Twentyfour Inc Regulatory News (TFIF)

TWENTYFOUR INCOME FUND LIMITED

INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

For the period from 1 April 2014 to 30 September 2014

The Directors of TwentyFour Income Fund Limited announce the results for the period from 1 April 2014 to 30 September 2014.

SUMMARY INFORMATION

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 Company's shares 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 Investment Policy

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

The Company pursues its investment objective by investing in a diversified portfolio of UK and European Asset Backed Securities.

The portfolio will comply, as at each date an investment is made, with the following restrictions:

(i) at least 50% of the portfolio value will be invested in assets which have at least one investment grade credit rating from an internationally recognised rating agency, or in cash; and

(ii) no more than 5% of the portfolio value will be exposed to any single Asset Backed Security or issuer of Asset Backed Securities.

Exceptions to these restrictions will be permitted in respect of reinvestments where the Portfolio Manager will be permitted to purchase new investments if the purchase would, at the time of reinvestment:

· not increase the proportion of the portfolio represented by non-investment grade Asset Backed Securities (even where following the purchase less than 50% of the portfolio value will be invested in assets which have at least one investment grade credit rating from an internationally recognised rating agency or cash due to market movements and/or changes in credit ratings); and

· the asset purchased would be compliant with the single Asset Backed Security/issuer exposure restriction above (even where following the purchase more than 5% of the portfolio value will be exposed to another single Asset Backed Security or issuer due to market movements).

For the avoidance of doubt, reinvestments will make the portfolio, in aggregate, no less compliant with one or both of (i) and (ii), above.

The Company will not employ gearing or derivatives for investment purposes. The Company may use borrowing for short-term liquidity purposes, which could be achieved through a loan facility or other types of collateralised borrowing instruments including repurchase transactions and stock lending. The Directors will restrict the borrowings of the Company to 10% of the Company's Net Asset Value ("NAV") at the time of drawdown.

The Company has a target net total return on the original issue price as set out in the prospectus of between 7 and 10% per annum.

Shareholder Information

Northern Trust International Fund Administration Services (Guernsey) Limited (the "Administrator") is responsible for calculating the NAV per share of the Company. The unaudited NAV per ordinary redeemable share will be calculated as at the close of business on the last business day of every week and the last business day of every month by the Administrator and will be announced by a Regulatory Information Service the following business day.

Financial Highlights

As at 21 November 2014, the premium had moved to 7.61%. The estimated NAV per share and mid-market share price stood at 120.11p and 129.25p respectively.

Ongoing Charges

Ongoing charges for the period ended 30 September 2014 have been calculated in accordance with the Association of Investment Companies (the "AIC") recommended methodology. The ongoing charges for the period ended 30 September 2014 were 0.98%.

CHAIRMAN'S STATEMENT

for the period from 1 April 2014 to 30 September 2014

I am pleased to present my report on the Company's progress for the period from 1 April to 30 September 2014.

Following a successful first year of operation, the Company has looked to continue to progress during the first half of its second year.

The Company's shares have been trading at a premium since launch, and the Net Asset Value of the Company has displayed positive performance during the period, with the exception of an instance of moderate decline during the start of August as the CLO market weakened on excess supply during a traditionally quiet time of year. The NAV subsequently recovered to finish the period at a new high water mark.

The outlook for the Company is for continued strong performance; before the end of 2014 it is anticipated that the European Central Bank will begin its ABS Purchase Programme, which will be supportive of prices throughout the European ABS market, and which further enhances the reputation of an asset class that has recently enjoyed material changes in regulatory treatment.

The Company paid two dividends during the period for the quarters ending on the 31 March and 30 June, of 2.63p and 1.5p per share respectively, the latter being in line with the minimum distribution target of 6p per share in the second year of operation. The Company paid a second dividend of 1.5p in October to cover the quarter to the end of September and the Board anticipates paying another 1.5p third dividend in January and a balancing fourth dividend for the year to take the total distribution to the net yield of the portfolio.

The total return of the Company from IPO to the close of the period, as at 30 September 2014, was 29.35%, and for the six month Interim period to 30 September 2014, was 6.54%. The shares traded at an average premium to NAV of 4.85% during the six month Interim period to 30 September 2014.

The Company issued 18,000,000 new shares in October 2014 at a 5% premium over the Net Asset Value, raising approximately £22.6 million from a broad range of investors. This has taken the issued share capital of the company to 284,908,712 shares.

Trevor Ash

Chairman

21 November 2014

PORTFOLIO MANAGER'S REPORT

for the period from 1 April 2014 to 30 September 2014

Market Commentary

During the six months to the end of September there were a number of drivers of fixed income performance. Many of these were shorter-term negative drivers (the Scottish referendum, Ukraine conflict and subsequent sanctions, European elections and other geopolitical events), from which the market recovered as the specific threat to stability dissipated. However against a backdrop of continuing disinflationary and low growth data in the Eurozone, and with at times significant bond supply, most markets underperformed for the majority of the summer and into September.

The pressure on the ECB to recognise the danger and act to contain the risk of a potential deflationary spiral grew markedly during May. While the ECB has been long on rhetoric, it has typically been short on action until it announces and implements market-changing tools such as the LTROs. This time the action was taken on multiple fronts as follows: a cut to the Main Refinancing Rate from 0.25% to 0.15%, and to the Deposit Rate (from 0% to -0.1%), the announcement of Targeted Long Term Repo Operations (T-LTRO) and that the ECB was close to completing work allowing the bank to directly buy European ABS.

While the two rate cuts are traditional policy measures, the T-LTRO is more specific, it allows for cheap borrowing for banks who are lending money to corporates and is aimed at encouraging financing to the SME community. The first take-up of the facility was disappointing, at only €82.6bn. The ABS Purchase Programme (ABSPP) and Covered Bond Purchase Programme (CBPP3) were formally announced in September. At this point Mario Draghi, President of the ECB suggested that between the TLTRO, the ABSPP and CBPP3 the ECB's balance sheet would grow by c.€1tn, however since then he has been reluctant to repeat this.

The suggestion that the ABSPP could buy hundreds of billions of euros of European ABS securities has been a positive driver of performance since it was announced, given the low volumes of supply in the market, providing a backstop bid for the sector and driving spreads down and prices up in anticipation of such a large and relatively price-insensitive buyer. Along with other pressure from ECB Board members it has helped to push regulators to improve the treatment of ABS securities under legislation such as CRD IV (bank capital weightings), Solvency II (insurance company capital weightings) and the Liquidity Coverage Ratio. As this regulation loosens the demand for ABS securities will increase, and given many market participants think that European ABS is still unnecessarily penalised in comparison to other low risk asset classes (e.g. covered bonds), there is plenty of scope for further future upside.

The only part of the European ABS markets that has not participated in the sustained tightening in spreads has been the new issue CLO market, where at times new issues have struggled to find adequate levels of interest for the deal to be placed. During August spreads on single-B rated tranches of new deals widened as a result of this, although without any weakening in the underlying credit.

From a fundamental viewpoint the period from 1 April 2014 to 30 September 2014 in question has seen stability or improvement across the majority of relevant data, with unemployment and house prices improving for consumer debt exposures across most economies.

The most significant change in portfolio positioning during the period was an increase in CLO positions from 32.7% to 37.1%, as spreads widened slightly and the relative value opportunity versus alternatives improved.

Foreign Exchange Accounting

The Company's policy is to hedge foreign exchange currency risk. Any movements in foreign exchange rates are monitored daily and the hedge is adjusted when necessary to ensure that currency exposure remains within strict limits.

The hedging policy is designed to manage portfolio efficiency and not to enhance investment returns.

Market Outlook

With fundamentals continuing to improve across the board there is good reason to expect that performance will continue to be driven by central bank policy and a demand/supply imbalance in the asset class, rather than any expression of greater specific risk to credit pushing spreads wider. Credit spreads should continue to tighten in European ABS as a specific response to the future commencement of the ABS Purchase Programme, although at current levels they still look cheap to alternatives. While ABSPP will not be able to buy all asset classes and across all ratings, its ability to re-price the parts of the market that it will buy means that as the "ineligible" market starts to look cheap, the ECB-eligible investors will likely sell product into the ECB and move into other assets, creating similar pricing pressure.

Whilst the Bank of England's MPC voted again on a 7-2 basis against changing base rates, Governor Mark Carney noted that the point at which rates should rise was "getting closer", which will be positive for the Company's yield as LIBOR increases.

TwentyFour Asset Management LLP

21 November 2014

TOP TWENTY HOLDINGS

As at 30 September 2014

BOARD MEMBERS

Biographical details of the Directors are as follows:

Trevor Ash - (Chairman)

Mr Ash is a resident of Guernsey and has over 30 years of investment experience. He is a Fellow of the Securities Institute in England and Wales. He was formerly a managing director of Rothschild Asset Management (CI) Limited. He is 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 Cazenove, Insight and Merrill Lynch. 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. Mr Ash was appointed to the Board on 11 January 2013.

Ian Burns - (Non-executive Director and Chairman of the Audit Committee)

Mr Burns is a resident of Guernsey and a fellow of both the Institute of Chartered Accountants in England and Wales and the Chartered Institute of Securities and Investment. 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 is currently a non-executive director of Phaunos Timber Fund Limited, as well as a non-executive director of Montreux Capital Corp, Darwin Property Management (Guernsey) Ltd, Premier Asset Management (Guernsey) Ltd and Azincourt Resources Inc. Mr Burns was appointed to the Board on 17 January 2013.

Richard Burwood - (Non-executive Director)

Mr Burwood is a resident of Guernsey with over 20 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. He gained direct experience as a portfolio manager of securities backed by mortgages, auto loans and collateralised loan obligations. Mr Burwood has lived in Guernsey since in 2010, initially working as a portfolio manager for EFG Financial Products (Guernsey) Ltd managing the treasury department's ALCO Fixed Income portfolio. Most recently Mr Burwood worked as the business and investment manager for the Guernsey branch of Man Investments (CH) AG. This role involved overseeing all aspects of the business including operations and management of proprietary investments. Mr Burwood was appointed to the Board on 17 January 2013.

Jeannette (Jan) Etherden - (Non-executive Director)

Ms Etherden is a resident of the United Kingdom. She started in 1983 as a research analyst at Confederation Life (acquired by Sun Life of Canada in 1994) and was Head of UK Equities from 1991. In 1996 she moved to Newton Investment Management Limited as a multi-asset fund manager. She was appointed a Director of Newton Investment Management Limited in 1997 and additionally was Chief Operating Officer of Investments at Newton Investment Management Limited from 1999 until her resignation in 2001. From January 2004 to January 2006 she was Business Development Manager for the Candela Fund at Olympus Capital Management. Ms Etherden has been a Director of Ruffer Investment Company Ltd since 1 July 2004. Ms Etherden was appointed to the Board on 17 January 2013.

STATEMENT OF PRINCIPAL RISKS AND UNCERTAINTIES

The Company's assets are mainly comprised of Asset Backed Securities carrying exposure to risks related to the underlying assets backing the security or the originator of the security. The Company's principal risks are therefore market or economic in nature.

The principle risks assessed by the Board relating to the Company were disclosed in the Annual Report and Audited Financial Statements for the period from 11 January 2013 to 31 March 2014. The Board and Portfolio Manager do not consider these risks to have changed and remain relevant for the remaining six months of the financial year.

Going Concern

The Board believes that it is appropriate to adopt the going concern basis in preparing the Unaudited Condensed Interim Financial Statements in view of its holding in cash and cash equivalents and liquid investments and the income deriving from those investments, meaning the Company has adequate financial resources to meet its liabilities as they fall due.

RESPONSIBILITY STATEMENT

We confirm that to the best of our knowledge:

• these Unaudited Condensed Interim Financial Statements have been prepared in accordance with International Accounting Standard 34, "Interim Financial Reporting" and give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company as required by DTR 4.2.4.

• the interim management report (comprising the Portfolio Manager's Report) meets the requirements of an interim management report, and includes a fair review of the information required by:

(a) DTR 4.2.7R of the Disclosure and Transparency Rules, being an indication of important events that have occurred during the period from 1 April 2014 to 30 September 2014 and their impact on the Unaudited Condensed Interim Financial Statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and

(b) DTR 4.2.8R of the Disclosure and Transparency Rules, being related party transactions that have taken place during the period from 1 April 2014 to 30 September 2014 and that have materially affected the financial position or performance of the entity during that period as included in note 12.

By order of the Board,

Ian Burns

Director

21 November 2014

INDEPENDENT INTERIM REVIEW REPORT

TO TWENTYFOUR INCOME FUND LIMITED

Introduction

We have been engaged by the Company to review the Condensed set of Interim Financial Statements in the Interim Report for the six months ended 30 September 2014, which comprises the Condensed Statement of Comprehensive Income, the Condensed Statement of Financial Position as at 30 September 2014, the Condensed Statement of Changes in Equity, the Condensed Statement of Cash Flows and related notes. We have read the other information contained in the Interim Report and considered whether it contains any apparent misstatements or material inconsistencies with the information in the Condensed set of Interim Financial Statements.

Directors' responsibilities

The Interim Report is the responsibility of, and has been approved by, the Directors. The Directors are responsible for preparing the Interim Report in accordance with the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

As disclosed in note 2 a), the Annual Financial Statements of the Company are prepared in accordance with International Financial Reporting Standards. The Condensed set of Interim Financial Statements included in this Interim Report has been prepared in accordance with International Accounting Standard 34, "Interim Financial Reporting".

Our responsibility

Our responsibility is to express to the Company a conclusion on the Condensed set of Interim Financial Statements in the Interim Report based on our review. This report, including the conclusion, has been prepared for and only for the Company for the purpose of the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority and for no other purpose. We do not, in producing this report, 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.

Scope of review

We conducted our review in accordance with International Standard on Review Engagements 2410, 'Review of Interim Financial Information Performed by the Independent Auditor of the Entity' issued by the International Auditing and Assurance Standards Board. A review of interim financial information consists of making enquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing and consequently does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion.

Conclusion

Based on our review, nothing has come to our attention that causes us to believe that the Condensed set of Interim Financial Statements in the Interim Report for the six months ended 30 September 2014 is not prepared, in all material respects, in accordance with International Accounting Standard 34, "Interim Financial Reporting" and the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

PricewaterhouseCoopers CI LLP

Chartered Accountants

Guernsey, Channel Islands

21 November 2014

Publication of Interim Financial Report

1

(a) The maintenance and integrity of the Company's website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the Interim Report and Unaudited Condensed Interim Financial Statements since they were initially presented on the website.

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

UNAUDITED CONDENSED STATEMENT OF COMPREHENSIVE INCOME

for the period from 1 April 2014 to 30 September 2014

All items in the above statement derive from continuing operations.

The notes form an integral part of these Unaudited Condensed Interim Financial Statements.

UNAUDITED CONDENSED STATEMENT OF FINANCIAL POSITION

as at 30 September 2014

The Unaudited Condensed Interim Financial Statements were approved by the Board of Directors on 21 November 2014 and signed on its behalf by:

Ian Burns

Director

The notes form an integral part of these Unaudited Condensed Interim Financial Statements.

UNAUDITED CONDENSED STATEMENT OF CHANGES IN EQUITY

for the period from 1 April 2014 to 30 September 2014

The notes form an integral part of these Unaudited Condensed Interim Financial Statements.

UNAUDITED CONDENSED STATEMENT OFCASH FLOWS

for the period from 1 April 2014 to 30 September 2014

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

NOTES TO THE UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

for the period from 1 April 2014 to 30 September 2014

1. General Information

TwentyFour Income Fund Limited (the "Company") was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Company's Shares 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.

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

2. Principal Accounting Policies

a) Basis of preparation and Statement of compliance

The Unaudited Condensed Interim Financial Statements for the period from 1 April 2014 to 30 September 2014 have been prepared on a going concern basis in accordance with IAS 34 "Interim Financial Statements", the Listing Rules of the London Stock Exchange ("LSE") and applicable legal and regulatory requirements.

They have also been prepared using the same accounting policies applied for the period ended 31 March 2014 financial statements which were prepared in accordance with IFRS and which received an unqualified audit report.

b) Changes in accounting policy

In the current financial period, there have been no changes to the accounting policies from those applied in the most recent audited annual financial statements.

c) Comparable period

The comparable period that has been used for the Unaudited Condensed Statement of Comprehensive Income, the Unaudited Condensed Statement of Cash Flows and Note 6 and net losses/gains on financial assets at fair value through profit and loss, included under note 7 is from 11 January 2013 (date of incorporation) to 30 September 2013. The Directors believe that no adjustment is necessary for this comparable period as the Company did not start trading until 6 March 2013.

d) Significant judgements and estimates

There have been no changes to the significant accounting judgements, estimates and assumptions from those applied in the most recent audited annual financial statements.

3. Earnings per Ordinary Redeemable Share - Basic & Diluted

The earnings per Ordinary Redeemable Share - Basic and Diluted has been calculated based on the weighted average number of Ordinary Redeemable Shares of 266,908,712 (31 March 2014: 266,908,172) and a net gain of £21,144,189 (30 September 2013: 15,436,450).

In order to ensure there were no dilutive elements, earnings have been calculated in respect of accrued income at the time of purchase.

4. Net Asset Value per Ordinary Redeemable Share

The net asset value of each Share of £1.21 is determined by dividing the net assets of the Company attributed to the Shares of £324,169,723 (31 March 2014: £314,048,865) by the number of Shares in issue at 30 September 2014 of 266,908,712 (31 March 2014: 266,908,712).

5. Taxation

The Company has been granted Exempt Status under the terms of The Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 to income tax in Guernsey. Its liability for Guernsey taxation is limited to an annual fee of £600.

6. Net foreign currency gains

7. Investments

The Company does not experience any seasonality or cyclicality in its investing activities.

8. Other receivables

9. Other payables

10. Share Capital

Authorised Share Capital

Unlimited number of Ordinary Redeemable Shares at no par value.

Issued Share Capital

The Share Capital of the Company consists of an unlimited number of Shares with or without par value which, upon issue, the Directors may designate as: Ordinary Redeemable Shares; Realisation Shares or such other class as the Board shall determine and denominated in such currencies as shall be determined at the discretion of the Board.

As at 30 September 2014, one share class has been issued, being the Ordinary Redeemable Shares of the Company.

The Ordinary Redeemable Shares carry the following rights:

a) the Ordinary Redeemable Shares carry the right to receive all income of the Company attributable to the Ordinary Redeemable Shares.

b) the Shareholders present in person or by proxy or present by a duly authorised representative at a general meeting has, on a show of hands, one vote and, on a poll, one vote for each Share held.

c) On 8 January 2016, being 56 days before the third anniversary of admission (the "Reorganisation Date"), the Shareholders are entitled to serve a written notice (a "Realisation Election") requesting that all or a part of the Ordinary Redeemable Shares held by them be redesignated to Realisation Shares, subject to the aggregate NAV of the continuing Ordinary Redeemable Shares on the last business day before the Reorganisation Date being not less than £50 million. A Realisation Notice, once given is irrevocable unless the Board agrees otherwise. If one or more Realisation Elections be duly made and the aggregate NAV of the continuing Ordinary Redeemable Shares on the last business day before the Reorganisation Date is less than £50 million, the Realisation will not take place.

11. Analysis of Financial Assets and Liabilities by Measurement Basis