realisation Shares under Article 9.2.
26. Borrowing powers of the board
The Directors may exercise all the powers of the Company to
borrow money for investment
opportunities and short-term liquidity purposes, to give
guarantees, hypothecate, mortgage, charge or pledge all or part of
the Company’s assets, property present or future) or undertaking
and uncalled capital, or any part thereof for the purposes of
financing capital distributions pursuant to the Realisation, share
repurchases or redemptions, making investments or satisfying
working capital requirements provided that borrowings of the
Company may not exceed 25 per cent. of the NAV of the Company as at
the time of drawdown (unless approved by the Company by an Ordinary
Resolution), and, subject to compliance with the Memorandum and
these Articles, to issue debentures and other securities whether
outright or as collateral security for any debt, liability or
obligation of the Company or of any third party.
The provisions of Article 8, 9, and 26 otherwise remain
unchanged. However, further technical changes to Articles 1, 23 and
52 have been made so that the Articles conform to Guernsey law, as currently in force and
Guernsey and UK current best
practice.
On 14 May 2019, the Company issued
70 million shares for a gross consideration of £80.1 million.
On 15 May 2019, Joanne Fintzen purchased 17,476 Ordinary
Redeemable Shares in the Company.
As at the date of this report, the Company had 523,064,151
Ordinary Redeemable Shares in issue.
CORPORATE INFORMATION
Directors
Trevor Ash (Chairman)
Ian Burns (Senior Independent Director)
Richard Burwood
Joanne Fintzen (appointed 7 January 2019)
Jeannette Etherden (retired 14 March 2019) |
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 |
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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 |
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