Half-year Report

RNS Number : 0410L

NB Global Monthly Income Fund Ltd

08 September 2021

NB GLOBAL MONTHLY INCOME FUND LIMITED

2021 INTERIM REPORT

UNAUDITED INTERIM FINANCIAL STATEMENTS

FOR THE SIX MONTHS ENDED 30 JUNE 2021

COMPANY OVERVIEW | Features

Features

NB Global Monthly Income Fund Limited (the "Company")

The Company is a closed-ended investment company incorporated and registered in Guernsey on 10 March 2011 with registered number 53155. The Company is governed under the provisions of the Companies (Guernsey) Law, 2008 as amended (the "Law"), and the Registered Collective Investment Scheme Rules 2018 issued by the Guernsey Financial Services Commission. It is a non-cellular company limited by shares and has been declared by the Guernsey Financial Services Commission to be a registered closed-ended collective investment scheme. On 20 April 2011, the Company was admitted to the Official List of the UK Listing Authority with a premium listing trading on the Main Market of the London Stock Exchange ("LSE").

Alternative Investment Fund Manager ("AIFM") and Manager

Investment management services are provided to the Company by Neuberger Berman Investment Advisers LLC (the "AIFM") and Neuberger Berman Europe Limited (the "Manager"), collectively the "Investment Manager". The AIFM is responsible for risk management and discretionary management of the Company's portfolio and the Manager provides certain administrative services to the Company.

Investment Objective

The Company's investment objective is to provide the Company's shareholders with consistent levels of monthly income, while maintaining or increasing the Net Asset Value ("NAV") per Share over time. Details of the Company's previous investment objective and investment policy for the period 1 January 2020 to 7 September 2020 can be found on the Company's website, www.nbgmif.com.

Investment Policy and Strategy

To pursue its amended investment objective, the Company will invest in credit assets with the following target portfolio allocations: (i) 50-70% in traditional credit, meaning high yield bonds, floating rate loans and investment grade corporate bonds; and (ii) 30-50% in alternative credit, meaning "special situations" (consisting generally of tradeable but less liquid debt securities, such as stressed credit and CLO debt tranches), mezzanine debt, "club" loan transactions (being syndicated lending opportunities presented through the Company's or Investment Manager's relationship with loan arrangers and/or borrowers) and private corporate loans issued directly to borrowers. Investments in alternative credit will not represent more than 50% of Net Asset Value at the time of investment.

The Company's investments will be issued in U.S. Dollars, Sterling and Euros by corporations, partnerships and other business issuers based primarily in North America, the UK and Europe. At the time of investment these loans, bonds and other debt instruments will often be non-investment grade.

The Company expects that it will typically hold the majority of its assets directly, however where the Investment Manager considers it appropriate the Company may obtain investment exposure to loans, bonds and other debt instruments through investments in other collective investment vehicles. The Company will not invest more than 15 per cent. of its total assets in other listed closed-ended investment funds at any time.

Capital Structure

As at 30 June 2021, the Company's share capital comprised 323,268,152 Sterling Ordinary Shares ("NBMI") of no par value (of which 76,083,114 were held in treasury). On 3 August 2020, the Company compulsorily converted all U.S. Dollar Ordinary Shares into Sterling Ordinary Shares and subsequently closed the U.S. Dollar Share Class. Further, in tandem with the proposals made at the EGM held on 8 September 2020, the Company offered to its investors a cash exit offer (the meaning of which is given in the EGM Circular dated 17 August 2020 available on the Company's website) and redeemed 40% of the issued share capital on 8 September 2020 to those investors who had elected to participate in the cash exit offer.

Non-Mainstream Pooled Investments

The Company currently conducts its affairs so that the shares issued by the Company can be recommended by Independent Financial Advisers to ordinary retail investors in accordance with the Financial Conduct Authority's ("FCA") rules in relation to non-mainstream investment products and intends to continue to do so for the foreseeable future.

The Company's shares are excluded from the FCA's restrictions, which apply to non-mainstream pooled investment products.

LIBOR

Working groups and official sector committees, including the Financial Stability Board ("FCA"), have set out clear timelines to aid in market participants' plans for a smooth transition from LIBOR to new risk-free reference rates. The FCA has announced the dates after which representative LIBOR rates will no longer be available. All LIBOR settings will either cease to be provided by any administrator or no longer be representative:

· immediately after 31 December 2021, in the case of all sterling, euro, Swiss franc and Japanese yen settings, and the 1-week and 2-month US dollar settings; and

· immediately after 30 June 2023, in the case of the remaining US dollar settings

Alternative risk-free reference rates, such as SONIA in the U.K. and SOFR in the U.S., are robust, stable and rooted in active and liquid underlying markets. SONIA is now widely used across all core sterling markets, supporting a wide range of borrowers across different sectors.

In 2019, the Investment Manager formed a steering committee to manage the transition on behalf of clients and stakeholders. Working groups have been responsible for managing the transition across impacted business areas and have been monitoring developments, inventorying risks, and preparing to manage these risks. The Investment Manager will continue to be active in assessing the risks, following developments of the transition, monitoring exposures and making any necessary adjustments.

Dividends

Until 30 September 2020, dividends were paid quarterly. Effective 1 October 2020, dividends are paid monthly. The Company's dividend policy is detailed in the Annual Report and Financial Statements for the year ended 31 December 2020.

The annualised dividend yield (based on the dividends declared in respect of the period and share price as at 30 June 2021) was 5.39%.

STRATEGIC REVIEW | Financial Highlights

Financial Highlights

Key Figures


(U.S. Dollars in millions, except per share data)	As at 30 JUNE 2021	As at 31 DECEMBER 2020
Net Asset Value
- Sterling Ordinary Shares	$326.4	$317.4
Net Asset Value per share
- Sterling Ordinary Shares	£0.9559	£0.9394
Share price
- Sterling Ordinary Shares	£0.8680	£0.8160

Discount to Net Asset Value Per Share ¹
- Sterling Ordinary Shares	(9.20%)	(13.14%)

Investments	$322.4	$297.7
Dividends per share ²
- Sterling Ordinary Shares	2.34 pence	3.90 pence
Current Gross Portfolio Yield ¹	6.17%	6.08%
Annualised dividend yield ^{1, 3}
- Sterling Ordinary Shares	5.39%	4.78%
NAV Total Return ¹
- Sterling Ordinary Shares	4.72%	2.99%

Share Price Return ¹
- Sterling Ordinary Shares	9.85%	(6.97%)
On-Going Charges ¹
- Sterling Ordinary Shares	0.55%	1.11%

1 Further explanation and definitions of the calculation is contained in the section "Alternative Performance Measures" in the Audited Annual Financial Statements.

2 Dividends are those that were declared in respect of the period.

3 Interim dividends have been annualised so as to give a meaningful comparable figure.

STRATEGIC REVIEW | Chairman's Statement

Chairman's Statement

Dear Shareholder,

It is with pleasure that I present to you the Interim Report of NB Global Monthly Income Fund Limited ("the Company") for the six months ended 30 June 2021.

Performance

Over the first half of 2021, the Company's share price total return was 9.85% per Sterling Ordinary Share whilst the Company's Net Asset Value ("NAV") total return per share was 4.72% for the Sterling Ordinary Shares.

As at 30 June 2021, the Portfolio's current yield was 6.17%, and the yield to maturity was 5.80%. This performance meets our expectation in terms of validating the change of strategy as the current yield and yield to maturity at 30 June 2020 were 4.58% and 5.96% respectively.

Dividends

Throughout the period, dividends have been paid at the rate of £0.0039 per month as advised in January 2021 and were fully covered by net revenue earnings. As at 30 June 2021, the annualised dividend based on the dividends paid in respect of the period was 4.68 pence per Sterling Ordinary Share which gave rise to an annualised dividend yield of 5.39% as at 30 June 2021. Please note the USD share class was closed last year at the time of the strategy change.

Portfolio Positioning

During the early part of the period, the transition to the new strategy, as agreed by shareholders at the September 2020 EGM, was completed. At 30 June 2021, the overall Company exposure to floating rate assets was 66% which gave the fund an average duration of 1.05 years. Floating Rate Loans remained the largest allocation at 40.8% at 30 June 2021, a reduction from 49.1% at 31 December 2020 as the Investment Manager sold loans at or close to par, believing that better risk adjusted investment opportunities were available in other risk buckets. Specifically allocations to Alternative Credit (Private Debt and CLO Debt Tranches) increased over the period along with Global High Yield, the latter in particular designed to benefit from capital appreciation opportunities as bond spreads compressed further. The period saw a higher than average level of new issuance activity on behalf of corporate borrowers in which the Company participated, examples of which can be found in the monthly factsheets. In the context of a strong growth outlook and a low expectation of credit losses, the Investment Manager increased the exposure to lower rated issuers during the period. The allocation to CCC and below rated names finished the period at 28.6%. These investments, in an improving credit market, provided a solid contribution to the Company return during the period.

Discount Management

During the six months to 30 June 2021, the Company's discount of share price to NAV ranged between 7.40% and 15.10% per Sterling Ordinary Share. The discount as at 30 June 2021 was 9.20%. At the AGM we sought shareholder approval to renew the authority for the Company to make market purchases of its own Shares, which was duly granted. Since the strategy change in September 2020 the Board has not elected to use its buyback authority. The Board is mindful of the upcoming potential tender offer on or around 30 June 2022 at NAV less 2%, and is pleased to note the progressive tightening of the discount since the strategy change from around 15% in September 2020 to the current 5 to 7% level, reflecting the rotation of the shareholder register into a more longer term, income oriented investor base. The Board is focussed on furthering this process to seek to eliminate the discount over the coming year. If we are successful in achieving this elimination of the discount, when combined with the annualised dividend yield at 30 June 2021, a total share price return of approximately 12% could be achieved for the 12 months to 30 June 2022 (this share price total return assumes no movement in the NAV).

Board of Directors

The Board would like to express its sincere thanks to Sandra Platts for her diligence and commitment to the Company since inception. Sandra stepped down from the Board at the AGM in June 2021.

Annual General Meeting ("AGM") Results

All of the resolutions proposed at the AGM in June 2021 were duly passed with no significant votes lodged against any resolution.

COVID-19

The vaccine rollout has lifted public equity markets and provided investors and consumers with scope for renewed optimism. However, the pace of rollout has slowed down and there are continued worries that the spread of new COVID-19 variants could set back the economic recovery. There is ongoing debate whether new variants might require a reassessment of the speed at which to lift restrictions, underscoring the continued uncertainty around consumer behaviour and economic prospects. Investors continue to monitor both the pace and coverage of large-scale vaccine development and distribution, as well as hospitalisation rates and therapeutic treatment improvements. Given these circumstances, the Investment Manager of the Company has reviewed the entire portfolio and re-assessed its investment exposures.

COVID-19 has given rise to very accommodative monetary policy in the US and Europe (where we are invested) which has helped and is likely to persist for some time. The possible counter to this is inflation although many in the industry believe this will be transitory as supply chains eventually catch up with demand.

Operationally, the Company has continued to function without any discernible disruption. All of our major service providers have been able to maintain full service levels throughout the pandemic. The portfolio remains well protected against the negative impact of COVID-19.

Market Context & Outlook

While yields on bellwether long-dated government bonds-the US 10-Year Treasury, UK 10-Year Gilt and German 10-Year Bund-have declined recently even though inflation and indicators of real economic growth have been robust, it is primarily central bank bond purchases that are keeping rates lower than the economic fundamentals might imply. We would expect the reduction of accommodative policy measures, or "tapering" to put upward pressure on real rates as we move through the remainder of the year. Combined with the potential for higher trend inflation, nominal government bond yields would likely be biased upward along with the potential for steepening yield curves. This would be a favourable environment for much lower duration, higher yielding fixed income sectors such as non-investment grade credit, especially as the majority of issuers continue to report better-than-expected operating results, have been able to refinance at lower yields and have ample liquidity on balance sheets.

Inflation, Interest Rates and Tapering

Many market participants and central bankers believe that the recent rate of increase in consumer price inflation is transitory or temporary due to base effects working their way out of the numbers, as we emerge from the pandemic. That said, central bankers have moved toward a position of incremental vigilance as a result of some very strong CPI prints recently, such was the case with July's U.S. CPI inflation of +5.4%. In our view, both headline and core inflation should settle into a slightly higher range than pre-pandemic levels but not at such elevated levels as recent reports suggest. Hence, we would expect a continued range-bound environment for central bank policy rates for the remainder of 2021, with an upward bias in 2022/2023 reflecting a durable global economic recovery, albeit with risks stemming from further COVID variants slowing the above-trend robust pace of real GDP growth that is currently forecast. The current economic environment and credit conditions are favourable for non-investment grade fixed income, which offers a low-cost hedge against inflation, attractive relative yields, broad diversification across sectors and themes, and issuers geared to improving economic growth and pricing power. Indeed, most high yield and loan issuers would actually benefit from improved pricing power and rising commodity prices as most have the ability to pass along price increases to buyers, especially given improvements to productivity and innovation brought about by coping with a pandemic. This time versus the "taper tantrum" of 2013 the tapering of quantitative easing measures should involve less of a "tantrum" by market participants as the removal of emergency measures and programmes has been more widely communicated and expected in this cycle. While more taper talk could result in some increased market anxiety, we would view any volatility spurred on by a shift from highly accommodative policy toward more normalized policy as an opportunity to invest in credits at more attractive valuations.

Non-Investment Grade Credit

The underlying drivers of tighter credit spreads, improving issuer fundamentals and low and declining default rates are unlikely to be materially impacted by the evolving central bank landscape in the near term. We anticipate minimal impact to spreads and expect credit and securitized markets to remain at relatively tight spreads, trading in a somewhat narrow range as has been the case at prior episodes in the credit cycle in the beginning phases of an economic expansion. Loans are well positioned to benefit from "the search for yield," high relative yields given minimal duration, improving issuer fundamentals and robust demand from CLO issuance. While absolute yield levels in global high yield markets are low historically, the increased share of higher-quality credits in high yield, and the fact that we are starting a new credit cycle are important to keep in mind when thinking about spreads and yield levels.

Further, the potential for spread compression remains as investor demand for lower duration yield persists. Furthermore, defaults have been coming down materially and expectations for future defaults are also trending lower. S&P published default projections which back up our internal estimates (Source: S&P Global, 2021. Default, Transition, and Recovery: The European Speculative-Grade Corporate Default Rate Could Fall To 3.25% By June 2022).

CLO structures in general, and CLO BBs in particular, have showed themselves once again to be very robust in the face of a significant recession in 2020. Year to date in 2021, CLO issuance has been very strong as the search for yield continues unabated. While CLO activity could moderate, we would expect CLO volumes to remain relatively robust for the rest of the year. Our focus on investing in the highest quality underlying loan portfolios, we believe, will lead to continued outperformance versus the overall CLO market over the cycle.

The durable income generation, much lower duration and inflation-hedging nature of non-investment grade credit could be beneficial features in a low-yield environment with rising inflation and stronger growth ahead. Moreover, non-investment grade credit has generally performed well in prior periods of rising inflation and steepening yield curves.

Macroeconomic Outlook

European and U.S. service sectors have been reopening step by step but with caution as the new Delta variant of COVID-19 remains a risk to a more aggressive reopening trajectory. In addition, from July, the Euro Recovery Fund will start to distribute "grants" to individual countries, supporting capital expenditure for the coming quarters. In such a context, the European Central Bank will have the objective of maintaining the decoupling of euro bonds from global bonds. Moreover, it will not let financial conditions tighten prematurely.

The periphery of Europe, which is still fragile, needs European Central Bank ("ECB") support through the Pandemic Emergency Purchase Programme ("PEPP"). Thus, the ECB has introduced new flexibility in its bond-buying program for the third quarter 2021. This should enable a smooth start to PEPP tapering, which could be justified later with the first signs of inflation accelerating in Northern Europe.

Recent ECB forecasts have supported optimism on the economy, increasing projected GDP from 4% to over 4.5% for 2021, which we believe could push the Bund yield close to 0% in the third quarter of 2021, with some volatility in periphery spreads.

In our view, the ECB's September forecasts should show more acceleration, leading the central bank to schedule the end of the PEPP for March 2022. Overall, similar to the Federal Reserve, a policy transition is beginning, but we expect the ECB to actively manage any market impact from the Fed's shift, as conditions in the Eurozone continue to warrant a more aggressive easy policy stance.

Non-investment grade credit yields and spreads are more than compensating investors for the current benign default outlook, will continue to provide durable income, and are especially attractive compared to other fixed income alternatives. We believe the Company is well placed to take advantage of current market conditions.

Thank you for your continued support

Rupert Dorey

Chairman

7 September 2021

STRATEGIC REVIEW | Investment Manager's Report

Investment Manager's Report

Market and Macroeconomic Environment

Non-investment grade credit had a good first half of 2021 driven by better-than-expected earnings, stronger economic activity and accommodative-yet-vigilant central bankers who more recently have focused on allaying investor concerns over higher inflation. Despite this improving economic backdrop, new variants of COVID-19 remain a problem for many places around the world. Central bankers-including the Fed, the Bank of England and the ECB-continued to indicate that they plan to maintain accommodative monetary policy and have also been vocal about higher inflation being transitory as a result of base effects. While the concerns over the Delta variant and the debate over inflation trends have put some short-term volatility back into the mix, the expectation for robust real GDP growth and improved pricing power for issuers provide a favourable back-drop for non-investment grade credit fundamentals, investor demand and income generation prospects.

Senior floating rate loans ended the reporting period in positive territory on improving issuer fundamentals, large positive retail inflows and strong new issue volume in CLOs. While the yield on the 10Y U.S. Treasury was rangebound in June and well off the recent peaks, investors are still seeking attractive yield opportunities with durable income and lower interest rate risk as the debate about inflation being transitory is still undecided. U.S. senior floating rate loans, as measured by the S&P/LSTA Leveraged Loan Index (the "S&P LLI"), returned 3.28% year to date with the lowest quality outperforming as BB, B and CCC returned 1.58%, 3.15% and 10.02%, respectively. The LL100, a measure of the largest, most liquid issuers, returned 2.17% which also underperformed the total S&P LLI. The European Leveraged Loan Index (the "ELLI") returned 2.96%, excluding currency effects. The Second Lien Loans index was up 9.06% year to date.

The global high yield bond market had a strong first half of 2021 due to reopening economies, stronger GDP growth, open access to capital markets and improving credit fundamentals. Credit spreads, which widened at the onset of the pandemic last year, tightened significantly over the reporting period. Dispersion in returns across credit quality and between distressed and non-distressed was also a feature of the high yield market over the period as ICE BofA U.S. Distressed High Yield Index was up 29.9% while the ICE BofA U.S. Non-Distressed High Yield Index returned 3.1% year to date. While the distressed part of the market saw a strong rally from depressed levels, many of the longer-term impaired, secularly challenged issuers are still not meeting our disciplined credit underwriting standards. As of 30 June 2021, the distressed index as a percent of the total U.S. High Yield Index stood at just 1.7%, down from 4.1% at the end of last year and was the lowest level seen since October 2006. That said, we are finding attractive investment opportunities across the credit spectrum, regions and within the non-distressed high yield universe from an individual credit selection perspective.

The CLO new-issue market has been very strong with issuance year to date through 30 June 2021 of $81 billion, the highest tally for any comparable period in the post-GFC time frame. U.S. leveraged loan retail funds continued to see very strong inflows totaling $19.7 billion year to date. CLO debt levels were stable in the first half, with the market continuing to demonstrate its ability to adequately digest the continued significant primary market activity. Fundamentally, the asset class has benefitted from the potential of higher near-term rates and strong underlying fundamental performance as well as continued attractive relative value compared to other fixed income assets.

The pace of defaults and default expectations continued to decline materially in both U.S. and European non-investment grade credit markets, which is consistent with improving fundamentals and the start of a new credit cycle. Our Non-Investment Grade Credit Team recently conducted a bottom-up analysis to project issuer default rates for the U.S. corporate high yield and leveraged loan markets. The analysis resulted in projected 2021 default rates of 0.3% and 0.6% for the U.S. corporate high yield and leveraged loan markets, respectively. The high yield default rate would be an all-time low while the leveraged loan default rate would be well below the historical average.

Non-investment grade credit-with its lower duration profile, attractive yields relative to other fixed income and improving credit fundamentals-will likely continue to see favourable investor demand, especially given that approximately 65% of the global bond market still yields less than 1%.

Performance 1 January 2021 - 30 June 2021

For the period of 1 January 2021 to 30 June 2021, the NAV total return of the NB Global Monthly Income Fund - Sterling Share Class GBP was 4.72%.

During the period, holdings in the Oil & Gas, Broadcast Radio & TV and Healthcare sectors were the most significant drivers of performance whilst the Business Equipment & Services, Utilities and Publishing sector holdings were the biggest detractors. The Company's positioning in B ratings contributed the most to performance while positioning in CC rated issuers added the over the period.

As at 30 June 2021, Floating Rate Loans was the portfolio's largest allocation at 40.8% followed by High Yield Bonds at 32.3%. The Company's allocation to BBB/BB rated credits was at 15.9% while our exposure to CCC and below rated issuers finished the period at 28.6%. Regarding sector allocation, the top three weights included Financial Intermediaries (CLOs), Oil & Gas and Electronics (Technology), while the bottom three weights included Rail Industries, Publishing and Home Furnishings.

Portfolio Positioning

NBMI as at 30 June 2021

http://www.rns-pdf.londonstockexchange.com/rns/0410L_1-2021-9-7.pdf

NBMI as at 31 December 2020

http://www.rns-pdf.londonstockexchange.com/rns/0410L_1-2021-9-7.pdf

Outlook

Yield levels and spreads in non-investment grade credit are compensating investors for the increasingly benign default outlook. The economic recovery continues to play out and we would expect the improving trajectory of growth and pricing power to be supportive of issuer fundamentals. Continued progress on the rate of vaccinations, combined with consumer pent-up demand for travel, leisure and services, businesses rebuilding inventories and rehiring plus patient-but-vigilant central bankers should continue to support economic activity going forward. While new COVID variants and mixed views over inflation could result in pockets of short-term volatility, we believe our bottom-up, fundamental credit research focused on individual credit selection while seeking to avoid credit deterioration and putting only our "best ideas" into portfolios, position us well to take advantage of any volatility.

Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited

7 September 2021 7 September 2021

STRATEGIC REVIEW | Portfolio Information

Portfolio Information

Top 10 Issuers as at 30 June 2021 (excluding cash)

ISSUER	SECTOR	FAIR VALUE ($)	PORTFOLIO WEIGHT
INTELSAT JACKSON HOLDINGS SA	Telecommunications/Cellular Communications	5,842,101.39	1.81%
TEAM HEALTH HOLDINGS INC	Health Care	5,480,942.17	1.70%
BROCK HOLDINGS III LLC	Business Equipment & Services	5,189,651.50	1.61%
CARNIVAL CORP	Leisure Goods/Activities/Movies	4,690,016.14	1.45%
GTT COMMUNICATIONS INC	Telecommunications/Cellular Communications	4,375,446.13	1.36%
EG GROUP LTD	Retailers (except food and drug)	4,043,033.11	1.25%
TENET HEALTHCARE CORPORATION	Health Care	4,030,220.00	1.25%
GREAT OUTDOORS GROUP LLC	Retailers (except food and drug)	4,004,974.97	1.24%
CYXTERA TECHNOLOGIES INC	Telecommunications/Cellular Communications	3,671,716.21	1.14%
AMERICAN AIRLINES GROUP INC	Air Transport	3,545,932.35	1.10%

Top 10 S&P Sector Breakdown

http://www.rns-pdf.londonstockexchange.com/rns/0410L_1-2021-9-7.pdf

Key Statistics

	30 JUNE 2021	31 DECEMBER 2020
Current Gross Portfolio Yield ¹	6.17%	6.08%
Number of Investments	295	245
Number of Issuers	232	197

1 The Company's Current Gross Portfolio Yield is a market-value weighted average of the current yields of the holdings in the portfolio, calculated as the coupon (base rate plus spread) divided by current price. The calculation does not take into account any fees, Company expenses or sales charges paid, which would reduce the results. The Current Gross Portfolio Yield for the Company will fluctuate from month to month. The Current Gross Portfolio Yield should be regarded as an estimate of the Company's rate of investment income and it will not equal what is distributed by way of dividends by the Company.

GOVERNANCE | Interim Management Report and Directors' Responsibility Statement

Interim Management Report and Directors' Responsibility Statement

Principal Risks and Uncertainties

The principal risks of the Company are in the following areas:

· macro economic conditions;

· credit risk;

· geographical risks

· participation risk

· liquidity risk;

· investment activity and performance;

· level of discount or premium;

· operational risk; and

· other risks

These risks, and the way in which they are managed, are described in more detail in the Strategic Report in the Company's latest annual report and audited financial statements for the year ended 31 December 2020, which can be found on the Company's website. The Board's view is that these risks remain appropriately identified for the remainder of 2021. In addition to the Principal Risks, there remains uncertainty of the full and long term impacts of the global coronavirus ("COVID-19") pandemic. The Board considers downside risk to global growth and delay in global economic recovery and market liquidity arising from the COVID-19 pandemic could potentially result in a risk of a reduction in portfolio performance. The Investment Manager reviews the portfolio on a regular basis for impact of COVID-19 on underlying assets' performance. In addition, the Board reviews the Company's risks on a quarterly basis and will review the impacts of the COVID-19 outbreak as the pandemic progresses and further information becomes available.

A brief description of each of the Principal Risks are detailed below:

Macroeconomic Conditions

Macroeconomic conditions can change significantly and to the detriment of the portfolio or the Company causing a credit or liquidity risk to crystallise.

Credit Risk

The key risk for the Company remains credit risk i.e. that the Company buys a loan or bond of a particular issuer and it does not perform as expected and either defaults on a payment or experiences a significant drop in the secondary market value.

Geographical risks

The Company may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region.

Participation risk

With respect to the senior loans, the Company may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations.

Liquidity Risk

Liquidity risk is the risk that the Company will not be able to meet its obligations as and when these fall due.

Investment Activity and Performance

The Company's investment activity and performance could fall below its stated objective or peer group for a variety of reasons including market conditions.

Level of Discount or Premium

A discount or premium to NAV can occur for a variety of reasons, including market conditions or to the extent investors undervalue the management activities of the Investment Manager or discount their valuation methodology and judgment.

Operational Risk

Disruption to, or the failure of either the Investment Manager's, Administrator's or Sub- Administrator's accounting, dealings or payment systems, or the Custodian's records could prevent the accurate reporting or monitoring of the Company's financial position and the receipt or transmission of payments and the safeguarding of the Company's assets.

Other risks

Legal, tax and regulatory changes could occur that may adversely affect the Company.

Going Concern

The Directors considered it appropriate to prepare the Unaudited Interim Financial Statements on the going concern basis, as explained in the basis of preparation paragraph in Note 2 to the Unaudited Interim Financial Statements. In making this statement, the Directors have considered the levels of working capital available to the Company, the closed-ended nature of the Company and the tradable and liquid nature of the majority of the investment portfolio held.

The Directors have assessed the prospects of the Company over the period to 31 December 2023.

The review considers the Company's cash flow, cash distributions and other key financial ratios over the year. The review also makes certain assumptions about the normal level of expenditure likely to occur and considers whether financing facilities will be required. Furthermore, the review period to 31 December 2023 makes assumptions that the Company's NAV will not fall below £150m from June 2022. However, should the cash exit offer at the end of June 2022 and at the end of December 2022 be taken up in full the Company's NAV would likely drop below £150m after January 2023, which would result in a consideration to wind up the Company and would therefore have a material impact on viability.

Based on the Company's processes for monitoring operating costs, the Investment Manager's compliance with the investment objective, asset allocation, the portfolio risk profile, liquidity risk and financial controls, assuming stressed market conditions and the assumptions referred to above, the Directors have concluded that there is a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the period to 31 December 2023.

The Directors continue to take the view that the Company will remain a going concern.

Related Party Transactions

Other than fees payable in the ordinary course of business, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the six-month period to 30 June 2021. Additional related party disclosures are given in Note 3.

Directors' Responsibilities Statement

The Board of Directors confirms that, to the best of its knowledge:

The accompanying unaudited financial statements ("Financial Statements") are expressed in United States Dollar and have been prepared in accordance with accounting principles generally accepted in United Sates of America ("US GAAP").

The combination of the Chairman's Statement, the Investment Manager's Report and this Interim Management Report meet the requirements of an Interim Management Report, and include a fair review of the information required by:

1. DTR 4.2.7R of the DTR, of the U.K.'s FCA, being an indication of important events that have occurred during the first six months of the year and their impact on the financial statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and

2. DTR 4.2.8R of the DTR, of the U.K.'s FCA, being related party transactions that have taken place in the first six months of the current year and that have materially affected these Financial Statements or performance of the Company during that period and any material changes in the related party transactions described in the last annual report that could have such a material effect.

By order of the Board

Rupert Dorey

Chairman

7 September 2021

GOVERNANCE | Independent Review Report

Independent Review Report to the members of NB Global Monthly Income Fund Limited

Conclusion

We have been engaged by NB Global Monthly Income Fund Limited (the "Company") to review the interim financial statements (the "financial statements") in the half-yearly financial report for the six months ended 30 June 2021 of the Company which comprises the unaudited statement of assets and liabilities, unaudited statements of operations, changes in net assets, cash flows, unaudited condensed schedule of investments and the related explanatory notes.

Based on our review, nothing has come to our attention that causes us to believe that the financial statements for the six months ended 30 June 2021 do not give a true and fair view of the financial position of the Company as at 30 June 2021 and of its financial performance and its cash flows for the six month period then ended in conformity with the U.S generally accepted accounting principles and the Disclosure Guidance and Transparency Rules ("the DTR") of the UK's Financial Conduct Authority ("the UK FCA").

Scope of review

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

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

Directors' responsibilities

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

As disclosed in note 2, the financial statements of the Company are prepared in conformity of U.S generally accepted accounting principles.

Our responsibility

Our responsibility is to express to the Company a conclusion on the financial statements in the half-yearly financial report based on our review.

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

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

Dermot Dempsey

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants, Guernsey

7 September 2021

FINANCIAL STATEMENTS | Unaudited Statement of Assets and Liabilities

Unaudited Statement of Assets and Liabilities

AS AT 30 JUNE 2021 AND 31 december 2020 (Expressed in U.S. Dollars)	Notes	(unaudited) 30 June 2021	(audited) 31 december 2020
Assets
Investments, at fair value (2021: cost of $316,703,120, 2020: cost of $295,411,529)	2	322,361,445	297,712,245
Derivative assets, at fair value	2 (e)	871,438	12,993,970

Cash and cash equivalents, at cost:
- Sterling		1,015,748	1,795,941
- Euro		2,826,006	3,447,099
- U.S. Dollar		5,848,775	10,651,883
Total cash and cash equivalents		9,690,529	15,894,923
		332,923,412	326,601,138
Other assets
Receivables for investments sold		6,405,559	7,354,637
Interest receivable		3,201,455	2,044,589
Other receivables and prepayments		244,977	130,293

Total other assets		9,851,991	9,529,519

Total assets		342,775,403	336,130,657

Liabilities
Payables for investments purchased		14,059,795	17,812,405
Payables to Investment Manager and affiliates	3	615,706	567,605
Derivative liabilities, at fair value	2 (e)	50,743	108,468
Dividend payable		1,331,748	-
Accrued expenses and other liabilities	3	289,922	233,007
Total liabilities		16,347,914	18,721,485

Total assets less liabilities		326,427,489	317,409,172

Share capital		752,021,562	752,021,562
Accumulated reserves		(425,594,073)	(434,612,390)
Total net assets		326,427,489	317,409,172

Net Asset Value per share		£0.9559	£0.9394

The Unaudited Interim Financial Statements were approved and authorised for issue by the Board of Directors on

7 September 2021, and signed on its behalf by:

David Staples

Director

FINANCIAL STATEMENTS | Unaudited Condensed Schedule of Investments

Unaudited Condensed Schedule of Investments

As at 30 JUNE 2021 (Expressed in U.S. Dollars)	Cost	Fair Value	Fair Value as % of Net Assets
Portfolio of investments
Financial investments
- Private Debt	46,294,350	47,103,415	14.43%
- Special Situations	14,117,266	12,318,838	3.77%
- CLO Debt Tranches	27,193,326	27,315,651	8.37%
- Global High Yield Bonds	98,664,966	102,957,594	31.54%
- Global Floating Rate Loans	126,934,035	128,929,915	39.50%
- Equity	3,499,177	3,736,032	1.14%
Total financial investments	316,703,120	322,361,445	98.75%

Forward exchange contracts
- Euro to Sterling	-	(24,787)	(0.01%)
- Sterling to U.S. Dollar	-	497,790	0.15%
- U.S. Dollar to Euro	-	301,052	0.09%
- U.S. Dollar to Sterling	-	46,640	0.01%
	-	820,695	0.24%

	Cost	Fair Value	Fair Value as % of Net Assets
Geographic diversity of investment portfolio (domicile of issuer)
Asia	1,327,498	1,395,000	0.43%
Caribbean	2,924,492	2,940,969	0.90%
North America	264,916,253	269,010,846	82.40%
Europe	47,534,877	49,014,630	15.02%
	316,703,120	322,361,445	98.75%

As at 31 december 2020 (Audited) (Expressed in U.S. Dollars)	Cost	Fair Value	Fair Value as % of Net Assets
Portfolio of investments
Financial investments
- Private Debt	33,958,211	34,437,669	10.85%
- Special Situations	20,266,537	18,053,663	5.69%
- CLO Debt Tranches	20,809,276	20,794,373	6.55%
- Global High Yield Bonds	74,211,202	77,741,222	24.49%
- Global Floating Rate Loans	141,682,088	142,807,252	44.99%
- Equity	3,037,230	2,564,191	0.81%
- Warrants	1,446,985	1,313,875	0.41%
Total financial investments	295,411,529	297,712,245	93.79%

Forward exchange contracts
- Euro to Sterling	-	16,210	0.01%
- Sterling to U.S. Dollar	-	14,695,380	4.63%
- U.S. Dollar to Euro	-	(972,747)	(0.31%)
- U.S. Dollar to Sterling	-	(853,341)	(0.27%)
	-	12,885,502	4.06%

	Cost	Fair Value	Fair Value as % of Net Assets
Geographic diversity of investment portfolio (domicile of issuer)
Africa	428,624	439,656	0.14%
Caribbean	21,491,946	21,686,873	6.83%
North America	222,400,952	222,228,205	70.01%
Europe	51,090,007	53,357,511	16.81%
	295,411,529	297,712,245	93.79%

Industry diversity of Investment Portfolio	30 JUNE 2021 (unaudited)		31 DECEMBER 2020 (audited)
(Expressed in U.S. Dollars)	Cost	Fair Value	Cost	Fair Value
Aerospace & Defence	4,937,988	5,003,323	3,580,931	3,734,342
Air Transport	7,643,306	7,980,087	3,812,001	4,023,735
Automotive	5,880,025	6,165,418	3,638,794	3,907,317
Broadcast Radio & Television	3,874,887	4,396,515	5,569,180	5,315,591
Business Equipment & Services	24,076,074	23,928,672	16,540,266	16,359,847
Building & Development	8,209,279	8,533,997	5,673,567	5,914,375
Cable & Satellite Television	4,237,444	4,276,542	4,176,887	4,287,162
Chemicals & Plastics	5,849,135	5,993,072	7,569,955	7,801,492
Clothing & Textiles	3,144,203	3,178,200	1,089,218	1,113,735
Containers & Glass Products	3,649,161	3,684,062	8,399,895	8,692,676
Drugs	2,056,678	2,085,293	2,336,763	2,340,471
Electronics/Electrical	32,792,384	33,244,255	27,705,664	27,946,069
Equipment Leasing	2,667,309	3,125,490	682,670	892,500
Financial Intermediaries	35,478,599	35,979,290	27,342,736	27,598,620
Food Products	4,056,195	4,111,302	2,561,430	2,673,010
Food Service	3,700,069	3,868,958	2,880,703	2,882,709
Food/Drug Retailers	2,665,011	2,862,003	5,499,763	6,069,074
Forest Products	471,618	472,239	-	-
Health Care	30,651,333	30,745,617	37,928,909	37,490,825
Hotels & Casinos	5,948,848	6,234,513	7,657,376	7,869,935
Industrial Equipment	12,347,137	12,464,550	10,900,236	10,921,898
Insurance	5,510,217	5,547,167	6,924,232	6,983,828
Leisure Goods/Activities/Movies	17,725,468	18,800,238	15,659,107	16,484,850
Nonferrous Metals & Minerals	2,676,924	2,793,796	2,263,628	2,446,675
Oil & Gas	33,263,860	34,093,328	35,132,372	34,351,520
Retailers (except food and drug)	11,625,804	12,078,612	16,257,890	16,500,222
Steel	1,081,220	1,095,000	3,224,023	3,142,798
Surface Transport	4,613,635	4,681,763	556,729	700,866
Telecommunications/Cellular Communications	20,551,747	20,308,189	20,333,442	20,090,220
Utilities	15,317,562	14,629,954	9,513,162	9,175,883
	316,703,120	322,361,445	295,411,529	297,712,245

As at 30 June 2021, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash):

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair Value	% of NAV

Intelsat Jackson Holdings SA			5,842,101	1.79%
Intelsat DIP 1L 04/20	Luxembourg	Telecommunications/Cellular Communications	819,570	0.25%
Intelsat Jackson Holdings	Luxembourg	Telecommunications/Cellular Communications	3,532,875	1.08%
Intelsat Jackson Holdings	Luxembourg	Telecommunications/Cellular Communications	978,674	0.30%
Intelsat Jackson Holdings	Luxembourg	Telecommunications/Cellular Communications	510,982	0.16%

Team Health Holdings Inc.			5,480,942	1.68%
Team Health Holdings Inc.	United States	Health Care	2,627,762	0.81%
Team Health Holdings Inc. 6.375% 02/01/25	United States	Health Care	1,902,120	0.58%
Team Health Holdings Inc. 6.375% 02/01/25	United States	Health Care	951,060	0.29%

BCP			5,456,691	1.67%
Rover	United States	Oil & Gas	2,902,271	0.89%
BCPRAP T/L 1L USD	United States	Oil & Gas	2,554,420	0.78%

EG Finco LTD			5,238,008	1.60%
EG Global Finance Plc 8.500% 10/30/25	United Kingdom	Retailers (except food and drug)	1,194,975	0.37%
EG Group 2L T/L Eur 02/21	United Kingdom	Retailers (except food and drug)	2,405,571	0.74%
Optfin T/L B 1L GBP	United Kingdom	Retailers (except food and drug)	1,005,404	0.30%
Optfin T/L B1 1L EUR	United Kingdom	Retailers (except food and drug)	632,058	0.19%

Brock Holdings III Inc.			5,189,652	1.59%
Brock Holdings III Inc.	United States	Business Equipment & Services	2,373,584	0.73%
Brock Holdings Notes 15% 10/24/22	United States	Business Equipment & Services	2,816,068	0.86%

Carnival Corp			4,690,016	1.44%
Carnival 1L T/L-06/20	United States	Leisure Goods/Activities/Movies	1,883,605	0.58%
Carnival Corp 10.500% 02/01/26	Panama	Leisure Goods/Activities/Movies	186,280	0.06%
Carnival Corp 5.750% 03/01/27	Panama	Leisure Goods/Activities/Movies	492,325	0.15%
Carnival Corp 7.625% 03/01/26	Panama	Leisure Goods/Activities/Movies	1,287,206	0.39%
Carnival Corp 9.875% 08/01/27	Panama	Leisure Goods/Activities/Movies	677,150	0.21%
Carnival Corp 9.875% 08/01/27	Panama	Leisure Goods/Activities/Movies	163,450	0.05%

GTT Communications			4,375,446	1.34%
GTT Communications 1L DD 1	United States	Telecommunications/Cellular Communications	748,504	0.23%
GTT Communications 1L T/L 1	United States	Telecommunications/Cellular Communications	653,877	0.20%
GTT Communications BV	United States	Telecommunications/Cellular Communications	941,011	0.29%
GTT Communications Inc.	United States	Telecommunications/Cellular Communications	2,032,054	0.62%

CD&R Dock			4,343,451	1.33%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	2,931,982	0.90%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	330,685	0.10%
CD&R Firefly Bidco Ltd	United Kingdom	Retailers (except food and drug)	1,080,784	0.33%

Realogy Group			4,270,089	1.31%
Realogy Group/Co-Issuer 5.750% 01/15/29	United States	Building & Development	841,539	0.26%
Realogy Group/Co-Issuer 5.750% 01/15/29	United States	Building & Development	95,130	0.03%
Realogy Group LLC	United States	Building & Development	3,333,420	1.02%

Tenet Healthcare Corp			4,030,220	1.23%
Tenet Healthcare Corp 6.125% 10/01/28	United States	Health Care	693,420	0.20%
Tenet Healthcare Corp 6.125% 10/01/28	United States	Health Care	1,066,800	0.33%
Tenet Healthcare Corp 6.875% 11/15/31	United States	Health Care	2,270,000	0.70%

As at 30 June 2021, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash) (continued):

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair Value	% of NAV

Bass Pro Group			4,004,975	1.23%
Bass Pro 1L Tl-B 02/21	United States	Retailers (except food and drug)	4,004,975	1.23%

Colorado Buyer			3,671,716	1.12%
Colorado Buyer 2L Tl	United States	Telecommunications/Cellular Communications	3,671,716	1.12%

Envision Healthcare			3,463,215	1.06%
Envision Healthcare Corp 8.750% 10/15/26	United States	Health Care	290,500	0.09%
Envision Healthcare Corpora	United States	Health Care	3,172,715	0.97%

TRNTS			3,419,697	1.05%
TRNTS 2019-10X E Flt 04/15/32	United States	Financial Intermediaries	1,674,095	0.51%
TRNTS 2020-12X E Flt 04/25/33	United States	Financial Intermediaries	1,003,252	0.31%
TRNTS 2021-16X E Flt 07/15/34	United States	Financial Intermediaries	742,350	0.23%

Total			63,476,219	19.44%

As at 31 December 2020, issuers with the following investments comprised of greater than 1% of NAV (Excluding cash) (Audited):

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair Value	% of NAV

Intelsat Jackson Holdings SA			5,847,094	1.84%
Intelsat Jackson Holdings	Luxembourg	Telecommunications/Cellular Communications	3,530,407	1.11%
Intelsat Jackson Holdings	Luxembourg	Telecommunications/Cellular Communications	977,063	0.31%
Intelsat DIP 1L 04/20	Luxembourg	Telecommunications/Cellular Communications	830,059	0.26%
Intelsat Jackson Holdings	Luxembourg	Telecommunications/Cellular Communications	509,565	0.16%

Bass Pro Group LLC			5,766,992	1.82%
Bass Pro T/L-B 1L USD	United States	Retailers (except food and drug)	5,766,992	1.82%

VVC Holding Corp			5,170,918	1.63%
Athenahealth 1L T/L-B 1/19	United States	Health Care	3,448,868	1.09%
Athenahealth 2L T/L-B 1/18	United States	Health Care	1,722,050	0.54%

Brock Holdings III Inc.			4,993,182	1.57%
Brock Holdings Notes 15% 10/24/22	United States	Business Equipment & Services	2,619,598	0.82%
Brock Holdings III Inc.	United States	Business Equipment & Services	2,373,584	0.75%

GTT Communications			4,700,706	1.48%
GTT Communications Inc.	United States	Telecommunications/Cellular Communications	2,024,118	0.64%
GTT Communications BV	United States	Telecommunications/Cellular Communications	1,063,466	0.34%
GTT Communications 1L DD 1	United States	Telecommunications/Cellular Communications	1,026,532	0.32%
GTT Communications 1L T/L 1	United States	Telecommunications/Cellular Communications	586,590	0.18%

Kleopatra Holdings			4,663,721	1.47%
Kleopatra Holdings 2 SCA	Germany	Containers & Glass Products	4,663,721	1.47%

Carnival Corp			4,319,501	1.36%
Carnival 1L T/L-06/20	United States	Leisure Goods/Activities/Movies	1,901,594	0.60%
Carnival Corp 7.625% 03/01/26	Panama	Leisure Goods/Activities/Movies	1,291,046	0.41%
Carnival Corp 11.500% 04/01/23	Panama	Leisure Goods/Activities/Movies	965,861	0.30%
Carnival Corp 9.875% 08/01/27	Panama	Leisure Goods/Activities/Movies	161,000	0.05%

EG Finco LTD			4,088,060	1.29%
EG Group 2L TL EUR (3/18)	United Kingdom	Retailers (except food and drug)	2,101,040	0.66%
Optfin TL B 1L GBP	United Kingdom	Retailers (except food and drug)	988,238	0.31%
Optfin TL B1 1L EUR	United Kingdom	Retailers (except food and drug)	650,830	0.21%
Optfin TL 2L USD	United States	Retailers (except food and drug)	347,952	0.11%

Epicor Software Corp			3,691,163	1.16%
Epicor Software 1L T/L-B 07/20	United States	Electronics/Electrical	2,119,818	0.66%
Epicor Software 2L T/L-B 07/20	United States	Electronics/Electrical	1,571,345	0.50%

Aveanna Healthcare LLC			3,466,025	1.09%
Aveanna 1L TL 09/20	United States	Health Care	1,228,788	0.39%
Aveanna 2L TL 02/17	United States	Health Care	995,000	0.31%
Aveanna HEALTHCARE LLC	United States	Health Care	647,497	0.20%
Epic Health 1L TL	United States	Health Care	594,740	0.19%

Granite US Holdings Corp			3,429,314	1.08%
Granite US Holdings Corp	United States	Industrial Equipment	2,596,814	0.82%
Granite US Holdings Corp 110% 10/01/27	United States	Industrial Equipment	832,500	0.26%

Realogy Group			3,322,500	1.05%
Realogy Group LLC	United States	Building & Development	3,322,500	1.05%

Total			53,459,176	16.84%

As at 30 June 2021, the below were the largest 50 investments based on the NAV:

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair value $	%
Bass Pro 1L T/L-B 02/21	United States	Retailers (except food and drug)	4,004,975	1.23%
Colorado Buyer Colorado Buyer 2L T/L	United States	Telecommunications/Cellular Communications	3,671,716	1.12%
Intelsat Jackson Hldg	Luxembourg	Telecommunications/Cellular Communications	3,532,875	1.08%
Realogy Group LLC	United States	Building & Development	3,333,420	1.02%
Enterprise Merger Sub Inc	United States	Health Care	3,172,715	0.97%
Traverse Midstream Partners LLC	United States	Oil & Gas	3,065,943	0.94%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	2,931,982	0.90%
Rover	United States	Oil & Gas	2,902,271	0.89%
Cineworld Cinemas Holdings Ltd	United States	Leisure Goods/Activities/Movies	2,877,677	0.88%
Uniti Group Inc	United States	Telecommunications/Cellular Communications	2,868,656	0.88%
Transdigm Inc 4.875% 05/01/29 Sr:144A	United States	Aerospace & Defence	2,863,350	0.88%
Tallgrass Energy LP	United States	Oil & Gas	2,863,107	0.88%
Brock Holdings III Inc	United States	Business Equipment & Services	2,816,068	0.86%
Deerfield Duff & Phelps LLC	United States	Business Equipment & Services	2,782,916	0.85%
Constellation Automotive Limited	United Kingdom	Automotive	2,741,147	0.84%
Team Health Holdings Inc	United States	Health Care	2,627,762	0.81%
Milano Acquisition LLC	United States	Insurance	2,587,835	0.79%
Eagleclaw	United States	Oil & Gas	2,554,420	0.78%
Aadvantage 1L T/L 03/21	United States	Air Transport	2,494,991	0.76%
United Airlines 1L T/L-B 04/21	United States	Air Transport	2,433,352	0.75%
Hertz 1L Dip DD 10/20 DIP	United States	Surface Transport	2,426,144	0.74%
Eg Group 2L T/L Eur 02/21	United Kingdom	Retailers (except food and drug)	2,405,571	0.74%
Brock Holdings III Inc	United States	Business Equipment & Services	2,373,584	0.73%
Tenet Healthcare Corporation	United States	Health Care	2,270,000	0.70%
Caprock Midstream LLC	United States	Oil & Gas	2,253,209	0.69%
Ahead Db 1L T/L-B 04/21	United States	Electronics/Electrical	2,252,453	0.69%
Aa Bond Co Ltd 6.500% 01/31/26	United States	Financial Intermediaries	2,202,912	0.67%
Sophia LP	United States	Electronics/Electrical	2,165,625	0.66%
Global Air Lease Co Ltd 6.500% 09/15/24	United States	Equipment Leasing	2,083,660	0.64%
Vivint Inc	United States	Business Equipment & Services	2,070,390	0.63%
Antero Midstream Partners LP	United States	Oil & Gas	2,060,873	0.63%
Alterra Mountain Co	United States	Leisure Goods/Activities/Movies	2,040,368	0.63%
GTT Communications Inc	United States	Telecommunications/Cellular Communications	2,032,054	0.62%
Magnetite CLO Ltd Mgane_15-15X	United States	Financial Intermediaries	2,030,016	0.62%
Kestrel Acquisition LLC	United States	Utilities	2,029,278	0.62%
Woof Intermediate Inc	United States	Food Products	2,020,000	0.62%
MHI Holdings Llc	United States	Industrial Equipment	2,016,941	0.62%
First Brands 1L T/L-B 03/21	United States	Automotive	2,015,788	0.62%
Dedalus Finance Gmbh	Italy	Electronics/Electrical	2,008,135	0.62%
Apidos CLO Apid_20-34X	United States	Financial Intermediaries	2,007,403	0.61%
New Fortress Energy Inc 6.500% 09/30/26	United States	Utilities	2,002,728	0.61%
Quantum Health 1L T/L 11/20	United States	Health Care	1,997,500	0.61%
ITT Holdings Llc	United States	Surface Transport	1,990,000	0.61%
Pro Mach 1L T/L-B 07/20	United States	Industrial Equipment	1,931,717	0.59%
Oryx Midstream Holdings LLC	United States	Oil & Gas	1,911,805	0.59%
Tech Data Corporation	United States	Electronics/Electrical	1,910,364	0.59%
Team Health Holdings Inc 6.375% 02/01/25	United States	Health Care	1,902,120	0.58%
Carnival Corp	United States	Leisure Goods/Activities/Movies	1,883,605	0.58%
Ivanti 1L T/L-B 11/20	United States	Business Equipment & Services	1,785,775	0.55%
Edelman Financial 2L T/L (6/18)	United States	Financial Intermediaries	1,775,168	0.54%
			120,982,364	37.06%

As at 31 December 2020, the below were the largest 50 investments based on the NAV (Audited):

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair value $	%
Bass Pro 1L T/L-B	United States	Retailers (except food and drug)	5,766,992	1.82%
Kleopatra Holdings 2 SCA	Germany	Containers & Glass Products	4,663,721	1.47%
Intelsat Jackson Hldg	Luxembourg	Telecommunications/Cellular Communications	3,530,407	1.11%
Athenahealth 1L T/L-B 1/19	United States	Health Care	3,448,868	1.09%
Realogy Group LLC	United States	Building & Development	3,322,500	1.05%
Enterprise Merger Sub Inc.	United States	Health Care	3,096,917	0.98%
Eagleclaw	United States	Oil & Gas	2,994,580	0.94%
Rover	United States	Oil & Gas	2,868,510	0.90%
Team Health Holdings Inc.	United States	Health Care	2,866,589	0.90%
Uniti Group Inc.	United States	Telecommunications/Cellular Communications	2,802,750	0.88%
Deerfield Duff & Phelps LLC	United States	Business Equipment & Services	2,786,967	0.88%
Constellation Automotive Limited	United Kingdom	Automotive	2,710,939	0.85%
Caprock Midstream LLC	United States	Oil & Gas	2,689,685	0.85%
Playtika Holding Corp	United States	Leisure Goods/Activities/Movies	2,661,648	0.84%
Brock Holdings III Inc.	United States	Business Equipment & Services	2,619,598	0.83%
Cineworld Cinemas Holdings Ltd	United States	Leisure Goods/Activities/Movies	2,606,311	0.82%
Granite US Holdings Corp	United States	Industrial Equipment	2,596,814	0.82%
Milano Acquisition LLC	United States	Insurance	2,590,666	0.82%
Medallion Midland Acquisition LP	United States	Oil & Gas	2,541,000	0.80%
Casino Guichard Perrachon SA	France	Food/Drug Retailers	2,479,391	0.78%
First Quantum Minerals Ltd	Canada	Nonferrous Metals & Minerals	2,446,675	0.77%
Traverse Midstream Partners LLC	United States	Oil & Gas	2,414,742	0.76%
Brock Holdings III Inc.	United States	Business Equipment & Services	2,373,584	0.75%
Oryx Midstream Holdings LLC	United States	Oil & Gas	2,370,147	0.75%
Mrc Global (US) Inc.	United States	Steel	2,293,423	0.72%
Garda World Security Corp (Ontario)	Canada	Business Equipment & Services	2,287,712	0.72%
Asurion LLC	United States	Insurance	2,211,920	0.70%
Ahead DB Borrower LLC	United States	Electronics/Electrical	2,208,510	0.70%
Tallgrass Energy LP	United States	Oil & Gas	2,203,833	0.69%
Epicor Software Corp	United States	Electronics/Electrical	2,119,818	0.67%
Kestrel Acquisition LLC	United States	Utilities	2,118,511	0.67%
Tenet Healthcare Corporation	United States	Health Care	2,110,000	0.66%
Ortho-Clinical Diagnostics Inc.	United States	Health Care	2,110,000	0.66%
Eg Finco Ltd	United Kingdom	Retailers (except food and drug)	2,101,040	0.66%
Sophia LP	United States	Electronics/Electrical	2,079,000	0.65%
Dedalus Finance Gmbh	Germany	Electronics/Electrical	2,074,106	0.65%
Vivint Inc	United States	Business Equipment & Services	2,058,997	0.65%
Alterra Mountain Co	United States	Leisure Goods/Activities/Movies	2,054,527	0.65%
Lucid Energy Group II Borrower LLC	United States	Oil & Gas	2,034,209	0.64%
GTT Communications Inc.	United States	Telecommunications/Cellular Communications	2,024,118	0.64%
MHI Holdings Llc	United States	Industrial Equipment	2,012,018	0.63%
Woof Intermediate Inc.	United States	Food Products	2,005,000	0.63%
Consolidated Communications Inc.	United States	Telecommunications/Cellular Communications	2,001,344	0.63%
Magnetite CLO Ltd Mgane_15-15X	Cayman Islands	Financial Intermediaries	1,992,168	0.63%
Apidos CLO Apid_20-34X	Cayman Islands	Financial Intermediaries	1,980,478	0.62%
ITT Holdings LLC	United States	Oil & Gas	1,980,000	0.62%
Quantum Health Inc.	United States	Health Care	1,975,000	0.62%
Tech Data Corporation	United States	Electronics/Electrical	1,910,412	0.60%
Antero Midstream Partners LP	United States	Oil & Gas	1,904,078	0.60%
Carnival Corp	United States	Leisure Goods/Activities/Movies	1,901,594	0.60%
			125,001,817	39.37%

FINANCIAL STATEMENTS | Unaudited Statement of Operations

Unaudited Statement of Operations

(Expressed in U.S. Dollars)	Note	(unaudited) 1 January 2021 to 30 JUNE 2021	(unaudited) 1 January 2020 to 30 JUNE 2020
Income
Interest income net of withholding taxes	2(b)	9,730,851	12,240,875
Other income from investments		237,690	53,969
Total income		9,968,541	12,294,844

Expenses
Investment management and services	3	1,211,943	1,531,553
Administration and professional fees	3	454,530	324,848
Directors' fees and travel expenses	3	125,988	115,113
Total expenses		1,792,461	1,971,514

Net investment income		8,176,080	10,323,330

Realised and unrealised gains and losses
Net realised gain/(loss) on investments	2(e)	3,641,818	(16,673,544)
Net realised gain/(loss) on derivatives	2(e)	15,888,418	(659,953)
Total net realised gain/(loss)		19,530,236	(17,333,497)

Net change in unrealised appreciation/(depreciation) on investments	2(e)	2,896,505	(25,031,445)
Net change in unrealised depreciation on derivatives	2(e)	(12,064,807)	(37,926,767)
Total net unrealised depreciation		(9,168,302)	(62,958,212)

Realised and unrealised loss on foreign currency	2(e)	(146,273)	(110,585)

Net realised and unrealised gain/(loss)		10,215,661	(80,402,294)

Net increase/(decrease) in net assets resulting from operations		18,391,741	(70,078,964)

Earnings per share		$0.0744	$(0.1746)

FINANCIAL STATEMENTS | Unaudited Statement of Changes in Net Assets

Unaudited Statement of Changes in Net Assets


FOR THE period 1 January 2021 to 30 JUNE 2021 (Expressed in U.S. Dollars)		VALUE
Net assets as at 1 January 2021		317,409,172
Dividends		(9,373,424)
Net increase in net assets resulting from operations		18,391,741
Net assets as at 30 June 2021		326,427,489


FOR THE period 1 January 2020 to 30 JUNE 2020 (Expressed in U.S. Dollars)		VALUE
Net assets as at 1 January 2020		578,032,783
Dividends		(11,542,316)
Net movement from share buybacks and share conversions		(50,481,336)
Net decrease in net assets resulting from operations		(70,078,964)
Net assets as at 30 June 2020		445,930,167

FINANCIAL STATEMENTS | Unaudited Statement of Cash Flows

Unaudited Statement of Cash Flows

(Expressed in U.S. Dollars)	(unaudited) 1 January 2021 to 30 JUNE 2021	(unaudited) 1 January 2020 to 30 JUNE 2020
Cash flows from operating activities:
Net increase/(decrease) in net assets resulting from operations	18,391,741	(70,078,964)
Adjustment to reconcile net increase/(decrease) in net assets resulting from operations to net cash provided by operating activities:
Net realised (gain)/loss on investments	(3,641,818)	16,673,544
Net change in unrealised depreciation on investments and derivatives	9,168,302	62,958,212
Net change in unrealised (loss)/gain on translation of assets and liabilities	457,533	(401,386)
Amortisation of discounts/premiums	(296,851)	(329,758)
Changes in receivables for investments sold	949,078	2,810,740
Changes in interest receivable	(1,156,866)	207,612
Changes in other receivables and prepayments	(114,684)	(146,073)
Changes in payables for investments purchased	(3,752,610)	3,952,720
Changes in payables to Investment Manager and affiliates	48,101	(266,768)
Changes in accrued expenses and other liabilities	56,915	(75,115)
Purchase of investments	(129,966,492)	(177,268,740)
Realisation of investments	112,152,466	218,717,495
Net cash generated from operating activities	2,294,815	56,753,519

Cash flows from financing activities:
Net movement from share buybacks and share swaps	-	(55,277,454)
Dividends paid	(8,041,676)	(11,542,316)
Net cash used in financing activities	(8,041,676)	(66,819,770)

Effect of exchange rate changes on cash	(457,533)	401,386

Net decrease in cash and cash equivalents	(6,204,394)	(9,664,865)

Cash and cash equivalents at beginning of the period	15,894,923	21,067,716

Cash and cash equivalents at end of the period	9,690,529	11,402,851

FINANCIAL STATEMENTS | Notes to the Unaudited Interim Financial Statements

For the period ended 30 June 2021

NOTE 1 - DESCRIPTION OF BUSINESS

The Company is a closed-ended investment company incorporated and registered in Guernsey with registered number 53155. It is a non-cellular company limited by shares and has been declared by the Guernsey Financial Services Commission to be a registered closed-ended collective investment scheme. On 20 April 2011, the Company was admitted to the Official List of the UK Listing Authority with a premium listing trading on the Main Market of the LSE.

As previously required under Article 51 of the Company's Articles of Incorporation (applicable at the time), at the AGM held on 11 June 2020 an ordinary resolution was proposed that the Company continues its business as a closed-ended investment company and was duly passed. Following the EGM held on 8 September 2020 where all resolutions were passed, the Company adopted new Articles which no longer require that a continuation vote be proposed. As per the approved restructuring proposals, the Directors, taking into account market conditions, intend to propose a wind-up of the Company should its NAV drop below £150 million from 30 June 2022.

The Company's investment objective is to provide its shareholders with consistent levels of monthly income, while maintaining or increasing the Net Asset Value ("NAV") per share over time. To pursue its investment objective, the Company invests in credit assets with the following target portfolio allocations: (i) 50-70% in traditional credit, meaning high yield bonds, floating rate loans and investment grade corporate bonds; and (ii) 30-50% in alternative credit, meaning "special situations" (consisting generally of tradeable but less liquid debt securities, such as stressed credit and CLO debt tranches), mezzanine debt, "club" loan transactions (being syndicated lending opportunities presented through the Company's or Investment Manager's relationship with loan arrangers and/or borrowers) and private corporate loans issued directly to borrowers. Investments in alternative credit will not represent more than 50% of Net Asset Value at the time of investment.

The Company's share capital is denominated in Pound Sterling and consists of 323,268,152 Pound Sterling Ordinary Shares as at 30 June 2021, of which 76,083,114 were held in treasury. Effective 3 August 2020 the U.S. Dollar Ordinary Shares were compulsorily converted into Sterling Ordinary Shares and the U.S. Dollar share class was subsequently de-listed and closed.

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of preparation

The Company is regarded as an Investment Company and it follows the accounting and reporting requirements of the Financial Accounting Standards Board Accounting Standards ("FASB") Codification ("ASC") Topic 946 ("ASC946"). The Board believes that the underlying assumptions are appropriate and that the Company's Unaudited Financial Interim Statements therefore present a true and fair view of the results and financial position.

The Directors have undertaken a rigorous review of the Company's ability to continue as a going concern including reviewing the on-going cash flows and the level of cash balances, the liquidity of investments and the income deriving from those investments as of the reporting date as well as taking into consideration the impacts of COVID-19 and have determined that the Company has adequate financial resources to meet its liabilities as they fall due.

After making enquiries of the Investment Manager and the Sub-Administrator, the Directors are satisfied that no material uncertainties exist and have a reasonable expectation that the Company has adequate resources to continue in operational existence for at least one year from the date these Financial Statements were signed. Accordingly, the Directors continued to adopt a going concern basis in preparing these Financial Statements.

New Accounting Standards

There are no new accounting standards or updates to existing standards that would be expected to have a significant impact on the Company.

(a) Critical accounting judgement and estimates

The preparation of Financial Statements in conformity with US GAAP requires that the Directors make estimates and assumptions that affect the application of policies and reported amounts of assets and liabilities, income and expenses. Such estimates and associated assumptions are generally based on historical experience and various other factors that are believed to be reasonable under the circumstances, and form the basis of making the judgments about attributing values of assets and liabilities that are not readily apparent from other sources. Actual results may vary from such accounting estimates in amounts that may have a material impact on the financial results and position of the Company.

Critical accounting estimates

The only area where estimates are significant to the Financial Statements is the valuation of investments in Note 2(e).

Critical judgements

The functional currency for the Company is U.S. Dollars because this is the currency of the primary economic environment in which it operates.

The Directors consider that the Company is engaged in a single segment of business, being investment into credit assets with target portfolio allocations as per the Company's investment policy, hence segment reporting is not required.

(b) Revenue recognition

Interest earned on debt instruments is accounted for net of applicable withholding taxes and is recognised as income over the terms of the loans. Discounts received or premiums paid in connection with the acquisition of loans are amortised into interest income using the effective interest method over the contractual life of the related loan. If a loan is paid off prior to maturity, the recognition of the fees and costs is accelerated as appropriate. The Company raises a provision when the collection of interest is deemed doubtful.

The Company's cash and cash equivalents comprise cash in hand and demand deposits and highly liquid investments with original maturities of less than 90 days that are both readily convertible to known amounts of cash and so near maturity that they represent insignificant risk of changes in value.

(d) Foreign currency translation

Monetary assets and liabilities denominated in a currency other than U.S. Dollars are translated into U.S. Dollar equivalents using spot rates as at the reporting date. On initial recognition, a foreign currency transaction is recorded and translated at the spot exchange rate at the transaction date. Non-monetary assets and liabilities measured at fair value are translated using spot rates as at the date when fair value is determined. Transactions during the period, including purchases and sales of securities, income and expenses, are translated at the rate of exchange prevailing on the date of the transaction. The rates of exchange against U.S. Dollars at 30 June 2021 were 1.38150 USD: 1GBP and 1.18590 USD: 1EUR (31 December 2020 were 1.36720 USD: 1GBP and 1.22360 USD: 1EUR).

(e) Fair value of financial instruments and derivatives

A financial instrument is defined by FASB ASC 825 as cash, evidence of an ownership interest in an entity, or a contract that creates a contractual obligation or right to deliver to or receive cash or another financial instrument from a second entity on potentially favourable terms. Fair value estimates are made at a discrete point in time, based on relevant market data, information about the financial instruments, and other factors.

Fair value was determined using available market information and appropriate valuation methodologies. Estimates of fair value of financial instruments without quoted market prices are subjective in nature and involve various assumptions and estimates that are matters of judgment. Accordingly, fair values are not necessarily indicative of the amounts realised on disposition of financial instruments. The use of different market assumptions and/or estimation methodologies may have a material effect on estimated fair value amounts.

The following estimates and assumptions were used at 30 June 2021 to estimate the fair value of each class of financial instruments:

- Valuation of financial investments - The special situations, CLO debt tranches, private debt, global floating rate loans, warrants and bonds are valued at bid price. The Investment Manager and the Directors believe that bid price is the best estimate of fair value and is in line with the valuation policy adopted by the Company. In cases where no third party price is available, or where the Investment Manager determines that the provided price is not an accurate representation of the fair value of the investment, the Investment Manager will determine the valuation based on the Investment Manager's fair valuation policy. Any investments made through the secondary market are generally marked based on market quotations, to the extent available, and the Investment Manager will take into account current pricing of the security.

- Cash and cash equivalents - The net realisable value is a reasonable estimate of fair value due to the short-term nature of these instruments.

- Receivables for investments sold - The net realisable value reasonably approximates fair value as they reflect the value at which investments are sold to a willing buyer and settlement period on their balances is short term.

- Interest receivables - The net realisable value reasonably approximates fair value.

- Other receivables - The net realisable value reasonably approximates fair value.

- Private Debt - For the primary issuance of private debt investments, the valuation is based on a discounted cash flow (DCF) approach. For secondary purchases, the valuation is based on unadjusted broker quotes or pricing provided by approved pricing sources.

- Derivatives - The Company estimates fair values of derivatives based on the latest available forward exchange rates.

- Payables for investments purchased - The net realisable value reasonably approximates fair value as they reflect the value at which investments are purchased from a willing seller and settlement period on their balances is short term.

- Payables to the Investment Manager and affiliates - The net realisable value reasonably approximates fair value.

- Accrued expenses and other liabilities - The net realisable value reasonably approximates fair value.

A fair value hierarchy that prioritises the inputs to valuation techniques used to measure fair value is established under FASB ASC Topic 820. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to valuations based upon unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (Level 3). The levels of the fair value hierarchy under FASB ASC Topic 820-10-35-39 to 55 are as follows:

The guidance establishes three levels of the fair value hierarchy as follows:

Level 1: Quoted prices are available in active markets for identical investments as of the reporting date.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.

Level 3: Pricing inputs are unobservable for the investment and include situations where there is little, if any, market activity for the investment. The inputs used in the determination of the fair value require significant management judgement or estimation.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.Transfers between levels of the fair value hierarchy are deemed to have occurred at the end of the reporting period.

The following table details the Company's financial instruments that were accounted for at fair value as at 30 June 2021.

Financial Instruments at Fair Value as at 30 JUNE 2021
Financial investments	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Private Debt	-	45,633,415	1,470,000	47,103,415
Special Situations	-	12,318,838	-	12,318,838
CLO Debt Tranches	-	20,030,600	7,285,051	27,315,651
Global High Yield	3,186,959	96,954,567	2,816,068	102,957,594
Global Floating Rate Loans	-	128,929,915	-	128,929,915
Equity	1,362,448	-	2,373,584	3,736,032
Total financial investments	4,549,407	303,867,335	13,944,703	322,361,445

	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Balance at start of the period	-	264,634,951	33,077,294	297,712,245
Purchases during the period ¹	2,145,963	152,102,348	1,929,463	156,177,774
Sales during the period ¹	(1,142,444)	(127,807,384)	(9,413,920)	(138,363,748)
Realised gain on investments	454,624	2,456,040	731,154	3,641,818
Unrealised gain on revaluation	589,484	2,056,544	250,477	2,896,505
Amortisation	-	296,851	-	296,851
Transfer from Level 3 to Level 1	1,446,985	-	(1,446,985)	-
Transfer from Level 2 to Level 1	1,054,795	(1,054,795)	-	-
Transfer from Level 3 to Level 2	-	16,301,438	(16,301,438)	-
Transfer from Level 2 to Level 3	-	(5,118,658)	5,118,658	-
Balance at end of the period	4,549,407	303,867,335	13,944,703	322,361,445

¹Included in these figures is $26,211,282 of non-cash transactions. These arose due to the repricing and restructuring of certain investments during the period These have been excluded from the sales and purchases in the cash flow statement.
DERIVATIVES at Fair Value as at 30 JUNE 2021
Financial assets	No. of contracts	NOTIONAL AMOUNTS	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Derivatives (for hedging purposes only)	11	744,867,188	-	871,438	-	871,438
Financial liabilities
Derivatives (for hedging purposes only)	8	(754,947,258)	-	(50,743)	-	(50,743)
Total	20	(10,080,070)	-	820,695	-	820,695

The Company considers the notional amounts as at 30 June 2021 to be representative of the volume of its derivative activities during the period ended 30 June 2021.

The following table details the Company's financial instruments that were accounted for at fair value as at 31 December 2020.

Financial Instruments at Fair Value as at 31 DECEMBER 2020
Financial investments	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Private Debt	-	24,264,306	10,173,363	34,437,669
Special Situations	-	18,053,663	-	18,053,663
CLO Debt Tranches	-	19,694,373	1,100,000	20,794,373
Global High Yield	-	75,121,624	2,619,598	77,741,222
Global Floating Rate Loans	-	127,310,378	15,496,874	142,807,252
Equity	-	190,607	2,373,584	2,564,191
Warrants	-	-	1,313,875	1,313,875
Total financial investments	-	264,634,951	33,077,294	297,712,245

	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Balance at start of the year	1,503,253	495,662,575	28,468,522	525,634,350
Purchases during the year ¹	117,601	391,420,018	27,609,409	419,147,028
Sales during the year ¹	(726,452)	(620,534,224)	(14,273,003)	(635,533,679)
Realised loss on investments	(1,283,238)	(18,420,018)	(3,795,079)	(23,498,335)
Unrealised gain on revaluation	388,836	9,586,606	1,250,287	11,225,729
Amortisation	-	737,152	-	737,152
Transfer from Level 3 to Level 2	-	6,182,842	(6,182,842)	-
Balance at end of the year	-	264,634,951	33,077,294	297,712,245

¹Included in these figures is $19,518,509 of non-cash transactions. These arose due to the repricing and restructuring of certain investments during the year. These have been excluded from the sales and purchases in the cash flow statement.
DERIVATIVES at Fair Value as at 31 December 2020
Financial assets	No. of contracts	NOTIONAL AMOUNTS	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Derivatives (for hedging purposes only)	14	2,277,246,283	-	12,993,970	-	12,993,970
Financial liabilities
Derivatives (for hedging purposes only)	4	(2,220,868,977)	-	(108,468)	-	(108,468)
Total	18	56,377,306	-	12,885,502	-	12,885,502

The Company considers the notional amounts as at 31 December 2020 to be representative of the volume of its derivative activities during the year ended 31 December 2020.

Derivative activity

The following table, at 30 June 2021, show the gross and net derivatives assets and liabilities by contract type and amount for those derivatives contracts for which netting is permissible.

DESCRIPTION	GROSS AMOUNTS OF RECOGNISED ASSETS ($)	GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES ($)	NET AMOUNTS OF RECOGNISED ASSETS PRESENTED IN THE UNAUDITED CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES ($)
DESCRIPTION	GROSS AMOUNTS OF RECOGNISED ASSETS ($)
Forward currency contracts	990,676	(119,238)	871,438
Total	990,676	(119,238)	871,438

Description	Gross Amounts of Recognised Liabilities ($)	Gross Amounts Offset in the Statements of Assets and Liabilities ($)	Net Amounts of Recognised LIABILITIES Presented in the Unaudited Consolidated Statement of Assets and Liabilities ($)
Description	Gross Amounts of Recognised Liabilities ($)
Forward currency contracts	(169,981)	119,238	(50,743)
Total	(169,981)	119,238	(50,743)

The following table, at 31 December 2020, show the gross and net derivatives assets and liabilities by contract type and amount for those derivatives contracts for which netting is permissible.

DESCRIPTION	GROSS AMOUNTS OF RECOGNISED ASSETS ($)	GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES ($)	NET AMOUNTS OF RECOGNISED ASSETS PRESENTED IN THE UNAUDITED CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES ($)
DESCRIPTION	GROSS AMOUNTS OF RECOGNISED ASSETS ($)
Forward currency contracts	14,711,590	(1,717,620)	12,993,970
Total	14,711,590	(1,717,620)	12,993,970

Description	Gross Amounts of Recognised Liabilities ($)	Gross Amounts Offset in the Statements of Assets and Liabilities ($)	Net Amounts of Recognised LIABILITIES Presented in the Unaudited Consolidated Statement of Assets and Liabilities ($)
Description	Gross Amounts of Recognised Liabilities ($)
Forward currency contracts	(1,826,088)	1,717,620	(108,468)
Total	(1,826,088)	1,717,620	(108,468)

The derivatives assets and liabilities per each counterparty are offset in accordance with the guidance in Accounting Standards Codification Topic 210 (ASC 210) section 210-20-45 and ASC 815 section 815-10-45 to determine the net amounts presented in the Statement of Assets and Liabilities. All derivative trades have an enforceable master netting agreement so the net amount based on this is the same as the net amount disclosed in the Statement of Assets and Liabilities. As at 30 June 2021, there were 5 counterparties for the forward contracts (31 December 2020: 5).

Due to changes in observable inputs, the Company transferred securities from Level 2 to Level 3 and from Level 3 to Level 2 of the fair value hierarchy. Level 3 assets are valued using single broker quotes or valuation models.

The following tables summarise the significant unobservable inputs the Company used to value its investments categorised within Level 3 at 30 June 2021. The tables are not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the determination of fair values.

Unobservable Inputs as at 30 JUNE 2021

Sector	Fair Value ($)	Primary Valuation Technique	Significant unobservable Inputs	Range / INPUT*	Weighted Average
Private Debt	1,470,000	Vendor Pricing	Unadjusted Broker Quote	1	N/A
CLO Debt Tranches	7,285,051	Vendor Pricing	Unadjusted Broker Quote	1	N/A
Global High Yield	2,816,068	Vendor Pricing	Enterprise Value	N/A	N/A
Equity	2,373,584	Market Comparables	EBITDA multiple	4-18	N/A
Total	13,944,703

* Debt Investments with a single broker quote result in Level 3 classification. Unobservable inputs from the broker quote were not included because the Company does not develop the quantitative inputs and they are not readily available. The EBITDA multiple increase/(decrease) results in an increase/(decrease) in the valuation of the equity.

Unobservable Inputs as at 31 DECEMBER 2020

Sector	Fair Value ($)	Primary Valuation Technique	Significant unobservable Inputs	Range / INPUT*	Weighted Average
Private Debt	10,173,363	Vendor Pricing	Unadjusted Broker Quote	1	N/A
CLO Debt Tranches	1,100,000	Vendor Pricing	Unadjusted Broker Quote	1	N/A
Global High Yield	2,619,598	Vendor Pricing	Enterprise Value	N/A	N/A
Global Floating Rate Loans	15,496,874	Vendor Pricing	Enterprise Value	1	N/A
Equity	2,373,584	Market Comparables	EBITDA multiple	4-18	N/A
Warrants	1,313,875	Vendor Pricing	Exercise Price	N/A	N/A
Total	33,077,294

The following table presents the impact of derivative instruments on the Statement of Operations in conformity with US GAAP.

Primary underlying risk	(UNAUDITED) FOR THE PERIOD ENDED 30 JUNE 2021 ($)	(UNAUDITED) FOR THE PERIOD ENDED 30 JUNE 2020 ($)
Net realised gain/(loss) on derivatives	15,888,418	(659,953)
Net change in unrealised depreciation on derivatives	(12,064,807)	(37,926,767)
Total	3,823,611	(38,586,720)

Primary underlying risks (credit risk, liquidity risk and market risk) associated with the derivatives are explained in Note 4.

There is no collateral for forward contracts.

The Company presents the gain or loss on derivatives in the Statement of Operations.

The Company, where possible, uses independent third party vendors to price its portfolio. As part of its valuation process, the AIFM evaluates the number of broker quotes that combine to make up the valuation provided by these vendors and if it believes that the number of broker quotes is not sufficient to ensure a Level 2 price it designates those positions Level 3. As at 30 June 2021 the AIFM designated Nil (31 December 2020: 14) of its Global Floating Rate loans, 1 (31 December 2020: 8) of its Private Debt loans, 1 (31 December 2020: 1) Global High Yield Bonds and 8 (31 December 2020: 2) CLO Debt Tranches at Level 3. With respect to the level 3 equity positions, the Investment Manager's Investment Committee has derived the fair value, based on comparable companies in similar industries. Level 1 positions are listed on an exchange. Level 2 positions are observable pricing inputs in active markets and fair value is determined through use of models or other valuation methodologies.

The net realised and unrealised gain/(loss) on investments shown in the Statement of Operations For the period ended 30 June 2021 by type of investment is as follows:

FOR THE PERIOD ENDED 30 JUNE 2021 (EXPRESSED IN U.S. DOLLARS)
Realised gain on investments	4,455,575
Realised loss on investments	(813,757)
	3,641,818
Realised gain on derivatives	21,649,677
Realised loss on derivatives	(5,761,259)
	15,888,418
Unrealised gain on investments	7,441,167
Unrealised loss on investments	(4,544,662)
	2,896,505
Unrealised gain on derivatives	2,856,106
Unrealised loss on derivatives	(14,920,913)
	(12,064,807)
Realised and unrealised gain on foreign currency transactions	1,221,703
Realised and unrealised loss on foreign currency transactions	(1,367,976)
	(146,273)

The net realised and unrealised gain/(loss) on investments shown in the Statement of Operations for the period ended 30 June 2020 by type of investment is as follows:

FOR THE PERIOD ENDED 30 JUNE 2020 (EXPRESSED IN U.S. DOLLARS)
Realised gain on investments	845,305
Realised loss on investments	(17,518,849)
	(16,673,544)
Realised gain on derivatives	52,260,492
Realised loss on derivatives	(52,920,445)
	(659,953)
Unrealised gain on investments	3,974,975
Unrealised loss on investments	(29,006,390)
	(25,031,445)
Unrealised gain on derivatives	16,328,409
Unrealised loss on derivatives	(54,255,176)
	(37,926,767)
Realised and unrealised gain on foreign currency transactions	624,216
Realised and unrealised loss on foreign currency transactions	(734,801)
	(110,585)

(f) Investment Transactions, Investment Income, Expenses and Valuation

All investment transactions are recorded on a trade date basis. Upon sale or maturity, the difference between the consideration received and the cost of the investment is recognised as a realised gain or loss. The cost is determined based on the first in, first out ("FIFO") cost method.

Operating expenses are recognised on an accruals basis. Operating expenses include amounts directly or indirectly incurred by the Company as part of its operations. Any costs incurred by a share buyback and by a re-issue of shares held in treasury will be charged to that share class.

The Company carries investments on its Statement of Assets and Liabilities at fair value in accordance with US GAAP, with changes in fair value recognised within the Statement of Operations in each reporting period. Quoted investments are valued according to their bid price as at the close of the relevant reporting date. Investments in private securities are priced at the bid price using a pricing service for private loans. Asset backed securities are valued according to their bid price. If a price cannot be ascertained from the above sources, the Company will seek bid prices from third party broker/dealer quotes for the investments. The Directors believe that bid price is the best estimate of fair value and is in line with the valuation policy adopted by the Company.

In cases where no third party price is available, or where the Investment Manager determines that the provided price is not an accurate representation of the fair value of the investment, the Investment Manager determines the valuation based on the Investment Manager's fair valuation policy. The overall criterion for fair value is a price at which the securities involved would change hands in a transaction between a willing buyer and a willing seller, neither being under compulsion to buy or sell and both having the same knowledge of the relevant facts.

Consistent with the above criterion, the following criteria are considered when applicable:

· Valuation of other securities by the same issuer for which market quotations are available;

· Reasons for absence of market quotations;

· The credit quality of the issuer and the related economics;

· Recent sales prices and/or bid and ask quotations for the security;

· Value of similar securities of issuers in the same or similar industries for which market quotations are available;

· Economic outlook of the industry;

· Issuer's position in the industry;

· The financial information of the issuer; and

· The nature and duration of any restriction on disposition of the security.

(g) Derivative Contracts

The Company may, from time to time, hold derivative financial instruments for the purposes of hedging foreign currency exposure. These derivatives are measured at fair value in accordance with US GAAP, with changes in fair value recognised within the Statement of Operations in each reporting year.

Depending on the product and the terms of the transaction, the fair value of the over the counter (OTC) derivative products, such as foreign exchange contracts, can be modelled taking into account the counterparties' credit worthiness and using a series of techniques, including simulation models.

Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets. The forward exchange contracts valued by the Company using pricing models fall into this category and are categorised within level 2 of the fair value hierarchy.

As shares are denominated in Pound Sterling and investments are denominated in U.S. Dollars, Euro or Sterling, holders of any class of shares are subject to foreign currency fluctuations between the currency in which such shares are denominated and the currency of the investments made by the Company. Consequently, the Investment Manager seeks to engage in currency hedging between the U.S. Dollar and any other currency in which the assets of the Company or a class of shares is denominated, subject to suitable hedging contracts such as forward currency exchange contracts being available in a timely manner and on terms acceptable to the Investment Manager, in their sole and absolute discretion.

Note 2 (e) details the gross and net derivative asset and liability position by contract type and the amount for those derivative contracts for which netting is permissible under US GAAP. The derivative assets and liabilities have been netted where an enforceable master netting arrangement is in place.

(h) Taxation

The Company is exempt from Guernsey tax on income derived from non-Guernsey sources. However, certain of its underlying investments may generate income that is subject to tax in other jurisdictions, principally in the United States and typically by way of withholding taxes levied on interest and other income paid to the Company. During the period ended 30 June 2021, the Company suffered withholding taxes of $26,395 (30 June 2020: $17,797). As of 30 June 2021, withholding taxes receivable (reclaimed) totalled $119,879 (30 June 2020: $82,540).

The changes to the Company's discount control mechanisms approved by shareholders at the EGM resulted in the Company becoming an "offshore fund" for UK tax purposes under the UK's offshore fund rules. On 26 January 2021 the Company was approved by HM Revenue and Customs ("HMRC") to be treated as a "reporting fund" for these purposes with effect from the beginning of its accounting period commencing 1 January 2020 and is required to calculate its income in accordance with the relevant rules applicable to offshore reporting funds and report its "excess reportable income" to shareholders. This can be found on the Company's website.

In accordance with US GAAP, management is required to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit to be recognised is measured as the largest amount of benefit that has 50% or higher chance of being realised upon ultimate settlement. De-recognition of a tax benefit previously recognised could result in the Company recording a tax liability that would reduce net assets. This policy also provides guidance on thresholds, measurement, de-recognition, classification, interest and penalties, accounting in periods, disclosure, and transition that intends to provide better Financial Statements comparability among different entities.

As of 30 June 2021, the Company has recorded no liability for net unrecognised tax benefits relating to uncertain tax positions it has taken or expects to take in future tax returns (31 December 2020: Nil)

(i) Dividends

Dividends are charged in the Statement of Changes in Net Assets in the period in which the dividends are declared.

Investment Management Agreement

The Board is responsible for managing the business affairs of the Company but delegates certain functions to the Investment Manager under the Investment Management Agreement (the "Agreement") dated 18 March 2011.

The Manager of the Company is Neuberger Berman Europe Limited (which is a related party), an indirectly wholly owned subsidiary of NB Group. On 17 July 2014, the Company, the Manager and Neuberger Berman Investment Advisers LLC (which was the Sub-Investment Manager) made certain classification amendments to the Agreement for the purposes of the AIFM Directive.

The Sub-Investment Management Agreement was terminated on 17 July 2014 and the Sub-Investment Manager was appointed as the AIFM per the amended and restated Investment Management Agreement ("IMA") dated 17 July 2014. The Manager, Neuberger Berman Europe Limited, was appointed under the same agreement. In accordance with the terms of the IMA, the Manager shall pay a fee to the AIFM out of the Investment Management fee received from the Company. The Company does not pay any fees to the AIFM. On 31 December 2017, the Company entered into an Amendment Agreement amending the IMA in respect of the manufacture of the Company's Key Information Document by the AIFM, MiFID II, anti-money laundering and bribery, cyber security and data protection. On 1 October 2019, the IMA was amended to reflect a reduction in the Investment Manager's fee and was amended again effective 8 September 2020 to reflect further changes to the Investment Manager's fees.

The AIFM is responsible for risk management and the discretionary management of the assets held in the Company's portfolio and will conduct the day-to-day management of the Company's assets (including uninvested cash). The AIFM is not required to and generally will not submit individual investment decisions for approval by the Board. The Manager provides certain administrative services to the Company.

The IMA was amended on 8 September 2020 and the Investment Manager thereafter is entitled to the following rates per annum of the Company's NAV:

On first £500m of the NAV 0.75%

On £500m - £750m of the NAV 0.70%

On 750m - £1bn of the NAV 0.65%

Any amount greater than £1bn of the NAV 0.60%

For the period ended 30 June 2021, the management fee expense was $1,211,943 (30 June 2020: $1,531,553), of which $615,706 (30 June 2020: $708,647) was unpaid at the period end.

The Manager is not entitled to a performance fee.

Administration, Custody and Company Secretary Agreement

Effective 1 March 2015, the Company entered into an Administration and Sub-Administrator agreement with U.S. Bank Global Fund Services (Guernsey) Limited ("Administrator") and U.S. Bank Global Fund Services (Ireland) Limited ("Sub-Administrator"), both wholly owned subsidiaries of U.S. Bancorp. This agreement was subject to an amendment effective 1 October 2020. Under the terms of the agreement, Sub-Administration services are delegated to U.S. Bank Global Fund Services (Ireland) Limited.

For the period ended 30 June 2021, the administration fee was $60,897 (30 June 2020: $133,538) of which $10,425 (30 June 2020: $23,318) was unpaid at the period end.

Effective 22 April 2019, Praxis Fund Services Limited was appointed the Company Secretary and is entitled to an annual fee of £80,000 plus out of pocket expenses. For the period ended 30 June 2021, the secretarial fees were $64,427 (30 June 2020: $64,167), of which $30,965 (30 June 2020: $26,250) was unpaid at the period end.

Effective 1 March 2015, U.S. Bank National Association ("Custodian") became the Custodian of the Company. The Custodian fees for the period ended 30 June 2021 were $32,062 (30 June 2020: $46,312) and the amount owing to them was $80,517 (30 June 2020: $36,898).

Effective 1 January 2020, the Company entered into an amendment agreement to reduce the Administration and Custodian fees, which was further amended effective 1 October 2020 to reflect further reductions to the Administration fees.

Professional fees

Professional fees during the period were $393,633 (30 June 2020: $191,310), of which a refund of $255,892 was included in the June 2020 professional fees, which accounts for the reason that it appears Interim 2021's fees are higher than Interim 2020 despite some key service providers reducing their fees in that time

Registrar's Agreement

Link Market Services (Guernsey) Limited is the appointed registrar of the Company. For the period ended 30 June 2021, the Registrar's fees amounted to $48,173 (30 June 2020: $71,533). Of these, $49,331 (30 June 2020: $39,018) was unpaid at the period end.

Corporate Broker Agreement

Effective 1 January 2019, Numis Securities Limited were appointed the Company's Corporate Broker and Financial Advisors. As at 30 June 2021 Numis Securities Limited are entitled to an annual retainer fee of £50,000 p.a.For the period ended 30 June 2021, the Corporate Broker and Financial Advisors' fees amounted to $33,950 (30 June 2020: $45,526). Of these, $nil (30 June 2020: $nil) were unpaid at the period end.

Directors

The Directors are related parties and are remunerated for their services at a fee of £40,000 per annum each (£50,000 for the Chairman). In addition, the Chairman of the Audit and Risk Committee receives an additional £6,000 for services in this role. The Chairman of the Management Engagement Committee and the Chairman of the Remuneration Committee receive an additional £3,000 each per annum and the Senior Independent Director receives an additional £3,000 per annum. For the period ended 30 June 2021, the Directors' fees and travel expenses amounted to $125,988 (30 June 2020: $115,113). Of these, $Nil were owing at the period end (30 June 2020: $Nil).

As at 30 June 2021, Mr Dorey (inc. spouse) and Mr Staples held 245,671 and 45,000 Sterling Ordinary Shares in the Company respectively (31 December 2020: Mr Dorey (inc. spouse), Mr Staples held 245,671, and 45,000 Sterling Ordinary Shares in the Company respectively). Mrs Platts resigned as a Director on 14 June 2021. Ms. Duhot did not hold any shares in the Company at 30 June 2021 (31 December 2020: Nil). During the period, Mr Dorey's wife held 80,671 Sterling Ordinary Shares (31 December 2020: 80,671 Sterling Ordinary Shares).

During the period ended June 2021, the Directors received the following dividend payments on their shares held: Mr Dorey £3,861; Mr Staples £1,053 and Mr Dorey's wife received £1,887.

Neuberger Berman Europe Limited and Neuberger Berman Investment Advisers LLC

The contracts with Neuberger Berman Europe Limited and Neuberger Berman Investment Advisers LLC are classified as related party transactions. Other than fees payable in the ordinary course of business and the additional fees disclosed in Note 3, there have been no material transactions with related parties, which have affected the financial position or performance of the Company in the financial period.

NOTE 4 - RISK FACTORS

Market Risk

Market risk is the potential for changes in the value of investments. Market risk includes interest rate risk, foreign exchange risk and price risk.

Interest Rate Risk

Interest rate risk primarily results from exposures to changes in the level, slope and curvature of the yield curve, the volatility of interest rates and credit spreads. Floating rate investments, such as senior secured loans, typically receive a coupon, which is linked to a variable base rate, usually LIBOR or EURIBOR. As such, income earned will be affected by changes in the variable component albeit downward moves are likely to be capped by the LIBOR/EURIBOR floors that are prevalent in the majority of transactions. The Financial Conduct Authority announced in 2017 it would not compel or persuade panel banks to make LIBOR submissions after 2021. For further information on this please see the LIBOR section at the start of this document. The Company invests predominantly in floating rate investments; however, it does have material exposure to fixed rate investments, which are subject to interest rate risk through movements in their market price when interest rates change.

Price Risk

Price Risk is the risk that the price of the security will fall. The Investment Manager manages the exposure to price risk by diversifying the portfolio.

Foreign Exchange Risk

Foreign Exchange Risk arises from various currency exposures, primarily with respect to Sterling and Euro investments and share issue proceeds. The Company makes use of hedging techniques, as part of its risk management strategy, including but not limited to the use of forward exchange contracts to mitigate its exposure to this risk. These instruments involve market risk, credit risk, or both kinds of risks. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and interest rates.

Credit Risk

The Company maintains positions in a variety of securities, derivative financial instruments and cash and cash equivalents in accordance with its investment strategy and guidelines. The Company's trading activities expose the Company to counterparty credit risk from brokers, dealers and other financial institutions (collectively, "counterparties") with which it transacts business. "Counterparty credit risk" is the risk that a counterparty to a trade will fail to meet an obligation that it has entered into with the Company, resulting in a financial loss to the Company. The Company's policy with respect to counterparty credit risk is to minimise its exposure to counterparties with perceived higher risk of default by dealing only with counterparties that meet the credit standards set out by the Investment Manager.

All the Company's assets other than derivative financial instruments were held by the Custodian. The Custodian segregates the assets of the Company from the Custodian's own assets and other Custodian clients' assets. The Investment Manager believes the risk is low with respect to any losses as a result of this ring-fencing. The Company conducts its trading activities with respect to non-derivative positions with a number of counterparties. Counterparty credit risk borne by these transactions is mitigated by trading with multiple counterparties.

In addition, the Company trades in over-the-counter ("OTC") derivative instruments. The Company is subject to counterparty credit risk related to the potential inability of counterparties to these derivative transactions to perform their obligations to the Company. The Company's exposure to counterparty credit risk associated with counterparty non-performance is generally limited to the fair value (derivative assets and liabilities) of OTC derivatives reported as net assets, net of collateral received or paid, pursuant to agreements with each counterparty.

The Investment Manager attempts to reduce the counterparty credit risk of the Company by establishing certain credit terms in its International Swaps and Derivatives Association ("ISDA") Master Agreements (with netting terms) with counterparties, and through credit policies and monitoring procedures. Under ISDA Master Agreements in certain circumstances (e.g., when a credit event such as a default occurs) all outstanding transactions under the agreement are terminated, the termination value is assessed and only a single net amount is due or payable in settlement of all transactions. The Company receives and gives collateral in the form of cash and marketable securities and it is subject to the ISDA Master Agreement Credit Support Annex.

This means that securities received/given as collateral can be pledged or sold during the term of the transaction. The terms also give each party the right to terminate the related transactions on the other party's failure to post collateral.

The Company may invest in a range of bank debt investments and corporate and other bonds. Until such investments are sold or are paid in full at maturity, the Company is exposed to issuer credit risk, relating to whether the issuer will make interest and/or principal payments on their debt obligations.

Geographic Concentration Risk

The Company may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. As a result, the Company's performance may be closely aligned with the market, currency or economic, political or regulatory conditions and developments in those countries or that region and could be more volatile than the performance of more geographically diversified investments.

Liquidity Risk

Liquidity risk is the risk that the Company will not be able to meet its obligations as and when these become due. Liquidity risk is managed by the Investment Manager to ensure that the Company maintains sufficient working capital in cash or near cash form so as to be able to meet the Company's ongoing requirements as they fall due.

Participation Commitments

With respect to the senior loans, the Company may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If the Company purchases a participation of a senior loan interest, the Company would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Company not only assumes the credit risk of the borrower, but also that of the selling participant or other persons positioned between the Company and the borrower. As of 30 June 2021, there were no such outstanding participation commitments in the Company.

Other Risks

Legal, tax and regulatory changes could occur that may adversely affect the Company. The regulatory environment for alternative investment companies is evolving, and changes in the regulation of investment companies may adversely affect the value of investments held by the Company or the ability of the Company to pursue its trading strategies. The effect of any future regulatory change on the Company could be substantial and adverse. The Board has considered the specific risks faced by the Company as a result of Brexit. At the portfolio level, the Board expects the impact of Brexit to be limited given the hedging arrangements in place and the robust investment process the Investment Manager has always adopted and its positioning in U.S., better rated, performing issuers and majority of investments being in the U.S. At the Company level the impact could be felt more directly through volatility of exchange rates. However, the Company seeks to mitigate this by using hedging techniques.

Other Matters - Coronavirus

The outbreak of the novel coronavirus in many countries, which remains a rapidly evolving situation, has, among other things, disrupted global travel and supply chains, and has adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility, in ways that cannot necessarily be foreseen at the present time. The rapid development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors, or geographies) may impact the financial performance of the Company.

NOTE 5 - CONTINGENCIES

In the opinion of the Directors, there were no contingencies as at period end.

NOTE 6 - SHARE CAPITAL

The share capital of the Company consists of an unlimited number of Ordinary Shares of no par value, which upon issue the Directors may classify as:

(i) U.S. Dollar Ordinary Shares, Sterling Ordinary Shares or Euro Ordinary Shares or as shares of such other classes as the Directors may determine;

(ii) B Shares of such classes denominated in such currencies as the Directors may determine; and

(iii) C Shares of such classes denominated in such currencies as the Directors may determine.

The rights attached to the above shares are one vote in respect of each share held.

(iv) In respect of a Share of a class denominated in any currency other than U.S. Dollars or Sterling held by the shareholder, such number of votes per Share of such class as shall be determined by the Directors in their absolute discretion upon the issue for the first time of shares of the relevant class.

The Directors may effect distributions of capital proceeds attributable to the Ordinary Shares to holders of Ordinary Shares by issuing B Shares of a particular class to holders of Ordinary Shares of a particular class pro-rata to their holding of Ordinary Shares of such class.

The B Shares are issued on terms such that each B Share shall be compulsorily redeemed by the Company shortly following issue and the redemption proceeds paid to the holders of such B Shares on such terms and in such manner as the Directors may from time to time determine.

The Directors are authorised to issue C Shares of such classes (and denominated in such currencies) as they may determine in accordance with Article 4 and with C Shares of each such class being convertible into Ordinary Shares of such class as the Directors may determine at the time of issue of such C Shares.

The C Shares will not carry the right to attend and receive notice of any general meetings of the Company, nor will they carry the right to vote at such meetings.

The C Shares will be entitled to participate in a winding-up of the Company or on a return of capital in relation to the C share surplus as defined in the Prospectus.

The C Shares will be entitled to receive such dividends as the Directors may resolve to pay to such holders out of the assets attributable to such class of C Shares.

There were no U.S. Dollar Ordinary, Euro Ordinary Shares, B Shares or C Shares in issue as at 30 June 2021 or as at 31 December 2020.

As at 30 June 2021, the Company's share capital comprised 323,268,152 Sterling Ordinary Shares ("NBMI") of no par value (of which 76,083,114 were held in treasury). On 3 August 2020, the Company compulsorily converted all U.S. Dollar Ordinary Shares into Sterling Ordinary Shares and subsequently closed the U.S. Dollar Share Class. Further, in tandem with the proposals made at the EGM held on 8 September, the Company offered to its investors a cash exit offer (the meaning of which is given in the EGM Circulated dated 17 August 2020 available on the Company's website) and redeemed 40% of the issued share capital effective 8 September 2020 to those investors who had elected to participate in the cash exit offer.

FROM 1 JANUARY 2021 TO 30 JUNE 2021

Sterling

Ordinary Shares

Total

Balance as at 1 January 2021

247,185,038

Balance as at 30 June 2021 ²

247,185,038

FROM 1 JANUARY 2020 TO 31 DECEMBER 2020	U.S. Dollar Ordinary Shares	Sterling Ordinary Shares	Total
Balance as at 1 January 2020	27,711,386	433,276,307	460,987,693
Monthly conversions¹	(1,649,207)	1,372,976	(276,231)
Compulsory Conversion	(24,156,179)	19,487,060	(4,669,119)
Share buybacks	(1,906,000)	(206,951,305)	(208,857,305)
Balance as at 31 December 2020 ²	-	247,185,038	247,185,038

₁The Company offered a monthly conversion facility pursuant to which shareholders may elect to convert some or all of their shares of a class into shares of any

other class until the mandatory conversion on 30 July 2020.

₂ Balance of issued shares (less Treasury shares) used to calculate NAV per share.

Treasury Shares

As at 30 June 2021, the Company held the following shares in treasury.

		30 JUNE 2021	31 DECEMBER 2020
Sterling Ordinary Treasury Shares¹		76,083,114	76,083,114

₁ The Company has an approved share buyback programme and may elect to buyback ordinary shares at certain times during the period either for cancellation or to be held as Treasury shares at the absolute discretion of the Directors.

Note 7 - FINANCIAL HIGHLIGHTS

30 JUNE 2021	Sterling Ordinary ShareS as at 30 JUNE 2021 (GBP)
Per share operating performance
NAV per share at the beginning of the period	0.9394
Income from investment operations ^(a)
Net income per share for the period	0.0238
Net realised and unrealised gain from investments	0.0302
Foreign currency translation loss	(0.0102)
Total gain from operations	0.0438
Distributions per share during the period	(0.0273)
NAV per share at the end of the period	0.9559

NAV Total return ^{1, (b)}	4.72%
Ratios to average net assets^2,^(b)
Net investment income	2.51%
Expenses	(0.55%)

(a) The average number of shares outstanding for the period was used for calculation.

(b) An individual shareholder's return may vary from these returns based on the timing of the shareholder's investments in the Company.

₁ The NAV total return is the % of change in NAV per share from the start of the period. It assumes that dividends paid to shareholders are reinvested at NAV at the time the shares are quoted ex-dividend.

₂ Not annualised for period less than one year.

31 DeCEMBER 2020	Sterling Ordinary ShareS as at 31 DECEMBER 2020 (GBP)
Per share operating performance
NAV per share at the beginning of the year	0.9594
Share buybacks and share swaps during the year	0.0336
Income from investment operations ^(a)
Net income per share for the year ^(b)	0.0365
Net realised and unrealised loss from investments	(0.0230)
Foreign currency translation	(0.0221)
Total gain from operations	(0.0086)
Distributions per share during the year	(0.0450)
NAV per share at the end of the year	0.9394

NAV Total return ^{1, (b)}	2.99%
Ratios to average net assets ^(b)
Net investment income	4.09%
Expenses	(1.11%)

(a) The average number of shares outstanding for the year was used for calculation.

(b) An individual shareholder's return may vary from these returns based on the timing of the shareholder's investments in the Company.

¹ The NAV total return is the % of change in NAV per share from the start of the period. It assumes that dividends paid to shareholders are reinvested at NAV at the time the shares are quoted ex-dividend.

NOTE 8 - SUBSEQUENT EVENTS

Dividends declared post period-end amounted to £0.0078 per share.

The Directors have concluded there are no other subsequent events requiring disclosure.

ADDITIONAL INFORMATION | Contact Details

Contact Details

Directors

Rupert Dorey - Chairman

Laure Duhot

Sandra Platts (resigned on 14 June 2021)

David Staples

All c/o the Company's registered office.

Registered Office

Sarnia House

Le Truchot

St Peter Port

Guernsey

GY1 1GR

Company Secretary

Praxis Fund Services Limited

Solicitors to the Company (as to English law and U.S. securities law)

Herbert Smith Freehills LLP

Advocates to the Company (as to Guernsey law)

Carey Olsen

Designated Administrator

U.S. Bank Global Fund Services (Guernsey) Limited

Custodian and Principal Bankers

US Bank National Association

Sub-Administrator

U.S. Bank Global Fund Services (Ireland) Limited

Financial Adviser and Corporate Broker

Numis Securities Limited

Alternative Investment Fund Manager

Neuberger Berman Investment Advisers LLC

Manager

Neuberger Berman Europe Limited

Registrar

Link Market Services (Guernsey) Limited

UK Transfer Agent

Link Asset Services

34 Beckenham Road

Beckenham

Kent

BR3 4TU

United Kingdom

Shareholders holding shares directly and not through a broker, saving scheme or ISA and have queries in relation to their shareholdings should contact the Registrar on +44 (0)371 664 0445. Calls are charged at the standard geographic rate and will vary by provider. Calls outside the United Kingdom will be charged at the applicable international rate. Lines are open between 9 a.m. to 5:30 p.m. (excluding bank holidays). Shareholders can also access their details via Link's website:

www.signalshares.com

Full contact details of the Company's advisers and Manager can be found on the Company's website.

ADDITIONAL INFORMATION | Shareholder Information

Shareholder Information

Website

Information relating to the Company can be found on the Company's website: www.nbgmif.com

The contents of websites referred to in this document are not incorporated in to, nor do they form part of, this report.

Annual Reports

Copies of the Company's annual reports may be obtained from the Company Secretary or by visiting https://www.nbgmif.comunder the Investor Information section.

Net Asset Value Publication

The NAV is published daily. It is calculated at the close of business each day and notified to the London Stock Exchange the next business day. It can also be found on the Company's website.

Company Numbers

Sterling Ordinary Shares

LSE ISIN code: GG00B3KX4Q34

Bloomberg code: NBMI:LN

Legal Entity Identifier

549300P4FSBHZFALLG04

Association of Investment Companies

The Company is a member of the Association of Investment Companies. Contact details are as follows:

+44 (0)20 7282 555

enquiries@theaic.co.uk

www.theaic.co.uk

Registrar

The Registrar provides an on-line and telephone share dealing service to existing shareholders who are not seeking advice on buying or selling. This service is available at www.linksharedeal.com or by phoning +44(0)371 664 0445. Calls cost 12p per minute plus network charges +44(0)20 3367 2699 (from outside the UK). Lines are open 8 a.m. to 4:30 p.m. Monday to Friday (excluding UK bank holidays).

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