Twentyfour Inc Regulatory News (TFIF)

TWENTYFOUR INCOME FUND LIMITED

INTERIM MANAGEMENT REPORT AND UNAUDITED CONDENSED

INTERIM FINANCIAL STATEMENTS

For the period from 1 April 2023 to 30 September 2023

LEI: 549300CCEV00IH2SU369

(Classified Regulated Information, under DTR 6 Annex 1 section 1.2)

The Company has today, in accordance with DTR 6.3.5, released its Interim Management Report and Unaudited Condensed Financial Statements for the period ended 30 September 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.

FINANCIAL AND OPERATIONAL HIGHLIGHTS

• NAV per share of 102.71 pence (FYE 31/03/23: 100.97 pence)

• Total Net Assets of £768.12 million (FYE 31/03/23: £724.98 million)

• Dividends declared for the 6-month period of 4 pence per share (12 months to FYE 31/03/23: 9.46 pence per share) and remain on track to deliver the Company’s target dividend for the year

• Dividends paid in the 6-month period were 6.46 pence per share (12 months to FYE 31/3/2023: 7.27 pence per share)

• Total Return of 8.50% (FYE 31/03/23: -3.54%)

• The Company continues to perform strongly, with no defaults or credit concerns within the portfolio

Aza Teeuwen, Partner & Portfolio Manager at TwentyFour Asset Management, said: “The rising rate environment coupled with a strong supply and active primary market has enabled us to position TwentyFour Income Fund Limited positively over the period. The rise in portfolio coupon rates as base rate hikes were seen, combined with accretive additions to the portfolio have contributed to the Company’s income levels, while maintaining the credit profile.”

Bronwyn Curtis OBE, Chair of TwentyFour Income Fund, said: “We are very pleased to present the interim financial statements for the Company, which demonstrate how TwentyFour Income Fund Limited continues to deliver an excellent income story. The Company’s strong NAV performance sits alongside its stand-out share activity for the period, having traded at or around NAV, while the bulk of the investment company market saw significant discounts.”

SUMMARY INFORMATION

The Company

TwentyFour Income Fund Limited (the “Company” and “TFIF”) is a closed-ended investment company whose shares (“Ordinary Shares”, being the sole share class) have a Premium Listing on the Official List of the UK Listing Authority. The Company was incorporated in Guernsey on 11 January 2013.The Company has been included in the London Stock Exchange’s FTSE 250 Index since 16 September 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 (“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 ABS 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 since 24 February 2023 has included quarterly dividends with an annual target each financial year of 8% of the Issue Price (the equivalent of 8 pence per year, per Ordinary Share), effective from the dividend declared in respect of the 3-month period ended 31 March 2023. Between 21 September 2022 and 23 February 2023 the annual target dividend was 7% and prior to that was 6%. Total return per Ordinary Share is calculated by adding the increase or decrease in NAV per share with the dividend per share and dividing it by the NAV per share at the start of the period/year.

The increases in the annual target dividend are intended to increase the rate of return to investors following increases in global interest base-rates.

Ongoing Charges

Ongoing charges for the period ended 30 September 2023 have been calculated in accordance with the Association of Investment Companies (the “AIC”) recommended methodology. The ongoing charges for the period ended 30 September 2023 were 0.99% (30 September 2022: 0.95%).

Discount

As at 23 November 2023, the discount to NAV had moved to 2.49%. The estimated NAV per share and mid-market share price stood at 102.25p and 99.70p, respectively.

Published NAV

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 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 News Service the following business day. The basis for determining the Net Asset Value per share can be found in Note 5.

* 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 16.

Financial Highlights

Please see the 'Glossary of Terms and Alternative Performance Measures' for definitions how the above financial highlights are calculated.

CHAIR’S STATEMENT

for the period from 1 April 2023 to 30 September 2023

Bronwyn Curtis OBE

In my capacity as Chair of the Board of Directors of TwentyFour Income Fund Limited (the “Company”), I am pleased to present my report on the Company’s progress for the six-month period ended 30 September 2023 (the “reporting period”).

Investment Performance

In May 2023, the Company distributed the final quarterly dividend of its financial year at 4.46p per share, increasing the overall annual dividend to 9.46p per share. This represented a 40% increase over 2022 and the highest distribution since inception, an excellent result particularly considering the wider market backdrop.

During the reporting period, the NAV per share saw an increase from 100.97 to 102.71, a rise of 1.72%. The Company’s net assets increased from £725m to £768m and the NAV per share total return for the reporting period was 8.50%.

Market Overview

The start of the reporting period saw wider financial markets sailing into calmer waters, following the regional US regional banking turmoil, which gave the market the necessary stability and favourable backdrop to support primary issuance in a meaningful way.

Fundamentals have played their part in the overall performance of the sector. While traditional fixed income markets have been dominated by discussions around central bank policy and peak rates, with multiple increases in key rates by the Bank of England and the European Central Bank, the floating rate Asset Backed Securities ("ABS") and Collateralised Loan Obligations (“CLOs") markets have benefitted from the anticipated higher for longer rate environment.

In the UK, headline inflation is moderating – although core inflation remains challenging. House prices have been steadily falling over the reporting period and the Nationwide House Price Index fell 5.3% year on year to September 2023. Housing market activity remains weak with just 45,400 mortgage approvals in August, which is around 30% below the monthly average prevailing in 2019 prior to the pandemic. This subdued picture is not surprising given rising mortgage rates and the challenging picture for housing affordability, however, swap rates stabilised over the reporting period and some lenders started to reduce mortgage lending rates.

The unemployment rate over the reporting period continued to be very low. As job losses are generally the biggest driver of mortgage arrears, the actual losses remain minimal. However, the job market is weakening and while wage growth continues to be strong; cracks are starting to appear and mortgage arrears have increased this year. TwentyFour Asset Management LLP (the "Portfolio Manager") highlighted this development in previous reports to you, so it isn’t a surprise and they have positioned the portfolio for this. The levels of arrears are low, and the portfolio has seen no defaults. Most of the asset class’s underperformance has been seen in legacy (pre-Global Financial Crisis) non-conforming mortgage portfolios. None of these are held by the Company.

The debate around rates has shifted from how high rates might go, to how long rates might remain elevated. Deutsche Bank analysis recently noted that from a UK RMBS perspective one thing is clear: that the vast majority of borrowers who reverted from a fixed rate to a floating mortgage in 2023 (the cohort that in theory, should be most exposed to affordability stress), have so far, weathered the shock. Actual losses remain almost non-existent within UK and European RMBS and ABS securitisation pools and the 12-month trailing leveraged loan default rate remains low at 1.5%, which is well below the levels that had been forecast. There have been no losses in any tranches of any deals which the Company holds.

Dividend

The Company aims to distribute all its investment income to ordinary shareholders. The Company is currently targeting quarterly payments equivalent to an annual dividend of at least 8p per year. The fourth interim dividend is used to distribute residual income (if any), generated in the year. Dividends paid by the Company for the reporting period totalled 6.46p per ordinary share.

The increase in dividends for the financial year ending March 2023 was driven by two main factors; the increase in the Bank of England Rate (which rose by 1% from 4.25% to 5.25% in the six-month period to 30 September 2023), and the deployment of available capital from bond amortisations in the portfolio of the Company, along with share issuance by the Company. This enabled the Portfolio Manager to invest at the then prevailing higher yields; which was accretive to the income of the Company.

Premium/Discount and Share Capital Management

In contrast to the wider investment company market, which saw trading at large discounts across the board, the Company traded close to NAV for the majority of the reporting period, at an average of only a -0.82% discount.

Due to shareholder demand coupled with the ability to purchase accretive assets, the Company was able to issue £29.8m of new shares between April and the end of June 2023.

Annual General Meeting

The Company’s 2023 Annual General Meeting was held on 14 September 2023, with all resolutions being passed.

Board Composition

Richard Burwood retired as Non-Executive Director of the Company and as the Chair of the Management Engagement Committee, effective from 14 September 2023.

I would like to thank Richard for all his hard work and valued contribution to the Board and to the Company during his tenure.

With effect from 14 September 2023, Paul Le Page was appointed as Chair of the Management Engagement Committee.

Outlook

The market consensus is that we are close to terminal rates in the UK and Europe and the market is pointing towards a soft-landing next year. In this scenario, the economic conditions for European ABS remains favourable as unemployment and corporate defaults are expected to remain low. This in turn could mean that we see central banks keeping interest rates at higher levels for longer, further supporting the return profile of the Company’s asset class.

Bronwyn Curtis OBE

Chair

23 November 2023

PORTFOLIO MANAGER’S REPORT

for the period from 1 April 2023 to 30 September 2023

TwentyFour Asset Management LLP

TwentyFour Asset Management LLP, in our capacity as Portfolio Manager to the TwentyFour Income Fund Limited, are pleased to present our report on the Company’s progress for the six-month period ended 30 September 2023 (“the reporting period”).

Market Environment

The reporting period has seen around €47bn of gross issuance in ABS markets, including CLOs, which culminated in September being the busiest single month for ABS, since the onset of the Global Financial Crisis (“GFC”). This included €16bn of Residential Mortgage-Backed Securities ("RMBS"), €17bn of auto and consumer ABS and €11.5bn of CLOs. Issuance was from a very geographically diverse sector across the UK and Europe and saw debut deals from new borrowers together with repeat issuers and from platforms that have not been seen in the market for a number of years.

One noted feature in the RMBS market was the welcome return of many bank lenders, which was clearly due to the rolling off, of Central Bank funding schemes.

It is becoming clear that banks are focussed on not only diversification of funding but also on diversification of capital sources, following the Credit Suisse AT1 write down. The market saw an increasing number of significant risk transfer (“SRT”) transactions (which gives banks a way of deleveraging their balance sheets by transferring the risk of a tranche of a loan portfolio to an investor in such a way that they obtain regulatory capital relief) and full capital structures (which allows banks to sell whole loan portfolios rather than adopt alternative strategies that can obtain capital relief) being issued; mainly by European banks. We welcome this supply, as the collateral generally includes the core business (and best performing collateral) of the issuing bank, which should offer the Company the opportunity to further diversify its portfolio, in the coming months.

The European CLO market was active, seeing issuance during the reporting period of €11.5bn, which took the CLO issuance for the full year-to-date to around €18bn by the end of September. This was despite the challenges that the market has endured for most of the year, mainly based on the weighted average cost of capital as AAA spreads have remained stubbornly wide; but also due to a lack of underlying leveraged loan supply.

We continue to see value in BB rated securities, which at the end of the reporting period yielded around 13% (in GBP). Commercial Mortgage-Backed Security ("CMBS") activity remains, understandably, near non-existent over the reporting period, with just one deal (with low levels of leverage) from Last Mile Logistic being pre-placed into the market.

However, the over-riding theme for the whole year to date, has really been the very strong supply-demand technical that has been in play, evidenced by the oversubscription levels seen across all deals, in particular mezzanine tranches, which were generally oversubscribed multiple times.

Performance

The Company returned 8.50% in the reporting period, on a total return basis, a strong performance mainly driven by CLO and RMBS returns.

Portfolio Events

The fundamentals of CLOs and European ABS have been in focus for quite some time as the market has dealt with multiple headwinds. As spreads have gradually tightened during this volatile period we have gradually reduced leverage from 5.4% to just under 1% in the Company as we continue to value liquidity and flexibility in the portfolio.

One further aspect to consider is the rating performance of the ABS transactions themselves. Since the GFC, securitisation structures have been robust and rating performance has reflected this with upgrades being significantly higher than downgrades. There have been no defaults or underlying issues with the assets in the portfolio of the Company and the core focus has remained on western European, secured assets (mortgages and leveraged loans). Wider market volatility is likely to remain elevated and a deterioration of fundamental performance is expected, and we have taken the opportunity in certain instances to improve the credit profile in certain sectors. This has been achieved through selling lower rated bonds and in their stead purchasing other bonds with a higher rating or by reducing exposure to assets where our deal monitoring has shown that the performance of those assets is has reduced. We have also pared back the portfolio’s exposure to UK RMBS equity through refinancing in the region of £32m during the reporting period.

Portfolio Strategy

Our focus during the reporting period, has been and will continue to be on investing in higher-yielding floating-rate ABS, which, in an environment of higher-for-longer rates, should continue to deliver ongoing, attractive levels of income; this should enable the Company to deliver on its annual target dividend. At the end of the reporting period, the Company had a very healthy gross purchase yield of 11.3% and a mark-to-market yield of 13.8%. While the overall performance of UK and European mortgage market is understandably deteriorating, the levels of losses observed within RMBS and ABS transactions currently do not give us any cause for concern. The robust nature of the ABS structures and our internal stress tests indicate that the performance of the underlying assets would need to deteriorate by many multiples of the levels that were seen in the GFC before significant losses would be seen on the transactions.

The issues in the commercial real estate sector are well documented and will take a long time to be resolved, this suggests that refinancing in the sector will become more challenging and most CMBS deals are likely to extend in the near term. As a result, we have re-underwritten all the CMBS holdings and reduced the CMBS allocation, in the portfolio, to just 3.8%.

Spreads have generally tightened during the reporting period, whilst senior issuance spreads have been mostly range-bound, without strong moves in either direction, as the market expects further issuance in the last quarter. Most of the spread performance has been in mezzanine and sub-investment grade bonds. Given the elevated volumes of primary and secondary trading were well absorbed, the market is well positioned in a good technical situation. The liquidity which the Company has available could be deployed in the event of elevated market stress to take advantage of any investment opportunities. We currently expect to increase the allocation to SRT investments instead of future RMBS equity and junior non-prime transactions.

Key Risks:

We believe the key risks currently perceived by the market are:

Market Outlook:

TwentyFour Asset Management LLP

23 November 2023

TOP TWENTY HOLDINGS

as at 30 September 2023

The full listing of the Portfolio as at 30 September 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

‘SME’ – Small and Medium Enterprises

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 for 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.

Joanne Fintzen - (Non-Executive Director and 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 and Chair of the Nomination and Remuneration Committee)

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 and Chair of the Management Engagement Committee)

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. Mr Le Page is currently a Non-Executive Director of NextEnergy Solar Fund Limited and RTW Biotech Opportunities Limited. 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 Member who retired during the period

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 and retired from the Board effective 14 September 2023.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

STATEMENT OF PRINCIPAL RISKS AND UNCERTAINTIES

The Company’s assets are mainly comprised of ABS 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 principal risks disclosed can be divided into the various areas as follows:

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 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 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 the note 16.

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.

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 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.

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 £61.7m 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.

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.

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.

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 in the Annual Report for the year ended 31 March 2023 and is therefore satisfied that income is appropriately stated in all material aspects in the Financial Statements.

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.

The Company is exposed to the risk of geopolitical and economic events impacting on the Company, Portfolio Manager and Shareholders, including elevated levels of global inflation, recessionary risks and the current conflicts in Ukraine and the Middle East. The Company does not hold any assets in Ukraine, Belarus, Russia, or the Middle East, however, the situation in the impacted regions and wider geopolitical 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. The Company’s key suppliers do not have operations in Ukraine, Russia, Belarus, or the Middle East and there is not expected to be any adverse impact from military operations on the activity (including processes and procedures) of the Company.

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.

The Board and Portfolio Manager do not consider these risks to have changed materially and these risks are considered to remain relevant for the remaining six months of the financial year.

The Board’s process of identifying and responding to emerging risks is disclosed under the Statement of Principal Risks and Uncertainties in the Annual Report for the year ended 31 March 2023.

Going Concern

The Directors believe that it is appropriate to adopt the going concern basis in preparing the Unaudited Condensed Interim 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 Unaudited Condensed Interim Financial Statements.

The Company’s articles provide for a realisation opportunity (“Realisation Opportunity”) under which Shareholders may elect to realise some or all of their holdings of Ordinary Shares at each third Annual General Meeting, with the next Realisation Opportunity being in September 2025.

The Company’s continuing 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 by the Directors and no material doubts to going concern have been identified.

STATEMENT OF DIRECTORS’ RESPONSIBILITIES

We confirm that to the best of our knowledge:

(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 2023 to 30 September 2023 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 2023 to 30 September 2023 and that have materially affected the financial position or performance of the Company during that period as included in note 14.

By order of the Board

Bronwyn Curtis      John Le Poidevin 

Chair       Director

23 November 2023

The directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company's website, and for the preparation and dissemination of financial statements. Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

INDEPENDENT REVIEW REPORT

TO TWENTYFOUR INCOME FUND LIMITED

Conclusion

We have been engaged by TwentyFour Income Fund Limited (the "Company") to review the condensed set of financial statements in the half-yearly financial report for the six months ended 30 September 2023 of the Company, which comprises the statement of financial position, the statement of comprehensive income, the statement of changes in equity, the statement of cash flows and the related explanatory notes.

Based on our review, nothing has come to our attention that causes us to believe that the condensed set of financial statements in the half-yearly financial report for the six months ended 30 September 2023 is not prepared, in all material respects, in accordance with IAS 34 Interim Financial Reporting and the Disclosure Guidance and Transparency Rules ("the DTR") of the UK's Financial Conduct Authority ("the UK FCA").

Scope of review

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

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

Conclusions relating to going concern

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

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

Directors’ responsibilities

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

As disclosed in note 2, the annual financial statements of the Company are prepared in accordance with International Financial Reporting Standards.  The directors are responsible for preparing the condensed set of financial statements included in the half-yearly financial report in accordance with IAS 34 Interim Financial Reporting.

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

Our responsibility

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

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

This report is made solely to the Company in accordance with the terms of our engagement letter to assist the Company in meeting the requirements of the DTR of the UK FCA. Our review has been undertaken so that we might state to the Company those matters we are required to state to it in this report and for no other purpose.  To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company for our review work, for this report, or for the conclusions we have reached. 

Rachid Frihmat

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants

Guernsey

23 November 2023

CONDENSED STATEMENT OF COMPREHENSIVE INCOME

for the period from 1 April 2023 to 30 September 2023

All items in the above statement derive from continuing operations.

The Company’s income and expenses are not affected by seasonality or cyclicity.

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

*There was no other comprehensive income during the current and prior periods.

CONDENSED STATEMENT OF FINANCIAL POSITION

as at 30 September 2023

1 The entire balance of investments in Financial assets at fair value through profit or loss was reclassified from current assets to non-current assets. For more information please see Note 8 – Investments.

The Unaudited Condensed Interim Financial Statements were approved by the Board of Directors on 23 November 2023 and signed on its behalf by:

Bronwyn Curtis       John Le Poidevin

Director       Director

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

CONDENSED STATEMENT OF CHANGES IN EQUITY

for the period from 1 April 2023 to 30 September 2023

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

CONDENSED STATEMENT OF CASH FLOWS

for the period from 1 April 2023 to 30 September 2023

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

NOTES TO THE UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

for the period from 1 April 2023 to 30 September 2023

1. General Information

TwentyFour Income Fund Limited (the “Company”) is a closed-ended investment company whose shares (“Ordinary Shares”, being the sole share class) have a Premium Listing on the Official List of the UK Listing Authority and trade on the Main Market of the London Stock Exchange. The Company was incorporated in Guernsey on 11 January 2013.

Since 16 September 2022, the Company has been included on the London Stock Exchange’s FTSE 250 Index.

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

The Portfolio Manager of the Company is TwentyFour Asset Management LLP (the “Portfolio Manager”).

2. Principal Accounting Policies

a) Statement of Compliance

The Unaudited Condensed Interim Financial Statements for the period 1 April 2023 to 30 September 2023 have been prepared on a going concern basis in accordance with IAS 34 “Interim Financial Reporting”, the Disclosure Guidance and Transparency Rules Sourcebook of the United Kingdom’s Financial Conduct Authority (“FCA”) and applicable legal and regulatory requirements.

The Unaudited Condensed Interim Financial Statements should be read in conjunction with the annual audited financial statements for the year ended 31 March 2023, which were prepared in accordance with International Financial Reporting Standards (“IFRS”) and were in compliance with The Companies (Guernsey) Law, 2008 and which received an unqualified Auditor’s report.

b) Presentation of Information

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) 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.

d) Standards, Amendments and Interpretations Effective during the Period

At the reporting date of these Financial Statements, the following standards, interpretations and amendments, were adopted for the period ended 30 September 2023 and the year ending 31 March 2024:

- Insurance Contracts (IFRS 17) (applicable to accounting periods beginning on or after 1 January 2023);

- Disclosure of Accounting Policies (Amendments to IAS 1 and IFRS Practice Statement 2) (applicable to accounting periods beginning on or after 1 January 2023);

- Definition of Accounting Estimates (Amendments to IAS 8) (applicable to accounting periods beginning on or after 1 January 2023); and

- Deferred Tax related to Assets and Liabilities arising from a Single Transaction (Amendments to IAS 12) (applicable to accounting periods beginning on or after 1 January 2023).

The Directors (“Directors”) of the Company (the “Board”) believe that the adoption of the above standards does not have a material impact on the Company’s Unaudited Condensed Interim Financial Statements for the period ended 30 September 2023 and for the Annual Audited Financial Statements for the year ending 31 March 2024.

e) Standards, Amendments and Interpretations Issued but not yet Effective

The following standards, interpretations and amendments, which have not been applied in these Unaudited Condensed Interim Financial Statements, were in issue but not yet effective:

- Non-current Liabilities with Covenants and Classification of Liabilities as Current or Non-Current (Amendments to IAS 1) (applicable to accounting periods beginning on or after 1 January 2024);

- Lease Liability in a Sale or Leaseback (Amendments to IFRS 16) (applicable to accounting periods beginning on or after 1 January 2024);

- Supplier Finance Arrangements (Amendments to IAS 7 and IFRS 7) (applicable to accounting periods beginning on or after 1 January 2024);

- Lack of Exchangeability (Amendments to IAS 21) (applicable to accounting periods beginning on or after 1 January 2025);

The Directors anticipate that the adoption of the above standards, effective in future periods, will not have a material impact on the financial statements of the Company.

3. Earnings/(Loss) per Ordinary Share – Basic & Diluted

The earnings per Ordinary Share – Basic is calculated by dividing a company's income or profit by the number of shares outstanding. Diluted earnings per Ordinary Share takes into account all potential dilution that would occur if convertible securities were exercised or options were converted to stocks.

As the Company has not issued options, only the Basic Earnings per Share has been calculated.

Basic earnings per Ordinary Share has been calculated based on the weighted average number of Ordinary Shares of 742,733,383 (30 September 2022: 638,959,048) and a net gain of £60,685,298 (30 September 2022: net loss of £83,030,212).

4. Income Equalisation on New Issues

In order to ensure there are no dilutive effects on earnings per share for current holders of shares (“Ordinary Shares”) issued by the Company (“Shareholders”) when issuing new Ordinary Shares earnings are calculated in respect of accrued income at the time of purchase and a transfer is made from share capital to income to reflect this. The transfer for the period is £242,649 (30 September 2022: £16,079).

5. Net Asset Value per Ordinary Share

The net asset value (“NAV”) of each Ordinary Share of £1.03 (31 March 2023: £1.01) is determined by dividing the value of the net assets of the Company attributed to the Ordinary Shares of £768,124,585 (31 March 2023: £724,982,762) by the number of Ordinary Shares in issue at 30 September 2023 of 747,836,661 (31 March 2023: 718,036,661).

6.  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 £1,200 (2022: £1,200).

7. Net Foreign Currency Gains/(Losses)

8. Investments