Final results for the year ended 31 March 202...

15 July 2026

TwentyFour Income Fund Limited

Final results for the year ended 31 March 2026

 

TwentyFour Income Fund Limited (“ TFIF ” or “the Company ”), the FTSE 250-listed investment company that invests in higher yielding, less liquid asset-backed securities (“ ABS ”), is pleased to announce its final results for the year ended 31 March 2026.

Financial highlights

• Total NAV return per ordinary share of 6.85% (2025: 13.61%)
• Full-year dividend payment of 10.81p per ordinary share, significantly ahead of the annual 8p target and achieved in a lower interest rate environment (2025: 11.07p)
• Total net assets rose to £926.53m (2025: £843.79m)
• £42.4m of gross demand raised at the Issue in October 2025, making it the third consecutive occasion that the Company has raised net funds at a Realisation Opportunity
• £113.4m of new funds raised during the year to 31 March 2026; £64.8m raised since the year-end, taking TFIF to a market capitalisation of £996m
• The Company continued to trade at an average premium of 1.41% during the period, in contrast to the wider investment company sector

Portfolio highlights

 

• Strong performance across European ABS with spread tightening reflecting persistent technical demand
• The portfolio ended the period with a book yield of 12% and a mark-to-market yield of 11.3%
• A key Collateralised Loan Obligation (“CLO”) trade during the period was the rotation from single B-rated notes to a blend of BB-rated notes and CLO equity positions
• Further to the change in the Company’s investment policy during the period, the Portfolio Manager (“TwentyFour”) has allocated to top tier US CLOs, where BB-rated tranches in particular are delivering attractive risk-adjusted returns
• Reduced exposure to Commercial Mortgage-Backed Securities (“CMBS”) as TwentyFour remains cautious about the valuations of commercial real estate assets, with a preference for logistics-backed assets with a diversified tenant base

Outlook

The war in the Middle East has impacted forecasts for interest rates and global growth, with the expectation of higher for longer rates, benefitting ABS and CLO investors due to the floating rate nature of these assets.

At the same time, TwentyFour remains cognisant of the potential for a deterioration in conditions for the underlying assets, particularly in relation to consumer credit, and therefore continues to allocate to secured assets, such as residential mortgage-backed securities (“RMBS”) and CLOs from established lenders in Western Europe.

ABS continue to benefit from strong technical demand whilst CLOs have experienced some softness in spreads due to concerns about the software sector, exacerbated by market volatility as a result of the conflict in the Middle East. Nonetheless, active management of the portfolio meant TwentyFour rotated into BB-rated and CLO equity positions, where it found greater returns and where it expects that the greater liquidity of the BBs and the higher expected yield from CLO equity, will give the fund additional flexibility and optionality in the future.

Over the medium term, expected regulatory changes in Europe, which will reduce capital charges against ABS and allow insurance companies to invest more efficiently in the sector, should result in a more diversified supply of assets, increasing demand from institutional investors, and further support the growth of the asset class.

Commenting on the results, Bronwyn Curtis OBE, Chair, said : “TFIF has had another strong year, maintaining its track record of delivering above-target income for investors, despite market volatility and a lower interest rate environment compared to the previous period.

“It has been a busy year for the Company, as we held a successful fourth, three-yearly Realisation Opportunity for investors, along with an Open Offer, Placing and Offer for Subscription, raising £27m of net new funds. The Company continued to issue shares in the market in response to investor demand, culminating in the Company achieving a market capitalisation of £996m since the year end (as at 10 July 2026), a testament to the performance of the Company since inception at IPO in 2013.

“Looking forward, the Board believes the Company is well positioned to continue to deliver a stable high income to investors, thanks to the active management and disciplined approach to risk of the team at TwentyFour.”

Aza Teeuwen, Portfolio Manager of TFIF said: “Although we remain cautious about the outlook, given geopolitical uncertainty and market volatility, ABS continue to benefit from attractive income levels, with the prospect of higher for longer interest rates supporting the ongoing provision of a consistent income.

“Our investment strategy remains focused on secured assets such as RMBS and CLOs from established lenders with strong track records in Western Europe, whilst also taking advantage of our expanded remit to allocate selectively in the US and Australia.”

Ends

For further information please contact:

Deutsche Numis
Matt Goss +44 (0)20 7547 0541
Hugh Jonathan

JPES Partners +44 (0)20 7520 7620
Charlotte Walsh

Northern Trust International Fund Administration Services (Guernsey) Limited
Dolly Dadzie +44 (0) 1481 745011

 

 

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

 

For the year ended 31 March 2026

LEI: 549300CCEV00IH2SU369
(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)

 

WHY INVEST IN TFIF?

 

Investment Objective and Investment Policy

The investment objective of TwentyFour Income Fund (the “Company” or “TFIF”) is to generate attractive risk-adjusted returns principally through income distributions. The Company’s investment policy is to deliver a target annual total return for investors of Sterling Overnight Indexed Average (“SONIA”) rate published by the Bank of England plus 6% to 8%, by investing in a portfolio of less liquid asset-backed securities (“ABS”) including (amongst others) Residential Mortgage-Backed Securities (“RMBS”) and Collateralised Loan Obligations (“CLOs”) in the UK, Europe, Australia and the US.

Why Invest in the Company?

• An investment company with a compelling track record

Actively managed by TwentyFour Asset Management LLP (“TFAM” or the “Portfolio Manager”), a leading manager of ABS portfolios, TFIF invests in secured assets, such as mortgages and secured corporate loans, from established lenders with a focus on short duration and strong liquidity to ensure flexibility in the portfolio. It has delivered a total return since inception of 170.30% or 7.90% on an annualised basis, and has not, to date, had a default in its portfolio.

• Delivery of a consistent and competitive income since inception and through the interest rate cycle

TFIF has consistently beaten its annual target dividend since inception and through the interest rate cycle. With a current target of 8p per Ordinary Share per year, the Company pays substantially all of its net income as dividends, currently comprising payments of 2p per Ordinary Share per quarter, with a final balancing dividend at the Company’s year end.

• Exposure to growing asset class via a liquid, London-listed company

TFIF provides an opportunity to invest in ABS within an exchange-tradable equity wrapper, making an otherwise less accessible and growing asset class available to investors.

• Regular realisation opportunity

The Company offers a realisation opportunity every 3 years whereby investors have the opportunity to sell their shares back to the Company at a 2% discount to net asset value (“NAV”) should they wish to exit.

• Portfolio diversification

With a low correlation to traditional asset classes, investing in TFIF can add diversification to portfolios, giving investors exposure to higher yielding, floating rate assets, which provide an income at a spread over SONIA.

 

All these features are subject to the disclosure and terms and conditions set out in the Company’s Prospectus dated 1 October 2025.

PERFORMANCE SUMMARY

NAV per Ordinary Share
As at 31 March 2026	As at 31 March 2025
108.98p	112.83p
Share Price
As at 31 March 2026	As at 31 March 2025
108.60p	111.60p
Total Net Assets
As at 31 March 2026	As at 31 March 2025
£926.53 million	£843.79 million
NAV Total Return per Ordinary Share
For the year ended 31 March 2026	For the year ended 31 March 2025
6.85%	13.61%
Dividends Declared per Ordinary Share
For the year ended 31 March 2026	For the year ended 31 March 2025
10.81p	11.07p
Dividends Paid per Ordinary Share
For the year ended 31 March 2026	For the year ended 31 March 2025
11.07p	9.96p
Ordinary Shares in Issue
As at 31 March 2026	As at 31 March 2025
850.21 million	747.84 million
Repurchase Agreement Borrowing
As at 31 March 2026	As at 31 March 2025
0.32%	0.50%
Number of Positions in the Portfolio
As at 31 March 2026	As at 31 March 2025
215	206
Average Premium/(Discount)
For the year ended 31 March 2026	For the year ended 31 March 2025
1.41%	(3.87%)

Please see the 'Glossary of Terms and Alternative Performance Measures' for definitions how the above performance measures are calculated.

C HAIR’S STATEMENT

for the year ended 31 March 2026

Bronwyn Curtis OBE

In my capacity as Chair of the Board of Directors of TwentyFour Income Fund Limited, I am pleased to present an update on the Company’s progress for the year ended 31 March 2026 (the “reporting period”).

The Company is a FTSE 250, closed-ended investment company which invests in less liquid ABS, within a liquid exchange-tradable equity wrapper. Being an income fund, the Company operates a full payout model, meaning substantially all income is paid as dividends every year. It has consistently delivered its target annual net total NAV historic return of 6-9% per annum of the original issue price since inception in 2013, throughout the interest rate cycle, and has, to date, never had a default in its portfolio.

We are proud of the Company’s track record, delivering on its investment strategy for investors, which was recognised during the reporting period by Square Mile Research, awarding the Company an ‘AA’ rating and including it in their Academy of Funds. The Company’s investment strategy, delivered through the expertise and active management of the team at TwentyFour Asset Management LLP, has been key to the Company’s success to date.

In October 2025, the Company went through its triennial Realisation Opportunity, which was undertaken alongside a Placing, Offer for Subscription and Open Offer (the “Issue”), to enable the Company to raise further capital in response to market demand. The process also allowed the Board to engage with the Portfolio Manager to adjust the Investment Policy, expanding the portfolio’s investment universe to new markets, and updating the target return. Adding to the Company’s current European focus, the Company believes that both the US and Australian markets provide complementary exposures which could enhance portfolio diversification while offering potential for capital and income generation.

Separately, whilst the 6 to 9% target return was an appropriate return in a low-interest rate environment, as UK interest rates have increased, the Company’s total annual returns have significantly exceeded the top end of the current range. It was therefore decided that a variable target return linked to the SONIA would be more appropriate for the Company, leading to an adjustment to target a net total return of SONIA plus 6 to 8%.

We believe these updates, which were approved by the shareholders and announced in the 1 October 2025 prospectus, position the Company well for continuing to deliver to its shareholders going forward.

The Issue saw a gross demand of £42.4m, consisting of £26.4m under the Open Offer, £12.2m under the Placing and £3.8m through the Offer for Subscription. We were thrilled with the success of the Realisation Opportunity and the Issue as a whole, with all shares elected for realisation (13.4m) being used to satisfy demand pursuant to the Issue. This is the third consecutive occasion that the Company has been able to raise net funds at a Realisation Opportunity, which acts as an important discount control mechanism for the Company, giving our shareholders comfort that they are able to redeem their shares at a 2% discount to NAV every three years, regardless of the discount (or premium) at which their shares are then trading.

Overall, we have raised £178.2m in new funds since 1 April 2025, both through this Issue and various tap Issues, in an otherwise muted fund-raising environment in the investment company sector.

Since the year end, we have raised £68.4m in new funds, reflecting ongoing investor demand and helping the Company reach a market capitalisation of £996m as at 10 July 2026.

Consolidation in the investment industry, particularly amongst wealth managers, has increased the importance of a company’s size with the existence of fewer buy lists. TFIF’s continued growth gives it additional visibility amongst end investors.

Whilst the market capitalisation may fluctuate, particularly post dividend payment dates, the growth of the Company is a testament to the continued performance of the Portfolio Manager and the delivery of a consistent income for shareholders.

Investment Performance

In April 2026, the Company announced the fourth-quarter dividend for the financial year ended 31 March 2026 at 4.81p per Ordinary Share. This made the overall dividend declared with respect to the reporting period 10.81 pence per Ordinary Share. The strategy of investing in higher-yielding floating rate ABS in a higher interest rate environment has enabled the Company to deliver these attractive dividends, as substantially all excess investment income is paid out each year.

During the reporting period, the NAV per Ordinary Share moved from 112.83 to 108.98, a decrease of 3.41%, but delivering a positive NAV per Ordinary Share total return of 6.85%. The Company traded at a premium to NAV for most of the year, dropping temporarily to a narrow discount of 0.35% at the end of March 2026 amidst wider market volatility.

The Company issued 159.4 million Ordinary Shares between April 2025 and the end of June 2026. No shares were bought back during the reporting period.

The Company has not had any defaults in its investments since it was launched in 2013 and the portfolio did not see any material interest deferrals or defaults during this reporting period, outside of the Realisation Opportunity.

 

Dividend

The Company operates a full payout model, meaning it aims to distribute substantially all its investment income to ordinary shareholders, by currently targeting quarterly payments equivalent to an annual dividend of at least 8p per Ordinary Share per year. The fourth quarter balancing dividend is used to distribute any residual income generated in the year. This year, the fourth quarter dividend was 4.81p per Ordinary Share, with the dividends declared by the Company with respect to the reporting period totalling 10.81p per Ordinary Share. This almost matches last year's record annual dividend of 11.07p per Ordinary Share, with the return generated this year having been achieved in a lower interest rate environment.

 

The Company was also pleased to offer shareholders the opportunity to reinvest their dividends, with the introduction of a Dividend Reinvestment Process (“DRIP”) for the first time, for the quarter ended 31 March 2026, which will continue to be offered on an annual basis for the fourth quarter balancing dividend.

 

Premium/Discount and Share Capital Management

The wider investment company market saw trading at historically wide discounts across the board, with the Company remaining one of the best performers in its market. The Company’s Ordinary Shares traded at a premium to NAV for the majority of the reporting period at an average premium of 1.41%. The premium moved to a narrow discount of 0.35% by 31 March 2026 amidst wider market volatility as a reaction to the conflict in the Middle East.

Annual General Meeting

The Company’s 2026 Annual General Meeting (“AGM”) will be held on 10 September 2026 at the offices of Northern Trust International Fund Administration Services (Guernsey) Limited (the “Administrator”), Trafalgar Court, Les Banques, St Peter Port, Guernsey, Channel Islands at 9:00am.

 

Market Overview

The reporting period was characterised by heightened geopolitical and trade tensions, which drove bouts of market volatility and reinforced inflationary pressures. Tariff measures in the US and an escalating conflict in the Middle East, which have caused an associated rise in energy prices, have delayed expectations for monetary easing, with markets now pricing a more prolonged period of elevated interest rates. While labour markets have begun to soften, lending activity across Europe has shown signs of recovery, albeit with tighter underwriting standards. Mounting concerns over artificial intelligence (“AI”) valuations and the sustainability of capital expenditure cycles have driven notable price volatility across the software sector and prompted a broader reassessment of credit risk pricing within the technology industry.

Against this backdrop, ABS have remained relatively resilient, supported by stable collateral performance and strong technical demand. Spreads tightened across much of the market and income generation remained attractive, although some regional divergence and early signs of consumer pressure warrant continued monitoring.

For much of the rest of the UK investment company sector, the environment has remained challenging, but despite this, the Company has continued to exceed its targets. Elevated interest rates and macroeconomic uncertainty have contributed to persistent discount volatility and subdued investor flows, while the sector has also experienced increased scrutiny from activist investors, most notably Saba, targeting funds where discounts have remained wide.

Income-focused strategies, particularly those benefiting from floating rate exposure, have been more resilient. Against this backdrop, the Company has continued to perform ahead of expectations, reflecting the strength of its portfolio construction and the effectiveness of its investment approach.

The Board is encouraged by this relative outperformance and remains focused on sustaining strong risk-adjusted returns, maintaining liquidity and capital discipline, and taking a proactive approach to shareholder engagement and discount management to support long-term value creation.

Environmental, Social and Governance (“ESG”)

The Board recognises that effective consideration of ESG factors is integral to the delivery of sustainable, long-term returns for shareholders, and works with the Portfolio Manager in considering the Company’s ESG approach. The Portfolio Manager is a signatory of both the UN Principles for Responsible Investment (“UN PRI”), and the UK Stewardship Code, and values ESG analysis as integral to its primary goal of delivering capital preservation and performance for the Company.

The specialist structures and complexity associated with this ABS makes ESG data gathering more challenging in comparison with more mainstream bond markets, but the Portfolio Manager has worked extensively with issuers to close this data gap and has also extended its proprietary ‘Observatory’ ESG model to cover ABS-specific metrics.

During the reporting period, the Portfolio Manager has maintained its engagement with lenders regarding Scope 3 financed emissions within RMBS and ABS transactions, and increased its focus on natural disaster risks, which reflected evolving market priorities. The Portfolio Manager continued to be involved in several ESG initiatives on the CLO side, through the European Leveraged Finance Association (“ELFA”), and remains committed to emphasising governance practices in managing CLOs, especially those post the reinvestment period.

The Board is satisfied that ESG factors are appropriately reflected within the Company’s disciplined investment approach and that a focus on robust structures and issuers remains central to protecting shareholder value.

Outlook

From the Board’s perspective, securitised markets have remained resilient overall, although some divergence has emerged, most notably within CLOs where higher-yielding tranches have experienced greater spread volatility. ABS markets have continued to benefit from strong demand and a tightening bias. In the context of ongoing geopolitical and macroeconomic uncertainty, the floating rate nature of these assets has provided a degree of insulation and continues to support attractive income generation.

The Board believes this positions the Company well within the UK investment company sector, where income visibility and resilience remain key drivers of investor demand. The Company’s focus on delivering stable high income, combined with a disciplined approach to risk, has supported its strong relative performance despite a more volatile market backdrop.

While developments in the Middle East have shifted expectations for interest rates and global growth, securitised assets have continued to demonstrate their defensive characteristics. The Board does not currently anticipate material deterioration in underlying collateral, but remains mindful of evolving risks; particularly in relation to consumer credit conditions. A selective and cautious approach will therefore continue to be maintained, with close monitoring of market developments to support the delivery of sustainable shareholder returns.

Bronwyn Curtis OBE
Chair
14 July 2026

PORTFOLIO MANAGER’S REPORT
for the year ended 31 March 2026
TwentyFour Asset Management LLP

TwentyFour Asset Management LLP, in our capacity as Portfolio Manager to the Company, are pleased to present our report on the Company’s progress for the year ended 31 March 2026.

Market Environment

The reporting period was defined by rising trade and geopolitical tensions globally. In April 2025, President Donald Trump’s ‘Liberation Day’ announcement triggered a two-day sell-off of around 10% in the S&P 500 Index, outlining a range of so-called reciprocal tariffs that the US sought to impose on most of its international trade partners. Tariffs continued to dominate the agenda into the second half of the reporting period, adding upside risks to inflation while importantly, also reducing certainty around global trade.

Conflicts in the Middle East intensified at several points during the period, culminating in a significant escalation in the joint US-Israeli operation directed at Iran and its proxies towards the end of the reporting period. Energy prices reacted dramatically, not least due to the closure of the Strait of Hormuz, impacting global markets. Inflation in the UK and Europe in particular, saw the impact of the Brent Crude price rally, with the regions more exposed to oil from the Middle East. The rhetoric from both sides has been conflicting and the negotiations have been volatile, with enough disruption to date to impact both fiscal and monetary policy globally.

Investors have increasingly priced in more persistent inflation across global economies; as fiscal headroom has remained constrained. Labour markets loosened over the reporting period, with unemployment rising against the backdrop of the tight labour markets seen in the post-Covid-19 era. At the time of writing, UK unemployment stood at 5.2%, while Germany’s rate had risen to 6.5%. Youth unemployment increased more sharply, which potentially reflected the effects of disruption caused by AI or targeted wage policy changes.

Mortgage lending continued to recover and demand for credit across Europe generally picked up among consumers. This was accompanied by a tightening of lending standards by European banks, particularly towards the end of 2025. ABS performance remained strong, with ratings and underlying asset performance showing resilience and generally staying well within investor tolerance levels. Delinquencies remained elevated in Germany, which reflected the weaker labour market; and divergence between lenders became increasingly apparent.

During the period, the software sector came into focus as investors questioned the sustainability of AI-linked capital expenditure and the potential disruption risks for traditional service providers. This debate contributed to a decline in the European loan index, which ended the period at 94.5, down three points on a 12-month basis. Market sentiment drove much of this move, and although some level of disruption is still likely, corporates generally continued to perform well. The default rate for European loans remained below the long-term average, at 1.57% in February 2026. This naturally led to greater dispersion within the CLO market, most notably in single-B and equity tranches.

Broad spread tightening was observed across fixed income markets, including ABS, supported by relatively stable macroeconomic conditions and positive technical demand. Supply was strong, with €256bn of gross issuance in the 2025 calendar year, supported by a very active market for CLO refinancing of existing deals, which involves extending the life of CLOs and reducing finance costs. Liquidity conditions also remained strong, supported by healthy primary issuance. However, the interest rate easing cycle has been delayed, and in some cases could reverse, given the inflationary pressures due to the conflict in the Middle East. While this environment will support income available to ABS, consumers are expected to remain under pressure, thus monitoring of collateral will continue to be a focus.

 

Performance

European ABS performance was strong across the board over the reporting period. CLO spreads began the year at relatively tight levels following the significant rally in February 2025 and ended the period broadly flat, given the recent software sector headlines and market volatility from the conflict in the Middle East. In the ABS market, spreads generally tightened, which reflected persistent technical demand. Mezzanine ABS were the largest beneficiary of this tightening, with BB-rated UK RMBS trading at 2.6% over the SONIA. ABS investors continued to benefit from floating rate coupon income driven by the rate environment.

Fundamental performance has remained well within base-case expectations, while house prices have benefited from stimulated demand and persistent undersupply across both Europe and the UK. Overall risk sentiment has remained broadly positive, although there has been greater tiering within the CLO market, which is justified due to the rise in idiosyncratic credit events. Given the expected regulatory changes, which should reduce capital charges against ABS, a tightening bias is anticipated, particularly for simple, transparent and standardised (“STS”) senior ABS and AAA rated CLOs. Although issuance in the commercial mortgage-backed security (“CMBS”) market increased, we have remained cautious about valuations and underlying collateral performance, particularly for deals secured on single assets such as shopping malls or offices with concentrated tenants’ exposure. We favour CMBS transactions backed by logistics assets with a diversified tenant base, as these exhibit lower concentration risk and more resilient collateral performance. The STS market continued to grow, in geography and asset type, which was met by significant demand, as yields continued to attract investors.

The NAV per Ordinary Share total return was 6.85% during the year to 31 March 2026.

Portfolio Events

We have both added and reduced risk in the Company’s portfolio on many occasions over the reporting period, mostly by rotations in the CLO bucket, and from crystallising profits in the RMBS and ABS positions. Liquidity in the securitised market was strong over the period, as international accounts were active in both the ABS and CLO markets.

The portfolio allocation approach remained broadly unchanged over the course of the year, with secured assets (RMBS and CLOs) favoured over unsecured assets from Western European lenders.

Strong investor demand compressed credit spreads, particularly in European ABS, where the Company’s portfolio was less actively positioned. We have also continued to reduce exposure to underperforming CMBS transactions. In the CLO market, a key trade was a rotation from single B-rated notes into a blend of BB-rated notes and CLO equity positions, targeting managers who deployed capital effectively into a fast-moving loan market and created value for equity holders through trading gains. Equity holders benefit from these trading gains and we see returns of CLO equity notes having more upside than single B-rated notes. We have reduced exposure to single B-rated notes in shorter CLOs managed by higher beta CLO managers, where we have seen exposure to distressed assets increasing in these portfolios.

Following the change to the Company’s investment policy in October 2025, we have also been able to add increased diversification to the portfolio via US CLOs from top tier managers. The US CLO market, the largest globally with over $1 trillion in outstanding issuance, continues to offer attractive risk-adjusted returns, particularly in mezzanine tranches and we expect to see more opportunities in future in US CLOs in particular. Australian RMBS remain among the highest-quality mortgage-backed securities globally, benefiting from a strong legal framework, full recourse lending, conservative underwriting standards and Australian ABS is now compliant with EU Securitisation Regulation. Despite broader global macro uncertainty, Australian household balance sheets remain robust, with low arrears and high levels of mortgage serviceability. Spread premiums in this sector remain elevated compared to historical norms, creating an attractive entry point for long-term investors seeking income and credit stability. The growth of the Australian market has resulted in significantly increased liquidity in the Company’s target investments.

The Company’s gearing was reduced by 0.2% over the period to 0.53%, a low level versus the limit of 25%, although we remain flexible in deploying this, should opportunities arise. At the end of the reporting period, we hedged part of the CLO market risk with an outright iTraxx Crossover position to reduce NAV volatility.

Portfolio Strategy

The focus during the reporting period was, and will continue to be, on investing in higher-yielding floating rate ABS, which, given the potential outlook for base rates, should continue to provide robust income, enabling the Company to continue to deliver on its annual target dividend. At the end of the reporting period, the portfolio had a healthy book yield of 12.0% and a mark-to-market yield of 11.3%. Spreads in the ABS market generally tightened through the year, meaning we were able to crystallise profits on various older investments in favour of primary supply. In the CLO market, given the tail risk of credit in older transactions, we favour holding a combination of equity and BB investments over single-Bs. We continue to allocate to the Significant Risk Transfer (“SRT”) sector, including corporate collateral and secured assets. There has been a degree of amortisation here, where we intend to replace risk.

We do see potential downside to fundamental performance, particularly for consumers in the UK, where inflationary shocks from the Middle East could act in conjunction with a weakening labour market. There are also segments of the loan market, such as chemicals and software, which are likely to see continued pressure. Given these factors, we continue to favour secured collateral (mortgages, senior secured corporate loans, auto loans, etc.) from Western European countries; where governments have a proven track record of supporting consumers and corporates during recessions.

ESG

ESG disclosures in the ABS market continued to improve over the reporting period. We maintained engagement with lenders to improve disclosure of emissions on portfolios of mortgages and auto loans, respectively in RMBS and ABS transactions. We have also increased our engagement with lenders on broader ESG topics such as natural disaster risks, which reflected evolving market priorities.

ESG-labelled issuance declined over the period, driven partly by the removal of the ‘social’ label by one issuer. However, there was an expansion of issuance linked to energy-efficient assets, such as heat pumps, which was well-received by the market. We were also involved in several initiatives on the CLO side through the ELFA. The latest initiative involved compiling a set of disclosure requests for CLO managers to include in periodic reporting. At the portfolio level, we focused on engagement with CLO managers, emphasising governance practices in managing CLOs, especially those post-reinvestment period.

Market Outlook

On balance, spread products performed well, although market sentiment towards ABS and CLOs diverged at the end of the reporting period. In the ABS market, issuance continued to be met with strong demand, maintaining a tightening bias across some segments. In the CLO market, a busy issuance pipeline combined with weakness in the software sector to create some softness in spreads, most notably in higher-yielding tranches, which intensified due to geopolitical volatility.

The war in the Middle East has swiftly changed expectations of rates and global growth in at least the medium term. The low-rate volatility of securitised products supported the sector during March, and ABS and CLO bondholders will benefit from any rate hikes given the floating coupon. Of course, the changing macroeconomic environment will bring performance concerns for consumers, especially where labour markets are on a weakening trajectory and if inflation accelerates. Although we don’t expect a significant deterioration of securitised asset pools, we will continue to prioritise established issuers with a proven track record.

European securitised products should continue to benefit from attractive income levels, with interest rates now expected to remain higher for longer. Demand is growing – particularly from insurers positioning ahead of upcoming regulatory change – and the expanding universe of issuers and structure gives us more opportunity to find value across the credit spectrum. We remain cautious given the potential for further geopolitical escalation, however, the technical tailwind is real and we remain constructive on the long-term trajectory of the asset class.

TwentyFour Asset Management LLP

14 July 2026

TOP TWENTY HOLDINGS
as at 31 March 2026

						Percentage of Net Asset Value
	Nominal/		Asset-Backed		Fair Value
Security	Shares		Security Sector*		£
VSK HOLDINGS LTD '4 C7-1' VAR 30/11/2056	4,675,500		RMBS		44,034,352		4.75
WILMSLOW ASSET BACKED SECURITIES SR 1 CL B FLTG RT	26,897,000		RMBS		26,897,134		2.90
DEUTSCHE BANK AG/CRAFT 202 '1X CLN' FRN 21/10/2035	33,000,000		SRT		25,024,643		2.70
UK MORTG CORP FD DAC SER KPF6 CL W 0.0% 30/11/70	19,028,611		RMBS		22,992,347		2.48
UK MORTGAGES CORP FDG DAC KPF1 A 0.0% 31/07/2070	15,772,299		RMBS		21,030,957		2.27
UK MORTGAGES CORPORATE F 'KPF4 A' 0.00% 30/11/2070	21,323,965		RMBS		19,398,709		2.10
DEUTSCHE BANK AG/CRAFT 202 '1X CLN' FRN 21/11/2033	22,000,000		SRT		17,357,960		1.87
LLOYDS BANK PLC FRN 19/11/2029	16,750,000		SRT		17,074,515		1.84
EQTY. RELEASE FNDG. NO 5 '5 B' FRN 14/07/2050	16,500,000		RMBS		15,157,214		1.64
UKDAC MTGE 'KPF3 A' 0.0% 31/7/2070	14,182,150		RMBS		13,074,864		1.41
RRE 8 LOAN MANAGEMENT DAC '8X DR' FRN 15/07/2040	13,000,000		CLO		11,151,304		1.20
BBVA CONSUMO FTA '1 D' FRN 21/08/2038	11,851,697		Consumer ABS		10,455,640		1.13
ARMADA EURO CLO IV DAC '4X FR' FRN 15/01/2038	12,500,000		CLO		10,310,006		1.11
TULPENHUIS 0.0% 18/04/2051	10,257,270		RMBS		8,992,813		0.97
CAIXABANK CONSUMO 7 FT '7 E' FRN 23/04/2038	10,000,000		Consumer ABS		8,755,210		0.95
SANTANDER CONSUMO 10 FT '10 E' FRN 22/05/2041	10,000,000		Consumer ABS		8,753,185		0.95
MILTONIA MTG. FIN. SRL '1 D' FRN 28/04/2062	10,000,000		RMBS		8,513,190		0.92
TIKEHAU CLO XII DAC '12X F' FRN 20/10/2038	10,000,000		CLO		8,180,100		0.88
SYMPHONY CLO 37 LTD '37X ER2' FRN 20/01/2037	10,750,000		CLO		8,170,663		0.88
HIGHWAYS 2021 PLC '1X D' FRN 18/11/2026	8,000,000		CMBS		8,045,012		0.87
					313,369,818		33.82

The full portfolio listing as at 31 March 2026 can be obtained from the Administrator on request.

 

* Definition of Terms
“CLO” – Collateralised Loan Obligations
“CMBS” – Commercial Mortgage-Backed Securities
“RMBS”- Residential Mortgage-Backed Securities
“SRT” – Significant Risk Transfer

STRATEGIC REPORT

for the year ended 31 March 2026

The Directors submit to the shareholders their Strategic Report for the year ended 31 March 2026.

Business Model and Strategy

The Company is a closed-ended investment company, incorporated with limited liability in Guernsey. The Company has been granted exemption from income tax within Guernsey and the Directors intend to continue to operate the Company so that this tax-exempt status is maintained.

Investment Objective and Policy

The Company’s investment objective and policy is to generate attractive risk adjusted returns principally through income distributions. Until 17 October 2025, the Company’s investment policy was to invest in a diversified portfolio of predominantly UK and European ABS. At an Extraordinary General Meeting held on 17 October 2025, the shareholders approved a change in the investment policy of the Company to invest in a diversified portfolio of predominantly UK, European, US and Australian ABS. The Company maintains a portfolio largely diversified by the issuer, it being anticipated that the portfolio will comprise at least 50 ABS at all times.

The strategy for the Company is to target less liquid, higher yielding ABS. These securities, whilst fundamentally robust, do not offer enough liquidity for use in 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 (“LSE”). The view of the Board is that this part of the fixed income market has been largely overlooked and therefore represents attractive relative value.

Income Distributions

The Company’s income consists wholly or mainly of investment income and the Ordinary Shares are designed to offer a consistent dividend yield. The Board intends to distribute substantially all of the Company’s income after expenses to the holders of the Ordinary Shares, paying quarterly interim dividends with equal amounts paid in June, September and December each year, with a fourth quarter dividend paying any remaining income for the year ending 31 March being declared in April.

The full year dividend per Ordinary Share for 2026 totalled 10.81p (2025: 11.07p) representing 99.92% of the total income available for distribution for the year for Ordinary Shares in issue as at 16 April 2026 (date of dividend declaration). This is in accordance with the dividend policy approved by shareholders at an extraordinary shareholders meeting in May 2019.

Long Term Growth in Capital Value

The asset value of the Company’s portfolio is heavily influenced by external macroeconomic factors. The Directors meet with the Portfolio Manager regularly to discuss the portfolio. Additional details are covered in the Chair’s Statement and Portfolio Manager’s Report.

Future Prospects

The Board’s main focus for the Company is to generate attractive risk adjusted returns principally through income distributions. The future of the Company is dependent upon the success of the investment strategy. The investment outlook and future developments are discussed in both the Chair’s Statement and the Portfolio Manager’s Report.

The Board meets at least annually, to consider the long-term strategy of the Company, incorporating presentations from the Portfolio Manager, Corporate Broker and other service providers, to inform discussions on longer-term opportunities and threats to the business. Focus is placed on principal and emerging risks which may have the potential to disrupt the business model.

Business Environment

 

Corporate Governance, Risk Framework and Internal Controls

The Board is responsible for establishing and maintaining an effective corporate governance, risk management and internal control framework and for reviewing its effectiveness. The Company has no staff and the Board delegates contractually, to third-party service providers for all of the Company’s operational requirements. The Company’s risk framework comprises six pillars:

• Regular reporting pursuant to an annual review of compliance with the UK Listing Rules;
• Annual review of compliance with the Association of Investment Companies Corporate Governance Code (the “AIC Code”);
• The establishment and annual review of a number of key policies, including those in relation to anti-bribery, information security, share dealing, insider information and disclosure;
• The appointment of an independent, EU regulated Alternative Investment Fund Manager ("AIFM") with responsibility for oversight of portfolio management, valuation, risk management, regulatory reporting and marketing. The AIFM reports to the Board on a quarterly basis and on an ad hoc basis when required. The activities of the AIFM and the Company’s custodian are also overseen by an independent depositary which reports to the Board on a quarterly basis;
• Regular review of a comprehensive risk matrix and the effective operation of internal controls in relation to those material risks; and
• Oversight of service providers, including regular reporting on their activities and policy maintenance in relation to market abuse, anti-bribery, anti-fraud, anti-tax evasion, anti-money laundering, data protection, information security and conflicts of interest. Review of internal controls reports from the Portfolio Manager and the Administrator and an annual assessment of all service providers through the Management Engagement Committee and an on-site visit by the Board to the Portfolio Manager’s main offices.

For the year ending 31 March 2027, the Company will be applying provision 34 of the AIC Code, which requires an annual review of the effectiveness of the Company’s risk management and internal control framework, incorporating details on the monitoring and review of all material controls, including financial, operational, reporting and compliance controls. The Board has carried out extensive preparatory work in order to be in a position to comply with provision 34 at its next financial year end and believes the risk and controls framework detailed above puts the Company in a good position to be fully compliant as at 31 March 2027.

Principal Risks, Emerging Risks and Uncertainties

The Board is responsible for determining the principal and emerging risks related to the Company’s long term strategic objectives and for reviewing the effectiveness of the Company’s system of internal financial and reporting controls. The Board has carried out a robust assessment of the principal risks and uncertainties facing the Company, by assessing the Company’s risk matrix, whilst focusing on internal financial and reporting controls and monitoring the investment limits and restrictions set out in the Company’s investment objective and policy. The Board also regularly meets to discuss any emerging risks affecting the Company and to establish effective controls to manage them.

 

The below risks are all considered principal risks affecting the Company.

 

Investment Valuation and Market Risk

Market risk is the risk associated with changes in market prices or rates including spreads, interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws and political circumstances, which may affect the value of the Company’s investments. Whilst the Company holds a diversified portfolio of assets, during rapid changes in market conditions it may be difficult to value certain investments and values may fluctuate considerably and quickly become out of date and may not reflect the value which would be realised on sale.

 

Liquidity Risk

Liquidity risk is the risk that the Company may not be able to sell securities at a given price and/or over the desired timeframe. Investments made by the Company may be relatively illiquid. Some investments held by the Company may take longer to realise than others and this may limit the ability of the Company to realise its investments and meet its target dividend payments in the scenario where the Company has insufficient income arising from its underlying investments. The Company has the ability to borrow to ensure sufficient cash flows and the Portfolio Manager maintains a liquidity management policy to monitor the liquidity risk of the Company.

Credit Risk and Investment Performance

Credit risk arises when the issuer of a settled security held by the Company experiences financing difficulties or defaults on its payment obligations resulting in an adverse impact on the market price of the security.

The Company holds debt securities including ABS which, compared to bonds issued or guaranteed by developed market 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 for an ABS is typically indicated by a credit rating which is assigned by one or more internationally recognised rating agencies. This does not amount to a guarantee of creditworthiness of an ABS 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 ABS issues. 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. Whilst they have been historically low since the inception of the Company, 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.

The Company is also exposed to unrated equity tranches of ABS that invest predominantly in the residential mortgage markets in the UK and the Netherlands where the Company originates and purchases securitisations, respectively. Under EU and UK laws, originators of securitisations are required to retain 5% of the value of their securitisation which creates a retention risk. As equity tranches bear first loss in the event of a default, the Company may also diversify its retention risk by holding more senior tranches in the securitisations that it issues, a process known as a vertical tranche retention. Realised default rates for RMBS securities have historically been very low since the global financial crisis.

 

In the event of a default of an ABS, the Company’s right to financial recovery will depend on its ability 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 by asset type 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. In respect of individual SRTs, the Company is directly exposed to the originating regulated entity as counterparty on whose balance sheet the loans are held. Information regarding investment restrictions that are currently in place in order to manage credit risk can be found in note 18 to the Financial Statements.

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 predominantly incurred in Sterling. The Company’s Financial Statements are presented in Sterling. Amongst other factors affecting the foreign exchange markets, events in the eurozone may 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.

Transaction Risks – Settlement and Counterparty Credit Risks

Settlement risk is the risk of loss associated with any security price movements between trade date and eventual settlement date should a trade fail to settle on time (or at all). The Company mitigates the risk of total loss by trading on a delivery versus payment (“DVP”) basis for all non-derivative transactions and central clearing helps to ensure that trades settle on a timely basis.

Where a market counterparty to an Over-the-Counter (“OTC”) derivative transaction fails, any unrealised positive mark to market profit may be lost. The Company uses OTC derivatives to hedge interest rate risk and mitigates this risk by only trading derivatives against approved counterparties which meet minimum creditworthiness criteria and by employing central clearing and margining where applicable.

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. 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 is also able to borrow against individual holdings in the portfolio via repurchase agreements which facilitate rapid tactical investments when opportunities arise.

 

The Portfolio Manager expects £83.5m of assets to have a Weighted Average Life of under 1 year. While market conditions are always subject to change, the Portfolio Manager does not currently foresee reinvestment risk significantly impacting the yield, nor affecting each quarter’s minimum dividend and recognises the need to be opportunistic as and when market conditions are particularly favourable in order to reinvest any proceeds or in order to take advantage of rapidly evolving pricing during periods of market volatility.

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, Independent Valuer, Custodian and the Depositary amongst others. The Board and its Audit Committee regularly review reports from key service providers on their internal controls, in particular, focussing on changes in working practices. The Administrator, Custodian and Depositary report to the Portfolio Manager any operational issues for final approval of the Board as required.

 

Accounting, Legal and Regulatory Risks

The Company is exposed to the risk that it may fail to maintain accurate or timely accounting records and published financial information or fail to comply with requirements of its Admission document, the regulations of the Financial Conduct Authority (“FCA”) or the Guernsey Financial Services Commission. The accounting records prepared by the Administrator are reviewed by the Portfolio Manager. The Portfolio Manager is responsible for estimating the remaining expected life of a security and its likely terminal value, by applying prepayment and forward cashflow assumptions in conjunction with third-party specialist cashflow data providers. This has an impact on the effective interest rate of the ABS, which in turn impacts the calculation of interest income. The Portfolio Manager, Administrator, AIFM, Custodian, Depositary and Corporate Broker provide regular updates to the Board on compliance with the Company’s Prospectus, the UK Listing Rules, the AIC Code 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.

 

Cyber Security Risks

The Company is exposed to the risk arising from a successful cyber-attack through its service providers. The Company requires its service providers to confirm 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.

Geopolitical Risk and Economic Disruption

The Company is indirectly exposed to the risk of geopolitical and economic events, covering disruption arising from economic uncertainty and volatility, including any change or disruption to global trade and economic policy, resulting from significant shifts in long-standing policy positions of major economies. When geopolitical risks are heightened, this raises the possibility of adverse shocks to both growth and inflation, which could lead to risk premiums demanded by the market rising as risk sentiment deteriorates and wider spreads that result in lower cash prices. The Board and Portfolio Manager monitor global events in order to mitigate any collateral impact on the Company and its performance including the current conflicts in Ukraine and the Middle East, and the threat of tariffs. Neither the Company, nor its key service providers hold any assets or have any operations in Ukraine, Belarus, Russia, or the Middle East, and there is not expected to be any direct adverse impact from military operations on the activity (including processes and procedures) of the Company. The Board remains fully supportive of the Portfolio Manager’s active strategy to continue to invest in higher yielding, floating rate ABS, which is expected to offer attractive opportunities to add exposure at materially wider spreads, should tariffs result in extended market volatility.

Climate Change Risk

The Board recognises the importance of this emerging risk which is the risk of the Company not responding sufficiently to evolving regulatory requirements or the expectations of stakeholders to assess and disclose the impact of climate change on investment portfolios and address concerns on what impact the Company and its portfolio has on the environment.

Regular contact is maintained by the Portfolio Manager and Corporate Broker with major stakeholders and the Board receives regular updates from the Portfolio Manager on emerging policy and best practice within this area and can take action accordingly.

ESG factors are assessed by the Portfolio Manager for every transaction as part of the investment process. Specifically for ABS, for every transaction an ESG assessment is produced by the Portfolio Manager and an ESG score is assigned. External ESG factors are factors related to the debt issuers of ABS transactions and they are assessed through a combination of internal and third-party data. Climate risks are incorporated in the ESG analysis under environmental factors and taken into consideration in the final investment decision. CO 2 emissions are tracked at issuer and deal level where information is available. Given the bankruptcy-remoteness feature of securitisation transactions, the climate risks which the Portfolio Manager considers more relevant and that are able to potentially impact the value of the investment are the ones related to the underlying collateral which include physical and transitional risks. Those risks are also assessed and considered as environmental factors in the ESG analysis .

 

Board Diversity

When appointing new Directors and reviewing its composition, the Board considers, amongst other factors, diversity, balance of skills, knowledge, gender, social and ethnic background and experience. As at 31 March 2026, the Board is comprised of two female and three male Directors. The Company has no employees .

The Board believes it is fully compliant with Listing Rules UKLR 6.6.6R(9) and UKLR 16.3.29R(1) in relation to board diversity which are:

• At least 40% of the Board are women (Currently 2 out of 5 Directors are female);
• At least one senior position held by a woman (Bronwyn Curtis is currently Chair and Joanne Fintzen is the current Senior Independent Director. As an externally-managed investment company with no chief executive officer or chief financial officer, the roles which qualify as senior under FCA guidance are Chair and Senior Independent Director. The Board also considers Chair of the Audit Committee to represent a senior role within this context); and
• At least one individual on the Board to be from a minority ethnic background. Additional detail is set out in the table below:

 

Name			Gender			Ethnicity
Bronwyn Curtis			Female			White European
John de Garis			Male			White British
Joanne Fintzen			Female			British/European Indian
Paul Le Page			Male			White British
John Le Poidevin			Male			White British

 

Environmental, Social and Governance

The Board recognises the importance of ESG factors in the investment management and in wider society. The Company is a closed-ended investment company with a specific purpose and without employees or executive directors. Given the Company’s activities, its own direct carbon footprint is negligible.

Any business travel by Board members is minimal and the Company no longer provides printed copies of its annual and interim financial statements. The Company has entered into contractual arrangements with its primary third-party service providers, all of which provide attestation to the Company that they have appropriate ESG policies in place.

The sustainability risks that the Company may be subject to are likely to have an immaterial impact on the value of the Company’s investments in the medium to long term due to the mitigating nature of the Portfolio Manager’s ESG approach as detailed below.

The key governance processes of the Company are set out in the Directors’ Report.

It is therefore the view of the Board that the direct environmental and social impact of the Company is negligible and that ESG considerations are most important in respect of the investment process for its portfolio. The Company has appointed the Portfolio Manager to advise it in relation to all aspects relevant to the investment portfolio.

In keeping with the Board’s expectation that ESG factors be taken into account, the Portfolio Manager has a formal ESG framework which incorporates ESG factors into its investment process. The Portfolio Manager has an ESG Committee representing all areas of its business, reporting into its Executive Committee. The Portfolio Manager is a signatory to the UK Stewardship Code and the UN’s Principles for Responsible Investment and has long-term commitments to industry level initiatives aimed at improving diversity in asset management.

ESG factors are assessed by the Portfolio Manager for every transaction as part of the investment process. Specifically for ABS, for every transaction, an ESG assessment is produced by the Portfolio Manager and an ESG score is assigned. External ESG factors are factors related to the debt issuers of ABS transactions and they are assessed through a combination of internal and third-party data. Climate risks are incorporated in the ESG analysis under environmental factors and taken into consideration in the final investment decision. CO 2 emissions are tracked at issuer and deal level where information is available. Given the bankruptcy-remoteness feature of securitisation transactions, the climate risks which the Portfolio Manager considers more relevant and that are able to potentially impact the value of the investment are the ones related to the underlying collateral which include physical and transitional risks. Those risks are also assessed and considered as environmental factors in the ESG analysis.

TwentyFour Asset Management LLP is a prominent investor in European ABS markets, and as one of the few that invests across the entire spectrum of asset types and ratings, the firm is a significant stakeholder in the market for the long term. The specialist structures and complexity associated with this asset class make ESG data gathering more challenging compared to more mainstream bond markets, but the Portfolio Manager has worked extensively with issuers on closing this data gap and have also extended their proprietary ESG scoring model to cover ABS-specific metrics. The Board and the Portfolio Manager believe this proprietary ESG work is unique in the European ABS space.

The Portfolio Manager is a member of the ELFA, which develops industry guidelines and standards to promote transparency and establish industry best practices within the European leveraged finance and CLO markets. A number of its ABS portfolio management team are members of ELFA’s CLO Investor Committee, including as the current Co-Chair. The Portfolio Manager also helped develop and launch the ESG CLO questionnaire and has worked on the project aimed at improving ESG data reporting on CLOs. The Portfolio Manager is also a member of the Association for Financial Markets in Europe (“AFME”). AFME works to promote a robust, connected and competitive financial system in the EU, UK and globally. The Portfolio Manager contributed to the development of a sustainable framework for securitisations and helped build the AFME ESG Due Diligence questionnaire, covering different ESG aspects at transaction, originator and servicer level.

In addition to this ‘top-down’ engagement at the industry level, the Portfolio Manager is committed to extensive ‘bottom-up’ engagement on behalf of themselves and clients. The ongoing due diligence is key to understanding the evolution of risks in the markets invested in, rather than just in relation to evaluating a specific transaction. External ESG factors are related to the debt issuers of ABS transactions and are assessed through a combination of internal and third-party data. The analysis focuses on the following key areas:

Borrower/Transaction analysis:

• Review of due diligence material, rating agency publications

• Sponsor meetings/deal roadshows

• Modelling and stress testing

• Assessment of the issuer’s existing ESG/Corporate Social Responsibility policies and existing/potential impact on environment and society

Scoring:

• Collection of ESG data through engagement and company reports

• ESG assessment using a combination of third-party provider and proprietary tools

• European ABS is not currently covered by ESG data providers, making it important to establish robust proprietary scoring policy. Ongoing monitoring and engagement have been a core part of the Portfolio Manager’s credit process since the business was founded. The Portfolio Manager’s proprietary ESG database system is utilised to record scoring and ongoing engagement

Investment decision:

• Integration of the ESG assessment into the transaction investment analysis

• ESG score recorded in the database and incorporated as a factor in relative value decision

• Review of the credit in Investment Committee

• Approved or Declined

Monitoring:

• Monitoring and updating of the ESG scores

• Analysis of additions/disposals from ESG perspective

• Monitoring of engagements

Further details of the ESG policies and practices of the Portfolio Manager can be found at:

https://www.twentyfouram.com/responsible-investment-policy

https://www.twentyfouram.com/corporate-social-responsibility

https://www.twentyfouram.com/esg-at-twentyfour-integration-and-engagement

 

Key Service Providers

The Board undertakes annual due diligence on, and ongoing monitoring of, all such Service Providers including obtaining a confirmation that each Service Provider complies with relevant laws, regulations and good practice.

The Administrator is a wholly owned indirect subsidiary of Northern Trust Corporation, which has adopted the UN Global Compact principles, specifically: implementing a precautionary approach to addressing environmental issues through effective programs, undertaking initiatives that demonstrate the acknowledgement of environmental responsibility, promoting and using environmentally sustainable technologies, and UN Sustainable Development Goals, specifically: using only energy efficient appliances and light bulbs, avoiding unnecessary use and waste of water, implementing responsible consumption and production, and taking action to reduce climate change.

 

Engagement and Voting

Wherever possible, on behalf of its investors, the Company is committed to actively engaging at a corporate, industry and regulatory level. The Company has contracted the Portfolio Manager to perform this function. The Investment Portfolio is comprised primarily of fixed income assets, the voting rights attributable to these types of securities are usually limited in scope, and the opportunity to engage at a corporate level is, in most cases, via interaction with senior management of companies during the due diligence process.

The Portfolio Manager considers engagement as a constructive, active dialogue between investors and companies on all aspects of their ESG performance. While fixed income investors do not have voting rights in the way shareholders do, larger firms typically issue bonds multiple times a year, which puts bondholders in a strong position to be able to influence corporate policy by engaging with management on an ongoing basis.

The Portfolio Manager aims to engage regularly with the management of every issuer held in the Company’s portfolio, to better understand their ESG strengths and weaknesses, monitor their direction of travel, and overall encourage better ESG practices.

As part of the Portfolio Manager’s commitment to the UK Stewardship Code, it publishes a quarterly summary of engagements with bond issuers, along with details of any resulting investment decisions.

A copy of the Portfolio Manager’s Engagement Policy can be found at https://www.twentyfouram.com/engagement-at-twentyfour.

Under the AIC Code, in the event that 20% or more of the shareholder votes are cast against a Board recommendation for a resolution, the Company should explain, when announcing the voting results, what actions it intends to take to consult shareholders in order to understand the reasons behind the result and following such consultation, should provide a final summary to shareholders and in the next annual report. There is nothing to report in respect of the shareholder votes held in the year.

Position and Performance

PRIIPs KIDs

The Company has published a Key Information Document (“KID”) in compliance with the Packaged Retail and Insurance-based Investment Products (“PRIIPs”) Regulation. The KID can be found on the Company website at the web address below:

 

https://twentyfourincomefund.com/documents/

The process for calculating the risks, cost and potential returns are prescribed by regulation. The figures in the KID may not reflect the expected returns for the Company and anticipated returns cannot be guaranteed.

 

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
• Earnings Per Ordinary Share
• Premium/Discount to Net Asset Value
• Ongoing Charges
• Dividends Declared

Net Asset Value

The NAV per Ordinary Share, including retained earnings, at 31 March 2026 was 108.98p, based on net assets as at this date of £926,531,731 divided by number of Ordinary Shares in issue of 850,205,296 (31 March 2025: 112.83p based on net assets of £843,786,521 divided by number of Ordinary Shares in issue of 747,836,661).

The NAV increase over the period has been driven by the strong performance of European ABS, with spreads tightening whilst base rates decreased, albeit remaining ‘higher for longer’, also driving coupon income for the Company’s portfolio holdings. Mezzanine RMBS and especially CLOs were the main beneficiaries of spread tightening, resulting in strong performance for the year for the portfolio holdings. Performance was also driven by the reinvestment of amortisations, and the accretive impact of share issuance over the period.

The NAV Total Return per Ordinary Share for the year was 6.85%. Additionally, the Company has paid out substantially all of its income as dividend, with the resulting impact on the NAV.

 

Share Price

The share price is the price per Ordinary Share trading on the LSE.

On 31 March 2026, the share price was 108.60p (31 March 2025: 111.60p).

Earnings per Ordinary Share – Basic and Diluted

Earnings per Ordinary Share is calculated by dividing the net earnings for the year of £54,827,418 (31 March 2025: net earnings of £104,731,066) by the weighted average number of shares for the year of 790,688,700 (31 March 2025: 747,836,661). The net income for the year has been primarily driven by income generated by the Company’s assets. Market sentiment is discussed in further detail within the Chair’s Statement.

For the year ended 31 March 2026, the earnings per Ordinary Share was 6.93p (31 March 2025: 14.00p).

Premium/Discount to NAV

The premium/discount to NAV is a percentage difference in the share price per share to the NAV per Ordinary Share. It is calculated by subtracting the share price from the NAV per Ordinary Share and dividing it by the NAV per Ordinary Share. If the share price is higher than the NAV per Ordinary Share, the shares are trading at a premium. If the share price is lower than the NAV per Ordinary Share, the shares are trading at a discount.

On 31 March 2026, the discount to NAV was 0.35% (31 March 2025: discount of 1.09%).

Ongoing Charges

Ongoing charges for the year ended 31 March 2026 have been calculated in accordance with the AIC recommended methodology. The ongoing charges represent the Company’s management fee and all other operating expenses, excluding finance costs, share issue or buyback costs and non-recurring legal and professional fees, expressed as a percentage of the average of the weekly net assets during the year.

The ongoing charges for the year ended 31 March 2026 were 0.98% (31 March 2025: 0.89%). The ongoing charges were calculated as follows:

						31.03.2026	31.03.2025
						£	£
Ongoing Charges
Average NAV for the year (a)						870,915,161	823,422,420
Total expenses						9,282,223	7,370,303
Less: Expenses not recognised as part of the AIC Ongoing Charges Methodology						(789,162)	(15,334)
Total recognised expenses (b)						8,493,061	7,354,969
Ongoing Charges (b/a)						0.98%	0.89%

Dividends

Since 24 February 2023, the annual target dividend has been 8 pence per Ordinary Share. This is in excess of the minimum dividend target of 6p for the year, which if not met, a Continuation Vote is required.

The dividend yield for the year ended 31 March 2026 was 9.95% (31 March 2025: 9.92%) meaning that the Company exceeded its dividend target for the current year. The following dividends were declared in respect of the year ended 31 March 2026:

Period to	Dividend rate per Ordinary Share (£)	Net dividend payable (£)	Ex-dividend date	Record date	Pay date
30 June 2025	0.0200	15,268,733	17 July 2025	18 July 2025	1 August 2025
30 September 2025	0.0200	15,585,733	16 October 2025	17 October 2025	3 November 2025
31 December 2025	0.0200	16,672,106	22 January 2026	23 January 2026	6 February 2026
31 March 2026	0.0481	41,616,375	23 April 2026	24 April 2026	29 May 2026

The Directors will continue to monitor the appropriateness of the dividend policy.

Viability Statement

Under the UK Corporate Governance Code, the Board is required to make a “Viability Statement” which considers the Company’s current position, principal risks, emerging 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 and that the business model is viable 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 ABS.

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, emerging risks and uncertainties summarised above.

The Board has also considered the Company’s expected 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;
• valuation analysis, including but not limited to, assessing the pricing accuracy of the underlying securities; and
• significant accounting judgements, estimates and assumptions, including but not limited to, the fair value of securities not quoted in an active market, estimated life of asset-backed securities and determination of observable inputs.

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 ended 31 March 2026.

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, 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 and interest income generation, over a three-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.

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 minimum dividend target annually during the three-year period. In the event that the Company does not meet the minimum dividend target annually, as disclosed in note 21, during the three-year period an Ordinary Resolution will be put to the shareholders, at the AGM following any reporting period in which the minimum dividend target of 6p per year is not met, with the continuation vote requirements set out in note 18.

The Company’s ability to continue to meet its dividend target is further disclosed in the Chair’s Statement.

 

Realisation Opportunity

The next realisation opportunity (“Realisation Opportunity”) is due to occur just after the AGM in Autumn 2028. The Directors’ view is that should the share price remain at the current levels, relative to the NAV, they would not expect to see a major incentive to redeem.

Whilst there is no degree of certainty, rather like the Realisation Opportunity that occurred during 2025, there may be some redemption requests. In the past, these have been matched by secondary selling of the redeemed shares to new purchasers. It is believed that the Realisation Opportunity is currently a low risk to the viability prospects of the Company.

Market Uncertainty

The year saw strong performance for most sectors held in the Company’s portfolio, especially secured assets such as RMBS, Auto ABS and CLOs, which were supported by robust fundamental performance, including low unemployment and a strong labour market. While this is in line with expectations, unsecured consumer lending did show weakening performance as arrears levels increased in Germany and Spain, showing that the more vulnerable borrowers struggled with the higher cost of living and increasing youth unemployment. These increases are not material enough to cause concerns on credit quality, but the Portfolio Manager has preferred secured lending for this reason.

Risk of Credit Losses

The risk of credit impairment and losses increased due to the risk of default, caused by higher levels of inflation and increasing global interest rates. The Portfolio Manager continues to stress test the holdings of the Company, under scenarios that specifically address the impact of these significant economic events on individual loan pools, and analyse the performance of the underlying investments.

The Portfolio Manager remains of the view that there is no material risk of credit issues on any holdings in the portfolio. The price recovery seen since October 2022 supports their view at the time that, based on their stress modelling, the material price moves seen were largely attributable to market liquidity rather than concerns around credit performance.

Between 31 March 2026 and the date of signing, the Company’s portfolio witnessed no defaults.

Section 172 Statement

Although the Company is domiciled in Guernsey, the Board has considered the guidance set out in the AIC Code in relation to Section 172 of the Companies Act 2006 in the UK. Section 172 of the Companies Act requires that the Directors of the Company act in the way they consider, in good faith, is most likely to promote the success of the Company for the benefit of all stakeholders, including suppliers, customers and shareholders.

Further information as to how the Board has had regard to the Section 172 factors:

Section 172 factors	Key examples	Locations
Consequences of decisions in the long term	Investment Objective and Policy	Strategic Report
	Future Prospects	Strategic Report
	Dividend Policy	Note 21
	Viability Statement	Strategic Report
Fostering business relationships with suppliers, customers and other stakeholders	Shareholders; Key Service Providers	Strategic Report; AGM; Monthly Factsheet and Commentary
Impact of operations on the community and the environment	Environmental, Social and Governance	Strategic Report
Maintaining high standard of business conduct	Corporate Governance	Directors' Report

Signed on behalf of the Board of Directors on 14 July 2026 by:

 

Bronwyn Curtis John Le Poidevin

Director Director

 

BOARD MEMBERS

 

Biographical details of the Directors are as follows:

Bronwyn Curtis OBE - (Non-Executive Director and Chair)

Ms Curtis is a resident of the United Kingdom, an experienced chair, non-executive director and senior executive across banking, media, commodities and consulting, with global or European wide leadership responsibilities for 20 years at HSBC Bank plc, Bloomberg LP, Nomura International and Deutsche Bank Group. She is currently non-executive director at BH Macro Limited and a number of private companies. She is also a regular commentator in the media on markets and economics. Ms Curtis was appointed to the Board on 12 July 2022 and was appointed Chair on 14 October 2022.

Joanne Fintzen - (Non-Executive Director and Senior Independent Director)

Ms Fintzen is UK-based with extensive experience in financial services and investment. A former Clifford Chance solicitor, she held senior legal roles at Citigroup, including European General Counsel for Citigroup Alternative Investments, supporting structuring for asset-backed securities, hedge funds, private equity and venture capital vehicles. She is currently a non-executive director of JPMorgan Claverhouse Investment Trust plc. She joined the Board on 7 January 2019 and became Senior Independent Director on 14 October 2022.

John de Garis - (Non-Executive Director and Chair of the Nomination and Remuneration Committee)

Mr de Garis is Guernsey-based with over 30 years’ investment management experience. He is Managing Director of Rocq Capital and was previously Chief Investment Officer at Edmond de Rothschild (C.I.) Ltd, having spent 17 years at Credit Suisse Asset Management leading European and Sterling fixed income. He began his career in London in 1987 and has also worked in fund management at Provident Mutual and MAP Fund Managers. He is a non-executive director of VinaCapital Investment Management Limited. He joined the Board on 9 July 2021.

Paul Le Page - (Non-Executive Director and Chair of the Management Engagement Committee)

Mr Le Page is Guernsey-based with over 25 years’ experience in investment and risk management. He was previously a senior portfolio manager at FRM Investment Management Limited (Man Group subsidiary), overseeing alternative funds and institutional portfolios exceeding $5bn. Prior to that, he led fund research and alternative fund portfolios at Collins Stewart Asset Management. He is currently a non-executive director of NextEnergy Solar Fund Limited, RTW Biotech Opportunities Limited, and Sequoia Economic Infrastructure Income Fund Limited. He joined the Board on 16 March 2023.

John Le Poidevin FCA - (Non-Executive Director and Chair of the Audit Committee)

Mr Le Poidevin is a Guernsey-based qualified accountant and former audit partner at BDO LLP in London, with over 30 years’ experience across UK, European and global markets. His expertise spans audit, corporate governance, risk management and financial reporting. Since 2013, he has served as a non-executive director and audit committee chair across listed and private companies and funds. He is currently a non-executive director of Super Group (SGHC) Limited, Foresight Group Holdings Limited, and several private entities. He joined the Board on 9 July 2021 and became Audit Committee Chair on 14 October 2022.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

Company Name					Stock Exchange
Bronwyn Curtis
BH Macro Limited					London
Joanne Fintzen
JPMorgan Claverhouse Investment Trust plc					London
Paul Le Page
NextEnergy Solar Fund Limited					London
RTW Biotech Opportunities Limited					London
Sequoia Economic Infrastructure Income Fund Limited					London
John Le Poidevin
BH Macro Limited (until 11 June 2026)					London
Super Group (SGHC) Limited					New York
Foresight Group Holdings Limited (effective 1 April 2026)					London

DIRECTORS’ REPORT

The Directors present their Annual Report and Audited Financial Statements (the “Financial Statements”) for the year ended 31 March 2026.

Business Review

The Company

TwentyFour Income Fund Limited was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Company’s Ordinary Shares were listed on the Official List of the FCA and admitted to trading on the Main Market of the LSE on 6 March 2013.

Investment Objective and Policy

The Company’s investment objective and policy is set out in the Strategic Report.

Premium/Discount to NAV

The Board monitors and manages the level of the share price premium/discount 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 Shares in issue immediately following Admission for trading on the LSE.

On 20 October 2025, a Realisation Opportunity was made pursuant to which investors were offered an opportunity to realise all or part of their Shareholding in the Company, with shareholders opting to redeem 13,408,436 Ordinary Shares for a consideration of £14,432,840. This resulted in a net issuance of 24,968,635 Ordinary Shares at a subscription price of 110.50 pence per Ordinary Share and the Company was able to raise £27m (net) as part of the placing, offer for subscription and open offer that accompanied the 2025 Realisation Opportunity.

A Realisation Opportunity, where shareholders of the Company may apply to redeem Ordinary Shares up to 56 days before the relevant AGM date of the Company (the “Reorganisation Date”), will be offered at the AGM of the Company every three years subject to the aggregate NAV of the Ordinary Shares held by shareholders who do not submit realisation elections in respect of those Ordinary Shares (“Continuing Ordinary Shares”) on the last business day before Reorganisation being not less than £100 million.

The next Realisation Opportunity is due to take place in Autumn 2028.

Shareholder Information

Shareholder information is set out in the Shareholder 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 exceeded its minimum dividend target of 6 pence per Ordinary Share per year, for the year ended 31 March 2026, meaning that as per the Company’s Articles, a Continuation Vote is not required.

The Company’s continuing ability to meet its dividend target, along with the Company’s ability to continue as a going concern, in light of the external geopolitical and macroeconomic factors, the increased risk of default due to levels of inflation generally remaining above target, the current outlook for the global interest rate environment and the next Realisation Opportunity have been considered as part of the Viability Statement.

On 31 March 2026, the Company’s cash balance was 6.65% of total net assets (2025: 2.92%).

Post-year end, the Company has maintained a positive cash balance and continues to meet liabilities when they fall due. The Portfolio Manager considers that cash management plays a key part in the management of the Company and continuingly monitors liabilities, including the Company’s quarterly dividends.

No material doubts in respect of the Company’s ability to continue as a going concern have been identified.

 

Results

The results for the year are set out in the Statement of Comprehensive Income. The Directors declared dividends of £89,142,947 in respect of income available for distribution earned during the year ended 31 March 2026, a breakdown of which can be found in note 21 to the Financial Statements. Dividends paid during the year amounted to £85,441,891 as recognised in the Statement of Changes in Equity.

Income available for distribution in any quarter comprises of (a) the accrued income of the portfolio for the period; (b) an additional amount to reflect any income purchased in the course of any Ordinary 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 risk-free rate differentials between each foreign currency pair; less (d) total expenditure for the period.

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 NAV, 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 15 to the Financial Statements.

 

The Board, through its Management Engagement Committee, has reviewed the performance of the Portfolio Manager and their fee basis and has concluded that it is in the interests of shareholders and the Company that the appointment of the Portfolio Manager should continue in order to best achieve the Company’s investment objectives.

Alternative Investment Fund Manager

Alternative investment fund management services have been provided by Waystone Management Company (IE) Limited (“Waystone”). The AIFM is entitled to receive from the Company a minimum fee of £65,000 per annum and fees are payable monthly or quarterly in arrears at a rate of 0.03% of the net assets below £250 million, 0.025% of the net assets between £250 million and £500 million, 0.02% on net assets between £500 million and £1 billion and 0.015% on net assets in excess of £1 billion. For additional information, refer to note 16 to the Financial Statements.

 

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 16 to the Financial Statements.

Directors

The Directors of the Company during the year and at the date of this Report are set out in the Corporate Information.

As at 31 March 2026, Directors of the Company held the following Ordinary Shares beneficially:

							31.03.26		31.03.25
							Number of Ordinary Shares		Number of Ordinary Shares
Bronwyn Curtis							138,984		114,154
John Le Poidevin							504,800		354,800
John de Garis							39,753		39,753
Joanne Fintzen							131,508		86,260
Paul Le Page							49,457		49,457

On 24 October 2025, the following Directors were allocated Ordinary Shares as part of the Placing programme, made available on the market as part of the Realisation Opportunity:

Bronwyn Curtis – 24,830 Ordinary Shares;

Joanne Fintzen – 45,248 Ordinary Shares; and

John Le Poidevin – 150,000 Ordinary Shares.

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 FCA requires all UK 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 2024 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 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 Code and the AIC Guide are available on the AIC’s website, www.theaic.co.uk. The UK Code is available on the Financial Reporting Council’s website, www.frc.org.uk.

Throughout the year ended 31 March 2026, the Company has complied with the recommendations of the 2024 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; and
• The means for the workforce to raise concerns.

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 fourth point is not applicable to the Company, as it has no employees.

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 at least 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 five 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 Chair is responsible for leadership of the Board and ensuring its effectiveness. Joanne Fintzen serves as Senior Independent Director.

 

Chair

The Chair is Bronwyn Curtis. The Chair of the Board must be independent for the purposes of Chapter 15 of the Listing Rules. Bronwyn Curtis is considered independent because she:

• 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 on 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, are fair, balanced and understandable and provide 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 Board has adopted a policy on the tenure of its independent Directors that aligns with the AIC Code that none of the Directors, including the Chair of the Board should generally serve for more than 9 years, even though the Board considers that boards of investment companies are more likely to benefit from a director’s long association with a company in that they will experience a number of investment cycles.

The Board has reviewed its composition and believes that the current Board mix, allied to its recruitment plans, provide an appropriate range of skills, experience and diversity. The Board is committed to following 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.

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 attend 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.

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		Remuneration and Nomination Committee Meetings
			Held	Attended	Held	Attended	Held	Attended	Held	Attended
Bronwyn Curtis			4	4	3	3	1	1	1	1
John Le Poidevin			4	4	3	3	1	1	1	1
John de Garis			4	4	3	3	1	1	1	1
Joanne Fintzen			4	4	3	3	1	1	1	1
Paul Le Page			4	4	3	3	1	1	1	1

The number of meetings held indicates the meetings held during each Director’s membership of the relevant Board or Committee during the year ended 31 March 2026.

In addition to the scheduled Board and Committee meetings, twelve ad hoc Committee of the Board meetings were held during the year, which were attended by those Directors available at the time.

 

Board Performance and Training

During the year, the Remuneration and Nomination Committee carried out a review of the Board’s performance. This followed the external review by Trust Associates Limited in the prior year. This review by the Remuneration & Nomination Committee determined the Board’s approach to corporate governance and its supervision of its regulatory compliance continued to be good and considered 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.

Re-Election of Directors

Under the terms of their appointment, each Director is required to seek re-election on an annual basis. At the 17 October 2025 AGM, all continuing Directors were re-elected. The Company may terminate the appointment of a Director without compensation immediately on serving written notice.

UK Criminal Finances Act 2017

In respect of the UK Criminal Finances Act 2017 which 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 reports 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 which meets at least once a year and comprises the entire Board, with Paul Le Page serving as chair. Its formal 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 11 September 2025 meeting and recommended the continued appointment of TwentyFour Asset Management LLP as Portfolio Manager is in the interest of shareholders. The Management Engagement Committee also recommended that the appointment of all the Company’s current service providers should continue.

 

Audit Committee

The Audit Committee comprises the entire Board, with the exception of the Chair of the Board, with John Le Poidevin serving as chair. The terms of reference of the Audit Committee provide that the Committee shall be responsible, amongst other things, for reviewing the annual and interim financial statements, considering the appointment and independence of the external auditor, discussing with the external auditor 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.

 

Remuneration and Nomination Committee

A Remuneration and Nomination Committee has been established consisting of all Directors, with John de Garis serving as chair.

The Remuneration and Nomination Committee met on 10 March 2026, where, following a review of external market data, levels of inflation and the time and responsibilities expected of Directors in future years, the Committee recommended Directors’ fee increases with effect from 1 April 2026. Further details on the Remuneration and Nomination Committee can be found in the Directors’ Remuneration Report.

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.

 

Internal Controls

In accordance with the AIC Code, 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 throughout the year. The Company’s risk matrix remains a 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 by the Board, identifying the risks facing the Company and then collectively assessing the likelihood and impact of each risk 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, safeguard Company assets and maintain reliable financial information and by its nature can only provide reasonable and not absolute assurance against misstatement and loss.

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 control 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 at this time.

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 service providers. 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 and from the Portfolio Manager in relation to its International Standard for Auditing Internal Controls in Service Organisations 3402 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 at least 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 in the Strategic Report.

 

Shareholder Engagement

The Board welcomes shareholders’ views and places great importance on communication with its shareholders. Shareholders wishing to meet the Chair and other Board members should contact the Company’s Administrator and a number of such meetings and presentations occurred during the year.

The Portfolio Manager and Corporate Broker maintain a regular dialogue with institutional shareholders, the feedback from which is reported to the Board and the Company also engages more wildly with shareholders through presentations on the Investor Meet Company platform (www.investormeetcompany.com).

The Company’s AGM provides a forum for shareholders to meet and discuss issues of the Company and shareholders with the opportunity to vote on the resolutions as specified in the Notice of AGM. The Notice of the AGM and the results are released to the LSE in the form of an announcement. Board members will be available to respond to shareholders’ questions at the AGM.

In addition, the Company has 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 31 March 2026 were as follows:

	Number of Ordinary Shares		Percentage of issued share capital
Rathbone Nominees Limited	84,761,843		9.97%
State Street Nominees Limited <OM04>	50,789,985		5.97%
The Bank of New York (Nominees) Limited	28,541,849		3.36%
Interactive Investor (EO)	27,514,411		3.24%

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 Ordinary Shares.

 

Disclosure of Information to Auditor

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 Auditor

A resolution for the reappointment of KPMG Audit Limited (formerly KPMG Channel Islands Limited) (“KPMG”) as auditor to the Company will be proposed at the AGM. KPMG has indicated their willingness to continue in office.

Signed on behalf of the Board of Directors on 14 July 2026 by:

Bronwyn Curtis John Le Poidevin
Director 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 IFRS Accounting Standards as issued by the International Accounting Standards Board (“IASB”) 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 are responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and 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 Accounting Standards as issued by the IASB 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 2026; and

(b) The Annual Report includes information detailed in the Corporate Information, Shareholder Information, Chair’s Statement, Portfolio Manager’s Report, Top Twenty Holdings, Board Members, Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges, Strategic Report, Directors’ Report, Statement of Directors’ Responsibilities, Directors’ Remuneration Report, Audit Committee Report, Alternative Investment Fund Manager’s Report and Report of the Depositary to the Shareholders and 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

Bronwyn Curtis John Le Poidevin
Director Director
14 July 2026

 

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 FCA. An ordinary resolution for the approval of the annual remuneration report will be put to the shareholders at the AGM to be held on 10 September 2026.

Remuneration Policy

The Company's policy in regard to Directors' remuneration is to ensure that the Company maintains a competitive fee structure in order to recruit, retain and motivate non-executive Directors of excellent quality in the overall interests of shareholders.

It is the responsibility of the Remuneration and Nomination Committee to determine and approve the Directors' fees, who will have given the matter proper consideration, having regard to the level of fees payable to non-executive Directors in the industry generally, the role that individual Directors fulfil in respect of Board and Committee responsibilities and the time committed to the Company's affairs. The Chair's remuneration is decided 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 aggregate amount of such fees does not exceed £400,000 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 2026, the Directors received the following annual remuneration in the form of Directors’ fees:

							31.03.26		31.03.25
							Total Fees (£)		Total Fees (£)
Bronwyn Curtis							80,750		75,000
John Le Poidevin							65,000		60,000
John de Garis							54,500		50,000
Joanne Fintzen							54,500		50,000
Paul Le Page							54,500		50,000
							309,250		285,000

During the year, the annual fees were £80,750 for the Chair of the Board, £65,000 for the Audit Committee Chair, £54,500 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and the Chair of the Management Engagement Committee, and £52,400 for all other Directors.

Effective 1 April 2026, following a review of external market data, levels of inflation and the time and responsibilities expected of directors in future years, the annual fees were increased to £95,000 for the Chair of the Board, £75,000 for the Audit Committee Chair, £57,200 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and Chair of the Management Engagement Committee, and £55,000 for all other Directors.

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 seek re-election on an annual basis. At the 17 October 2025 AGM, all Directors were 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.

The amounts payable to Directors shown in note 15 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 14 July 2026 by:

John de Garis

Chair, Remuneration and Nomination Committee

 

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 2026.

The Audit Committee has continued its 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, and 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 paying particular attention during the year to the Company’s overall corporate governance, risk and internal control framework as part of the Company’s preparations for the annual declaration on the effectiveness of material controls under provision 34 of the AIC Code, which will be disclosed in its financial statements for the year ending 31 March 2027.

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 operates within the principles 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 2024 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, Custodian and Depositary and the Board have established with respect to accounting, risk management, compliance, fraud and audit seeking reasonable assurance that such systems meet relevant legal and regulatory requirements. The Audit Committee also reviews the accounting and financial reporting processes, along with reviewing the role, 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. The Company’s 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, have relied on the overarching requirement placed on service providers under the relevant agreements to comply with applicable law, including anti-bribery laws. A review of service provider policies took place at the Management Engagement Committee Meeting, held on 11 September 2025. The Board receives confirmation from all Service Providers that there has been no fraud, bribery or corruption.

Financial Reporting and Significant Financial Issues

The Audit 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 auditor 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 £911,598,503 as at 31 March 2026 (31 March 2025: £835,130,603), which represents a substantial portion of the 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. Through regular reporting during the year by the Portfolio Manager, AIFM, Administrator, Custodian and Depositary, the Audit Committee received information on the sources of price information and robustness and reliability of the valuation process, as part of its consideration as to the reasonableness of the valuation of the investments held by the Company as at 31 March 2026.

(ii) Income Recognition:

The Audit Committee considered the calculation of income from investments recorded in the Financial Statements as at 31 March 2026. As disclosed in note 3(ii)(b) of the notes to the Financial Statements, the estimated life of ABS is determined by the Portfolio Manager, impacting the effective interest rate of the ABS 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.

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 considers 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 has also appropriately scrutinised the significant assumptions used for determining the value of assets and liabilities and, having reviewed the content of the Annual Report and Audited Financial Statements, has recommended them to the Board on the basis that, taken as a whole, they are fair, balanced and understandable and provide the information necessary for shareholders to assess the Company’s position and performance, business model and strategy.

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 auditor. 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.

 

Going Concern

The going concern basis can be found in the Directors’ Report.

External Auditor

The Audit Committee has primary responsibility for the effectiveness of the external audit process and for making recommendations to the Board on the appointment, independence, reappointment or removal of the external auditor and the planning, scope, quality of performance and cost effectiveness of the external audit process. The Audit Committee reviews and approves the external audit plan in advance of the audit and ensures throughout the year that any non-audit services proposed to be performed by the external auditor are in accordance with the Company’s policy on the provision of non-audit services, which is set out in the Audit Committee’s terms of reference. The external audit plan includes an analysis of the key audit risks and calculation of audit materiality which the Audit Committee considers in forming its assessment of key risks to the Company’s Financial Statements.

To assess the effectiveness of the external audit, members of the Audit Committee work closely with the Portfolio Manager and the Administrator to obtain a good understanding of the progress and efficiency of the audit. In particular, the Audit Committee reviews the following areas:

• the quality of the audit engagement partner and the audit team;

• the expertise of the audit firm and the resources available to it;

• identification of areas of audit risk;

• planning, scope and execution of the audit;

• consideration of the appropriateness of the level of audit materiality adopted;

• the role of the Audit Committee, the Administrator, the Portfolio Manager and third-party service providers in an effective audit process;

• communications by the auditor with the Audit Committee; and

• how the auditor supports the work of the Audit Committee and how the audit contributes added value.

Feedback in relation to the audit process and the effectiveness of the Portfolio Manager and Administrator in performing their roles is also sought from relevant parties, notably the audit partner and team. The auditor attends Audit Committee meetings on at least two occasions at which they have the opportunity to meet with the Audit Committee without representatives of the Portfolio Manager or Administrator being present. The effectiveness of the Board, the Administrator and the Portfolio Manager in the external audit process is assessed principally in relation to the timely identification and resolution of any process errors or control breaches that might impact the Company’s net asset values and accounting records. It is also assessed by reference to how successfully any issues in respect of areas of accounting judgement are identified and resolved, the quality and timeliness of papers analysing these judgements, the Administrator’s approach to the value of independent audit and the booking of any audit adjustments arising, and the timely provision of draft public documents for review by the auditor and the Audit Committee.

During the year, the Audit Committee performed its annual review of the independence, effectiveness and objectivity of the external auditor, in accordance with the FRC’s Revised Ethical Standard, 2024.

On a semi-annual basis, the auditor reports to the Audit Committee on the independence of its relationship with the Company including information about policies and processes for maintaining independence and monitoring compliance with relevant requirements.

Any other services for which the Company may appoint the auditor are only considered where they are in accordance with the FRC’s Revised Ethical Standard 2024, do not compromise auditor independence and where the auditor is considered best-placed amongst relevant service providers to provide such services, which must be pre-approved by the Audit Committee.

The following tables summarise the remuneration paid to KPMG and other KPMG member firms for audit and non-audit services during the year ended 31 March 2026 and the year ended 31 March 2025.

 

						01.04.25 to 31.03.26		01.04.24 to 31.03.25
KPMG Audit Limited - Assurance work							£		£
- Annual audit							161,500		156,000
- Interim review							36,225		35,000
Ratio of audit to non-audit work							1 : 0.22		1 : 0.22

 

Alongside auditor independence, the Audit Committee considers the quality of the audit plan, subsequent execution and composition of the audit team in formulating its recommendation to the Board regarding the reappointment of the external auditor.

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 14 July 2026 and signed on behalf by:

 

John Le Poidevin

Chair, Audit Committee

14 July 2026

ALTERNATIVE INVESTMENT FUND MANAGER’S REPORT

for the year ended 31 March 2026

Waystone Management Company (IE) Limited acts as the Alternative Investment Fund Manager (“AIFM”) of 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 and 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 Ireland (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

The AIFM has designed and implemented a remuneration policy (the “Policy”) in line with the provisions of S.I. 257 of 2013 European Union (Alternative Investment Fund Managers) Regulations 2013 (the “AIFM Regulations”), S.I. 352 of 2011 European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and of the ESMA Guidelines on sound remuneration policies under the UCITS Directive and AIFMD (the “ESMA Guidelines”). The Policy is designed to ensure that the remuneration of key decision makers is aligned with the management of short and long-term risks, including the oversight and where appropriate, the management of sustainability risks in line with the Sustainable Finance Disclosure Regulations.

The AIFM’s remuneration policy applies to its identified staff whose professional activities might have a material impact on the Company’s risk profile and so covers senior management, risk takers, control functions and any employees receiving total remuneration that takes them into the same remuneration bracket as senior management and risk takers and whose professional activities have a material impact on the risk profile of the Company. The AIFM’s policy is to pay identified staff a fixed component with the potential for identified staff to receive a variable component. It is intended that the fixed component will represent a sufficiently high proportion of the total remuneration of the individual to allow the AIFM to operate a fully flexible policy, with the possibility of not paying any variable component. When the AIFM pays a variable component as performance related pay certain criteria, as set out in the AIFM’s remuneration policy, must be adhered to. The various remuneration components are combined to ensure an appropriate and balanced remuneration package that reflects the relevant staff rank and professional activity as well as best market practice. The AIFM’s remuneration policy is consistent with, and promotes, sound and effective risk management and does not encourage risk-taking which is inconsistent with the risk profile of the funds it manages.

These disclosures are made in respect of the remuneration policies of the AIFM. The disclosures are made in accordance with the ESMA Guidelines.

Total remuneration (in EUR) paid to the identified staff of the AIFM fully or partly involved in the activities of the Company that have a material impact on the Company’s risk profile during the financial year to 31 December 2025 (the AIFM’s financial year):

	EUR	GBP
Fixed remuneration
Senior Management	3,613,322	3,096,914
Other identified staff	-	-
Variable remuneration
Senior Management	433,297	371,371
Other identified staff	-	-
Total remuneration paid	4,046,619	3,468,285

Number of identified staff – 20

Neither the AIFM nor the Company pays any fixed or variable remuneration to identified staff of the Portfolio Manager.

There have been no material changes made to the Remuneration Policy or the AIFM’s remuneration practices and procedures during the financial year.

In so far as the AIFM is aware:

• there is no relevant audit information of which the auditor of the Company or the Board of Directors of the Company 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 auditor is aware of that information.

We hereby certify that this report is made on behalf of the AIFM, Waystone Management Company (IE) Limited.

 

Peadar De Barra
Waystone Management Company (IE) Limited
14 July 2026

 

REPORT OF THE DEPOSITARY TO THE SHAREHOLDERS

for the year ended 31 March 2026

 

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 Waystone Management Company (IE) Limited (the “AIFM”) and the Company for the year ended 31 March 2026, 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 Schemes Rules 2021.

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 are 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 year, 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

14 July 2026

 

INDEPENDENT AUDITOR’S REPORT

To the Members of TwentyFour Income Fund Limited

 

Our opinion is unmodified

We have audited the financial statements of TwentyFour Income Fund Limited (the “Company”), which comprise the statement of financial position as at 31 March 2026, the statements of comprehensive income, changes in equity and cash flows for the year then ended, and notes, comprising material accounting policies and other explanatory information.

In our opinion, the accompanying financial statements:

• give a true and fair view of the financial position of the Company as at 31 March 2026, and of the Company’s financial performance and cash flows for the year then ended;

• are prepared in accordance with International Financial Reporting Standards; and
• comply with the Companies (Guernsey) Law, 2008.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described below. We have fulfilled our ethical responsibilities under, and are independent of the Company in accordance with, UK ethical requirements including the FRC Ethical Standard as required by the Crown Dependencies' Audit Rules and Guidance. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion.

Key audit matters: our assessment of the risks of material misstatement

Key audit matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, including those which had the greatest effect on: the overall audit strategy; the allocation of resources in the audit; and directing the efforts of the engagement team. 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. In arriving at our audit opinion above, the key audit matter was as follows (unchanged from 2025):

	The risk	Our response
Financial assets at fair value through profit or loss - Investments (“investments”)	Valuation of investments	Our audit procedures included:
£911,598,503 (2025: £835,130,603) Refer to note 2(f) (material accounting policies), note 9 (investments) and note 19 (fair value measurement).	Basis: The Company’s investments are carried at fair value through profit or loss and represent a significant proportion of the Company’s net assets. These investments are valued using recognised valuation methodologies disclosed in note 2(f) of the financial statements. Risk: The valuation of the Company’s investments is considered a significant area of our audit in view of the significance of the estimates and judgements that may be involved in the determination of their fair value and given that it represents the majority of the net assets. To determine the valuation of investments, the Portfolio Manager requests external prices from independent pricing vendors or, where these are unavailable, from third party brokers or dealers. Where the external price obtained is deemed unreliable or is not available, the Portfolio Manager will determine, with the assistance of an independent valuation expert, the valuation based on internal models, which may include benchmarking to comparable transactions, discounted cash flows or other valuation techniques commonly used by market participants. For those investments valued based on internal models there is a risk of fraud and error given the high level of subjectivity, estimation uncertainty and complexity when deriving fair value.	Control evaluation: We assessed the design and implementation of the control over the valuation of the Company’s investments. Challenging management’s investment valuations, including the use of our KPMG valuation specialist, as applicable, we: Held discussions with the Investment Manager to understand and assess the appropriateness of the valuation methodologies applied; Performed retrospective testing on realised positions to assess the reliability and accuracy of management’s valuations and for any evidence of valuation bias; Assessed the experience, competence, objectivity and reliability of work of the independent valuation expert appointed by the Company to provide valuations of certain investments where no reliable price was deemed available; For a risk based selection of the Company’s investments we assessed whether the prices used by management were reasonable by comparing them against the indicative or reference prices obtained from independent sources where available or through the use of fundamental cash flow modelling, sourcing key inputs and assumptions used, such as the default rates, discount margins and prepayment rates, from observable market data; and Assessed the fair value levelling of the investments held by the Company at year-end. Assessing disclosures: We also considered the Company’s accounting policy (see note 2(f)) in relation to the use of estimates and judgements in determining the fair value of Investments, the Company’s investment valuation policies and fair value disclosures (see notes 2(f), 9 and 19) for compliance with IFRS.

Our application of materiality and an overview of the scope of our audit

Materiality for the financial statements as a whole was set at £17,300,000, determined with reference to a benchmark of net assets of £926,531,731, of which it represents approximately 2.0% (2025: 2%).

In line with our audit methodology, our procedures on individual account balances and disclosures were performed to a lower threshold, performance materiality, so as to reduce to an acceptable level the risk that individually immaterial misstatements in individual account balances add up to a material amount across the financial statements as a whole. Performance materiality for the Company was set at 75% (2025: 75%) of materiality for the financial statements as a whole, which equates to £12,900,000. We applied this percentage in our determination of performance materiality because we did not identify any factors indicating an elevated level of risk.

We reported to the Audit Committee any corrected or uncorrected identified misstatements exceeding £865,000, in addition to other identified misstatements that warranted reporting on qualitative grounds.

Our audit of the Company was undertaken to the materiality level specified above, which has informed our identification of significant risks of material misstatement and the associated audit procedures performed in those areas as detailed above.

Going concern

The directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease its operations, and as they have concluded that the Company's financial position means that this is realistic. They have also concluded that there are no material uncertainties that could have cast significant doubt over its ability to continue as a going concern for at least a year from the date of approval of the financial statements (the “going concern period").

In our evaluation of the directors' conclusions, we considered the inherent risks to the Company's business model and analysed how those risks might affect the Company's financial resources or ability to continue operations over the going concern period. The risks that we considered most likely to affect the Company's financial resources or ability to continue operations over this period was the availability of capital to meet operating costs and other financial commitments.

We considered whether this risk could plausibly affect the liquidity in the going concern period by comparing severe, but plausible downside scenarios that could arise from this risk individually and collectively against the level of available financial resources indicated by the Company’s financial forecasts.

We considered whether the going concern disclosure in note 2(a) to the financial statements gives a full and accurate description of the directors' assessment of going concern.

Our conclusions based on this work:

• we consider that the directors' use of the going concern basis of accounting in the preparation of the financial statements is appropriate;

• we have not identified, and concur with the directors' assessment that there is not, a material uncertainty related to events or conditions that, individually or collectively, may cast significant doubt on the Company's ability to continue as a going concern for the going concern period; and
• we have nothing material to add or draw attention to in relation to the directors' statement in the notes to the financial statements on the use of the going concern basis of accounting with no material uncertainties that may cast significant doubt over the Company's use of that basis for the going concern period, and that statement is materially consistent with the financial statements and our audit knowledge.

However, as we cannot predict all future events or conditions and as subsequent events may result in outcomes that are inconsistent with judgements that were reasonable at the time they were made, the above conclusions are not a guarantee that the Company will continue in operation.

Fraud and breaches of laws and regulations – ability to detect

Identifying and responding to risks of material misstatement due to fraud

To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate an incentive or pressure to commit fraud or provide an opportunity to commit fraud. Our risk assessment procedures included:

• enquiring of management as to the Company’s policies and procedures to prevent and detect fraud as well as enquiring whether management have knowledge of any actual, suspected or alleged fraud;

• reading minutes of meetings of those charged with governance; and
• using analytical procedures to identify any unusual or unexpected relationships.

As required by auditing standards, and taking into account possible incentives or pressures to misstate performance and our overall knowledge of the control environment, we perform procedures to address the risk of management override of controls, in particular the risk that management may be in a position to make inappropriate accounting entries, and the risk of bias in accounting estimates such as the valuation of unquoted investments which are based on internal models. On this audit we do not believe there is a fraud risk related to revenue recognition because the Company’s revenue streams are simple in nature with respect to accounting policy choice, and are easily verifiable to external data sources or agreements with little or no requirement for estimation from management. We did not identify any additional fraud risks.

We performed procedures including:

• identifying journal entries and other adjustments to test based on risk criteria and comparing any identified entries to supporting documentation;

• incorporating an element of unpredictability in our audit procedures; and
• assessing significant accounting estimates for bias.

Further detail in respect of the valuation of unquoted investments which are based on internal models is set out in the key audit matter section of this report.

Identifying and responding to risks of material misstatement due to non-compliance with laws and regulations

We identified areas of laws and regulations that could reasonably be expected to have a material effect on the financial statements from our sector experience and through discussion with management (as required by auditing standards), and from inspection of the Company’s regulatory and legal correspondence, if any, and discussed with management the policies and procedures regarding compliance with laws and regulations. As the Company is regulated, our assessment of risks involved gaining an understanding of the control environment including the entity’s procedures for complying with regulatory requirements.

The Company is subject to laws and regulations that directly affect the financial statements including financial reporting legislation and taxation legislation and we assessed the extent of compliance with these laws and regulations as part of our procedures on the related financial statement items.

The Company is subject to other laws and regulations where the consequences of non-compliance could have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of fines or litigation or impacts on the Company’s ability to operate. We identified financial services regulation as being the area most likely to have such an effect, recognising the regulated nature of the Company’s activities and its legal form. Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to enquiry of management and inspection of regulatory and legal correspondence, if any. Therefore if a breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not detect that breach.

Context of the ability of the audit to detect fraud or breaches of law or regulation

Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some material misstatements in the financial statements, even though we have properly planned and performed our audit in accordance with auditing standards. For example, the further removed non-compliance with laws and regulations is from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures required by auditing standards would identify it.

In addition, as with any audit, there remains a higher risk of non-detection of fraud, as this may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot be expected to detect non-compliance with all laws and regulations.

Other information

The directors are responsible for the other information. The other information comprises the information included in the annual report 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 an audit opinion or any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information 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.

Disclosures of emerging and principal risks and longer term viability

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ disclosures in respect of emerging and principal risks and the viability statement, and the financial statements and our audit knowledge. We have nothing material to add or draw attention to in relation to:

• the directors’ confirmation within the viability statement that they have carried out a robust assessment of the emerging and principal risks facing the Company, including those that would threaten its business model, future performance, solvency or liquidity;

• the emerging and principal risks disclosures describing these risks and explaining how they are being managed or mitigated;
• the directors’ explanation in the viability statement as to how they have assessed the prospects of the Company, over what period they have done so and why they consider that period to be appropriate, and their statement as to whether they have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the period of their assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

We are also required to review the viability statement, under the Listing Rules. Based on the above procedures, we have concluded that the above disclosures are materially consistent with the financial statements and our audit knowledge.

Corporate governance disclosures

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ corporate governance disclosures and the financial statements and our audit knowledge.

Based on those procedures, we have concluded that each of the following is materially consistent with the financial statements and our audit knowledge:

• the directors’ statement that they consider that the annual report and 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;
• the section of the annual report describing the work of the Audit Committee, including the significant issues that the audit committee considered in relation to the financial statements, and how these issues were addressed; and
• the section of the annual report that describes the review of the effectiveness of the Company’s risk management and internal control systems.

We are required to review the part of Corporate Governance Statement relating to the Company’s compliance with the provisions of the UK Corporate Governance Code specified by the Listing Rules for our review. We have nothing to report in this respect.

We have nothing to report on other matters on which we are required to report by exception

We have nothing to report in respect of the following matters where the Companies (Guernsey) Law, 2008 requires us to report to you if, in our opinion:

• the Company has not kept proper accounting records; or

• the financial statements are not in agreement with the accounting records; or
• we have not received all the information and explanations, which to the best of our knowledge and belief are necessary for the purpose of our audit.

Respective responsibilities

Directors' responsibilities

As explained more fully in their statement, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; assessing the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and using the going concern basis of accounting unless they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

Auditor's responsibilities

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 our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (UK) 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 the financial statements.

A fuller description of our responsibilities is provided on the FRC’s website at www.frc.org.uk/auditorsresponsibilities .

The purpose of this report and restrictions on its use by persons other than the Company's members as a body

This report is made solely to the Company’s members, as a body, in accordance with section 262 of the Companies (Guernsey) Law, 2008. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

Rachid Frihmat

For and on behalf of KPMG Audit Limited

Chartered Accountants and Recognised Auditors

Guernsey

14 July 2026

 

STATEMENT OF COMPREHENSIVE INCOME

for the year ended 31 March 2026

							Year ended			Year ended
							31.03.26			31.03.25
			Notes				£			£
Income
Interest income on financial assets at fair value through profit or loss							86,541,828			80,949,982
Net foreign currency (losses)/gains			8				(12,881,887)			16,340,353
Net (losses)/gains on financial assets at fair value through profit or loss			9				(9,753,749)			15,111,788
Net losses on derivative financial instruments through profit or loss							(276,700)			(903,927)
Bank interest income							983,419			1,225,155
Total income							64,612,911			112,723,351
Operating expenses
Portfolio management fees			15				(6,507,817)			(5,636,256)
Directors' fees			15				(309,250)			(285,000)
Administration and secretarial fees			16				(356,361)			(387,527)
Audit fees							(161,500)			(156,000)
Custody fees			16				(96,572)			(83,019)
Broker fees							(54,190)			(45,977)
AIFM management fees			16				(212,109)			(222,270)
Depositary fees			16				(100,083)			(111,335)
Legal and professional fees							(94,320)			(210,515)
Listing fees							(301,426)			(21,456)
Registration fees							(47,814)			(42,356)
Realisation expenses			13				(767,716)			-
Other expenses							(273,065)			(168,592)
Total operating expenses							(9,282,223)			(7,370,303)
Total operating profit							55,330,688			105,353,048
Finance costs on credit default swaps							(33,362)			-
Finance costs on repurchase agreements			12				(469,908)			(621,982)
Total comprehensive income for the year*							54,827,418			104,731,066
Earnings per Ordinary Share - Basic & Diluted			4				0.0693			0.1400

All items in the above statement derive from continuing operations.

The accompanying notes form an integral part of these Financial Statements.

*There is no other comprehensive income during the current and prior year.

STATEMENT OF FINANCIAL POSITION

as at 31 March 2026

			31.03.2026		31.03.2025
	Notes		£		£
Assets
Financial assets at fair value through profit or loss
- Investments	9		911,598,503		835,130,603
- Derivative assets: Forward currency contracts	18		47,305		3,009,311
Amounts due from brokers			-		3,514,887
Other receivables	10		7,837,136		8,108,910
Cash and cash equivalents			61,605,004		24,613,448
Total assets			981,087,948		874,377,159
Liabilities
Financial liabilities at fair value through profit or loss
- Derivative liabilities: Forward currency contracts	18		5,817,917		106,387
- Derivative liabilities: Credit default swaps			5,220,979		-
Amounts payable under repurchase agreements	12		2,887,772		4,168,090
Amounts due to brokers			38,918,812		24,886,494
Share issue costs payable			20,487		-
Other payables	11		1,690,250		1,429,667
Total liabilities			54,556,217		30,590,638
Net assets			926,531,731		843,786,521
Equity
Share capital account	13		890,582,064		780,234,543
Retained earnings			35,949,667		63,551,978
Total equity			926,531,731		843,786,521
Ordinary Shares in issue	13		850,205,296		747,836,661
Net Asset Value per Ordinary Share (pence)	6		108.98		112.83

The Audited Financial Statements were approved by the Board of Directors on 14 July 2026 and signed on its behalf by:

Bronwyn Curtis John Le Poidevin
Director Director

The accompanying notes form an integral part of these Financial Statements.

STATEMENT OF CHANGES IN EQUITY
for the year ended 31 March 2026

			Share capital		Retained
			account		earnings		Total
		Notes	£		£		£
Balances at 1 April 2025			780,234,543		63,551,978		843,786,521
Issue of Ordinary Shares		13	129,778,785		-		129,778,785
Redemption of Ordinary Shares		13	(14,432,840)		-		(14,432,840)
Share issue costs		13	(1,986,262)		-		(1,986,262)
Dividends paid		21	-		(85,441,891)		(85,441,891)
Income equalisation on new issues		5	(3,012,162)		3,012,162		-
Total comprehensive income for the year			-		54,827,418		54,827,418
Balances at 31 March 2026			890,582,064		35,949,667		926,531,731
			Share capital		Retained
			account		earnings		Total
			£		£		£
Balances at 1 April 2024			780,234,543		33,305,443		813,539,986
Dividends paid			-		(74,484,531)		(74,484,531)
Total comprehensive income for the year			-		104,731,066		104,731,066
Balances at 31 March 2025			780,234,543		63,551,978		843,786,521

The accompanying notes form an integral part of these Financial Statements.

STATEMENT OF CASH FLOWS
for the year ended 31 March 2026

		Year ended		Year ended
	Notes	31.03.26		31.03.25
		£		£
Cash flows from operating activities
Total comprehensive income for the year		54,827,418		104,731,066
Less:
Adjustments for non-cash transactions:
Interest income on financial assets at fair value through profit or loss		(86,541,828)		(80,949,982)
Bank interest income		(983,419)		(1,225,155)
Net losses/(gains) on investments	9	9,753,749		(15,111,788)
Amortisation adjustment under effective interest rate method	9	(21,326,347)		(11,383,217)
Movement on unrealised losses/(gains) on forward currency contracts	8	8,673,536		(964,858)
Movement in unrealised losses on derivative liabilities		276,700		-
Exchange gains on cash and cash equivalents		(5,039)		(3,288)
Decrease/(increase) in other receivables		25,231		(42,804)
Increase in other payables		180,583		149,508
Finance costs on repurchase agreements		469,908		621,982
Finance costs on credit default swaps		80,000		-
Purchase of investments		(448,748,409)		(320,761,157)
Sale of investments/principal repayments		402,313,897		339,684,930
Credit default swaps opened		4,030,694		-
Investment income received		86,792,890		80,633,033
Bank interest income received		978,900		1,118,017
Net cash generated from operating activities		10,798,464		96,496,287
Cash flows from financing activities
Proceeds from issue of Ordinary Shares	13	129,778,785		-
Redemption of Ordinary Shares	13	(14,432,840)		-
Share issue costs		(1,965,775)		-
Dividend paid	21	(85,441,891)		(74,484,531)
Finance costs paid	12	(473,826)		(663,577)
Decrease in amounts payable under repurchase agreements, excluding finance cost liabilities	12	(1,276,400)		(9,880,822)
Net cash generated from/(used in) financing activities		26,188,053		(85,028,930)
Increase in cash and cash equivalents		36,986,517		11,467,357
Cash and cash equivalents at beginning of the year		24,613,448		13,142,803
Exchange gains on cash and cash equivalents		5,039		3,288
Cash and cash equivalents at end of the year		61,605,004		24,613,448

The accompanying notes form an integral part of these Financial Statements.

NOTES TO THE FINANCIAL STATEMENTS
for the year ended 31 March 2026

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 (“Ordinary Shares”, being the sole share class) were listed on the Official List of the Financial Conduct Authority (“FCA”) and admitted to trading on the Main Market of the London Stock Exchange on 6 March 2013.

Since 16 September 2022, the Company has been included in the London Stock Exchange’s FTSE 250 Index.

The Company’s investment objective and policy is set out in the Strategic Report.

The Portfolio Manager of the Company is TwentyFour Asset Management LLP (the “Portfolio Manager”).

2. Material Accounting Policies

a) Basis of Preparation

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 . Additional commentary on going concern is in the Directors’ Report.

 

Realisation Opportunity

The next Realisation Opportunity is due to occur after the AGM in Autumn 2028. The Directors’ view is that should the share price remain at the current levels, relative to NAV, they do not expect to see a major incentive to redeem and therefore the Realisation Opportunity should not automatically trigger the adoption of a basis of preparation other than going concern.

Whilst there is no degree of certainty, rather like the Realisation Opportunity that occurred during 2025, there may be some redemption requests. In the past, these have been matched by secondary selling of the redeemed shares to new purchasers. It is believed the Realisation Opportunity is currently a low risk to the viability prospects of the Company and for this reason, these Financial Statements have been prepared on a going concern basis. See note 18 for further details of the Realisation Opportunity.

b) Statement of Compliance

The Financial Statements have been prepared in accordance with IFRS Accounting Standards as issued by the International Accounting Standards Board (“IASB”) and are in compliance with The Companies (Guernsey) Law, 2008.

 

c) 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.

d) 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 2026:

 Lack of Exchangeability (Amendments to IAS 21) (applicable to accounting periods beginning on or after 1 January 2025);

The Directors believe that the adoption of the above amendments does not have a material impact on the Company’s Audited Financial Statements for the year ended 31 March 2026.

 

e) 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:

 Classification and Measurement of Financial Instruments (Amendments to IFRS 7 and IFRS 9) (applicable to accounting periods beginning on or after 1 January 2026);

 Annual Improvements to IFRS Accounting Standards – Volume 11 (applicable to accounting periods beginning on or after 1 January 2026);

 Translation to a Hyperinflationary Presentation Currency (Amendments to IAS 21) (applicable to accounting periods beginning on or after 1 January 2027); and

 Presentation and Disclosure in Financial Statements (IFRS 18) (applicable to accounting periods beginning on or after 1 January 2027).

IFRS 18 will replace IAS 1 Presentation of Financial Statements and the new standard introduces the following key new requirements:

• Entities are required to classify all income and expenses into five categories in the statements of profit or loss, namely the operating, investing, financing, discontinued operations and income tax categories. Entities are also required to present a newly-defined operating profit subtotal. Entities’ net profit will not change as a result of applying IFRS 18.
• Management-defined performance measures (“MPMs”) are disclosed in a single note in the financial statements.
• Enhanced guidance is provided on how to group information in the financial statements.

In addition, all entities are required to use the operating profit subtotal as the starting point for the statement of cash flows when presenting operating cash flows under the indirect method.

The Directors are in process of assessing the impact of the adoption of the above standards, which are effective in future periods on the financial statements of the Company, particularly with respect to the structure of the Company’s statement of comprehensive income, the statement of cash flows and the additional disclosures required for MPMs. The Directors are also assessing the impact on how information is grouped in the Financial Statements, including for items currently labelled as ‘other’.

f) 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.

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 (“ABS”) are the purchase of an interest in pools of loans. The investment characteristics of ABS 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 (losses)/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. The fair value of investments in ABS is calculated in accordance with either i) or ii) below and the change in fair value, if any, is recorded as ‘net (losses)/gains on financial assets at fair value through profit or loss’ in the Statement of Comprehensive Income.

i) ABS Traded or Dealt on an Active Market or Exchange

ABS 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 Portfolio Manager deems the mid-market price to be a reasonable approximation of an exit price.

ii) ABS Not Traded or Dealt on an Active Market or Exchange

ABS 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 ABS, the Portfolio Manager will source prices at the close of business on the reporting date from third-party broker/dealer quotes and independent valuation experts, where applicable for the relevant security.

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 (losses)/gains’ in the Statement of Comprehensive Income.

Credit Default Swaps

The fair value of credit default swaps is determined by estimating the future default probabilities using market standard models. The principal input into the model is the credit curve. Credit spreads are observed directly from broker data or third-party vendors. The significant model inputs are observable in the marketplace or set in the contract.

Expected Credit Loss

The expected credit loss (“ECL”) model applies to financial assets measured at amortised cost and IFRS 9 mandates the use of the simplified approach to calculating the expected credit losses for amounts due from broker and other receivables. The ECL calculation is based on the Company’s historical default rates over the expected life of the trade receivables. Given the historical level of defaults on trade receivables, there is a negligible impact because of the lifetime expected credit loss to be recognised.

Cash and cash equivalents are also subject to the ECL requirements of IFRS 9 and the ECL is assessed as immaterial.

 

g) Sale and Repurchase Agreements

Securities sold subject to repurchase agreements are reclassified in the Financial Statements as pledged assets when the transferee has the right by contract or custom to sell or re-pledge the collateral. The counterparty liability is included under ‘Amounts payable under repurchase agreements’ in the Statement of Financial Position. Securities purchased under agreements to resell are recorded separately under ‘due from agreements to resell’. Such securities are valued at amortised cost on the Statement of Financial Position. The difference between the sale and the repurchase price is treated as interest and is accrued over the life of the agreement using the effective interest method.

 

h) 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.

 

i) 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 ABS 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. The amortisation adjustment under the effective interest rate method, as shown in note 9, is classified as interest income.

j) Cash and Cash Equivalents

Cash and cash equivalents comprise 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, if any, are repayable on demand and form an integral part of the Company’s cash management.

k) Share Capital

As there are only Ordinary 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 Shares are shown in equity as a deduction, net of tax, from the proceeds and disclosed in the Statement of Changes in Equity.

l) Foreign Currency Translation

Functional and Presentation Currency

Items included in the Financial Statements are measured using Sterling, the currency of the primary economic environment in which the Company operates (the “functional currency”). The Financial Statements are presented in Sterling, which is the Company’s presentation currency.

Transactions and Balances

Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign currency assets and liabilities are translated into the functional currency using the exchange rate prevailing at the Statement of Financial Position date.

Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the Statement of Comprehensive Income within ‘net (losses)/gains on financial assets at fair value through profit or loss’.

 

m) 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.

 

n) Segmental 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 ABS. The Directors manage the business in this way. Additional information can be found in note 20.

 

o) Expenses

All expenses are included in the Statement of Comprehensive Income on an accrual 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.

p) Other Receivables

Other receivables are amounts due in the ordinary course of business. If collection is expected in one year or less, they are classified as current assets. If not, they are presented as non-current assets. Other receivables are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method, less any expected credit losses.

q) Other Payables

Other payables are obligations to pay for services that have been acquired in the ordinary course of business. Other payables are classified as current liabilities if payment is due within one year or less. If not, they are presented as non-current liabilities. Other payables are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method.

r) Dividend

A dividend 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.

s) Income Equalisation on New Issues

In order to ensure there are no dilutive effects on earnings per Ordinary 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.

t) Treasury Shares

The Company has the right to issue and purchase up to 14.99% of the total number of its own Ordinary Shares, as disclosed in note 13.

Ordinary Shares held in Treasury are excluded from calculations when determining earnings per Ordinary Share or NAV per Ordinary Share, as detailed in notes 4 and 6.

 

u) Assessment as an Investment Entity

In accordance with IFRS 10, the criteria which define an investment entity are as follows:

• An entity that obtains funds from one or more investors for the purpose of providing those investor(s) with investment management services;
• An entity that commits to its investors that its business purpose is to invest solely for returns from capital appreciation, investment income or both; and
• An entity that measures and evaluates the performance of substantially all of its investments on a fair value basis.

The Directors are satisfied that the Company meets each of these criteria and hence is an investment entity in accordance with IFRS 10.

3. Significant Accounting Judgements, Estimates and Assumptions

The preparation of the Company’s Financial Statements requires management to make judgements, estimates and assumptions that affect the reported amounts of revenues, expenses, assets and liabilities and the accompanying disclosures. Uncertainty about these assumptions and estimates could result in outcomes that require a material adjustment to the carrying amount of assets or liabilities affected in future periods.

(i) Judgements

In the process of applying the Company’s accounting policies, management has made the following judgements, which have the most significant effect on the amounts recognised in the Financial Statements:

Functional Currency

As disclosed in note 2(l), the Company’s functional currency is Sterling. Sterling is the currency in which the Company measures its performance and reports its results, as well as the currency in which it receives subscriptions from its investors. Dividends are also paid to its investors in Sterling. The Directors believe that Sterling best represents the functional currency.

 

Determination of Observable Inputs

In note 19, 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.

(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 Board 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 Market

The Company carries its investments in credit securities at fair value, with changes in value being recognised in the Statement of Comprehensive Income. In cases where prices of credit securities are not quoted in an active market, the Portfolio Manager will obtain prices determined at the close of business on the reporting date from an independent price vendor. The Portfolio Manager exercises its judgement on the quality of the independent price vendor and information provided. If a price cannot be obtained from an independent price vendor or where the Portfolio Manager determines that the provided price is not an accurate representation of the fair value of the credit security, the Portfolio Manager will source prices from independent third-party brokers or dealers for the relevant security, which may be indicative rather than tradable. Where no third-party price is available, or where the Portfolio Manager determines that the third-party quote is not an accurate representation of the fair value, the Portfolio Manager will determine the valuation based on the Portfolio Manager's valuation policy. This may include the use of a comparable arm's length transaction, independent valuation experts, 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. See note 19 for details on inputs where estimation uncertainty may arise.

No credit securities were priced by the Portfolio Manager during the year or any previous year. There has been no change to the accounting policy applied to how these investments have been valued (see notes 2 and 3) but the use of an independent third-party valuation expert was used to value approximately 14.84% of the Company’s investments at 31 March 2026 (31 March 2025: 19.19%). See note 18 for price sensitivity analysis and details of interest rate risk.

(b) Estimated Life of Asset-Backed Securities

In determining the estimated life of the ABS 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 ABS as determined by the Portfolio Manager, impacts the effective interest rate of the ABS Securities which in turn impacts the calculation of income as discussed in note 2(i). As the ABS are measured at fair value, this estimation uncertainty over the life of the securities will not have a significant risk of resulting in a material adjustment to the carrying amounts of securities within the next financial year, however, it is of significance given the separate presentation of interest income in the Statement of Comprehensive Income.

4. Earnings per Ordinary Share - Basic & Diluted

The earnings per Ordinary Share - Basic and Diluted has been calculated based on the weighted average number of Ordinary Shares of 790,688,700 (31 March 2025: 747,836,661) and a net gain of £54,827,418 (31 March 2025: net gain of £104,731,066).

5. Income Equalisation on New Issues

In order to ensure there are no dilutive effects on earnings per Ordinary 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 £3,012,162 (31 March 2025: £Nil).

6. Net Asset Value per Ordinary Share

The Net Asset Value of each Ordinary Share of £1.09 (31 March 2025: £1.13) is determined by dividing the net assets of the Company attributed to the Ordinary Shares of £926,531,731 (31 March 2025: £843,786,521) by the number of Ordinary Shares in issue at 31 March 2026 of 850,205,296 (31 March 2025: 747,836,661).

 

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 £1,600 (2025: £1,600).

 

8. Net Foreign Currency (Losses)/Gains

							For the year		For the year
							01.04.25 to 31.03.26		01.04.24 to 31.03.25
							£		£
Movement on unrealised (loss)/gain on forward currency contracts							(8,673,536)		964,858
Realised (loss)/gain on foreign currency contracts							(3,746,631)		15,366,851
Movement on unrealised foreign currency loss on receivables/payables							(512,267)		(5,067)
Movement on unrealised foreign currency exchange gain on interest receivable							50,547		13,711
							(12,881,887)		16,340,353

9. Investments

 

							As at		As at
							31.03.26		31.03.25
							£		£
Financial assets at fair value through profit or loss:
Opening book cost							836,177,782		815,142,981
Purchases at cost							463,694,312		335,051,214
Proceeds on sale/principal repayment							(398,799,010)		(339,772,031)
Amortisation adjustment under effective interest rate method							21,326,347		11,383,217
Realised gains on sale/principal repayment							44,599,037		35,320,119
Realised losses on sale/principal repayment							(28,644,300)		(20,947,718)
Closing book cost							938,354,168		836,177,782
Unrealised gains on investments							13,764,772		17,810,726
Unrealised losses on investments							(40,520,437)		(18,857,905)
Fair value							911,598,503		835,130,603
							For the year		For the year
							01.04.25 to 31.03.26		01.04.24 to 31.03.25
							£		£
Realised gains on sales/principal repayment							44,599,037		35,320,119
Realised losses on sales/principal repayment							(28,644,300)		(20,947,718)
Decrease in unrealised gains							(4,045,954)		(1,218,419)
(Increase)/decrease in unrealised losses							(21,662,532)		1,957,806
Net (losses)/gains on financial assets at fair value through profit or loss							(9,753,749)		15,111,788

 

10. Other Receivables

 

							As at		As at
							31.03.26		31.03.25
							£		£
Coupon interest receivable							7,683,271		7,934,333
Bank interest receivable							111,657		107,138
Prepaid expenses							42,208		67,439
							7,837,136		8,108,910

 

There are no material expected credit losses for coupon interest receivable as at 31 March 2026.

11. Other Payables

 

							As at		As at
							31.03.26		31.03.25
							£		£
Portfolio management fees payable							1,150,175		1,042,116
Custody fees payable							8,141		21,319
Administration and secretarial fees payable							185,006		96,697
Audit fees payable							161,500		156,000
AIFM fees payable							9,872		30,527
Depositary fees payable							9,237		27,771
General expenses payable							52,957		55,237
Accrued credit default swap premium							113,362		-
							1,690,250		1,429,667

 

A summary of the expected payment dates of payables can be found in the ‘Liquidity Risk’ section of note 18.

12. Amounts Payable under Repurchase Agreements

The Company, as part of its investment strategy, may enter into repurchase agreements. A repurchase agreement is a short-term loan where both parties agree to the sale and future repurchase of assets within a specified contract period. Repurchase agreements may be entered into in respect of securities owned by the Company which are sold to and repurchased from counterparties on contractually agreed dates and the cash generated from this arrangement can be used to purchase new securities, effectively creating leverage. The Company still benefits from any income received, attributable to the security.

Under the Company’s Global Master Repurchase Agreement, it may from time to time enter into transactions with a buyer or seller under the terms and conditions as governed by the agreement.

Finance costs on repurchase agreements have been presented separately from interest income. Finance costs on repurchase agreements amounted to £469,908 (31 March 2025: £621,982). As at 31 March 2026, finance cost liabilities on open repurchase agreements amounted to £3,772 (31 March 2025: £7,690).

At the end of the year, amounts repayable under open repurchase agreements excluding finance cost liabilities were £2,884,000 (31 March 2025: £4,160,400). One security was designated as collateral against the repurchase agreements (31 March 2025: one security), with a fair value of £3,537,181 (31 March 2025: fair value of £5,153,055), all of which were investment grade RMBS. The total exposure was -0.31% (31 March 2025: -0.49%) of the Company’s NAV. The contracts were across two counterparties and were all rolling agreements with a maturity of 3 months.

The changes in amounts payable under repurchase agreements are disclosed below:

							For the year		For the year
							01.04.25 to 31.03.26		01.04.24 to 31.03.25
							£		£
Amounts payable under Repurchase Agreements
Opening balance, excluding finance cost liabilities							4,160,400		14,041,222
Agreements entered during the year							46,024,967		36,311,829
Repaid/maturities during the year							(47,301,367)		(46,192,651)
Closing balance, excluding finance cost liabilities							2,884,000		4,160,400
Finance cost liabilities
Opening balance							7,690		49,285
Charged during the year							469,908		621,982
Repayments during the year							(473,826)		(663,577)
Closing balance							3,772		7,690

 

13. Share Capital

a) Authorised Share Capital

Unlimited number of Ordinary Shares at no par value.

 

b) Issued Share Capital

							For the year		For the year
							01.04.25 to 31.03.26		01.04.24 to 31.03.25
							£		£
Ordinary Shares
Share Capital at the beginning of the year							780,234,543		780,234,543
Issue of Ordinary Shares							129,778,785		-
Redemption of Ordinary Shares							(14,432,840)		-
Share issue costs							(1,986,262)		-
Income equalisation on new issues							(3,012,162)		-
Total Share Capital at the end of the year							890,582,064		780,234,543

							For the year		For the year
							01.04.25 to 31.03.26		01.04.24 to 31.03.25
							Number of Ordinary Shares		Number of Ordinary Shares
Ordinary Shares
Shares at the beginning of the year							747,836,661		747,836,661
Issue of Ordinary Shares							115,777,071		-
Redemption of Ordinary Shares							(13,408,436)		-
Total Shares in issue at the end of the year							850,205,296		747,836,661

The Company did not purchase any of its own shares during the year ended 31 March 2026 or during the year ended 31 March 2025. No shares were cancelled during either year.

No shares were held in Treasury during the year ended 31 March 2026 or the year ended 31 March 2025.

On 20 October 2025, a Realisation Opportunity was made pursuant to which investors were offered an opportunity to realise all or part of their shareholding in the Company, with shareholders opting to redeem 13,408,436 Ordinary Shares for a consideration of £14,432,840. This resulted in a net issuance of 24,968,635 Ordinary Shares at a subscription price of 110.50 pence per Ordinary Share and the Company was able to raise £27m (net) as part of the placing, offer for subscription and open offer that accompanied the 2025 Realisation Opportunity. Fees charged to the Company as part of the Realisation Opportunity of £767,716 are presented in the Statement of Comprehensive Income as ‘Realisation expenses’.

During the year, the Company issued a total of 115,777,071 Ordinary Shares (31 March 2025: none). Subsequent to year end, the Company issued 60,000,000 new Ordinary Shares under its blocklisting facility, increasing the Company’s issued share capital to 910,205,296 Ordinary Shares.

The Share Capital of the Company consists of an unlimited number of Ordinary Shares at no par value which, upon issue, the Directors may designate as: Ordinary Shares; realisation shares, being the Ordinary Shares of shareholders who have elected to realise their investment in the Company during a Realisation Opportunity (“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 2026, one share class has been issued, being the Ordinary Shares of the Company.

The Ordinary Shares carry the following rights:

i) The Ordinary Shares carry the right to receive all income of the Company attributable to the Ordinary Shares.

ii) The shareholders present in person or by proxy or present by a duly authorised representative at a general meeting have, on a show of hands, one vote and, on a poll, one vote for each Ordinary Share held.

iii) 56 days before the Annual General Meeting (“AGM”) 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 Shares held by them be redesignated to Realisation Shares, subject to the aggregate NAV of the Ordinary Shares held by shareholders who do not submit Realisation Elections in respect of those Ordinary Shares (“Continuing Ordinary Shares”) on the last business day before the Reorganisation Date being not less than £100 million. A Realisation Election, 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 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 most recent Realisation Election took place in October 2025 and the next Realisation Opportunity is due to occur at the end of the next three-year term, at the date of the AGM in Autumn 2028.

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 Ordinary Shares held as Treasury Shares shall not at any time exceed 10% of the total number of Ordinary Shares of that class in issue at that time or such amount as provided in The Companies (Guernsey) Law, 2008.

The Company has the right to re-issue Treasury Shares at a later date.

 

Shares held in Treasury are excluded from calculations when determining earnings/(loss) per Ordinary Share or NAV per Ordinary Share, as detailed in notes 4 and 6, respectively.              

 

14. Analysis of Financial Assets and Liabilities by Measurement Basis

 

								Assets at fair
								value through		Amortised
								profit or loss		cost		Total
								£		£		£
31 March 2026
Financial Assets as per Statement of Financial Position
Financial assets at fair value through profit or loss:
- Investments								911,598,503		-		911,598,503
- Derivative assets: Forward currency contracts								47,305		-		47,305
Other receivables (excluding prepayments)								-		7,794,928		7,794,928
Cash and cash equivalents								-		61,605,004		61,605,004
								911,645,808		69,399,932		981,045,740
								Liabilities at fair
								value through		Amortised
								profit or loss		cost		Total
31 March 2026								£		£		£
Financial Liabilities as per Statement of Financial Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts								5,817,917		-		5,817,917
- Derivative liabilities: Credit default swaps								5,220,979		-		5,220,979
Amounts payable under repurchase agreements								-		2,887,772		2,887,772
Amounts due to brokers								-		38,918,812		38,918,812
Share issue costs payable								-		20,487		20,487
Other payables								-		1,690,250		1,690,250
								11,038,896		43,517,321		54,556,217
								Assets at fair
								value through		Amortised
								profit or loss		cost		Total
								£		£		£
31 March 2025
Financial Assets as per Statement of Financial Position
Financial assets at fair value through profit or loss:
- Investments								835,130,603		-		835,130,603
- Derivative assets: Forward currency contracts								3,009,311		-		3,009,311
Amounts due from brokers								-		3,514,887		3,514,887
Other receivables (excluding prepayments)								-		8,041,471		8,041,471
Cash and cash equivalents								-		24,613,448		24,613,448
								838,139,914		36,169,806		874,309,720
								Liabilities at fair
								value through		Amortised
								profit or loss		cost		Total
31 March 2025								£		£		£
Financial Liabilities as per Statement of Financial Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts								106,387		-		106,387
Amounts payable under repurchase agreements								-		4,168,090		4,168,090
Amounts due to brokers								-		24,886,494		24,886,494
Other payables								-		1,429,667		1,429,667
								106,387		30,484,251		30,590,638

15. Related Parties

a) Directors’ Remuneration & Expenses

The Directors of the Company are remunerated for their services at such a rate as the Directors determine. At the Annual General Meeting, held on 14 October 2022, shareholders approved the increase of the upper limit of aggregate Director fees from £225,000 to £400,000 per annum.

During the year, the annual fees were £80,750 for the Chair of the Board, £65,000 for the Audit Committee Chair, £54,500 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and Chair of the Management Engagement Committee, and £52,400 for all other Directors.

During the year ended 31 March 2026, Directors’ fees of £309,250 (31 March 2025: £285,000) were charged to the Company, of which £Nil (31 March 2025: £Nil) remained payable at the end of the year.

b) Portfolio Manager

The portfolio management fee is payable to the Portfolio Manager, monthly in arrears at a rate of 0.75% per annum of the lower of NAV, which is calculated weekly on each valuation day, or market capitalisation of each class of shares. Total portfolio management fees for the year amounted to £6,507,817 (31 March 2025: £5,636,256) of which £1,150,175 (31 March 2025: £1,042,116) is due and payable at the year end. The Portfolio Management Agreement dated 29 May 2014, as amended, 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 Ordinary Shares, following admission, in consideration of marketing services that it provides to the Company. During the year, the Portfolio Manager received £158,408 (31 March 2025: £Nil) in commission.

c) Alternative Investment Fund Manager

Details of the consideration for services provided by the Alternative Investment Fund Manager (the "AIFM") is found in note 16.

 

d) Shares Held by Related Parties

As at 31 March 2026, Directors of the Company held the following Ordinary Shares beneficially:

							31.03.26		31.03.25
							Number of Ordinary Shares		Number of Ordinary Shares
Bronwyn Curtis							138,984		114,154
John Le Poidevin							504,800		354,800
John de Garis							39,753		39,753
Joanne Fintzen							131,508		86,260
Paul Le Page							49,457		49,457

On 24 October 2025, the following Directors were allocated Ordinary Shares as part of the Placing programme, made available on the market as part of the Realisation Opportunity:

Bronwyn Curtis – 24,830 Ordinary Shares;

Joanne Fintzen – 45,248 Ordinary Shares; and

John Le Poidevin – 150,000 Ordinary Shares

As at 31 March 2026, separate fund entities for which the Portfolio Manager is engaged to provide portfolio management services, collectively held 40,446,948 Ordinary Shares (31 March 2025: 40,446,948 Shares), which is 4.76% (31 March 2025: 5.41%) of the Issued Share Capital. Partners and employees of the Portfolio Manager, including their immediate family members, directly or indirectly held 5,550,596 Ordinary Shares (31 March 2025: 5,594,917 Ordinary Shares), which is 0.65% (31 March 2025: 0.75%) of the Issued Share Capital.

The Portfolio Manager, partner and employee amounts therefore exclude shares held under any long-term incentive plan (“LTIP”) which have not yet vested. Ordinary Shares that are held in employee and partner LTIPs total 1,040,785 (31 March 2025: 461,499), which is 0.12% (31 March 2025: 0.06%) of the Issued Share Capital.

Any shares purchased by Directors, the Portfolio Manager and employees of the Portfolio Manager are carried out in their capacity as shareholders. No Ordinary Shares are offered or awarded to any related parties as remuneration.

The amounts for the Portfolio Manager, its partners and employees and LTIP are shown for transparency purposes and are not considered transactions with related parties.

16. Material Agreements

a) Alternative Investment Fund Manager

The Company’s AIFM is Waystone Management Company (IE) Limited. In consideration for the services provided by the AIFM under the AIFM Agreement, Waystone is entitled to receive from the Company a minimum fee of £65,000 per annum and fees payable monthly in arrears at a rate of 0.03% of the Net Assets below £250 million, 0.025% of the Net Assets between £250 million and £500 million, 0.02% on Net Assets between £500 million and £1 billion and 0.015% on Net Assets in excess of £1 billion.

During the year ended 31 March 2026, AIFM fees of £212,109 (31 March 2025: £222,270) were charged to the Company, of which £9,872 (31 March 2025: £30,527) remained payable at the end of the year.

 

b) Administrator and Secretary

Effective 1 April 2025, administration fees are payable to Northern Trust International Fund Administration Services (Guernsey) Limited monthly in arrears at a rate of 0.055% per annum of the NAV of the Company below £100 million, 0.04% per annum on Net Assets between £100 million and £200 million and 0.035% per annum on Net Assets in excess of £200 million as at the last business day of the month subject to a minimum £65,000 for the year to 31 March 2026, and £75,000 per annum thereafter. Prior to this, administration fees were payable at a rate of 0.06% per annum of the NAV of the Company below £100 million, 0.05% per annum on NAV between £100 million and £200 million and 0.04% per annum on NAV in excess of £200 million as at the last business day of the month subject to a minimum of £75,000 per annum. 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 £356,361 (31 March 2025: £387,527) of which £185,006 (31 March 2025: £96,697) is due and payable at end of the year.

 

c) Depositary

Effective 1 April 2025, depositary fees are payable to Northern Trust (Guernsey) Limited, monthly in arrears, at a rate of 0.0175% of the NAV of the Company up to £100 million, 0.0150% on Net Assets between £100 million and £200 million and 0.01% on Net Assets in excess of £200 million as at the last business day of the month subject to a minimum £25,000 each period, reduced to £15,000 for the year to 31 March 2026. Prior to this, depositary fees were payable monthly in arrears, at a rate of 0.0175% per annum of the Net Asset Value of the Company up to £100 million, 0.0150% per annum on Net Assets between £100 million and £200 million and 0.0125% per annum on Net Assets in excess of £200 million as at the last business day of the month subject to a minimum £25,000 per annum. Total depositary fees and charges for the year amounted to £100,083 (31 March 2025: £111,335) of which £9,237 (31 March 2025: £27,771) 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 £96,572 (31 March 2025: £83,019) of which £8,141 (31 March 2025: £21,319) is due and payable at the year end.

17. Interests in Unconsolidated Structured Entities

IFRS 12 defines a structured entity as an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to the administrative tasks only and the relevant activities are directed by means of contractual agreements.

A structured entity often has some of the following features or attributes:

i) restricted activities,

ii) a narrow and well defined objective, and

iii) financing in the form of multiple instruments that create concentrations of credit or other risks.

The Company holds various investments in ABS. The fair value of the ABS is recorded in the “Financial assets at fair value through profit or loss - Investments” line in the Statement of Financial Position. The Company’s maximum exposure to loss from these investments is equal to their total fair value. Once the Company has disposed of its holding in any of these investments, the Company ceases to be exposed to any risk from that investment. The Company has not provided, and would not be required to provide, any financial support to these investees. The investments are non-recourse.

Below is a summary of the Company’s holdings in unconsolidated structured entities as at 31 March 2026 and 31 March 2025:

As at 31 March 2026					Number of investments	Range of Nominal	Average Nominal		Carrying Value		% of Company's NAV
						£ million	£ million		£ million
Asset-Backed Securities*:
Auto Loans					12	3 - 85	27		26		2.9%
CLO					124	8 - 58	19		406		43.8%
CMBS					2	15 - 32	24		11		1.2%
Consumer ABS					11	11 - 105	47		60		6.5%
CRE ABS					5	8 - 30	17		22		2.4%
Credit Cards					3	9 - 18	14		9		0.9%
RMBS					51	1 - 85	16		307		33.1%
SRT					7	87 - 1,263	381		70		7.6%
					215				911
As at 31 March 2025					Number of investments	Range of Nominal	Average Nominal		Carrying Value		% of Company's NAV
						£ million	£ million		£ million
Asset-Backed Securities*:
Auto Loans					11	5 - 58	27		26		3.1%
CLO					116	8 - 123	18		334		39.6%
CMBS					5	15 - 65	35		26		3.1%
Consumer ABS					7	11 - 45	27		17		2.1%
CRE ABS					5	8 - 17	12		21		2.5%
Credit Cards					3	9 - 18	14		9		1.1%
RMBS					53	2 - 750	51		349		41.3%
SRT					6	87 - 1,263	359		53		6.3%
					206				835

* Definition of Terms

“ABS” – Asset-Backed Securities

“CLO” – Collateralised Loan Obligations

“CMBS” – Commercial Mortgage-Backed Securities

“CRE” – Commercial Real Estate

“RMBS”- Residential Mortgage-Backed Securities

“SRT” – Significant Risk Transfer

 

18. 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 classified at fair value through profit or loss, cash and cash equivalents, derivative liabilities and amounts payable under repurchase agreements. 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 ABS.

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. 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.

(i) Price Risk

The price of an ABS 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; and (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).

The Company’s policy also stipulates that no more than 10% of the portfolio value can be exposed to any single ABS or issuer of ABS .

(ii) Interest Rate Risk

Interest rate risk arises from the possibility that changes in interest rates will affect the fair value of financial assets and liabilities at fair value through profit or loss.

The following tables summarise the Company’s exposure to interest rate risk:

					Floating rate		Fixed rate		Non-interest bearing		Total
					£		£		£		£
As at 31 March 2026
Financial assets at fair value through profit or loss					911,598,503		-		-		911,598,503
Derivative assets					-		-		47,305		47,305
Other receivables (excluding prepayments)					-		-		7,794,928		7,794,928
Cash and cash equivalents					61,605,004		-		-		61,605,004
Repurchase agreements					-		(2,887,772)		-		(2,887,772)
Amounts due to brokers					-		-		(38,918,812)		(38,918,812)
Share issue costs payable					-		-		(20,487)		(20,487)
Other payables					-		-		(1,690,250)		(1,690,250)
Derivative liabilities					-		-		(11,038,896)		(11,038,896)
Net assets/(liabilities)					973,203,507		(2,887,772)		(43,826,212)		926,489,523

					Floating rate		Fixed rate		Non-interest bearing		Total
					£		£		£		£
As at 31 March 2025
Financial assets at fair value through profit or loss					835,130,603		-		-		835,130,603
Derivative assets					-		-		3,009,311		3,009,311
Amounts due from brokers					-		-		3,514,887		3,514,887
Other receivables (excluding prepayments)					-		-		8,041,471		8,041,471
Cash and cash equivalents					24,613,448		-		-		24,613,448
Repurchase agreements					-		(4,168,090)		-		(4,168,090)
Amounts due to brokers					-		-		(24,886,494)		(24,886,494)
Other payables					-		-		(1,429,667)		(1,429,667)
Derivative liabilities					-		-		(106,387)		(106,387)
Net assets/(liabilities)					859,744,051		(4,168,090)		(11,856,879)		843,719,082

If interest rates were to increase or decrease by 2.5%, with all other variables held constant, the expected effect of the returns from floating rate net assets would be a gain or loss of £24,330,088, respectively (31 March 2025: gain or loss of £21,493,601).

The Company only holds floating rate financial assets 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 ABS 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. Please see note 12 for details of the amounts payable under repurchase agreements.

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 Ordinary Shares are denominated in Sterling, and its expenses are incurred in Sterling. Therefore, the Statement of Financial Position may be significantly affected by movements in the exchange rate between foreign currencies and Sterling. The Company manages the exposure to currency movements by using spot and forward foreign exchange contracts, rolling forward on a periodic basis.

					Contract values		Outstanding contracts		Mark-to- market equivalent		Unrealised (losses)/gains
					31.03.2026		31.03.2026		31.03.2026		31.03.2026
One Danish Krone forward foreign currency contract:
	Settlement date 22 April 2026				39,499,845 kr.		£4,580,477		£4,623,248		(£42,771)
Four Euro forward foreign currency contracts totalling:
	Settlement date 22 April 2026				€639,038,582		£553,716,955		£558,845,649		(£5,128,694)
One US Dollar forward foreign currency contract:
	Settlement date 22 April 2026				$55,864,857		£41,718,710		£42,364,590		(£645,880)
One US Dollar forward foreign currency contract:
	Settlement date 22 April 2026				$33,000,000		£25,025,575		£25,025,240		£335
One Danish forward foreign currency contract:
	Settlement date 22 April 2026				(5,472,202 kr.)		(£634,667)		(£640,492)		£5,825
One Euro forward foreign currency contract:
	Settlement date 22 April 2026				(€2,897,877)		(£2,510,680)		(£2,534,223)		£23,543
One US Dollar forward foreign currency contract:
	Settlement date 22 April 2026				($1,513,039)		(£1,129,797)		(£1,147,399)		£17,602
Spot contract payable											(£572)
											(£5,770,612)
											Unrealised gains/(losses)
					Contract Values		Outstanding contracts		Mark-to- market equivalent
					31.03.2025		31.03.2025		31.03.2025		31.03.2025
One Danish Krone forward foreign currency contract:
	Settlement date 16 April 2025				84,767,674 kr.		£9,578,688		£9,515,877		£62,811
Four Euro forward foreign currency contracts totalling:
	Settlement date 16 April 2025				€544,871,398		£459,234,834		£456,299,561		£2,935,273
One US Dollar forward foreign currency contract:
	Settlement date 16 April 2025				$23,845,679		£18,378,158		£18,474,778		(£96,620)
One Euro forward foreign currency contract:
	Settlement date 16 April 2025				(€6,097,056)		(£5,104,486)		(£5,105,946)		£1,460
											£2,902,924

Contract values represent the contract’s notional value. Outstanding contracts are the contract’s notional values, translated at the contracted foreign exchange rate from foreign currencies to Sterling, or from Sterling to foreign currencies.

As at 31 March 2026 and as at 31 March 2025, the Company held the following assets and liabilities denominated in foreign currencies:

									As at		As at
									31.03.2026		31.03.2025
									£		£
Danish Krone
Assets/(Liabilities):
Investments									4,454,016		6,521,469
Cash and cash equivalents									23,386		879,985
Other receivables									73,838		112,604
Open forward currency contracts									(3,982,756)		(9,515,877)
									568,484		(2,001,819)
									As at		As at
									31.03.2026		31.03.2025
									£		£
Euro
Assets/(Liabilities):
Investments									547,583,212		460,935,918
Cash and cash equivalents									4,428,129		5,099,229
Other receivables									6,381,050		6,222,255
Amounts due to brokers									(3,310,944)		(24,399,172)
Open forward currency contracts									(556,311,426)		(451,193,615)
									(1,229,979)		(3,335,385)
									As at		As at
									31.03.2026		31.03.2025
									£		£
US Dollar
Assets/(Liabilities):
Investments									73,095,299		18,633,464
Cash and cash equivalents									151,665		646,571
Other receivables									528,378		262,342
Spot contract receivable									25,024,643		-
Amounts due to brokers									(32,607,868)		-
Open forward currency contracts									(66,242,431)		(18,474,778)
									(50,315)		1,067,599

The tables below summarise the sensitivity of the Company’s assets and liabilities to changes in foreign exchange movements between foreign currencies and Sterling at 31 March 2026 and 31 March 2025. 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
									31.03.2026		31.03.2025
									£		£
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in Danish Krone									549,065		339,684
- 20% decrease in Danish Krone									787,593		(491,384)
									As at		As at
									31.03.2026		31.03.2025
									£		£
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in Euro									632,486		810,341
- 20% decrease in Euro									277,059		(452,181)
									As at		As at
									31.03.2026		31.03.2025
									£		£
Impact on Statement of Comprehensive Income and Statement of Changes in Equity in response to a:
- 20% increase in US Dollar									9,704		(177,518)
- 20% decrease in US Dollar									(10,601)		267,522

(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 ABS generally rise and the proceeds of ABS held by the Company that mature or are sold are not able to be reinvested in ABS with a yield comparable to that of the portfolio as a whole.

(v) Price Sensitivity Analysis

The following details the Company’s sensitivity to movement in market prices. The analysis is based on a 10% 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 2026, if the market prices had been 10% higher with all other variables held constant, the increase in the net assets attributable to equity shareholders would have been £91,159,850 (31 March 2025: £83,513,060). An equal change in the opposite direction would have decreased the net assets attributable to equity shareholders by the same amount. This price sensitivity analysis covers the market prices received from price vendors, brokers and those determined using models (such as discounted cash flow models) on the assumption that the prices determined from these sources had moved by the indicated percentage.

As noted in note 19, the valuation models used (typically discounted cash flow models) include unobservable inputs that may rely on assumptions that are subject to judgement.

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 ABS. 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, none of the Company’s investments in ABS were in default (31 March 2025: 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 or the USA). In addition, no more than 40% of the portfolio value will be backed by collateral outside the UK and Europe. The Company also manages this credit risk by no more than 10% of the portfolio being exposed to any single ABS or issuer of ABS, no more than 40% of the portfolio being exposed to issues with a value greater than 5%.

Portfolio of ABS by ratings category using the highest rating assigned by Standard and Poor’s (“S&P”), Moody’s Analytics (“Moody’s”) or Fitch Ratings (“Fitch”):

								31.03.26		31.03.25
AAA								0.04%		1.40%
AA+								1.66%		1.76%
AA-								1.89%		5.53%
A+								0.39%		0.09%
A								1.58%		0.35%
A-								1.38%		0.93%
BBB+								2.84%		4.38%
BBB								2.42%		1.40%
BBB-								0.99%		3.39%
BB+								7.30%		5.44%
BB								2.44%		3.17%
BB-								19.46%		14.30%
B+								2.75%		3.44%
B								1.39%		3.18%
B-								17.09%		16.37%
CCC+								0.20%		-
CCC								0.24%		1.11%
CCC-								0.00%		0.46%
NR*								35.94%		33.30%
								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 Manager has no credit concerns with the unrated, or rated, bonds currently held. The Portfolio Manager will estimate an internal rating for unrated bonds by considering all relevant factors, including but not limited to, the relationship between the bond’s maturity and its price and/or yield, the ratings of comparable bonds, and the issuer’s financial statements.

To further minimise credit risk, the Portfolio Manager undertakes extensive due diligence procedures on investments in ABS 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
									31.03.26		31.03.25
									£		£
Investments									911,598,503		835,130,603
Cash and cash equivalents									61,605,004		24,613,448
Unrealised gains on derivative assets									47,305		3,009,311
Amounts due from brokers									-		3,514,887
Other receivables (excluding prepayments)									7,794,928		8,041,471
									981,045,740		874,309,720

Investments in ABS 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 ABS is ultimately dependent upon payment of the underlying debt by the debtor. The Portfolio Manager performs analyses of the quality of the lender and tests the rigour of the transaction and collateral, based on the lender’s historic performance or similar public transactions.

Based on above assessment, the Company has concluded that any sensitivity analysis would be immaterial.

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 ABS may be relatively illiquid and this may limit the ability of the Company to realise its investments. Investments in ABS 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.

Repurchase agreements may be entered into in respect of securities owned by the Company which are sold to and repurchased from counterparties on contractually agreed dates and the cash generated from these arrangements can be used for short-term liquidity.

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 13 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 following table analyses the Company’s financial liabilities into relevant maturity groupings based on the contractual maturities as 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 2026
Financial liabilities
Repurchase agreements					-		(2,887,772)		-		(2,887,772)
Unrealised loss on derivative liabilities					(11,038,896)		-		-		(11,038,896)
Share issue costs payable					(20,487)		-		-		(20,487)
Amounts due to brokers					(38,918,812)		-		-		(38,918,812)
Other payables					(1,415,428)		(274,822)		-		(1,690,250)
Total					(51,393,623)		(3,162,594)		-		(54,556,217)
					Up to 1 month		1-6 months		6-12 months		Total
					£		£		£		£
As at 31 March 2025
Financial liabilities
Repurchase agreements					-		(4,168,090)		-		(4,168,090)
Unrealised loss on derivative liabilities					(106,387)		-		-		(106,387)
Amounts due to brokers					(24,886,494)		-		-		(24,886,494)
Other payables					(1,273,667)		(156,000)		-		(1,429,667)
Total					(26,266,548)		(4,324,090)		-		(30,590,638)

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 Ordinary 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 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 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 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).

 

(ii) Realisation Opportunity

The Realisation Opportunity shall be at the AGM of the Company in each third year. On 24 October 2025, the Company concluded its most recent Realisation Opportunity. The next Realisation Opportunity is due to take place in Autumn 2028, subject to the aggregate NAV of the Continuing Ordinary 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 21, the Directors shall propose an Ordinary Resolution that the Company continues its business as a closed-ended collective investment scheme at the AGM following that financial reporting period.

 

19. Fair Value Measurement

All assets and liabilities are carried at fair value or at amortised cost.

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 year ended 31 March 2026 and year ended 31 March 2025.

 

		Level 1		Level 2		Level 3		Total
		£		£		£		£
Assets
Financial assets at fair value through profit or loss:
Asset-Backed Securities:
Auto Loans		-		26,466,364		-		26,466,364
CLO		-		399,584,973		6,190,443		405,775,416
CMBS		-		11,400,435		-		11,400,435
Consumer ABS		-		60,288,279		-		60,288,279
CRE ABS		-		16,806,708		5,155,062		21,961,770
Credit Cards		-		8,624,581		-		8,624,581
RMBS		-		129,464,321		177,596,015		307,060,336
SRT		-		49,862,097		20,159,225		70,021,322
Forward currency contracts		-		47,305		-		47,305
Total assets as at 31 March 2026		-		702,545,063		209,100,745		911,645,808
Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts		-		5,817,917				5,817,917
Credit default swaps		-		5,220,979		-		5,220,979
Total liabilities as at 31 March 2026		-		11,038,896		-		11,038,896
		Level 1		Level 2		Level 3		Total
		£		£		£		£
Assets
Financial assets at fair value through profit or loss:
Asset-Backed Securities:
Auto Loans		-		26,483,220		-		26,483,220
CLO		-		333,914,234		-		333,914,234
CMBS		-		26,008,985		-		26,008,985
Consumer ABS		-		17,386,122		-		17,386,122
CRE ABS		-		20,813,688		-		20,813,688
Credit Cards		-		8,931,680		-		8,931,680
RMBS		-		161,666,742		187,129,822		348,796,564
SRT		-		29,383,449		23,412,661		52,796,110
Forward currency contracts		-		3,009,311		-		3,009,311
Total assets as at 31 March 2025		-		627,597,431		210,542,483		838,139,914
Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts		-		106,387		-		106,387
Total liabilities as at 31 March 2025		-		106,387		-		106,387

 

ABS which have a value based on quoted market prices in active markets are classified in Level 1. At the end of the year, no ABS held by the Company are classified as Level 1.

ABS which are not traded or dealt on organised markets or exchanges are classified in Level 2 or Level 3. ABS 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. ABS 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 ABS, 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 ABS is classified as Level 2. Any broker quote that is over 20 days old is considered stale and is classified as Level 3. Any stale price within the portfolio as at 31 March 2026 has been assessed by the Portfolio Manager and the resulting valuation considered a fair value at that date. Furthermore, the Portfolio Manager may determine that the application of a mark-to-model basis may be appropriate where they believe such a model will result in more reliable information with regards to the fair value of any specific investments.

The Portfolio Manager has engaged a third-party valuer for certain specific assets where the Portfolio Manager believes the third-party valuer would provide more reliable, fair value information with regards to certain of the Company’s investments for the year ended 31 March 2026. The valuation of these assets and others that the Portfolio Manager may deem appropriate to provide a valuation at fair value, primarily use discounted cash flow analysis but may also include the use of a comparable arm's length transaction, reference to other securities that are substantially the same, 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. The discounted cash flow models include assumptions that are subject to judgement such as prepayment rates, recovery rates and the discount margin/discount rate. As at 31 March 2026, investments (related primarily to RMBS/MBS investments) totalling 14.84% (31 March 2025: 19.19%) of the portfolio were valued by the third-party valuer. Valuations performed by the third-party valuer are classified as Level 3.

Please see note 3 (ii) for the accounting policy outlining the treatment of fair value of securities not quoted in an active market.

The tables below represent the significant unobservable inputs used in the fair value measurement of Level 3 investments, valued by a third-party valuer, together with a quantitative sensitivity analysis as of 31 March 2026 and 31 March 2025:

 

 

31 March 2026

Fair Value (£)

Financial Assets/Liabilities

Unobservable Input

Sensitivity Used

Effect on Fair Value (£)

Dutch RMBS

53,027,165

Financial Asset

Discount Margin (1035 bps/ 1035 bps)

-5% / +5%

3,187,040

/

(2,704,227)

UK RMBS

31,834,188

Financial Asset

Discount Margin (1115 bps/ 200 bps/ 1065 bps)

-5% / +5%

844,016

/

(854,779)

UK RMBS (Vertical risk retention - predominantly AAA)

59,398,665

Financial Asset

Discount Margin (139 bps/ 332 bps/ 328 bps/ 264 bps)

-3% / +3%

1,616,921

/

(2,203,800)

31 March 2025

Fair Value (£)

Financial Assets/Liabilities

Unobservable Input

Sensitivity Used

Effect on Fair Value (£)

Dutch RMBS

50,280,493

Financial Asset

Discount Margin (970 bps)

-5% / +5%

5,560,212

/

(4,472,411)

UK RMBS

47,149,375

Financial Asset

Discount Margin (184 bps/ 950 bps/ 1000 bps/ 1055 bps)

-5% / +5%

2,216,759

/

(1,856,093)

UK RMBS (Vertical risk retention - predominantly AAA)

28,891,014

Financial Asset

Discount Margin (126 bps)

-5% / +5%

809,955

/

(2,896,614)

UK RMBS (Vertical risk retention - predominantly AAA)

33,911,940

Financial Asset

Discount Margin (300 bps/ 306 bps)

-3% / +3%

1,887,359

/

(1,771,230)

 

Although various variable inputs are used in the valuation models of these investments, including constant default rate, the only unobservable input that may have a material impact is the discount margin. As a result, only this input has been disclosed.

Please refer to the price sensitivity analysis disclosed in note 18 where the price sensitivity related to market risk has been disclosed.

The above sensitivity analysis has been completed on those assets valued by the third-party valuer. For the remaining assets classified as Level 3 at 31 March 2026 totalling £64.8 million (2025: £50.3 million), no meaningful sensitivity on inputs can be performed due to the unobservable nature of the pricing. The valuations of these positions are provided monthly from external sources.

During the year, there were no transfers between Level 2 and Level 3 (year ended 31 March 2025: none).

The following tables present the movement in Level 3 instruments for the year ended 31 March 2026 and year ended 31 March 2025 by class of financial instrument.

		Opening balance at 1 April 2025		Total purchases during the year ended 31 March 2026		Total sales during the year ended 31 March 2026		Realised gains on Level 3 Investments held during the year ended 31 March 2026		Realised losses on Level 3 Investments held during the year ended 31 March 2026							Unrealised gains for the year for Level 3 Investments held at 31 March 2026						Unrealised losses for the year for Level 3 Investments held at 31 March 2026		Transfer into Level 3		Transfer out Level 3		Closing balance at 31 March 2026
		£		£		£		£						£							£		£		£		£		£
CLO		-		6,117,764		-		27,188						(722,074)							767,565		-		-		-		6,190,443
CRE ABS		-		5,130,931		-		21,457						-							2,674		-		-		-		5,155,062
RMBS		187,129,822		40,427,989		(68,961,281)		23,533,559						(19,285,354)							16,922,529		(2,171,249)		-		-		177,596,015
SRT		23,412,661		-		(3,532,026)		91,152						(71,620)							297,293		(38,235)		-		-		20,159,225
		210,542,483		51,676,684		(72,493,307)		23,673,356						(20,079,048)							17,990,061		(2,209,484)		-		-		209,100,745
		Opening balance at 1 April 2024		Total purchases during the year ended 31 March 2025		Total sales during the year ended 31 March 2025		Realised gains on Level 3 Investments held during the year ended 31 March 2025		Realised losses on Level 3 Investments held during the year ended 31 March 2025							Unrealised gains for the year for Level 3 Investments held at 31 March 2025						Unrealised losses for the year for Level 3 Investments held at 31 March 2025		Transfer into Level 3		Transfer out Level 3		Closing balance at 31 March 2025
		£		£		£		£						£							£		£		£		£		£
RMBS		183,915,529		92,693,391		(107,016,668)		18,431,113						(15,231,648)							19,463,220		(5,125,115)		-		-		187,129,822
SRT		-		23,543,595		(395,757)		29,024						(35,227)							331,811		(60,785)		-		-		23,412,661
		183,915,529		116,236,986		(107,412,425)		18,460,137						(15,266,875)							19,795,031		(5,185,900)		-		-		210,542,483

All other financial assets and liabilities are carried at amortised cost. Their carrying values are a reasonable approximation of fair value.

 

20. 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.

Revenue earned is reported separately on the face of the Statement of Comprehensive Income as investment income being interest income received from ABS.

21. 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 Shares. For these purposes, the Company’s income will include the interest payable by the ABS in the portfolio and the amortisation of any discount or premium to par at which an ABS 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 shall pay any dividends at all.

From 24 February 2023, the annual target dividend has been 8% (the equivalent of 8 pence per Ordinary Share) of the Issue Price, or such higher (or lower) target as the Directors determine at their absolute discretion from time to time.

Dividends paid with respect to any quarter comprise of (a) the accrued income of the portfolio for the year; (b) an additional amount to reflect any income purchased in the course of any share subscriptions that took place during the year. 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; (c) any income on the foreign exchange contracts created by the SONIA differentials between each foreign currency pair; less (d) total expenditure for the year.

The Company, being a Guernsey regulated entity, is able to pay dividends out of capital. Nonetheless, the Board carefully considers any dividend payments made to ensure the Company's capital is maintained in the longer term. Careful consideration is also given to ensuring sufficient cash is available to meet the Company's liabilities as they fall due.

The Board expects that dividends will constitute the principal element of the return to the holders of Ordinary 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 during the year ended 31 March 2026:

Period to	Dividend rate per Ordinary Share (£)	Net dividend payable (£)	Ex-dividend date	Record date	Pay date
31 March 2025	0.0507	37,915,319	17 April 2025	22 April 2025	6 May 2025
30 June 2025*	0.0200	15,268,733	17 July 2025	18 July 2025	1 August 2025
30 September 2025*	0.0200	15,585,733	16 October 2025	17 October 2025	3 November 2025
31 December 2025*	0.0200	16,672,106	22 January 2026	23 January 2026	6 February 2026
		85,441,891
31 March 2026*	0.0481	41,616,375	23 April 2026	24 April 2026	29 May 2026

*These dividends were declared in respect of distributable profit for the year ended 31 March 2026.

22. Ultimate Controlling Party

In the opinion of the Directors on the basis of shareholdings advised to them, the Company has no ultimate controlling party.

23. Significant Events During the Year

Global financial markets remained influenced by heightened geopolitical risk and evolving macroeconomic conditions during the year ended 31 March 2026. Ongoing conflict in Ukraine continued following Russia’s invasion in 2022, contributing to geopolitical uncertainty, elevated global defence spending and periodic volatility across risk assets. As at 31 March 2026, the Company had no direct exposure to securities issued by entities domiciled in, or listed on exchanged located in Russia or Ukraine.

During the year, tensions in the Middle East intensified. The conflict in Israel and Gaza persisted, and in late 2025 and early 2026, there was increased regional instability, including direct exchanges involving Iran and heightened security concerns across the region. In parallel, disruption to shipping in the Red Sea and surrounding trade routes led to higher freight costs and renewed concerns around supply-chain resilience. While the Company had no direct exposure to securities issued by entities domiciled in the affected regions as at 31 March 2026, the Directors and the Portfolio Manager continue to monitor developments closely, particularly with respect to potential second-order impacts on inflation, energy prices, consumer confidence and global economic growth.

Macroeconomic conditions during the year were characterised by restrictive monetary policy, with interest rates remaining elevated across major developed markets as central banks sought to ensure inflation was sustainably contained. While inflation moderated over the period, higher funding costs and tighter credit conditions continued to influence borrower behaviour and market sentiment. These dynamics have been relevant to structured credit markets, including high yield ABS, and were actively considered by the Portfolio Manager in portfolio construction and risk management.

Renewed focus on global trade policy also contributed to market volatility during the year, including discussion and implementation of additional tariffs and industrial policy measures by major economies. Although the direct impact of such measures on ABS remains limited, prolonged policy uncertainty could weigh on economic activity and consumer related collateral performance.

As at 31 March 2026, the rates market was pricing in three further Bank of England base rate increases. Whilst rate volatility during the period had a limited impact on the Company's performance, the Portfolio Manager views a moderate upward path for UK interest rates as constructive for ABS investors, with any such increases expected to contribute positively to future income generation. Consumer affordability continues to be monitored closely.

The Directors, together with the Portfolio Manager, continue to assess the potential implications of these developments for the Company. Expectations from regulators, investors and other stakeholders regarding the identification, assessment and disclosure of climate related and broader sustainability risks continued to evolve throughout the year across the UK and Europe. The Portfolio Manager maintains a formalised environmental, social and governance (“ESG”) framework, integrated within its credit analysis and investment decision making processes, which is a core component of its approach to risk management.

The Board continues to evaluate the scope and nature of the Company’s ESG and climate related disclosures, taking into account applicable regulatory requirements, the characteristics of the Company’s investment strategy, and emerging best practice within the listed investment company and structured credit sectors.

24. Subsequent Events

These Audited Financial Statements were approved for issuance by the Board on 14 July 2026. Subsequent events have been evaluated until this date.

Effective 1 April 2026, following a review of external market data, levels of inflation and the time and responsibilities expected of directors in future years, the annual fees were increased to £95,000 for the Chair of the Board, £75,000 for the Audit Committee Chair, £57,200 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and Chair of the Management Engagement Committee, and £55,000 for all other Directors.

On 16 April 2026, the Company declared a dividend of 4.81p per Ordinary Share, which was paid on 29 May 2026.

On 24 April 2026, written resolution was passed by the Directors to allow the Company to issue 100,000,000 new Ordinary Shares under a blocklisting facility.

The Company issued the following Ordinary Shares under its blocklisting facility, increasing the Company’s issued share capital post year end to 910,205,296 Ordinary Shares:

Issue Date		Ordinary Shares issued	Price per Ordinary Share (pence)
14 April 2026		3,500,000	110.47
16 April 2026		6,500,000	110.47
22 April 2026		5,000,000	110.53
30 April 2026		4,000,000	106.19
6 May 2026		2,000,000	106.86
22 May 2026		3,000,000	108.36
27 May 2026		2,000,000	108.72
29 May 2026		8,000,000	108.72
5 June 2026		1,000,000	109.25
12 June 2026		5,000,000	109.53
18 June 2026		16,000,000	109.58
19 June 2026		1,000,000	109.59
3 July 2026		3,000,000	109.52

As at 3 July 2026, the published NAV per Ordinary Share for the Company was 107.36p. This represents a decrease of 1.49% (NAV as at 31 March 2026: 108.98p).

On 9 July 2026, the Company declared a dividend of 2p per Ordinary Share, which will be paid on 31 July 2026.

GLOSSARY OF TERMS AND ALTERNATIVE PERFORMANCE MEASURES

Alternative Performance Measures (“APMs”)

In accordance with ESMA Guidelines on APMs, the Board has considered what APMs are included in the Annual Report and Audited Financial Statements which require further clarification. APMs are defined as a financial measure of historical or future financial performance, financial position or cash flows, other than a financial measure defined or specified in the applicable financial reporting framework. The APMs included in the annual report and accounts, are unaudited and outside the scope of IFRS Accounting Standards as issued by the IASB.

Premium/Discount

If the share price is higher than the NAV per Ordinary Share, the shares are said to be trading at a premium. The size of the premium is calculated by subtracting the share price from the NAV per Ordinary Share and is usually expressed as a percentage of the NAV per Ordinary Share. If the share price of an investment company is lower than the NAV per Ordinary Share, the shares are said to be trading at a discount.

Discount/Premium
						31.03.2026	31.03.2025
						pence	pence
Ordinary Share price						108.60	111.60
NAV per Ordinary Share (a)						108.98	112.83
Discount to NAV (b)						(0.38)	(1.23)
Discount as a percentage (b/a)						(0.35%)	(1.09%)

As at 3 July 2026, the discount to NAV had moved to a premium of 2.27%. The estimated NAV per Ordinary Share and mid-market share price stood at 107.36p and 109.80p, respectively.

 

Average Premium/(Discount)

The premium or discount is calculated as described above at the close of business on every Friday that is also a business day, as well as the last business day of every month, and an average taken for the year.

 

Dividends Declared

Dividends declared are the dividends that are announced in respect of the current accounting period. They usually consist of 4 dividends: three interim dividends in respect of the periods to June, September and December. The fixed interim dividend is 2.00 pence per Ordinary Share. A fourth quarter dividend is declared in respect of March, where the residual income for the year is distributed.

Dividend Yield

Dividend yield is the percentage of dividends declared in respect of the period, divided by the share price at the end of the period. The strategy aims to generate a minimum dividend of 6 pence per Ordinary Share or higher, 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.

Net Asset Value (“NAV”)

NAV is the net assets attributable to shareholders. NAV is calculated using the accounting standards specified by IFRS Accounting Standards as issued by the IASB and consists of total assets, less total liabilities.

NAV per Ordinary Share

NAV per Ordinary Share is the net assets attributable to shareholders, expressed as an amount per individual share. NAV per Ordinary Share is calculated by dividing the total net asset value of £926,531,731 (2025: £843,786,521) by the number of Ordinary Shares in issue at the end of the year of 850,205,296 units (2025: 747,836,661). This produces a NAV per Ordinary Share of 108.98p (2025: 112.83p), which was a decrease of 3.41% (2025: increase of 3.71%).

Ongoing Charges

The ongoing charges represent the Company’s management fee and all other operating expenses, excluding finance costs, share issue or buyback costs and non-recurring legal and professional fees, expressed as a percentage of the average of the weekly net assets during the year. The Board continues to be conscious of expenses and works hard to maintain a sensible balance between good quality service and cost. Ongoing charges for the year ended 31 March 2026 have been calculated in accordance with the Association of Investment Companies (the “AIC”) recommended methodology. The ongoing charges for the year ended 31 March 2026 were 0.98% (31 March 2025: 0.89%).

NAV Total Return per Ordinary Share

NAV Total Return per Ordinary Share refers to the total gain from the Company, which includes the increase or decrease in the Company’s value (capital gains) and the income generated from dividends, whilst reinvesting the dividends paid back into the NAV per Ordinary Share to purchase additional shares at each ex-dividend date during the year.

Repurchase Agreement Borrowing

Repurchase agreement borrowing is calculated by taking the fair value of repurchase agreements, divided by the fair value of investments, stated as a percentage.

						31.03.2026	31.03.2025
						£	£
Amounts payable under repurchase agreements (a)						2,887,772	4,168,090
Investments at fair value through profit or loss (b)						911,598,503	835,130,603
Repurchase agreement borrowing (a/b)						0.32%	0.50%

SHAREHOLDER INFORMATION

The Company

TwentyFour Income Fund Limited is a closed-ended investment company whose Ordinary Shares are listed on the Official List of the Financial Conduct Authority. The Company was incorporated in Guernsey on 11 January 2013. The Company has been included in the London Stock Exchange’s FTSE 250 Index since 16 September 2022.

Target Returns*

Until 1 October 2025, the Company had a target annual net NAV Total Return of between 6% and 9% per annum, and since 31 March 2023, had an annual target dividend each financial year of 8% of the Issue Price (the equivalent of 8 pence per year, per Ordinary Share). Effective 1 October 2025, the Board determined that a target return relative to the Sterling Overnight Indexed Average (“SONIA”) rate published by the Bank of England would be more appropriate for the Company. Accordingly, from this date, the Company has targeted and will continue to target a net total return of SONIA rate plus 6% to 8% per annum.

Published NAV

The Administrator is responsible for calculating the NAV per Ordinary Share of the Company. The unaudited NAV per Ordinary 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 on the following business day. The basis for determining the NAV per Ordinary Share can be found in the Glossary of Terms and Alternative Performance Measures.

* The Issue Price being £1.00. This is an annual target only and not a profit forecast. There can be no assurance that this target will be met or that the Company shall continue to pay any dividends at all. This annual 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, as defined by the AIC’s ongoing charges methodology. Potential investors should decide for themselves whether or not any potential return is reasonable and achievable in deciding whether to invest in or retain or increase their investment in the Company. Further details on the Company’s financial risk management can be found in note 18.

CORPORATE INFORMATION

Directors Bronwyn Curtis (Chair) John de Garis Joanne Fintzen (Senior Independent Director) Paul Le Page John Le Poidevin Registered Office PO Box 255 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3QL	UK Legal Advisers to the Company Hogan Lovells International LLP Atlantic House Holborn Viaduct London, EC1A 2FG Eversheds Sutherland (International) LLP 1 Wood Street London, EC2V 7WS
Alternative Investment Fund Manager Waystone Management Company (IE) Limited 35 Shelbourne Road Ballsbridge Dublin Ireland, D04 A4E0	Financial Adviser and Corporate Broker Deutsche Numis 45 Gresham Street London, EC2V 7BF
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	Independent Auditor KPMG Audit Limited (formerly KPMG Channel Islands Limited) Glategny Court Glategny Esplanade St Peter Port Guernsey, GY1 1WR
Portfolio Manager TwentyFour Asset Management LLP 8th Floor, The Monument Building 11 Monument Street London, EC3R 8AF	Receiving Agent Computershare Investor Services PLC The Pavilions Bridgwater Road Bristol, BS13 8AE
Custodian, Principal Banker and Depositary Northern Trust (Guernsey) Limited PO Box 71 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3DA	Registrar Computershare Investor Services (Guernsey) Limited 1st Floor Tudor House Le Bordage St Peter Port Guernsey, GY1 1DB
Guernsey Legal Adviser to the Company Carey Olsen Carey House Les Banques St Peter Port Guernsey, GY1 4BZ