UKML.L Regulatory News (UKML)

UK Mortgages Ltd - Net Asset Value(s)

PR Newswire

London, April 24

UK MORTGAGES LIMITED(a closed-ended investment company incorporated in Guernsey with registration number 60440LEI 549300388LT7VTHCIT59

Final Net Asset Value

UKML RNS: Commentary accompanying UK Mortgages Limited February 2020 NAV

The UKML NAV per share was calculated for February 2020 month end at 79.71 pence per share, a decrease of 0.13 pence.

As swap rates continued to fall through February, so did the valuation level of the interest rate swaps held in the portfolios to hedge the fixed rate mortgages. However, the impact on the NAV of the MTM swap movements is limited to just a proportion of the overall movement - that which is deemed ineffective under IFRS 9 accounting standards. This contributed a 0.30 pence decrease to the NAV, which was partially offset by the income earned on the Fund’s investments.

Additionally, a small one-off adjustment was made to the Cornhill No. 4 valuation model to gradually capture the increased effect of the basis between the outgoing LIBOR benchmark and the incoming SONIA reference rate, which has been progressively incorporated by Keystone into the underlying loans since September last year.

Meanwhile, the Fund’s investments continue to perform in line with expectations, although the effects of the current exceptional policies, such as mortgage payment holidays, are yet to begin to feed through to the underlying loan data and are not likely to be seen for some months yet.

More details will be available in the Fund’s next factsheet to be published shortly.

Enquiries:

Northern Trust International Fund Administration Services (Guernsey) Limited

Andrew Bonham 44 (0)1481 745302

Date: 24 April 2020