TwentyFour Income Fund - Final results for the year ended 31 March 2025

16 July 2025

TwentyFour Income Fund Limited

Final results for the year ended 31 March 2025

TwentyFour Income Fund Limited (“TFIF” or “the Company”), the FTSE 250-listed investment company that invests in less liquid asset-backed securities (“ABS”) in the UK and Europe, is pleased to announce its final results for the year ended 31 March 2025.

Financial highlights

• Total NAV return per ordinary share of 13.6% (2024: 19.4%)
• Record dividend payment of 11.07p per ordinary share for the year, well ahead of the target 8p per annum (2024: 9.96p)
• Total net assets rose 3.7% to £843.79 million (2024: £813.54 million)

Portfolio highlights

• European ABS has performed strongly across the board, supported by:
  • Stronger than expected macroeconomic conditions, including a resilient labour market
  • Higher for longer interest rates, providing a healthy income for floating rate investors
  • Strong demand for Residential Mortgage-backed Securities (“RMBS”) and Collateralised Loan Obligations (“CLOs”), with record issuance during 2024
• CLOs were the best performing asset class during the period, returning 14.4% and contributing 5.4% to portfolio return
• RMBS performance was driven by the allocation to buy-to-let mortgages, which returned 29.2%, contributing 4.2% to the portfolio
• The portfolio continues to allocate to bank assets, following the outperformance of European consumer ABS
• TwentyFour Asset Management LLP (the “Portfolio Manager”) continues to allocate to Significant Risk Transfer (“SRT”), a growing market as investors search for higher income products

Outlook

Despite the uncertain outlook for markets, exacerbated by geopolitical tensions and inflationary sentiment from both the UK and US administrations, consumers and corporates remain well-positioned in the UK and Europe.

At the same time, the expectation is that strong demand for floating rate assets will lead to high levels of primary supply over the next 12 months as investors continue to allocate to the consistent, high income provided by ABS and CLOs.

The current market environment, coupled with strong supply in the sector, is creating opportunities for the Portfolio Manager to allocate to higher yielding and higher quality, secured assets. With the expectation of higher for longer rates, the asset class should continue to deliver ongoing and attractive levels of income.

Commenting on the results, Bronwyn Curtis OBE, Chair, said: “TFIF has continued to deliver in line with its strategy for its investors, paying a record balancing and full year dividend. As we look forward to the year ahead, we remain confident in the Portfolio Manager’s ability to navigate macro-economic challenges, through its strategy of maintaining liquidity and flexibility in the portfolio, allowing it to take advantage of volatility and allocating to sectors where it sees most opportunity.”

Aza Teeuwen, Portfolio Manager, TFIF said: “The past year has seen record issuance and demand for both European ABS and CLOs, a trend we expect will continue over the next 12 months, fuelled by strong inflows as investors seek exposure to higher income.

We continue to favour senior secured assets and prime borrowers in case of economic slowdown, but we hold a positive view on European and UK fundamentals and believe that consumers and corporates are well-positioned overall.

With the prospect of elevated volatility due to heightened geopolitical tensions, our current positioning is relatively liquid, with gearing as at 30 June 2025 at just -2.25%, affording us flexibility to adjust the portfolio as value shifts.

As banks increase their use of ABS and RMBS, we have been able to diversify and improve the quality of borrowers that the Company has exposure to, without sacrificing income. The CLO pipeline should create attractive investment opportunities into the summer, particularly as CLOs are increasingly refinanced early.  We are optimistic for the growth of the securitisation market in Europe in the coming years, as proposed changes to capital charges could help to encourage new participants.”

Ends

For further information please contact:

TwentyFour Income Fund      +44 (0)20 7015 8900

Alistair Wilson

Deutsche Numis       +44 (0)20 7260 1000

Hugh Jonathan / Matt Goss

JPES Partners        +44 (0)20 7520 7620

Charlotte Walsh

Northern Trust International Fund Administration Services (Guernsey) Limited

Emma-Jayne Warden       +44 (0) 1481 745724

TWENTYFOUR INCOME FUND LIMITED

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

For the year ended 31 March 2025

SUMMARY INFORMATION

LEI: 549300CCEV00IH2SU369

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

The Company

TwentyFour Income Fund Limited (the “Company”) is a closed-ended investment company whose shares (“Ordinary Shares”, being the sole share class) are listed on the Official List of the Financial Conduct Authority (“FCA”). 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 of predominantly UK and European Asset-Backed Securities (“ABS”). The Company maintains a portfolio largely diversified by 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 NAV return of between 6% and 9% per annum, and since 31 March 2023, has an annual target dividend each financial year of 8% of the Issue Price (the equivalent of 8 pence per year, per Ordinary Share). Total NAV return per Ordinary Share refers to the total gain from the Company, which includes the increase or decrease in the Company’s value (capital gains) and the income generated from dividends, whilst reinvesting the dividends paid back into the NAV per Ordinary Share to purchase additional shares at each ex-dividend date during the year.

Ongoing Charges

Ongoing charges for the year ended 31 March 2025 have been calculated in accordance with the Association of Investment Companies (the “AIC”) recommended methodology. The ongoing charges for the year ended 31 March 2025 were 0.89% (31 March 2024: 0.95%).

Discount

As at 4 July 2025, the discount to NAV had moved to a premium of 1.61%. The estimated NAV per Ordinary Share and mid-market share price stood at 111.01p and 112.80p, respectively.

Published NAV

Northern Trust International Fund Administration Services (Guernsey) Limited (the “Administrator”) is responsible for calculating the NAV per Ordinary 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 Ordinary Share can be found in note 6.

* The Issue Price being £1.00. This is an annual target only and not a profit forecast. There can be no assurance that this target will be met or that the Company shall continue to pay any dividends at all. This annual 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 any potential 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 18.

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 year ended 31 March 2025

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 2025 (the “reporting period”).

The Company is a FTSE-250, closed-ended investment company that provides investors with the opportunity to invest in higher yielding, floating rate ABS in the UK and Western Europe, within a liquid equity wrapper.

The Company is an income fund which operates a full payout model, paying substantially all income as dividends every year. It has consistently delivered its target annual net total NAV return of 6-9% per annum of the original issue price since inception in 2013 and through the interest rate cycle, and has never had a default in its portfolio.

We are proud of the Company’s track record, delivering on its investment strategy for investors, which was recognised this past financial year at the Alternative Credit Investor awards in November 2024, where the Company was awarded “Fund of the Year (sub $1bn)”. The Company’s investment strategy, delivered by the expertise and active management of the team at TwentyFour Asset Management LLP (the “Portfolio Manager”), has been key to the Company’s success to date.

It is gratifying to see consistent demand for the Company’s shares, including from retail investors, with AJ Bell plc reporting the Company in the top 10 most popular investment trusts among do-it-yourself (“DIY”) investors on the platform during 2024. This is testament to the 17.10% share price total return delivered during the year, ahead of the wider investment company sector, which generated an average return of 12%.

The Company continues to engage with investors – both institutional and retail – via regular updates to the market on valuation, performance and portfolio strategy. During the reporting period, the Company has delivered presentations to investors, both in relation to financial results and strategy, via an investor update to institutional investors held in November 2024 and through Investor Meet Company Limited, a platform for retail investors.

The Company has also launched a LinkedIn page to increase awareness and improve the flow of information to existing and potential investors. At a time of uncertainty in the sector, particularly in relation to the Saba Capital activist approach to a number of UK investment trusts, the Board is clear on the importance of regular shareholder engagement and Board independence.

Investment Performance

In April 2025, the Company announced a record fourth quarter balancing dividend for the financial year ended 31 March 2025 of 5.07 pence per Ordinary Share. This made the full year dividend declared with respect to the reporting period 11.07 pence per Ordinary Share, the highest annual dividend that the Company has paid since its Initial Public Offering (“IPO”) in 2013. The strategy of investing in higher yielding floating rate ABS, in a year that saw UK interest rates fall from 5.25% to 4.5%, has enabled the Company to deliver these attractive dividends, as substantially all excess investment income is paid out each year.

During the reporting period, the NAV per Ordinary Share increased 3.71% from 108.79p to 112.83p, and delivered a total return of 13.61%. The Company traded at a narrow discount to NAV for most of the year, with a discount of 3.67% at the beginning of the reporting period and a discount of 1.09% at the end of March 2025. The period following the year end saw the Company return to trading at a premium.

The NAV per Ordinary Share total return since launch is 152.97% to the end of March 2025, which is an annualised return of 7.99%.

Dividend

The graphic below charts the dividend performance since the Company’s IPO. The dotted line represents the annual target dividend of 6-8p per Ordinary Share, which has always been achieved, and in some cases, quite substantially surpassed. The columns are the actual dividend declared per Ordinary Share, on a quarterly basis.

It shows that the Company has delivered a strong and consistent income stream to shareholders since inception, by both meeting and raising its dividend targets, achieved throughout the interest rate cycle.

The Company operates a full payout model, meaning it aims to distribute substantially all its investment income to ordinary shareholders, by currently targeting quarterly payments equivalent to an annual dividend of at least 8p per Ordinary Share per year. The fourth quarter balancing dividend is used to distribute any residual income generated in the year. This year, the fourth quarter dividend was 5.07p per Ordinary Share, with the dividends declared by the Company with respect to the reporting period totalling 11.07p per Ordinary Share.

Premium/Discount and Share Capital Management

In another year that saw the wider investment company market trading at discounts across the board, the Company stood out as one of the better performers, with its shares trading at a narrow discount for the reporting period, moving to a narrow premium to NAV for a large part of the period subsequent to the year end.

The Company traded at an average discount of -3.87% for the whole reporting period and, at the end of March 2025, it was trading at a discount of -1.09%, a position significantly closer to NAV than the majority of the wider investment company market.

The Company has not bought back any shares in this reporting period.

Annual General Meeting

The Company’s 2025 Annual General Meeting (“AGM”) will be held on 17 October 2025 at the offices of Northern Trust International Fund Administration Services (Guernsey) Limited, Trafalgar Court, Les Banques, St Peter Port, Guernsey, Channel Islands at 9:30am.

Realisation Opportunity

The next realisation opportunity, whereby investors can opt to sell their shares back to the Company, is due to take place in October 2025. As investors are aware, this is a key feature of the Company, allowing a liquidity option in an otherwise closed-end fund. The three year realisation process was initially established as a discount control mechanism and to offer investors an additional liquidity option, but two of the three previous realisation opportunities have led to the Company being able to issue additional shares (in 2016 and 2022).

As part of the realisation process, a new prospectus will be produced, which will allow the Board and the Portfolio Manager to consider potential updates to the investment policy.

Details will be made available on this in due course, but could include increasing the investment universe, and updating portfolio features and restrictions. We look forward to engaging with investors in the coming months.

Market Overview

The reporting period marked another strong year for global markets, supported by resilient consumer demand and a significant shift in the direction of monetary policy. While overall returns were positive, periods of elevated volatility were driven by escalating geopolitical tensions, a dense global election calendar, and economic data surprises – particularly from the United States – that kept investors attentive and markets responsive.

Consumer resilience remained a key anchor for market stability. Low unemployment, combined with solid household balance sheets and real wage growth, continued to underpin consumption, which in turn supported demand for risk assets and the performance of securitised products. Despite higher interest rates at the start of the year, household fundamentals held firm, mitigating concerns around credit deterioration and reinforcing positive collateral trends.

Inflationary pressures in early 2024 challenged expectations of a swift rate-cutting cycle, pushing back market assumptions around the pace and timing of central bank policy easing. However, by June 2024, sentiment had begun to shift meaningfully, with rates cuts initiated by the European Central Bank (“ECB”) by 25 basis points (“bps”), signalling a broader turning point. Over the full period, the ECB reduced base rates by a cumulative 125bps, the Bank of England (“BoE”) by 75bps, and the Federal Reserve (“Fed”) by 100bps.

In the US, the return of a Trump administration introduced a more protectionist stance, with new tariff announcements fuelling inflation concerns and prompting a shift toward risk-off positioning in markets. Despite this, European assets showed relative strength, supported by renewed commitments to higher defence spending and the associated positive impact on regional growth expectations.

Credit markets fared well throughout the year. Leveraged loan defaults declined meaningfully in both the US and Europe, as companies took advantage of improved funding conditions and a benign refinancing environment. Investor appetite remained robust, with excess liquidity entering the market early in the year, helping to compress spreads and support a favourable technical backdrop. The result was a record level of refinancing activity across the leveraged loan space. Lower interest rates and tighter margins improved coverage ratios and reduced immediate concerns around upcoming debt maturities. Within the securitised space, European ABS performance remained solid. Ratings and underlying asset performance were generally strong, remaining well within investor tolerance levels. 2024 also marked a record-breaking year for ABS issuance, with total volumes reaching €144 billion – surpassing the previous post-2008 high set in 2021.

Environmental, Social and Governance (“ESG”) Approach

The Company’s Portfolio Manager (“PM”) has continued to engage with lenders on Scope 3 financed emissions in Residential Mortgage-Backed Securities (“RMBS”) and ABS deals. Over the past 12 months, the market has experienced an increase in green RMBS issuance, though volumes are still far from the 2021 record high, while the Portfolio Manager has supported green transactions and expects to see stable volumes for the remainder of 2025.

Within the Collateralised Loan Obligation (“CLO”) market, investor demand for ESG integration has increased significantly over the past year resulting in most CLO managers increasing exclusions at portfolio level and within disclosures. The PM has also worked on several initiatives on the CLO side through the European Leveraged Finance Association (“ELFA”). The latest initiative was a paper outlining guidance for CLO managers on carbon and climate disclosures.

At portfolio level, the PM has focused on CLO deals with positive and negative screening managed by managers with strong ESG credentials.

Outlook

Strong demand for floating rate assets has led to very healthy ABS and CLO supply volumes in the last 12 months and we expect to see similar levels of primary activity over the next year. Spreads could remain range-bound and currently they do offer a more balanced risk adjusted return, and with rates still volatile and likely to stay higher for longer, the consistent high income provided by ABS and CLOs should remain a key driver of outperformance for the asset class.

The Board remains fully supportive of the Portfolio Manager’s active strategy to continue to invest in higher yielding floating rate ABS. Their meticulous credit process driven by a combination of bottom up and top down approach has made them prioritise established lenders with strong track records and conservative underwriting standards. The current environment continues to warrant liquidity and flexibility, and should tariffs result in extended market volatility, they believe this could offer attractive opportunities to add exposure at materially wider spreads.

As the market continues to develop and expand, opportunities may present themselves that would be outside of the current investment universe. The new prospectus being produced for the realisation process in October 2025 will allow the Board and the Portfolio Manager to consider potential updates to the investment policy.

Bronwyn Curtis OBE

Chair

15 July 2025

PORTFOLIO MANAGER’S REPORT

for the year ended 31 March 2025

TwentyFour Asset Management LLP

TwentyFour Asset Management LLP, in our capacity as Portfolio Manager to the Company, are pleased to present our report on the Company’s progress for the year ended 31 March 2025.

Market Environment

The last 12 months represented another strong year for global risk assets, as central banks embarked on a rate-cutting cycle and demand proved resilient. The path, however, was not smooth, as escalating geopolitical tensions and surprising market data prints, particularly from the US, stirred investors. Once again, consumer resilience has supported markets, with low unemployment and healthy household balance sheets reinforcing demand and supporting collateral performance for securitised products.

Upside inflation surprises at the start of 2024 delayed market expectations of rapid rate cuts, however by June 2024, the ECB had made the first 0.25% rate cut of the cycle and markets were comfortable that the easing cycle had begun globally. Over the period, the ECB cut base rates by 125bps, the BoE by 75bps and the Fed by 100bps. The first Fed cut of 50bps occurred shortly after a sharp sell-off in August 2024, triggered by weak US labour market data as unemployment jumped to 4.3% and investors became increasingly worried about a potential recession.

The global electoral calendar over the period has been significant, with over 60 nations heading to the polls during 2024 alone. With results indicating a shift away from incumbents, and a mandate for change, we have seen policy uncertainty across the world. Most notably, this has been driven by the Trump administration’s foreign policy rhetoric and tariff threats. Despite the risk-off tone in markets towards the end of the reporting period, some outperformance from Europe as commitments to higher defence spending elevated growth expectations.

Credit markets performed well over the reporting period, and defaults in the leveraged loan market trended down in both the US and EU. The start of the reporting period saw a significant level of excess cash on the sidelines, which eventually led to narrower credit spreads because of strong market support. Markets saw a record level of refinancings in the leveraged loan market, and with both interest rates and margins reducing, coverage ratios improved and concerns around debt maturities reduced materially. There were pockets of weakness, particularly in the technology sector with negative headlines around spending driven by artificial intelligence (“AI”), however broadly companies were performing well. Labour markets have remained strong, with unemployment ending the period at 4.4% in the UK and 6.2% across the eurozone. Consumers continue to benefit from excess savings built up during the Covid-19 period and with real wage increases during 2024, they remain in a healthy position.

European ABS performance remained robust, with underlying asset performance showing resilience and generally well within investor tolerance levels. There has been a sustained divergence in the performance of UK non-conforming borrowers, particularly in mortgage pools of pre-2008 loans (to which the Company has no exposure), where the majority tend to be floating rate and thus more exposed to elevated interest rates. However, given the rates trajectory, we expect arrears to slowly reduce from here. The collateral performance in Europe’s periphery has surprised to the upside as unemployment and household savings are particularly strong.

2024 was a record year for ABS issuance, reaching €144 billion and surpassing the previous post-2008 record of 2021. Demand was strong as yields remained attractive, supporting credit spread tightening across securitised products. In the CLO market, we have seen a remarkably high number of CLOs being refinanced or repaying at par; this elevated level of repayments is likely to persist in the medium term given the strong supply-demand technical and increased leverage loan refinancings.

Performance

European ABS performance over the reporting period has been healthy across the board. Spreads continued with the tightening bias set during 2024. While inflation remained relatively sticky, central banks left base rates elevated, which provided a healthy income for floating rate investors, and continued to draw new income-seeking investors to the ABS market. Collateral performance has remained resilient across consumer and corporate pools, as the labour market continues to show resilience. Performance reflected spreads tightening, particularly during the first half of 2024, with oversubscription of primary transactions into the double digits. RMBS at the mezzanine level, where demand is particularly buoyant, and especially CLOs were the main beneficiaries of spread tightening, with BB-rated CLOs ending the period 50bps tighter and making mezzanine CLOs the best performing asset class for the Company, with CLOs returning 14.4% over the financial year, contributing 5.4% to portfolio return. The best performing segment for the portfolio’s mortgage sector holdings has been buy-to-let mortgages, where spread tightening has been significant, making a contribution of 4.2% to portfolio return. The portfolio has also remained active in mezzanine debt facilities within the UK residential mortgage market facilitating diversification from the CLO allocation.

The Company has benefitted from the outperformance of periphery European consumer securitised pools, which has followed the solid macroeconomic performance of the region. To that end, we have continued to allocate to consumer securitisations from Western Europe, especially bank assets where track record and performance is strong. Consumer ABS has returned 11.4% over the financial year, although overall allocation limits the contribution to portfolio return to 0.3%.

We continued to see the Significant Risk Transfer (“SRT”) market grow, matched by demand as participants searched for higher income products. We continue to allocate to SRTs, with a preference for consumer asset pools, given a weaker outlook in the global corporate space in response to global trade uncertainty. The global demand for SRTs has facilitated spread tightening of over 100bps over the period, allowing a net return of 13.0%, and contribution of 0.7% to the portfolio return in the financial year.

The NAV per Ordinary Share total return was 13.61%.

Portfolio Allocation

We have both added and reduced risk to the portfolio on many occasions over the reporting period, mostly by rotations in the CLO bucket, and from crystalising profits in RMBS. In the CLO market, the team used the strength of demand for high-beta CLOs to improve the quality of the Company’s CLO bucket, using proceeds to invest in primary market issuances.

Liquidity in the securitised market has been positive over the financial year, as international participants have been active in both ABS and CLO markets.

The portfolio allocation approach has remained broadly unchanged over the course of the year as the team favoured secured assets (RMBS and CLOs) over unsecured assets from Western European lenders. The portfolio saw increased allocations to mezzanine CLO trades over the year, including equity tranches, a sector that we believe provides both diversification and an attractive yield to the Company.

Though collateral performance has been generally strong, there has been some underperformance in non-conforming RMBS, where borrowers are more vulnerable to higher rates. We have reduced mezzanine non-conforming RMBS exposure in the Company by 6.5% over the period to 8%, in favour of bank-originated lending, mostly auto and consumer products from prime consumers, where collateral performance is strong and there is a long track record.

The gearing of the Company was reduced by a percentage point over the financial year to 0.5%, a low level in comparison to the available limit of 25%, but we remain flexible in deploying this should opportunities arise.

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, enabling the Company to continue to deliver on its annual dividend target. At the end of the reporting period, the portfolio had a healthy book yield of 12.5% and a mark-to-market yield of 11.3%. Spreads have generally tightened through the financial year, and we have looked to crystalise profits on various older investments in favour of primary supply.

Given the increase in recessionary pricing from market participants, and stress from global trade tensions, we believe there could continue to be a deterioration in fundamental performance (with risks to unemployment shocks and corporate defaults), and with the elevated geopolitical risks, we favour secured collateral (mortgages, senior secured corporate loans, auto loans etc.) from Western European countries, where governments have a proven track record in supporting consumers and corporates during recessions. As central bank funding has been replaced with the public markets, we have seen banks being more active, and this presents a growing opportunity set for the Company.

As mitigation from the effects of market volatility, we prefer bonds with relatively short spread durations and value the flexibility of having more liquidity and low levels of gearing. The liquidity the Company has available could be deployed in the event of elevated market stress to take advantage of any investment opportunities. We remain cautious about Commercial Mortgage-Backed Securities (“CMBS”), where information asymmetries are particularly large. The allocation to CLO equity currently sits below 1% of the portfolio; we may look to increase this allocation but this will be highly dependent on economic outlook and fundamentals.

ESG

Throughout the reporting period, we have continued to engage with lenders on Scope 3 financed emissions in RMBS and ABS deals. Over the past 12 months the market has experienced an increase in green RMBS issuance, though volumes are still far from the 2021 record high, while we have supported green transactions and expect to see stable volumes for the remainder of 2025.

Within CLOs, investor demand for ESG integration has increased significantly over the past year resulting in most CLO managers increasing exclusions at portfolio level and within disclosures. We have also worked on several initiatives on the CLO side through the ELFA. The latest initiative was a paper outlining guidance for CLO managers on carbon and climate disclosures.

At portfolio level, the team have focused on CLO deals with positive and negative screening managed by managers with strong ESG credentials.

Market Outlook

Towards the end of the reporting period, broader credit markets entered a risk-off phase as a response to increased uncertainty in global trade relations and announcement of new tariffs from US president Donald Trump. April was characterised by two weeks of heightened volatility and global broad sell off.

Furthermore, the European securitised market saw CLOs (traditionally more highly correlated to high yield markets and global economic outlook) softening significantly with the move exacerbated by heavy supply, while ongoing strong demand for ABS products supported spreads in the market, despite the escalation in geopolitical risks and trade tensions.

Since then with Trump’s stance on tariffs easing, primary activity has re-emerged and spreads have begun to retrace. While consumers continue to display resilience (as a result of healthy savings and historically low unemployment) and collateral performance is strong, inflationary sentiment from the UK budget and proposed policies of the Trump administration will likely point to more stringent conditions for consumers. However, the market’s base case continues to point towards only a moderate slowdown in economic growth and continues to appear complacent towards any source of volatility. We remain constructive on European and UK fundamentals and view consumers and corporates as generally well positioned.

After a record 2024 year for supply in ABS and CLO, we expect to see high level of primary supply in the next 12 months fuelled by strong inflows, cash on the sidelines and very strong technical. There is optimism for the growth of the securitisation market in Europe in the coming years, as proposed changes to capital charges could help to encourage new participants.

While risk sentiment in global markets has improved, we expect volatility in all financial markets to stay elevated for a longer period and we continue to favour liquidity and flexibility. After experiencing significant spread tightening in the last couple of years, we expect spreads to maintain range-bound and react wider to potential supply-demand imbalance and volatility. This could present an opportunity to add bonds at significantly wider spreads. The CLO market has traditionally shown the highest correlation to credit markets, and this is likely where the most attractive opportunities should present themselves.

We continue to monitor asset performance closely and favour true alignment of interest in deals as well as well-capitalised lenders with established domestic franchises, conservative underwriting standards and a proven track record through the cycle.

TwentyFour Asset Management LLP

15 July 2025

TOP TWENTY HOLDINGS

as at 31 March 2025

The full portfolio listing as at 31 March 2025 can be obtained from the Administrator on request.

* Definition of Terms

“CLO” – Collateralised Loan Obligations

“CMBS” – Commercial Mortgage-Backed Securities

“RMBS”- Residential Mortgage-Backed Securities

“SRT” – Significant Risk Transfer

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 currently non-executive director at Pershing Square Holdings, BH Macro Limited and a number of private companies. 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 25 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 interim chair of NextEnergy Solar Fund Limited, and a non-executive director of RTW Biotech Opportunities Limited and Sequoia Economic Infrastructure Income Fund 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 director, including as audit committee chair, on the boards of several listed and private groups. Mr Le Poidevin is currently a non-executive director of BH Macro Limited, Super Group (SGHC) Limited, and a number of 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.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

STRATEGIC REPORT

for the year ended 31 March 2025

The Directors submit to the Shareholders their Strategic Report for the year ended 31 March 2025.

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 ABS. These securities, whilst fundamentally robust, do not offer enough liquidity for use in 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.

Income Distributions

The Company’s income consists wholly or mainly of investment income and the Ordinary Shares are designed to offer a consistent dividend yield. The Board intends to distribute substantially all of the Company’s income after expenses to the holders of the Ordinary Shares, paying quarterly interim dividends with equal amounts paid in June, September and December each year, with a fourth quarter dividend paying any remaining income for the year ending 31 March being declared in April.

The full year dividend per Ordinary Share for 2025 totalled 11.07p (2024: 9.96p) representing 99.99% of the total income available for distribution 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 for the Company 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 Company, incorporating presentations from the Portfolio Manager, Corporate Broker and other service providers, to inform discussion on longer-term opportunities and threats to the business. Focus is placed on principal and emerging risks which may 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 has carried out a robust assessment of the principal risks and uncertainties facing the Company, by assessing the Company’s risk matrix, whilst focusing on internal financial and reporting controls and monitoring the investment limits and restrictions set out in the Company’s investment objective and policy. 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.

Investment Valuation and Market Risk

Market risk is the risk associated with changes in market prices or rates including spreads, interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws and political circumstances, which may affect the value of the Company’s investments. Whilst the Company holds a diversified portfolio of assets, during rapid changes in market conditions it may be difficult to value certain investments and values may fluctuate considerably and quickly become out of date and may not reflect the value which would be realised on sale.

Liquidity Risk

Liquidity risk is the risk that the Company 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. The Company has the ability to borrow to ensure sufficient cash flows and the Portfolio Manager maintains a liquidity management policy to monitor the liquidity risk of the Company.

Credit Risk and Investment Performance

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 adverse impact on the market price of the security.

The Company holds debt securities including ABS which, compared to bonds issued or guaranteed by developed market 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 for an ABS is typically indicated by a credit rating which is assigned by one or more internationally recognised rating agencies. This does not amount to a guarantee of creditworthiness of an ABS 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 ABS issues. 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.

The Company is also exposed to unrated equity tranches of ABS that invest predominantly in the residential mortgage markets in the UK and the Netherlands where the Company originates and purchases securitisations, respectively. Under EU and UK laws, originators of securitisations are required to retain 5% of the value of their securitisation which creates a retention risk. As equity tranches bear first loss in the event of a default, the Company may also diversify its retention risk by holding more senior tranches in the securitisations that it issues, a process known as a vertical tranche retention. Realised default rates for RMBS securities have historically been very low since the global financial crisis.

In the event of a default of an ABS, 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 by asset type 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. In respect of individual SRTs, the Company is directly exposed to the originating regulated entity as counterparty on whose balance sheet the loans are held. Information regarding investment restrictions that are currently in place in order to manage credit risk can be found in note 18 to the financial statements.

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 predominantly 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.

Transaction Risks – Settlement and Counterparty Credit Risks

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.

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 uses OTC derivatives to hedge interest rate risk and mitigates this risk by only trading derivatives against approved counterparties which meet minimum creditworthiness criteria and by employing central clearing and margining where applicable.

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 is also able to borrow against individual holdings in the portfolio via repurchase agreements which facilitate rapid tactical investments when opportunities arise.

The Portfolio Manager expects £94.2m 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, Alternative Investment Fund Manager (“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 or timely accounting records and published financial information or fail to comply with requirements of its Admission document, the regulations of the FCA or the Guernsey Financial Services Commission. The accounting records prepared by the Administrator are reviewed by the Portfolio Manager. The Portfolio Manager is responsible for estimating the remaining expected life of a security and its likely terminal value, which has an impact on the effective interest rate of the ABS, which in turn impacts the calculation of interest income. 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.

Cyber Security Risks

The Company is exposed to the risk arising from a successful cyber-attack through its service providers. The Company requires its service providers to confirm 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.

Geopolitical Risk and Economic Disruption

The Company is indirectly exposed to the risk of geopolitical and economic events, covering disruption arising from economic uncertainty and volatility, including any change or disruption to global trade and economic policy, resulting from significant shifts in long-standing policy positions of major economies. When geopolitical risks are heightened, this raises the possibility of adverse shocks to both growth and inflation in the UK and Europe which could lead to risk premiums demanded by the market rising as risk sentiment deteriorates and wider spreads that result in lower cash prices. The Board and Portfolio Manager monitor global events in order to mitigate any collateral impact on the Company and its performance including the current conflicts in Ukraine and the Middle East, and the threat of tariffs. Neither the Company, nor its key service providers hold any assets or have any operations in Ukraine, Belarus, Russia, or the Middle East, and there is not expected to be any direct adverse impact from military operations on the activity (including processes and procedures) of the Company. The Board remains fully supportive of the Portfolio Manager’s active strategy to continue to invest in higher yielding, floating rate ABS, which is expected to offer attractive opportunities to add exposure at materially wider spreads, should tariffs result in extended market volatility.

Climate Change Risk

The Board recognises the importance of this emerging risk which is the risk of the Company not responding sufficiently to evolving regulatory requirements or the expectations of 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 Corporate 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.

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 Portfolio 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 2025, the Board is comprised of two female and three male Directors. The Company has no employees.

The Board believes it is fully compliant with Listing Rules UKLR 6.6.6R(9) and UKLR 16.3.29R(1) in relation to board diversity which are:

• At least 40% of the Board are women (Currently 2 out of 5 Directors are female);
• At least one senior position held by a woman (Bronwyn Curtis is currently Chair and Joanne Fintzen is the current Senior Independent Director. As an externally-managed investment company with no chief executive officer or chief financial officer, the roles which qualify as senior under FCA guidance are Chair and Senior Independent Director. The Board also considers Chair of the Audit Committee to represent a senior role within this context); and
• At least one individual on the Board to be from a minority ethnic background (please see table below).

Additional detail is set out in the table below:

Environmental, Social and Governance

The Board recognises the importance of ESG factors in the investment management and in wider society. The Company is a closed-ended investment company with a specific purpose and without employees or executive directors. Given the Company’s activities, its own direct carbon footprint is negligible.

Any business travel by Board members is minimal and the Company no longer provides printed copies of its annual and interim financial statements. The Company has entered into contractual arrangements with its primary third-party service providers, all of which provide attestation to the Company that they have appropriate ESG policies in place.

The sustainability risks that the Company may be subject to are likely to have an immaterial impact on the value of the Company’s investments in the medium to long term due to the mitigating nature of the Portfolio Manager’s ESG approach as detailed below.

The key governance processes of the Company are set out in the Directors’ Report.

It is therefore the view of the Board that the direct environmental and social impact of the Company is negligible and that ESG considerations are most important in respect of the investment process 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, reporting into its Executive Committee. The Portfolio Manager is a signatory to the UK Stewardship Code and the UN’s Principles for Responsible Investment, and has long-term commitments to industry level initiatives aimed at improving diversity in asset management.

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 Portfolio 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.

TwentyFour Asset Management LLP is a prominent investor in European ABS markets, and as one of the few that invests across the entire spectrum of asset types and ratings, the firm is a significant stakeholder in the market for the long term. The specialist structures and complexity associated with this asset class make ESG data gathering more challenging compared to more mainstream bond markets, but the Portfolio Manager has worked extensively with issuers on closing this data gap and have also extended their proprietary ESG scoring model to cover ABS-specific metrics. The Board and the Portfolio Manager believe this proprietary ESG work is unique in the European ABS space.

The Portfolio Manager is a member of the ELFA, which develops industry guidelines and standards to promote transparency and establish industry best practices within the European leveraged finance and CLO markets. A number of its ABS portfolio management team are members of ELFA’s CLO Investor Committee, including as the current Co-Chair. The Portfolio Manager also helped develop and launch the ESG CLO questionnaire and have worked on the project aimed at improving ESG data reporting on CLOs. The Portfolio Manager is also a member of the Association for Financial Markets in Europe (“AFME”). AFME works to promote a robust, connected and competitive financial system in the EU, UK and globally. The Portfolio Manager contributed to the development of a sustainable framework for securitisations and helped build the AFME ESG Due Diligence questionnaire, covering different ESG aspects at transaction, originator and servicer level.

In addition to this ‘top-down’ engagement at the industry level, the Portfolio Manager is committed to extensive ‘bottom-up’ engagement on behalf of themselves and clients. The ongoing due diligence is key to understanding the evolution of risks in the markets invested in, rather than just in relation to evaluating a specific transaction. External ESG factors are related to the debt issuers of ABS transactions and are assessed through a combination of internal and third-party data. The analysis focuses on the following key areas:

Borrower/Transaction analysis:

•                     Review of due diligence material, rating agency publications

•                     Sponsor meetings/deal roadshows

•                     Modelling and stress testing

•                     Assessment of the issuer’s existing ESG/Corporate Social Responsibility policies and existing/potential impact on environment and society

Scoring:

•                     Collection of ESG data through engagement and company reports

•                     ESG assessment using a combination of third-party provider and proprietary tools

•                     European ABS is not currently covered by ESG data providers, making it important to establish robust proprietary scoring policy. Ongoing monitoring and engagement has been a core part of the Portfolio Manager’s credit process since the business was founded. The Portfolio Manager’s proprietary ESG database system is utilised to record scoring and ongoing engagement

Investment Decision:

•                     Integration of the ESG assessment into the transaction investment analysis

•                     ESG score recorded in the database and incorporated as a factor in relative value decision

•                     Review of the credit in Investment Committee

•                     Approved or Declined

Monitoring:

•                     Monitoring and updating of the ESG scores

•                     Analysis of additions/disposals from ESG perspective

•                     Monitoring of engagements

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

https://www.twentyfouram.com/responsible-investment-policy

https://www.twentyfouram.com/corporate-social-responsibility

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

Key Service Providers

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.

The Portfolio Manager considers engagement as a constructive, active dialogue between investors and companies on all aspects of their ESG performance. While fixed income investors do not have voting rights in the way shareholders do, larger firms typically issue bonds multiple times a year, which puts bondholders in a strong position to be able to influence corporate policy by engaging with management on an ongoing basis.

The Portfolio Manager aims to engage regularly with the management of every issuer held in the Company’s portfolio, to better understand their ESG strengths and weaknesses, monitor their direction of travel, and overall encourage better ESG practices.

As part of the Portfolio Manager’s commitment to the UK Stewardship Code, it publishes a quarterly summary of engagements with bond issuers, along with details of any resulting investment decisions.

A copy of the Portfolio Manager’s Engagement Policy can be found at https://www.twentyfouram.com/engagement-at-twentyfour.

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:

https://twentyfourincomefund.com/documents/

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
• Share Price
• Earnings Per Ordinary Share
• Discount/Premium to Net Asset Value
• Ongoing Charges
• Dividends Declared

Net Asset Value

The Net Asset Value (“NAV”) per Ordinary Share, including retained earnings, at 31 March 2025 was 112.83p, based on net assets as at this date of £843,786,521 divided by number of Ordinary Shares in issue of 747,836,661 (31 March 2024: 108.79p based on net assets of £813,539,986 divided by number of Ordinary Shares in issue of 747,836,661).

The NAV increase over the period has been driven by the strong performance of European ABS, with spreads tightening whilst base rates decreased, albeit remaining ‘higher for longer’, also driving coupon income for the Company’s portfolio holdings. Mezzanine RMBS and especially CLOs were the main beneficiaries of spread tightening, resulting in strong performance for the year for the portfolio holdings. Performance was also driven by the reinvestment of amortisations.

The total NAV return per Ordinary Share for the year was 13.61%. Additionally, the Company has paid out all of its income as dividend (9.96p), with the resulting impact on the NAV.

Share Price

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

On 31 March 2025, the share price was 111.60p (31 March 2024: 104.80p).

Earnings per Ordinary Share – Basic and Diluted

Earnings per Ordinary Share is calculated by dividing the net earnings for the year of £104,731,066 (31 March 2024: net earnings of £134,014,165) by the weighted average number of shares for the year of 747,836,661 (31 March 2024: 745,285,022). The net income for the year has been primarily driven by income generated by the Company’s assets. Market sentiment is discussed in further detail within the Chair’s statement.

For the year ended 31 March 2025, the earnings per Ordinary Share was 14.00p (31 March 2024: 18.25p).

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 Ordinary Share. It is calculated by subtracting the share price from the NAV per Ordinary Share and dividing it by the NAV per Ordinary Share. If the share price is lower than the NAV per Ordinary Share, the shares are trading at a discount. If the share price is higher than the NAV per Ordinary Share, the shares are trading at a premium.

On 31 March 2025, the discount to NAV was 1.09% (31 March 2024: discount of 3.67%).

Ongoing Charges

Ongoing charges for the year ended 31 March 2025 have been calculated in accordance with 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 2025 were 0.89% (31 March 2024: 0.95%). The ongoing charges were calculated as follows:

Dividends

Since 24 February 2023, the annual target dividend has been 8 pence per Ordinary Share. This is in excess of the minimum dividend target of 6p for the year, which if not met, a Continuation Vote is required.

The dividend yield for the year ended 31 March 2025 was 9.92% (31 March 2024: 9.50%) meaning that the Company exceeded its dividend target for the current year. The following dividends were declared in respect of the year ended 31 March 2025:

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 ABS.

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:

• liquidity analysis, including but not limited to, the changes in liquidity of the Company over time based on the liquidity of the underlying assets;
• foreign exchange analysis, including but not limited to, monitoring the effectiveness of the Company’s foreign exchange hedging strategy;
• credit analysis, including but not limited to, analysing the current credit ratings and credit rating outlooks of the underlying securities by the main rating agencies, as well as sufficient diversification across sectors;
• valuation analysis, including but not limited to, assessing the pricing accuracy of the underlying securities; and
• significant accounting judgements, estimates and assumptions, including but not limited to, the fair value of securities not quoted in an active market, estimated life of asset-backed securities and determination of observable inputs.

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 2025.

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 minimum dividend target annually during the three-year period. In the event that the Company does not meet the minimum dividend target annually, as disclosed in note 21, 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 18.

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 October 2025. The Board’s view, having consulted with the Company’s Corporate Broker, Portfolio Manager and a number of investors, is that should the share price remain 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 that the Realisation Opportunity is currently a low risk to the viability prospects of the Company.

Market Uncertainty

The year saw strong performance for most sectors held in the Company’s portfolio, especially secured assets such as RMBS, Auto ABS and CLOs, which were supported by robust fundamental performance, including low unemployment and a strong labour market. While this is in line with expectations, unsecured consumer lending did show weakening performance as arrears levels increased in Germany and Spain, showing that the more vulnerable borrowers struggled with the higher cost of living. These increases are not material enough to cause concerns on credit quality, but the Portfolio Manager has preferred secured lending for this reason.

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. The price recovery seen since October 2022 supports their view at the time that, based on their stress modelling, the material price moves seen were largely attributable to market liquidity rather than concerns around credit performance.

Between 31 March 2025 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 15 July 2025 by:

Bronwyn Curtis      John Le Poidevin  

Director       Director

DIRECTORS’ REPORT

The Directors present their Annual Report and Audited Financial Statements (the “Financial Statements”) for the year ended 31 March 2025.

Business Review

The Company

TwentyFour Income Fund Limited was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Company’s Ordinary Shares were listed on the Official List of the FCA 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.

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 (“Realisation Opportunity”) was made pursuant to 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.

A Realisation Opportunity, where Shareholders of the Company may apply to redeem Ordinary Shares up to 56 days before the relevant AGM date of the Company (the “Reorganisation Date”), will be offered at the AGM of the Company every three years subject to the aggregate NAV of the Ordinary Shares held by shareholders who do not submit realisation elections in respect of those Ordinary Shares (“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 October 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 exceeded its minimum dividend target of 6 pence per Ordinary Share per year, for the year ended 31 March 2025, 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 geopolitical and macroeconomic factors, the increased risk of default due to levels of inflation generally remaining above target, a higher global interest rate environment and the next Realisation Opportunity has been considered as part of the Viability Statement.

On 31 March 2025, the Company’s cash balance was 2.92% of total net assets (2024: 1.62%).

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.

No material doubts in respect of the Company’s ability to continue as a going concern have been identified.

Results

The results for the year are set out in the Statement of Comprehensive Income. The Directors declared dividends of £82,785,518 in respect of income available for distribution earned during the year ended 31 March 2025, a breakdown of which can be found in note 21 to the financial statements. Dividends paid during the year amounted to £74,484,531 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 to the financial statements.

The Board, through its Management Engagement Committee, has reviewed the performance of the Portfolio Manager and their fee basis and has concluded that it is in the interests of Shareholders and the Company that the appointment of the Portfolio Manager should continue in order to best achieve the Company’s investment objectives.

Alternative Investment Fund Manager

Alternative investment fund management services have been provided by Waystone Management (IE) Limited (“Waystone”), effective 21 June 2024 upon retirement of the previous AIFM, Apex Fundrock Ltd (“Apex”). The AIFM is entitled to receive from the Company a minimum fee of £65,000 per annum and fees are payable monthly or quarterly in arrears at a rate of 0.03% of the Net Assets below £250 million, 0.025% of the Net Assets between £250 million and £500 million, 0.02% on Net Assets between £500 million and £1 billion and 0.015% on Net Assets in excess of £1 billion. For additional information, refer to note 16 to the financial statements.

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 to the financial statements.

Directors

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

As at 31 March 2025, Directors of the Company held the following Ordinary Shares beneficially:

¹ On 2 August 2024, John Le Poidevin purchased 94,679 Ordinary Shares.

² On 5 April 2024, Joanne Fintzen purchased 47,722 Ordinary Shares.

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 FCA requires all UK 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 2024 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 on the Financial Reporting Council’s website, www.frc.org.uk.

Throughout the year ended 31 March 2025, the Company has complied with the recommendations of the 2024 AIC Code and thus the relevant provisions of the UK Code, except as set out below.

The UK Code includes provisions relating to:

• The role of the Chief Executive;
• Executive Directors’ remuneration;
• Annually assessing the need for an internal audit function; and
• The means for the workforce to raise concerns.

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.

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:

• statutory obligations and public disclosure;
• strategic matters and financial reporting;
• risk assessment and management including reporting compliance, governance, monitoring and control; and
• other matters having a material effect on the Company.

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 five 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 serves as Senior Independent Director.

Chair

The Chair is Bronwyn Curtis. 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:

• has no current or historical employment with the Portfolio Manager; and
• has no current directorships in any other investment funds managed by the Portfolio Manager.

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

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 generally 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.

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 following 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 2025.

In addition to the scheduled Board and Committee meetings, seven 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 Remuneration and Nomination Committee carried out a review of the Board’s performance. This followed the external review by Trust Associates Limited in the prior year. This review by the Remuneration & Nomination Committee, determined the Board’s approach to corporate governance and its supervision of its regulatory compliance continued to be good and considered 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 12 September 2024 AGM, all continuing Directors were re-elected. 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 Paul Le Page 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 12 September 2024 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 serving as chair. The terms of reference of the Audit Committee provide that the Committee shall be responsible, amongst other things, for reviewing the annual and interim 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

A Remuneration and Nomination Committee has been established consisting of all Directors, with John de Garis serving as chair.

The Remuneration and Nomination Committee met on 11 March 2025, where, following a review of external market data, levels of inflation and the time and responsibilities expected of directors in future years, the Committee recommended the following Directors’ fee increases with effect from 1 April 2025: Chair, increase from £75,000 to £80,750 per annum; Audit Chair, increase from £60,000 to £65,000 per annum; Committee Chair, increase from £50,000 to £54,500 per annum; Senior Independent Director, increase from £50,000 to £54,500 per annum; and that all other Directors’ fees increase from £48,000 to £52,400 per annum.

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 and presentations occurred during the year.

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

The Company’s 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 9 May 2025 (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

A resolution for the reappointment of KPMG Channel Islands Limited (“KPMG”) as auditor to the Company will be proposed at the annual general meeting. KPMG has indicated their willingness to continue in office.

Signed on behalf of the Board of Directors on 15 July 2025 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 are responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and 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 2025; 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 Report of the Depositary to the Shareholders 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

15 July 2025

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 FCA. An ordinary resolution for the approval of the annual remuneration report will be put to the Shareholders at the AGM to be held on 17 October 2025.

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, provided that aggregate amount of such fees does not exceed £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 2025, the Directors received the following annual remuneration in the form of Directors’ fees:

During the year, the annual fees were £75,000 for the Chair of the Board, £60,000 for the Audit Committee Chair, £50,000 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and the Chair of the Management Engagement Committee, and £48,000 for all other Directors.

Effective 1 April 2025, following a review of external market data, levels of inflation and the time and responsibilities expected of directors in future years, the annual fees were increased to £80,750 for the Chair of the Board, £65,000 for the Audit Committee Chair, £54,500 for the Senior Independent Director, the Chair of the Remuneration and Nomination Committee and Chair of the Management Engagement Committee, and £52,400 for all other Directors.

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 12 September 2024 AGM, all Directors were re-elected to the Board. 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 15 July 2025 by:

John de Garis 

Chair, Remuneration and Nomination Committee

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 2025.

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 2024 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, 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 12 September 2024. The Board receives 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 £835,130,603 as at 31 March 2025 (31 March 2024: £813,356,415), 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 received information on the sources of price information and robustness and reliability of the valuation process, as part of its consideration as to the reasonableness of the valuation of the investments held by the Company as at 31 March 2025.

(ii) Income recognition:

The Audit Committee considered the calculation of income from investments recorded in the financial statements as at 31 March 2025. 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.

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 considers 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 has also appropriately scrutinised the significant assumptions used for determining the value of assets and liabilities and, having reviewed the content of the Annual Report and Financial Statements, has recommended them to the Board on the basis that, 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.

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, which is set out in the Audit Committee’s terms of reference. The external audit plan includes an analysis of the key audit risks and calculation 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, 2024.

On a semi-annual basis, the auditor reports to the Audit Committee on the independence of its relationship with the Company including information about policies and processes for maintaining independence and monitoring compliance with relevant requirements.

Any other services for which the Company may appoint the auditor are only considered where they are in accordance with the FRC’s Revised Ethical Standard 2024, do not compromise auditor independence and where the auditor is considered best-placed amongst relevant service providers to provide such services, which must be pre-approved by the Audit Committee.

The following tables summarise the remuneration paid to KPMG and other KPMG member firms for audit and non-audit services during the year ended 31 March 2025 and the year ended 31 March 2024.

Alongside auditor independence, the Audit Committee considers the quality of the audit plan, subsequent execution and composition of the audit team in formulating its recommendation to the Board regarding the reappointment of the external auditor.

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 15 July 2025 and signed on behalf by:

John Le Poidevin

Chair, Audit Committee

15 July 2025

ALTERNATIVE INVESTMENT FUND MANAGER’S REPORT

for the year ended 31 March 2025

Apex Fundrock Limited (previously called Maitland Institutional Services Ltd) acted as the Alternative Investment Fund Manager (“Apex”) of TwentyFour Income Fund Limited (“the Company”) providing portfolio management and risk management services to the Company until 21 June 2024.

Apex delegated the following of its alternative investment fund management functions:

• It delegated the portfolio management function for listed and unlisted investments to TwentyFour Asset Management LLP.

Apex was 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):

•      to make the annual report available to investors and to ensure that the annual report is prepared in accordance with applicable accounting standards, the Company’s articles of incorporation and the AIFM Rules and that the annual report is audited in accordance with International Standards on Auditing;

•      be responsible for the proper valuation of the Company’s assets, the calculation of the Company’s net asset value and the publication of the Company’s net asset value;

•      to make available to the Company’s Shareholders, a description of all fees, charges and expenses and the amounts thereof, which have been directly or indirectly borne by them; and

•      ensure that the Company’s Shareholders have the ability to redeem their share in the capital of the Company in a manner consistent with the principle of fair treatment of investors under the AIFM Rules and in accordance with the Company’s redemption policy and its obligations.

Apex was 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

Apex was 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 Apex’s compliance with its duty to act in the best interests of the funds it manages.

Apex 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.

Apex also acted 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 Apex itself. This includes executives, senior risk and compliance staff and certain senior managers.

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

In so far as the Apex is aware:

•      there is no relevant audit information of which the auditor of the Company or the Board of Directors of the Company are unaware; and

•      Apex has taken all steps that it ought to have taken to make itself aware of any relevant audit information and to establish that the auditor is aware of that information.

We hereby certify that this report is made on behalf of Apex Fundrock Limited.

A C Deptford

P Foley-Brickley

L A Poynter

S Gunson

Directors

Apex Fundrock Limited

15 July 2025

Waystone Management Company (IE) Limited acts as the Alternative Investment Fund Manager (“AIFM”) of the Company providing portfolio management and risk management services to the Company. This report covers the period from 21 June 2024 (date of our appointment) to 31 March 2025.

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

• It has delegated the portfolio management function for listed and unlisted investments to TwentyFour Asset Management LLP.

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 Ireland (the “AIFM” Rules):

• to make the annual report available to investors and to ensure that the annual report is prepared in accordance with applicable accounting standards, the Company’s articles of incorporation and the AIFM Rules and that the annual report is audited in accordance with International Standards on Auditing;

• be responsible for the proper valuation of the Company’s assets, the calculation of the Company’s net asset value and the publication of the Company’s net asset value;

• to make available to the Company’s Shareholders, a description of all fees, charges and expenses and the amounts thereof, which have been directly or indirectly borne by them; and

• ensure that the Company’s Shareholders have the ability to redeem their share in the capital of the Company in a manner consistent with the principle of fair treatment of investors under the AIFM Rules and in accordance with the Company’s redemption policy and its obligations.

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 has designed and implemented a remuneration policy (the “Policy”) in line with the provisions of S.I. 257 of 2013 European Union (Alternative Investment Fund Managers) Regulations 2013 (the “AIFM Regulations”), S.I. 352 of 2011 European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and of the ESMA Guidelines on sound remuneration policies under the UCITS Directive and AIFMD (the “ESMA Guidelines”). The Policy is designed to ensure that the remuneration of key decision makers is aligned with the management of short and long-term risks, including the oversight and where appropriate the management of sustainability risks in line with the Sustainable Finance Disclosure Regulations.

The AIFM’s remuneration policy applies to its identified staff whose professional activities might have a material impact on the Company’s risk profile and so covers senior management, risk takers, control functions and any employees receiving total remuneration that takes them into the same remuneration bracket as senior management and risk takers and whose professional activities have a material impact on the risk profile of the Company. The AIFM’s policy is to pay identified staff a fixed component with the potential for identified staff to receive a variable component. It is intended that the fixed component will represent a sufficiently high proportion of the total remuneration of the individual to allow the AIFM to operate a fully flexible policy, with the possibility of not paying any variable component. When the AIFM pays a variable component as performance related pay certain criteria, as set out in the AIFM’s remuneration policy, must be adhered to. The various remuneration components are combined to ensure an appropriate and balanced remuneration package that reflects the relevant staff rank and professional activity as well as best market practice. The AIFM’s remuneration policy is consistent with, and promotes, sound and effective risk management and does not encourage risk-taking which is inconsistent with the risk profile of the funds it manages.

These disclosures are made in respect of the remuneration policies of the AIFM. The disclosures are made in accordance with the ESMA Guidelines.

Total remuneration (in EUR) paid to the identified staff of the AIFM fully or partly involved in the activities of the Company that have a material impact on the Company’s risk profile during the financial year to 31 December 2024 (the AIFM’s financial year):

Number of identified staff – 20

Neither the AIFM nor the Company pays any fixed or variable remuneration to identified staff of the Portfolio Manager.

There have been no material changes made to the Remuneration Policy or the AIFM’s remuneration practices and procedures during the financial year.

In so far as the AIFM is aware:

• there is no relevant audit information of which the auditor of the Company or the board of directors of the Company are unaware; and
• the AIFM has taken all steps that it ought to have taken to make itself aware of any relevant audit information and to establish that the auditor is aware of that information.

We hereby certify that this report is made on behalf of the AIFM, Waystone Management Company (IE) Limited.

Peadar De Barra

Waystone Management Company (IE) Limited

15 July 2025

REPORT OF THE DEPOSITARY TO THE SHAREHOLDERS

for the year ended 31 March 2025

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 Waystone Management Company (IE) Limited (the “AIFM”) and the Company for the year ended 31 March 2025, 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 year, 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

15 July 2025

INDEPENDENT AUDITOR’S REPORT

To the Members of TwentyFour Income Fund Limited

Our opinion is unmodified

We have audited the financial statements of TwentyFour Income Fund Limited (the “Company”), which comprise the statement of financial position as at 31 March 2025, the statements of comprehensive income, changes in equity and cash flows for the year then ended, and notes, comprising material accounting policies and other explanatory information.

In our opinion, the accompanying financial statements:

• give a true and fair view of the financial position of the Company as at 31 March 2025, and of the Company’s financial performance and cash flows for the year then ended;

• are prepared in accordance with International Financial Reporting Standards; and

• comply with the Companies (Guernsey) Law, 2008.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described below. We have fulfilled our ethical responsibilities under, and are independent of the Company in accordance with, UK ethical requirements including the FRC Ethical Standard as required by the Crown Dependencies' Audit Rules and Guidance. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion.

Key audit matters: our assessment of the risks of material misstatement

Key audit matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, 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 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.  In arriving at our audit opinion above, the key audit matter was as follows (unchanged from 2024):

Our application of materiality and an overview of the scope of our audit

Materiality for the financial statements as a whole was set at £16,500,000, determined with reference to a benchmark of net assets of £843,786,521, of which it represents approximately 2.0% (2024: 2%).

In line with our audit methodology, our procedures on individual account balances and disclosures were performed to a lower threshold, performance materiality, so as to reduce to an acceptable level the risk that individually immaterial misstatements in individual account balances add up to a material amount across the financial statements as a whole. Performance materiality for the Company was set at 75% (2024: 65%) of materiality for the financial statements as a whole, which equates to £12,300,000. We applied this percentage in our determination of performance materiality because we did not identify any factors indicating an elevated level of risk.

We reported to the Audit Committee any corrected or uncorrected identified misstatements exceeding £825,000, in addition to other identified misstatements that warranted reporting on qualitative grounds. 

Our audit of the Company was undertaken to the materiality level specified above, which has informed our identification of significant risks of material misstatement and the associated audit procedures performed in those areas as detailed above. 

Going concern

The directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease its operations, and as they have concluded that the Company's financial position means that this is realistic. They have also concluded that there are no material uncertainties that could have cast significant doubt over its ability to continue as a going concern for at least a year from the date of approval of the financial statements (the “going concern period").

In our evaluation of the directors' conclusions, we considered the inherent risks to the Company's business model and analysed how those risks might affect the Company's financial resources or ability to continue operations over the going concern period. The risks that we considered most likely to affect the Company's financial resources or ability to continue operations over this period were:

•       Availability of capital to meet operating costs and other financial commitments; and

•       The outcome of the next realisation opportunity.

We considered whether these risks could plausibly affect the liquidity in the going concern period by comparing severe, but plausible downside scenarios that could arise from this risk individually and collectively against the level of available financial resources indicated by the Company’s financial forecasts.

We also considered the risk that the outcome of the realisation opportunity could affect the Company over the going concern period, by considering outcomes of previous realisation opportunities and considering key financial metrics including the Company’s share price relative to its reported net asset value per share over the past 12 months.

We considered whether the going concern disclosure in note 2(a) to the financial statements gives a full and accurate description of the directors' assessment of going concern.

Our conclusions based on this work:

• we consider that the directors' use of the going concern basis of accounting in the preparation of the financial statements is appropriate;
• we have not identified, and concur with the directors' assessment that there is not, a material uncertainty related to events or conditions that, individually or collectively, may cast significant doubt on the Company's ability to continue as a going concern for the going concern period; and
• we have nothing material to add or draw attention to in relation to the directors' statement in the notes to the financial statements on the use of the going concern basis of accounting with no material uncertainties that may cast significant doubt over the Company's use of that basis for the going concern period, and that statement is materially consistent with the financial statements and our audit knowledge.

However, as we cannot predict all future events or conditions and as subsequent events may result in outcomes that are inconsistent with judgements that were reasonable at the time they were made, the above conclusions are not a guarantee that the Company will continue in operation.

Fraud and breaches of laws and regulations – ability to detect

Identifying and responding to risks of material misstatement due to fraud

To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate an incentive or pressure to commit fraud or provide an opportunity to commit fraud. Our risk assessment procedures included:

• enquiring of management as to the Company’s policies and procedures to prevent and detect fraud as well as enquiring whether management have knowledge of any actual, suspected or alleged fraud;
• reading minutes of meetings of those charged with governance; and
• using analytical procedures to identify any unusual or unexpected relationships.

As required by auditing standards, and taking into account possible incentives or pressures to misstate performance and our overall knowledge of the control environment, we perform procedures to address the risk of management override of controls, in particular the risk that management may be in a position to make inappropriate accounting entries, and the risk of bias in accounting estimates such as valuation of unquoted investments. On this audit we do not believe there is a fraud risk related to revenue recognition because the Company’s revenue streams are simple in nature with respect to accounting policy choice, and are easily verifiable to external data sources or agreements with little or no requirement for estimation from management. We did not identify any additional fraud risks.

We performed procedures including:

• identifying journal entries and other adjustments to test based on risk criteria and comparing any identified entries to supporting documentation;
• incorporating an element of unpredictability in our audit procedures; and
• assessing significant accounting estimates for bias.

Further detail in respect of valuation of unquoted investments is set out in the key audit matter section of this report.

Identifying and responding to risks of material misstatement due to non-compliance with laws and regulations

We identified areas of laws and regulations that could reasonably be expected to have a material effect on the financial statements from our sector experience and through discussion with management (as required by auditing standards), and from inspection of the Company’s regulatory and legal correspondence, if any, and discussed with management the policies and procedures regarding compliance with laws and regulations. As the Company is regulated, our assessment of risks involved gaining an understanding of the control environment including the entity’s procedures for complying with regulatory requirements.

The Company is subject to laws and regulations that directly affect the financial statements including financial reporting legislation and taxation legislation and we assessed the extent of compliance with these laws and regulations as part of our procedures on the related financial statement items.

The Company is subject to other laws and regulations where the consequences of non-compliance could have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of fines or litigation or impacts on the Company’s ability to operate. We identified financial services regulation as being the area most likely to have such an effect, recognising the regulated nature of the Company’s activities and its legal form. Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to enquiry of management and inspection of regulatory and legal correspondence, if any. Therefore if a breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not detect that breach.

Context of the ability of the audit to detect fraud or breaches of law or regulation

Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some material misstatements in the financial statements, even though we have properly planned and performed our audit in accordance with auditing standards. For example, the further removed non-compliance with laws and regulations is from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures required by auditing standards would identify it. 

In addition, as with any audit, there remains a higher risk of non-detection of fraud, as this may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot be expected to detect non-compliance with all laws and regulations.

Other information

The directors are responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our auditor's report thereon. Our opinion on the financial statements does not cover the other information and we do not express an audit opinion or 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 in this regard.

Disclosures of emerging and principal risks and longer term viability

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ disclosures in respect of emerging and principal risks and the viability statement, and the financial statements and our audit knowledge. We have nothing material to add or draw attention to in relation to:

• the directors’ confirmation within the viability statement that they have carried out a robust assessment of the emerging and principal risks facing the Company, including those that would threaten its business model, future performance, solvency or liquidity;
• the emerging and principal risks disclosures describing these risks and explaining how they are being managed or mitigated;
• the directors’ explanation in the viability statement as to how they have assessed the prospects of the Company, over what period they have done so and why they consider that period to be appropriate, and their 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 their assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

We are also required to review the viability statement under the Listing Rules. Based on the above procedures, we have concluded that the above disclosures are materially consistent with the financial statements and our audit knowledge.

Corporate governance disclosures

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ corporate governance disclosures and the financial statements and our audit knowledge.

Based on those procedures, we have concluded that each of the following is materially consistent with the financial statements and our audit knowledge:  

• the directors’ statement that they consider that the annual report and financial statements taken as a whole is fair, balanced and understandable, and provides the information necessary for shareholders to assess the Company’s position and performance, business model and strategy;
• the section of the annual report describing the work of the Audit Committee, including the significant issues that the audit committee considered in relation to the financial statements, and how these issues were addressed; and
• the section of the annual report that describes the review of the effectiveness of the Company’s risk management and internal control systems.

We are required to review the part of Corporate Governance Statement relating to the Company’s compliance with the provisions of the UK Corporate Governance Code specified by the Listing Rules for our review. We have nothing to report in this respect. 

We have nothing to report on other matters on which we are required to report by exception

We have nothing to report in respect of the following matters where the Companies (Guernsey) Law, 2008 requires us to report to you if, in our opinion:

• the Company has not kept proper accounting records; or
• the financial statements are not in agreement with the accounting records; or
• we have not received all the information and explanations, which to the best of our knowledge and belief are necessary for the purpose of our audit.

Respective responsibilities

Directors' responsibilities

As explained more fully in their statement, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; 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. 

Auditor's responsibilities

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 our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (UK) 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 the financial statements. 

A fuller description of our responsibilities is provided on the FRC’s website at www.frc.org.uk/auditorsresponsibilities.

The purpose of this report and restrictions on its use by persons other than the Company's members as a body

This report is made solely to the Company’s members, as a body, in accordance with section 262 of the Companies (Guernsey) Law, 2008.  Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s 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 and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

Rachid Frihmat

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants and Recognised Auditors

Guernsey

15 July 2025

STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 March 2025

All items in the above statement derive from continuing operations.

The accompanying 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 2025