Half-year Report

RNS Number : 5134Z

NB Global Monthly Income Fund Ltd

15 September 2022

NB GLOBAL MONTHLY INCOME FUND LIMITED

2022 INTERIM REPORT

UNAUDITED INTERIM FINANCIAL STATEMENTS

FOR THE SIX MONTHS ENDED 30 JUNE 2022

COMPANY OVERVIEW | Features

Features

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

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 and guidance 2021 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 investment objective and investment policy can be found on the Company's website, www.nbgmif.com .

Investment Policy and Strategy

To pursue its 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 NAV 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 2022, 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).

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 ("FSB"), set out clear timelines to aid in market participants' plans for a smooth transition from LIBOR to new risk-free reference rates. The FSB announced the dates after which representative LIBOR rates were no longer available. All LIBOR settings either ceased to be provided by any administrator or no longer were 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.

Dividends

The Company's dividend policy is detailed on pages 33 and 34 of the Annual Report and Financial Statements for the year ended 31 December 2021.

The annualised dividend yield (based on the dividends declared in respect of the period and share price as at 30 June 2022) was 7.05%.

STRATEGIC REVIEW | Financial Highlights

Financial Highlights

Key Figures


(U.S. Dollars in millions, except per share data)	As at 30 June 2022	As at 31 DECEMBER 2021

Net Asset Value
- Sterling Ordinary Shares	$250.0	$315.7

Net Asset Value per share
- Sterling Ordinary Shares	£0.8329	£0.9429

Share price
- Sterling Ordinary Shares	£0.7800	£0.8880

Discount to Net Asset Value Per Share ¹
- Sterling Ordinary Shares	(6.35%)	(5.82%)

Net investment income per share	£0.0278	£0.0488

Earnings per share	(£0.1780)	£0.0456

Dividends per share ²
- Sterling Ordinary Shares	2.75 pence	4.68 pence

Current Gross Portfolio Yield ¹	7.87%	6.27%

Annualised dividend yield ^1,3
- Sterling Ordinary Shares	7.05%	5.27%
NAV Total Return ¹
- Sterling Ordinary Shares	(8.92%)	5.89%

Share Price Return ¹
- Sterling Ordinary Shares	(9.27%)	14.08%

On-Going Charges ¹
- Sterling Ordinary Shares	0.58%	1.12%

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 | Chair's Statement

Chair's Statement

Dear Shareholder,

It is with pleasure that I present to you the Interim Report of NB Global Floating Rate Income Fund Limited for the six months ended 30 June 2022.

Performance

Over the first half of 2022, the Company's share price total return was -9.27% per Sterling Ordinary Share. The Company's Net Asset Value ("NAV") total return per share for the first half of the year was -8.92% resulting in a 0.8329p NAV per Sterling Ordinary Share.

As of 30 June 2022, the Portfolio's current yield was 7.87%, and the yield to maturity was 10.6% compared to 31st December 2021 when the Portfolio's yield was 6.27%, and the yield to maturity was 6.58%.

Dividends

In January 2022, the Board was pleased to announce a Target Distribution for the financial year 2022 at a rate of 5.25% of Net Asset Value per annum (net of fees and expenses) which equated to a dividend per share of £0.00415 paid monthly. This distribution represented a 6.41% increase on the total dividend for the 12 months ended 31 December 2021.

In April 2022, the Board announced a further increase to the Target Distribution for the remainder of 2022 to a rate of 5.8% of Net Asset Value per annum (net of fees and expenses). This equated to a target monthly distribution for the remainder of 2022 of £0.00443 per share paid monthly, or £0.05316 per share, per annum.

In July 2022, the Board again announced an additional increase to the Target Distribution for the remainder of 2022 to a rate of 6.75% of Net Asset Value per annum (net of fees and expenses). This equates to a target monthly distribution for the remainder of 2022 of £0.00467 per share paid monthly, or £0.05602 per share, per annum.

This latest increased Target Distribution represents a 5.4% increase on the Target Distribution announced on 28 April 2022. The new Target Distribution will, for the remainder of the year, represent a level which is 19.7% higher than the total dividends paid in 2021.

These dividend increases reflect principally the Company's exposure to rising short term USD rates and not changes to the portfolio risk exposure or portfolio composition. The Board expects that the increased dividends will remain fully covered by net revenues earned.

Portfolio Positioning

The Fund has retained significant exposure to floating rate assets in what has been one of the most challenging periods for fixed interest investments for many years. Starting the year at 70% floating rate assets, the exposure reduced modestly to 66% by 30th June 2022 as the Manager increasingly found opportunities in low cash priced fixed rate bonds in primary and secondary markets. Floating rate loans remain the portfolio's largest allocation at just over 29%. However, opportunities in private credit and in global high yield bonds did see the allocation to floating rate loans decrease by six percentage points from 35% at the start of the year. The exposure to floating rate assets assisted performance in the first few months of the year during which a repricing of interest rate expectations with inflation surprising to the upside was the dominant theme. Into May and particularly in June, performance of most risky assets was poor, as concerns over growth accelerated with consumer confidence hitting multi-year lows. Credit was no exception and spreads widened including those of the loans and the floating rate securities held within the Fund. In terms of rating by credit quality, the portfolio included an allocation of 14.0% in BBB/BB rated securities, 46% in B rated securities and had an allocation of 35% to securities rated CCC and below as of 30th June 2022, broadly unchanged to the credit quality mix the Fund had at the start of the year. With the onset of the war in Ukraine, the Manager took a decision early on to further reduce exposure to companies with majority European operations preferring instead the economic outlook for US domiciled issuers where there is less uncertainty, particularly as it pertains to energy input costs for businesses. The Company has no exposure to Russian securities and very limited exposure to issuers with operations in the region. As they explain in their report, the Manager's view continues to be that the default rate environment is likely to remain relatively benign with below average default rates expected in 2022 and 2023.

Discount Management

During the six months to 30 June 2022, the Company's discount ranged between 4.28% and 13.83% per Sterling Ordinary Share. The discount as of 30 June 2022 was 6.35%. 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. In view of the Board's discretion to make Cash Exit Facility Offers as described below, this authority has so far not been used.

Cash Exit Facility Offer

The Company announced on 1 June 2022 that the Board intended to exercise its discretion to make the first tender offer under the Cash Exit Facility described in the Shareholder circular published by the Company on 17 August 2020 and approved by Shareholders at the EGM of the Company held on 8 September 2020 ("EGM"). A circular was published on 16 June 2022 which stated that Shareholders would be entitled to elect to have up to 25 per cent. of their Shares held on 30 June 2022 redeemed (the "EGM Circular").

The EGM Circular set out the details of the "Cash Exit Facility Offer" which gave Shareholders the opportunity to tender up to 25 per cent. of their Shares at a discount of 2 per cent. to NAV per Share on 30 June 2022.

Elections to participate in the Cash Exit Facility Offer were received with respect to 25,500,417 Shares, equivalent to 10.32 per cent. of the 247,185,038 Shares in issue (excluding 76,083,114 treasury shares). The Directors and any funds managed by Neuberger Berman did not participate in the Cash Exit Facility Offer in respect of those Shares held by them. Following faster than anticipated settlement of trades and in combination with the timing of other cash receipts, the Company had sufficient cash available to fund the Redemption Proceeds in full and a single Redemption Proceeds payment was made to eligible Shareholders on 8 August 2022.

The next potential exercise of the Board's discretion to offer Shareholders a partial cash exit opportunity by way a redemption offer would be expected to close at end December 2022 and subsequent Cash Exit Facility Offers may be made at six monthly intervals thereafter. The Board has confirmed its intention in future to offer an overallocation redemption facility to redeeming investors to the extent that capacity is available from those investors who elect not to redeem Shares. Should the NAV of the Company fall beneath £150 million, the Board reiterates its intention subject to market conditions at the time to propose a winding-up of the Company.

Annual General Meeting ("AGM") Results

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

Outlook

We believe that the Company remains an attractive vehicle for those seeking inflation protected regular income with attractive risk adjusted returns and good capital protection over time. The Manager considers, although global growth is slowing, that key buffers remain for corporate issuers with credit metrics such as interest cover starting from a healthy point. Similarly, borrower's ability to refinance debt, albeit at higher rates, is not unduly stressing corporate credit metrics currently. The Manager expects that default rates will remain below historical averages of around 3% for the foreseeable future. Given the Manager's strong credit procedures and excellent track record, we believe the Company is well positioned to ride the current storms.

Thank you for your continued support

Rupert Dorey

Chairman

14 September 2022

STRATEGIC REVIEW | Investment Manager's Report

Investment Manager's Report

Market and Macroeconomic Environment

Non-investment grade credit ended the six-month period to 30 June 2022 with negative returns driven by Russia's invasion of Ukraine, markets calibrating how far the Federal Reserve and other central banks need to go on rates to fight persistent inflation, slowing real economic activity and mixed earnings reports so far in 2022. That said, default rates remain well below average and just above all-time lows given that balance sheets are generally in good shape. U.S. Treasury yields-and other bellwether bonds such as Gilts and Bunds-moved sharply higher during the reporting period as inflation hit a four-decade high, central banks turned more hawkish, and the tragic war in Ukraine triggered numerous supply shortages and fuelled spikes in commodity prices. Meanwhile, consumer spending and retail sales were generally resilient backed by strong job and wage growth. While credit spreads widened given the risk aversion, floating rate loans saw lesser drawdowns than longer dated fixed income due to the very low duration of the asset class.

Senior floating rate loans ended the reporting period in negative territory reflecting the risk-off market sentiment despite the fact that loan coupons floated higher on the back of rising interest rates. Moreover, new issuance was very muted over the reporting period hitting the lowest level in more than two years, while demand held in somewhat better, which brought the supply-demand balance to levels that should provide some support for loans. Over the reporting period, U.S. senior floating rate loans, as measured by the S&P/LSTA Leveraged Loan Index (the "S&P LLI"), returned -4.55% with the lowest rated loans also underperforming with BB, B and CCC returning -3.27%, -4.88% and -8.58%, respectively. The LL100, a measure of the largest, most liquid issuers, returned -5.48% which also underperformed the total S&P LLI. The European Leveraged Loan Index (the "ELLI") returned -7.50%, excluding currency effects. The Second Lien Loans index was down -5.36% over the period.

The global high yield bond market also ended the reporting period in negative territory driven primarily by rising interest rates, concerns over inflation, high commodity prices and input cost pressures on issuer margins. Credit spreads widened over the reporting period and dispersion in returns across credit quality reversed course from the prior risk-on period last year. The ICE BofA Global High Yield Constrained Index returned -14.88%. While the higher credit rating segments of the market held up better in the risk-off environment year to date 2022, they still incurred losses given large outflows in the asset class. That said, we are finding attractive investment opportunities within global high yield, especially at current levels and believe the spread compensation for a still low default rate environment is more than adequate.

CLO debt spreads moved meaningfully wider over the first two quarters of the year in conjunction with the decline in the leveraged loan market, as global recessionary fears emerged which has impacted all risk assets. Secondary non-investment grade market volumes increased modestly quarter-over-quarter, but monthly volumes still lag trailing 24-month averages. The CLO BB index declined -7.25% year to date.

Defaults continued to remain not far off record lows in non-investment grade credit markets, which is consistent with healthy balance sheets and positive free cash flow growth. The trailing 12M par weighted default rate for the S&P LLI as of June was 0.28%, down 389 basis points from the September 2020 peak of 4.17% and up just 6 basis point from a month ago. In European loans, the trailing 12M par weighted default rate was 0.62%, down 199 basis point from the October 2020 peak and down 2 basis points compared to the prior month. The distressed ratios have risen from the recent lows as the share of distressed issuers in the S&P LLI and ELLI went from around 2% each in May to 2.81% for the U.S. and 4.35% for the European loan market. The high yield default rate in June increased 33 basis points from May and was just 53 basis points above the all-time low reached in April. In June, the par weighted LTM U.S. high yield default rate was 0.76%. While the default rate has increased off the lows, we expect defaults to remain below historical averages based on our bottom-up assessment of issuers, and driven by the higher-quality ratings mix in high yield (over 52% of issuers with credit ratings of BB), less aggressive new issuance and fewer near-term maturities, as well as an energy sector that is far healthier than in the past few cycles. For context, the long-term average default rate is 3.1% (based on annual default rates back to 1980 according to JP Morgan).

Non-investment grade credit with its lower duration profile, higher yields relative to other fixed income and healthy credit fundamentals, represents an attractive investment opportunity at current valuations.

Performance 1 January 2022 to 30 June 2022

For the period of 1 January 2022 to 30 June 2022, the Company's share price total return was -9.27% [1] .

During the period, holdings in the Utilities, Building & Development and Drugs sectors were the most significant drivers of performance whilst the Electronics (Technology), Healthcare and Retailers sector holdings were the biggest detractors. The Company's positioning in BBB & above rated issuers was neutral for performance whilst positioning in CCC & below rated issuers subtracted the most over the period.

As at 30 June 2022, Global Floating Rate Loans was the portfolio's largest allocation at 29.1% followed by Global High Yield Bonds at 24.9%. The Company's allocation to BB rated credits was 13.6% while its exposure to CCC rated issuers finished the period at 34.9%. The overall exposure to floating rate assets was at 66% at the end of the reporting period, with the Fund's average duration of 1.62 years. Regarding sector allocation, the top three weights included Electronics (Technology), Health Care and Business Equipment & Services whilst the bottom three weights included Broadcast Radio & TV, Drugs and Publishing.

Portfolio Positioning

NBMI as at December 31 2021

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NBMI as at June 30 2022

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Outlook

In our view, non-investment grade yields are compensating investors for the below average default outlook, and will continue to provide durable income and remain attractive compared to other fixed income alternatives. The tightening of financial conditions and rising concerns over inflation continue to create incremental volatility, but as real growth slows back below trend, this could help to alleviate the inflationary pressures. Our analysts continue to be keenly focused on the outlook for issuer margins given rising input costs. Our global research team also continues to monitor the investment thesis for each issuer in the portfolio given the impacts related to higher commodity prices as a result of supply chain disruptions made worse by the ongoing conflict in Eastern Europe. While supply chain discontinuities are moderating as a result of slower demand, we remain focused on how any disruptions might impact issuers. Even with the heightened uncertainty, commodity price swings and central bank tightening, which is resulting in short-term volatility, we believe our bottom-up, fundamental credit research focused on security selection while seeking to avoid credit deterioration and putting only our "best ideas" into portfolios, position us well to take advantage of the increased volatility.

Neuberger Berman Investment Advisers LLC Neuberger Berman Europe Limited

14 September 2022 14 September 2022

STRATEGIC REVIEW | Portfolio Information

Portfolio Information

Top 10 Issuers as at 30 June 2022 (excluding cash)

ISSUER	SECTOR	FAIR VALUE ($)	PORTFOLIO WEIGHT
CHARIOT BUYER LLC	Building & Development	5,218,500	2.09%
BROCK HOLDINGS III LLC	Business Equipment & Services	5,034,506	2.01%
PHOENIX NEWCO INC	Health Care	3,476,200	1.39%
TEAM HEALTH HOLDINGS INC	Health Care	3,459,242	1.38%
CSC HOLDINGS LLC	Cable & Satellite Television	3,273,750	1.31%
CONSTELLATION AUTOMOTIVE LIMITED	Automotive	3,163,101	1.27%
EG GROUP LTD	Retailers (except food and drug)	3,045,884	1.22%
UNITI GROUP INC/CSL CAPITAL LLC	Telecommunications/Cellular Communications	2,904,363	1.16%
FIRST BRANDS GROUP LLC	Automotive	2,832,100	1.13%
CINEWORLD CINEMAS HOLDINGS LTD	Leisure Goods/Activities/Movies	2,773,238	1.11%

Top 10 S&P Sector Breakdown

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Key Statistics	30 JUNE 2022	31 DECEMBER 2021
Current Gross Portfolio Yield ¹	7.87%	6.27%
Number of Investments	272	293
Number of Issuers	231	231

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; and

· operational risk.

These risks, and the way in which they are managed, are described in more detail in the Strategic Report on pages 26 to 30 of the Company's latest annual report and audited financial statements for the year ended 31 December 2021, which can be found on the Company's website. The Board's view is that these risks remain appropriately identified for the remainder of 2022. In addition to the Principal Risks, there remains uncertainty of the full- and long-term impacts of the global coronavirus ("Covid-19") pandemic as well as the ongoing Russia-Ukraine conflict, its impact on food and energy prices and the resulting cost of living crisis and impact on consumer demand, and its potential to escalate ("Ukraine Conflict"). The Board considers that downside risk to global growth and delay in global economic recovery and market liquidity arising from the Covid-19 pandemic and the Ukraine Conflict could potentially result in a risk of a reduction in portfolio performance. The Investment Manager reviews the portfolio on a regular basis for the impact of these economic challenges on underlying assets' performance. In addition, the Board reviews the Company's risks on a quarterly basis and will continue to review the specific impacts of the Covid-19 outbreak and the Ukraine Conflict as further information becomes available.

A brief description of each of the Principal Risks is 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. At 30 June 2022, 84.2% of the portfolio was invested in issuers domiciled in the US.

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. To purchase a participation in a senior loan, the Company would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than contract 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.

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.

Going Concern

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 and have determined that the Company has adequate financial resources to meet its liabilities as they fall due. However, should there be a cash exit offer at the end of December 2022 which is substantially taken up by Shareholders, the Company's NAV would then likely drop below £150m, which would result in the Board, subject to market conditions at the time, bringing forward a proposal to wind-up the Company. This currently represents a material uncertainty as to the ability of the Company to continue in operation. After making enquiries of the Investment Manager and the Sub-Administrator, the Directors are however, satisfied that the Company has adequate resources to discharge its liabilities as they fall due for at least one year from the date these Unaudited Interim Financial Statements were approved. Accordingly, notwithstanding this material uncertainty, 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.

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 2022. 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 Financial Statements, which have been prepared in conformity with the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 270' "Interim Reporting" and the Disclosure Guidance and Transparency Rules ("DTR") sourcebook of the United Kingdom's Financial Conduct Authority ("FCA"), give a true and fair view of the assets, liabilities, financial position and profits/(losses) of the Company, as required by DTR 4.2.4R of the DTR of the U.K.'s FCA.

The combination of the Chair'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 set of 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

Chair

14 September 2022

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 financial statements in the half-yearly financial report for the six months ended 30 June 2022 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 in the half-yearly financial report for the six months ended 30 June 2022 is not prepared, in all material respects, in conformity with 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").

Material uncertainty relating to going concern

We draw attention to note 2 to the interim financial statements which indicates that should the cash exit offer at the end of December 2022 be taken up by Shareholders in full, the Company's net asset value would likely drop below £150m after January 2023, which would result in the Board, subject to market conditions at the time, proposing to wind-up the Company. These events and conditions, along with the other matters explained in note 2, constitute a material uncertainty that may cast significant doubt on the Company's ability to continue as a going concern. Our conclusion is not modified in this respect.

Scope of review

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

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

Conclusions relating to going concern

The directors have prepared the financial statements on the going concern basis. As stated above, they have concluded that a material uncertainty related to going concern exists.

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

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

Director's responsibilities

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

As disclosed in note 2, the annual financial statements of the Company are prepared in conformity with U.S. generally accepted accounting principles. The directors are responsible for preparing the condensed set of financial statements included in the half-yearly financial report in conformity with U.S. generally accepted accounting principles.

In preparing the half-yearly financial report, the directors are responsible for assessing the Company's ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless liquidation is imminent.

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. Our conclusion, including our conclusions relating to going concern, are based on procedures that are less extensive than audit procedures, as described in the scope of review paragraph of this report.

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

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

Dermot Dempsey

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants

Guernsey

14 September 2022

FINANCIAL STATEMENTS | Unaudited Statement of Assets and Liabilities

Unaudited Statement of Assets and Liabilities

AS AT 30 JUNE 2022 AND 31 december 2021 (Expressed in U.S. Dollars)	Notes	(unaudited) 30 June 2022	(audited) 31 december 2021
Assets
Investments, at fair value (2022: cost of $300,690,511, 2021: cost of $310,963,360)	2	260,399,998	307,358,954
Derivative assets, at fair value (2022: cost of $Nil, 2021: cost of $Nil)	2 (e)	1,044,655	551,564

Cash and cash equivalents
- Sterling (2022: cost of $1,366,736, 2021: cost of $71,815)		1,354,266	73,532
- Euro (2022: cost of $682,847, 2021: cost of $186,021)		672,366	187,093
- U.S. Dollar		4,643,334	11,407,318
Total cash and cash equivalents		6,669,966	11,667,943
		268,114,619	319,578,461
Other assets
Receivables for investments sold		1,761,742	2,964,458
Interest receivable		3,658,907	2,802,128
Other receivables and prepayments		195,136	229,088

Total other assets		5,615,785	5,995,674

Total assets		273,730,404	325,574,135

Liabilities
Payables for investments purchased		2,015,931	5,529,950
Payables to Investment Manager and affiliates	3	515,553	599,135
Derivative liabilities, at fair value (2022: proceeds of $Nil, 2021: proceeds of $Nil)	2 (e)	19,494,876	2,134,666
Dividend payable		1,329,859	1,305,719
Accrued expenses and other liabilities	3	338,808	323,518
Total liabilities		23,695,027	9,892,988

Total assets less liabilities		250,035,377	315,681,147

Share capital		752,021,562	752,021,562
Accumulated reserves		(501,986,185)	(436,340,415)
Total net assets		250,035,377	315,681,147

Net Asset Value per share		£0.8329	£0.9429

The Unaudited Interim Financial Statements were approved and authorised for issue by the Board of Directors on 14 September 2022 , and signed on its behalf by:

David Staples

Director

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

FINANCIAL STATEMENTS | Unaudited Condensed Schedule of Investments

Unaudited Condensed Schedule of Investments

As at 30 JUNE 2022 (Expressed in U.S. Dollars)	Cost	Fair Value	Fair Value as % of Net Assets
Portfolio of investments
Financial investments
- Private Debt	66,044,319	61,557,622	24.62%
- Special Situations	8,689,027	5,092,326	2.04%
- CLO Debt Tranches	30,970,215	26,773,296	10.71%
- Global High Yield Bonds	119,618,449	97,739,550	39.09%
- Global Floating Rate Loans	72,254,477	67,257,613	26.90%
- Equity	3,119,587	1,979,591	0.79%
Total financial investments	300,696,074	260,399,998	104.15%

Forward exchange contracts
- Euro to Sterling	-	8,493	0.00%
- Euro to U.S Dollar	-	(98,638)	(0.04%)
- Sterling to U.S. Dollar	-	(21,660,899)	(8.66%)
- U.S. Dollar to Euro	-	969,556	0.39%
- U.S. Dollar to Sterling	-	2,331,267	0.93%
	-	(18,450,221)	(7.38%)

	Cost	Fair Value	Fair Value as % of Net Assets
Geographic diversity of investment portfolio (domicile of issuer)
Australia/Oceania	3,205,304	2,534,618	1.01%
Caribbean	13,387,007	11,952,393	4.78%
North America	239,289,778	210,554,166	84.21%
Europe	44,813,985	35,358,821	14.15%
	300,696,074	260,399,998	104.15%

As at 31 december 2021 (Audited) (Expressed in U.S. Dollars)	Cost	Fair Value	Fair Value as % of Net Assets
Portfolio of investments
Financial investments
- Private Debt	68,345,866	68,628,397	21.74%
- Special Situations	11,234,289	9,278,095	2.94%
- CLO Debt Tranches	33,858,274	33,637,153	10.66%
- Global High Yield Bonds	85,843,950	84,704,896	26.83%
- Global Floating Rate Loans	108,561,394	109,185,622	34.59%
- Equity	3,119,587	1,924,791	0.60%
Total financial investments	310,963,360	307,358,954	97.36%

Forward exchange contracts
- Euro to Sterling	-	(47,220)	(0.01%)
- Sterling to U.S. Dollar	-	(2,133,872)	(0.68%)
- U.S. Dollar to Euro	-	398,842	0.13%
- U.S. Dollar to Sterling	-	199,148	0.06%
	-	(1,583,102)	(0.50%)

	Cost	Fair Value	Fair Value as % of Net Assets
Geographic diversity of investment portfolio (domicile of issuer)
Australia/Oceania	3,991,090	3,984,149	1.26%
Caribbean	11,219,336	11,166,755	3.54%
North America	244,254,010	241,149,026	76.39%
Europe	51,498,924	51,059,024	16.17%
	310,963,360	307,358,954	97.36%

Industry diversity of Investment Portfolio	30 JUNE 2022 (unaudited)		31 DECEMBER 2021 (audited)
( Expressed in U.S. Dollars)	Cost	Fair Value	Cost	Fair Value
Aerospace & Defence	2,045,170	1,849,950	2,632,038	2,588,263
Air Transport	4,886,565	4,315,475	3,413,326	3,557,457
Automotive	6,945,636	5,995,201	7,744,244	7,751,948
Broadcast Radio & Television	1,366,738	878,394	2,119,862	1,972,212
Brokers, Dealers & Investment Houses	1,017,505	721,384	1,017,505	1,002,690
Business Equipment & Services	26,405,602	22,625,489	23,577,127	20,947,052
Building & Development	17,656,935	15,163,966	13,627,368	13,680,036
Cable & Satellite Television	9,721,040	7,068,242	9,727,116	9,534,252
Chemicals & Plastics	5,656,109	4,827,288	5,417,731	5,410,970
Clothing & Textiles	3,599,116	3,455,744	3,139,039	3,177,263
Containers & Glass Products	2,544,814	2,277,564	3,364,469	3,309,094
Drugs	463,110	445,928	2,224,541	2,166,927
Electronics/Electrical	35,456,662	31,976,693	36,235,879	36,264,483
Equipment Leasing	3,565,033	2,942,853	2,646,689	2,868,831
Financial Intermediaries	43,778,440	37,631,762	39,076,219	38,957,891
Food Products	2,200,693	2,075,507	2,199,203	2,238,694
Food Service	5,111,700	3,962,982	5,106,078	5,077,235
Food/Drug Retailers	-	-	2,675,165	2,671,627
Health Care	30,951,012	25,660,671	31,480,919	30,717,732
Hotels & Casinos	1,852,321	1,778,468	1,922,801	1,927,294
Industrial Equipment	14,290,979	13,209,571	14,556,294	14,601,519
Insurance	9,509,564	8,103,944	9,007,693	8,995,312
Leisure Goods/Activities/Movies	6,966,417	6,625,825	8,064,803	8,498,939
Nonferrous Metals & Minerals	3,264,431	3,174,108	3,263,537	3,297,688
Oil & Gas	16,950,163	15,393,869	23,584,995	23,779,127
Publishing	2,152,637	1,850,550	2,152,501	2,147,834
Retailers (except food and drug)	8,240,792	7,006,044	13,053,746	13,290,974
Steel	428,306	341,680	253,281	248,750
Surface Transport	4,627,648	4,214,102	4,629,321	4,679,610
Telecommunications/Cellular Communications	11,748,236	9,139,279	17,096,099	16,850,891
Utilities	17,292,700	15,687,465	15,953,771	15,146,359
	300,696,074	260,399,998	310,963,360	307,358,954

As at 30 June 2022, 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

Chariot Buyer LLC			5,218,500	2.09%
Chamberlain Group 2L T/L 10/21	United States	Building & Development	5,218,500	2.09%

Brock Holdings III Inc			5,034,506	2.01%
Brock Holdings Notes 15% 04/24/24	United States	Business Equipment & Services	3,254,318	1.30%
Brock Holdings III Inc	United States	Business Equipment & Services	1,780,188	0.71%

Phoenix Newco Inc			3,476,200	1.39%
Phoenix Newco Inc	United States	Health Care	3,476,200	1.39%

Team Health Holdings Inc			3,459,242	1.38%
Team Health Holdings Inc	United States	Health Care	2,005,944	0.80%
Team Health Holdings Inc 6.375% 02/01/25 SR:144A	United States	Health Care	1,250,675	0.50%
Team Health Holdings Inc 6.375% 02/01/25 SR:REGS	United States	Health Care	202,623	0.08%

CSC Holdings LLC			3,273,750	1.31%
CSC Holdings LLC 5.750% 01/15/30 SR:144A	United States	Cable & Satellite Television	3,273,750	1.31%

Constellation			3,163,102	1.26%
Constellation 2L T/L GBP 07/21	New Zealand	Automotive	2,534,618	1.01%
Constellation 1L T/L-B EUR 07/21	United Kingdom	Automotive	628,484	0.25%

EG Group Ltd			3,045,884	1.22%
EG Group 2L T/L EUR 02/21	United Kingdom	Retailers (except food and drug)	1,772,090	0.71%
Optifin T/L B 1L GBP	United Kingdom	Retailers (except food and drug)	769,991	0.31%
Optifin T/L B1 1L EUR	United Kingdom	Retailers (except food and drug)	503,803	0.20%

Uniti Group INC/CSL Capital LLC			2,904,363	1.16%
Uuniti Group/CSL Capital 6.500% 02/15/29	United States	Telecommunications/Cellular Communications	2,904,363	1.16%

First Brands Group LLC			2,832,100	1.14%
First Brands 1L T/L-B 03/21	United States	Automotive	1,868,350	0.75%
First Brands 2L T/L 03/21	United States	Automotive	963,750	0.39%

Cineworld Cinemas Holdings Ltd			2,773,238	1.11%
Cineworld T/L B-1 11/20	United States	Leisure Goods/Activities/Movies	2,773,238	1.11%

Traverse Midstream Partners LLC			2,764,255	1.11%
Traverse Midstream Partners LLC	United States	Oil & Gas	2,764,255	1.11%

Asurion LLC			2,755,300	1.10%
Asurion 2L T/L-B4 07/21	United States	Insurance	1,935,050	0.77%
Asurion LLC	United States	Insurance	8 20,250	0.33%

Praire ECI Acquiror LP			2,750,213	1.10%
Praire ECI Acquiror LP	United States	Oil & Gas	2,750,213	1.10%

CD&R Dock Bidco Ltd			2,645,788	1.06%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	2,380,127	0.95%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	265,661	0.11%

Redstone Buyer LLC			2,601,210	1.03%
Redstone Buyer LLC	United States	Electronics/Electrical	2,049,090	0.81%
Redstone Buyer LLC	United States	Electronics/Electrical	552,120	0.22%
			48,697,651	19.47%

As at 31 December 2021, 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			5,745,682	1.82%
Intelsat DIP 1L 09/21 DIP	Luxembourg	Telecommunications/Cellular Communications	3,469,942	1.10%
Intelsat Jackson Hldg	Luxembourg	Telecommunications/Cellular Communications	962,182	0.30%
Intelsat Jackson Hldg	Luxembourg	Telecommunications/Cellular Communications	812,395	0.26%
Intelsat Jackson Hldg	Luxembourg	Telecommunications/Cellular Communications	501,163	0.16%

Chariot Buyer LLC			5,218,500	1.65%
Chamberlain Group 2L TL 10/21	United States	Building & Development	5,218,500	1.65%

Constellation			4,757,863	1.52%
Constellation 2L TL-B GBP 07/21	New Zealand	Automotive	3,204,961	1.02%
Constellation 1L TL GBP 07/21	New Zealand	Automotive	779,188	0.25%
Constellation 1L TL-B EUR 07/21	United Kingdom	Automotive	773,714	0.25%

Team Health Holdings Inc			4,530,017	1.43%
Team Health Holdings Inc	United States	Health Care	2,572,216	0.81%
Team Health Holdings Inc 6.375% 02/01/25 SR:144A	United States	Health Care	1,684,838	0.53%
Team Health Holdings Inc 6.375% 02/01/25 SR:REGS	United States	Health Care	272,963	0.09%

CSC Holdings LLC			4,483,125	1.42%
CSC Holdings LLC 5.750% 01/15/30 SR:144A	United States	Cable & Satellite Television	4,483,125	1.42%

Great Outdoors Group LLC			3,965,858	1.26%
Bass Pro 1L TL-B 02/21	United States	Retailers (except food and drug)	3,965,858	1.26%

Uniti Group Inc/CSL Capital LLC			3,951,380	1.25%
Uniti Group Inc/CSL Capital 6.500% 02/15/29 SR:144A	United States	Telecommunications/Cellular Communications	3,951,380	1.25%

EG Group Ltd			3,912,728	1.23%
EG Group Ltd	United Kingdom	Retailers (except food and drug)	2,313,710	0.73%
Optfin TL B 1L GBP	United Kingdom	Retailers (except food and drug)	989,860	0.31%
Optfin TL B1 1L EUR	United Kingdom	Retailers (except food and drug)	609,158	0.19%

Phoenix Newco Inc			3,603,600	1.14%
Parexel 2L TL-B 7/21	United States	Health Care	3,603,600	1.14%

American Airlines Group Inc			3,557,457	1.12%
AAdvantage 1L TL 03/21	United States	Air Transport	2,477,532	0.78%
American Airlines Group 3.750% 03/01/25 SR:144A	United States	Air Transport	1,079,925	0.34%

Brock Holdings III Inc			3,288,557	1.04%
Brock Holdings Notes 15% 04/24/22	United States	Business Equipment & Services	1,896,183	0.60%
Brock Holdings III Inc.	United States	Business Equipment & Services	1,392,374	0.44%

Asurion LLC			3,246,444	1.03%
Asurion 2L TL-B4 07/21	United States	Insurance	2,279,031	0.72%
Asurion LLC	United States	Insurance	967,413	0.31%

CD&R Dock Bidco Ltd			3,212,075	1.03%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	2,888,700	0.92%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	323,375	0.11%

			53,473,286	16.94%

As at 30 June 2022, the below were the largest 50 investments based on the NAV:

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair value $	%
Chariot Buyer LLC	United States	Building & Development	5,218,500	2.09%
Phoenix newco Inc	United States	Health Care	3,476,200	1.39%
CSC holdings LLC	United States	Cable & Satellite Television	3,273,750	1.31%
Brock Holdings Notes 15% 04/24/24	United States	Business Equipment & Services	3,254,318	1.30%
Uniti Group INC/CSL Capital LLC	United States	Telecommunications/Cellular Communications	2,904,363	1.16%
Cineworld Cinemas Holdings Ltd	United States	Leisure Goods/Activities/Movies	2,773,238	1.11%
Traverse Midstream Partners LLC	United States	Oil & Gas	2,764,255	1.11%
Prairie ECI Acquiror LP	United States	Oil & Gas	2,750,213	1.10%
Constellation Automotive Ltd	New Zealand	Automotive	2,534,618	1.01%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	2,380,127	0.95%
American Airlines Group Inc	United States	Air Transport	2,280,375	0.91%
New Fortress Energy Inc	United States	Utilities	2,186,067	0.87%
Altice France Holding SA	France	Cable & Satellite Television	2,136,467	0.86%
Sophia LP	United States	Electronics/Electrical	2,084,250	0.83%
Redstone Buyer LLC	United States	Electronics/Electrical	2,049,090	0.82%
Team Health Holdings Inc	United States	Health Care	2,005,944	0.80%
Varsity Brands Holding Co Inc	United States	Clothing & Textiles	1,959,094	0.78%
Asurion LLC	United States	Insurance	1,935,050	0.77%
Woof Intermediate Inc	United States	Food Products	1,920,000	0.77%
Assuredpartners Inc	United States	Insurance	1,897,260	0.76%
Vistra Corp	United States	Utilities	1,887,600	0.75%
First Brands Group LLC	United States	Automotive	1,868,350	0.75%
Quantum Health Inc	United States	Health Care	1,861,200	0.75%
Kestrel Acquisition LLC	United States	Utilities	1,846,560	0.74%
Vistajet Malta 6.375% 02/01/30	Malta	Air Transport	1,788,000	0.72%
Brock holdings III LLC	United States	Business Equipment & Services	1,780,188	0.71%
EG Group Ltd	United Kingdom	Retailers (except food and drug)	1,772,090	0.71%
Comstock Resources Inc	United States	Oil & Gas	1,758,700	0.71%
FCG Acquisitions Inc	United States	Industrial Equipment	1,742,875	0.70%
AA Bond Co Ltd	United States	Financial Intermediaries	1,724,747	0.69%
Magnetite CLO Ltd Mgane_15-15X	United States	Financial Intermediaries	1,723,979	0.69%
Redwood Star Merger Sub 8.750% 04/01/30	United States	Industrial Equipment	1,675,000	0.67%
CQP Holdco LP	United States	Oil & Gas	1,654,380	0.66%
MHI Holdings LLC	United States	Industrial Equipment	1,625,396	0.65%
Minerva Merger Sub Inc 6.500% 02/15/30	United States	Health Care	1,622,650	0.65%
The Edelman Financial Group Inc	United States	Financial Intermediaries	1,611,249	0.64%
Realogy Group/Co-Issuer 5.250% 04/15/30	United States	Building & Development	1,605,800	0.64%
US Silica Co	United States	Nonferrous Metals & Minerals	1,605,617	0.64%
Tibco Software Inc	United States	Electronics/Electrical	1,583,573	0.63%
Global Aircraft Leasing Co Ltd	United States	Equipment Leasing	1,569,919	0.63%
Covia Holdings LLC	United States	Nonferrous Metals & Minerals	1,568,491	0.63%
Optiv Inc	United States	Electronics/Electrical	1,523,508	0.61%
Ivanti Software Inc	United States	Electronics/Electrical	1,521,958	0.61%
Convergeone Holdings Inc	United States	Electronics/Electrical	1,481,372	0.59%
Epicor Software Corp	United States	Electronics/Electrical	1,461,674	0.58%
Tecta America Corp	United States	Building & Development	1,455,000	0.58%
TRNTS 2019-10x ER FLT 01/15/35	United States	Financial Intermediaries	1,453,403	0.58%
Constant Contact Inc	United States	Electronics/Electrical	1,440,000	0.58%
Syncsort Incorporated (clearlake)	United States	Electronics/Electrical	1,432,376	0.58%
APX Group Inc 6.750% 02/15/27	United States	Business Equipment & Services	1,406,115	0.56%
			100,834,949	40.33%

As at 31 December 2021, the below were the largest 50 investments based on the NAV (Audited):

Securities (EXPRESSED IN U.S. DOLLARS)	Country	Industry	Fair value $	%
Chariot Buyer LLC	United States	Building & Development	5,218,500	1.65%
CSC holdings LLC	United States	Cable & Satellite Television	4,483,125	1.42%
Great Outdoors Group LLC	United States	Retailers (except food and drug)	3,965,858	1.26%
Uniti Group Inc/CSL Capital LLC	United States	Telecommunications/Cellular Communications	3,951,380	1.25%
Phoenix newco Inc	United States	Health Care	3,603,600	1.14%
Intelsat Jackson Hldg	Luxembourg	Telecommunications/Cellular Communications	3,469,942	1.10%
Constellation Automotive Ltd	United Kingdom	Automotive	3,204,961	1.02%
Traverse Midstream Partners LLC	United States	Oil & Gas	2,973,781	0.94%
Envision Healthcare Corp	United States	Health Care	2,956,848	0.94%
CD&R Dock Bidco Ltd	United Kingdom	Food Service	2,888,700	0.92%
Prairie ECI Acquiror LP	United States	Oil & Gas	2,847,585	0.90%
Cineworld Cinemas Holdings Ltd	United States	Leisure Goods/Activities/Movies	2,840,854	0.90%
Deerfield Duff & Phelps LLC	United States	Business Equipment & Services	2,759,813	0.88%
BCP Renaissance Parent LLC	United States	Oil & Gas	2,654,553	0.84%
Milano Acquisition LLC	United States	Insurance	2,572,904	0.82%
Team Health Holdings Inc	United States	Health Care	2,572,216	0.81%
BCP Raptor LLC	United States	Oil & Gas	2,561,242	0.81%
American Airlines Group Inc	United States	Air Transport	2,477,532	0.78%
EG Group Ltd	United Kingdom	Retailers (except food and drug)	2,313,710	0.73%
Redstone Buyer LLC	United States	Electronics/Electrical	2,290,531	0.73%
Asurion LLC	United States	Insurance	2,279,031	0.72%
BCP Raptor II LLC	United States	Oil & Gas	2,276,000	0.72%
Sophia LP	United States	Electronics/Electrical	2,155,125	0.69%
AA Bond Co Ltd	United States	Financial Intermediaries	2,114,665	0.67%
CQP Holdco LP	United States	Oil & Gas	2,035,313	0.64%
Magnetite CLO Ltd Mgane_15-15X	United States	Financial Intermediaries	2,021,029	0.64%
Woof Intermediate Inc	United States	Food Products	2,011,260	0.64%
MHI Holdings LLC	United States	Industrial Equipment	2,001,074	0.64%
Global Air Lease Co Ltd 6.500% 09/15/24	United States	Equipment Leasing	1,999,963	0.63%
First Brands Group LLC	United States	Automotive	1,990,955	0.63%
Quantum Health Inc	United States	Health Care	1,987,513	0.63%
New Fortress Energy Inc	United States	Utilities	1,925,450	0.61%
Brock Holdings Notes 15% 04/24/22	United States	Business Equipment & Services	1,896,183	0.60%
Kestrel Acquisition LLC	United States	Utilities	1,832,862	0.58%
Ivanti Software Inc	United States	Electronics/Electrical	1,781,602	0.56%
The Edelman Financial Group Inc	United States	Financial Intermediaries	1,772,956	0.56%
Convergeone Holdings Inc	United States	Electronics/Electrical	1,711,394	0.54%
Team Health Holdings Inc 6.375% 02/01/25	United States	Health Care	1,684,838	0.53%
FCG Acquisitions Inc	United States	Industrial Equipment	1,677,795	0.53%
Trinitas CLO Ltd TRNTS_19-10X	United States	Financial Intermediaries	1,657,201	0.52%
Covia Holdings LLC	United States	Nonferrous Metals & Minerals	1,656,820	0.52%
US Silica Co	United States	Nonferrous Metals & Minerals	1,640,869	0.52%
Tibco Software Inc	United States	Electronics/Electrical	1,621,734	0.51%
Crosby US Acquisition Corp	United States	Industrial Equipment	1,615,232	0.51%
Altice France Holding SA	France	Cable & Satellite Television	1,612,500	0.51%
Varsity Brands Holding Co Inc	United States	Clothing & Textiles	1,604,256	0.51%
Sundyne US Purchaser Inc	United States	Industrial Equipment	1,596,618	0.51%
Syncsort Incorporated (clearlake)	United States	Electronics/Electrical	1,596,000	0.51%
Optiv Inc	United States	Electronics/Electrical	1,585,513	0.51%
Comstock Resources Inc	United States	Oil & Gas	1,583,625	0.50%
			117,533,011	37.23%

FINANCIAL STATEMENTS | Unaudited Statement of Operations

Unaudited Statement of Operations

(Expressed in U.S. Dollars)	Note	(unaudited) 1 January 2022 to 30 JUNE 2022	(unaudited) 1 January 2021 to 30 JUNE 2021
Income
Interest income net of withholding taxes	2(b), 2(h)	10,568,184	9,730,851
Other income from investments		10,585	237,690
Total income		10,578,769	9,968,541

Expenses
Investment management and services	3	1,089,970	1,211,943
Administration and professional fees	3	497,613	454,530
Directors' fees and travel expenses	3	98,000	125,988
Total expenses		1,685,583	1,792,461

Net investment income		8,893,186	8,176,080

Realised and unrealised gains and losses
Net realised (loss)/gain on investments	2(e)	(1,689,062)	3,641,818
Net realised (loss)/gain on derivatives	2(e)	(10,381,797)	15,888,418
Total net realised (loss)/gain		(12,070,859)	19,530,236

Net change in unrealised (depreciation)/appreciation on investments	2(e)	(36,688,308)	2,896,505
Net change in unrealised depreciation on derivatives	2(e)	(16,867,119)	(12,064,807)
Total net unrealised depreciation		(53,555,427)	(9,168,302)

Realised and unrealised loss on foreign currency	2(e)	(295,165)	(146,273)

Net realised and unrealised ( loss)/gain		(65,921,451)	10,215,661

Net (decrease)/increase in net assets resulting from operations		(57,028,265)	18,391,741

Earnings per share		(£0.1780)	£0.0536

FINANCIAL STATEMENTS | Unaudited Statement of Changes in Net Assets

Unaudited Statement of Changes in Net Assets


FOR THE period 1 January 2022 to 30 JUNE 2022 (Expressed in U.S. Dollars)		VALUE
Net assets as at 1 January 2022		315,681,147
Dividends		(8,617,505)
Net decrease in net assets resulting from operations		(57,028,265)
Net assets as at 30 June 2022		250,035,377


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

FINANCIAL STATEMENTS | Unaudited Statement of Cash Flows

Unaudited Statement of Cash Flows

(Expressed in U.S. Dollars)	(unaudited) 1 January 2022 to 30 JUNE 2022	(unaudited) 1 January 2021 to 30 JUNE 2021
Cash flows from operating activities:
Net (decrease)/increase in net assets resulting from operations	(57,028,265)	18,391,741
Adjustment to reconcile net increase/(decrease) in net assets resulting from operations to net cash generated by operating activities:
Net realised loss/(gain) on investments	1,689,062	(3,641,818)
Net change in unrealised depreciation on investments and derivatives	53,555,427	9,168,302
Net change in unrealised (loss)/gain on translation of assets and liabilities	(206,807)	457,533
Amortisation of discounts/premiums	(288,483)	(296,851)
Changes in receivables for investments sold	1,202,716	949,078
Changes in interest receivable¹	(856,779)	(1,156,866)
Changes in other receivables and prepayments	33,952	(114,684)
Changes in payables for investments purchased	(3,514,019)	(3,752,610)
Changes in payables to Investment Manager and affiliates	(83,582)	48,101
Changes in accrued expenses and other liabilities	15,290	56,915
Purchase of investments²	(53,056,421)	(129,966,492)
Realisation of investments²	61,926,490	112,152,466
Net cash generated from operating activities	3,388,581	2,294,815

Cash flows from financing activities:
Net movement from share buybacks and share swaps	-	-
Dividends paid	(8,593,365)	(8,041,676)
Net cash used in financing activities	(8,593,365)	(8,041,676)

Effect of exchange rate changes on cash	206,807	(457,533)

Net decrease in cash and cash equivalents	(4,997,977)	(6,204,394)

Cash and cash equivalents at beginning of the period	11,667,943	15,894,923

Cash and cash equivalents at end of the period	6,669,966	9,690,529

¹ Interest received for the period ended 30 June 2022 totalled $9,711,405 (30 June 2021: $8,753,985)

² Included in these figures is $Nil (2021: $Nil) of non-cash transactions. These can arise due to the repricing and restructuring of certain investments during a period.

FINANCIAL STATEMENTS | Notes to the Unaudited Interim Financial Statements

For the period ended 30 June 2022

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.

The Company's investment objective is to provide its shareholders with consistent levels of monthly income, while maintaining or increasing the 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 NAV at the time of investment.

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. On 16 June 2022 the Board issued to Shareholders the EGM Circular setting out the Cash Exit Facility Offer. The Cash Exit Facility Offer gave Shareholders the opportunity to tender up to 25 per cent. of their Shares at a discount of 2 per cent. to NAV per Share on 30 June 2022.

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of preparation

The accompanying unaudited interim financial statements ("Financial Statements") which give a true and fair view, have been prepared on a going concern basis and in accordance with accounting principles generally accepted in the United States of America ("US GAAP"), The Companies (Guernsey) Law 2008 and the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 ("ASC 946"). The Board believes that the underlying assumptions are appropriate and that the Company's Financial Statements therefore are fairly presented in accordance with US GAAP.

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 transactions

Monetary assets and liabilities denominated in a currency other than U.S. Dollars are remeasured in U.S. Dollar equivalents using spot rates as at the reporting date. On initial recognition, a foreign currency transaction is recorded and converted 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 2022 were 1.21450 USD: 1GBP and 1.04540 USD: 1EUR (31 December 2021 were 1.35440 USD: 1GBP and 1.13720 USD: 1EUR).

(e) Fair value of financial instruments and derivatives

The fair value of the Company's assets and liabilities that qualify as financial instruments under FASB ASC 825, Financial Instruments, approximate the carrying amounts presented in the Statement of Assets and Liabilities. 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 2022 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 carrying 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 carrying value reasonably approximates fair value when the repayment period is short-term.

- Accrued expenses and other short-term liabilities - The net carrying value reasonably approximates fair value when the repayment period is short-term.

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 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 2022 the AIFM designated 4 (31 December 2021: 12) of its Global Floating Rate loans, 10 (31 December 2021: 10) of its Private Debt loans, Nil (31 December 2021: Nil) of its Special Situations, 3 (31 December 2021: 1) of its Global High Yield Bonds, 1 of its Private Equities (31 December 2021: 1) and 17 (31 December 2021: 18) CLO Debt Tranches as Level 3. With respect to the level 3 Private Equity position, the Investment Manager's Investment Committee has derived the fair value, based on comparable companies in similar industries.

The following table details the Company's financial instruments that were accounted for at fair value as at 30 June 2022.

Financial Instruments at Fair Value as at 30 JUNE 2022
Financial investments	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Private Debt	-	51,740,872	9,816,750	61,557,622
Special Situations	-	5,092,326	-	5,092,326
CLO Debt Tranches	-	10,411,682	16,361,614	26,773,296
Global High Yield	-	93,592,630	4,146,920	97,739,550
Global Floating Rate Loans	-	62,923,429	4,334,184	67,257,613
Equity	-	199,403	1,780,188	1,979,591
Total financial investments	-	223,960,342	36,439,656	260,399,998

	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Balance at start of the period	532,417	264,560,590	42,265,947	307,358,954
Purchases during the period ¹	-	50,866,184	2,190,237	53,056,421
Sales during the period ¹	-	(58,725,132)	(3,201,358)	(61,926,490)
Realised loss on investments	-	(1,627,497)	(61,565)	(1,689,062)
Unrealised loss on revaluation	(333,014)	(34,471,392)	(1,883,902)	(36,688,308)
Amortisation	-	288,483	-	288,483
Transfer from Level 1 to Level 2	(199,403)	199,403	-	-
Transfer from Level 3 to Level 2	-	2,869,703	(2,869,703)	-
Balance at end of the period	-	223,960,342	36,439,656	260,399,998

¹ Included in these figures is $Nil of non-cash transactions. These arose due to the repricing and restructuring of certain investments during the period.

Due to changes in observable inputs, the Company transferred securities from Level 1 to Level 2 and from Level 3 to Level 2 of the fair value hierarchy. Level 3 assets are valued using single broker quotes or valuation models.

DERIVATIVES at Fair Value as at 30 JUNE 2022
Financial assets	No. of contracts	NOTIONAL AMOUNTS	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Derivatives (for hedging purposes only)	36	767,484,934	-	1,044,655	-	1,044,655
Financial liabilities
Derivatives (for hedging purposes only)	6	(741,734,867)	-	(19,494,876)	-	(19,494,876)
Total	42	25,750,067	-	(18,450,221)	-	(18,450,221)

The Company considers the notional amounts as at 30 June 2022 to be representative of the volume of its derivative activities during the period ended 30 June 2022.

The following table details the Company's financial instruments that were accounted for at fair value as at 31 December 2021.

Financial Instruments at Fair Value as at 31 DECEMBER 2021
Financial investments	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Private Debt	-	58,188,397	10,440,000	68,628,397
Special Situations	-	9,278,095	-	9,278,095
CLO Debt Tranches	-	14,633,865	19,003,288	33,637,153
Global High Yield	-	82,808,713	1,896,183	84,704,896
Global Floating Rate Loans	-	99,651,520	9,534,102	109,185,622
Equity	532,417	-	1,392,374	1,924,791
Total financial investments	532,417	264,560,590	42,265,947	307,358,954

	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Balance at start of the year	-	264,634,951	33,077,294	297,712,245
Purchases during the year ¹	-	247,783,822	32,893,679	280,677,501
Sales during the year ¹	(1,786,169)	(252,981,184)	(17,265,899)	(272,033,252)
Realised gain on investments	718,759	2,601,123	344,534	3,664,416
Unrealised gain/(loss) on revaluation	152,842	(1,267,566)	(2,094,839)	(3,209,563)
Amortisation	-	547,607	-	547,607
Transfer from Level 3 to Level 1	1,446,985	-	(1,446,985)	-
Transfer from Level 3 to Level 2	-	8,230,079	(8,230,079)	-
Transfer from Level 2 to Level 3	-	(4,988,242)	4,988,242	-
Balance at end of the year	532,417	264,560,590	42,265,947	307,358,954

¹ Included in these figures is $38,785,967 of non-cash transactions. These arose due to the repricing and restructuring of certain investments during the year.

Due to changes in observable inputs, the Company transferred securities from Level 2 to Level 3, from Level 3 to Level 2 and from Level 3 to Level 1 of the fair value hierarchy. Level 3 assets are valued using single broker quotes or valuation models.

DERIVATIVES at Fair Value as at 31 DECEMBER 2021
Financial assets	No. of contracts	NOTIONAL AMOUNTS	Level 1 ($)	Level 2 ($)	Level 3 ($)	Total ($)
Derivatives (for hedging purposes only)	5	1,508,873,601		551,564	-	551,564
Financial liabilities
Derivatives (for hedging purposes only)	12	(1,517,172,656)		(2,134,666)	-	(2,134,666)
Total	17	(8,299,055)		(1,583,102)	-	(1,583,102)

The Company considers the notional amounts as at 31 December 2021 to be representative of the volume of its derivative activities during the year ended 31 December 2021.

The following tables summarise the significant unobservable inputs the Company used to value its investments categorised within Level 3 at 30 June 2022. 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 2022

Sector	Fair Value ($)	Primary Valuation Technique	Significant unobservable Inputs	Range / INPUT*	Weighted Average
Private Debt	9,816,750	Vendor Pricing	Unadjusted Broker Quote	1	N/A
CLO Debt Tranches	16,361,614	Vendor Pricing	Unadjusted Broker Quote	1	N/A
Global High Yield	4,146,920	Vendor Pricing	Enterprise Value	N/A	N/A
Global Floating Rate Loans	4,334,184	Vendor Pricing	Unadjusted Broker Quote	1	N/A
Equity	1,780,188	Market Comparables	EBITDA multiple	4-18	N/A
Total	36,439,656

* 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 2021

Sector	Fair Value ($)	Primary Valuation Technique	Significant unobservable Inputs	Range / INPUT*	Weighted Average
Private Debt	10,440,000	Vendor Pricing	Unadjusted Broker Quote	1	N/A
CLO Debt Tranches	19,003,288	Vendor Pricing	Unadjusted Broker Quote	1	N/A
Global High Yield	1,896,183	Market Approach	Second Lien Quotations	98.63	N/A
Global Floating Rate Loans	9,534,102	Vendor Pricing	Unadjusted Broker Quote	1	N/A
Equity	1,392,374	Market Approach	Enterprise value/EBITDA multiple (EV/EBITDA)	9x	N/A
Total	42,265,947

Derivative activity

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. As at 30 June 2022, there were 5 counterparties for the forward contracts (31 December 2021: 5). The Company is subject to enforceable master netting agreements with its counterparties of foreign currency exchange contracts with Royal Bank of Canada of $217,682 (31 December 2021: $145,582), State Street of ($19,494,875) (31 December 2021: $551,564), Westpac of $64,230 (31 December 2021: ($1,935,769)),Goldman Sachs of $60,812 (31 December 2021: ($9,468)) and UBS AG of $701,931 (31 December 2021: ($43,846)). These agreements govern the terms of certain transactions and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms.

The following table, at 30 June 2022, 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 STATEMENT OF ASSETS AND LIABILITIES ($)
DESCRIPTION	GROSS AMOUNTS OF RECOGNISED ASSETS ($)
Forward currency contracts	3,318,445	(2,273,790)	1,044,655
Total	3,318,445	(2,273,790)	1,044,655

Description	Gross Amounts of Recognised Liabilities ($)	Gross Amounts Offset in the Statements of Assets and Liabilities ($)	Net Amounts of Recognised LIABILITIES Presented in the Statement of Assets and Liabilities ($)
Description	Gross Amounts of Recognised Liabilities ($)
Forward currency contracts	(21,768,666)	2,273,790	(19,494,876)
Total	(21,768,666)	2,273,790	(19,494,876)

There is no collateral for forward contracts.

The following table, at 31 December 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 STATEMENT OF ASSETS AND LIABILITIES ($)
DESCRIPTION	GROSS AMOUNTS OF RECOGNISED ASSETS ($)
Forward currency contracts	704,827	(153,263)	551,564
Total	704,827	(153,263)	551,564

Description	Gross Amounts of Recognised Liabilities ($)	Gross Amounts Offset in the Statements of Assets and Liabilities ($)	Net Amounts of Recognised LIABILITIES Presented in the Statement of Assets and Liabilities ($)
Description	Gross Amounts of Recognised Liabilities ($)
Forward currency contracts	(2,287,929)	153,263	(2,134,666)
Total	(2,287,929)	153,263	(2,134,666)

There is no collateral for forward contracts.

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

	FOR THE PERIOD ENDED 30 June 2022 ($)	FOR THE PERIOD ENDED 30 June 2021 ($)
Net realised gain/(loss) on derivatives	(10,381,797)	15,888,418
Net change in unrealised depreciation on derivatives	(16,867,119)	(12,064,807)
Total	(27,248,916)	3,823,611

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

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

The net realised and unrealised gain/(loss) on investments shown in the Statement of Operations For the period ended 30 June 2022 by type of investment is as follows:

FOR THE PERIOD ENDED 30 JUNE 2022 (EXPRESSED IN U.S. DOLLARS)
Realised gain on investments	434,835
Realised loss on investments	(2,123,897)
	(1,689,062)
Realised gain on derivatives	3,958,146
Realised loss on derivatives	(14,339,943)
	(10,381,797)
Unrealised gain on investments	1,153,799
Unrealised loss on investments	(37,842,107)
	(36,688,308)
Unrealised gain on derivatives	5,639,877
Unrealised loss on derivatives	(22,506,996)
	(16,867,119)
Realised and unrealised gain on foreign currency transactions	115,145
Realised and unrealised loss on foreign currency transactions	(410,310)
	(295,165)

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)

(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.

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.

The Company may enter into forward foreign currency contracts to hedge against foreign currency exchange risk and to support efficient portfolio management.

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 its 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 2022, the Company suffered withholding taxes of $10,524 (30 June 2021: $26,395). As of 30 June 2022, withholding taxes receivable (reclaimed) totalled $146,407 (30 June 2021:$119,879).

The changes to the Company's discount control policy approved by shareholders at the Extraordinary General Meeting held on 8 September 2020 ("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", if any, 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 2022, 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 2021: Nil)

(i) Dividends

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

(j) Expenses

Operating expenses are recognised in the Statement of Operations on an accruals basis. Operating expenses include amounts directly or indirectly incurred by the Company as part of its operations.

(k) Share capital, share buybacks and treasury shares

Any costs incurred by a share buyback and by a sale of shares held in treasury will be charged to that share class. Costs directly attributable to the issue of new shares (that would have been avoided if there had not been a new issue of new shares) are written off against the value of the ordinary share premium. Dividends paid on the ordinary shares are recognised in the Statement of Changes in Equity. The Company's own shares can be repurchased and held in treasury to be reissued in the future or subsequently cancelled. Holders of ordinary shares are entitled to attend, speak and vote at general meetings of the Company. Each ordinary share (excluding shares in treasury) carries one vote. Shares held in treasury do not carry voting rights.

NOTE 3 - AGREEMENTS AND RELATED PARTIES TRANSACTIONS

Related Party Agreements

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 Neuberger Berman Group LLC. 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 fee.

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 submit and generally will not submit individual investment decisions for approval by the Board. The Manager provides certain administrative services to the Company.

Until 7 September 2020, the Manager was entitled to a management fee of 0.65% per annum of the Company's NAV. 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 2022, the management fee expense was $1,089,970 (30 June 2021: $1,211,943), of which $515,553 (30 June 2021: $615,706) was unpaid at the period end.

The Manager is not entitled to a performance fee.

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 Chair). The Chair of the Audit and Risk Committee receives an additional £6,000 for services in this role. The Chair of the Management Engagement Committee and the Chair of the Remuneration and Nomination 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 2022, the Directors' fees and travel expenses amounted to $98,000 (30 June 2021: $125,988). Of these, $Nil were owing at the period-end (30 June 2021: $Nil).

As at 30 June 2022, Mr Dorey (inc. spouse) and Mr Staples held 245,671 and 45,000 Sterling Ordinary Shares in the Company respectively (30 June 2021: Mr Dorey (inc. spouse) and 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 2022 (30 June 2021: Nil). As at 30 June 2022 Mr Dorey's wife held 80,671 Sterling Ordinary Shares (30 June 2021: 80,671 Sterling Ordinary Shares).

During the period ended June 2022, the Directors received the following dividend payments on their shares held: Mr Dorey £6,758 (2021: £3,861); Mr Staples £1,238 (2021: £1,053) and Mr Dorey's wife received $2,219 (2021: £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.

Significant Agreements

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 2022, the administration fee was $68,025 (30 June 2021: $60,897 ) of which $10,440 (30 June 2021: $10,425) was unpaid at the period end.

Effective 22 April 2019, Sanne Fund Services (Guernsey) 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 2022, the secretarial fees were $54,864 (30 June 2021: $64,427), of which $56,354 (30 June 2021: $30,965) 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 2022 were $29,019 (30 June 2021 : $32,062 ) and the amount owing to them was $45,820 ( 30 June 2021 : $80,517 ) .

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.

Registrar's Agreement

Link Market Services (Guernsey) Limited is the appointed registrar of the Company. For the period ended 30 June 2022, the Registrar's fees amounted to $41,568 ( 30 June 2021: $48,173). Of these, $60,530 (30 June 2021: $49,331) 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 2022 Numis Securities Limited are entitled to an annual retainer fee of £50,000 p.a. For the period ended 30 June 2022, the Corporate Broker and Financial Advisors' fees amounted to $31,994 (30 June 2021: $33,950). Of these, $Nil (30 June 2021: $nil) were unpaid at the period end.

Professional fees

Professional fees during the period were $272,143 ( 30 June 2021 : $393,633).

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 e.g. its replacement SOFR in the US and SONIA in the UK, for loans issued after 2021) 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 (or SOFR/SONIA/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.

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. In preparation for the transition from LIBOR to new reference rates, credit spread adjustments had been worked out well ahead of the transition, so the Company does not believe there to be any material valuation risk as a result of the shift to a new reference rate (e.g., SOFR in the US and SONIA in the UK). The concept of a credit spread adjustment is, by design, intended to equalize the total coupon on loans before and after the transition to ensure that no party (borrower or lender) benefits simply from the conversion. Another way to state this is that without a spread adjustment, there would be some value transfer (likely from lenders to borrowers / issuers) upon transition from LIBOR to SOFR- and SONIA-based rates. The spread adjustment is only intended to be used for legacy debt maturing after LIBOR is no longer used. New issues that use a SOFR- or SONIA-based rate do not require a spread adjustment, since the margin over the reference rate can be set at the appropriate level at issuance. Moreover, the Company has documented the LIBOR-related contract language for securities it holds that reference LIBOR.

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 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.

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.

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 2022, 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.

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 2022 or as at 30 June 2021.

As at 30 June 2022, 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). As detailed in Note 1, effective 6 July, following the closing of the first Cash Exit Facility Offer on 30 June 2022, 25,500,417 Ordinary Shares were validly tendered and redeemed and with effect from 7 July 2022 the share capital of the Company is 297,767,735 Ordinary shares, of which 76,083,114 are 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 Circular 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 2022 to 30 JUNE 2022

Sterling

Ordinary Shares

Balance as at 1 January 2022

247,185,038

Balance as at 30 June 2022 ¹

247,185,038

₁ Balance of issued shares (less Treasury shares) used to calculate NAV per share.

FROM 1 JANUARY 2021 TO 31 DECEMBER 2021

Sterling

Ordinary Shares

Balance as at 1 January 2021

247,185,038

Balance as at 31 December 2021 ¹

247,185,038

₁ Balance of issued shares (less Treasury shares) used to calculate NAV per share.

Treasury Shares

As at 30 June 2022, the Company held the following shares in treasury.

	30 JUNE 2022	30 JUNE 2021
Sterling Ordinary Treasury Shares
Opening number of shares	76,083,114	76,083,114
Shares bought into Treasury	-	-
Shares sold or cancelled from Treasury	-	-
Closing number of shares	76,083,114	76,083,114

₁ The Company has shareholder approval to be able to buy back shares and may elect to buy back Ordinary Shares at certain times during the year either for cancellation or to be held as Treasury shares at the absolute discretion of the Directors. No shares were bought back during the period ended 30 June 2022 or the year ended 31 December 2021.

The Computation for earnings per share for the period ended 30 June 2022 and 31 December 2021 were as follows:

	30 JUNE 2022	30 June 2021
Net (decrease)/increase in net assets resulting from operations	(£43,993,317)	£13,244,022

Divided by weighted average shares outstanding for Sterling Ordinary Shares	247,185,038	247,185,038

Earnings per share for Sterling Ordinary Shares	(£0.1780)	£0.0536

Note 7 - FINANCIAL HIGHLIGHTS

30 JUNE 2022	Sterling Ordinary ShareS as at 30 JUNE 2022 (GBP)
Per share operating performance
NAV per share at the beginning of the period	0.9429
Income from investment operations ^(a)
Net income per share for the period	0.0278
Net realised and unrealised loss from investments	(0.2048)
Foreign currency translation gain	0.0939
Total gain from operations	(0.0831)
Distributions per share during the period	(0.0269)
NAV per share at the end of the period	0.8329

NAV Total return ^{1, (b)}	(8.92%)
Ratios to average net assets ^(b)
Net investment income	3.05%
On-Going Charges	0.58%

(a) The weighted average number of shares outstanding for the period was used for calculation. See note 6 also.

(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.

31 DeCEMBER 2021	Sterling Ordinary ShareS as at 31 DECEMBER 2021 (GBP)
Per share operating performance
NAV per share at the beginning of the year	0.9394
Income from investment operations ^(a)
Net income per share for the year	0.0488
Net realised and unrealised loss from investments	(0.0022)
Foreign currency translation gain	0.0076
Total gain from operations	0.0542
Distributions per share during the year	(0.0507)
NAV per share at the end of the year	0.9429

NAV Total return ^{1, (b)}	5.89%
Ratios to average net assets ^(b)
Net investment income	5.13%
On-Going Charges	1.12%

(a) The weighted average number of shares outstanding for the year was used for calculation. See note 6 also.

(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 year. It assumes that dividends paid to shareholders are reinvested at NAV at the time the shares are quoted ex-dividend.

NOTE 8 - RECONCILIATION OF NET ASSET VALUE TO PUBLISHED NAV

For the period ended 30 June 2022.	STERLING ORDINARY SHARES £
Published net assets at 30 June 2022 (US$)	250,035,377
Valuation adjustments (US$)	-
Net assets per Financial Statements (US$)	250,035,377

For the period ended 31 December 2021.	STERLING ORDINARY SHARES £
Published net assets at 31 December 2021 (US$)	317,803,498
Valuation adjustments (US$)	(2,122,351)
Net assets per Financial Statements (US$)	315,681,147

NOTE 9 - SUBSEQUENT EVENT

The Board announced on 21 July 2022 a further increase to the Target Distribution for the remainder of 2022 to a rate of 6.75% of Net asset value per annum. For the month of July 2022 a dividend of £0.00443 on 221,684,621 shares, equivalent to £1,095,029.72 was paid on 12 August 2022. For the month of August 2022 a dividend of £0.00467 on 221,684,621 shares, which equates to £1,035,267.18 was paid on 12 September 2022 to ordinary shareholders as at close of business on 26 August 2022.

The details of the June 2022 Cash Exit Offer which closed after period end are detailed in Note 1 and 6 to these Unaudited Interim Financial Statements.

ADDITIONAL INFORMATION | Contact Details

Contact Details

Directors

Rupert Dorey - Chair

Laure Duhot

David Staples

All c/o the Company's registered office.

Registered Office

Sarnia House

Le Truchot

St Peter Port

Guernsey

GY1 1GR

Company Secretary

Sanne Fund Services (Guernsey) 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.com under 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).

[1] Performance data quoted represents past performance and does not indicate future results. Total returns shown are net of all fees and expenses and include reinvestment of income dividends and other distributions, if any.

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