Nb Global Regulatory News (NBMI)

NB GLOBAL MONTHLY INCOME FUND LIMITED

2022 INTERIM REPORT

UNAUDITED INTERIM FINANCIAL STATEMENTS

FOR THE SIX MONTHS ENDED 30 JUNE 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

The Company's investment objective is to provide the Company's shareholders with consistent levels of monthly income, while maintaining or increasing the Net Asset Value ("NAV") per Share over time. 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

To pursue its investment objective, the Company will invest in credit assets with the following target portfolio allocations: (i) 50-70% in traditional credit, meaning high yield bonds, floating rate loans and investment grade corporate bonds; and (ii) 30-50% in alternative credit, meaning "special situations" (consisting generally of tradeable but less liquid debt securities, such as stressed credit and CLO debt tranches), mezzanine debt, "club" loan transactions (being syndicated lending opportunities presented through the Company's or Investment Manager's relationship with loan arrangers and/or borrowers) and private corporate loans issued directly to borrowers. Investments in alternative credit will not represent more than 50% of NAV at the time of investment.

The Company's investments will be issued in U.S. Dollars, Sterling and Euros by corporations, partnerships and other business issuers based primarily in North America, the UK and Europe. At the time of investment these loans, bonds and other debt instruments will often be non-investment grade.

The Company expects that it will typically hold the majority of its assets directly, however where the Investment Manager considers it appropriate the Company may obtain investment exposure to loans, bonds and other debt instruments through investments in other collective investment vehicles. The Company will not invest more than 15 per cent. of its total assets in other listed closed-ended investment funds at any time.

Capital Structure

As at 30 June 2022, the Company's share capital comprised 323,268,152 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

The Company's dividend policy is detailed on pages 33 and 34 of the Annual Report and Financial Statements for the year ended 31 December 2021.

The annualised dividend yield (based on the dividends declared in respect of the period and share price as at 30 June 2022) was 7.05%.

STRATEGIC REVIEW | Financial Highlights

Financial Highlights

Key Figures

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

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

3 Interim dividends have been annualised so as to give a meaningful comparable figure.

STRATEGIC REVIEW | Chair's Statement 

Chair's Statement

Dear Shareholder,

It is with pleasure that I present to you the Interim Report of NB Global Floating Rate Income Fund Limited for the six months ended 30 June 2022.

Performance

Over the first half of 2022, the Company's share price total return was -9.27% per Sterling Ordinary Share. The Company's Net Asset Value ("NAV") total return per share for the first half of the year was -8.92% resulting in a 0.8329p NAV per Sterling Ordinary Share.

As of 30 June 2022, the Portfolio's current yield was 7.87%, and the yield to maturity was 10.6% compared to 31st December 2021 when the Portfolio's yield was 6.27%, and the yield to maturity was 6.58%.

Dividends

In January 2022, the Board was pleased to announce a Target Distribution for the financial year 2022 at a rate of 5.25% of Net Asset Value per annum (net of fees and expenses) which equated to a dividend per share of £0.00415 paid monthly. This distribution represented a 6.41% increase on the total dividend for the 12 months ended 31 December 2021.

In April 2022, the Board announced a further increase to the Target Distribution for the remainder of 2022 to a rate of 5.8% of Net Asset Value per annum (net of fees and expenses). This equated to a target monthly distribution for the remainder of 2022 of £0.00443 per share paid monthly, or £0.05316 per share, per annum.

In July 2022, the Board again announced an additional increase to the Target Distribution for the remainder of 2022 to a rate of 6.75% of Net Asset Value per annum (net of fees and expenses). This equates to a target monthly distribution for the remainder of 2022 of £0.00467 per share paid monthly, or £0.05602 per share, per annum.

This latest increased Target Distribution represents a 5.4% increase on the Target Distribution announced on 28 April 2022. The new Target Distribution will, for the remainder of the year, represent a level which is 19.7% higher than the total dividends paid in 2021.

These dividend increases reflect principally the Company's exposure to rising short term USD rates and not changes to the portfolio risk exposure or portfolio composition. The Board expects that the increased dividends will remain fully covered by net revenues earned.

Portfolio Positioning

The Fund has retained significant exposure to floating rate assets in what has been one of the most challenging periods for fixed interest investments for many years. Starting the year at 70% floating rate assets, the exposure reduced modestly to 66% by 30th June 2022 as the Manager increasingly found opportunities in low cash priced fixed rate bonds in primary and secondary markets. Floating rate loans remain the portfolio's largest allocation at just over 29%. However, opportunities in private credit and in global high yield bonds did see the allocation to floating rate loans decrease by six percentage points from 35% at the start of the year. The exposure to floating rate assets assisted performance in the first few months of the year during which a repricing of interest rate expectations with inflation surprising to the upside was the dominant theme. Into May and particularly in June, performance of most risky assets was poor, as concerns over growth accelerated with consumer confidence hitting multi-year lows. Credit was no exception and spreads widened including those of the loans and the floating rate securities held within the Fund. In terms of rating by credit quality, the portfolio included an allocation of 14.0% in BBB/BB rated securities, 46% in B rated securities and had an allocation of 35% to securities rated CCC and below as of 30th June 2022, broadly unchanged to the credit quality mix the Fund had at the start of the year. With the onset of the war in Ukraine, the Manager took a decision early on to further reduce exposure to companies with majority European operations preferring instead the economic outlook for US domiciled issuers where there is less uncertainty, particularly as it pertains to energy input costs for businesses. The Company has no exposure to Russian securities and very limited exposure to issuers with operations in the region. As they explain in their report, the Manager's view continues to be that the default rate environment is likely to remain relatively benign with below average default rates expected in 2022 and 2023. 

Discount Management

During the six months to 30 June 2022, the Company's discount ranged between 4.28% and 13.83% per Sterling Ordinary Share. The discount as of 30 June 2022 was 6.35%. At the AGM we sought shareholder approval to renew the authority for the Company to make market purchases of its own Shares, which was duly granted. In view of the Board's discretion to make Cash Exit Facility Offers as described below, this authority has so far not been used.

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 ("EGM"). 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 (the "EGM Circular").

The EGM Circular set out the details of the "Cash Exit Facility Offer" which 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.

The next potential exercise of the Board's discretion to offer Shareholders a partial cash exit opportunity by way a redemption offer would be expected to close at end December 2022 and subsequent Cash Exit Facility Offers may be made at six monthly intervals thereafter. The Board has confirmed its intention in future to offer an overallocation redemption facility to redeeming investors to the extent that capacity is available from those investors who elect not to redeem Shares. Should the NAV of the Company fall beneath £150 million, the Board reiterates its intention subject to market conditions at the time to propose a winding-up of the Company.

Annual General Meeting ("AGM") Results

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

Outlook

We believe that the Company remains an attractive vehicle for those seeking inflation protected regular income with attractive risk adjusted returns and good capital protection over time. The Manager considers, although global growth is slowing, that key buffers remain for corporate issuers with credit metrics such as interest cover starting from a healthy point. Similarly, borrower's ability to refinance debt, albeit at higher rates, is not unduly stressing corporate credit metrics currently. The Manager expects that default rates will remain below historical averages of around 3% for the foreseeable future. Given the Manager's strong credit procedures and excellent track record, we believe the Company is well positioned to ride the current storms.

Thank you for your continued support

Rupert Dorey

Chairman

14 September 2022

STRATEGIC REVIEW | Investment Manager's Report 

Investment Manager's Report

Market and Macroeconomic Environment

Non-investment grade credit ended the six-month period to 30 June 2022 with negative returns driven by Russia's invasion of Ukraine, markets calibrating how far the Federal Reserve and other central banks need to go on rates to fight persistent inflation, slowing real economic activity and mixed earnings reports so far in 2022. That said, default rates remain well below average and just above all-time lows given that balance sheets are generally in good shape. U.S. Treasury yields-and other bellwether bonds such as Gilts and Bunds-moved sharply higher during the reporting period as inflation hit a four-decade high, central banks turned more hawkish, and the tragic war in Ukraine triggered numerous supply shortages and fuelled spikes in commodity prices. Meanwhile, consumer spending and retail sales were generally resilient backed by strong job and wage growth. While credit spreads widened given the risk aversion, floating rate loans saw lesser drawdowns than longer dated fixed income due to the very low duration of the asset class.

Senior floating rate loans ended the reporting period in negative territory reflecting the risk-off market sentiment despite the fact that loan coupons floated higher on the back of rising interest rates. Moreover, new issuance was very muted over the reporting period hitting the lowest level in more than two years, while demand held in somewhat better, which brought the supply-demand balance to levels that should provide some support for loans. Over the reporting period, U.S. senior floating rate loans, as measured by the S&P/LSTA Leveraged Loan Index (the "S&P LLI"), returned -4.55% with the lowest rated loans also underperforming with BB, B and CCC returning -3.27%, -4.88% and -8.58%, respectively. The LL100, a measure of the largest, most liquid issuers, returned -5.48% which also underperformed the total S&P LLI. The European Leveraged Loan Index (the "ELLI") returned -7.50%, excluding currency effects. The Second Lien Loans index was down -5.36% over the period.

The global high yield bond market also ended the reporting period in negative territory driven primarily by rising interest rates, concerns over inflation, high commodity prices and input cost pressures on issuer margins. Credit spreads widened over the reporting period and dispersion in returns across credit quality reversed course from the prior risk-on period last year. The ICE BofA Global High Yield Constrained Index returned -14.88%. While the higher credit rating segments of the market held up better in the risk-off environment year to date 2022, they still incurred losses given large outflows in the asset class. That said, we are finding attractive investment opportunities within global high yield, especially at current levels and believe the spread compensation for a still low default rate environment is more than adequate.

CLO debt spreads moved meaningfully wider over the first two quarters of the year in conjunction with the decline in the leveraged loan market, as global recessionary fears emerged which has impacted all risk assets. Secondary non-investment grade market volumes increased modestly quarter-over-quarter, but monthly volumes still lag trailing 24-month averages. The CLO BB index declined -7.25% year to date.

Defaults continued to remain not far off record lows in non-investment grade credit markets, which is consistent with healthy balance sheets and positive free cash flow growth. The trailing 12M par weighted default rate for the S&P LLI as of June was 0.28%, down 389 basis points from the September 2020 peak of 4.17% and up just 6 basis point from a month ago. In European loans, the trailing 12M par weighted default rate was 0.62%, down 199 basis point from the October 2020 peak and down 2 basis points compared to the prior month. The distressed ratios have risen from the recent lows as the share of distressed issuers in the S&P LLI and ELLI went from around 2% each in May to 2.81% for the U.S. and 4.35% for the European loan market. The high yield default rate in June increased 33 basis points from May and was just 53 basis points above the all-time low reached in April. In June, the par weighted LTM U.S. high yield default rate was 0.76%. While the default rate has increased off the lows, we expect defaults to remain below historical averages based on our bottom-up assessment of issuers, and driven by the higher-quality ratings mix in high yield (over 52% of issuers with credit ratings of BB), less aggressive new issuance and fewer near-term maturities, as well as an energy sector that is far healthier than in the past few cycles. For context, the long-term average default rate is 3.1% (based on annual default rates back to 1980 according to JP Morgan).

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

Performance 1 January 2022 to 30 June 2022

For the period of 1 January 2022 to 30 June 2022, the Company's share price total return was -9.27%[1].

During the period, holdings in the Utilities, Building & Development and Drugs sectors were the most significant drivers of performance whilst the Electronics (Technology), Healthcare and Retailers sector holdings were the biggest detractors. The Company's positioning in BBB & above rated issuers was neutral for performance whilst positioning in CCC & below rated issuers subtracted the most over the period.

As at 30 June 2022, Global Floating Rate Loans was the portfolio's largest allocation at 29.1% followed by Global High Yield Bonds at 24.9%. The Company's allocation to BB rated credits was 13.6% while its exposure to CCC rated issuers finished the period at 34.9%. The overall exposure to floating rate assets was at 66% at the end of the reporting period, with the Fund's average duration of 1.62 years. Regarding sector allocation, the top three weights included Electronics (Technology), Health Care and Business Equipment & Services whilst the bottom three weights included Broadcast Radio & TV, Drugs and Publishing.

Portfolio Positioning

NBMI as at December 31 2021

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NBMI as at June 30 2022

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Outlook

In our view, non-investment grade yields are compensating investors for the below average default outlook, and will continue to provide durable income and remain attractive compared to other fixed income alternatives. The tightening of financial conditions and rising concerns over inflation continue to create incremental volatility, but as real growth slows back below trend, this could help to alleviate the inflationary pressures. Our analysts continue to be keenly focused on the outlook for issuer margins given rising input costs. Our global research team also continues to monitor the investment thesis for each issuer in the portfolio given the impacts related to higher commodity prices as a result of supply chain disruptions made worse by the ongoing conflict in Eastern Europe. While supply chain discontinuities are moderating as a result of slower demand, we remain focused on how any disruptions might impact issuers. Even with the heightened uncertainty, commodity price swings and central bank tightening, which is resulting in short-term volatility, we believe our bottom-up, fundamental credit research focused on security selection while seeking to avoid credit deterioration and putting only our "best ideas" into portfolios, position us well to take advantage of the increased volatility.

Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited

14 September 2022 14 September 2022

STRATEGIC REVIEW | Portfolio Information 

Portfolio Information

Top 10 Issuers as at 30 June 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.

GOVERNANCE | Interim Management Report and Directors' Responsibility Statement

Interim Management Report and Directors' Responsibility Statement

Principal Risks and Uncertainties

The principal risks of the Company are in the following areas:

· macro-economic conditions;

· credit risk;

· geographical risks;

· participation risk;

· liquidity risk;

· investment activity and performance;

· level of discount or premium; and

· operational risk.

These risks, and the way in which they are managed, are described in more detail in the Strategic Report on pages 26 to 30 of the Company's latest annual report and audited financial statements for the year ended 31 December 2021, which can be found on the Company's website. The Board's view is that these risks remain appropriately identified for the remainder of 2022. In addition to the Principal Risks, there remains uncertainty of the full- and long-term impacts of the global coronavirus ("Covid-19") pandemic as well as the ongoing Russia-Ukraine conflict, its impact on food and energy prices and the resulting cost of living crisis and impact on consumer demand, and its potential to escalate ("Ukraine Conflict"). The Board considers that downside risk to global growth and delay in global economic recovery and market liquidity arising from the Covid-19 pandemic and the Ukraine Conflict could potentially result in a risk of a reduction in portfolio performance. The Investment Manager reviews the portfolio on a regular basis for the impact of these economic challenges on underlying assets' performance. In addition, the Board reviews the Company's risks on a quarterly basis and will continue to review the specific impacts of the Covid-19 outbreak and the Ukraine Conflict as further information becomes available.

A brief description of each of the Principal Risks is detailed below:

Macroeconomic Conditions

Macroeconomic conditions can change significantly and to the detriment of the portfolio or the Company causing a credit or liquidity risk to crystallise.

Credit Risk

The key risk for the Company remains credit risk i.e. that the Company buys a loan or bond of a particular issuer and it does not perform as expected and either defaults on a payment or experiences a significant drop in the secondary market value.

Geographical risks

The Company may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. At 30 June 2022, 84.2% of the portfolio was invested in issuers domiciled in the US.

Participation risk

With respect to the senior loans, the Company may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. To purchase a participation in a senior loan, the Company would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than contract directly with the borrower. As such, the Company not only assumes the credit risk of the borrower, but also that of the selling participant or other persons positioned between the Company and the borrower.

Liquidity Risk

Liquidity risk is the risk that the Company will not be able to meet its obligations as and when these fall due.

Investment Activity and Performance

The Company's investment activity and performance could fall below its stated objective or peer group for a variety of reasons including market conditions.

Level of Discount or Premium

A discount or premium to NAV can occur for a variety of reasons, including market conditions or to the extent investors undervalue the management activities of the Investment Manager or discount their valuation methodology and judgment.

Operational Risk

Disruption to, or the failure of either the Investment Manager's, Administrator's or Sub- Administrator's accounting, dealings or payment systems, or the Custodian's records could prevent the accurate reporting or monitoring of the Company's financial position and the receipt or transmission of payments and the safeguarding of the Company's assets.

Going Concern

The Directors have undertaken a rigorous review of the Company's ability to continue as a going concern 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. However, should there be a cash exit offer at the end of December 2022 which is substantially taken up by Shareholders, the Company's NAV would then likely drop below £150m, which would result in the Board, subject to market conditions at the time, bringing forward a proposal to wind-up the Company. This currently represents a material uncertainty as to the ability of the Company to continue in operation. After making enquiries of the Investment Manager and the Sub-Administrator, the Directors are however, satisfied that the Company has adequate resources to discharge its liabilities as they fall due for at least one year from the date these Unaudited Interim Financial Statements were approved. Accordingly, notwithstanding this material uncertainty, the Directors considered it appropriate to prepare the Unaudited Interim Financial Statements on the going concern basis, as explained in the basis of preparation paragraph in Note 2 to the Unaudited Interim Financial Statements.

Related Party Transactions

Other than fees payable in the ordinary course of business, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the six-month period to 30 June 2022. Additional related party disclosures are given in Note 3.

Directors' Responsibilities Statement

The Board of Directors confirms that, to the best of its knowledge:

The Financial Statements, which have been prepared in conformity with the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 270' "Interim Reporting" and the Disclosure Guidance and Transparency Rules ("DTR") sourcebook of the United Kingdom's Financial Conduct Authority ("FCA"), give a true and fair view of the assets, liabilities, financial position and profits/(losses) of the Company, as required by DTR 4.2.4R of the DTR of the U.K.'s FCA.

The combination of the Chair's Statement, the Investment Manager's Report and this Interim Management Report meet the requirements of an Interim Management Report, and include a fair review of the information required by:

1. DTR 4.2.7R of the DTR, of the U.K.'s FCA, being an indication of important events that have occurred during the first six months of the year and their impact on the set of financial statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and

2. DTR 4.2.8R of the DTR, of the U.K.'s FCA, being related party transactions that have taken place in the first six months of the current year and that have materially affected these Financial Statements or performance of the Company during that period and any material changes in the related party transactions described in the last annual report that could have such a material effect.

By order of the Board

Rupert Dorey

Chair

14 September 2022

GOVERNANCE | Independent Review Report

Independent Review Report to the members of NB Global Monthly Income Fund Limited

Conclusion

We have been engaged by NB Global Monthly Income Fund Limited (the "Company") to review the financial statements in the half-yearly financial report for the six months ended 30 June 2022 of the Company, which comprises the unaudited statement of assets and liabilities, unaudited statements of operations, changes in net assets, cash flows, unaudited condensed schedule of investments and the related explanatory notes.

Based on our review, nothing has come to our attention that causes us to believe that the financial statements in the half-yearly financial report for the six months ended 30 June 2022 is not prepared, in all material respects, in conformity with U.S. generally accepted accounting principles and the Disclosure Guidance and Transparency Rules ("the DTR") of the UK's Financial Conduct Authority ("the UK FCA").

Material uncertainty relating to going concern

We draw attention to note 2 to the interim financial statements which indicates that should the cash exit offer at the end of December 2022 be taken up by Shareholders in full, the Company's net asset value would likely drop below £150m after January 2023, which would result in the Board, subject to market conditions at the time, proposing to wind-up the Company. These events and conditions, along with the other matters explained in note 2, constitute a material uncertainty that may cast significant doubt on the Company's ability to continue as a going concern. Our conclusion is not modified in this respect.

Scope of review

We conducted our review in accordance with International Standard on Review Engagements (UK) 2410 Review of Interim Financial Information Performed by the Independent Auditor of the Entity ("ISRE (UK) 2410") issued by the Financial Reporting Council for use in the UK. A review of interim financial information consists of making enquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. We read the other information contained in the half-yearly financial report and consider whether it contains any apparent misstatements or material inconsistencies with the information in the financial statements. 

A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing (UK) and consequently does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion.

Conclusions relating to going concern

The directors have prepared the financial statements on the going concern basis. As stated above, they have concluded that a material uncertainty related to going concern exists.

Based on our review procedures, which are less extensive than those performed in an audit as described in the Scope of review section of this report, nothing has come to our attention to suggest that the directors have inappropriately adopted the going concern basis of accounting or that the directors have identified material uncertainties relating to going concern that are not appropriately disclosed.

This conclusion is based on the review procedures performed in accordance with ISRE (UK) 2410. However future events or conditions may cause the Company to cease to continue as a going concern, and the above conclusions are not a guarantee that the Company will continue in operation.

Director's responsibilities

The half-yearly financial report is the responsibility of, and has been approved by, the directors. The directors are responsible for preparing the interim financial report in accordance with the DTR of the UK FCA.

As disclosed in note 2, the annual financial statements of the Company are prepared in conformity with U.S. generally accepted accounting principles. The directors are responsible for preparing the condensed set of financial statements included in the half-yearly financial report in conformity with U.S. generally accepted accounting principles.

In preparing the half-yearly financial report, the directors are responsible for 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.

Our responsibility

Our responsibility is to express to the Company a conclusion on the financial statements in the half-yearly financial report based on our review. Our conclusion, including our conclusions relating to going concern, are based on procedures that are less extensive than audit procedures, as described in the scope of review paragraph of this report.

The purpose of our review work and to whom we owe our responsibilities

This report is made solely to the Company in accordance with the terms of our engagement letter to assist the Company in meeting the requirements of the DTR of the UK FCA. Our review has been undertaken so that we might state to the Company those matters we are required to state to it in this 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 for our review work, for this report, or for the conclusions we have reached. 

Dermot Dempsey

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants

Guernsey

14 September 2022

FINANCIAL STATEMENTS | Unaudited Statement of Assets and Liabilities

Unaudited Statement of Assets and Liabilities

The Unaudited Interim Financial Statements were approved and authorised for issue by the Board of Directors on 14 September 2022, and signed on its behalf by:

The accompanying notes form an integral part of the Unaudited Interim Financial Statements

FINANCIAL STATEMENTS | Unaudited Condensed Schedule of Investments

Unaudited Condensed Schedule of Investments

As at 30 June 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) (Audited):

As at 30 June 2022, the below were the largest 50 investments based on the NAV:

As at 31 December 2021, the below were the largest 50 investments based on the NAV (Audited):

FINANCIAL STATEMENTS | Unaudited Statement of Operations

Unaudited Statement of Operations

FINANCIAL STATEMENTS | Unaudited Statement of Changes in Net Assets

Unaudited Statement of Changes in Net Assets

FINANCIAL STATEMENTS | Unaudited Statement of Cash Flows

Unaudited Statement of Cash Flows