Twentyfour Inc Regulatory News (TFIF)

The TwentyFour Income Fund Annual Report and Audited Financial Statements for the year ended 31 March 2023 have been reissued today, with an update to the Ongoing Charges figure on pages 3 and 19. The Ongoing Charges figure was incorrectly stated as 0.78% due to an administrative error and has now been updated to the correct figure of 0.97%. The remainder of the Report and Financial Statements is unchanged.

TWENTYFOUR INCOME FUND LIMITED

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTSFor the year ended 31 March 2023

LEI: 549300CCEV00IH2SU369

(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)

The Company has today, in accordance with DTR 6.3.5, released its Report and Audited Financial Statements for the year ended 31 March 2023. The Report will shortly be available via the Company's Portfolio Manager's website www.twentyfouram.com and will shortly be available for inspection online at www.morningstar.co.uk/uk/NSM website.

SUMMARY INFORMATION

Financial Highlights

The basis for determining the Net Asset Value per share can be found in Note 6.

As at 17 July 2023, the Company's shares were trading at a discount of 5.82% to Net Asset Value ("NAV"). The estimated NAV per share and mid-market share price stood at 101.19p and 95.30p respectively.

The Company

TwentyFour Income Fund Limited (the "Company" and "TFIF") was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Company's shares ("Ordinary Shares", being the sole share class) were listed with a Premium Listing on the Official List of the UK Listing Authority and admitted to trading on the Main Market of the London Stock Exchange on 6 March 2013.

On 16 September 2022, the Company was included in the London Stock Exchange's FTSE 250 Index. The inclusion was largely due to the increase in the net asset value of the Company, following its acquisition of the assets of UK Mortgages Limited ("UKML") in March 2022.

Investment Objective and Investment Policy

The Company's investment objective is to generate attractive risk adjusted returns principally through income distributions.

The Company's investment policy is to invest in a diversified portfolio of predominantly UK and European Asset Backed Securities ("ABS").

The Company maintains a Portfolio largely diversified by the issuer, it being anticipated that the Portfolio will comprise at least 50 Asset Backed Securities at all times.

Target Returns

The Company has a target annual net total return on the Company's NAV of between 6% and 9% per annum, which, until 21 September 2022, included quarterly dividends with a target yield each financial year of 6% (the equivalent of 6 pence per Ordinary Share) or higher, of the Issue Price*. On 21 September 2022, the annual target dividend was changed to 7% (the equivalent of 7 pence per Ordinary Share) or higher, of the Issue Price. The change became effective from the dividend declared in respect of the 3-month period ended 30 September 2022.

On 24 February 2023, a further increase in the annual target dividend to 8% was agreed, (the equivalent of 8 pence per Ordinary Share) or higher, of the Issue Price. The change became effective from the dividend declared in respect of the 3-month period ended 31 March 2023.

The increases in the annual target yield are intended to increase the rate of return to investors during the financial year, following recent increases in global interest base-rates.

Ongoing Charges

Ongoing charges for the year ended 31 March 2023 have been calculated in accordance with the Association of Investment Companies (the "AIC") recommended methodology. The ongoing charges for the year ended 31 March 2023 were 0.97% (31 March 2022: 0.97%).

* The Issue Price being £1.00. This is a target only and not a profit forecast. There can be no assurance that this target will be met or that the Company shall pay any dividends at all. This target return should not be taken as an indication of the Company's expected or actual current or future results. The Company's actual return will depend upon a number of factors, including the number of Ordinary Shares outstanding and the Company's total expense ratio, as defined by the AIC's ongoing charges methodology. Potential investors should decide for themselves whether or not the return is reasonable and achievable in deciding whether to invest in or retain or increase their investment in the Company. Further details on the Company's financial risk management can be found in note 17.

CHAIR'S STATEMENT

for the year ended 31 March 2023

Bronwyn Curtis OBE

In my capacity as Chair of the Board of Directors of TwentyFour Income Fund Limited, I am pleased to present my report on the Company's progress for the year ended 31 March 2023.

Investment Performance

The dividends declared by TFIF during the year ended 31 March 2023 were 9.46 pence per ordinary share, with 7.27p per ordinary share paid during the year, which is an excellent result for a period when equities, bonds and property have all been weak. The strategy of investing in higher yielding floating rate asset backed securities in a rising interest rate environment has enabled the Company to deliver these attractive dividends, as all excess investment income is paid out each year. We have also been able to increase the target base, annual income distribution for TFIF , initially to 7p in September 2022, and then to 8p per ordinary share in February 2023 (from 6p at the start of the year), paid on a quarterly basis. Any additional income generated over and above the 8p will continue to be paid out in the final dividend.

The market volatility seen in all fixed income products did impact the Company's NAV and share price. TFIF delivered a share price total return of positive 0.87% and the total return of the net asset value was negative 3.61%. Despite this difficult environment, TFIF shares mostly traded at a premium and 79.1m TFIF shares were issued during the financial year. The portfolio did not see any material interest deferrals or defaults during this financial year.

The Company raised a net £34m at the triennial share realisation opportunity in October 2022 as demand for tendered shares in the subsequent placing programme exceeded supply. It was one of the few successful fund raisings that month in the London market, as it took place around the time of the UK mini budget when market turmoil was at its height.

Market Overview

The Russian invasion of Ukraine just prior to the start of the Company's financial year caused credit spreads to widen as risk sentiment in all markets deteriorated quickly. The Company did not have any direct or indirect exposure to Russia or Ukraine and, to date, has not had any direct impact from the various sanctions imposed on Russia.

The resulting increase in energy prices caused inflation to surge to the highest level for 40 years and central banks responded by rapidly increasing key interest rates. As the Company invests in floating rate bonds, this has had a significant positive impact on income; all investments are either made in GBP or hedged back to GBP, so the income of the Company effectively tracks the Bank Rate set by the Bank of England.

High interest rates and inflation, however, have put pressures on the cost of living, but as UK and European labour markets are still very tight and wage growth has been substantial, UK and European mortgage arrears remain at historically low levels. Non-prime consumer and auto loan arrears have started to increase and the Portfolio Manager has therefore increased the allocation towards other secured assets.

The market turmoil following the UK mini budget resulted in the highest selling pressure in the European and UK Asset Backed Securities market since the Global Financial Crisis. With UK pension funds in need of liquidity, the Portfolio Manager saw this as an excellent opportunity to invest at yields not seen since the Company's launch in 2013, and the Board was supportive of the Portfolio Manager's decision to temporarily increase gearing to buy higher rated bonds that were accretive to the income. This was a liquidity event and the temporary sell off was not due to concerns about credit quality.

In March 2023 bank debt spreads widened significantly after the collapse of various US regional banks and the unprecedented write-off of Credit Suisse contingent convertible bonds, which were ranked junior to shareholders in a surprise move by the Swiss regulator. Whilst RMBS are issued by banks (and other non-bank lenders) to fund mortgages, these loans have no exposure to the balance sheet of the originating banks, and the Board recognised the strong performance of the asset class during this period of broader market volatility.

Dividend

The Company distributes all its investment income to ordinary shareholders. In the current market the Company is targeting quarterly payments equivalent to at least 8p per year. The fourth interim dividend is used to distribute any residual income generated in the year.

As mentioned above, dividends paid by the Company in the year ended 31 March 2023 totalled 7.27p per ordinary share.

The increase in dividends this year was driven by two main factors; the increase in the UK Bank Rate (which rose by 3.5% from 0.75% to 4.25% in the year to 31 March 2023), and the effect of bond amortisations and share issuance which enabled the Portfolio Manager to invest at the prevailing higher bond yields that were more accretive to the income of the Company.

Premium/Discount and Share Capital Management

The share price started the year at an 4.85% discount to NAV mainly due to market sentiment following the Russian invasion of Ukraine. However, from summer 2022 the shares have traded consistently at a 1-2% premium, except for a very short period after the UK mini budget, and a brief fall over the year end date to -0.47%. Discounts in the UK Investment Company sector have widened significantly at the time of writing and the board has been having regular discussions with the Company's broker to determine if any additional discount control measures will be required to help mitigate volatility in the Company's share price.

Shares were issued to shareholders to an amount of 79,094,006 in the 12 months to 31 March 2023, of which £34m was in relation to the excess demand for shares at the realisation event, and £4m was raised through numerous ongoing tap issues throughout the year. The Board is grateful for the continued support from our investors, and has approved a continued share issuance program to reflect the continued investment opportunities in this sector.

Annual General Meeting

The Company's 2023 Annual General Meeting ("AGM") will be held at the offices of Northern Trust International Fund Administration Services (Guernsey) Limited, Trafalgar Court, Les Banques, St Peter Port, Guernsey, Channel Islands on 14 September 2023 at 12:30 pm.

Board Composition

I assumed the Chair position on 14 October 2022, having joined the Board as Chair-elect on 12 July 2022. The former Chair, Trevor Ash stepped down as Chair- at the AGM, along with Ian Burns, who retired from his position as Senior Independent Director and Audit Chair, both having served on the Board since January 2013.

John Le Poidevin has taken over as Audit Chair, and Joanne Fintzen became the Senior Independent Director during the year. John de Garis assumed the role of Chair of the Nomination and Remuneration Committee during the year.

In line with the succession planning for Richard Burwood, Paul Le Page joined the Board on 16 March 2023. Richard will step down at the Company's forthcoming AGM.

I would like to thank Trevor, Ian, and Richard for their hard work and valued contribution to the Company during their tenures on the Board. I have every confidence that the Shareholders are in very good hands with an experienced Board of diverse skills. The changes to the Board composition over the period have ensured that the Company is represented by an appropriate breadth of skills, diversity and knowledge.

Realisation Opportunity

As reported in the Company's Interim Financial Statements, the triennial share realisation opportunity took place in October 2022. It is very pleasing to note that the net fund raising that resulted was one of the very few successful fund raisings in October 2022 in the London market. The Board sees this result, against a very difficult back-drop, as a vote of confidence by our investors in the Company's investment strategy. Only 1.5% of shares were redeemed, whilst a net additional £34 million of share capital was raised as a result of the process.

Corporate Events

The Company was promoted to the London Stock Exchange's FTSE 250 index following the quarterly reshuffle, effective 16 September 2022. The Board welcomed the promotion as a positive development, increasing the Company's stock market profile and helping to diversify the investor base.

Outlook

Inflation and recessionary fears, in addition to the ongoing problems in commercial real estate and banks, are likely to persist into the 2023/24 financial year, and market volatility is likely to remain elevated. Current valuations reflect modest recessionary yields, so the Company is, in our view, in a good position to benefit from potential market dislocations. While a deterioration of fundamental performance of the investment asset class of the Company is expected (mostly co-related to unemployment, house prices, corporate earnings and defaults) the Board remains confident in the Portfolio Manager's underwriting and stress testing which the Board believes to be instrumental to avoiding bond defaults and significant price drops, especially as an economic recession is becoming more likely.

The Company's income is expected to continue to benefit whilst interest rates in the UK and Europe remain elevated.

Bronwyn Curtis OBEChair17 July 2023

PORTFOLIO MANAGER'S REPORTfor the year ended 31 March 2023

TwentyFour Asset Management LLP

In our capacity as Portfolio Manager to the TwentyFour Income Fund Limited, we are pleased to present our report on the Company's progress for the year ended 31 March 2023.

Investment Background 

For the first half of the reporting period (into autumn of 2022) market sentiment as a whole remained very weak across all fixed income markets during what has been a period of elevated volatility, characterised by risk-off direction, challenging liquidity, the ongoing conundrum of interest rates policy, inflation and recessionary fears, the escalating Russia-Ukraine conflict and its associated energy supply/cost concerns. This was punctuated by the disastrous UK mini budget causing extreme moves in UK Gilt yields and the ensuing liability-driven investment ("LDI") liquidity-driven bond sell off. Amidst this we did see short periods of stability, which in turn gave rise to windows of opportunity in both primary and secondary markets. Conditions recovered towards the calendar year-end as market activity shifted in line with economic data and more benign central bank rhetoric. The start of 2023 saw markets get off to the strongest start to a year since 2019, as a number of the issues that had driven risk appetite in 2022 started to ease, although after a strong rally in most parts of financial markets in January, February and March marked a return to more negative broader market investor sentiment. Renewed inflation fears and strong labour markets in the US, UK and Europe lowered the likelihood of a dovish pivot by the central banks in the near term.

For primary ABS markets, issuance was a little bifurcated; the start of the Russia/Ukraine conflict and developing challenges in tech and crypto markets saw a hiatus in issuance in March 2022 but sentiment recovered quite quickly and April provided an attractive opportunity for investors looking to add floating rate exposure following the Bank of England moving ahead with rate hikes. The month was very busy across all asset classes, even as spreads widened across the capital stack, but was followed by a virtual slowdown in May, and then a small rebound in June.

Despite the ongoing market volatility and weaker views, several issuers placed deals in July ahead of the summer. While August proved to have a relatively more constructive tone but was typically quiet with virtually no primary issuance. September saw a modicum of normality returning to the primary pipeline, allowing issuers to price deals into a receptive investor base early in the month. However, market conditions deteriorated sharply later in the month, triggered by the UK mini budget, and issuance ceased abruptly forcing one UK prime RMBS issuer to retain a deal it had planned to sell. Secondary markets also sold off heavily, more than wiping out the gains from the rally earlier in the month.

The subsequent stress in Gilts and wider rates markets was compounded by the now well-documented bond sales by pension funds running LDI strategies. The ABS market saw extremely high levels of secondary sales in the run-up to month-end; over €4bn of sales went through the typical BWIC ("bids wanted in competition", meaning a request for bids submitted by an investor to a number of dealers) in the last week of the month, more than in the previous three months combined. In the main, most of the selling activity was concentrated in senior AAA and AA RMBS/ABS/CLOs and Australian RMBS. Execution was good on the whole in terms of volumes traded as investors with cash to spend were able to add bonds at yields not seen for many years (excluding the small window at the start of the COVID-19 pandemic), and dealers were seen to be providing liquidity in selective and preferred asset classes. Pricing clarity was challenging but spreads could broadly be characterised as having widened by 50-75bp in seniors and 3-7 price points lower in mezzanine bonds. The volume of RMBS/ABS and CLOs sold on publicly offered BWICs was unprecedented over a three week period, comfortably in the region of around €6bn, and not including similar-sized volumes which were reported to have traded bilaterally. Selling began to subside towards the latter part of October 2022 as markets became more orderly, although some selling moved on to mezzanine lists. Interestingly, not a large amount of sub-investment grade was offered for sale, endorsing the fact that the sell-off was purely a drive for liquidity from a relatively small group of investors and nothing at all to do with any credit performance concerns. Encouragingly, whilst spreads were understandably wider (although no wider than any comparable markets such as covered bonds or financials), all the selling volume was absorbed and any liquidity fears that may have lingered about European ABS and CLOs has been well and truly erased. In fact, anecdotal accounts of sellers being unable to source liquidity in corporate bonds and turning to ABS to achieve it were heard repeatedly. The typically higher cash price of ABS (due to their floating rate nature, and therefore immunisation from interest rate duration) meant they were an attractive, if not the "go to" asset to sell in these markets as the sales had a lower P&L impact - arguably making ABS an unintended victim of its own success.

Secondary markets dominated ABS and CLO trading flows during October and November in the absence of much primary issuance. Rishi Sunak's appointment in late October 2022 reassured markets, and the CLO market saw the first rumblings of primary issuance after a very quiet period. A handful of deals priced in October 2022 with several more being announced into a marketing phase. Challenges remained around the arbitrage; the rising weighted average cost of capital (to as high as 350bps) being considerably higher than the average 160-180 average range in 2021. This is due to the cost of the liabilities, mainly the AAA tranches still clearing around +220 discount margin ("dm"), however there were windows where the underlying loan prices sold off enabling managers to add collateral.

Primary ABS issuance remained fairly muted again into year-end 2022 as issuers had previously pushed back plans and although there were some notably large, and upsized liquid deals from UK and European Prime issuers during the period all of which were very well received. In contrast, the CLO market saw eight new deals price in November 2022, on the heels of a fairly buoyant October 2022, for a notional value of around €3bn which proved to be the busiest month since March. Secondary markets saw a much better tone into the year end after the havoc inflicted by the LDI sell off in the previous 6 or 7 weeks. Spreads, by and large, retraced across all sectors with most of the tightening seen in the investment grade space, whilst sub-investment grade lagged a little into the month end.

This brought the overall volume of placed issuance for the calendar year to around €80bn including €26bn in CLOs. RMBS accounted for €32bn of issuance with the rest split between Autos and Consumer at €18bn. The year also saw a drop in CMBS primary to just €0.9bn. While this overall number was the second lowest annual total in the post-2008 period, it could be suggested that given the macro backdrop over the course of 2022, it was actually a reasonable outcome, as evidenced by the strong levels of investor interest in deals that came to market during the windows of opportunity. Spread performance in general over the month was positive with a noticeable investor bias to add risk in both CLOs and ABS. BWIC volumes returned to a degree of normality and execution prices remained strong throughout the month. Following on from similar generic moves seen in November, this put the market on a reasonably positive footing going into 2023. Underlying performance of assets for 2022 remained strong although expectations remained that there would be some consumer deterioration given the economic backdrop.

The primary market saw a solid start to 2023 with a small handful of deals; the main themes during the first two months were a very strong spread performance across all asset classes, with the understandable exception of CMBS, and a lot of demand for bonds across nearly all rating bands. Notably two UK Prime deals saw very high levels of demand from investors with over-subscription levels of approximately three times. The pricing represented a tightening of 11 bps versus a benchmark deal that printed at the end of 2022 which in the AAA Prime sector is a strong rally in spreads terms. Mezzanine tranches too provided useful pricing points for market participants where bonds were available. Secondary ABS market spreads began the year on a stable footing and initially lagged slightly, but as the wider credit market compression theme filtered through, the direction quickly changed driving a strong risk rally across securitised products. This was also helped by the supply-demand technical, driven by low-ish and orderly primary issuance together with an atypical month of supply in BWIC volume of around €1bn all seeing healthy demand. Secondary CLO spreads saw strong performance with steady tightening throughout February.

Also during February 2023 the ABS market saw Blackstone default on a single loan within a CMBS transaction (the loan being for Finnish offices) after it failed to get bondholder approval for a maturity extension. Whilst the Company doesn't have exposure to this transaction, and we are aware the income from tenants is enough to service the debt and the LTV on the mortgage is low, we will be following the process closely. The Portfolio Managers have been cautious on CMBS for some time and after a full sector review, sold various deals in the second half of last year.

An active March 2023 in primary markets quickly unravelled as the US and European banking "hiccup" struck financial markets mid-month, which put paid to any further issuance until the last week of the month as spreads widened in quick order and borrowers waited to observe market developments. The ABS market bounced back reasonably quickly to the extent that BMW was able to place a £400m deal into the UK together with another Prime Auto deal in Germany, and a Green RMBS deal in Spain both placed by month end as ABS spreads, in general, retraced nearly all of their intra-month widening. On the CLO side, issuance remained fairly muted for another month with the sector now having seen just below €7bn of issuance year to date. Overall issuance volume for the first quarter of 2023 was a reasonable €20bn including CLOs.

Performance Review

The Company started the reporting period just after the invasion of Ukraine by Russia, meaning the risk sentiment in the credit and equity markets changed significantly as investors sought liquidity. Additionally, general risk sentiment had evolved due to expectations of high inflation, increasing interest rates and the general higher risk of a slowdown of the UK and European economies. Following a brief relief during the summer, floating rate fixed income markets were again faced with a large liquidity event, which was the result of the UK mini-budget as GILT yields increased significantly and UK pension funds had to sell assets to settle margin calls on their books. During this period there were no defaults in the portfolio, however, spreads had widened for most of the first six months of the financial year. As risk appetite returned in October, spreads retraced roughly half of this spread widening in the second half of the Company's financial year. For the Company, this resulted in increased NAV volatility, particularly due to the negative performance of CLOs through the Period as they correlated with High Yield corporate bonds, demonstrating significant volatility showing negative performance. In October 2022 CLO spreads briefly reached 1100 and 1650bps for BB and B rated bonds, but spreads rapidly contracted in the first quarter of 2023. CMBS showed similar negative performance over this 12 month period, but credit spreads in the sector didn't significantly tighten as concerns over (global) commercial real estate valuations increased and this was reflected in bond valuations. The Portfolio Manager viewed the illiquidity following the UK mini-budget, and the following spread widening, as an opportunity to buy assets (predominantly BBB to B rated UK and Dutch RMBS and BB rated CLOs) and increased fund leverage in the fourth quarter of 2022 to fund these purchases. This leverage was reduced in the first quarter of 2023 when credit spreads tightened and the Portfolio Manager sought to lock in this performance. As the Portfolio Manager views a future recession in the UK and Europe as very likely, overall positioning has changed to a focus on secured collateral (RMBS and CLOs) over unsecured consumer loans and SMEs, from Western European countries and they have further improved the average rating of the underlying portfolio. As SONIA has continued to increase through the year, the NAV has benefited from increasingly higher coupon payments. The total NAV performance for the year was -3.61%. The Company's NAV per Share ended at 100.89 from 112.45 at the start of the period, with dividends totalling 7.27p paid during the period.

Portfolio Allocation

Secondary spreads which had been relatively stable and constructive earlier in April widened, driven by an elevated amount of ABS selling from macro and institutional investors in order to fund fixed income outflows amid broader volatility. Combined with the substantial primary supply, this took spreads to levels not seen since the COVID sell-off. Bank trading desks had little appetite to add risk in any fixed income product and investors were able to pick and choose selectively where to add risk at higher yields. This allowed the investment team of the  Portfolio Manager to gradually increase the purchase yield of the portfolio, over and above the natural yield increase generated by the rises in interest rates.

Outlook

Floating rate ABS began 2023 well placed with a strong income component through high spreads and increased base rates with more rises expected. Performance caught up in the first two months of the year, spreads remain wider. Highlights for the sector are expected to include robust deal performance across mortgages although some weakness is expected in consumer pools. CMBS is expected to be the weakest performer, with Credit Real Estate ("CRE") valuations decreasing, and we anticipate selective loans with short maturities will face refinancing challenges. Other sectors are expected to perform well.

Liquidity conditions have been restored after Q3 volatility and 2023 so far has seen strong and active investor participation, which we expect to continue. Default rates and ratings are expected to outperform in ABS relative to credit markets.

We anticipate volatility to remain a theme through this late cycle phase and assets with stronger liquidity characteristics are preferred. EU ABS issuance has surprised to the upside so far in 2023, despite demand driven reductions in lending in Europe, as early year tightening of spreads has accelerated issuer plans. Bank issuance has begun to represent a larger share. This is expected to continue but predicated by the potential for disruption by wider market events.

TwentyFour Asset Management LLP

17 July 2023

TOP 20 HOLDINGS

as at 31 March 2023

The full portfolio listing as at 31 March 2023 can be obtained from the Administrator on request.

* Definition of Terms

`ABS' - Asset Backed Securities

`CLO' - Collateralised Loan Obligations

`CMBS' - Commercial Mortgage-Backed Securities

`RMBS'- Residential Mortgage-Backed Securities

BOARD MEMBERS

Biographical details of the Directors are as follows:

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

Ms Curtis is a resident of the United Kingdom, an experienced Chair, Non-Executive Director and Senior Executive across banking, media, commodities and consulting, with global or European wide leadership responsibilities for 20 years at HSBC Bank plc, Bloomberg LP, Nomura International and Deutsche Bank Group. She is presently a Non-Executive member of the Oversight Board at the UK Office of Budget Responsibility and Non-Executive Director at Pershing Square Holdings, The Scottish American Investment Company plc and BH Macro Limited. She is also a regular commentator in the media on markets and economics. Ms. Curtis was appointed to the Board on 12 July 2022 and was appointed Chair on 14 October 2022.

Richard Burwood - (Non-executive Director)

Mr Burwood is a resident of Guernsey with over 30 years' experience in banking and investment management. During 18 years with Citibank London, Mr Burwood spent 11 years as a fixed income portfolio manager spanning both banks/finance investments and Asset Backed Securities. Mr Burwood has lived in Guernsey since 2010, initially working as a portfolio manager for EFG Financial Products, managing the treasury department's ALCO Fixed Income portfolio. From 2011 to 2013, Mr Burwood worked as the Business and Investment Manager for Man Investments, Guernsey. In January 2014, Mr Burwood joined the board of RoundShield Fund, a Guernsey private equity fund, focused on European small to mid-cap opportunities. In August 2015, he became a Board Member of SME Credit Realisation Fund Limited, which provides investors access to a diversified pool of SME loans originated through Funding Circle's marketplaces in the UK, US and Europe. Mr Burwood also serves on the boards of Habrok, a hedge fund specialising in Indian equities, and EFG International Finance, a structured note issuance company based in Guernsey. Mr Burwood was appointed to the Board on 17 January 2013.

Joanne Fintzen - (Non-executive Director, Senior Independent Director)

Ms Fintzen is a resident of the United Kingdom, with extensive experience of the finance sector and the investment industry. She trained as a Solicitor with Clifford Chance and worked in the Banking, Fixed Income and Securitisation areas. She joined Citigroup in 1999 providing legal coverage to an asset management division. She was subsequently appointed as European General Counsel for Citigroup Alternative Investments where she was responsible for the provision of legal and structuring support for vehicles which invested $100bn in Asset Backed Securities as well as hedge funds investing in various different strategies in addition to private equity and venture capital funds. Ms Fintzen is currently Non-Executive Director of JPMorgan Claverhouse Investment Trust plc. Ms Fintzen was appointed to the Board on 7 January 2019 and was appointed Senior Independent Director on 14 October 2022.

John de Garis - (Non-executive Director)

Mr de Garis is a resident of Guernsey with over 30 years of experience in investment management. He is Managing Director and Chief Investment Officer of Rocq Capital founded in July 2016 following the management buyout of Edmond de Rothschild (C.I.) Ltd. He joined Edmond de Rothschild in 2008 as Chief Investment Officer following 17 years at Credit Suisse Asset Management in London, where his last role was Head of European and Sterling Fixed Income. He began his career in the City of London in 1987 at Provident Mutual before joining MAP Fund Managers where he gained experience managing passive equity portfolios. He is a non-executive director of VinaCapital Investment Management Limited in Guernsey. Mr de Garis is a Chartered Fellow of the Chartered Institute for Securities and Investment and holds the Certificate in Private Client Investment Advice and Management. Mr de Garis was appointed to the Board on 9 July 2021.

Paul Le Page (Non-executive Director)

Paul Le Page is a resident of Guernsey and has over 24 years' experience in investment and risk management. He was formerly an Executive Director and Senior Portfolio Manager of FRM Investment Management Limited, a subsidiary of the UK's largest listed alternatives manager, Man Group. In this capacity, he managed alternative funds and institutional client portfolios, worth in excess of $5bn and was a director of a number of group funds and structures. Prior to joining FRM, he was employed by Collins Stewart Asset Management (now Canaccord Genuity) where he was Head of Fund Research responsible for reviewing both traditional and alternative fund managers and managing the firm's alternative fund portfolios . He joined Collins Stewart in January 1999 where he completed his MBA in July 1999. He originally qualified as a Chartered Electrical Engineer after he graduated from University College London and later received an MBA from Heriot-Watt University. In addition to his private directorship roles, he has continuously served as a director of a number of London Stock exchange listed Investment Companies since January 2004. He has a broad-based knowledge of the global investment industry, risk management, governance and product structures. Mr Le Page was appointed to the Board on 16 March 2023.

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

Mr Le Poidevin is a resident of Guernsey and a Fellow of the Institute of Chartered Accountants in England and Wales. He was formerly an audit partner at BDO LLP in London where he developed an extensive breadth of experience and knowledge across a broad range of business sectors in the UK, European and global markets during over twenty years in practice, including in corporate governance, audit, risk management and financial reporting. Since 2013 he has acted as a non-executive, including as audit committee chair, on the boards of a number of listed and private groups. Mr Le Poidevin is currently a non-executive director of International Public Partnerships Limited, BH Macro Limited, Super Group (SGHC) Limited, and several other private companies and investment funds. Mr Le Poidevin was appointed to the Board on 9 July 2021 and was appointed Chair of the Audit Committee on 14 October 2022.

Board Members retired during the year

Trevor Ash - (Former Chair)

Mr Ash is a resident of Guernsey and has over 30 years of investment experience. He is a Fellow of the Chartered Institute for Securities and Investment. He was formerly a managing director of Rothschild Asset Management (CI) Limited. Mr Ash retired as a director of NM Rothschild & Sons (CI) Limited, the banking arm of the Rothschild Group in the Channel Islands in 1999. Since retirement, he has acted as a director of a number of hedge funds, fund of hedge funds, venture capital, derivative and other offshore funds including several managed or advised by Insight, JP Morgan and Merrill Lynch. Mr Ash was appointed to the Board on 11 January 2013. Mr Ash retired from the Board effective 14 October 2022.

Ian Burns - (Former Non-executive Director, Senior Independent Director and Chair of the Audit Committee)

Mr Burns is a resident of Guernsey and a fellow of the Institute of Chartered Accountants in England and Wales and a member of the Society of Trust and Estate Planners. He is a founder and Executive Director of Via Executive Limited, a specialist management consulting company and managing director of Regent Mercantile Holdings Limited, a privately owned investment company. Mr Burns was appointed to the Board on 17 January 2013. Mr Burns retired from the Board effective 14 October 2022.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

STRATEGIC REPORT

for the year ended 31 March 2023

The Directors submit to the Shareholders their Strategic Report for the year ended 31 March 2023.

Business Model and Strategy

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

Investment Objectives and Policy

The Company's investment objective and policy is set out in the Summary Information.

The strategy for the Company is to target less liquid, higher yielding asset backed securities. These securities, whilst fundamentally robust, do not offer enough liquidity for use in the typical daily mark-to-market UCITs funds, but are well suited to a traded closed-ended vehicle, where investors can obtain liquidity by trading shares on the London Stock Exchange. The view of the Board is that this part of the fixed income market has been largely overlooked and therefore represents attractive relative value.

High Income

The Company's income consists wholly or mainly of investment income and the Ordinary Shares are designed to offer a high dividend yield. The Board intends to distribute substantially all of the Company's income after expenses and tax to the holders of the Ordinary Shares, paying quarterly interim dividends with equal amounts paid in June, September and December each year, with a final dividend paying any remaining income being paid in March.

The full year dividend per share for 2023 totalled 9.46p (2022: 6.77p) representing 99.89% of the total comprehensive income for the year. This is in accordance with the dividend policy approved by shareholders at an extraordinary shareholders meeting in May 2019.

Long Term Growth in Capital Value

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

Future Prospects

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

The Board meets at least annually, to consider the long-term strategy of the business, incorporating presentations and discussion on longer-term opportunities and threats to the business. Focus is placed on principal and emerging risks which have the potential to disrupt the business model.

Business Environment

Principal Risks, Emerging Risks and Uncertainties

The Board is responsible for the Company's system of internal financial and reporting controls and for reviewing its effectiveness. The Board is satisfied that by using the Company's risk matrix as its core element in establishing the Company's system, internal financial and reporting controls while monitoring the investment limits and restrictions set out in the Company's investment objective and policy, that the Board has carried out a robust assessment of the principal risks and uncertainties facing the Company. The Board also regularly meets to discuss any emerging risks affecting the Company and to establish effective controls to manage them.

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

Market Risk and Investment Valuations

Market risk is the risk associated with changes in market factors including spreads, interest rates, economic uncertainty, changes in laws and political circumstances.

Due to inflation concerns and existing geo-political tensions, both the UK and Europe could go into a prolonged recessionary period, therefore, risk premiums demanded by the market could continue to rise as risk sentiment deteriorates and wider spreads could result in lower cash prices.

Liquidity Risk

Liquidity risk is the risk that the portfolios may not be able to sell securities at a given price and/or over the desired timeframe. Investments made by the Company may be relatively illiquid. Some investments held by the Company may take longer to realise than others and this may limit the ability of the Company to realise its investments and meet its target dividend payments in the scenario where the Company has insufficient income arising from its underlying investments.

Credit Risk and Investment Performance

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

The Company holds Asset Backed Securities which comprises debt securities issued by companies, trusts or other investment vehicles which, compared to bonds issued or guaranteed by governments, are generally exposed to greater risk of default in the repayment of the capital provided to the issuer or interest payments due to the Company. The amount of credit risk is indicated by the issuer's credit rating which is assigned by one or more internationally recognised rating agencies. This does not amount to a guarantee of the issuer's creditworthiness but generally provides a strong indicator of the likelihood of default. Securities which have a lower credit rating are generally considered to have a higher credit risk and a greater possibility of default than more highly rated securities. There is a risk that an internationally recognised rating agency may assign incorrect or inappropriate credit ratings to issuers. Issuers often issue securities which are ranked in order of seniority which, in the event of default, would be reflected in the priority in which investors might be paid back. Whilst they have been historically low since the inception of the Company, the level of defaults in the portfolio and the losses suffered on such defaults may increase in the event of adverse financial or credit market conditions.

In the event of a default under an Asset Backed Security, the Company's right to financial recovery will depend on its ability to exercise any rights that it has against the borrower under the insolvency legislation of the jurisdiction in which the borrower is incorporated. As a creditor, the Company's level of protection and rights of enforcement may therefore vary significantly from one country to another, may change over time and may be subject to rights and protections which the relevant borrower or its other creditors might be entitled to exercise. Information regarding investment restrictions that are currently in place in order to manage credit risk can be found in note 17.

Foreign Currency Risk

The Company is exposed to foreign currency risk through its investments in predominantly Euro-denominated assets. The Company's share capital is denominated in Sterling and its expenses are incurred in Sterling. The Company's financial statements are presented in Sterling. Amongst other factors affecting the foreign exchange markets, events in the Eurozone may impact upon the value of the Euro which in turn will impact the value of the Company's Euro-denominated investments. The Company manages its exposure to currency movements by using spot and forward foreign exchange contracts, which are rolled forward periodically.

Counterparty Credit Risk

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

Settlement Risk

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

Reinvestment Risk

The Portfolio Manager is conscious of the challenge to reinvest any monies that result from principal and income payments and to minimise reinvestment risk. Cash flow analysis is conducted on an ongoing basis and is an important part of the Portfolio Management process, ensuring such proceeds can be invested efficiently and in the best interests of the Company.

The Portfolio Manager expects £123.9m of assets to have a Weighted Average Life of under 1 year.  While market conditions are always subject to change, the Portfolio Manager does not currently foresee reinvestment risk significantly impacting the yield nor affecting each quarter's minimum dividend and recognises the need to be opportunistic as and when market conditions are particularly favourable in order to reinvest any proceeds or in order to take advantage of rapidly evolving pricing during periods of market volatility.

Operational Risks

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

Accounting, Legal and Regulatory Risks

The Company is exposed to the risk that it may fail to maintain accurate accounting records or fail to comply with requirements of its Admission document and fail to meet listing obligations. The accounting records prepared by the Administrator are reviewed by the Portfolio Manager. The Portfolio Manager, Administrator, AIFM, Custodian, Depositary and Corporate Broker provide regular updates to the Board on compliance with the Admission document and changes in regulation. Changes in the legal or the regulatory environment can have a major impact on some classes of debt. The Portfolio Manager monitors this and takes appropriate action.

Income Recognition Risk

The Board considers income recognition to be a principal risk and uncertainty. The Portfolio Manager estimates the remaining expected life of the security and its likely terminal value, which has an impact on the effective interest rate of the Asset Backed Securities which in turn impacts the calculation of interest income. This risk is considered on behalf of the Board by the Audit Committee as discussed below and is therefore satisfied that income is appropriately stated in all material aspects in the Financial Statements.

Cyber Security Risks

The Company is exposed to risk arising from a successful cyber-attack through its service providers. The Company requests of its service providers that they have appropriate safeguards in place to mitigate the risk of cyber-attacks (including minimising the adverse consequences arising from any such attack), that they provide regular updates to the Board on cyber security, and conduct ongoing monitoring of industry developments in this area. The Board is satisfied that the Company's service providers have the relevant controls in place to mitigate this risk.

Geopolitical Risk and Economic Disruption

The Company is exposed to the risk of geopolitical and economic events impacting on the Company, Portfolio Manager and Shareholders, including disruption arising from the aftermath of the COVID-19 pandemic, elevated levels of global inflation, recessionary risks and the current war in Ukraine. The Company does not hold any assets in Ukraine, Belarus or Russia, however, the situation in the region and wider geo-political consequences remain volatile and the Board and Portfolio Manager continue to monitor the situation carefully and will take whatever steps are necessary and in the best interests of the Company's Shareholders. This includes but is not limited to ensuring that the requirements of all international sanctions are adhered to and ensuring that the Portfolio Manager, Administrator and other key suppliers continue to operate all protections, protocols and monitoring of heightened cyber threats. The Company's key suppliers do not have operations in Ukraine, Russia and Belarus and there is not expected to be any adverse impact from military operations on the activity, process or procedures of the Company.

Climate Change Risk

Climate change risk is the risk of the Company not responding sufficiently to pressure from stakeholders to assess and disclose the impact of climate change on investment portfolios and address concerns on what impact the Company and its portfolio has on the environment.

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

Environmental, Social, and Governance ("ESG") factors are assessed by the Portfolio Manager for every transaction as part of the investment process. Specifically for ABS, for every transaction an ESG assessment is produced by the Portfolio Manager and an ESG score is assigned. External ESG factors are factors related to the debt issuers of ABS transactions and they are assessed through a combination of internal and third-party data. Climate risks are incorporated in the ESG analysis under environmental factors and taken into consideration in the final investment decision. CO2 emissions are tracked at issuer and deal level where information is available. Given the bankruptcy-remoteness feature of securitisation transactions the climate risks which the manager considers more relevant and that are able to potentially impact the value of the investment are the ones related to the underlying collateral which include physical and transitional risks. Those risks are also assessed and considered as environmental factors in the ESG analysis.

Board Diversity

When appointing new Directors and reviewing its composition, the Board considers, amongst other factors, diversity, balance of skills, knowledge, gender, social and ethnic background and experience. As at 31 March 2023, the Board is comprised of two female and four male Directors, which is expected to be a temporary situation whilst the Board is going through a transitionary period of Director rotation and retirements. The Board notes the New Listing rules published in April 2022 and believes that the Company meets the diversity targets required. The Company has no employees.

The Board believes it is fully compliant with Listing Rules LR 9.8.6R(9) and LR 14.3.33R(1) in relation to board diversity which are:

Additional detail is set out in the table below:

Environmental, Social and Governance

The Board recognises the importance of Environmental, Social and Governance ("ESG") factors in the investment management industry and the wider economy as a whole. The Company is a closed-ended investment company with a limited purpose and without employees. As such, it is the view of the Board that the direct environmental and social impact of the Company is limited and that ESG considerations are most applicable in respect of the asset allocation decisions made for its portfolio.

The Company has appointed the Portfolio Manager to advise it in relation to all aspects relevant to the Investment Portfolio. In keeping with the Board's expectation that ESG factors be taken into account, the Portfolio Manager has a formal ESG framework which incorporates ESG factors into its investment process. The Portfolio Manager has an ESG Committee representing all areas of its business, reports into the Portfolio Manager's Executive Committee. While there are no official ESG guidelines, the Portfolio Manager considerers ESG factors for every asset which it purchases on behalf of the Company and attributes internal scores to the assets in the Portfolio.

The Company does not have executive directors or employees. It has entered into contractual arrangements with a number of third party service providers, all of which have confirmed to the Company that they have appropriate ESG policies in place.

Service Providers

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

www.twentyfouram.com/responsible-investment-policy

www.twentyfouram.com/corporate-social-responsibility

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

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

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

Engagement and Voting

Wherever possible, on behalf of its investors, the Company is committed to actively engaging at a corporate, industry and regulatory level. The Company has contracted the Portfolio Manager to perform this function. It is noted that the Investment Portfolio is comprised primarily of fixed income assets. The voting rights attributable to these types of securities are usually limited in scope, and the opportunity to engage at a corporate level shall therefore, in most cases, be via interaction with senior management of companies during the due diligence process. A copy of the Portfolio Manager's Engagement Policy can be found at https://www.twentyfouram.com/engagement-at-twentyfour.

The Company engages on behalf of its investors at industry and regulatory level primarily through its Service Providers, including the Portfolio Manager, the Administrator, and through the Company's membership of the Association of Investment Companies.

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

Position and Performance

PRIIPs KIDs

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

www.twentyfouram.com/funds/twentyfour-income-fund/fund-literature/

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

Key Performance Indicators ("KPIs")

At each Board meeting, the Directors consider a number of performance measures to assess the Company's success in achieving its objectives. Below are the main KPIs which have been identified by the Board for determining the progress of the Company:

Net Asset Value

The Net Asset Value ("NAV") per Ordinary Share, including retained earnings, at 31 March 2023 was 100.97p, based on net assets as at this date of £724,982,762 divided by number of Ordinary Shares in issue of 718,036,661 (31 March 2022: 112.45p based on net assets of £718,477,218 divided by number of Ordinary Shares in issue of 638,942,655).

The financial year of the Company started just after the invasion of Ukraine by Russia, meaning the risk sentiment in the credit and equity markets changed significantly as investors sought liquidity. Additionally, general risk sentiment has evolved due to expectations of high inflation, increasing interest rates and the general higher risk of a slowdown of the UK and European economies. Following a brief relief during the summer, floating rate fixed income markets were again faced with a large liquidity event, which was the result of the UK mini-budget as Gilt yields increased significantly and UK pension funds had to sell assets to settle margin calls on their books. During this period there were no impairments to the portfolio, however, spreads widened for most of the first half year. But as risk sentiment returned in October, spreads retraced roughly half of the spread widening in the second half of the year. As SONIA has continued to increase through the year, the NAV has benefited from increasingly higher coupon payments. The total NAV performance for the year was -3.61%. Additionally, the Company has paid out all of its income as dividend (9.46p) and this has had an impact on the NAV.

Share Price

The Share Price is the price per share per Ordinary Share trading on the London Stock Exchange.

On 31 March 2023, the share price was 100.50p (31 March 2022: 107.00p).

(Loss)/Earnings per Ordinary Share - Basic and Diluted

(Loss)/Earnings per Ordinary Share is calculated by dividing the net loss for the year of £22,595,345 (31 March 2022: net gain of £36,303,495) by the weighted average number of shares for the year of 664,696,773 (31 March 2022: 512,445,511). The net loss for the year has been primarily driven by a decrease in unrealised gains on investments. Market sentiment is discussed in further detail within the Chair's statement.

Discount/Premium to NAV

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

On 31 March 2023, the discount to NAV was 0.47% (31 March 2022: discount of 4.85%).

Ongoing Charges

Ongoing charges for the year ended 31 March 2023 have been calculated in accordance with the Association of Investment Companies (the "AIC") recommended methodology. The ongoing charges represent the Company's management fee and all other operating expenses, excluding finance costs, share issue or buyback costs and non-recurring legal and professional fees, expressed as a percentage of the average of the weekly net assets during the year.

The ongoing charges for the year ended 31 March 2023 were 0.78% (31 March 2022: 0.97%). The ongoing charges were calculated as follows:

Dividends

Until 21 September 2022, the Company maintained a dividend target of 6 pence, per Ordinary Share, per year in accordance with the Company's prospectus. On 21 September 2022, the dividend target increased to 7 pence, per Ordinary Share per year and on 24 February 2022, it increased further to 8 pence per Ordinary Share per year. If the minimum target of 6p for the year is not met, a Continuation Vote is required.

The dividend yield for the year ended 31 March 2023 was 9.41% (31 March 2022: 6.77%) meaning that the Company met its dividend target for the current year. During the year, the following dividends were declared:

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

Viability Statement

Under the UK Corporate Governance Code, the Board is required to make a "Viability Statement" which considers the Company's current position, principal risks, emerging risks and uncertainties combined with an assessment of the prospects of the Company in order to be able to state that they have a reasonable expectation that the Company will be able to continue in operation and that the business model is viable over the period of their assessment. The Board considers that three years is an appropriate period to assess the viability of the Company given the uncertainty of the investment world and the strategy period. In selecting this period, the Board considered the environment within which the Company operates and the risks associated with the Company.

The Company's prospects are driven by its business model and strategy. The Company's aim is to provide investors with an attractive level of income with a high degree of certainty around that income and a focus on capital preservation in uncertain times, by investing in less liquid, high yielding asset backed securities.

The Board's assessment of the Company over the three year period has been made with reference to the Company's current position and prospects, the Company's strategy, and the Board's risk appetite having considered each of the Company's principal risks, emerging risks and uncertainties summarised above.

The Board has also considered the Company's expected cash flows, income flows, its likely ability to pay dividends and analysis of the portfolio with reference to:

In this context, the Board's central case is that the prospects for economic activity will remain such that the investment objective, policy and strategy of the Company will be viable for the foreseeable future through a period of at least three years from the year ended 31 March 2023.

In making this judgement, the Board has assessed that the main risks to the viability of the Company are key global and market uncertainties driven by factors external to the Company which in turn can impact on the liquidity and NAV of the investment portfolio. A simulation has been designed to estimate the impact of these uncertainties on the NAV of the Company at times of stress, based on historical performance data, using techniques which analyse how changes in the Company's ability to generate income (by assessing different levels of reinvestment rates available as well as changes in FX and interest income generation, over a 3-year period) would impact the annual dividend the Company is able to generate. All of the foregoing has been considered against the background of the Company's dividend target.

Key assumptions covered by the Board in relation to the viability of the Company include:

Dividend Target

The ongoing viability of the Company and the validity of the going concern basis depend on the Company meeting its dividend target annually during the three-year period. In the event that the Company does not meet the dividend target annually, as disclosed in note 20, during the three-year period an Ordinary Resolution will be put to the Shareholders, at the AGM following any reporting period in which the minimum dividend target of 6p per year is not met, with the continuation vote requirements set out in note 17.

During the year, the annual dividend target was increased, as outlined on Summary Information.

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

Realisation Opportunity

The next Realisation Opportunity is due to occur just after the AGM in Autumn 2025. The Board's view is that should the share price remains at the current levels, relative to the NAV, they would not expect to see a major incentive to redeem.

Whilst there is no degree of certainty, rather like the Realisation Opportunity that occurred during 2022, there may be some redemption requests. In the past, these have been matched by secondary selling of the redeemed shares to new purchasers. It is believed the Realisation Opportunity is currently a low risk to the viability prospects of the Company.

Market Uncertainty

In the prior year, most sectors saw negative return on the NAV per Ordinary Share, as a result of spread widening, the negative contribution was largest for RMBS at -2.09% followed by CLOs at -1.37%. Volatility during the 1 year period (monthly returns) was relatively high for the NAV per Ordinary Share compared to historical periods, at 3.00%.

Risk of Credit Losses

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

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

Between 31 March 2023 and the date of signing, the Company's portfolio witnessed no defaults and no deferrals of interest payments.

Section 172 Statement

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

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

Signed on behalf of the Board of Directors on 17 July 2023 by:

Bronwyn Curtis       John Le Poidevin  

Director       Director

DIRECTORS' REPORT

The Directors present their Annual Report and Audited Financial Statements for the year ended 31 March 2023.

Business Review

The Company

TwentyFour Income Fund Limited (the "Company") was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Ordinary Shares of the Company were listed with a Premium Listing on the Official List of the UK Listing Authority and admitted to trading on the Main Market of the London Stock Exchange on 6 March 2013.

Investment Objective and Policy

The Company's investment objective and policy is set out in the Summary Information.

Acquisition of UK Mortgages Limited Assets during the prior year

On 8 February 2022, the Company announced that it had agreed terms of a proposed acquisition of the assets of UK Mortgages Limited, (the "Scheme"). The Scheme was to be effected through the reconstruction of UKML, consisting of the winding up of UKML, the transfer of the assets of UKML to the Company and the issue of new Ordinary Shares by the Company to the shareholders of UKML.

Under the terms of the Scheme, the assets of UKML were placed into a "Rollover Pool" for transfer to the Company, with cash and other net current assets placed into a "Liquidation Pool" in order to meet any outstanding UKML current and future liabilities. The Company and UKML agreed to bear their own costs in relation to the Scheme.

The proposed acquisition value was 84p per UKML share, less the costs of UKML in relation to the Scheme and the retention to meet both unknown and ascertained liabilities, divided by the total number of UKML shares in issue (excluding any UKML shares held in treasury by UKML) as at 18 March 2022 (the "Calculation Date"), subject to certain adjustments in accordance with the Scheme.

On 3 March 2022, the Company published a prospectus on the proposed Scheme, along with a timetable.

On 18 March 2022, it was announced that the Shareholders of both UKML had approved the Scheme by a special resolution. Trading in UKML shares was suspended on the same day.

On 23 March 2022, the Boards of both UKML and the Company announced the final Scheme entitlements as at the Calculation Date. The Company issue price at that date, per new Ordinary Share of the Company, to be issued to shareholders of UKML, was £1.1421. The acquisition value per UKML share was £0.8331. 130,427,846 new Ordinary Shares of the Company were issued under the Scheme to former shareholders of UKML. The new Ordinary Shares issued by the Company were admitted to the London Stock Exchange the following day, with share certificates dispatched the week commencing 28 March 2022. The total value of assets transferred were: 4 Profit Participating Notes ("PPNs") valued at £87.1 million (consisting of RMBS assets); Listed notes of £19.0 million and cash of £38.5 million.

Discount/Premium to NAV

The Board monitors and manages the level of the share price discount/premium to NAV. In managing this, the Company operates a share buyback facility whereby it may purchase, subject to various terms as set out in its Articles and in accordance with The Companies (Guernsey) Law, 2008, up to 14.99% of the Company's Ordinary Shares in issue immediately following Admission for trading on the London Stock Exchange. On 22 August 2022, a Realisation Opportunity was made under which investors were offered an opportunity to realise all or part of their Shareholding in the Company, with Shareholders opting to redeem 9,582,068 Ordinary Shares for a consideration of £8,814,544.

Subsequently, a Realisation Opportunity, where Shareholders of the Company (the "Shareholders") may apply to redeem shares up to 56 days before the relevant annual general meeting date of the Company (the "Reorganisation Date"), will be offered at the annual general meeting of the Company every three years subject to the aggregate NAV of the continuing Ordinary Shares on the last Business Day before Reorganisation being not less than £100 million.

The next Realisation Opportunity is due to take place in Autumn 2025.

Shareholder Information

Shareholder information is set out in the Summary Information.

Going Concern

The Directors believe that it is appropriate to adopt the going concern basis in preparing the Financial Statements in view of the Company's holdings in cash and cash equivalents and the liquidity of investments and the income deriving from those investments, meaning the Company has adequate financial resources and suitable management arrangements in place to continue as a going concern for at least twelve months from the date of approval of the Financial Statements.

The Company also achieved its dividend target of 6 pence per Ordinary Share per year, for the year ended 31 March 2023, meaning that as per the Company's Articles, a Continuation Vote is not required.

The Company's continuing ability to meet its dividend target, along with the Company's ability to continue as a going concern, in light of the external geo-political and macro factors, the increased risk of default due to rising inflation, increasing global interest rates and the next Realisation Opportunity has been considered as part of the Viability Statement. No material doubts to going concern have been identified.

On 31 March 2023, the Company's cash balance was 3.76% of total net assets (2022: 8.31%).

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

Results

The results for the year are set out in the Statement of Comprehensive Income. The Directors proposed dividends of £65,494,843 in respect of income available for distribution earned during the year ended 31 March 2023, a breakdown of which can be found in note 20. Dividends paid during the year amounted to £47,555,276 as recognised in the Statement of Changes in Equity.

Income available for distribution in any quarter comprises (a) the accrued income of the portfolio for the period, and (b) an additional amount to reflect any income purchased in the course of any Ordinary Share subscriptions that took place during the period (so as to ensure that the income yield of the shares is not diluted as a consequence of the issue of new shares during an income period) and (c) any income on the foreign exchange contracts created by the risk-free rate differentials between each foreign currency pair, less (d) total expenditure for the period.

Portfolio Manager

The Company entered into a Portfolio Management Agreement with TwentyFour Asset Management LLP, the Portfolio Manager, on 29 May 2014. Pursuant to this agreement, the Portfolio Manager is entitled to a portfolio management fee paid monthly in arrears, at a rate of 0.75% per annum of the lower of NAV, which is calculated as of the last business day of each month, or market capitalisation of each class of shares. For additional information, refer to note 15.

The Board considers that the interests of Shareholders, as a whole, are best served by the continued appointment of the Portfolio Manager to achieve the Company's investment objectives.

Alternative Investment Fund Manager

Alternative investment fund management services have been provided by Maitland Institutional Services Limited ("Maitland") since their appointment as Alternative Investment Fund Manager ("AIFM") on 29 May 2014. The AIFM fee is payable quarterly in arrears at a rate of 0.07% of the NAV of the Company below £50 million, 0.05% on Net Assets between £50 million and £100 million and 0.03% on Net Assets in excess of £100 million. For additional information refer to note 16.

Custodian and Depositary

Custodian and Depositary services are provided by Northern Trust (Guernsey) Limited. The terms of the Depositary agreement, allow Northern Trust (Guernsey) Limited to receive professional fees for services rendered. For additional information, refer to note 16.

Directors

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

As at 31 March 2023, Directors of the Company held the following numbers of Ordinary Shares beneficially:

Paul Le Page held 49,457 Ordinary Shares upon his appointment to the Board, having been a Shareholder in UKML and having elected to transfer his shareholding to Ordinary Shares in the Company during the acquisition of UKML's assets.

On 25 October 2022 the Board purchased the following Ordinary Shares in the Company as part of the Redemption Placing shares, made available on the market as part of the Realisation Opportunity:

Corporate Governance

The Board is committed to high standards of corporate governance and has implemented a framework for corporate governance which it considers to be appropriate for an investment company in order to

comply with the principles of the UK Corporate Governance Code (the "UK Code"). The Company is also required to comply with the Code of Corporate Governance (the "GFSC Code") issued by the Guernsey Financial Services Commission.

The UK Listing Authority requires all UK premium listed companies to disclose how they have complied with the provisions of the UK Code. This Corporate Governance Statement, together with the Going Concern Statement, Viability Statement and the Statement of Directors' Responsibilities indicate how the Company has complied with the principles of good governance of the UK Code and its requirements on Internal Control.

The Company is a member of the AIC and by complying with the 2019 AIC Code of Corporate Governance ("the AIC Code") is deemed to comply with both the UK Code and the GFSC Code.

The Board has considered the principles and recommendations of the AIC Code and considers that reporting against these will provide appropriate information to Shareholders. To ensure ongoing compliance with these principles the Board reviews a report from the Corporate Secretary at each quarterly meeting, identifying how the Company is in compliance and identifying any changes that might be necessary.

The AIC Code and the AIC Guide are available on the AIC's website, www.theaic.co.uk. The UK Code is available in the Financial Reporting Council's website, www.frc.org.uk.

Throughout the year ended 31 March 2023, the Company has complied with the recommendations of the 2019 AIC Code and thus the relevant provisions of the UK Code, except as set out below.

The UK Code includes provisions relating to:

For the reasons set out in the AIC Guide, the Board considers the first three provisions are not relevant to the position of the Company as it is an externally managed investment company. The Company has therefore not reported further in respect of these provisions.

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

The Board established a Nomination and Remuneration Committee, which held its first meeting on 14 March 2023. Prior to that date, the Board, as a whole, fulfilled the function of a Nomination and Remuneration Committee.

Details of compliance with the AIC Code are noted below. There have been no other instances of non-compliance, other than those noted above.

The Company's risk exposure and the effectiveness of its risk management and internal control systems are reviewed by the Audit Committee at its meetings and at least annually by the Board. The Board believes that the Company has adequate and effective systems in place to identify, mitigate and manage the risks to which it is exposed.

Role, Composition and Independence of the Board

The Board is the Company's governing body and has overall responsibility for maximising the Company's success by directing and supervising the affairs of the business and meeting the appropriate interests of Shareholders and relevant stakeholders, while enhancing the value of the Company and also ensuring protection of investors. A summary of the Board's responsibilities is as follows:

monitoring and control; and

The Board's responsibilities for the Annual Report and Audited Financial Statements are set out in the Statement of Directors' Responsibilities.

The Board currently consists of six non-executive Directors, all of whom are considered to be independent of the Portfolio Manager and as prescribed by the Listing Rules.

The Board considers it has the appropriate balance of diverse skills and experience, independence and knowledge of the Company and the wider sector, to enable it to discharge its duties and responsibilities effectively and that no individual or group of individuals dominates decision making. The Chair is responsible for leadership of the Board and ensuring its effectiveness. Joanne Fintzen has served as Senior Independent Director, following the retirement of Ian Burns.

Chair

The Chair is Bronwyn Curtis, who took over the role on 14 October 2022, following the retirement of Trevor Ash. The Chair of the Board must be independent for the purposes of Chapter 15 of the Listing Rules. Bronwyn Curtis is considered independent because she:

Biographies of all the Directors can be found in Board Members.

Board Role and Composition

The Board is required to ensure that the Annual Report and Audited Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company's position and performance, business model and strategy. In seeking to achieve this, the Directors have set out the Company's investment objective and policy and have explained how the Board and its delegated Committees operate, and how the Directors review the risk environment within which the Company operates and set appropriate risk controls. Furthermore, throughout the Annual Report and Audited Financial Statements the Board has sought to provide further information to enable Shareholders to have a fair, balanced and understandable view.

The Board has contractually delegated responsibility for the management of its investment portfolio, the arrangement of custodial and depositary services and the provision of accounting and company secretarial services.

The Board is responsible for the appointment and monitoring of all service providers to the Company.

The Directors are kept fully informed of investment and financial controls and other matters by all services providers that are relevant to the business of the Company and should be brought to the attention of the Directors.

The Board has adopted a policy on the tenure of its independent Directors that aligns with the AIC Code of Corporate Governance ("the Code") that none of the Directors, including the Chair of the Board should serve for more than 9 years, even though the Board considers that boards of investment companies are more likely to benefit from a director's long association with a company in that they will experience a number of investment cycles. During the year, two Directors who had been appointed on the incorporation of the Company retired: Trevor Ash; and Ian Burns. One of the current Directors, Richard Burwood, was appointed on the incorporation of the Company and he will retire as a Director, at the 2023 AGM.

The Board has also given careful consideration to the recommendations of the Davies Review and their implementation. The Board has reviewed its composition and believes that the current Board mix, allied to its recruitment plans, provide an appropriate range of skills, experience and diversity. The Board is committed to continuing its implementation of the recommendations of the Davies Review as part of its succession planning over future years and by complying with the disclosure requirement of DTR 7.2.8 in terms of the Company's diversity policy.

The Board holds quarterly Board meetings, to discuss general management, structure, finance, corporate governance, marketing, risk management, compliance, asset allocation and gearing, contracts and performance. The quarterly Board meetings are the principal source of regular information for the Board enabling it to determine policy and to monitor performance, compliance and controls but these meetings are also supplemented by communication and discussions throughout the year.

A representative of the Portfolio Manager, AIFM, Administrator, Custodian and Depositary and Corporate Broker attend each Board meeting either in person or by telephone, thus enabling the Board to fully discuss and review the Company's operation and performance. Each Director has direct access to the Portfolio Manager and Company Secretary and may, at the expense of the Company, seek independent professional advice on any matter.

The Audit Committee meets at least twice a year, the Management Engagement Committee meets at  least once a year and a dividend meeting is held quarterly. In addition, ad hoc meetings of the Board to review specific items between the regular scheduled quarterly meetings can be arranged.

Between formal meetings, there is regular contact with the Portfolio Manager, AIFM, Administrator, Custodian and Depositary and the Corporate Broker.

Attendance at the Board and Committee meetings during the year was as follows:

The number of meetings held indicates the meetings held during each Director's membership of the relevant Board or Committee during the year ended 31 March 2023.

In addition to the scheduled Board and Committee meetings, 11 ad hoc Committee of the Board meetings were held during the year, which were attended by those Directors available at the time.

Board Performance and Training

During the year, the Board commissioned a review of its performance by external evaluation practitioner Trust Associates Limited. The review determined the Board's approach to corporate governance and its supervision of its regulatory compliance to be good. The review also determined the Board to be effective with independent thought and action with the right balance of skills and experience necessary for its proper functioning and the safeguarding of Shareholders' interests.

Re-Election of Directors

Under the terms of their appointment, each Director is required to seek re-election on an annual basis. At the 14 October 2022 Annual General Meeting, Bronwyn Curtis was elected to the Board and all other continuing Directors were re-elected. Trevor Ash and Ian Burns, did not seek re-election. At the Company's next AGM, Paul Le Page will seek election and Richard Burwood will not seek re-election. The Company may terminate the appointment of a Director without compensation immediately on serving written notice.

UK Criminal Finances Act 2017

In respect of the UK Criminal Finances Act 2017 which introduced a new Corporate Criminal Offence of `failing to take reasonable steps to prevent the facilitation of tax evasion', the Board confirms that it is committed to zero tolerance towards the criminal facilitation of tax evasion.

The Board also keeps under review developments involving other social and environmental issues, such as the General Data Protection Regulation ("GDPR"), which came into effect on 25 May 2018, and Modern Slavery, and reports on those to the extent they are considered relevant to the Company's operations. There are no findings to report at year end.

Board Committees and their Activities

Terms of Reference

All Terms of Reference of the Board's Committees are available from the Administrator upon request.

Management Engagement Committee

The Board has established a Management Engagement Committee which meets at least once a year and comprises the entire Board, with Richard Burwood serving as Chair. Its formal duties and responsibilities include the regular review of the performance of and contractual arrangements with the Portfolio Manager and other service providers and the preparation of the Committee's annual opinion as to the Portfolio Manager's services.

The Management Engagement Committee carried out a review of the performance and capabilities of the Portfolio Manager and other service providers at its 20 September 2022 meeting and recommended the continued appointment of TwentyFour Asset Management LLP as Portfolio Manager is in the interest of Shareholders. The Management Engagement Committee also recommended that the appointment of all the Company's current service providers should continue.

Audit Committee

The Audit Committee comprises the entire Board, with the exception of the Chair of the Board, with John Le Poidevin acting as Chair since the retirement of Ian Burns on 14 October 2022. The terms of reference of the Audit Committee provide that the Committee shall be responsible, amongst other things, for reviewing the Interim and Annual Financial Statements, considering the appointment and independence of the external auditor, discussing with the external auditor the scope and results from the audit and reviewing the Company's compliance with the AIC Code.

Further details on the Audit Committee can be found in the Audit Committee Report.

Remuneration and Nomination Committee

The Remuneration and Nomination Committee has been established consisting of all Directors. John de Garis has served as chair since its establishment.

The Committee met for the first time on 15 March 2023, where the Committee approved its Terms of Reference and a succession plan to replace Richard Burwood, following his imminent retirement at the next AGM.

International Tax Reporting

For purposes of the US Foreign Account Tax Compliance Act, the Company registered with the US Internal Revenue Service ("IRS") as a Guernsey reporting Foreign Financial Institution ("FFI"), received a Global Intermediary Identification Number (8V9U53.99999.SL.831), and can be found on the IRS FFI list.

The Common Reporting Standard ("CRS") is a global standard developed for the automatic exchange of financial account information developed by the Organisation for Economic Co-operation and Development ("OECD"), which has been adopted in Guernsey and which came into effect on 1 January 2016.

The Board ensures that the Company is compliant with Guernsey regulations and guidance in this regard.

Internal Controls

In accordance with the AIC Code, the Board is ultimately responsible for establishing and maintaining the Company's system of internal financial and operating control and for maintaining and reviewing its effectiveness throughout the year. The Company's risk matrix remains the core element of the Company's risk management process in establishing the Company's system of internal financial and reporting control. The risk matrix is prepared by the Board, identifying the risks facing the Company and then collectively assessing the likelihood and impact of each risk and the strength of the controls operating over each risk. The system of internal financial and operating control is designed to manage rather than to eliminate the risk of failure to achieve business objectives, safeguard Company assets and maintain reliable financial information and by its nature can only provide reasonable and not absolute assurance against misstatement and loss.

The AIC Code requires Directors to conduct at least annually a review of the Company's system of internal financial and operating control, covering all controls, including financial, operational, compliance and risk management. The Board has evaluated the systems of internal controls of the Company. In particular, it has prepared a process for identifying and evaluating the significant risks affecting the Company and the policies by which these risks are managed. The Board also considers whether the appointment of an internal auditor is required and has determined that there is no requirement for a direct internal audit function at this time.

The Board has delegated the day to day responsibilities for the management of the Company's investment portfolio, the provision of depositary services and administration, registrar and corporate secretarial functions including the independent calculation of the Company's NAV and the production of the Annual Report and Financial Statements which are independently audited.

Formal contractual agreements have been put in place between the Company and service providers. Even though the Board has delegated responsibility for these functions, it retains accountability for these functions and is responsible for the systems of internal control. At each quarterly Board meeting, compliance reports are provided by the Administrator, Company Secretary, Portfolio Manager, AIFM and Depositary. The Board also receives confirmation from the Administrator of its accreditation under its Service Organisation Controls 1 report.

The Company's risk exposure and the effectiveness of its risk management and internal control systems are reviewed by the Audit Committee at its meetings and at least annually by the Board. The Board believes that the Company has adequate and effective systems in place to identify, mitigate

and manage the risks to which it is exposed. Principal Risks and Uncertainties are set out in the Strategic Report.

Shareholder Engagement

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

The Portfolio Manager and Broker maintain a regular dialogue with institutional Shareholders, the feedback from which is reported to the Board.

The Company's Annual General Meeting ("AGM") provides a forum for Shareholders to meet and discuss issues of the Company and Shareholders with the opportunity to vote on the resolutions as specified in the Notice of AGM. The Notice of the AGM and the results are released to the London Stock Exchange in the form of an announcement. Board members will be available to respond to Shareholders' questions at the AGM.

In addition, the Company has a website, www.twentyfourincomefund.com, which contains comprehensive information, including links to regulatory announcements, share price information, financial reports, investment objective and investor contacts.

Significant Shareholdings

Shareholders with holdings of more than 3.0% of the Ordinary Shares of the Company at 13 June 2023 (latest available) were as follows:

Those invested directly or indirectly in 3.0% or more of the issued share capital of the Company will have the same voting rights as other holders of Ordinary Shares.

Disclosure of Information to Auditor

The Directors who held office at the date of approval of these Financial Statements confirm that, so far as they are each aware, there is no relevant audit information of which the Company's auditor is unaware; and each Director has taken all the steps that they ought to have taken as a Director to make themselves aware of any relevant audit information and to establish that the Company's auditor is aware of that information.

Independent Auditor

The current appointed Auditor is PricewaterhouseCoopers CI LLP

During the year the Audit Committee conducted a tender process for the position of external auditor, which, in-line with best practice, included one "challenger" audit firm. A request for proposal was sent to suitably qualified audit firms and a rigorous interview process was conducted for those firms that tendered. The Board will nominate KPMG at the next AGM on 14 September 2023 to be appointed external auditor and a motion will be proposed to Shareholders on whether to approve their appointment.

Signed on behalf of the Board of Directors on 17 July 2023 by:

Bronwyn Curtis       John Le Poidevin  

Director       Director

STATEMENT OF DIRECTORS' RESPONSIBILITIES

The Directors are responsible for preparing the Annual Report and the Financial Statements in accordance with applicable Guernsey law and regulations.

Guernsey company law requires the Directors to prepare Financial Statements for each financial year. Under that law, they have elected to prepare the Financial Statements in accordance with International Financial Reporting Standards ("IFRS") and applicable law.

The Financial Statements are required by law to give a true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that period.

In preparing these Financial Statements, the Directors are required to:

- select suitable accounting policies and then apply them consistently;

- make judgements and estimates that are reasonable and prudent;

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

- prepare the Financial Statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors confirm that they have complied with these requirements in preparing the Financial Statements.

The Directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the Financial Statements have been properly prepared in accordance with The Companies (Guernsey) Law, 2008. They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and other irregularities.

The Directors are responsible for the oversight of the maintenance and integrity of the corporate and financial information in relation to the Company website; the work carried out by the auditor does not involve consideration of these matters and, accordingly, the auditor accepts no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website.

Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

The Directors confirm that to the best of their knowledge:

(a) The Financial Statements have been prepared in accordance with IFRS and give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company as at and for the year ended 31 March 2023; and

(b) The Annual Report includes information detailed in the Corporate Information, Summary Information, Chair's Statement, Portfolio Manager's Report, Top Twenty Holdings, Board Members, Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges, Strategic Report, Directors' Report, Statement of Directors' Responsibilities, Directors' Remuneration Report, Audit Committee Report, Alternative Investment Fund Manager's Report and Depositary Statement and provides a fair review of the information required by:

(i) DTR 4.1.8 and DTR 4.1.9 of the Disclosure and Transparency Rules, being a fair review of the Company business and a description of the principal risks and uncertainties facing the Company; and

(ii) DTR 4.1.11 of the Disclosure and Transparency Rules, being an indication of important events that have occurred since the end of the financial year and the likely future development of the Company.

In the opinion of the Board, the Financial Statements taken as a whole, are fair, balanced and understandable and provide the information necessary to assess the Company's performance, business model and strategy.

By order of the Board

Bronwyn Curtis      John Le Poidevin 

Director      Director

17 July 2023

DIRECTORS' REMUNERATION REPORT

The Directors' Remuneration Report has been prepared on behalf of the Directors in accordance with the UK Code as issued by the UK Listing Authority. An ordinary resolution for the approval of the annual remuneration report will be put to the Shareholders at the AGM to be held on 14 September 2023.

Remuneration Policy

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

It is the responsibility of the Remuneration and Nomination Committee to determine and approve the Directors' fees, who will have given the matter proper consideration, having regard to the level of fees payable to non-executive Directors in the industry generally, the role that individual Directors fulfil in respect of Board and Committee responsibilities and the time committed to the Company's affairs. The Chair's remuneration is decided and approved separately by the Board as a whole.

No element of the Directors' remuneration is performance related, nor does any Director have any entitlement to pensions, share options or any long-term incentive plans from the Company.

Remuneration

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

Directors are remunerated in the form of fees, payable quarterly in arrears, to the Director personally. No Directors have been paid additional remuneration outside the normal Directors' fees and expenses.

In the year ended 31 March 2023, the Directors received the following annual remuneration in the form of Directors' fees:

On 12 April 2022 and included within the table above, each of the six appointed Directors at that time received a £5,000 ad-hoc fee for additional work carried out during the acquisition of the assets of UK Mortgages Limited.

Until 31 December 2022, the annual fees were £50,000 for the Chair of the Board (£40,000 per annum before 14 October 2022), £37,500 for Audit Committee Chair, and £35,000 for all other Directors.

During the year, the Board commissioned an independent review of directors' fees by external evaluation practitioner Trust Associates Limited and as a result the Board resolved to increase Board remuneration with effect from 1 January 2023.

From 1 January 2023, the annual fees were increased to £60,000 for the Chair of the Board, £50,000 for the Audit Committee Chair, £42,000 for the Senior Independent Director and the Chair of the Nomination and Remuneration Committee and £40,000 for all other Directors.

1 Bronwyn Curtis was appointed Director on 12 July 2022 and appointed Chair of the Board on 14 October 2022.

2 John Le Poidevin was appointed Audit Committee Chair on 14 October 2022.

3 Trevor Ash retired as Chair of the Board and Director on 14 October 2022.

4 Ian Burns retired as Audit Committee Chair and Director on 14 October 2022.

5 Paul Le Page was appointed Director on 16 March 2023.

The remuneration policy set out above is the one applied for the year ended 31 March 2023.

Directors' and Officers' liability insurance cover is maintained by the Company on behalf of the Directors.

The Directors were appointed as non-executive Directors by letters of appointment. Each Director's appointment letter provides that, upon the termination of his/her appointment, he/she must resign in writing and all records remain the property of the Company. The Directors' appointments can be terminated in accordance with the Articles and without compensation. There is no notice period specified in the Articles for the removal of Directors. The Articles provide that the office of Director shall be terminated by, among other things: (a) written resignation; (b)  unauthorised absences from Board meetings for six months or more; (c) unanimous written request of the other directors; and (d) an ordinary resolution of the Company.

Under the terms of their appointment, each Director is required to seek re-election on an annual basis. At the 14 October 2022 Annual General Meeting, all Directors were re-elected to the Board, except Trevor Ash and Ian Burns, who retired. The Company may terminate the appointment of a Director immediately on serving written notice and no compensation is payable upon termination of office as a director of the Company becoming effective.

The amounts payable to Directors shown in note 15 were for services as non-executive Directors.

No Director has a service contract with the Company, nor are any such contracts proposed.

Signed on behalf of the Board of Directors on 17 July 2023 by:

Bronwyn Curtis       John Le Poidevin  

Director       Director

AUDIT COMMITTEE REPORT

Below, we present the Audit Committee's Report, setting out the responsibilities of the Audit Committee and its key activities for the year ended 31 March 2023.

The Audit Committee has continued its scrutiny of the appropriateness of the Company's system of risk management and internal controls, the robustness and integrity of the Company's financial reporting, and the external audit process. The Committee has devoted time to ensuring that the internal financial and operating controls and processes have been properly established, documented and implemented.

During the course of the year, the information that the Audit Committee has received has been timely and clear and has enabled the Audit Committee to discharge its duties effectively.

The Audit Committee operates within the principles of the UK Code and the best practice recommendations of other corporate governance organisations such as the AIC, and believes that reporting against the revised AIC Code allows the Audit Committee to further strengthen its role as a key independent oversight Committee.

Role and Responsibilities

The primary function of the Audit Committee is to assist the Board in fulfilling its oversight responsibilities. This includes reviewing the financial reports and other financial information and any significant financial judgement contained therein, before publication.

In addition, the Audit Committee reviews the systems of internal financial and operating controls on a continuing basis that the Administrator, Portfolio Manager, AIFM, and Custodian Depositary and the Board have established with respect to accounting, risk management, compliance, fraud and audit seeking reasonable assurance that such systems meet relevant legal and regulatory requirements. The Audit Committee also reviews the accounting and financial reporting processes, along with reviewing the role, independence and effectiveness of the external auditor.

The ultimate responsibility for reviewing and approving the Annual and Interim Financial Statements remains with the Board.

The Audit Committee's full terms of reference can be obtained by contacting the Company's Administrator.

Risk Management and Internal Control

The Board, as a whole, considers the nature and extent of the Company's risk management framework and the risk profile that is acceptable in order to achieve the Company's strategic objectives. As a result, it is considered that the Board has fulfilled its obligations under the AIC Code.

The Audit Committee continues to be responsible for reviewing the adequacy and effectiveness of the Company's ongoing risk management systems and processes. The Company's system of internal controls, along with its design and operating effectiveness, is subject to review by the Audit Committee through reports received from the Portfolio Manager, AIFM and Custodian and Depositary, along with those from the Administrator and external auditor.

Fraud, Bribery and Corruption

The Audit Committee, in conjunction with the Management Engagement Committee, have relied on the overarching requirement placed on service providers under the relevant agreements to comply with applicable law, including anti-bribery laws. A review of service provider policies took place at the Management Engagement Committee Meeting, held on 20 September 2022. The Board receives regular confirmation from all Service Providers that there has been no fraud, bribery or corruption.

Financial Reporting and Significant Financial Issues

The Audit Committee assesses whether suitable accounting policies have been adopted and whether the Portfolio Manager has made appropriate estimates and judgements. The Audit Committee reviews accounting papers prepared by the Portfolio Manager and Administrator which provide details on the main financial reporting judgements.

The Audit Committee also reviews reports by the external auditor which highlight any issues  with respect to the work undertaken on the audit.

The significant issues considered during the year by the Audit Committee in relation to the Financial Statements and how they were addressed are detailed below:

(i) Valuation of investments:

The Company's investments had a fair value of £739,385,970 as at 31 March 2023 (31 March 2022: £696,505,062), which represents a substantial portion of the net assets of the Company. As such this is the largest factor in relation to the consideration of the Financial Statements. These investments are valued in accordance with the accounting policies set out in note 2 to the Financial Statements. Through regular reporting during the year by the Portfolio Manager, AIFM, Administrator, Custodian and Depositary, the Audit Committee satisfied itself that both the sources of price information and valuation process itself are robust and reliable, and considered the valuation of the investments held by the Company as at 31  March 2023 to be reasonable.

(ii) Income Recognition:

The Audit Committee considered the calculation of income from investments recorded in the Financial Statements as at 31 March 2023. As disclosed in note 3(ii)(b) of the Notes to the Financial Statements, the estimated life of ABS is determined by the Portfolio Manager, impacting the effective interest rate of the ABS which in turn impacts the calculation of income from investments. The Audit Committee reviewed the Portfolio Manager's process for determining the expected life of the Company's investments and found it to be reasonable based on the explanations provided and information obtained from the Portfolio Manager. The Audit Committee is therefore satisfied that income is correctly stated in the Financial Statements.

(iii) Assets acquired from UKML

The Audit Committee considered the financial reporting impact of the assets acquired from UKML, particularly the critical judgements and key estimates (both in respect to the amounts reported and the disclosures) associated with these assets.

Following a review of the presentations and reports from the Portfolio Manager and Administrator and consulting where necessary with the external auditor, the Audit Committee is satisfied that the Financial Statements appropriately address the critical judgements and key estimates (both in respect to the amounts reported and the disclosures). The Audit Committee is also satisfied that the significant assumptions used for determining the value of assets and liabilities have been appropriately scrutinised, challenged and are sufficiently robust. The Audit Committee has also reviewed the content of the Annual Report and Financial Statements and provided an opinion to the Board on whether, taken as a whole, they are fair, balanced and understandable and provide the information necessary for shareholders to assess the Company's position and performance, business model and strategy.

At the request of the Audit Committee, the Administrator confirmed that it was not aware of any material misstatements including matters relating to Financial Statement presentation. At the Audit Committee meeting to review the Annual Report and Audited Financial Statements, the Audit Committee received and reviewed a report on the audit from the external auditor. On the basis of its review of this report, the Audit Committee is satisfied that the external auditor has fulfilled its responsibilities with diligence and professional scepticism. The Audit Committee advised the Board that these Annual Financial Statements, taken as a whole, are fair, balanced and understandable.

The Audit Committee is satisfied that the judgements made by the Portfolio Manager and Administrator are reasonable, and that appropriate disclosures have been included in the Financial Statements.

Going Concern

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

External Auditor

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

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

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

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

· identification of areas of audit risk;

· planning, scope and execution of the audit;

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

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

· communications by the Auditor with the Audit Committee; and

· how the Auditor supports the work of the Audit Committee and how the audit contributes added value.

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

During the year, the Audit Committee performed its annual review of the independence, effectiveness and objectivity of the external auditor, in accordance with the FRC's Revised Ethical Standard, 2019.

On a semi-annual basis, the auditor reports the independence of its relationship with the Company and reports to the Audit Committee. As part of this review, the Audit Committee also receives information about policies and processes for maintaining independence and monitoring compliance with relevant requirements from the Company's Auditor, including information on the rotation of audit partners and staff, the level of fees that the Company pays in proportion to the overall fee income of the firm, and the level of related fees, details of any relationships between the audit firm and its staff and the Company as well as an overall confirmation from the Auditor of its independence and objectivity.

The Company does not utilise the external auditor for internal audit purposes, secondments or valuation advice. Other services which do not compromise auditor independence must be pre-approved by the Audit Committee.

The following tables summarise the remuneration paid to PwC and to other PwC member firms for audit and non-audit services during the year ended 31 March 2023 and the year ended 31 March 2022.

During the year the Audit Committee conducted a tender process for the position of external auditor. A request for proposal was sent to suitably qualified audit firms which in line with best practice included one "challenger" audit firm," and a rigorous interview process was conducted for those firms that tendered. The Board will nominate KPMG at the next AGM in 14 September 2023 to be appointed external auditor and a motion will be proposed to Shareholders on whether to approve their appointment. KPMG are expected to replace PwC following the March 2023 annual audit.

For any questions on the activities of the Audit Committee not addressed in the foregoing, a member of the Audit Committee remains available to attend each AGM to respond to such questions.

The Audit Committee Report was approved by the Audit Committee on 17 July 2023 and signed on behalf by:

John Le Poidevin

Chair, Audit Committee

17 July 2023

ALTERNATIVE INVESTMENT FUND MANAGER'S REPORT

Maitland Institutional Services Ltd acts as the Alternative Investment Fund Manager ("AIFM") of TwentyFour Income Fund Limited ("the Company") providing portfolio management and risk management services to the Company.

The AIFM has delegated the following of its alternative investment fund management functions:

The AIFM is required by the Alternative Investment Fund Managers Directive 2011, 61/EU (the "AIFM Directive") and all applicable rules and regulations implementing the AIFM Directive in the UK (the "AIFM" Rules):

The AIFM is required to ensure that the annual report contains a report that shall include a fair and balanced review of the activities and performance of the Company, containing also a description of the principal risks and investment or economic uncertainties that the Company might face.

AIFM Remuneration

The AIFM is subject to a staff remuneration policy which meets the requirements of the AIFM Directive. The policy is designed to ensure remuneration practices are consistent with, and promote, sound and effective risk management. It does not encourage risk-taking which is inconsistent with the risk profiles, rules or instrument of incorporation of the funds managed, and does not impair the AIFM's compliance with its duty to act in the best interests of the funds it manages.

The AIFM has reviewed the Remuneration Policy and its application in the last year which has resulted in no material changes to the policy or irregularities to process.

This disclosure does not include staff undertaking portfolio management activities as these are undertaken by TwentyFour Asset Management LLP. The Portfolio Manager is required to make separate public disclosure as part of their obligations under the Capital Requirements Directive.

The AIFM also acts as Authorised Corporate Director ("ACD") for non-Alternative Investment Funds ("AIFs"). It is required to disclose the total remuneration it pays to its staff during the financial year of the Company, split into fixed and variable remuneration, with separate aggregate disclosure for staff whose actions may have a material impact to the risk profile of a fund or the AIFM itself. This includes executives, senior risk and compliance staff and certain senior managers.

Further information is available in the AIFM's Remuneration Policy Statement which can be obtained from www.maitlandgroup.com or, on request free of charge, by writing to the registered office of the AIFM.

In so far as the AIFM is aware:

We hereby certify that this report is made on behalf of the AIFM, Maitland Institutional Services Ltd.

C O'Keeffe

P.F. Brickley

Directors

Maitland Institutional Services Ltd

17 July 2023

REPORT OF THE DEPOSITARY TO THE SHAREHOLDERS

for the year ended 31 March 2023

Northern Trust (Guernsey) Limited has been appointed as Depositary to TwentyFour Income Fund Limited (the "Company") in accordance with the requirements of Article 36 and Articles 21(7), (8) and (9) of the Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (the "AIFM Directive").

We have enquired into the conduct of Maitland Institutional Services Limited (the "AIFM") and the Company for the year ended 31 March 2023, in our capacity as Depositary to the Company.

This report including the review provided below has been prepared for and solely for the Shareholders in the Company. We do not, in giving this report, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

Our obligations as Depositary are stipulated in the relevant provisions of the AIFM Directive and the relevant sections of Commission Delegated Regulation (EU) No 231/2013 (collectively the "AIFMD legislation") and The Authorised Closed Ended Investment Schemes Rules 2021.

Amongst these obligations is the requirement to enquire into the conduct of the AIFM and the Company and their delegates in each annual accounting period.

Our report shall state whether, in our view, the Company has been managed in that period in accordance with the AIFMD legislation. It is the overall responsibility of the AIFM and the Company to comply with these provisions. If the AIFM, the Company or their delegates have not so complied, we as the Depositary will state why this is the case and outline the steps which we have taken to rectify the situation.

The Depositary and its affiliates are or may be involved in other financial and professional activities which may on occasion cause a conflict of interest with its roles with respect to the Company. The Depositary will take reasonable care to ensure that the performance of its duties will not be impaired by any such involvement and that any conflicts which may arise will be resolved fairly and any transactions between the Depositary and its affiliates and the Company shall be carried out as if effected on normal commercial terms negotiated at arm's length and in the best interests of Shareholders.

Basis of Depositary Review

The Depositary conducts such reviews as it, in its reasonable discretion, considers necessary in order to comply with its obligations and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the constitutional documentation and the appropriate regulations. Such reviews vary based on the type of Fund, the assets in which a Fund invests and the processes used, or experts required, in order to value such assets.

Review

In our view, the Company has been managed during the period, in all material respects:

 (i) in accordance with the limitations imposed on the investment and borrowing powers of the

 Company by the constitutional documents; and by the AIFMD legislation; and

 (ii) otherwise in accordance with the provisions of the constitutional documents; and the AIFMD

legislation.

For and on behalf of

Northern Trust (Guernsey) Limited

17 July 2023

INDEPENDENT AUDITOR'S REPORT

TO THE MEMBERS OF TWENTYFOUR INCOME FUND LIMITED

Report on the audit of the financial statements

Our opinion

In our opinion, the financial statements give a true and fair view of the financial position of TwentyFour Income Fund Limited (the "company") as at 31 March 2023, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards and have been properly prepared in accordance with the requirements of The Companies (Guernsey) Law, 2008.

What we have audited

The company's financial statements comprise:

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing ("ISAs"). Our responsibilities under those standards are further described in the Auditor's responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence

We are independent of the company in accordance with the ethical requirements that are relevant to our audit of the financial statements of the company, as required by the Crown Dependencies' Audit Rules and Guidance. We have fulfilled our other ethical responsibilities in accordance with these requirements.

Our audit approach

Overview

The scope of our audit

As part of designing our audit, we determined materiality and assessed the risks of material misstatement in the financial statements. In particular, we considered where the directors made subjective judgements; for example, in respect of significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain. As in all of our audits, we also addressed the risk of management override of internal controls, including among other matters, consideration of whether there was evidence of bias that represented a risk of material misstatement due to fraud.

Key audit matters

Key audit matters are those matters that, in the auditor's professional judgement, were of most significance in the audit of the financial statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by the auditor, 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, and any comments we make on the results of our procedures thereon, 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.

This is not a complete list of all risks identified by our audit.

How we tailored the audit scope

We tailored the scope of our audit to ensure that we performed enough work to be able to give an opinion on the financial statements as a whole, taking into account the structure of the company, the accounting processes and controls, the industry in which the company operates, and we considered the risk of climate change and the potential impact thereof on our audit approach.

Materiality

The scope of our audit was influenced by our application of materiality. We set certain quantitative thresholds for materiality. These, together with qualitative considerations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures on the individual financial statement line items and disclosures and in evaluating the effect of misstatements, both individually and in aggregate on the financial statements as a whole.

Based on our professional judgement, we determined materiality for the financial statements as a whole as follows:

We use performance materiality to reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected misstatements exceeds overall materiality. Specifically, we use performance materiality in determining the scope of our audit and the nature and extent of our testing of account balances, classes of transactions and disclosures, for example in determining sample sizes. Our performance materiality was 75% (2022: 75%) of overall materiality, amounting to £12,232,500 (2022:£12,000,000) for the company financial statements.

In determining the performance materiality, we considered a number of factors - the history of misstatements, risk assessment and aggregation risk and the effectiveness of controls - and concluded that an amount at the upper end of our normal range was appropriate.

We agreed with the Audit Committee that we would report to them misstatements identified during our audit above £815,500 (2022: £800,000) as well as misstatements below that amount that, in our view, warranted reporting for qualitative reasons.

Reporting on other information

The other information comprises all the information included in the Annual Report and Audited Financial Statements (the "Annual Report") but does not include the financial statements and our auditor's report thereon. The directors are responsible for the other information.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

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

Responsibilities for the financial statements and the audit

Responsibilities of the directors for the financial statements

As explained more fully in the Statement of Directors' Responsibilities, the directors are responsible for the preparation of the financial statements that give a true and fair view in accordance with International Financial Reporting Standards, the requirements of Guernsey law and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the directors are responsible for assessing the company's ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the company or to cease operations, or have no realistic alternative but to do so.

Auditor's responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

Our audit testing might include testing complete populations of certain transactions and balances, possibly using data auditing techniques. However, it typically involves selecting a limited number of items for testing, rather than testing complete populations. We will often seek to target particular items for testing based on their size or risk characteristics. In other cases, we will use audit sampling to enable us to draw a conclusion about the population from which the sample is selected.

As part of an audit in accordance with ISAs, we exercise professional judgement and maintain professional scepticism throughout the audit. We also:

· Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

· Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the company's internal control.

· Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the directors.

· Conclude on the appropriateness of the directors' use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the company's ability to continue as a going concern over a period of at least twelve months from the date of approval of the financial statements. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor's report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor's report. However, future events or conditions may cause the company to cease to continue as a going concern.

· Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditor's report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication.

Use of this report

This report, including the opinions, has been prepared for and only for the members as a body in accordance with Section 262 of The Companies (Guernsey) Law, 2008 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Report on other legal and regulatory requirements

Company Law exception reporting

Under The Companies (Guernsey) Law, 2008 we are required to report to you if, in our opinion:

· we have not received all the information and explanations we require for our audit;

· proper accounting records have not been kept; or

· the financial statements are not in agreement with the accounting records.

We have no exceptions to report arising from this responsibility.

Corporate governance statement

The Listing Rules require us to review the directors' statements in relation to going concern, longer-term viability and that part of the corporate governance statement relating to the company's compliance with the provisions of the UK Corporate Governance Code specified for our review. Our additional responsibilities with respect to the corporate governance statement as other information are described in the Reporting on other information section of this report.

The company has reported compliance against the 2019 AIC Code of Corporate Governance (the "Code") which has been endorsed by the UK Financial Reporting Council as being consistent with the UK Corporate Governance Code for the purposes of meeting the company's obligations, as an investment company, under the Listing Rules of the FCA.

Based on the work undertaken as part of our audit, we have concluded that each of the following elements of the corporate governance statement, included within the Strategic Report/ Directors' Report is materially consistent with the financial statements and our knowledge obtained during the audit, and we have nothing material to add or draw attention to in relation to:

· The directors' confirmation that they have carried out a robust assessment of the emerging and principal risks;

· The disclosures in the Annual Report that describe those principal risks, what procedures are in place to identify emerging risks and an explanation of how these are being managed or mitigated;

· The directors' statement in the financial statements about whether they considered it appropriate to adopt the going concern basis of accounting in preparing them, and their identification of any material uncertainties to the company's ability to continue to do so over a period of at least twelve months from the date of approval of the financial statements;

· The directors' explanation as to their assessment of the company's prospects, the period this assessment covers and why the period is appropriate; and

· The directors' 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 its assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

Our review of the directors' statement regarding the longer-term viability of the company was substantially less in scope than an audit and only consisted of making inquiries and considering the directors' process supporting their statements; checking that the statements are in alignment with the relevant provisions of the Code; and considering whether the statement is consistent with the financial statements and our knowledge and understanding of the company and its environment obtained in the course of the audit.

In addition, based on the work undertaken as part of our audit, we have concluded that each of the following elements of the corporate governance statement is materially consistent with the financial statements and our knowledge obtained during the audit:

· The directors' statement that they consider the Annual Report, taken as a whole, is fair, balanced and understandable, and provides the information necessary for the members to assess the company's position, performance, business model and strategy;

· The section of the Annual Report that describes the review of effectiveness of risk management and internal control systems; and

· The section of the Annual Report describing the work of the Audit Committee.

We have nothing to report in respect of our responsibility to report when the directors' statement relating to the company's compliance with the Code does not properly disclose a departure from a relevant provision of the Code specified under the Listing Rules for review by the auditors.

Roland Mills

For and on behalf of PricewaterhouseCoopers CI LLP

Chartered Accountants and Recognised Auditor

Guernsey, Channel Islands

17 July 2023

STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 March 2023

All items in the above statement derive from continuing operations.

The notes form an integral part of these Financial Statements.

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

STATEMENT OF FINANCIAL POSITION

As at 31 March 2023

The Audited Financial Statements were approved by the Board of Directors on 17 July 2023 and signed on its behalf by:

Bronwyn Curtis       John Le Poidevin

Director       Director

The notes form an integral part of these Financial Statements.

STATEMENT OF CHANGES IN EQUITY

For the year ended 31 March 2023