Nb Global Regulatory News (NBMI)

NB GLOBAL MONTHLY INCOME FUND LIMITED

2022 ANNUAL REPORT

ANNUAL FINANCIAL STATEMENTS

FOR THE YEAR ENDED 31 DECEMBER 2022

COMPANY OVERVIEW | Features

Features

NB Global Monthly Income Fund Limited (the "Company" or "Fund")

The Company is a closed-ended investment company incorporated and registered in Guernsey on 10 March 2011 with registered number 53155. The Company is governed under the provisions of the Companies (Guernsey) Law, 2008 as amended (the "Law"), and the Registered Collective Investment Scheme Rules and guidance 2021 issued by the Guernsey Financial Services Commission. It is a non-cellular company limited by shares and has been declared by the Guernsey Financial Services Commission to be a registered closed-ended collective investment scheme. On 20 April 2011, the Company was admitted to the Official List of the UK Listing Authority with a premium listing trading on the Main Market of the London Stock Exchange ("LSE").

Alternative Investment Fund Manager ("AIFM") and Manager

Investment management services are provided to the Company by Neuberger Berman Investment Advisers LLC (the "AIFM") and Neuberger Berman Europe Limited (the "Manager"), collectively the "Investment Manager". The AIFM is responsible for risk management and discretionary management of the Company's portfolio and the Manager provides certain administrative services to the Company.

Investment Objective

In 2022, the Company's investment objective had been to target consistent levels of monthly income, whilst seeking to preserve or increase investors' capital. Following the passing of shareholder resolutions at the Company's extraordinary general meeting held on 27 January 2023, the Company's investment objective is to realise all existing assets in the Company's portfolio in an orderly manner ("Managed Wind-down"). Details of the Company's investment objective and investment policy can be found on the Company's website, www.nbgmif.com.

Investment Policy and Strategy

The Company pursues its investment objective by effecting an orderly realisation of its assets and making timely returns of capital to Shareholders, by way of several capital distributions. The Company aims to effect the sale of its assets, including both liquid and less liquid assets, in a manner that will maintain Shareholder value.

The Company has ceased to make any new investments or to undertake capital expenditure except where, in the opinion of the Board and the Investment Manager:

· the investment is a follow-on investment made in connection with an existing asset in order to comply with the Company's pre-existing obligations; or

· failure to make the follow-on investment may result in a breach of contract or applicable law or regulation by the Company; or

· the investment is considered necessary to protect or enhance the value of any existing investments or to facilitate orderly disposals.

Any cash received by the Company as part of the realisation process, but prior to its distribution to Shareholders, will be held by the Company as cash on deposit and/or as cash equivalents.

Capital Structure

As at 31 December 2022, the Company's share capital comprised 297,767,735 Sterling Ordinary Shares ("NBMI") of no par value (of which 76,083,114 were held in treasury).

Non-Mainstream Pooled Investments

The Company currently conducts its affairs so that the shares issued by the Company can be recommended by Independent Financial Advisers to ordinary retail investors in accordance with the Financial Conduct Authority's ("FCA") rules in relation to non-mainstream investment products and intends to continue to do so for the foreseeable future.

The Company's shares are excluded from the FCA's restrictions, which apply to non-mainstream pooled investment products.

LIBOR

Working groups and official sector committees, including the Financial Stability Board ("FSB"), set out clear timelines to aid in market participants' plans for a smooth transition from LIBOR to new risk-free reference rates. The FSB announced the dates after which representative LIBOR rates were no longer available. All LIBOR settings either ceased to be provided by any administrator or no longer were representative:

· immediately after 31 December 2021, in the case of all sterling, euro, Swiss franc and Japanese yen settings, and the 1-week and 2-month US dollar settings; and

· immediately after 30 June 2023, in the case of the remaining US dollar settings

Alternative risk-free reference rates, such as SONIA in the U.K. and SOFR in the U.S., are robust, stable and rooted in active and liquid underlying markets. SONIA is now widely used across all core sterling markets, supporting a wide range of borrowers across different sectors.

Dividends

Following the approval of the proposals put forward at the Company's extraordinary general meeting held on 27 January 2023, the Company has moved to paying dividends on a quarterly rather than monthly basis, with the first such dividend being paid in relation to the quarter ended 31 March 2023. The Board intends to pay quarterly dividends where there is sufficient net income to do so. As the Managed Wind-down progresses, the Board anticipates that the income from the Company's portfolio will gradually reduce. As a result of this reduction, the Company may have insufficient net income to pay dividends.

The rolling 12-month dividend yield (based on the dividends declared in respect of the period and share price as at 31 December 2022) was 6.68%.

COMPANY OVERVIEW | Business Model

Purpose and Values

The purpose of the Company is to carry out business as an investment company and to provide returns to shareholders through achieving its investment objective.

The values of the Company are discussed and agreed upon by the Board. The Board seeks to run the Company with a culture of openness, high integrity and accountability. It is conscious that it demonstrates these values through its behaviour both within itself and its dealings with its stakeholders. It seeks to act in the spirit of mutual respect, trust and fairness. The Board is robust in its challenge of the Investment Manager and other service providers but tries always to be constructive and collegiate. The Board expects its members to exhibit an independence of mind and not to be wary of asking tough questions. Moreover, it expects and encourages its key service providers to exhibit similar values.

Principal Activities and Structure

The chart below sets out the ownership, organisational and investment structure of the Company.

INVESTMENT STRUCTURE OF THE COMPANY

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* Further information on the Company's investment management arrangements can be found further below.

The Investment Manager seeks to manage risk through in-depth credit research utilising proprietary analytical processes. The Company's investments are broadly summarised as traditional credit and alternative credit investments.

Traditional Credit Investments

Traditional credit describes the Company's investments in high yield bonds (below investment grade corporate debt including both secured and unsecured securities), investment grade corporate bonds (corporate bonds rated BBB- or above by a third party ratings agency and with a lower risk of default than non-investment grade bonds) and senior secured floating rate loans.

Senior Secured Floating Rate Loans

Senior secured floating rate loans, also known as floating rate secured loans or leveraged loans, are debt obligations originated and arranged by banks or other financial entities (also known as an arranger) on behalf of corporations, partnerships and other business issuers to finance activities such as mergers and acquisitions, leveraged buyouts, recapitalisations, refinancings, capital expenditure or for other general corporate purposes.

The senior secured floating rate loans owned by the Company typically hold the most senior position in the capital structure of the borrower and are secured with specific collateral, giving lenders a claim on the assets that are senior to the claims of unsecured creditors, subordinated debt holders and stockholders of the borrower. The security package typically incorporates a first priority over all of the borrower's assets including receivables, inventory, bank accounts, property, plant and equipment. In the event of a default or bankruptcy, the holders of the loans should be in a better position to maximise recovery of their debt than other creditors due to their position in the capital structure.

If the reference interest rate exceeds the floor, then such loans pay the prevailing reference interest rate as well as the credit spread. The return is generated by reference interest rate or the reference interest rate floor, the spread over reference interest rate paid by the borrower due to the terms of the underlying loan and the discount. The discount occurs because new issues are commonly priced, in the Investment Managers' experience, at a discount to the par value of the loan.

Alternative Credit Investments

Alternative credit describes the Company's investments in the following categories of alternative credit products:

· Stressed credit;

· CLO debt tranches;

· Club loan transactions; and

· Private corporate loans.

Stressed Credit

Stressed credit investments may be mispriced or otherwise overlooked securities or assets in dislocated sectors that lack liquidity and in circumstances in which "unnatural holders" of such securities or assets have been under economic as well as regulatory pressure to sell.

Non-performing loans or other types of assets that are not consistent with their portfolio objectives or constraints, making such investors "unnatural holders," and under both economic and regulatory pressure to reduce their exposure to these dislocated or troubled asset classes. The Investment Manager believes that these opportunities, if properly managed, have the potential to offer attractive returns to investors that understand the risks and uncertainty of such investments, have the necessary capital (so as to be able to absorb the illiquidity of such investments) and are able to accept a longer-term time horizon for these holdings.

Type of investments: Stressed credit assets include: bankruptcy situations; out-of-court restructurings and workouts; as well as "special situations".

· Bankruptcy situations: Primarily in public and private securities of bankrupt companies and/or companies that have recently emerged from bankruptcy. The primary focus is on senior and senior secured debt.

· Special situations: Refers to investments in stressed or event-driven situations where the Investment Manager identifies significantly under-valued assets either in loan or bond format.

CLO Debt Tranches / Mezzanine Notes

The Company's investments in Collateralised Loan Obligations ("CLO") debt tranches are in mezzanine notes. These are typically rated either BB or high single B.

A CLO is a type of asset backed security supported by interest and principal payments generated from a pool of non-investment grade loan and debt instruments. The issue of CLO securities involves a form of securitisation, where principal and interest payments from multiple corporate loans and debt instruments are pooled together, packaged into securities in various tranches. A CLO security is a securitised asset.

The pools of loans and debt instruments are managed by a collateral manager appointed by the CLO. The collateral manager is responsible for selecting the loans and debt instruments to be purchased and sold and for determining the timing of such purchases and sales in accordance with the CLO's governing documents.

CLOs typically issue securities in three tranches, each of which offers distinct risk and return profiles. Each tranche varies in terms of the priority and rate at which its holders will be paid out when income is received by the CLO, from the underlying loans. The senior tranche securities will receive income in priority to all other tranches but will receive the lowest rate, while the most junior tranche will not receive any income payment but will benefit from any increases in the value of the pool of underlying loans and will bear the primary risk of defaults in this pool. In order of priority of receipt of income, the tranches are: senior, mezzanine and equity tranches. Mezzanine notes are typically issued by a CLO with original ratings ranging from A/A2 to B-/B3.

The Company holds mezzanine notes and so will receive income only after payments to the CLO's senior notes have been made in full. Additionally, if an individual CLO's coverage ratio and/or portfolio tests are not met, cash flow that would otherwise have been available to apply towards the mezzanine notes may instead be used to redeem senior notes and/or purchase additional collateral. This may result in the deferral, reduction or elimination of interest and/or principal due to the holders of mezzanine notes. The Company will not have recourse against a CLO for any such deferral, reduction or elimination made in accordance with the terms of a CLO's structuring documents. The Investment Manager's review of the CLO incorporates detailed scenario analysis which will include the assessment of the CLO's coverage ratio tests and the potential impact on the CLO's expected cash flows. An individual CLO's coverage ratio serves to preserve the collective value of the CLO's underlying portfolio of loans for the benefit of debt investors at the expense of the equity investors in case of a certain level of credit stress in the underlying loan portfolio.

CLO BALANCE SHEET

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'Club' Loan Transactions

These are secured floating rate loans, which usually rank second in priority in the creditor waterfall.

CREDITOR WATERFALL

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In the leveraged loan market, it is common for issuers with larger size capital structures to seek to include a portion of junior capital in the structure, however these instruments are not always syndicated widely. Additionally, liquidity in these instruments will usually be lower than in the first lien equivalent debt tranches. Junior or 2nd lien tranches pay a higher coupon to holders than is available to 1st lien debt holders to compensate for the relative subordination.

Private Corporate Loans

These are primary, non-sponsored private corporate loans issued through a pan-European network of co-investing banks to borrowers. Such loans rank senior in the capital structure and most contain financial covenants of the borrower.

The table below summarizes the main characteristics of a representative loan:

In addition to thoroughly understanding the company from a financial point of view, the team focuses on knowing a company's management. Analysts visit with management at least twice per year and speak with their company contacts at least quarterly. The Investment Manager believes it is extremely important to know the management team, in addition to analysing their financials. Furthermore, a full ESG analysis is completed by the Investment Manager's research analysts, incorporating customised, industry specific factors and leveraging the Sustainability Accounting Standards Board ("SASB") Alliance framework to develop our own proprietary ESG score for every company in which the Investment Manager and the Company invests.

ESG analysis is performed by the Non-Investment Grade Credit research team, not outsourced to a centralised group within the firm or to a third party ESG rating service. The Investment Manager's proprietary ESG scoring process is completed for all issuers in portfolios and ESG weightings are customised based on specific industry criteria identified by the research analysts. The team monitors performance attribution in order to determine whether the ESG analysis has identified risks and opportunities as expected.

Principles for Responsible Investment ("PRI") (https://www.unpri.org/) has awarded Neuberger Berman an A+ for its fixed income ESG integration

Differentiated ESG Process

· ESG is a critical component of the fundamental research process that determines Internal Credit Ratings

· ESG analysis is performed by the Non-Investment Grade Credit research team, not outsourced to a centralized group within Neuberger Berman or third party ESG rating service

· Proactive engagement with issuers to enhance disclosure, improve ESG analysis, and effect positive change

· Quarterly ESG Review with Credit Committee

· Performance attribution is monitored to determine the impact of ESG analysis

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An important component of the portfolio management team's buy and sell discipline is its internal rating system. The team does not merely rely on third-party ratings when analysing relative value. Instead, a rating is determined for each issuer's securities based on an analyst's financial analysis. This rating is used for spread comparisons across quality and industry levels.

Neuberger Berman's credit research team is divided into industry verticals as illustrated below. Ideas are fed up to the Investment Manager's credit committee, which consists of the senior portfolio managers from across the non-investment grade platform.

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Further information on the Company's investment strategy and process can be found in the Company's most recent prospectuses, which are available on the Company's website at www.nbgmif.com under the "Investor Information" tab.

Hedging

As the Company's shares are denominated in Pound Sterling (Sterling Ordinary Shares) and investments are denominated in U.S. Dollars, Euro or Pound Sterling, holders of the Company's shares would be indirectly exposed to foreign currency fluctuations between the currency in which such shares are denominated and the currency of the non-Pound Sterling investments made by the Company. Consequently, the Investment Manager seeks to engage in currency hedging between the U.S. Dollar and any other currency in which the assets of the Company or a class of shares is denominated, subject to suitable hedging contracts such as forward currency exchange contracts being available in a timely manner and on terms acceptable to the Investment Manager, at its sole and absolute discretion.

Gearing and Derivatives

During the Managed Wind-down, the Company will not undertake borrowing other than for short-term working capital purposes. No gearing was employed in the year ended 31st December 2022 (31 December 2021: Nil). The Company may use derivatives for hedging as well as for efficient portfolio management, including managing currency risks between cash flows from its assets and Sterling, being the currency of the Shares.

Wind Down

Following the passing of shareholder resolutions on 27 January 2023, the Company will execute the Managed Wind-down. The Board proposes to implement the Managed Wind-down by realising the assets comprised in the Portfolio in an orderly manner and to make capital distributions to Shareholders during the wind-down period as and when sufficient cash is realised to make it economically expedient to make a distribution. At an appropriate point in the future, proposals to place the Company into liquidation will be put to Shareholders.

STRATEGIC REVIEW | Financial Highlights

Financial Highlights

Key Figures

1 Further explanation and definitions of the calculation is contained in the section "Alternative Performance Measures".

2 Dividends are those that were declared in respect of the year.

STRATEGIC REVIEW | Chair's Statement

Chair's Statement

Dear Shareholder,

It is with pleasure that I present to you the Annual Report of NB Global Floating Rate Income Fund Limited for the Year ended 31 December 2022.

Performance

As explained more fully in the Investment Manager's Report it was a very challenging year for credit markets and for fixed income more broadly and this was reflected in the Company's results. At the end of the year the Company's NAV per Sterling Ordinary Share was £0.7926 (31 December 2021 £0.9492). The Company's Net Asset Value ("NAV") total return per share for the year was -10.1% per Sterling Ordinary Share. 

In 2022, global credit and government bond markets experienced significant drawdowns as a result of rising interest rates, high inflation, the war in Ukraine, rising recession risk and spiking energy prices. Central banks and the U.S. Federal Reserve ("the Fed") hiked interest rates to fight multi-year highs in inflation. The U.S. Fed raised policy rates at the fastest pace in recent history. In fact, it was twice as fast as in 1988/1989. CPI inflation in the U.S. and Europe reached 40-Year highs in many countries. The Bank of England and the European Central Bank also conducted aggressive rate hike campaigns. As rates started to impact the interest rate sensitive sectors, many investors started to anticipate a recession in 2023/2024. In fact, the probability of U.S. recession went from ~20% at the start of 2022 to just over 75% as of year-end 2022. Clearly there was no recession in 2022 as U.S. real GDP growth remained positive on the year, but recession risk estimates for 2023 have remained relatively elevated. Adding to the market volatility last year was the invasion of Ukraine by Russia, which pushed up energy and other commodity prices impacting Europe more severely. However, the market's major fear last year that Europe was facing a winter of energy shortages, which could have led to rationing for industry and power outages for consumers, was not realised. In fact, with gas usage lower than expected thanks to favourable weather conditions, energy prices in Europe have dropped dramatically from the 2022 highs. Going forward, we believe this reads positively not only for inflation, but for corporate earnings in general, especially in more cyclical areas of the market where demand disruption and exposure to energy input costs is highest. Even if top line growth is impacted by slower economic conditions, lower energy prices should help support margins.

Credit markets were weak across the board in 2022 as the ICE BofA Global High Yield Index returned -11.39%, with lower rated segments seeing more severe drawdowns as CCC & below and single-Bs were down -14.33% and -11.56%, respectively. Also, the longer-dated parts of the fixed income markets were negatively impacted by duration risk as the ICE BofA U.S. Corporate Index returned -15.44% and the ICE BofA 15+ Year BBB US Corporate Index returned -26.24%.

Global high yield spreads-as measured by the ICE BofA Global High Yield Constrained Index-widened by over 135 basis points in 2022 with lower rated segments of the index widening even more. That said, we believe current valuations are compensating investors for the average default outlook based on the NB team's bottom-up default risk assessment, even in the event of a mild recession in 2023/2024.

Drawdowns for fixed coupon assets were as much as -15.3% for investment grade credit and -11.4% for global high yield in 2022 due in large part to a repricing of sovereign debt markets as central banks increased policy rates to address higher inflation. The tightening of financial conditions resulted in heightened volatility and bouts of risk-off market sentiment in 2022. The Fund's exposure to Floating Rate base instruments-which varied between 67% and 70% of assets through the year-acted to shield performance in part. Even so, the spread premia required for credit did increase sharply as the spread to worst on the ICE BofA Global High Yield Constrained Index widened by +137 basis points in the year. Additionally, spread premia rose even more in lower rated credit, as the CCC & below rated segment of the global high yield index widened by +530 basis points. The Fund did have some selective exposure to CCC rated issuers. That said, the CCC issuers in the Fund had a higher dollar price, on average, than that of the index which was the result of the NB team's differentiated views of the individual CCC credits based on their proprietary internal credit ratings.

The Company's share price total return in 2022 was -13.60% per Sterling Ordinary Share which was weaker than the NAV total return per share due to a widening in the discount to NAV from 5.6% at the start of the year to 9.6% at the close

As of 31 December 2022, the Portfolio's current yield was 10.51%, and the yield to maturity was 13.99% compared to 31st December 2021 when the Portfolio's yield was 6.27%, and the yield to maturity was 6.58%.

Portfolio Positioning

At Dec 31 2022, the portfolio was principally exposed to Global Floating Rate Loans (25%), Global High Yield bonds (26%), Private Debt (23%), CLO debt (11%) and Special situations (12%). Of this, 67% was invested in floating rate assets with the remainder in fixed rate debt, with a combined duration of 1.36 years. In terms of rating, 12% was BB, 48% was single B and 33% was CCC, with the remainder being unrated.

Dividends

During 2022 The Board was pleased to announce five increases to the Target Distribution during the financial year 2022.

The dividend increased during the year from a rate of 5.25% of Net Asset Value per annum to 8.10% of Net Asset Value per annum. This equates to a target monthly distribution of £0.0054 per share paid monthly, or £0.06493 per share, per annum. The latest Target Distribution represented a level which was 38% higher than the total dividends paid in 2021.

On 25 January 2023, the Board announced an additional interim dividend, totalling circa. £1.995 million, equating to £0.009 per Sterling Ordinary Share in respect of the Company's Excess Reportable Income for the 2022 Financial Year. The Board will keep under review the declaration of a further interim dividend from the Company's ERI in respect of the 2022 Financial Year following the conclusion of the 31 December 2022 year-end audit. Should there be such a further dividend, it is not expected to be significant.

Following the results of the EGM, the Company will move to paying dividends on a quarterly rather than monthly basis, with the first such dividend being paid in relation to the period ended 31 March 2023. The Board intends to pay quarterly dividends where there is sufficient net income to do so. As the managed wind-down (refer to the paragraph on the EGM results below) progresses, the Board anticipates that the income from the Portfolio will gradually reduce. As a result of this reduction, the Company may have insufficient net income to pay dividends.

Annual General Meeting ("AGM") Results

All the resolutions proposed at the AGM were duly passed with no significant votes lodged against any resolution.

Cash Exit Facility Offer

The Company announced on 1 June 2022 that the Board intended to exercise its discretion to make the first tender offer under the Cash Exit Facility described in the shareholder circular published by the Company on 17 August 2020 and approved by shareholders at the EGM of the Company held on 8 September 2020. A circular was published on 16 June 2022 which stated that Shareholders would be entitled to elect to have up to 25 per cent. of their Shares held on 30 June 2022 redeemed.

On 15 June 2022 the Board circulated to Shareholders the "Cash Exit Facility Offer". The offer gave Shareholders the opportunity to tender up to 25 per cent. of their Shares at a discount of 2 per cent. to NAV per Share on 30 June 2022.

Elections to participate in the Cash Exit Facility Offer were received with respect to 25,500,417 Shares, equivalent to 10.32 per cent. of the 247,185,038 Shares in issue (excluding 76,083,114 treasury shares). The Directors and any funds managed by Neuberger Berman did not participate in the Cash Exit Facility Offer in respect of those Shares held by them. Following faster than anticipated settlement of trades and in combination with the timing of other cash receipts, the Company had sufficient cash available to fund the Redemption Proceeds in full and a single Redemption Proceeds payment was made to eligible Shareholders on 8 August 2022.

On 21 November 2022 the Board announced it would not implement the Company's semi-annual cash exit facility in December 2022 but instead would put forward proposals for approval by Shareholders to place the Company into a managed wind-down.

Extraordinary Meeting ("EGM") Results

The Board announced on 21 November that participation in the December Cash Exit offer would likely result in the Company's net asset value falling below £150 million, rendering the Company, in the opinion of the Board, sub-scale. That probable outcome, combined with the Company's persistent share price discount to NAV per share and recent feedback from Shareholders, led the Board to believe that it was in the best interests of the Company and its Shareholders as a whole that the Company be placed into a managed wind-down.

A circular was published 20 December 2022 seeking shareholder approval to realise the Company's Portfolio in an orderly manner and distribute the realisation proceeds to Shareholders over time. This would require amending the Company's Investment Objective and Policy and articles of incorporation. Both resolutions set out in the EGM Circular sent to shareholders were duly passed by a poll with over 98% in favour.

As the Company's portfolio consists of both liquid and less liquid assets, it will take varied time periods to realise assets in an orderly manner with a view to maintaining Shareholder value. Based on current and anticipated market conditions, the Investment Manager anticipates that the process of realising the most illiquid assets in the Company's portfolio could require a period of up to 24 months. The Investment Manager anticipates that the process of realising the portfolio given current market conditions is that 75% of the assets would have been sold by 31st Dec 2023. 23% of the portfolio as of 23rd Feb 2023 was held in Private Loans and 2% in a private Brock Holdings note which is anticipated to take over 365 days to be sold. While there is uncertainty when the Private Loans will be sold, the Investment Manager expects to have sold all other asset types by the end of 2023.

Managed Wind Down

On 27 February 2023, the Board announced its intention to distribute to Shareholders an aggregate amount of £35 million by way of a partial compulsory redemption of Shares in the capital of the Company on 13 March 2023.

The Company redeemed 43,206,203 shares at a price of 81.00 pence per Share for cancellation which was approximately 19.5% of the Company's Sterling Shares in issue, excluding Shares held in treasury. Following the redemption, the Company has 254,561,532 Sterling Shares in issue, of which 76,083,114 are held in treasury and are not eligible to vote.

The payment was made to Shareholders on 27 March 2023.

Discount Management

At the 2022 AGM shareholders approved the use of a buyback facility for up to 14.99% of the Company's shares. The Board has not operated this facility. Instead, following the approval by Shareholders at the EGM, detailed above, capital will be returned to Shareholders via periodic compulsory redemptions of shares. The Board intends to keep Shareholders informed of the redemption process at appropriate intervals.

Outlook

The Board believes while underlying credit fundamentals have likely peaked, that balance sheets are entering a period of slower growth from a position of relative strength. The impact of tightening in financial conditions in recent months as Interest Rates have increased are arguably yet to fully feed through, though we have started to see side-effects in recent weeks for example in the banking sector. The macro-economic outlook, should it deteriorate, may have an impact on trading liquidity conditions which in turn could impact both the speed of realisations of assets in the portfolio as well as the Investment Manager's ability to achieve attractive price levels.

Thank you for your continued support

Rupert Dorey

Chairman

4 April 2023

STRATEGIC REVIEW | Investment Manager's Report

Investment Manager's Report

Market and Macroeconomic Environment

Non-investment grade credit finished the twelve-month period ending 31 December 2022 with mixed but broadly negative returns depending on the credit rating tier and whether the securities were fixed or floating. The floating rate feature of loans and lower interest rate risk of the asset class benefitted investors with increasing coupons and smaller drawdowns than other fixed income in 2022. However, the global high yield bond market finished 2022 with larger drawdowns in what was a tumultuous year across the majority of fixed income and equity asset classes. The overall risk-off sentiment was driven by the ongoing Russian-Ukraine conflict, elevated inflation and commodity prices, tightening of financial conditions and slowing economic activity. Robust consumer spending and a tight labour market, repercussions from the war in Ukraine, and other factors combined to push inflation to a 40-year high in the U.S and many other countries. Against this backdrop, the U.S. Federal Reserve began an aggressive rate hike campaign in March 2022, which has moderated more recently but is expected to continue until inflation is under control. Furthermore, other central banks, such as the European Central Bank and the Bank of England also raised rates with the intent to bring inflation down. Global high yield credit spreads widened due to periods of risk aversion and central banks' monetary tightening campaigns. U.S. 10-Year Treasury yields, and other bellwether longer-dated government bonds, moved higher in 2022 as nominal GDP growth remained robust and inflation reached multi-year highs in many countries. However, this type of environment did not derail the improvement or stability in credit fundamentals for most issuers as many were able to pass on price increases and adjust to the new operating environment. Credit differentiation was also a prevalent factor in 2022. Moreover, default rates declined to all-time lows in the first half of 2022, rising only incrementally in the second half of 2022. Additionally, higher yields and better valuations attracted investors into the loans, CLO and high yield asset classes.

The global loan market was relatively resilient in a challenging year for most asset classes. Over the reporting period, the Morningstar LSTA U.S. Leveraged Loan Index ("the Index") returned -0.60% (in USD terms) and the Morningstar European Leveraged Loan Index (the ELLI") returned -3.06% (excluding currency). For the full year, lower quality loans in the Index underperformed the highest quality as securities rated BB, B and CCC and below returned 2.99%, -1.07% and -12.00%, respectively. The Morningstar U.S. Leveraged Loan 100 Index-a measure of the largest and most liquid loan issuers-returned -0.60%, performing in line with the overall index. The Second Lien Loans index returned -9.17% over the period.

The global high yield bond market ended the reporting period in negative territory driven primarily by rising interest rates, concerns over still-elevated inflation, commodity price swings and input cost pressures on some issuers' margins. Credit spreads widened over the reporting period. The ICE BofA Global High Yield Constrained Index returned -11.38% for the full year 2022. In global high yield, lower quality securities, such as those rated CCC & below in the ICE BofA Global High Yield Index (Total Return, Hedged, USD) underperformed with returns of -14.33%, whereas BB and B securities returned -10.89% and -11.56%, respectively, for the full year.

CLO debt spreads widened over the reporting period reflecting the increasing recession risk priced in by investors as central banks aggressively raised policy rates to fight inflation. Despite macro and geopolitical concerns, we continue to be fundamentally confident in the significant structural protection provided against credit losses in the underlying loan portfolios. CLO structures in general, and CLO BBs in particular, have showed themselves once again to be relatively resilient in the face of rising recession risk. The CLO BB Index returned -3.82% over the period. CLOs have benefitted from higher near-term rates and stable underlying fundamentals as well as continued attractive relative value compared to other fixed income assets.

Defaults continued to remain low despite rising in the second half of the year in non-investment grade credit markets, which is consistent with relatively healthy balance sheets and solid interest coverage. Default rates declined in December in the U.S. and European loan markets. The trailing 12M par-weighted default rate for the Index as of December was 0.72%, down 1 basis points from the prior month and down 345 basis points from the September 2020 peak of 4.17%. In European loans, the trailing 12M par-weighted default rate was 0.42%, down 1 basis point compared to the prior month and 219 basis point lower than the October 2020 peak. The distressed ratios remained above the lows reached earlier in the year as the share of distressed issuers in the Index and the ELLI went from around 2% each in May to 7.36% for the U.S. and 9.05% for the European loan market. In December, the par weighted last 12-month U.S. high yield default rate was 0.84%, unchanged from the prior month. This was the fifth month in a row with no U.S. high yield bond defaults which is unprecedented. While the default rate has risen off the all-time lows, we expect defaults to remain below average based on our bottom-up assessment of issuers and driven by the higher-quality ratings mix in high yield (50% of issuers with credit ratings of BB), less aggressive new issuance, fewer near-term maturities, as well as an energy sector that is far healthier than in the past few cycles.

Non-investment grade credit-with its lower duration profile, higher yields relative to other fixed income and solid credit fundamentals-represents an attractive investment opportunity at current valuations.

Performance 31 December 2021 to 31 December 2022

For the year ended 31 December 2022, the NB Global Monthly Income Fund-Sterling Share Class GBP-returned -10.28%. (Performance data quoted represents past performance and does not indicate future results. Total returns shown are net of all fees and expenses and include reinvestment of income dividends and other distributions, if any).

During the period, holdings in the Diversified Financial Services, Entertainment and Gas Utilities sectors were the most significant drivers of relative performance whilst holdings in the Commercial Services & Supplies, Health Care Providers & Services and Cable TV sectors were the largest detractors from performance. The Company's positioning in BB rated issuers detracted the least from performance whilst positioning in CCC & below rated issuers subtracted the most over the period.

As at 31 December 2022, Global Floating Rate Loans was the portfolio's largest allocation at 26.8% followed by Private Debt at 25.6%. The Company's allocation to BB rated credits was 12.2% whilst the exposure to CCC & below rated issuers finished the period at 33.8%. The overall Fund exposure to floating rate assets was at 67% at the end of the reporting period, with an average duration of 1.36 years. Regarding sector allocation, the top three weights included Software, Health Care Providers & Services and Machinery whilst the bottom three weights included Food & Staples Retailing, Wireless Telecommunications Services and Electrical Utilities.

Over the period 31 December 2021 to 31 December 2022, the dividend was increased five times from 5.25% of Net Asset Value per annum to 8.10% of Net Asset Value per annum. Following the results of the EGM, the frequency of dividend payments will reduce to quarterly where there is sufficient income to do so.

Portfolio Positioning

NBMI as at December 31 2021

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NBMI as at December 31 2022

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Outlook

In our view, non-investment grade yields are compensating investors for the below average default outlook, will continue to provide durable income and are attractive compared to other fixed income alternatives. The tightening of financial conditions has caused real GDP growth to slow and slowing demand has helped inflation come off the boil, but it is still higher than central banks' target ranges. Changes in consumer behavior and rising inventories, among other factors, are likely to continue to mitigate upward inflationary pressures, which could eventually lead to a less aggressive path for central bank policy. That said, our analysts remained focused on the specific credit fundamentals of individual issuers in their coverage, assessing the base and downside cases in the event of a soft-landing or recession. Relatively healthy consumer and business balance sheets and growing nominal GDP should remain supportive for issuer fundamentals. While real demand growth has slowed, we remain focused on sector-specific dynamics and idiosyncratic risks to individual issuers.

Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited

4 April 2023 4 April 2023

 STRATEGIC REVIEW | Portfolio Information

Portfolio Information

Top 10 Issuers as at 31 December 2022 (excluding cash)

Top 10 S&P Sector Breakdown

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1 The Company's Current Gross Portfolio Yield is a market-value weighted average of the current yields of the holdings in the portfolio, calculated as the coupon (base rate plus spread) divided by current price. The calculation does not take into account any fees, Company expenses or sales charges paid, which would reduce the results. The Current Gross Portfolio Yield for the Company will fluctuate from month to month. The Current Gross Portfolio Yield should be regarded as an estimate of the Company's rate of investment income and it will not equal what is distributed by way of dividends by the Company.

STRATEGIC REVIEW | Strategic Report

Strategic Report

Investment Objective and Business Model

The Company's investment objective and business model have been discussed previously in this document.

Principal Risks and Risk Management

The Board is responsible for the Company's system of internal financial and operating controls and for reviewing its effectiveness. The Board has satisfied its responsibility by using the Company's risk matrix as its core element in establishing the Company's system of internal financial and reporting controls while monitoring the investment limits and restrictions set out in the Company's investment objective and policy. The Board has carried out a robust assessment of the emerging and principal risks and uncertainties facing the Company including those that would threaten its business model, future performance, solvency, or liquidity.

The principal risks, which have been identified, and the steps taken by the Board to mitigate these areas are as follows:

Macroeconomic Conditions

Credit Risk

Liquidity Risk

Operational Risk

Heat Map of Principal Risks

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Principal Risks' Expected Direction of Change

Emerging Risks

The Board undertakes a quarterly assessment of all risks on a forward-looking basis, and in discussion with the Investment Manager identifies emerging risks in addition to assessing expected changes to existing risks as discussed above. The Board assesses the likelihood and impact of emerging risks. The Board discusses and agrees appropriate mitigation or management of emerging risks as and when they are identified. An emerging risk identified this period which continues to be an emerging risk is the level of financial repression in the West to combat inflation. Emerging risks are managed through discussion of the likelihood and impact at each quarterly Board meeting. Should an emerging risk be determined to have any material potential impact on the Company, where possible, appropriate mitigating measures and controls are agreed.

Going Concern

The Directors have undertaken a rigorous review of the Company's ability to continue as a going concern during the Managed Wind-down including reviewing the on-going cash flows and the level of cash balances, the liquidity of investments and the income deriving from those investments as of the reporting date and have determined that the Company has adequate financial resources to meet its liabilities as they fall due.

After making enquiries of the Investment Manager and the Sub-Administrator, the Directors are satisfied that the Company has adequate resources to discharge its liabilities as they fall due for at least one year from the date these Financial Statements were approved. Accordingly, the Directors continued to adopt a going concern basis in preparing these Financial Statements.

Viability Statement

In accordance with provision 8.2 paragraph 36 of the AIC Code of Corporate Governance, published in February 2019 (the "AIC Code"), the Directors have assessed the future prospects of the Company. The Board announced on 21 November that participation in the December Cash Exit offer would likely result in the Company's net asset value falling below £150 million, rendering the Company, in the opinion of the Board, sub-scale and therefore not viable over the longer term. That probable outcome, combined with the Company's persistent share price discount to NAV per share and recent feedback from Shareholders, led the Board to believe that it was in the best interests of the Company and its Shareholders as a whole that the Company be placed into a managed wind-down. At the end of this process, the Board anticipates it will put forward proposals to Shareholders to appoint a liquidator to liquidate the Company. In making their assessment the Directors have considered the Company's status as an investment entity, its investment objectives, the principal and emerging risks it faces, its current position and the time period over which its assets are likely to be realised, a two-year period ending 31 December 2024.

The Directors have performed a quantitative and qualitative analysis that included the Company's income, capital realisations and expenditure projections during the expected wind-down period. At the date of this report, the Company has cash balances in excess of $30 million. The Directors, in coming to their decision as to the timing and quantum of the next compulsory redemption of shares (the mechanism used to return capital to shareholders) will retain sufficient cash to cover anticipated working capital requirements together with a buffer to cover any unanticipated costs or delay in the planned on-going Portfolio realisations under the Managed Wind-down. Despite this caution, should a liquidity issue, arise, it would still be possible to defer future planned distributions and/ or raise cash from accelerated sales from the Portfolio, albeit undesirable as they would likely be at prices lower than planned. A risk to the analysis however is the possibility that the cost of hedging, which is cash settled quarterly, is extreme for a particular quarter at a time when liquidity in the credit markets is severely impacted. The Investment Manager reviews the hedging positions daily and considers it highly unlikely that such a situation would arise and cause the Company not to be able to settle its liabilities as they fall due. The Directors have therefore made the assumption that this would not happen.

The Directors have concluded that there is a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the remaining life, which is projected to be for the period to 31 December 2024.

Performance Measurement and Key Performance Indicators

In order to measure the success of the Company in meeting its objective and to evaluate the performance of the Investment Manager, the Directors take into account the following performance indicators:

· Returns and NAV - The Board reviews at each board meeting the performance of the portfolio as well as the NAV, income and share price of the Company;

· Discount/premium to NAV - At each quarterly Board meeting, the Board monitors the level of the Company's discount or premium to NAV and reviews the average discount/premium for the Company's peer group. The Company publishes a NAV per share on a daily basis through the official newswire of the LSE. This figure is calculated in accordance with the AIC's guide which includes current financial year revenue, the same basis as that calculated for the Financial Statements;

· The Directors examine the revenue forecast monthly and consider the yield of the portfolio and the amount available for distribution; and

· The Board considers the performance of other comparable income funds at each quarterly Board meeting.

· Since the commencement of the Managed Wind-down, the Directors regularly review the pace of trades made to sell down the portfolio and the cash settlement of those trades. The Directors also consider when it is economic to make returns to shareholders either by the compulsory redemption of shares and or the payment of dividends.

Management Arrangements

Investment Management Arrangements

On 17 July 2014, the Company and the Investment Manager made certain classificatory amendments to their contractual arrangements for the purposes of the European Commission's Directive on Alternative Investment Fund Managers (the "AIFM Directive"). The Sub Investment Management Agreement was terminated on 17 July 2014 and Neuberger Berman Investment Advisers LLC, which was the Sub Investment Manager, was appointed as the AIFM per the amended and restated Investment Management Agreement ("IMA") dated 17 July 2014. Under this agreement, the AIFM is responsible for risk management and day-to-day discretionary management of the Company's portfolios (including un-invested cash). The risk management and discretionary portfolio management functions are performed independently of each other within the AIFM structure. The AIFM is not required to, and generally will not, submit individual investment decisions for approval by the Board. The Manager, Neuberger Berman Europe Limited, was appointed under the same IMA to provide, amongst other things, certain administrative services to the Company. Please refer to Note 3 for details of fee entitlement.

On 31 December 2017, an amendment to the IMA was approved. Under the amendment, the responsibility for the manufacture of the Company's Key Information Document was delegated to the AIFM and other changes were made relating to MiFID II, anti-money laundering, bribery, cyber security and data protection On 1 October 2019, the IMA was amended to reflect a reduction in the Investment Manager's fee to 0.65% of NAV. Effective 8 September 2020, the IMA was further amended to reflect a change to the Investment Manager's fee:

NAV amounts of the Company and Applicable rate of management fee to such NAV amount

Up to £500 million: 0.75 per cent. of NAV per annum

Between £500 million and up to £750 million: 0.70 per cent. of NAV per annum

Between £750 million and up to £1 billion: 0.65 per cent. of NAV per annum

Above £1 billion: 0.60 per cent. of NAV per annum

Effective 27 January 2023 the IMA was further amended to reflect a reduction in the Investment Manager's applicable fee above by 7.5 basis points until 50% of the Company's assets by market value held as at the date of the EGM have been realised and thereafter a reduction to the applicable fee above by a further 7.5 basis points until all of the Company's assets have been realised.

The IMA can be terminated either by the Company or the Investment Manager, but in certain circumstances, the Company would be required to pay compensation to the Investment Manager of six months' management charges. No compensation is payable if notice of termination of more than six months is given.

Administration and Custody Agreement

Effective 1 March 2015, the Company entered into an Administration and Sub-Administration Agreement with U.S. Bank Global Fund Services (Guernsey) Limited and U.S. Bank Global Fund Services (Ireland) Limited, a wholly-owned subsidiary of U.S. Bank Global Fund Services (Guernsey) Limited. Under the terms of the agreement, Sub-Administration services are delegated to U.S. Bank Global Fund Services (Ireland) Limited (the "Sub-Administrator"). U.S. Bank National Association (the "Custodian") was appointed custodian to the Company effective 1 March 2015. On 4 June 2018, the Company entered into an Amendment to the Administration and Sub-Administration Agreement in respect of the requirements of relevant data protection regulations. On 5 February 2020, the Company entered into an amendment to the fee schedule to both the Custodian Agreement and Administration and Sub-Administration Agreement to reflect a reduction in fees charged by the Administrator and Custodian. It was further amended effective 2 October 2020 to reflect a further reduction in fees.

See Note 3 for details of fee entitlement.

Company Secretarial and Registrar Arrangements

Company secretarial services are provided by Sanne Fund Services (Guernsey) Limited formerly Praxis Fund Services Limited. Registrar services are provided by Link Market Services (Guernsey) Limited.

See Note 3 for details of fee entitlement.

 GOVERNANCE | Directors

Directors

Rupert Dorey (Chair)

Rupert Dorey is a resident of Guernsey and has over 35 years of experience in financial markets. Mr Dorey was at Credit Suisse First Boston Limited for 17 years from 1988 to 2005 where he specialised in credit related products, including derivative instruments where his expertise was principally in the areas of debt distribution, origination and trading, covering all types of debt from investment grade to high yield and distressed debt. He held a number of senior positions at Credit Suisse First Boston Limited, including establishing Credit Suisse First Boston Limited's high yield debt distribution business in Europe, fixed income credit product coordinator for European offices and head of UK Credit and Rates Sales. Since 2005 he has been acting in a Non-Executive Directorship capacity for a number of Hedge Funds, Private Equity & Infrastructure Funds, for both listed and unlisted vehicles. Rupert is a former President of the Guernsey Chamber of Commerce and is a member of the Institute of Directors.

Laure Duhot (Chair of the Management Engagement Committee and the Remuneration and Nomination Committee)

Laure is resident in the United Kingdom and brings 35 years of professional experience in the investment banking and property sectors, specialising in alternative real estate assets, including investing in and the development of healthcare properties, private market rent ("PRS"), affordable housing, student and senior living across the UK and in Europe. Laure has a proven track record in fund management, corporate finance, private equity and capital markets and previous senior roles include the European Investment Bank, Lehman Brothers, Macquarie Capital Partners, Sunrise Senior Living, Pradera, Grainger and Lendlease. Laure's non-executive experience includes board positions at a number of investment funds and property companies, including Thames Valley Housing Group, the Guinness Partnership, the MedicX fund and InLand Homes plc. Laure currently serves as a non-executive director of Primary Healthcare Properties plc, Safestore plc and, more recently, Orpea SA, where she was recently appointed to the Board as part of the new team tasked with negotiating a major restructuring of the company.

David Staples (Chair of the Audit and Risk Committee and Senior Independent Director)

Mr Staples, a resident of Guernsey, is a fellow of the Institute of Chartered Accountants in England and Wales and an associate of the Chartered Institute of Taxation. He also holds the Institute of Directors' Diploma in Company Direction.

Mr Staples was a partner for thirteen years of PricewaterhouseCoopers ("PwC") and led the tax practice in the South East of England, advising several large family and owner-managed businesses. He was also a member of the management board of the firm's London and South East Middle Markets Tax Practice. Since leaving PwC in 2003, Mr Staples has served on the boards of several listed companies as a non-executive director including as chair of MedicX Fund Limited and Duet Real Estate Finance Limited. He was also, until recently, a director and audit committee chair of two other listed companies, Ruffer Investment Company Limited and Baker Steel Resources Trust Limited. Until 31 December 2022, he was chair of the general partner companies of the main global private equity funds advised by Apax Partners. He presently holds no other listed company directorships.

GOVERNANCE | Directors' Report

Directors' Report

Share Capital

The share capital of the Company consists of: (a) an unlimited number of shares which upon issue the Directors may classify as U.S. Dollar Shares, Sterling Shares or Euro Shares or as shares of such other classes as the Directors may determine; (b) an unlimited number of B Shares which upon issue the Directors may classify as B Shares of such classes denominated in such currencies as the Directors may determine; (c) an unlimited number of C Shares which upon issue the Directors may classify as C Shares of such classes denominated in such currencies as the Directors may determine.

The number of shares in issue at 31 December 2022 was as follows:

Sterling Ordinary Shares 297,767,7351

1 of which 76,083,114 were held in treasury.

The U.S. Dollar Ordinary Share Class was closed on 3 August 2020 following a compulsory conversion into Sterling Ordinary Shares.

The number of shares in issue at 31 December 2021 was as follows:

Sterling Ordinary Shares 323,268,1522

2 of which 76,083,114 were held in treasury

The number of shares in issue as at 4 April 2023, being the latest practicable date prior to publication of this report, was as follows:

Sterling Ordinary Shares 254,561,5323

3 of which 76,083,114 are held in treasury

Share Repurchases

At the Annual General Meeting ("AGM") of the Company held on 15 June 2022, the Directors were granted the general authority to purchase in the market up to 14.99% of the class of shares.

This authority will expire at the AGM expected to be held in June 2023. Pursuant to this authority, and subject to the Law and the absolute discretion of the Directors, the Company may purchase Ordinary Shares of a particular class in the market on an ongoing basis with a view to addressing any imbalance between the supply of and demand for Ordinary Shares of such class. The Directors will only apply this authority if the share price is standing at a discount to the NAV per share thereby increasing the NAV per Ordinary Share of that class and assisting in managing the discount to NAV per Ordinary Share of that class. The Directors intend to seek annual renewal of this authority from shareholders to enable the Board to act on an opportunistic basis. However, as the Board is focussed on returning capital to shareholders by way of regular compulsory redemptions of shares and the distribution of net income by way of dividend payments, it would only be in exceptional circumstances that the Board anticipates that it would buy back shares under this authority.

NBMI Cumulative Share Buybacks 1 January 2016 - 31 December 2022

Dividends and Dividend Policy

During the Managed Wind-down, the Company will move to paying dividends on a quarterly rather than monthly basis, with the first such dividend being paid in relation to the period ended 31 March 2023. The Board intends to pay quarterly dividends where there is sufficient net income to do so. As the Managed Wind-down progresses, the Board anticipates that the income from the Portfolio will gradually reduce. As a result of this reduction, the Company may have insufficient net income to pay dividends.

In order to avoid having any excess reportable income for 2021, the Board resolved to increase the dividend for the period ended 30 April 2022 by 0.205 pence per share. Similarly, in order to avoid having any excess reportable income for 2022, the Board resolved to pay an ad-hoc dividend of 0.09 pence per share on 21 February 2023.

The below table sets out the dividends paid by the Company that were declared in respect of 2022:

The below chart sets out the quarterly/monthly* dividends per share paid by the Company from Q3 2011 to 31 December 2022:

Dividends per Share NBMI*

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 Source: U.S. Bank Global Fund Services (Guernsey) Limited. Past performance is not indicative of future returns. Please refer to the dividend policy above and which is available in the Company's prospectus which can be found on https://www.nbgmif.com

December 2021 and 2022 dividends were paid in January of the next year.

* Starting October 2020, dividends moved to a monthly cycle.

Annual dividend yield based on the dividends declared in respect of the period and the share price as at 31 December 2022

Substantial Share Interests

Based upon information deemed reliable as provided by the Company's registrar, as at 3 April 2023 the following shareholders owned 5% or more of the issued shares of the Company.

Notifications of Shareholdings

In the year to 31 December 2022 the Company was notified in accordance with Chapter 5 of the DTR (which covers the acquisition and disposal of major shareholdings and voting rights), of the following voting rights as a shareholder of the Company. When more than one notification has been received from any shareholder, only the latest notification is shown. For non-UK issuers, the thresholds prescribed under DTR 5.1.2 for notification of holdings commence at 5%. Notifications received by the Company below 5% are included here for completeness only.

1 Calculated at time of announcement

Since the year end, 1 TR-1 notifications was received by the Company. When more than one notification has been received from any shareholder, only the latest notification is shown.

1 Calculated at time of announcement

Directorship Disclosures in Other Public Companies Listed on a Stock Exchange

Life of the Company

The Company does not have a fixed life. However, as required under Article 51 of the Articles of Incorporation, which were in effect until 8 September 2020, the Directors were required to propose an Ordinary Resolution that the Company continues its business as a closed-ended investment company (a "continuation resolution"). The first continuation resolution, which fell due on or before the third anniversary of admission, was passed on 19 March 2014. The second continuation resolution fell on 5 April 2017, being before the sixth anniversary of admission and was also duly passed. From 2018, the continuation resolution, as required by the Articles, was proposed annually at the annual general meeting, and was duly passed in May 2019 and the final vote was passed on 11 June 2020.

Since the passing of the resolutions proposed at the EGM on 8 September 2020 and amendment to the Articles, there is no longer a requirement that an annual continuation vote take place. Under the terms of the Managed Wind-down, the Board and the Investment Manager will be committed to distributing as much of the available cash from the realisation of assets as soon as reasonably practicable having regard to cost efficiency and working capital requirements. Accordingly, Shareholders should expect that redemptions will be made regularly but, in order to minimise the administrative burden and costs of redemptions, not necessarily as soon as cash becomes available. The return of cash to Shareholders pursuant to the Managed Wind-down will be effected through the compulsory redemptions of Shares in volumes and on dates to be determined at the Directors' sole discretion. Shares will be redeemed from all Shareholders pro rata to their existing holdings of Shares on the relevant record date for any given Redemption Date. The Directors are authorised to make such redemptions under the Articles of Incorporation of the Company (the "Articles"). The return of cash to Shareholders pursuant to the Managed Wind-down will be effected through the compulsory redemptions of Shares in volumes and on dates to be determined at the Directors' sole discretion

Redemptions of Shares will become effective on each redemption date, being a date chosen at the Directors' absolute discretion, as determined by the Directors to be in the best interests of the Company and Shareholders as a whole. In determining the timing of any Redemption Date, the Directors will take into account the amount of cash available for payment of redemption proceeds and the costs associated with such redemption. The Shares redeemed will be the relevant percentage of the Shares registered in the names of Shareholders on the record date of the redemption. Shareholders will receive the redemption price per Share, being a value equal to the NAV per Share at the Net Asset Value Date, in respect of each of their Shares redeemed compulsorily.

The Board intends to maintain the Company's listing and the trading of its Shares on the Main Market of the LSE for as long as the Directors believe to be practicable during the Managed Wind-down period, subject to the ability of the Company to continue to comply with its obligations under the Listing Rules (including the obligation to ensure that a sufficient number of its Shares are in public hands (as such phrase is used in current Listing Rule 6.1.19(3) R)).

There are, however, significant costs to the Company in maintaining the listing. The cost efficiency of retaining the Company's listing will continue to be monitored and reviewed by the Board on an ongoing basis. The Board may propose a cancellation of the Company's listing before it ceases to comply with the Listing Rules, although any such proposal will be subject to the approval of Shareholders. In the event that the Company can no longer satisfy the continuing obligations for listing set out in the Listing Rules (including if the percentage of Shares held in public hands falls below 10 per cent. of the total number of issued Shares), the Directors shall immediately notify the UK FCA, which may suspend the listing of the Shares pursuant to Listing Rule 5. Following Shareholder approval, the listing would then be cancelled.

Anti-Bribery and Corruption Policy

The Board of the Company has a zero-tolerance approach to instances of bribery and corruption. Accordingly, it expressly prohibits any Director or associated persons, when acting on behalf of the Company, from accepting, soliciting, paying, offering or promising to pay or authorise any payment, public or private, in the United Kingdom or abroad to secure any improper benefit for themselves or for the Company. The Investment Manager has also adopted a zero-tolerance approach to instances of bribery and corruption. The Board insists on strict observance with these same standards by its service providers in their activities for the Company and continues to refine its process in this regard.

The Modern Slavery Act 2015 ("MSA")

The MSA requires companies to prepare a slavery and human trafficking statement for each financial year of the organisation. As the Company has no employees and does not supply goods or services, the MSA does not directly apply to it. The MSA requirements more appropriately relate to the Investment Manager which is a signatory of the Principles of Responsible Investment (please see "Employees and Socially Responsible Investment" above) which include social factors such as working conditions, including slavery and child labour. The MSA of the Investment Manager is available on its website at www.nb.com.

Criminal Facilitation of Tax Evasion Policy

The Board of the Company has a zero-tolerance commitment to preventing persons associated with it from engaging in criminal facilitation of tax evasion. The Board has satisfied itself in relation to its key service providers that they have reasonable provisions

in place to prevent the criminal facilitation of tax evasion by their own associated persons and will not work with service providers who do not demonstrate the same zero tolerance commitment to preventing persons associated with it from engaging in criminal facilitation of tax evasion.

General Data Protection Regulation

The Company takes privacy and security of your information seriously and will only use such personal information as set out in the Company's privacy notice which can be found on the Company's website at https://www.nbmif.com/pdf/privacy_policy.pdf

Employees and Socially Responsible Investment

The Company has a management contract with the Investment Manager. The Company has no employees and all of its directors are non-executive, with day-to-day activities being carried out by third parties. There are therefore no disclosures to be made in respect of employees and its own direct environmental impact is minimal. The Company's main investment activities are carried out by Neuberger Berman, which is a signatory to the Principles of Responsible Investment and has an ongoing commitment to strengthening and refining its environmental, social and governance ("ESG") approach, see the Investment Manager's website for further details at https://www.nb.com/en/global/esg/philosophy.

The Investment Manager incorporates an ESG assessment into its internal credit ratings for non-investment grade credit. Its approach is to consider the valuation implications of ESG risks and opportunities alongside traditional factors in the investment process and to focus on companies or themes, which are judged to be 'better' according to environmental, social and governance characteristics. Further details of Neuberger Berman's Principles for Responsible Investment are given on its website at www.nb.com/pages/public/en-gb/principles-for-responsible-investment.aspx.

Global Greenhouse Gas Emissions

The Company has no significant greenhouse gas emissions to report from its operations for the year to 31 December 2022 (2021 - none), nor does it have responsibility for any other emissions producing sources.

Gender Metrics

The Board consists of two men and one woman (33% female representation) as at 31 December 2022. More information on the Board's consideration of diversity is given in the Corporate Governance Report.

Key Stakeholder Groups

The Company identifies its key stakeholder groups as follows:

Shareholders

All Board decisions are made with the Company's success in mind, which is ultimately for the long-term benefit of its stakeholders.

Service Providers

As an investment company the Company does not have any employees and conducts its core activities through third-party service providers. Our service providers' relationships are vital to our overall success, so as a Board we carefully consider the selection of, and engagement and continued relationship with our key service providers being the Investment Manager, Administrator, Custodian, Broker, Legal Advisers, Registrar and Company Secretary.

The Board recognises the benefits of fostering strong business relationships with its key service providers and seeks to ensure each is committed to the performance of their respective duties to a high standard and, where practicable, that each provider is motivated to adding value within their sphere of activity.

The Board has delegated various duties to external parties including the management of the investment portfolio, the custodial services (including the safeguarding of assets), the registration services and the day-to-day company secretarial, administration and accounting services. Each of these contracts was entered into after full and proper consideration by the Board of the quality and cost of services offered. Each provider has an established track record and, through regulatory oversight and control, are required to have in place suitable policies to ensure they maintain high standards of business conduct, treat customers fairly, and employ corporate governance best practice.

The Company continues to have regular two-way face-to-face meetings with all key service providers. The Board respects and welcomes the views of all stakeholders. Any queries or areas of concern regarding the Company's operations can be raised via the Company Secretary.

Stakeholders and Section 172

Whilst directly applicable to UK registered companies, the intention of the AIC Code is that matters set out in section 172 of the UK Companies Act, 2006 are reported. The following disclosures offer some insight into how the Board uses its meetings as a mechanism for discharging its duties under Provision 5 of the AIC Code, including the breadth of matters it discussed and debated during the year and the key stakeholder groups that were central to those discussions. The Board's commitment to maintaining the high-standards of corporate governance recommended in the AIC Code, combined with the directors' duties enshrined in Company law, the constitutive documents, the Disclosure Guidance and Transparency Rules, and Market Abuse Regulation, ensures that shareholders are provided with frequent and comprehensive information concerning the Company and its activities via the Company's website and Regulatory Information Service ("RIS") announcements on the London Stock Exchange such as ad hoc portfolio data to be provided to the Shareholders from time-to-time during the Managed Wind-down period as appropriate.

Each Board meeting follows a carefully tailored agenda agreed in advance by the Board and Company Secretary. A typical meeting will comprise reports on current financial and operational performance from the Administrator, market update from the Broker, portfolio performance from the Investment Manager, with regulatory and governance updates from the Company Secretary and where required, a detailed deep dive into an area of particular strategic importance or concern. Through oversight and control, the Company has in place suitable policies to ensure it maintains high standards of business conduct, treats stakeholders fairly, and employ high standards of corporate governance.

Whilst the primary duty of the Directors is owed to the Company, the Board considers as part of its discussions and decision-making process the interests of all key stakeholder groups as identified above. Particular consideration is given to the continued alignment between the activities of the Company and those that contribute to delivering the Board's strategy.

Employee Engagement & Business Relationships

The Company conducts its core activities through third-party service providers and does not have any employees. The Board recognises the benefits of fostering strong business relationships with its key service providers and seeks to ensure each is committed to the performance of their respective duties to a high standard and, where practicable, that each provider is motivated to adding value within their sphere of activity. Details on the Board's approach to service provider engagement and performance review are contained in the Management Engagement Committee Report.

Disclosure of Information to the Auditor

The Directors who were members of the Board at the time of approving this report are listed on previously in this document. Each of those Directors confirms that:

· he or she has taken all steps a director might reasonably be expected to have taken to be aware of relevant audit information and to establish that the Company's auditor is aware of that information.

For and on behalf of the Board

Rupert Dorey

Chair

4 April 2023

GOVERNANCE | Corporate Governance Report

Corporate Governance Report

Applicable Corporate Governance Codes

The Board has considered the principles and provisions of the AIC Code of Corporate Governance (the "AIC Code"), published in February 2019. The AIC Code addresses the principles and provisions set out in the UK Corporate Governance Code (the "UK Code") as well as setting out additional provisions on issues that are of specific relevance to the Company.

The Board considers that reporting against the principles and provisions of the AIC Code provides more relevant information to shareholders. The AIC Code has been endorsed by the Financial Reporting Council and Guernsey Financial Services Commission. Copies of the AIC Code can be found at www.theaic.co.uk. It includes an explanation of how the AIC Code adapts the Principles and Provisions set out in the UK Code to make them relevant for investment companies.

The Company has complied with the principles and provisions of the AIC Code to the extent they are applicable to the Company.

On 1 January 2012, the Guernsey Financial Services Commission's ("GFSC") "Finance Sector Code of Corporate Governance" came into effect and was amended in February 2016 and 10 June 2021 (the "GFSC Code"). The GFSC Code states that companies, which report against the UK Code or the AIC Code, are deemed to meet the GFSC Code and need take no further action.

Corporate Governance Statement

Throughout the year ended 31 December 2022, the Company has complied with the recommendations of the AIC Code, except where explanations have been provided. The Company assesses its compliance with the recommendations of the AIC through conducting an annual analysis and addressing any gaps identified.

The Directors believe that this Annual Report and Financial Statements ("Annual Report") presents a fair, balanced and understandable assessment of the Company's position and prospects, and provides the information necessary for shareholders to assess the Company's performance, business model and strategy.

The Company complies with the corporate governance statement requirements pursuant to the FCA's DTR by virtue of the information included in the Corporate Governance section of the Annual Report together with information contained in the Strategic Review and the Directors' Report. There is no information that is required to be disclosed under Listing Rule 9.8.4.

Our Governance Framework

The Board, chaired by Rupert Dorey who is responsible for its leadership and for ensuring its effectiveness in all aspects of its role, currently consists of three non-executive Directors. The biographical details of the Directors holding office at the date of this report are listed previously in this document, and demonstrate a breadth of investment, financial and professional experience. The Board considers that all the Directors have different qualities and areas of expertise on which they may lead where issues arise and to whom concerns can be conveyed. The balance and independence of the Board is kept under review by the Remuneration and Nomination Committee, details of which can be found further below.

Board Independence and Composition

The Chair and all Directors are considered independent of the Company's Investment Manager, the Company Secretary, the Administrator and Sub-Administrator. The Directors consider that they all contribute to the affairs of the Company in an adequate manner. The Board reviews the independence of all Directors annually. Rupert Dorey was deemed to be independent by the Board prior to his appointment as Chair of the Company.

Directors' Appointment

No Director has a service contract with the Company. Directors have agreed letters of appointment with the Company, copies of which are available for review by shareholders at the Registered Office and will be available at the 2023 AGM. Rupert Dorey has served since 1 March 2015, David Staples has served since 14 June 2018 and Laure Duhot has served since 25 November 2020. Directors may resign at any time by giving one month's written notice to the Board.

In accordance with the AIC Code all Directors are subject to re-election annually by shareholders. The Remuneration and Nomination Committee reviewed the independence, contribution and performance of each Director together with results of the 2022 internal Board Evaluation and have determined that it is in the best interests of the Company that Rupert Dorey, David Staples and Laure Duhot should stand for re-election.

Tenure of Non-Executive Directors

The Board has adopted a policy on tenure that it considers appropriate for an investment company. The Board does not believe that length of service, by itself, leads to a closer relationship with the Investment Manager or necessarily affects a Director's independence. The Board's tenure and succession policy has sought to ensure that the Board is well balanced. The Board has sought to encompass past and current experience of various areas relevant to the Company's business.

The dates of appointment of all Directors are provided in the Directors' Remuneration Report and a summary of shareholder elections is provided below.

Succession

Over the last two years, the Board have looked to balance the tenure of the Directors. Given the nature of the Company, being an externally managed investment company with no employees and no executives, the Board believes its succession plan and orderly rotation of long serving directors has been in the best interests of the Company and the Board has acted on the recommendations of the Remuneration and Nomination Committee in relation to its composition on an annual basis. As the Board is now focussed on the Managed Wind-down it does not anticipate there will be any further changes to its composition whilst the Company remains listed.

Re-election of Directors

Rupert Dorey, David Staples and Laure Duhot each submit themselves for re-election at the AGM to be held in June 2023. The Remuneration and Nomination Committee confirmed to the Board that the contributions made by each of the Directors offering themselves for re-election/election at the 2023 AGM continue to support the overall effective operation of the Board and that shareholders should support their re-election.

Board Diversity

The Board considers that its members have a balance of skills and experience which are relevant to the Company. The Board supports the recommendations of the Davies Report and notes the recommendations of the Parker Review into ethnic diversity and the Hampton-Alexander Review on gender balance in FTSE leadership. The Board believes in the value and importance of diversity in the boardroom and the Board agreed to meet a target of at least 33% female representation on the Board. The Board continues to encourage diversity and recognises that directors with diverse skills sets, capabilities and experience gained from different backgrounds appropriate to the Company enhance the Board.

Board Responsibilities

The Board meets at least four times each year and deals with the important aspects of the Company's affairs including the setting and monitoring of investment strategy and the review of the Managed Wind-down. The Investment Manager takes decisions as to the realisation of individual investments during the Managed Wind-down, in line with the investment policy and strategy set by the Board. The Investment Manager together with the Company Secretary, Administrator and Sub-Administrator also ensures that all Directors receive, in a timely manner, all relevant management, regulatory and financial information relating to the Company and its portfolio of investments. Representatives of the Investment Manager attend each Board meeting, enabling Directors to question on any matters of concern or seek clarification on certain issues. Matters specifically reserved for decision by the Board have been defined and a procedure set out in their respective appointment letters for Directors in the furtherance of their duties to take independent professional advice at the expense of the Company.

Conflict of Interests

Directors are required to disclose all actual and potential conflicts of interest to the Board as they arise for consideration and the Board may impose restrictions or refuse to authorise conflicts if deemed appropriate. The Directors have undertaken to notify the Company Secretary as soon as they become aware of any new potential conflicts of interest that would need to be approved by the Board. Only Directors who have no material interest in the matter being considered will be able to participate in the Board approval process. It has also been agreed that the Directors will seek prior approval from the Board in advance of any proposed external appointments.

None of the Directors had a material interest in any contract, which is significant to the Company's business. The Directors' Remuneration Report provides information on the remuneration and interests of the Directors. Further below details Directors' appointments on other listed companies.

Performance Evaluation

The performance of the Board, its committees and the Directors was reviewed by the Remuneration and Nomination Committee in November 2022 by means of an internal questionnaire. The Company Secretary collated the resuts of the questionnaires and the results were reviewed by and discussed by the Remuneration and Nomination Committee, whose Chair reported to the Board. No material areas of concern were raised.

As a result of the 2022 Board performance evaluation, the Board has agreed:

· That all Directors are considered independent;

· Rupert Dorey, David Staples and Laure Duhot are proposed for re-election at the 2023 AGM; and

· The Board composition was diverse and appropriate in regards to skills, number, experience and gender.

The Remuneration and Nomination Committee (excluding Rupert Dorey) led by the Senior Independent Director reviewed the performance of the Chair. It was agreed that the Chair had continued to lead the Board and had performed his duties very well.

The Board will continue to review its procedures, its effectiveness and development in the year ahead.

Induction/Information and Professional Development

Directors are provided, on a regular basis, with key information on the Company's policies, regulatory requirements and its internal controls. Regulatory and legislative changes affecting Directors' responsibilities are put to the Board as they arise along with changes to best practice from, amongst others, the Investment Manager, Company Secretary, legal advisers and the Auditor. Advisers to the Company also prepare reports for the Board from time to time on relevant topics and issues. In addition, Directors attend relevant seminars and events to allow them to continually refresh their skills and knowledge and keep up with relevant changes. Each Director maintains a log, provided to the Company Secretary on at least annual basis as a record of his/her continued professional development. The Chair reviewed the training and development needs of each Director during the annual Board evaluation process and is satisfied that all Directors actively keep up to date with industry developments and issues.

When new Directors are appointed to the Board, they are provided with all relevant information regarding the Company and their duties and responsibilities as Directors. In addition, a new Director will also spend time with representatives of the Investment Manager, and other service providers as may be appropriate, in order to learn more about their processes and procedures. The induction process for Laure Duhot, who joined the Board on 25 November 2020, included meetings with key service providers to gain an understanding of the Company's key business relationships, its business model and its stakeholder audience. The induction process includes a historic review of key events in the Company's history, access to all Company material and documents, and various meetings with the Directors to become familiar with the Company's operating practices and board dynamics.

The Chair is available to meet Directors individually at any time should they have matters on company business which they wish to raise privately. There have been no issues or concerns that have been raised by Directors in the year ended 31 December 2022 or since.

Independent Advice

The Board recognises that there may be occasions when one or more of the Directors feels it is necessary to take independent legal advice at the Company's expense. A procedure has been adopted to enable them to do so, which is managed by the Company Secretary.

Indemnities

To the extent permitted by the Law, the Company's Articles provide an indemnity for the Directors against any liability except such (if any) as they shall incur by or through their own breach of trust, breach of duty or negligence. Each Director has an Instrument of Indemnity with the Company.

During the year, the Company has maintained insurance cover for its Directors under a Directors' and Officers' liability insurance policy.

Shareholder Engagement

The Board believes that the maintenance of good relations with shareholders is important for the long-term prospects of the Company. Since admission, the Board has sought engagement with shareholders. Where appropriate the Chair, and other Directors are available for discussion about governance and strategy with shareholders and the Chair ensures communication of shareholders' views to the Board. The Board receives feedback on the views of shareholders from its Corporate Brokers and the Investment Manager, and shareholders are welcome to contact the Chair, Senior Independent Director or any other Director at any time via the Company Secretary.

The Company ceased its quarterly investor update calls effective January 2020 as the way in which it communicates with key investors has evolved with a preference among shareholders for regular virtual or face-to-face meetings. Furthermore, the whole Board, including the committee chairs, welcome the opportunity to meet with investors on a one-to-one basis, upon request. The Chair has had discussions with a number of investors on a one-to-one basis during the year and continues to welcome meetings with all investors.

The Board believes that the AGM provides an appropriate forum for shareholders to communicate with the Board and encourages participation. All Directors will attend the 2023 AGM. There is an opportunity for individual shareholders to question the Chair of the Board, the Senior Independent Director, and the Chair of each of the Audit and Risk Committee, the Management Engagement Committee and the Remuneration and Nomination Committee at the AGM.

The Annual Reports, Key Information Documents and portfolio data provided to shareholders from time-to-time during the Managed Wind-down as appropriate are available to provide shareholders with a clear understanding of the Company's activities and its results. This information is supplemented by the daily calculation and publication on the London Stock Exchange of the NAV of the Company's Ordinary Shares[1] . The Board is informed of relevant promotional documents issued by the Investment Manager. All documents issued by the Company can be viewed on the website, www.nbgmif.com.

2023 AGM

The 2023 AGM will be held in Guernsey on 6 June 2023. Any updates to changes to the proceedings of the AGM will be published on the Company's website www.nbgmif.com and notified by the Company via an RIS announcement. The Notice for the AGM sets out the ordinary and special resolutions to be proposed at the meeting. Separate resolutions are proposed for each substantive issue.

It is the intention of the Board that the Notice of AGM be issued to shareholders so as to provide at least twenty working days' notice of the meeting. Shareholders wishing to lodge questions in advance of the meeting and specifically related to the resolutions proposed are invited to do so by writing to the Company Secretary at the registered office address given further below.

Voting on all resolutions at the AGM is on a poll. The proxy votes cast, including details of votes withheld are disclosed to those in attendance at the meeting and the results are published on the website and announced via a RIS Service. Where a significant number of votes have been lodged against a proposed resolution (being greater than 20%), the Board intends to identify those shareholders and further understand their views to address their concerns. An update on the views and actions taken will be published no later than six months after the shareholder meeting. The Board notes that any resolution which receives a high percentage of votes against it will be included in the Investment Association's Public Register. The Public Register is an aggregated list of publicly available information regarding meetings of companies in the FTSE All-Share who have received significant shareholder opposition to proposed resolutions or have withdrawn a resolution prior to the shareholder vote.

Board Meetings

The Board meets at least quarterly. Certain matters are considered at all quarterly board meetings including the performance of the investments, NAV and share price and associated matters such as asset allocation, risks, strategy, marketing and investor relations, peer group information and industry issues. Since the Company is now in Managed Wind-down, the Board's focus has moved to reviewing with the Investment Manager the strategy for realising all of the Company's investments in a timely manner and which will best preserve shareholder value. The receipt of cash from this process and the appropriateness of making returns of capital to shareholders through compulsory redemption of shares are also key items. Consideration is also given to administration and corporate governance matters, and where applicable, reports are received from the Board committees.

The Chair is responsible for ensuring the Directors receive complete information in a timely manner concerning all matters which require consideration by the Board. Through the Board's ongoing programme of shareholder engagement and the reports produced by each key service provider, the Directors are satisfied that sufficient information is provided so as to ensure the matters set out in Section 172 of the UK Companies Act 2006 are taken into consideration as part of the Board's decision-making process.

Directors unable to attend a board meeting are provided with the board papers and can discuss issues arising in the meeting with the Chair or another non-executive Director.

18 ad-hoc board meetings were held during the year. The purpose of these meetings was mostly to approve the payment of monthly dividends, the delivery of the June 2022 tender offer and the proposals to enter the Managed Wind-down.

Attendance at scheduled meetings of the Board and its committees in the 2022 financial year

Board Committees

The Board has established an Audit and Risk Committee, a Management Engagement Committee and a Remuneration and Nomination Committee with defined terms of reference and duties. Further details of these committees can be found in their reports further below. The terms of reference for each committee can be found on the Company's website https://www.nbgmif.com.

The Board has not established an Inside Information Committee as a quorum of the Board will review and determine any inside information and any delay to the disclosure thereof to meet the requirements of the UK Market Abuse Regulations.

For and on behalf of the Board

Rupert Dorey

Chair

4 April 2023

GOVERNANCE | Audit and Risk Committee Report

Audit and Risk Committee Report

Membership

David Staples - Chair (Independent non-executive Director)

Rupert Dorey1 (Company Chair and independent non-executive Director)

Laure Duhot (Independent non-executive Director)

1 The Board believes it is appropriate for the Company Chair to be a member of the Committee as he is deemed by the Board to be an independent non-executive Director, it is a small board and the Chair's financial background and experience of the asset class is valuable to the Committee.

Key Objectives

The provision of effective governance over the appropriateness of the Company's financial reporting including the adequacy of related disclosures, the performance of the external auditor, and the management of the Company's systems of internal financial and operating controls and business risks.

Key Responsibilities

· Monitoring and reviewing the Company's financial results announcements, Annual and Half-Yearly Financial Statements and monitoring compliance with relevant statutory and listing requirements;

· Reporting to and advising the Board on the appropriateness of the Company's financial controls, accounting policies and practices including critical accounting policies, judgements, estimates, and practices;

· Advising the Board on whether the Committee believes the Annual Report, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy;

· Overseeing the relationship with the external auditor and evaluating its performance (please refer to the Terms of Reference which are available on the Company's website for further detail on the responsbilities in relation to the external auditor);

· Considering the financial and other implications on the independence of the auditor arising from any non-audit services to be provided by the auditor. Maintaining a non-audit services policy.

· Reporting to the Board on the effectiveness of the Company's risk management framework; and

· Compiling a report on its activities to be included in the Company's Annual Report.

The Committee members have a wide range of financial and commercial expertise necessary to fulfil its duties. The Chair of the Committee is a Fellow of the Institute of Chartered Accountants in England and Wales and an associate of the Chartered Institute of Taxation, and has recent and relevant financial experience, as required by the AIC Code.

Committee Meetings

The Committee meets at least three times a year. Only members of the Committee and its Secretary have the right to attend the meetings. However, representatives of the Investment Manager, Administrator and Sub-Administrator are invited to attend the meetings on a regular basis and other non-members may be invited to attend all or part of a meeting as and when appropriate and necessary. The Company's external auditor, KPMG Channel Islands Limited ("KPMG") is invited to each meeting. The Chair of the Committee also met separately with KPMG without the Investment Manager being present.

Main Activities during the year

The Committee assisted the Board in carrying out its responsibilities in relation to financial reporting requirements, risk management and the assessment of internal financial and operating controls. It also managed the Company's relationship with the external auditor.

The Committee reported to the Board at each scheduled quarterly board meeting on the activity of the Committee and matters of particular relevance to the Board in the conduct of their work. The Committee reviewed the effectiveness of the Company's risk management framework in relation to the investment policy; assessed the risks involved in the Company's business and how they were controlled and monitored by the Investment Manager; monitored and reviewed the effectiveness of the risk management function of the Investment Manager, Administrator and the Sub-Administrator; reviewed the risks associated with the valuation of investments and reviewed the Company's procedures concerning prevention and detection of fraud.

The Board requested that the Committee advise them on whether it believes the Annual Report, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy.

The Committee's terms of reference were updated during the year and can be found on the Company's website https://www.nbgmif.com.

At its four meetings during the year, the Committee focused on:

Financial Reporting

The primary role of the Committee in relation to financial reporting is to review with the Investment Manager, Company Secretary, Administrator, Sub-Administrator and KPMG the appropriateness of the Half-Year and Annual Financial Statements concentrating on, amongst other matters:

· The quality and acceptability of accounting policies and practices;

· The clarity of the disclosures and compliance with financial reporting standards and relevant financial and governance reporting requirements;

· Material areas in which significant judgements and estimates have been applied or where there has been discussion with the external auditor;

· The viability of the Company, taking into account the principal and emerging risks it faces;

· Whether the Annual Report, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy; and

· Any correspondence from regulators in relation to the quality of the Company's financial reporting.

To aid its review, the Committee considers reports from the Investment Manager, Company Secretary, Administrator, Sub-Administrator and also reports from KPMG on the outcomes of their half-year review and annual audit.

Significant Issues

In relation to this Annual Report the following significant issue was considered by the Committee:

Internal Controls and Risk Management

The Committee has established a process for identifying, evaluating and managing any major risks faced by the Company, including emerging and principal risks. The process is subject to regular review by the Board and accords with the AIC Code.

The Committee is responsible to the Board for the Company's system of internal financial and operating controls and for reviewing its effectiveness. However, the system is designed to manage rather than eliminate risks of failure to achieve the Company's business objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. The Committee has received and reviewed the Systems and Organisation 1 Controls report of the Sub-Administrator covering the 12-month period to 30 September 2022 and there were no material deficiencies.

During the Board's visit to the Sub-administrator's office in 2022, the Board received presentations from the IT, Compliance and Risk, Financial Reporting and Fund Accounting teams. Each team covered the internal procedures and controls that are in place to minimise the risk of errors or breaches while carrying out all duties as sub-administrator of the fund.

The Committee receives reports from the Investment Manager on the Company's risk evaluation process and reviews changes to significant risks identified. The Committee has undertaken a full review of the Company's business risks, which have been analysed and recorded in a risk report, which is reviewed and updated regularly. The Board receives each quarter from the Investment Manager a formal report which details the steps taken to monitor the areas of risk including those that are not directly the responsibility of the Investment Manager and which reports the details of any known internal control failures. No material internal control failures were reported to or found by the Committee.

The Board's assessment of the Company's principal risks and uncertainties is set out previously in this document.

External Audit

The effectiveness of the external audit process is dependent on appropriate audit risk identification at the start of the audit cycle. The Committee received a detailed audit plan from KPMG identifying their assessment of the significant audit risks. For the 2022 financial year the significant audit risks identified were in relation to the risk of management override of controls and the valuation of investments. The Committee challenged the work performed by the auditor to test these significant risks. The Committee assessed the effectiveness of the half-year review and year end audit process in addressing these matters through the reporting received from KPMG at both the half-year and year end respectively. In addition, the Committee sought feedback from the Investment Manager, Company Secretary, the Administrator and Sub-Administrator on the effectiveness of the audit process. For the 2022 financial year, the Committee was satisfied that there had been appropriate focus and challenge on the significant and other areas of audit risk leading the Committee to conclude that the effectiveness of the external auditor and the audit process were satisfactory.

The Committee concluded that the effectiveness of the external auditor and the audit process were satisfactory.

Appointment and Independence

The Committee considers the reappointment of the external auditor, including the rotation of the audit partner, and assesses their independence on an annual basis. The external auditor is required under applicable Ethical Standards to rotate the audit partner responsible for the audit every five years. In its assessment of the independence of KPMG, the Committee received confirmation that there were no relationships between the Company and KPMG which may have compromised KPMG's independence and that KPMG had completed all relevant checks to be able to confirm this. The Committee approved the fees for audit services for 2022 after a review of the level and nature of work to be performed, and after being satisfied that the fees were appropriate for the scope of the work required. The Company is incorporated in Guernsey, and therefore despite being listed on the Main Market of the London Stock Exchange it is not required to comply with The Statutory Audit Services for Larger Companies Market Investigation (Mandatory Use of Competitive Tender Processes and Audit Committee Responsibilities) Order 2014 (the "Order") which came into force in the UK on 1 January 2015. The Committee does however keep these developments under review when determining policy on audit tendering and the Company has decided it will seek to comply with the provisions of the Order.

The Committee has advised the Board that it should put the external audit out to tender at least every ten years. Following the tender process in the autumn of 2020, KPMG was selected to replace PwC who had served as auditor for ten years with effect from the completion of the 2020 audit. KPMG will be recommended to shareholders for re-appointment at the 2023 general meeting. There are no contractual obligations restricting the Committee's choice of external auditor and the Company does not indemnify the external auditor.

Non-Audit Services

To safeguard the objectivity and independence of the external auditor, the Committee has a formal policy governing the engagement of the external auditor to provide non-audit services. The external auditor and the Committee have agreed that all non-audit services require the pre-approval of the Committee prior to the commencement of any work.

KPMG was remunerated £142,930 for services rendered in 2022. Of this amount, £109,250 was in relation to the year-end audit and £33,680 for procedures performed in respect to the half-year review. No other non-audit services were undertaken by KPMG for the Company during the year.

Committee Evaluation

The Committee undertook an evaluation during the year, as part of the Board evaluation performed in the year. Details of this process can be found under "Performance evaluation" further below. The Committee was satisfied that it had undertaken its duties efficiently and effectively.

David Staples

On behalf of the Audit and Risk Committee

4 April 2023

GOVERNANCE | Management Engagement Committee Report

Management Engagement Committee ("MEC") Report

Membership

Laure Duhot - Chair (Independent non-executive Director)

Rupert Dorey1 (Company Chair and independent non-executive Director)

David Staples (Independent non-executive Director)

1 The Board believes it is appropriate for the Company Chair to be a member of the Committee as he is deemed by the Board to be an independent non-executive Director, it is a small board and the Chair's financial background and experience of the asset class is valuable to the Committee.

Key Objectives

To review performance of all service providers (including the Investment Manager).

Responsibilities

· To annually review the performance, relationships and contractual terms of all service providers (including the Investment Manager);

· Review and make recommendations on any proposed amendment to the Investment Management Agreement ("IMA"); and

· To review the performance of, and contractual arrangements with the Investment Manager including:

- Monitor and evaluate the Investment Manager's investment performance and, if necessary, providing appropriate guidance;

- To consider whether an independent appraisal of the Investment Manager's services should be made;

- To consider requiring the Investment Manager to provide attribution and volatility analyses and considering whether these should be published;

- Review the level and method of remuneration and the notice period, using peer group comparisons;

- To put in place procedures by which the Committee regularly reviews the continued retention of the Investment Manager's services;

- Review the level and method of remuneration and the notice period. The Committee should give due weight to the competitive position of the Company against the peer group;

MEC Meetings

Only members of the MEC and the Secretary have the right to attend MEC meetings. However, representatives of the Investment Manager, Administrator and Sub-Administrator may be invited by the MEC to attend meetings as and when appropriate.

Main Activities during the year

The MEC met once during the year and reviewed the performance, relationships and contractual terms of all service providers during November 2022 including the Investment Manager. The MEC reviewed the terms of reference for the MEC and recommended to the Board that the Terms of Reference be re-adopted. The current Terms of Reference are available on the Company's website https://www.nbgmif.com.

During 2021, the Directors undertook a virtual due diligence visit with the Investment Manager, followed by a visit to the offices of the Investment Manager in London in October 2021. Detailed updates were provided regarding investment risk and valuations, operational risk, fund accounting and portfolio management and performance.

During 2022, the Chair of the Committee and a team from the Investment Managers held two virtual meetings with Link in February and March 2022, as part of their routine due diligence of service providers. In October 2022, a due diligence visit was carried out by the Board with U.S. Bank Global Fund Services (Ireland) Limited and no concerns were raised with respect to their operations, controls or processes.

Continued Appointment of the Investment Manager and other Service Providers

The Board reviews investment performance at each Board meeting and a formal review of all service providers is conducted annually by the MEC. The annual third-party service provider review process includes two-way feedback, which provides the Board with an opportunity to understand the views, experiences and any significant issues encountered by service providers during the year. As part of the Board's annual performance evaluation, feedback is received on the quality of service and the effectiveness of the working relationships with each of the Company's key service providers.

As a result of the 2022 annual review it is the opinion of the Directors that the continued appointment of the Investment Manager and the other current service providers. . In light of the change of strategy and subsequent approval of the Wind Down, the agreements between the Company and its various service providers have been amended whenever relevant, to continue to be in the best interests of the Company and its shareholders as a whole during the Managed Wind-down. The Board considers that the Investment Manager has extensive investment management resources and wide experience in managing and realising investments and is satisfied with the quality and competitiveness of the fee arrangements of the Investment Manager and the Company's other service providers. Please see fee section in Note 3 for further details.

Laure Duhot

On behalf of the Management Engagement Committee

4 April 2023

GOVERNANCE | Remuneration and Nomination Committee Report

Remuneration and Nomination Committee ("RNC") Report

Membership

Laure Duhot - Chair (Independent non-executive Director)

Rupert Dorey1 (Company Chair and independent non-executive Director)

David Staples (Independent non-executive Director)

1 The Board believes it is appropriate for the Company Chair to be a member of the Committee as he is deemed by the Board to be an independent non-executive Director, it is a small board and the Chair's financial background and experience of the asset class is valuable to the Committee.

Key Objectives

To ensure the Board comprises individuals with the necessary skills, knowledge and experience such that it is effective in discharging its responsibilities and to review the on-going appropriateness and relevance of the remuneration policy. Having considered the size of the Board and the nature, scale and complexity of the Company, the Board is satisfied that all Directors are appointed as members of the RNC.

Responsibilities

· Determine the remuneration policy of the Company and make recommendations to the Board accordingly within the aggregate limit set by the Articles;

· Prepare an annual report on Directors' remuneration;

· Considers the need to appoint external remuneration consultants;

· Regularly review and make recommendations in relation to the structure, size and composition of the Board including the diversity and balance of skills, knowledge and experience, and the independence of the non-executive Directors;

· Oversees the performance evaluation of the Board, its committees and individual Directors;

· Reviews the tenure of each of the non-executive Directors;

· Leads the process for identifying and making recommendations to the Board regarding candidates for appointment as Directors, giving full consideration to succession planning and the leadership needs of the Company; and

· Makes recommendations to the Board on the composition of the Board's committees.

RNC Meetings

Only members of the RNC and the Secretary have the right to attend RNC meetings. However, representatives of the Investment Manager, Administrator and Sub-Administrator are invited by the RNC to attend meetings as and when appropriate. In the event there are matters arising concerning either an individual's membership of the Board or their remuneration, they would absent themselves from the meeting as required and another independent non-executive Director would take the chair if this applied to the RNC Chair.

Main Activities during the year

The RNC met once during the year and considered succession planning and replenishment of the Board and reviewed Directors' remuneration. With the EGM on the winding down vote imminent, the RNC decided that it would meet again to look again at the board succession planning and replenishment, with a view to also take into consideration latest recommendations in terms of gender and ethnic diversity on the board, but only if shareholders voted against a winding down. It was agreed that the status quo would remain otherwise, as there was no need to plan any change if the Company was about to enter into a wind-down. The RNC also reviewed the results of the annual evaluation of the performance of the Board and its committees, the Chair and individual directors which was carried out by way of internal evaluation questionnaire and discussion. The RNC considered that the results provided confirmed the continued appropriateness of the balance of skills, experience, independence and knowledge of the Company and that the activities of the Board continued to be effective in promoting the strategy of the Company.

The terms of reference for the RNC were reviewed and the Board re-adopted the terms of reference for the RNC. The terms of reference are available on the Company's website at https://www.nbgmif.com. The Board's diversity policy was agreed in March 2012 and in the 2018 Annual Report the Board set an objective to meet 33% female representation during 2020, which was met following the appointment of Laure Duhot in November 2020. The Board supports the recommendations of the Davies Report and Hampton-Alexander Review, notes the recommendations of the Parker Review and believes in and values the importance of diversity, including gender, to the effective functioning of the Board. At 31 December 2020, the Board had 50% female representation, however after Sandra Platts stepped down at the 2021 AGM, this figure reduced to 33% during 2021 as planned, once the size of the board went back to three independent Directors, as previously; this was deemed to balance out the need for all necessary skills and experience, with optimal efficiency, given the size of the Company. As the Company is now in Managed Wind-down, the Board considers that it would be inefficient to change the composition of the Board, except in extenuating circumstances, until such time as the Company ceases to be listed or a liquidator is appointed

The RNC reviewed the fees paid to the Board of Directors and proposed to retain the current levels. In line with the Company's remuneration policy, fees will continue to be reviewed to ensure that they remain appropriate reflecting the time commitment and responsibilities of the role.

Further, the RNC considered the remuneration policy and agreed that it remained appropriately positioned. A detailed "Directors' Remuneration Report" to shareholders from the RNC on behalf of the Board, is contained further below.

Laure Duhot

On behalf of the Remuneration and Nomination Committee

4 April 2023

GOVERNANCE | Directors' Remuneration Report

Directors' Remuneration Report

Annual Statement

This report meets the relevant requirements of the Listing Rules of the FCA and the AIC Code and describes how the Board has applied the principles relating to Directors' remuneration. An ordinary resolution to receive and approve this report will be proposed at the AGM on 6 June 2023.

Directors' Fees

The Company paid the following fees to the Directors for the years ended 31 December 2022 and 31 December 2021:

1 Laure Duhot was appointed a Director of the Company on 25 November 2020, and as Chair of the Remuneration & Nomination Committee and Management Engagement Committee from 14 June 2021.

2 David Staples was appointed Senior Independent Director on 11 June 2020.

3 Sandra Platts resigned as a Director of the Company on 14 June 2021

No other remuneration or compensation was paid or is payable by the Company during the year to any of the Directors, other than reimbursed travel expenses of $2,939 (31 December 2021: $993).

Please refer to Note 3 for more details on Directors' remuneration.

Changes to the Board

There have been no changes to the Board during the year.

Remuneration Policy

The determination of the Directors' fees is a matter dealt with by the RNC and the Board. The RNC considers the remuneration policy annually to ensure that it remains appropriately positioned and takes into account any expected changes in time commitments. Directors will review the fees paid to the boards of directors of similar investment companies. No Director is to be involved in decisions relating to individual aspects of his or her own remuneration, however the Board, as a whole, sets the level of directors' fees.

No Director has a service contract with the Company and Directors' appointments may be terminated at any time by one month's written notice with no compensation payable at termination.

Directors are authorised to claim reasonable expenses from the Company in relation to the performance of their duties.

The Company's policy is that the fees are payable quarterly in arrears to the Directors and should reflect the time commitment required by the Board on the Company's affairs and the level of responsibility borne by the Directors and should be sufficient to enable high calibre candidates to be recruited and be comparable to those paid by similar companies. It is not considered appropriate that the Directors' remuneration should be performance related, and none of the Directors are eligible for bonuses, pension benefits, share options, long-term incentive schemes or other benefits in respect of their services as non-executive Directors of the Company. Furthermore, the Chair of the Board, Senior Independent Director and Chair of the other Committees are paid a higher fee than the other Directors in recognition of their more onerous roles and more time spent. The Board may amend the level of remuneration paid within the limits of the Company's Articles.

The Company's Articles limit the aggregate fees payable to the Board of Directors to a total of £500,000 per annum. The Chair of the RNC may consult with principal shareholders of the Company should it be proposed to exceed the aggregate limit.

Statement by the Chair of the RNC

In accordance with the Directors' remuneration policy, the Directors' fees were reviewed by the RNC during its meeting in November 2022 where it was recommended that fees should be maintained at the current level (see table below). The level of directors' fees will continue to be reviewed annually by the RNC.

No Director was involved in deciding his or her own remuneration. The level of the Directors' fees will continue to be reviewed annually by the RNC.

Service Contracts and Policy on Payment for Loss of Office

Directors are appointed with the expectation that they will stand for annual re-election. Rupert Dorey was appointed on 1 March 2015, David Staples was appointed on 14 June 2018 and Laure Duhot was appointed on 25 November 2020. Directors may resign at any time by giving one month's notice in writing to the Board. Directors' appointments are reviewed during the annual board evaluation. Directors are not entitled to any payments for loss of office.

No Director has a service contract with the Company. Directors have agreed letters of appointment with the Company. Directors' election is discussed previously in this document. The names and biographies of the Directors holding office at the date of this report are listed previously in this document. All of the Directors are subject to annual re-election.

Directors' Interests

The Company has not set any requirements or guidelines for Directors concerning ownership of shares in the Company. The beneficial interests of the Directors and their connected persons (where applicable) in the Company's shares are shown further below.

Advisors to the RNC

The RNC has not sought the paid advice or professional services by any outside person in respect of its consideration of the Directors' remuneration during 2022. The RNC sought input from the Manager and its Brokers during its deliberations of the remuneration policy.

Statement of Voting at AGM

At the last AGM, votes on the remuneration report were cast as follows:

Laure Duhot

On behalf of the Remuneration and Nomination Committee

4 April 2023

GOVERNANCE | Directors' Responsibility Statement

Directors' Responsibility Statement

The Directors are responsible for preparing the Financial Statements for each financial year, which give a true and fair view, in accordance with applicable Guernsey Law and accounting principles generally accepted in the United States ("US GAAP"), of the state of affairs of the Company and of the profit or loss for the year.

Under company law the directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the Company and of its profit or loss for that period. In preparing these financial statements, the directors are required to:

· Select suitable accounting policies and apply them consistently;

Make judgements and estimates that are reasonable, relevant and reliable;

· State whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the Financial Statements; and

· assess the Company's ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and

· use the going concern basis of accounting unless liquidation is imminent.

The Directors confirm that they have complied with the above 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 comply with the Law. The Directors are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

So far as the Directors are aware, there is no relevant audit information of which the Company's auditor is unaware. Each Director has taken all the steps that he or she ought to have taken as a director in order to make himself or herself aware of any relevant audit information and to establish that the Company's auditor is aware of that information.

The Directors confirm to the best of their knowledge that:

· The Financial Statements which have been prepared in conformity with US GAAP give a true and fair view of the assets, liabilities, financial position and profit of the Company, as required by DTR 4.1.12R and are in compliance with the requirements set out in the Law; and

· The Annual Report includes a fair review of the information required by DTR 4.1.8R and DTR 4.1.11R, which provides an indication of important events and a description of principal risks and uncertainties which face the Company.

The maintenance and integrity of the Company's website is the responsibility of the Directors; the work carried out by the auditor does not involve consideration of these matters and, accordingly, the auditor accepts no responsibility for any changes that may have occurred to the 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.

By order of the Board

Rupert Dorey

Chair

4 April 2023

GOVERNANCE | Independent Auditor's Report

Independent Auditor's Report to the members of NB Global Monthly Income Fund Limited

Our opinion is unmodified

We have audited the financial statements of NB Global Monthly Income Fund Limited (the "Company"), which comprise the Statement of Assets and Liabilities including the Condensed Schedule of Investments as at 31 December 2022, the Statements of Operations, Changes in Net Assets and Cash Flows for the year then ended, and notes, comprising significant 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 December 2022, and of the Company's financial performance and cash flows for the year then ended;

· are prepared in accordance with U.S. generally accepted accounting principles; 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 judgement, 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, thekey audit matters were as follows (2021:unchanged):

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

Materiality for the financial statements as a whole was set at $4.2m, determined with reference to a benchmark of net assets of $211.3m , of which it represents approximately 2.0%(2021: 2.0%).

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% of materiality for the financial statements as a whole, which equates to approximately $3.1m. 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 $0.2m, 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 basis of preparation

The directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease their operations, and as they have concluded that the Company's financial position means that this is realistic for at least a year from the date of approval of financial statements ("the going concern period"). As stated in our key audit matters section of our report, the directors have concluded that it is appropriate to adopt the going concern basis of preparation.

An explanation of how we evaluated the directors' assessment is set out in our key audit matters section of our report. 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 nothing material to add or draw attention to in relation to the directors' statement in note 2 to the financial statements on the use of going concern basis of accounting; and

• the related statement under the Listing Rules set out previously in this document of the annual report 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, 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. 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; and

· incorporating an element of unpredictability in our audit procedures.

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.

Based on those procedures, 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, set out previously 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 set out previously on this report, 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 liquidation is imminent. 

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.

Dermot Dempsey

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants and Recognised Auditors

Guernsey

04 April 2023

FINANCIAL STATEMENTS | Statement of Assets and Liabilities

Statement of Assets and Liabilities

The Financial Statements were approved and authorised for issue by the Board of Directors on 4 April 2023, and signed on its behalf by:

The accompanying notes below form an integral part of the Financial Statements

FINANCIAL STATEMENTS | Condensed Schedule of Investments

Condensed Schedule of Investments

As at 31 December 2022, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash):

As at 31 December 2021, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash):