GLIF.L Regulatory News (GLIF)

16 Apr 2008 13:35

T2 Income Fund Limited16 April 2008 T2 Income Fund Limited Final Results for the year ended 31 December 2007 T2 Income Fund Limited (the "Company"), a closed-ended Guernsey exemptinvestment company, announces its results for the year ended 31 December 2007. Highlights of the year include: • The Company is fully invested and has leveraged its assets to make new investments. As at 31 December 2007 the Company had invested assets of approximately £140.3 million (2006: £54.0 million). • Net Asset Value per Share for the year ended 31 December 2007 is £0.92 (2006: £0.96) • Profit for the period of approximately £1.6 million (2006: £0.5 million) • Successful completion of second equity round of £5.1 million in June 2007 • Total dividends paid from inception in August 2005 through March 2008 were 14.5p per share William Harley Tozier, Chairman of the Company, commented: 'Although the coming months are expected to be volatile in the global creditmarkets, the Company believes that it has developed a portfolio that isfundamentally sound and has been leveraged responsibly.' For further information please contact: Patrick Conroy T2 Income Fund Limited +1 203 983-5282 Philip Secrett Nominated Adviser Grant Thornton Corporate Finance +44 (0) 207 383 5100 Angus Gordon Lennox Broker JPMorgan Cazenove +44 (0) 207 588 2828 CHAIRMAN'S STATEMENT Attached please find the Accounts of the Company for the one year period ended31 December 2007. I am pleased to report that, as of 31 December 2007, the Company had investedassets of approximately £140.3 million. The investments in the portfolio, on aweighted average basis, bear an interest rate of 8.4% (on an unlevered basisfrom the Company's perspective), which is approximately 368 basis points overLIBOR. The Company's Net Asset Value per Share for the year ended 31 December2007 is £0.92. For the year ended 31 December 2007 the Company recorded a profitfor the period of approximately £1.6 million. Basic earnings per share for theyear ended 31 December 2007 was approximately £0.04. The Company is fully invested and has leveraged its assets to make newinvestments. In 2006 the Company, through its subsidiary T2 Income Fund CLO ILtd., established a credit facility with Merrill Lynch Capital Corporation. Asof 19 July 2007, the credit facility was replaced with long-term notes in theamount of approximately £121.5 million (US$249.2 million). The Notes have atwelve year term and a weighted average interest rate of LIBOR plus 75 basispoints. In connection with issuing these Notes, the full amount of the financecosts, £3.1 million, a non-recurring item, was expensed in 2007. On a per sharebasis, these costs were equal to approximately £0.07 per share. The net proceedsof the Notes (after repayment of the Merrill Lynch credit facility) have beenused to make new investments. Following the very severe declines across global credit markets during thelatter half of the year, the Company was able to identify attractiverisk-adjusted investment opportunities. T2 Advisers, LLC (the "Adviser")believes that the current credit environment will be reflected in more volatilemarket values. The Adviser notes that the global credit crisis has not, thusfar, resulted in a significant diminishment in credit quality across thosemarkets in which we invest although market prices continue to fluctuate. TheCompany's portfolio investments and the notes issued by the Company are bothsubject to a wide range of market price fluctuation. On 15 June 2007 approval was received from the Royal Court of Guernsey to reducethe issued share premium of the Company by an amount of £0.95 per share, andthat the aggregate of such reduction be credited as a distributable reserve. On25 June 2007, 5,000,000 Ordinary Shares of no par value were issued at £1.0175per Share resulting in gross proceeds of approximately £5.1 million. Netproceeds of this placing were used to make new investments. The total dividends paid from inception in August 2005 through March 2008 were14.5p per share. The Company's dividend history is: DividendMonth paid Per share For period ended July 2006 1.0p 30 June 2006 October 2006 1.5p 30 September 2006 February 2007 2.0p 31 December 2006 May 2007 2.5p 31 March 2007 September 2007 2.5p 30 June 2007 December 2007 2.5p 30 September 2007 March 2008 2.5p 31 December 2007 Total 14.5p Although the coming months are expected to be volatile in the global creditmarkets, the Company believes that it has developed a portfolio that isfundamentally sound and has been leveraged responsibly. We look forward toreporting on our progress in the future. William Harley Tozier Chairman April 2008 CONSOLIDATED AND COMPANY INCOME STATEMENTS Group Group Company Company Year to Year to Year to Year to 31 December 31 December 31 December 31 December 2007 2006 2007 2006 Notes GBP GBP GBP GBP RevenueInterest income 2 10,821,834 2,950,030 1,389,774 2,676,375Other income 2 43,716 36,814 43,716 36,814Dividend income - - 711,182 - Investment IncomeGain/(loss) on financial assets and 6liabilities at fair value throughprofit or loss- Realised 1,768,561 (248,633) (547,568) (248,633)- Unrealised 122,030 (1,835,169) 3,198,134 (1,630,983)Gain/(loss) on foreign currencytransactions- Realised 475,301 295,151 267,496 295,151- Unrealised 78,248 129,740 (248,392) 129,740 Total Income 13,309,690 1,327,933 4,814,342 1,258,464 ExpensesManagement fees 4 2,420,301 298,751 2,420,301 298,751Administration and secretarial fees 4 40,000 40,000 40,000 40,000Custodian fees 4 15,043 15,000 15,043 15,000Legal and professional fees 43,806 25,455 43,806 25,455Directors' remuneration 4 64,919 65,000 64,919 65,000Directors' and officers' insurance 44,415 43,485 44,415 43,485Audit fees 40,478 39,001 40,478 39,001Loan note expenses 4 3,054,047 - - -Finance costs 4 5,207,811 104,215 - -Other expenses 773,287 200,502 436,224 199,827 Total Expenses 11,704,107 831,409 3,105,186 726,519 Profit for the year 1,605,583 496,524 1,709,156 531,945 Basic earnings per share 5 0.0396 0.0131 0.0421 0.0140Diluted earnings per share 5 0.0356 0.0118 0.0379 0.0126 The accompanying notes form an integral part of these financial statements. CONSOLIDATED BALANCE SHEET 31 December 2007 31 December 2006 Notes GBP GBPASSETSNon-current assetsFinancial assets at fair value through the profit or loss account 6 140,315,881 53,978,368Note receivable 8 500,000 500,000 140,815,881 54,478,368Current assetsTrade and other receivables 8 1,119,113 610,946Cash and cash equivalents 9 16,078,863 4,929,513 17,197,976 5,540,459 Total assets 158,013,857 60,018,827 EQUITYCapital and reserves attributable to the Company'sequity holdersShare premium 11 5,619,040 36,694,149Other reserve 36,200,000 14,167Foreign exchange reserve 138,994 35,421Retained earnings (2,505,937) (251,520) Total equity 39,452,097 36,492,217 LIABILITIESNon-current liabilitiesWarehouse facility 10 - 22,374,308Loan notes 10 114,590,180 - Current liabilitiesTrade and other payables 10 3,971,580 1,152,302 Total liabilities 118,561,760 23,526,610 Total equity and liabilities 158,013,857 60,018,827 Net Asset Value per Share £0.92 £0.96 The accompanying notes form an integral part of these financial statements. COMPANY BALANCE SHEET 31 December 2007 31 December 2006 Notes GBP GBPASSETSNon-current assetsFinancial assets at fair value through the profit or loss account 6 4,227,734 26,401,578Investment in subsidiary 7 31,365,126 6,322,726Note receivable 8 500,000 500,000 36,092,860 33,224,304Current assetsTrade and other receivables 8 196,498 478,540Cash and cash equivalents 9 3,380,265 3,854,472 3,576,763 4,333,012 Total assets 39,669,623 37,557,316 EQUITYCapital and reserves attributable to the Company'sequity holdersShare premium 11 5,619,040 36,694,149Other reserve 36,200,000 14,167Retained earnings (2,366,943) (216,099) Total equity 39,452,097 36,492,217 LIABILITIESCurrent liabilitiesTrade and other payables 10 217,526 1,065,099 Total liabilities 217,526 1,065,099 Total equity and liabilities 39,669,623 37,557,316 Net Asset Value per Share £0.92 £0.96 The accompanying notes form an integral part of these financial statements. STATEMENT OF CHANGES IN SHAREHOLDERS' EQUITY Group Share Share Other Foreign Retained Total Capital Premium Reserve** Exchange Earnings** Equity Reserve GBP GBP GBP GBP GBP GBP Balance at 31 December 2005 - 36,694,149 4,167 - 201,956 36,900,272 Profit for the year - - - - 496,524 496,524Foreign exchange on - - - 35,421 - 35,421consolidationTotal income & expense for the year - - - 35,421 496,524 531,945 Amortisation of fair value of options - - 10,000 - 10,000Dividends paid - - - - (950,000) (950,000)Balance at 31 December 2006 - 36,694,149 14,167 35,421 (251,520) 36,492,217 Net proceeds from share issue - 5,024,891 - - - 5,024,891Transfer to distributable reserve - (36,100,000) 36,100,000 - - - Profit for the year - - - - 1,605,583 1,605,583Foreign exchange on consolidation - - - 103,573 - 103,573Total income & expense for the year - - - 103,573 1,605,583 1,709,156 Amortisation of fair value of options - - 85,833 - - 85,833Dividends paid* - - - - (3,860,000) (3,860,000) Balance at 31 December 2007 - 5,619,040 36,200,000 138,994 (2,505,937) 39,452,097 Company Share Share Other Foreign Retained Total Capital Premium Reserve** Exchange Earnings** Equity Reserve GBP GBP GBP GBP GBP GBP Balance at 31 December 2005 - 36,694,149 4,167 - 201,956 36,900,272 Profit for the year - - - - 531,945 531,945Total income & expense for the year - - - - 531,945 531,945 Amortisation of fair value of options - - 10,000 - - 10,000Dividends paid - - - - (950,000) (950,000)Balance at 31 December 2006 - 36,694,149 14,167 - (216,099) 36,492,217 Net proceeds from share issue - 5,024,891 - - - 5,024,891Transfer to distributable reserve - (36,100,000) 36,100,000 - - - Profit for the year - - - - 1,709,156 1,709,156Total income & expense for the year - - - - 1,709,156 1,709,156 Amortisation of fair value of options - - 85,833 - - 85,833Dividends paid* - - - - (3,860,000) (3,860,000)Balance at 31 December 2007 - 5,619,040 36,200,000 - (2,366,943) 39,452,097 *During the year the Company made four dividend payments. In February 2007 theCompany paid a dividend of 2p per ordinary share (£760,000), for the period to31 December 2006. In May 2007 the Company paid a dividend of 2.5p per ordinaryshare (£950,000), for the period to 31 March 2007. In September 2007 theCompany paid a dividend of 2.5p per ordinary share (£1,075,000). for the periodto 30 June 2007. In December 2007 the Company paid a dividend of 2.5p perordinary share (£1,075,000), for the period to 30 September 2007. ** Distributable reserves. The accompanying notes form an integral part of these financial statements. STATEMENT OF CASHFLOWS Group Group Company Company Year to Year to Year to Year to 31 December 31 December 31 December 31 December 2007 2006 2007 2006 Notes GBP GBP GBP GBP Cash flows from operating activities Cash generated from operations 13 2,215,509 (2,014,562) (1,421,108) (2,173,545) Net cash inflow/(outflow) from operating activities 2,215,509 (2,014,562) (1,421,108) (2,173,545) Cashflows from investing activitiesPurchase of investments 6 (137,310,167) (59,465,371) (10,226,998) (41,570,229)Sale of investments 6 40,750,789 8,307,610 18,877,404 8,307,610Payment to subsidiary 6,7 - - (17,819,912) (3,081,460)Receipt from subsidiary 6, 7 - - 8,951,516 6,921,988Principal received 6 1,670,903 983,235 - 705,815 Net cash outflow from investing activities (94,888,475) (50,174,526) (217,990) (28,716,276) Cashflows from financing activitiesNet proceeds from issue of shares 11 5,024,891 - 5,024,891 -Warehouse facility (18,874,945) 22,374,308 - -Loan notes 121,532,370 - - -Dividends paid (3,860,000) (950,000) (3,860,000) (950,000) Net cash inflow/(outflow) from financing activities 103,822,316 21,424,308 1,164,891 (950,000) Net increase/(decrease) in cash and cash equivalents 11,149,350 (30,764,780) (474,207) (31,839,821) Cash and cash equivalents at beginning of year 4,929,513 35,694,293 3,854,472 35,694,293 Cash and cash equivalents at end of year 16,078,863 4,929,513 3,380,265 3,854,472 The accompanying notes form an integral part of these financial statements. NOTES TO THE FINANCIAL STATEMENTS For the year ended 31 December 2007 1. GENERAL INFORMATION T2 Income Fund Limited (the "Company") was incorporated and domiciled inGuernsey, Channel Islands, as a company limited by shares on 9 June 2005. Theaddress of the registered office is Regency Court, Glategny Esplanade, St PeterPort, Guernsey, Channel Islands, GY1 3NQ. A new Cayman Islands registered subsidiary company, T2 Income Fund CLO I Ltd.,was created on 11 October 2006. Through its ownership of 100% of the preferredshares of T2 Income Fund CLO I Ltd. the Directors consider the CLO to be awholly owned subsidiary and the operating results are consolidated in thesefinancial statements. The Group is comprised of the "Company" and the "CLO". 2. ACCOUNTING POLICIES (a) Basis of preparation The consolidated financial statements of the Group have been prepared inaccordance with International Financial Reporting Standards ("IFRS") and allapplicable requirements of Guernsey Company Law. The financial statements havebeen prepared under the historical cost convention, apart from the inclusion ofnon-current asset investments, foreign currency derivatives and non-currentliabilities at fair value through profit or loss. The principal accountingpolicies of the Group and Company have remained unchanged from the previousyear, except for the adoption of IFRS "Financial Instruments:Disclosures", andare set out below. (b) Basis of consolidation The consolidated financial statements comprise the financial statements of T2Income Fund Limited and its subsidiary T2 Income Fund CLO I Ltd. Intercompanytransactions, balances and unrealised gains on transactions between groupcompanies are eliminated. (c) Foreign currency translation (i) Functional and presentation currency The Financial Statements of the Company are presented in the currency of theprimary economic environment in which the entity operates (its functionalcurrency). The Directors have considered the primary economic currency of theCompany and considered the currency in which the original finance was raised,distributions made, and ultimately what currency would be returned on a break upbasis. The Directors have also considered the currency to which the underlyinginvestments are exposed. On balance, the Directors believe Sterling bestrepresents the functional currency of the Company and Dollars the functionalcurrency of the subsidiary. Therefore the books and records are maintained inSterling and Dollars respectively and for the purpose of the financialstatements the results and financial position of the Group are presented inSterling, which is the presentation currency of the Group. (ii) Transactions and balances Foreign currency transactions are translated into the functional currency usingthe exchange rates prevailing at the dates of the transactions. Foreign exchangegains and losses resulting from the settlement of such transactions and from thetranslation at period-end exchange rates of monetary assets and liabilitiesdenominated in foreign currencies are recognised in the Income Statement. Translation differences on non-monetary items are reported as part of the fairvalue gain or loss reported in the Income Statement. (iii) Subsidiary company The results and financial position of the subsidiary entity that has afunctional currency different to the presentation currency is translated intothe presentation currency as follows: 1. assets and liabilities of the Balance Sheet presented are translatedat the closing rate at the date of the balance sheet; 2. income and expenses for the Income Statement are translated ataverage exchange rates for the period (unless this average is not a reasonableapproximation of the cumulative effect of the rates prevailing on thetransaction dates, in which case income and expenses are translated at the datesof the transactions); and 3. all resulting exchange differences are recognised as a separatecomponent of shareholders' equity. (d) Revenue recognition Revenue is recognised as follows: Interest income - recognised on an accruals basis as this relates to bankinterest income and coupon interest. Other income - relates to note receivable interest (2006: closing fees) whichare recognised when they fall due. Dividend income - dividend income is recognised when the right to receivepayment is established. (e) Expenditure All expenses are accounted for on an accruals basis. The management fees,administration fees, finance costs and all other expenses (excluding set upexpenses which were offset against share premium) are charged through the IncomeStatement. (f) Taxation The Company is exempt from Guernsey taxation under the Income Tax (ExemptBodies) (Guernsey) Ordinance, 1989. A fixed annual fee of £600 is payable to theStates of Guernsey in respect of this exemption. (g) Share issue expenses Share issue expenses of an equity transaction are accounted for as a deductionfrom equity (net of any income tax benefit) to the extent they are incrementalcosts directly attributable to the equity transaction that otherwise would havebeen avoided. (h) Dividends Dividend distributions to the Group's shareholders are recognised in the Group'sfinancial statements in the period in which the dividends are paid. (i) Cash and cash equivalents Cash and cash equivalents includes cash in hand, deposits held at call withbanks, other short term highly liquid investments and bank overdrafts. (j) Trade and other receivables Receivables are recognised initially at fair value plus transaction costs thatare directly attributable to their acquisition or origination. They aresubsequently measured at amortised cost. (k) Trade and other payables Payables are recognised initially at fair value and subsequently stated atamortised cost. (l) Investments and loan notes Financial assets and liabilities at fair value through profit or loss Purchases and sales of all investments are recognised on trade date - the dateon which the Group acquires or disposes of the economic benefits of the asset.All investments are initially recognised at fair value, and transaction costsfor all financial assets and financial liabilities carried at fair value throughprofit or loss are expensed as incurred. Investments are derecognised when therights to receive cash flows from the investments have expired or the Group hastransferred substantially all risks and rewards of ownership. The fair value of financial instruments traded in active markets is based onquoted market prices at the balance sheet date. The quoted market price usedfor financial assets held by the Group is the current bid price. The fair valueof financial instruments that are not traded in an active market is determinedby using valuation techniques. Valuation techniques used include the use ofcomparable recent arm's length transactions. For broadly syndicated loans T2 receives market quotes from agent banks on aquarterly basis. This information is reviewed by T2 management and used toprice the portfolio companies. For bi-lateral loans, an independent third party performs portfolio companyevaluations. As part of this independent third party's due diligence theyreview the following: (i) Financial assets and liabilities at fair value through profit or loss(continued) - Audited and/or unaudited historical financial information including the most recent fiscal year. - Financial information for the most current period available. - Financial forecast prepared by the Portfolio Company. - Most current capitalisation table. - T2 Investment Committee Memorandum prepared prior to the date of investment. - Documents relating to business operations, financial performance and corporate planning. - Public filings by the Portfolio Companies In assessing the fair value of each investment, a third party valuation firmreviews the following:. - Recent financial performance including cash flow and profitability on an actual basis compared to plan. - Funding history of the company, the implied valuation from the most recent funding and anticipated future funding transactions. - Company's capital structure. - Recent business events disclosed by the Company. - Potential requirement for additional funding. The fair value of loan notes is determined primarily by reference to indicativemid-market prices provided by a third party in good faith. Due to the limitedtrading activity, or the absence of trading activity, in these securities, theDirectors do not believe that these prices represent a "market value" butconsider other factors in their fair value determination including trends incredit spreads, interest rates and yields on similar securities. The Directorsbelieve that the mid-market convention is an accurate reflection of the fairvalue of these securities, and is consistent with the other factors which havebeen taken into consideration. Gains and losses arising from changes in the fair value of the financial assetsand liabilities at fair value through profit or loss are included in the IncomeStatement in the period in which they arise. (ii) Derivative Financial Instruments Derivatives are categorised as financial assets or liabilities held for tradingand valued at fair value through profit or loss. (iii) Subsidiary Investment in subsidiary is initially recorded at cost. After initialrecognition, the investment in subsidiary is measured at fair value, withmovements in the unrealised gains and losses recognised in the Company IncomeStatement. Through its ownership of 100% of the preferred shares of T2 IncomeFund CLO I Ltd the Directors consider the CLO to be a wholly owned subsidiaryand the operating results are consolidated in these financial statements. (m) Critical accounting estimates and judgements in applying accounting policies The Group makes estimates and assumptions that affect the reported amounts ofassets and liabilities within the next financial year. Estimates arecontinually evaluated and based on historical experience and other factors,including expectations of future events that are believed to be reasonable underthe circumstances. The Group also makes assumptions on the classification offinancial assets. Unlisted Debt Securities The Group can invest in financial instruments which are not quoted in activemarkets. Fair values are determined by using valuation techniques. Wherevaluation techniques, such as the Market Capitalization Approach, are used todetermine fair values they are carried out by an independent valuation firmspecifically engaged by the Group to carry out the valuations. Changes inassumptions could affect the reported fair value of financial instruments. Seenote 5 for carrying amount at year end. (n) New standards New standards and interpretations have been published that are mandatory for theGroup's accounting periods beginning on or after 1 January 2008 or later periodsand which the Group has not early adopted: The Group has not early adopted the new standard IFRS 8 (Operating Segments),therefore no additional disclosures have been made. (o) Share based payments Share options are valued in accordance with IFRS2 on an estimate of the fairvalue of the services received. 3. FINANCIAL RISK MANAGEMENT (1) Financial risk factors The Group is exposed to a variety of financial risks: market risk (includingcurrency risk, fair value interest rate risk, cash flow interest rate risk andprice risk), credit risk and liquidity risk. The risk management policiesemployed by the Group to manage these risks are discussed below. The primaryobjectives of the financial risk management function are to establish risklimits, and then ensure that exposure to risks stays within these limits. Theoperational and legal risk management functions are intended to ensure properfunctioning of internal policies and procedures to minimise operational andlegal risks. Significant accounting policies Details of the significant accounting policies and methods adopted, includingthe criteria for recognition, the basis of measurement and the basis on whichincome and expenses are recognised in respect of each class of financial asset,financial liability and equity instrument are disclosed in note 2 to theFinancial Statements. Capital Risk Management The Group will seek to achieve a high level of current income by investing indebt securities, consisting primarily of senior debt across multiple industries. The Group intends to invest primarily in companies located in the United States,Europe and the United Kingdom. The Group will target companies with attractivefundamental characteristics including experienced management, a significantfinancial or strategic sponsor or partner, a strong competitive position andpositive cash flow. The capital structure of the Group consists of cash and cash equivalents andequity attributable to equity holders, comprising share premium, distributablereserves and retained earnings. The Group does not have any externally imposedcapital requirements. At 31 December 2007 the Group had total equity ofGBP39,452,097 (2006:GBP36,492,217). The Group manages its capital to ensure that its objective is met. It does thisby investing available cash whilst maintaining sufficient liquidity to meeton-going expenses and dividend payments. The Investment Manager ensures that not more than 15% of the Group's grossassets are invested in any one investment. The Group's leverage is capped at500% of the Group's net asset value. (a) Market risk The Group's exposure to market risk is comprised mainly of movements in theGroup's investments. The investment portfolio is managed within parametersdisclosed in the Group's offering memorandum. All investments present a risk ofloss of capital. At 31 December 2007, the Group's market risk is affected by three maincomponents: changes in actual market prices, interest rate and foreign currencymovements. Interest rates and foreign currency movements are covered at (b) and(c) below. The following details the Group's sensitivity to a 5% increase and decrease inthe market prices, with 5% being the sensitivity rate used when reporting pricerisk to key management and represents management's assessment of the possiblechange in market price. If market prices had increased by 5% with all other variables held constant,this would have increased net assets attributable to holders of equity shares byapproximately GBP1,286,285 (2006:GBP2,698,918), due to the increase in the fairvalue of financial assets at fair value through profit or loss by GBP7,015,794(2006:GBP2,698,918) offset by the increase in the fair value of the financialliabilities at fair value through profit or loss by GBP5,729,509 (2006:GBPnil).Conversely, if market prices had decreased by 5%, this would have decreased netassets attributable to holders of equity shares by approximately GBP1,286,285(2006:GBP2,698,918), due to the decrease in the fair value of financial assetsat fair value through profit or loss by GBP7,015,794 (2006:GBP2,698,918) offsetby the decrease in the fair value of the financial liabilities at fair valuethrough profit or loss by GBP5,729,509 (2006:nil). (b) Interest rate risk Interest rate risk is the risk that the value of financial instruments willfluctuate due to changes in market interest rates. The Group has exposure tointerest rate risk because it has borrowed to fund investments. The exposurearises on the difference between the rate of interest the Group is required topay on borrowed funds and the rate of interest which it receives on the debtsecurities in which it invests. The Group is exposed to risks associated with the effects of fluctuations in theprevailing levels of market interest rates on its financial position and cashflows. The Group's cash balances, debt instruments and loan notes are open tointerest rate risk. The Group may, but is not required to, hedge against interest rate fluctuationsby using standard hedging instruments such as futures, options and forwardcontracts. The table below summarises the Group's exposure to interest rate risk. Non- interest Floating rate Fixed rate Bearing Financial Financial Financial Assets Assets Assets TotalAt 31 December 2007 GBP GBP GBP GBP AssetsFinancial assets at fair value throughprofit or loss 140,315,881 - - 140,315,881Note receivable - 500,000 - 500,000Trade and other receivables - - 1,119,113 1,119,113Cash and cash equivalents 16,078,863 - - 16,078,863Total assets 156,394,744 500,000 1,119,113 158,013,857 LiabilitiesLoan notes 114,590,180 - - 114,590,180Trade and other payables - - 3,971,580 3,971,580Capital and reserves attributable to theCompany's equity holders - - 39,452,097 39,452,097Total liabilities 114,590,180 - 43,423,677 158,013,857Total interest sensitivity gap 41,804,564 500,000 (42,304,564) - Non- interest Floating rate Fixed rate Bearing Financial Financial Financial Assets Assets Assets TotalAt 31 December 2006 GBP GBP GBP GBPAssetsFinancial assets at fair value throughprofit or loss 53,978,368 - - 53,978,368Note receivable - 500,000 - 500,000Trade and other receivables - - 610,946 610,946Cash and cash equivalents 4,929,513 - - 4,929,513Total assets 58,907,881 500,000 610,946 60,018,827 LiabilitiesWarehouse facility 22,374,308 - - 22,374,308Trade and other payables - - 1,152,302 1,152,302Capital and reserves attributable to theCompany's equity holders - - 36,492,217 36,492,217Total liabilities 22,374,308 - 37,644,519 60,018,827Total interest sensitivity gap 36,533,573 500,000 (37,033,573) - A 25 basis point increase or decrease is used when reporting interest rate riskinternally to key management and represents management's assessment of thepossible change in interest rates. 3. FINANCIAL RISK MANAGEMENT (continued) At 31 December 2007, should interest rates have lowered by 25 basis points withall other variables remaining constant, the reduction in net assets attributableto holders of equity for the year would amount to approximately GBP103,498(2006:GBP64,389). If interest rates had risen by 25 basis points, the increasein net assets attributable to holders of equity would amount to approximatelyGBP103,498 (2006:64,389). (c) Currency risk Currency risk is the risk that the value of financial instruments will fluctuatedue to changes in foreign exchange rates. The Group may make investments incurrencies other than Sterling. To the extent that it does, the Group will beexposed to a potentially adverse currency risk. Changes in the rate of exchangemay affect the value of the Group's investments, and the level of income that itreceives from those investments. The Group has entered into currency hedgingtransactions to minimise this risk (see note 16). Foreign currency denominated financial assets and liabilities, translated intoGBP at the closing rate, are as follows: 31 December 2007Assets USD EUR GBP Total Financial assets at fair value through profit or loss account 137,374,272 2,941,609 - 140,315,881Cash and cash equivalents 15,907,649 100,259 70,955 16,078,863Trade and other receivables 1,049,316 - 569,797 1,619,113Total assets 154,331,237 3,041,868 640,752 158,013,857LiabilitiesTrade and other payables 118,474,858 - 86,902 118,561,760Total currency sensitivity gap 35,856,379 3,041,868 553,850 39,452,097 31 December 2006Assets USD EUR GBP Total Financial assets at fair value through profit or loss account 49,060,856 4,917,512 - 53,978,368Cash and cash equivalents 2,826,963 130,412 1,972,138 4,929,513Trade and other receivables 574,186 35,675 501,085 1,110,946Total assets 52,462,005 5,083,599 2,473,223 60,018,827 LiabilitiesTrade and other payables 23,270,769 - 255,841 23,526,610Total currency sensitivity gap 29,191,236 5,083,599 2,217,382 36,492,217 At 31 December 2007, had the exchange rate between the US dollar, EUR and GBPincreased or decreased by 5%, with all other variables held constant, theincrease or decrease respectively in net assets attributable to holders ofequity shares would amount to approximately GBP36,454 (2006: GBP52,411). In accordance with the Group's policy, the Investment Manager monitors theGroup's currency position on a regular basis, and the Board of Directors reviewsit on a quarterly basis. (d) Credit risk Credit risk arises when a failure by counterparties to discharge theirobligations could reduce the amount of future cash inflows from financial assetson hand at the balance sheet date. The Group invests primarily in senior debt,senior subordinated debt and junior subordinated debt. The maximum investmentsize, at the time of the investment, will generally be limited to 15% of theGroup's Gross Assets. However, the Group may make larger investments and it mayseek to syndicate or sell down a portion of any such investment, after it hasbeen acquired. The Group has established a credit rating system. The purpose of the ratingsystem is to monitor the credit quality of T2's investment portfolio on both anindividual and portfolio basis and the future on-going monitoring required. 3. FINANCIAL RISK MANAGEMENT (continued) (d) Credit risk (continued) Portfolio by rating category 2007 2006 1 2% 0%2 77% 100%3 21% 0%4 0% 0%5 0% 0%Total 100% 100% Credit Ratings Level Ratings Criteria Methodology (1) (General Parameters) 1 Company is ahead of expectations and this trend is expected to continue.2 Full repayment of principal and interest is expected.3 Closer monitoring is required. Full repayment of principal and interest is expected.4 A reduction of interest income has occurred or is expected to occur. No loss of principal is expected.5 A loss of some portion of principal is expected. (2) (1) These are guidelines and when determining a Credit Ratings Level and otherfacts and circumstances may be considered. (2) An estimate of the potential amount of principal loss will be determined ona quarterly basis. None of the Group's financial assets are secured by collateral or other creditenhancements. In respect of trade and other receivables, the Group is not exposed to anysignificant credit risk exposure to any single counterparty or any group ofcounterparties having similar characteristics. The credit risk for liquid funds and other short-term financial assets isconsidered negligible, since the counterparties are reputable banks with highquality external credit ratings. (e) Liquidity risk Liquidity risk is the risk that arises when the maturity of assets andliabilities does not match. As the Group's investments will not generally be inpublicly traded securities, they are likely to be subject to legal and otherrestrictions on resale or otherwise be less liquid than publicly tradedsecurities. The illiquidity of the Group's investments may make it difficult forthem to be sold quickly if the need arises. Since the Group intends to invest indebt securities with a term of up to seven years, and hold investments in debtsecurities and related equity securities until maturity of the debt, the Groupdoes not expect realisation events to occur in the near term. The table below analyses the Group's financial liabilities into relevantmaturity groupings based on the remaining period at the balance sheet date tothe contractual maturity date. The amounts in the table are the contractualundiscounted cash flow. Balances due within 12 months equal their carryingbalances, as the impact of discounting is not significant. Current Non-Current within 6 to 12 1 to 5 later No stated 6 months months years than 5 years maturity At December 2007 Loan notes - - - 114,590,180 - Trade and other payables 3,971,580 - - - - Total financial liabilities 3,971,580 - - 114,590,180 - At 31 December 2006 Warehouse facility - - 22,374,308 - - Trade and other payables 1,152,302 - - - - Total financial liabilities 1,152,302 - 22,374,308 - - (2) Fair value estimation The fair values of the Group's short-term trade receivables and payablesapproximate their carrying amounts at the balance sheet date. 4. FUND EXPENSES Management fee The Investment Manager, T2 Advisers, LLC, is entitled to receive an annual feepayable quarterly in advance. The management fee is calculated based on 2% ofthe average value of the Company's gross assets at the most recently completedcalendar quarter and the projected gross assets as of the end of the currentcalendar quarter. Total fees charged for the year ended 31 December 2007 amounted to GBP2,420,301(2006:GBP298,751). The total amount due and payable at the year end amounted toGBP12,725 (2006:GBP57,207). Administration and secretarial fees The Administrator and Secretary, Butterfield Fund Services (Guernsey) Limited,is entitled to an annual fee for its services, as administrator and secretary,of 0.075% of the Net Asset Value of the Group, calculated on the last businessday of each quarter and payable quarterly in arrears. The fee is subject to aminimum of GBP40,000 per annum. They are also due a fixed accounting fee ofGBP10,000 per annum plus a fixed fee of GBP5,000 for their registrar services. Total Administration and secretarial fees (excluding accounting and registrarfees) charged for the year ended 31 December 2007 amounted to GBP40,000 (2006:GBP40,000). The total amount due and payable at the year end amounted toGBP10,000 (2006:GBP20,000). Custodian fees The Custodian, Butterfield Bank (Guernsey) Limited is entitled to custody feesof 0.02% of the Net Asset Value of the Group subject to a minimum of GBP15,000per annum. The fee is payable quarterly in arrears. Total fees charged for the year ended 31 December 2007 amounted to GBP15,043(2006:GBP15,000). The total amount due and payable at the year end amounted toGBP3,750 (2006:GBP3,780). Directors fees The current level of fees for the Chairman of the Board of Directors of theGroup is GBP25,000 per annum, and GBP20,000 each for non-executive directors. Total fees charged to the Group for the year ended 31 December 2007 amounted toGBP64,919 (2006:GBP65,000). The total amount due and payable at the year endamounted to GBP16,321 (2006:GBP16,250). Patrick Conroy received fees, as Chief Financial Officer to the Group, for theyear ended 31 December 2007 of GBP99,495 (2006:GBP50,000) . Fees outstanding atthe year end amounted to GBP54,165 (2006:4,167). Loan note expenses Total loan note expenses for 2007 was GBP3,054,047 (2006:GBP nil). These costsare the transaction costs that were incurred as a direct result of the raisingand issuing of the loan notes raised and issued during the year. Finance costs Total finance costs for 2007 was GBP5,207,811 (2006:GBP104,215). These financecosts are for interest paid to Merrill Lynch for the Warehouse facility(GBP1,686,232) and interest due to the loan note holders (GBP3,521,579). Theliability for the Warehouse facility was repaid on 19 July 2007 (2006:GBP22,374,308) and replaced with long-term notes. Long-term notes outstandingat 31 December 2007 were GBP114,590,180. 5. EARNINGS PER SHARE Earnings per share has been calculated by dividing the profit attributable toordinary share holders GBP1,605,583 Group, GBP1,709,156 Company (2006:GBP496,524Group, GBP531,945 Company) by the weighted average number of ordinary sharesoutstanding during the year 40,589,041 (2006:38,000,000). Fully diluted profitper share has been calculated by dividing the profit attributable to ordinaryshare holders of GBP1,605,583 Group, GBP1,709,156 Company (2006: GBP496,524Group, GBP531,945 Company), by the weighted average number of ordinary sharesoutstanding during the year adjusted for the effects of all dilutive potentialordinary shares 45,098,934 (2006:42,222,222). Date No. of shares No. of days Weighted average no. of shares 01/01/07 38,000,000 176 18,323,28825/06/07 43,000,000 189 22,265,753 365 40,589,041 Date Fully diluted no. of No. of days Weighted average no. of shares shares 01/01/07 42,222,222 176 20,359,20825/06/07 47,777,777 189 24,739,726 365 45,098,934 6. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT AND LOSS Group Group Company Company 2007 2006 2007 2006 GBP GBP GBP GBP Listed debt securities 30,063,114 8,127,281 - 6,085,423 Unlisted debt securities 110,252,767 45,851,087 4,227,734 20,316,155 140,315,881 53,978,368 4,227,734 26,401,578 (Loss)/Gains recognised in relation tofinancial assets at fair value through profitor loss - realised (1) (1,730,802) (248,633) (547,568) (248,633) - unrealised (2) (6,820,160) (1,835,169) 3,198,134 (1,630,983) (8,550,962) (2,083,802) 2,650,566 (1,879,616) Group Group Company Company 2007 2006 2007 2006 GBP GBP GBP GBP Opening value of financial assets 55,780,153 5,854,260 27,387,224 5,854,260 Purchases 137,310,167 59,465,371 10,226,998 41,570,229 Sales (40,750,789) (8,307,610) (18,877,404) (8,307,610) Realised loss on sale of investments (1,730,802) (248,633) (547,568) (248,633) Transfer to subsidiary - - (14,125,152) (10,775,207) Capital repayments (1,670,903) - (705,815) Cost of investments at year end 148,937,826 55,780,153 4,064,098 27,387,224 Unrealised (loss)/gain at year end (8,621,945) (1,801,785) 163,636 (985,646) Closing value at year end 140,315,881 53,978,368 4,227,734 26,401,578 (1) For the year ended 31 December 2007 the Group had a realised gain onfinancial assets and liabilities at fair value through the profit and lossaccount of GBP1,768,561. This is comprised of a realised loss on financialassets of GBP1,730,802 and a realised gain on liabilities of GBP3,499,363. 6. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT AND LOSS (continued) (2) For the year ended 31 December 2007 the Group had an unrealised gain onfinancial assets and liabilities at fair value through the profit and gain ofGBP122,030. This is comprised of an unrealised loss on financial assets ofGBP6,820,160 and an unrealised gain on liabilities of GBP6,942,190. 7. INVESTMENT IN SUBSIDIARY Company Company 2007 2006 GBP GBP Opening value of Investment in subsidiary 6,934,680 -Additions at cost 22,993,548 6,934,680Cost of Investment in subsidiary at year end 29,928,228 6,934,680Unrealised gain/(loss) on net assets transferred to subsidiary 1,436,898 (611,954)Closing fair value of Investment in subsidiary 31,365,126 6,322,726 The cost of the investment is represented by the net assets transferred to thesubsidiary. The Company from time to time makes asset transfers between the Company, T2Income Fund Limited, and the subsidiary, T2 Income Fund CLO I Ltd. 8. TRADE AND OTHER RECEIVABLES Group Group Company Company 2007 2006 2007 2006 GBP GBP GBP GBP Accrued bank interest 32,312 6,138 - 6,138 Loan interest receivable 1,060,213 444,417 169,909 312,011 Prepaid expenses 26,588 28,106 26,589 28,106 Unrealised gain on forward exchange contracts - 132,285 - 132,285 1,119,113 610,946 196,498 478,540 Non current assets Note receivable 500,000 500,000 500,000 500,000 The GBP500,000 note receivable relates to a promissory note due for payment in2009 from T2 Advisers, LLC, the Company's Investment Manager. This note, whichis subject to certain conditions, was signed on 5 December 2006 and is subjectto interest of 8% per annum, compounded annually. The promissory note isrecognised in the financial statements as the Directors, having reviewed theconditions pertaining to the promissory note, deem that receipt of payment isvirtually certain. 9. CASH AND CASH EQUIVALENTS Group Group Company Company 2007 2006 2007 2006 GBP GBP GBP GBP Call account 16,078,863 4,929,513 3,380,265 3,854,472 For the purposes of the Cash Flow Statement, the above items represent the yearend cash and cash equivalents. Included within call account balances is an amount held as Collateral by RBCCapital Markets for GBPnil (2006:GBP1,413,332 (US$2,768,717)) in relation to theforward exchange contracts. 10. TRADE AND OTHER PAYABLES Group Group Company Company 2007 2006 2007 2006Current liabilities GBP GBP GBP GBP Due to RBC - 896, 461 - 896,461 Due to Subsidiary - - 56,440 - Management fees 12,725 57,207 12,725 57,207 Administrator's fees 10,000 20,000 10,000 20,000 Custodian's fees 3,750 3,780 3,750 3,780 Audit fees 35,204 28,500 35,204 28,500 Directors' fees 16,321 16,250 16,321 16,250 Finance cost (1) 3,556,392 86,788 - - Unrealised loss on forward exchange contracts 5,266 - 5,266 - Other accruals 331,922 43,316 77,820 42,901 3,971,580 1,152,302 217,526 1,065,099 Non current liabilities Warehouse facility - 22,374,308 - - Loan notes 114,590,180 - - - On 21 November 2006 T2 Income Fund CLO I Ltd. entered into a credit andwarehouse agreement (the "Agreement") by and among Merrill Lynch Capital Corp.,T2 Income Fund CLO I Ltd. (as the Issuer), T2 Advisers, LLC (as the CollateralManager) and T2 Income Fund Limited. The facility amount was US$200,000,000.Interest due to Merrill Lynch was calculated daily on the total amount at 1month LIBOR plus 50 basis points. Merrill Lynch provided funding of 80% of thepar value of loans assigned to T2 Income Fund CLO I Ltd. On 19 July 2007 the Warehouse facility was repaid and loan-notes were issued inthe amount of US$309,050,000 with a twelve year term. The "Indenture" dated 19July 2007 is among T2 Income Fund CLO I Ltd as the "Issuer", T2 Income Fund CLOI LLC as the "Co-Issuer" and The Bank of New York Mellon as the "Trustee". (1) Interest on the loan-notes is calculated on a weighted average interest rateof LIBOR plus 75 basis points. 11. SHARE CAPITAL The Company has the power to issue an unlimited number of ordinary shares of nopar value. On incorporation two Ordinary Shares were issued at 100p each to the subscribersto the Memorandum of Association of the Company. On Admission to the AIM on 5August 2005 the Company repurchased these Ordinary Shares. On Admission to the AIM on 5 August 2005 the Company allotted 38,000,000 fullypaid Ordinary Shares. During the year 5,000,000 Ordinary Shares of no par value were issued at 101.75pper Share. Ordinary shares are classified as equity. Incremental costs directlyattributable to the issue of new shares are shown in equity as a deduction fromthe proceeds, net of tax. On 15 June 2007 Court approval was received to reduce the issued share premiumof the Company by an amount of £0.95 per share and that the aggregate of suchreduction be credited as a distributable reserve. The distributable reserve may be applied in any manner in which the Company'sprofits available for distribution are able to be applied, including thepurchase of the Company's own shares and the payment of dividend. 11. SHARE CAPITAL (continued) The Investment manager, T2 Advisers LLC, has been granted options to purchase4,222,222 Ordinary Shares at the Placing Price, as reduced by dividends paid pershare, subject to the Company achieving certain performance criteria as follows: The Investment manager options vested and became exercisable in respect of 50per cent immediately on conclusion of the first three month period during whichthe Company paid dividends on the Shares in an aggregate amount during thatthree month period equal to or exceeding 8 per cent of the Initial Offer Priceon an annualised basis (the hurdle rate). The remaining 50 per cent vest andbecome exercisable immediately on conclusion of the twelve month periodfollowing the date specified above. On 23 February 2007 the hurdle rate was met. Accordingly on 31 March 2007 theoptions on 2,111,111 of these Ordinary shares became vested. The remainingoptions for 2,111,111 Ordinary shares vested on 31 March 2008. The Investment Manager has been granted options to purchase 555,555 OrdinaryShares at 101.75p per Share, based upon the 5,000,000 Ordinary Shares issued inJune 2007, in accordance with the terms of the Investment Manager Agreement. In accordance with IFRS2, the value of the options was based upon an estimate ofthe fair value of the services received. The Company believes that the fairvalue can be determined by a comparison to a performance-based incentive feeprogram, which arrangements are common practice in the industry, because theoption program was similarly intended to compensate the Investment manager forachieving superior returns. The fair value estimate was based, in good faith,upon the present value of a hypothetical performance-based incentive fee,assuming a fee of 20% of the excess return above an 8% hurdle rate over aten-year period; the fair value of the options was determined to be £100,000.For the year ending 31 December 2007 the Company charged £85,833 (2006: £10,000)to expenses representing the amortisation of the fair value of the options. The calculation of fair value is sensitive to a number of assumptions, includingthe average interest rate on investments, the pace of investment activity, theamount and cost of leverage, if any, and expenses. It should be noted that theactual value of the options may ultimately be substantially greater or less thanthe fair value calculated. If actual financial performance is significantlybetter than the assumptions used in the calculation of fair value, the optionscould be worth several million pounds; to the extent that the performancecriteria is not achieved, the options would expire worthless. Share Capital Ordinary shares - nil par value Shares in issue Shares in issue Balance at start year 38,000,000 38,000,000Issued during the year 5,000,000 -Balance at end year 43,000,000 38,000,000 31 December 31 December 2006 2007Share Premium GBP GBP Balance at start year 36,694,149 36,694,149 Issued during year 5,087,500 - Issue costs (62,609) - Transfer to distributable reserves (36,100,000) - Balance at end year 5,619,040 36,694,149 12. NET ASSET VALUE PER SHARE The net asset value per Ordinary Share is calculated by dividing the net assetsat the year end of GBP39,452,097 (2006:GBP36,492,217) by the Ordinary Shares inissue at the end of the year being 43,000,000 (2006:38,000,000). 13. CASH GENERATED FROM OPERATIONS Group Group Company Company 2007 2006 2007 2006 GBP GBP GBP GBP Profit for the year 1,605,583 496,524 1,709,156 531,945 Adjustments for: Realised (gain)/loss arising on adjustment to financial assets and liabilities (1,768,561) 248,633 547,568 248,633 Unrealised (gain)/loss arising on adjustment to financial assets and liabilities (122,030) 1,835,169 (3,198,134) 1,630,983 Amortisation of fair value of options 85,833 10,000 85,833 10,000 Foreign exchange on consolidation 103,573 35,421 - - Changes in working capital: Trade and other receivables (508,167) (1,070,506) 282,042 (938,100) Trade and other payables 2,819,278 (3,569,803) (847,573) (3,657,006) Cash inflow/(outflow) from operations 2,215,509 (2,014,562) (1,421,108) (2,173,545) 14. CONSOLIDATED SUBSIDIARY UNDERTAKING Through its 100% ownership of preferred shares in T2 Income Fund CLO I Ltd., theDirectors consider the following entity as a wholly owned subsidiary of theCompany and its results and financial position are included within theconsolidated results of the Company. Date of Country of incorporation Nature of % holding incorporation holding T2 Income Fund CLO I Ltd. 11 October 2006 Cayman Islands Direct 100% 15. RELATED PARTY TRANSACTIONS Saul Rosenthal is a member of BDC Partners which owns T2 Advisers, LLC., theInvestment Manager. Saul Rosenthal and Patrick Conroy are officers of T2 Advisers, LLC., theInvestment Manager. Patrick Firth is a director of the Administrator, Butterfield Fund Services(Guernsey) Limited. The following transactions were carried out with related parties in addition tothe related party transactions disclosed in note 4: Group Group Company Company 2007 2006 2007 2006 GBP GBP GBP GBP Amounts incurred during the year torelated parties Fees due to P Conroy as Chief Financial Officer to the Company 99,495 50,000 99,495 50,000 Fees due to the Investment Manager, T2 Advisers, LLC 2,420,301 798,751 2,420,301 798,751 Note receivable from the Investment Manager, T2 Advisers, LLC - (500,000) - (500,000) Reimbursement due to BDC Partners, LLC 193,974 28,912 193,974 28,912 Amounts due to related parties at the year end Fees due to P Conroy as Chief Financial Officer to the Company 54,165 4,167 54,165 4,167 Due to subsidiary in relation to Wall Street Office system - - 56,440 - Fees due to the Investment Manager, T2 Advisers, LLC 12,725 57,207 12,725 57,207 Amounts due from related parties at the year end Note receivable from the Investment Manager, T2 Advisers, LLC 500,000 500,000 500,000 500,000 15. RELATED PARTY TRANSACTIONS (continued) The Investment Manager has been granted options giving it the right to acquire atotal of 4,777,777 Ordinary Shares, refer note 11. Directors shareholdings in Company Saul Rosenthal has a beneficial interest in 1,319,445 ordinary shares (2006:1,055,556) in the Company as at 31 December 2007. Through his ownershipinterest in T2 Advisers, LLC, the Investment Manager, Mr Rosenthal has aninterest of 1,194,445 shares related to the share option plan (re note 11), and125,000 shares relate to a purchase of shares during the year for his ownaccount. This is equal to a beneficial interest of 2.8% based on the ShareCapital as at that date when diluted by the number of Ordinary Shares subject tothe option. 16. COMMITMENTS At the balance sheet date the following commitment in respect of forward foreignexchange contracts existed: Unrealised Contract amount - GBP Buy Sell loss GBP1,563,524 (USD3,100,000) USD GBP (5,266) 17. POST BALANCE SHEET EVENTS Since the year end the Group has made a number of new investment purchases,these are detailed below: Date Par Amount Purchase Price 4 January 2008 US$4,000,000 Houghton International 99.50 12 March 2008 US$3,000,000 Paetec 90.75 14 March 2008 US$5,000,000 HCA,Inc. 91.75 Portfolio Statement of the Group For the year ended 31 December 2007 Fair Value % of net assets GBP Atlantic Inertial 2,421,382 6.14%4437667 Canada Inc. (Mold Master) 2,958,239 7.50%Attachmate 4,370,064 11.08%Cavalier Telephone 5,206,354 13.20%Conner Steel 2,425,402 6.15%Corel 5,540,960 14.04%CPM Holdings 1,887,664 4.78%DTN 2,433,928 6.17%Emdeon Business Services LLC 3,028,153 7.68%Express Energy 4,393,944 11.14%First Data Corp B1 Term Loan 4,292,087 10.88%Ford 4,155,987 10.53%Georgia Pacific LLC 2,389,834 6.06%Hudson Products Holdings Inc. 1,164,120 2.95%Inverness Medical 2,393,154 6.07%InfoNXX 3,368,532 8.54%Infor Global 2,868,815 7.27%Investools 4,403,087 11.16%Koosharem Corp 1st Lien Credit 1,286,125 3.26%Koosharem (Select Remedy) 2nd 2,723,559 6.90%Krispy Kreme 2,547,041 6.46%Merrill Corp 471,579 1.20%Metrologic 1st lien 1,411,636 3.58%Metrologic 2nd lien 1,392,041 3.53%MR Default 1,590,331 4.03%NameMedia, Inc. 2,995,915 7.59%Nova 10.75% 2,941,609 7.46%NPC 1st lien 1,855,169 4.70%NPC 2nd lien 1,896,404 4.81%Navisite 1,927,072 4.88%Nuvox 3,394,327 8. 60%Oshkosh Trucks 2,875,723 7.29%PAETEC Holding Corp. 1,297,069 3.29%Peacock Engineering 1,497,957 3.80%Pegasus 5,055,375 12.81%Prodigy Health 1st lien 2,696,326 6.83%Prodigy Health 2nd lien 887,678 2.25%Proquest 4,165,229 10.56%QA Direct Holdings, LLC 2,777,104 7.04%Realogy 5,291,913 13.41%Sirsi Dynix 865,002 2.19%SkillSoft 2,935,769 7.43%Stratus Technologies 2,977,083 7.55%Sunquest Holdings(Misys) 1,982,146 5.02%Topps Co. Inc. 2,874,868 7.29%TravelCLICK Acquisition Co 2,007,364 5.09%Tribune 2,135,960 5.40%TVC 1,932,088 4.90%VS Holdings (CBA Group) 3,285,520 8.33%Wimar Landco (Tropicana) 2,950,522 7.48%Workflow 1,703,420 4.32%X-rite 1st Lien 1,987,251 5.04%Total financial assets at fair value through profit or loss 140,315,881 355. 66%Cash balances 16,078,863 40.76%Other net liabilities (116,942,647) -296.42%Net Assets 39,452,097 100.00% This information is provided by RNS The company news service from the London Stock Exchange