Annual Report and Audited Financial Statement

TWENTYFOUR INCOME FUND LIMITED

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

For the year ended 31 March 2018

LEI:549300CCEV00IH2SU369
(Classified Regulated Information under DTR 6 Annex 1 section 1.1)

The Company has today, in accordance with DTR 6.3.5, released its Report and Audited Financial Statements for the year ended 31 March 2018. The Report will shortly be available via the Company's Portfolio Managerâ€™s website www.twentyfouram.com and will shortly be available for inspection online at www.morningstar.co.uk/uk/NSM website.

SUMMARY INFORMATION

The Company
TwentyFour Income Fund Limited (the â€œCompanyâ€) was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Companyâ€™s shares were listed with a Premium Listing on the Official List of the UK Listing Authority and admitted to trading on the Main Market of the London Stock Exchange on 6 March 2013.

Investment Objective and Investment Policy
The Companyâ€™s investment objective is to generate attractive risk adjusted returns principally through income distributions.

The Companyâ€™s investment policy is to invest in a diversified portfolio of UK and European Asset Backed Securities.

The Company will maintain a Portfolio diversified by issuer, it being anticipated that the Portfolio will comprise at least 50 Asset Backed Securities at all times.

The Portfolio must comply, as at each date an investment is made, with the following restrictions:

(i) no more than 20% of the Portfolio value will be backed by collateral in any single country (save that this restriction will not apply to Northern European countries); and

(ii) no more than 5% of the Portfolio value will be exposed to any single Asset Backed Security or issuer of Asset Backed Securities; and

(iii) no more than 10% of the Portfolio value will be exposed in aggregate to instruments not deemed securities for the purposes of FSMA.

As an exception to the requirements set out above the Portfolio Manager is permitted to purchase new investments at any time when the Portfolio does not comply with one or more of those restrictions so long as, at the time of investment:

the asset purchased will be compliant with the single country restriction above (even where following the purchase more than 20% of the Portfolio will be backed by collateral in another single country due to market movements);
the asset purchased will be compliant with the single Asset Backed Security/issuer exposure restriction above (even where following the purchase more than 5% of the Portfolio value will be exposed to another single Asset Backed Security or issuer due to market movements); and
such purchase does not make the Portfolio, in aggregate, less compliant with any of (i), (ii) and (iii) above.

The Company will not employ gearing or derivatives for investment purposes. The Company may use borrowing for short-term liquidity purposes, which could be achieved through a loan facility or other types of collateralised borrowing instruments including repurchase transactions and stock lending. The Directors will restrict the borrowings of the Company to 10% of the Companyâ€™s Net Asset Value (â€œNAVâ€) at the time of drawdown.

In accordance with the Listing Rules, the Company can only make a material change to its investment policy with the approval of its Shareholders by Ordinary Resolution

Target Returns
The Company has a target annual net total return on the Companyâ€™s NAV of between 6% and 9% per annum, which includes quarterly dividends with a target yield each financial year of 6% or higher, of the Issue Price.*

Shareholder Information
Northern Trust International Fund Administration Services (Guernsey) Limited (the â€œAdministratorâ€) is responsible for calculating the NAV per share of the Company. The unaudited NAV per ordinary redeemable share will be calculated as at the close of business on the last business day of every week and the last business day of every month by the Administrator and will be announced by a Regulatory News Service the following business day.

Financial Highlights

	31.03.18	31.03.17

Total Net Assets	Â£470,013,131	Â£452,612,049

Net Asset Value per share	118.75p	114.35p

Share price	119.50p	119.25p

Premium to Net Asset Value	0.63%	4.29%

Dividends declared in respect of the year	7.23p	6.99p

As at 2 July 2018, the premium had moved to 3.10%. The estimated NAV per share and mid-market share price stood at 116.39p and 120.00p respectively.

Ongoing Charges
Ongoing charges for the year ended 31 March 2018 have been calculated in accordance with the Association of Investment Companies (the â€œAICâ€) recommended methodology. The ongoing charges for the year ended 31 March 2018 were 0.94% (31 March 2017: 0.97%).

* The Issue Price being Â£1.00. This is a target only and not a profit forecast. There can be no assurance that this target will be met or that the Company will make any distributions at all. This target return should not be taken as an indication of the Companyâ€™s expected or actual current or future results. The Companyâ€™s actual return will depend upon a number of factors, including the number of Ordinary Shares outstanding and the Companyâ€™s total expense ratio. Potential investors should decide for themselves whether or not the return is reasonable and achievable in deciding whether to invest in or retain or increase their investment in the Company. See note 16 for further detail.

CHAIRMANâ€™S STATEMENT
for the year ended 31 March 2018

I am pleased to present my report on the Companyâ€™s progress for the year ending 31 March 2018.

For the majority of the period the Companyâ€™s shares continued to trade at a premium, as they had done since launch, with the average premium during the period being 2.30%, although this narrowed during the second quarter, trading briefly at a discount in September, and again towards the end of the year. However, I note that the share price has rallied strongly, to trade back at a premium of 3.10% at the time of writing. The Board is willing to continue to authorise the issuance of further shares as a premium management mechanism, subject to the Portfolio Manager confirming that attractive investment opportunities are available in the market. Despite market demand for the issuance of shares, and sufficient market activity for the existing portfolio, the Portfolio Manager has not been prepared to support the issuance of further shares in the current market and potentially dilute the portfolio returns.

The Net Asset Value (â€œNAVâ€) total return on the shares from launch to 31 March 2018 was 60.24% (including dividends). The NAV per share rose 10.35% (including dividends) during the period, and the income component of the return to investors remained strong as the Company declared three dividends of 1.5p per share, to cover the pro-rata minimum return of 6p per share, with a final dividend covering all excess returns of 2.73p per share in respect of the year paid on 30th April. The Company has seen an increase in portfolio holdings deemed as Level 3 during the period, which has been driven purely by price sources as at the period end, and does not indicate a change to level of risk.

The NAV performance of the Company has been pleasingly consistent over the twelve months, benefitting from the strong fundamental performance across the markets the Company invests in, stable ratings, and the strong technical support provided by the mismatch between demand and supply of new issuance.

In particular the recent volatility that most markets felt in February, as a result of the changes in expectations around rate changes by the major central banks, has been largely ignored by the European ABS market, which benefits from its floating rate nature, and through the more defensive positioning of the portfolio. The Company may benefit from an increase in yield on the portfolio following any upward moves in LIBOR as a result of market expectations of changes in the UK Base Rate.

While there has been some contraction of spreads in European ABS, the ongoing investment opportunity remains attractive, particularly in light of the lower yield environment in most comparable asset classes and the floating rate exposure it offers. While risks to market sentiment do exist, these appear largely to be external to the European ABS market, and as we have seen before, when they become significant enough to push volatility into the ABS market this tends to be short-lived and the Companyâ€™s NAV typically enjoys a strong recovery. I remain confident of the Companyâ€™s ability to fulfil its objectives.

Trevor Ash
Chairman
3 July 2018

PORTFOLIO MANAGERâ€™S REPORT
for the year ended 31 March 2018

Market Commentary
The year ending 31 March 2018 was largely benign in terms of performance, characterised by low relative levels of volatility, and consistent NAV appreciation. During the year the Companyâ€™s NAV per Share and Share Price increased 4.40p and 0.25p respectively, and dividends for the period totalled 7.23p per share.

Throughout the period most markets have been principally focussed on politics, central banks and market technicals. The trend of populist politics has been at the forefront of the mind since mid-2016 with the Brexit referendum and then the US presidential election. As the period opened, elections had been held in the Netherlands, and while the potential for a far-right government was avoided, the subsequent elections in France saw a greater chance of a victory for Marine Le Penâ€™s Front National. Again, the eventual Macron result was favourable for markets, but the uncertainty caused by such events dominated the headlines and the minds of investors.

In contrast the snap election in the UK did not bring the expected outcome, and the precarious nature of the Conservative Partyâ€™s hold on power, plus the infighting within the party, will continue to create headlines. Electoral focus continued until the period end with elections in Italy resulting in a hung parliament and with two populist parties leading the results. Again markets largely took the unexpected result in their stride, mainly as both parties had dampened their rhetoric around leaving the single currency mechanism.

Political events were not limited to electoral risk however; Brexit negotiations started following the triggering of Article 50 in March 2017, with slow progress over the following six months, and while a framework for a transition agreement has been reached, the continuing negotiations will continue to occupy investorsâ€™ minds. On a global front the ongoing issues of the Trump administration have included Russian interference in the election, the sacking of the head of the FBI, the initial inability to pass any major legislation, significant turnover in senior personnel at the White House, and the escalating conflict with North Korea over its nuclear missile capability. However it was toward the period end that the President had a more direct impact on markets as he ramped up the pressure on China and other key trading economies with the threat of tariffs and the prospect of a global trade war.

Central bank policy has also been a material driver of some markets over the period, principally driven by changing expectations around the tightening of monetary policy and the reduction of stimulus measures. The coordinated global recovery, low levels of unemployment and bullish markets have pushed the Federal Reserve to raise rates and start shrinking the size of their balance sheet, with the Bank of England following suit by raising rates in November and the European Central Bank (â€œECBâ€) tapering Quantitative Easing.

In late January, materially stronger than expected economic data led to markets substantially increasing their expectations of future rate moves by the major central banks, introducing significant volatility to most markets, most keenly felt with interest rate duration sensitive assets. This volatility was mostly ignored by ABS markets, with the exception of sub-investment grade rated CLOs which saw some spread widening during the last two months of the period.

While 2017 started with relatively light numbers of issuance, volumes picked up as the year progressed and continued to do so through the first quarter of 2018. This has been driven in part by the re-entry of banks into the RMBS space as the Term Funding Scheme drew to a close in February, but also thanks to a wider range of issuance types, most notably the re-emergence of Commercial Mortgage Backed Securities following a long hiatus.

This increase in supply has been more than covered by an increase in demand however, evidenced by the levels of material over-subscription of most tranches that have been placed. With expected reductions in capital requirements for insurance investors at the senior part of the capital structure, and further iterations of more moderate capital weightings expected, there would appear to be growing demand looking forward.

Market Outlook
Sentiment in the ABS market is positive, and the expectation is for performance to continue in this manner for the remainder of 2018.

There is an expectation that new issuance volume for the year will surpass that of 2017, and looking forward to the end of the ECB ABS Purchase Programme, European banks will likely have further appetite to issue additional supply into the market.

External events continue to occupy the mind of the Portfolio Managers, and while the impact on the portfolioâ€™s underlying asset pools of issues such as geopolitical risk, global trade wars, electoral risk and Brexit, are likely to be minimal, the resulting change in market sentiment can create market volatility.

The ongoing strong demand for European ABS is expected to continue to provide support for pricing through most market events, with the increased attraction of floating rate bonds adding to this, particularly in the event of further inflation or rate driven volatility.

Foreign Exchange Accounting
The Companyâ€™s policy is to hedge foreign exchange risk. During the year, the Company held Euro and Sterling denominated assets and while the EUR/GBP exchange rate finished 3.0% higher at the end of the year, the exchange rate was relatively volatile and experienced moves in the range of 11.2% during the year.

Currency risk is hedged using â€œrolling forwardsâ€ with a one month maturity, selling forward a notional amount equivalent to the market value of the assets. Any movements in foreign exchange rates are monitored daily and the hedge is adjusted when necessary to ensure that currency exposure remains within strict limits. The Company operates to a tolerance of +/-0.50% exposure to the NAV on each non-GBP currency. The Company has significant exposure to Euro assets, representing 59% of the Investment Portfolio at the end of the year, and which remained fully hedged within these tolerances during this time. Foreign Exchange hedging is used to manage the portfolioâ€™s currency risk efficiently and not to enhance investment returns. The Company does not, however, apply hedge accounting as set out in IAS 39.

The net foreign currency gain on the portfolio (recorded within net gains on financial assets at fair value through profit or loss) and the net foreign currency losses on the forward currency contracts (included within net foreign currency losses) are recognised in accordance with the hedging policy and International Financial Reporting Standards, within the Statement of Comprehensive Income.

TwentyFour Asset Management
3 July 2018

TOP TWENTY HOLDINGS
As at 31 March 2018

				Percentage of
	Nominal/	Asset Backed Security	Fair Value	Net Asset
Security	Shares	Sector	Â£	Value
SCGC 2015-1 E	18,000,000	Consumer ABS	17,364,431	3.69
CBFLU 1 MEZZ	14,000,000	Buy-to-Let RMBS	14,070,000	2.99
OPTOM 3 MEZZ	12,000,000	Non-Conforming RMBS	12,000,000	2.55
PARGN 15X CB	13,300,000	Buy-to-Let RMBS	10,825,054	2.30
WARW 1 E	10,500,000	Non-Conforming RMBS	10,554,351	2.25
WARW 2 E	9,250,000	Non-Conforming RMBS	9,318,873	1.98
TPMF 2016-GR1X E	9,000,000	Prime RMBS	9,148,953	1.95
RMS 28 E	8,550,000	Non-Conforming RMBS	8,823,771	1.88
WARW 1 D	8,200,000	Non-Conforming RMBS	8,244,444	1.75
SCGC 2016-1 E	7,500,000	Consumer ABS	7,241,174	1.54
PMF 2018-2B A	7,000,000	Buy-to-Let RMBS	7,006,615	1.49
ALME 3X FRNE	7,500,000	Leveraged Loan CLO	6,739,897	1.43
AVOCA 16X E	7,250,000	Leveraged Loan CLO	6,480,560	1.38
AURUS 2017-1 G	7,000,000	Consumer ABS	6,195,118	1.32
EMACP 2007-NL4 D	9,000,000	Prime RMBS	6,193,962	1.32
CASTE 2017-1 F	6,000,000	Non-Conforming RMBS	6,094,720	1.30
HWKSM 2016-1 D	6,000,000	Non-Conforming RMBS	6,085,020	1.29
DRYD 2015-44X F	6,800,000	Leveraged Loan CLO	6,058,421	1.29
RMACS 2006-NS3X B1C	6,702,943	Non-Conforming RMBS	5,433,928	1.16
HLAE 2016-1X E	6,000,000	Leveraged Loan CLO	5,394,402	1.15

BOARD MEMBERS

Biographical details of the Directors are as follows:

Trevor Ash â€“ (Chairman) (age 72)
Mr Ash is a resident of Guernsey and has over 30 years of investment experience. He is a Fellow of the Chartered Institute for Securities and Investment. He was formerly a managing director of Rothschild Asset Management (CI) Limited. Mr Ash retired as a director of NM Rothschild & Sons (CI) Limited, the banking arm of the Rothschild Group in the Channel Islands in 1999. Since retirement, he has acted as a director of a number of hedge funds, fund of hedge funds, venture capital, derivative and other offshore funds including several managed or advised by Insight, JP Morgan and Merrill Lynch. Mr Ash was appointed to the Board on 11 January 2013.

Ian Burns â€“ (Non-executive Director, Senior Independent Director and Chairman of the Audit Committee) (age 58)
Mr Burns is a resident of Guernsey and a fellow of the Institute of Chartered Accountants in England and Wales and a member of the Society of Trust and Estate Planners. He is a founder and Executive Director of Via Executive Limited, a specialist management consulting company and managing director of Regent Mercantile Holdings Limited, a privately owned investment company. Mr Burns is currently a non-executive director of London listed River and Mercantile UK Micro Cap Limited and FastForward Innovations Limited (AIM) and a number of private investment funds. Mr Burns was appointed to the Board on 17 January 2013.

Richard Burwood â€“ (Non-executive Director) (age 50)
Mr Burwood is a resident of Guernsey with over 25 yearsâ€™ experience in banking and investment management. During 18 years with Citibank London, Mr Burwood spent 11 years as a fixed income portfolio manager spanning both banks/finance investments and Asset Backed Securities. He gained direct experience as a portfolio manager of securities backed by mortgages, auto loans and collateralised loan obligations. Mr Burwood has lived in Guernsey since 2010, initially working as a portfolio manager for EFG Financial Products (Guernsey) Ltd, managing the treasury departmentâ€™s ALCO Fixed Income portfolio. From 2011 to 2013, Mr Burwood worked as the Business and Investment Manager for the Guernsey branch of Man Investments (CH) AG. This role involved overseeing all aspects of the business including operations and management of proprietary investments. In January 2014, Mr Burwood joined the board of RoundShield Fund I GP Ltd, a Guernsey private equity fund, focused on European small to mid-cap opportunities. In August 2015, he became a Board Member of Funding Circle SME Income Fund Ltd, a Guernsey company, offering investors access to a diversified pool of SME loans originated through Funding Circleâ€™s marketplaces in the UK, US and Europe. Mr Burwood was appointed to the Board on 17 January 2013.

Jeannette (Jan) Etherden â€“ (Non-executive Director) (age 58)
Ms Etherden is a resident of the United Kingdom, with over 30 yearsâ€™ experience in the investment industry as an analyst, a fund manager, then a non-executive director. Previously head of UK equities for Confederation Life / Sun Life of Canada, she joined Newton in 1996 as a director specialising in multi-asset segregated portfolios and was also their Investment COO from 1999 to 2001. Subsequently she worked with Olympus Capital Management as business development manager for specialist hedge fund product. She is a director of Miton UK MicroCap Trust plc and of LXI REIT plc. Ms Etherden was appointed to the Board on 17 January 2013.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

The following summarises the Directorsâ€™ directorships in other public companies:

Company Name	Stock Exchange

Trevor Ash (Chairman)
Sherbourne Investors(Guernsey) B Limited		London
Sherbourne Investors (Guernsey) C Limited	London

Ian Burns
FastForward Innovations Limited	London and Berlin
River and Mercantile UK Micro Cap Limited	London

Richard Burwood
Funding Circle SME Income Fund Limited, and its associated funding vehicles:	London
- Basinghall Lending DAC	Dublin
- Tallis Lending DAC	Dublin

Jeannette Etherden
Miton UK MicroCap Trust plc	London
LXI REIT plc	London

DIRECTORSâ€™ REPORT

The Directors present their Annual Report and Audited Financial Statements for the year ended 31 March 2018.

Business Review

The Company
TwentyFour Income Fund Limited (the â€œCompanyâ€) was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Companyâ€™s Shares were listed with a Premium Listing on the Official List of the UK Listing Authority and admitted to trading on the Main Market of the London Stock Exchange on 6 March 2013.

Investment Objective and Policy
The Companyâ€™s investment objective and policy is set out in the Summary Information.

Discount/Premium to Net Asset Value
The Board monitors and manages the level of the share price discount/premium to NAV. In managing this, the Company operates a share buyback facility whereby it may purchase, subject to various terms as set out in its Articles and in accordance with the Companies (Guernsey) Law, 2008, up to 14.99% of the Companyâ€™s Ordinary Redeemable Shares in issue immediately following Admission for trading on the London Stock Exchange. On 1 February 2016, the first three year anniversary of the Company, investors were offered a realisation opportunity to realise all or part of their Shareholding in the Company. Subsequently, the realisation opportunity will be offered as at the date of the annual general meeting of the Company in each third year subject to the aggregate NAV of the continuing Ordinary Redeemable Shares on the last Business Day before Reorganisation being not less than Â£100 million. The next realisation opportunity will take place in September 2019.

Shareholder Information
Shareholder information is set out in the Summary Information.

Going Concern
The Directors believe that it is appropriate to adopt the going concern basis in preparing the Financial Statements in view of the Companyâ€™s holdings in cash and cash equivalents and the liquidity of investments and the income deriving from those investments, meaning the Company has adequate financial resources and suitable management arrangements in place to continue as a going concern for at least twelve months from the date of approval of the Financial Statements.

The Companyâ€™s continuing ability to meet dividend target and the expected outcome of the upcoming realisation opportunity has been considered as part of the viability assessment. No material doubts to going concern have been identified.

The Company also achieved its dividend target of 6% of the issue price for the year ended 31 March 2018, meaning that as per the Companyâ€™s Articles, no Continuation Vote is required.

Viability Statement
Under the UK Corporate Governance Code, the Board is required to make a â€œviability statementâ€ which considers the Companyâ€™s current position and principal risks and uncertainties combined with an assessment of the prospects of the Company in order to be able to state that they have a reasonable expectation that the Company will be able to continue in operation over the period of their assessment. The Board considers that three years is an appropriate period to assess the viability of the Company given the uncertainty of the investment world and the strategy period. In selecting this period the Board considered the environment within which the Company operates and the risks associated with the Company.

The Companyâ€™s prospects are driven by its business model and strategy. The Companyâ€™s aim is to provide investors with an attractive level of income with a high degree of certainty around that income and a focus on capital preservation in uncertain times, by investing in less liquid, high yielding asset backed securities.

The Boardâ€™s assessment of the Company over the three year period has been made with reference to the Companyâ€™s current position and prospects, the Companyâ€™s strategy, and the Boardâ€™s risk appetite having considered each of the Companyâ€™s principal risks and uncertainties summarised below.

The Board has also considered the Companyâ€™s cash flows and income flows, its likely ability to pay dividends and the portfolio analysis, with reference to:

liquidity analysis, including but not limited to, the changes in liquidity of the Company over time based on the liquidity of the underlying assets;
foreign exchange analysis, including but not limited to, monitoring the effectiveness of the Companyâ€™s foreign exchange hedging strategy;
credit analysis, including but not limited to, analysing the current credit ratings and credit rating outlooks by the main rating agencies, as well as sufficient diversification across groups; and
valuation analysis, including but not limited to, assessing the pricing accuracy of the underlying securities.

In this context, the Boardâ€™s central case is that, the prospects for economic activity will remain such that the investment objective, policy and strategy of the Company will be viable for the foreseeable future through a period of at least three years from the year end, 31 March 2018.

In making this judgement, the Board has assessed that the main risks to the viability of the Company are key global and market uncertainties driven by factors external to the Company which in turn can impact on the liquidity and NAV of the investment portfolio. A simulation has been designed to estimate the impact of these uncertainties on the NAV of the Company at times of stress, such as the UKâ€™s exit from the EU, based on historical performance data, using techniques which analyse how changes in the Companyâ€™s ability to generate income (by assessing different levels of reinvestment rates available as well as changes in FX income generation, over a 3-year period) would impact the annual dividend the Company is able to generate. All of the foregoing has been considered against the background of the Companyâ€™s dividend target and consideration of the upcoming realisation opportunity.

Key assumptions covered by the Board in relation to the viability of the Company include:

Dividend Target
The ongoing viability of the Company and the validity of the going concern basis depend on the Company meeting its dividend target annually during the three-year period. In the event that the Company does not meet the dividend target annually during the three-year period as disclosed in note 19, an Ordinary Resolution will be put to the Shareholders, at the AGM following any reporting period in which the dividend target is not met, with the continuation vote requirements set out in note 16.

Realisation Opportunity
The realisation opportunity (full details are set out in note 16) is due to occur at the AGM in 2019. Based on the strong NAV per Share performance, with the Company trading at a premium for the majority of the year, and with no feedback from investors suggesting otherwise, it is believed the realisation opportunity is a low risk to the viability prospects of the Company.

Results
The results for the year are set out in the Statement of Comprehensive Income. The Directors proposed income distributions of Â£28,617,362 in respect of income available for distribution earned during the year ended 31 March 2018, a breakdown of which can be found in note 19. Distributions declared during the year amount to Â£27,667,409, as recognised in the Statement of Changes in Equity.

Income available for distribution in any income period comprises (a) the accrued income of the portfolio for the period, and (b) an additional amount to reflect any income purchased in the course of any share subscriptions that took place during the period (so as to ensure that the income yield of the shares is not diluted as a consequence of the issue of new shares during an income period) and (c) any income on the foreign exchange contracts created by the LIBOR differentials between each foreign currency pair.

Key Performance Indicators (KPIs)
At each Board meeting, the Directors consider a number of performance measures to assess the Companyâ€™s success in achieving its objectives. Below are the main KPIs which have been identified by the Board for determining the progress of the Company:

Net Asset Value
Share Price
Discount/Premium
Ongoing Charges
Quarterly Dividends

A record of these measures is disclosed in the Summary Information.

Portfolio Manager
The Company entered into a Portfolio Management Agreement with TwentyFour Asset Management LLP, the Portfolio Manager, on 29 May 2014. Pursuant to this agreement, the Portfolio Manager is entitled to a portfolio management fee paid monthly in arrears, at a rate of 0.75% per annum of the lower of Net Asset Value, which is calculated as of the last business day of each month, or market capitalisation of each class of shares. For additional information refer to note 14.

The Board considers that the interests of Shareholders, as a whole, are best served by the continued appointment of the Portfolio Manager to achieve the Companyâ€™s investment objectives.

Alternative Investment Fund Manager
Alternative investment fund management services have been provided by Maitland Institutional Services Limited (â€œMaitlandâ€) since their appointment as Alternative Investment Fund Manager (â€œAIFMâ€) on 29 May 2014. The AIFM fee is payable quarterly in arrears at a rate of 0.07% of the Net Asset Value of the Company below Â£50 million, 0.05% on Net Assets between Â£50 million and Â£100 million and 0.03% on Net Assets in excess of Â£100 million. For additional information refer to note 15.

Custodian and Depositary
Custodian and Depositary services are provided by Northern Trust (Guernsey) Limited. The terms of the Depositary agreement, allow Northern Trust (Guernsey) Limited to receive professional fees for services rendered. For additional information refer to note 15.

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

Directors' and Other Interests
As at 31 March 2018, Directors of the Company held the following numbers of Ordinary Redeemable Shares beneficially:

	Number of Shares	Number of Shares
	31.03.18	31.03.17
Trevor Ash	50,000	50,000
Ian Burns	29,242	29,242
Richard Burwood	5,000	5,000
Jeannette Etherden	25,000	25,000

Corporate Governance
The Board is committed to high standards of corporate governance and has implemented a framework for corporate governance which it considers to be appropriate for an investment company in order to comply with the principles of the UK Corporate Governance Code (the â€œUK Codeâ€). The Company is also required to comply with the Code of Corporate Governance (the â€œGFSC Codeâ€) issued by the Guernsey Financial Services Commission.

The UK Listing Authority requires all UK premium listed companies to disclose how they have complied with the provisions of the UK Code. This Corporate Governance Statement, together with the Going Concern Statement, Viability Statement and the Statement of Directorsâ€™ Responsibilities set out below, indicate how the Company has complied with the principles of good governance of the UK Code and its requirements on Internal Control.

The Company is a member of the AIC and by complying with the AIC Code of Corporate Governance (â€œthe AIC Codeâ€) is deemed to comply with both the UK Code and the GFSC Code.

The Board has considered the principles and recommendations of the AIC Code, by reference to the guidance notes provided by the AIC Guide, and considers that reporting against these will provide appropriate information to shareholders. To ensure ongoing compliance with these principles the Board reviews a report from the Corporate Secretary at each quarterly meeting, identifying how the Company is in compliance and identifying any changes that might be necessary.

The AIC Code and the AIC Guide are available on the AICâ€™s website, www.theaic.co.uk. The UK Code is available in the Financial Reporting Councilâ€™s website, www.frc.org.uk.

Throughout the year ended 31 March 2018, the Company has complied with the recommendations of the AIC Code and thus the relevant provisions of the UK Code, except as set out below.

The UK Code includes provisions relating to:

the role of the Chief Executive;
Executive Directorsâ€™ remuneration;
Annually assessing the need for an internal audit function;
the whistle blowing policy;
Remuneration Committee; and
Nomination Committee

For the reasons set out in the AIC Guide and as explained in the UK Code, the Board considers these provisions are not relevant to the position of the Company as it is an externally managed investment company. The Company has therefore not reported further in respect of these provisions. The Directors are all non-executive and the Company does not have employees, hence no Chief Executive or whistle-blowing policy is required for the Company. The key service-providers all have whistleblowing policies in place. The Board is satisfied that any relevant issues can be properly considered by the Board. The Board, as a whole, fulfills the function of a Nomination and Remuneration Committee.

Details of compliance with the AIC Code are noted below and in the following pages. There have been no other instances of non-compliance, other than those noted above.

The Companyâ€™s risk exposure and the effectiveness of its risk management and internal control systems are reviewed by the Audit Committee at its meetings and annually by the Board. The Board believes that the Company has adequate and effective systems in place to identify, mitigate and manage the risks to which it is exposed.

Role, Composition and Independence of the Board
The Board is the Companyâ€™s governing body and has overall responsibility for maximising the Companyâ€™s success by directing and supervising the affairs of the business and meeting the appropriate interests of shareholders and relevant stakeholders, while enhancing the value of the Company and also ensuring protection of investors. A summary of the Boardâ€™s responsibilities is as follows:

statutory obligations and public disclosure;
strategic matters and financial reporting;
risk assessment and management including reporting compliance, governance,

monitoring and control; and

other matters having a material effect on the Company.

The Boardâ€™s responsibilities for the Annual Report and Audited Financial Statements are set out in the Statement of Directorsâ€™ Responsibilities.

The Board currently consists of four non-executive Directors, all of whom are considered to be independent of the Portfolio Manager and as prescribed by the Listing Rules.

The Board considers it has the appropriate balance of diverse skills and experience, independence and knowledge of the Company and the wider sector, to enable it to discharge its duties and responsibilities effectively and that no individual or group of individuals dominates decision making. The Chairman is responsible for leadership of the Board and ensuring its effectiveness. On 5 June 2017, Ian Burns was appointed as the Senior Independent Director.

Chairman
The Chairman is Trevor Ash. The Chairman of the Board must be independent for the purposes of Chapter 15 of the Listing Rules. Trevor Ash is considered independent because he:

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

Portfolio Manager.

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

Board Role and Composition
The Board is required to ensure that the Annual Report and Audited Financial Statements, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Companyâ€™s position and performance, business model and strategy. In seeking to achieve this, the Directors have set out the Companyâ€™s investment objective and policy and have explained how the Board and its delegated Committees operate and how the Directors review the risk environment within which the Company operates and set appropriate risk controls. Furthermore, throughout the Annual Report and Audited Financial Statements the Board has sought to provide further information to enable shareholders to have a fair, balanced and understandable view

The Board has contractually delegated responsibility for the management of its investment portfolio, the arrangement of custodial and depositary services and the provision of accounting and company secretarial services.

The Board is responsible for the appointment and monitoring of all service providers to the Company.

The Directors are kept fully informed of investment and financial controls and other matters by all services providers that are relevant to the business of the Company and should be brought to the attention of the Directors.

The Company has adopted a policy that the composition of the Board of Directors, which is required by the Companyâ€™s Articles, comprises of at least two persons, that at all times a majority of the Directors are independent of the Portfolio Manager and any company in the same group as the Portfolio Manager; the Chairman of the Board of Directors is free from any conflicts of interest and is independent of the Portfolio Manager and of any company in the same group as the Portfolio Manager; and that no more than one director, partner, employee or professional adviser to the Portfolio Manager or any company in the same group as the Portfolio Manager may be a Director of the Company at any one time.

The Board has also given careful consideration to the recommendations of the Davies Review. The Board has reviewed its composition and believes that the current appointments provide an appropriate range of skills, experience and diversity. In order to maintain its diversity, the Board is committed to continuing its implementation of the recommendations of the Davies Review as part of its succession planning over future years and by complying with the disclosure requirement of DTR 7.2.8 in terms of the Companyâ€™s diversity policy.

Directorsâ€™ Attendance at Meetings
The Board holds quarterly Board meetings, to discuss general management, structure, finance, corporate governance, marketing, risk management, compliance, asset allocation and gearing, contracts and performance. The quarterly Board meetings are the principal source of regular information for the Board enabling it to determine policy and to monitor performance, compliance and controls but these meetings are also supplemented by communication and discussions throughout the year.

A representative of the Portfolio Manager, AIFM, Administrator, Custodian and Depositary and Corporate Broker attends each Board meeting either in person or by telephone thus enabling the Board to fully discuss and review the Companyâ€™s operation and performance. Each Director has direct access to the Portfolio Manager and Company Secretary and may, at the expense of the Company, seek independent professional advice on any matter.

Both appointment and removal of these parties is to be agreed by the Board as a whole.

The Audit Committee meets at least twice a year, Management Engagement Committee meets at least once a year and a dividend meeting is held quarterly. In addition, ad hoc meetings of the Board to review specific items between the regular scheduled quarterly meetings can be arranged.

Between formal meetings there is regular contact with the Portfolio Manager, AIFM, Administrator, Custodian and Depositary and the Corporate Broker.

Attendance at the Board and Committee meetings during the year was as follows:

	Quarterly Board Meetings		Audit Committee Meetings		Management Engagement Committee Meetings		Ad hoc Committee Meetings
	Held	Attended	Held	Attended	Held	Attended	Held	Attended

Trevor Ash	4	4	3	3	1	1	5	4
Ian Burns	4	4	3	3	1	1	5	4
Richard Burwood	4	4	3	3	1	1	5	5
Jeannette Etherden	4	4	3	3	1	1	5	5

Board Performance and Training
During the prior year, the Board commissioned a review of its performance by external evaluation practitioner Trust Associates Limited. The review determined the Boardâ€™s approach to corporate governance and its supervision of its regulatory compliance to be good. The review also determined the Board to be effective with independent thought and action with the right balance of skills and experience necessary for its proper functioning and the safeguarding of shareholdersâ€™ interests.

Retirement by Rotation
Under the terms of their appointment, each Director is required to retire by rotation and be subject to re-election at least every three years. The Directors are required to seek re-election on an annual basis if they have already served for more than nine years. At the 21 September 2017 Annual General Meeting, Richard Burwood was re-elected to the Board. The Company may terminate the appointment of a Director immediately on serving written notice and no compensation is payable upon termination of office as a director of the Company becoming effective.

UK Criminal Finances Act 2017
In respect of the UK Criminal Finances Act 2017 which has introduced a new Corporate Criminal Offence of â€˜failing to take reasonable steps to prevent the facilitation of tax evasionâ€™, the Board confirms that it is committed to zero tolerance towards the criminal facilitation of tax evasion.

The Board also keeps under review developments involving other social and environmental issues, such as the General Data Protection Regulation (â€œGDPRâ€), which came into effect on 25 May 2018, and Modern Slavery and will report on those to the extent they are considered relevant to the Companyâ€™s operations.

Board Committees and their Activities

Terms of Reference
All Terms of Reference of the Boardâ€™s Committees are available from the Administrator upon request.

Management Engagement Committee
The Board has established a Management Engagement Committee with formal duties and responsibilities. The Management Engagement Committee commits to meeting at least once a year and comprises the entire Board with Jan Etherden appointed as Chairperson. These duties and responsibilities include the regular review of the performance of and contractual arrangements with the Portfolio Manager and other service providers and the preparation of the Committee's annual opinion as to the Portfolio Manager's services.

The Management Engagement Committee carried out a review of the performance and capabilities of the Portfolio Manager and other service providers at its September 2017 meeting and recommended the continued appointment of TwentyFour Asset Management LLP as Portfolio Manager is in the interest of shareholders. The Committee also recommended that the appointment of all the Companyâ€™s current service providers should continue.

Audit Committee
An Audit Committee has been established consisting of all Directors with Ian Burns appointed as Chairman. The terms of reference of the Audit Committee provide that the committee shall be responsible, amongst other things, for reviewing the Interim and Annual Financial Statements, considering the appointment and independence of external auditors, discussing with the external auditors the scope and results from the audit and reviewing the Companyâ€™s compliance with the AIC Code.

Further details on the Audit Committee can be found in the Audit Committee Report.

Nomination Committee
There is no separate Nomination Committee. The Board as a whole fulfils the function of a Nomination Committee. Whilst the Directors take the lead in the appointment of new Directors, any proposal for a new Director will be discussed and approved by all members of the Board.

Remuneration Committee
In view of its non-executive and independent nature, the Board considers that it is not appropriate for there to be a separate Remuneration Committee as anticipated by the AIC Code. The Board as a whole fulfils the functions of the Remuneration Committee, although the Board has included a separate Directorsâ€™ Remuneration Report in these Financial Statements.

International Tax Reporting
For purposes of the US Foreign Account Tax Compliance Act, the Company registered with the US Internal Revenue Service (â€œIRSâ€) as a Guernsey reporting Foreign Financial Institution (â€œFFIâ€), received a Global Intermediary Identification Number (8V9U53.99999.SL.831), and can be found on the IRS FFI list.

The Common Reporting Standard (â€œCRSâ€) is a global standard developed for the automatic exchange of financial account information developed by the Organisation for Economic Co-operation and Development (â€œOECDâ€), which has been adopted in Guernsey and which came into effect on 1 January 2016. The CRS has replaced the inter-governmental agreement between the UK and Guernsey to improve international tax compliance that had previously applied in respect of 2014 and 2015.

The Board ensures that the Company is compliant with Guernsey regulations and guidance in this regard.

Strategy
The strategy for the Company is to target less liquid, higher yielding asset backed securities. These securities, whilst fundamentally robust, do not offer enough liquidity for use in the typical daily mark-to-market UCITs funds, but are well suited to a traded closed-ended vehicle, where investors can obtain liquidity by trading shares on the London Stock Exchange. This part of the fixed income market has been largely overlooked and therefore represents attractive relative value. The strategy aims to generate a dividend in the Reporting Period ending 31 March 2018 of 6 pence per Ordinary Share and in each subsequent Reporting Period such Dividend Target as the Directors determine at their absolute discretion from time to time, with all excess income being distributed to investors at the year-end of the Company.

Internal Controls
The Board is ultimately responsible for establishing and maintaining the Companyâ€™s system of internal financial and operating control and for maintaining and reviewing its effectiveness. The Companyâ€™s risk matrix continues to be the core element of the Companyâ€™s risk management process in establishing the Companyâ€™s system of internal financial and reporting control. The risk matrix is prepared and maintained by the Board which initially identifies the risks facing the Company and then collectively assesses the likelihood of each risk, the impact of those risks and the strength of the controls operating over each risk. The system of internal financial and operating control is designed to manage rather than to eliminate the risk of failure to achieve business objectives and by their nature can only provide reasonable and not absolute assurance against misstatement and loss.

These controls aim to ensure that assets of the Company are safeguarded, proper accounting records are maintained and the financial information for publication is reliable. The Board confirms that there is an ongoing process for identifying, evaluating and managing the significant risks faced by the Company.

This process has been in place for the year under review and up to the date of approval of this Annual Report and Audited Financial Statements and is reviewed by the Board and is in accordance with the AIC Code.

The AIC Code requires Directors to conduct at least annually a review of the Companyâ€™s system of internal financial and operating control, covering all controls, including financial, operational, compliance and risk management. The Board has evaluated the systems of internal controls of the Company. In particular, it has prepared a process for identifying and evaluating the significant risks affecting the Company and the policies by which these risks are managed. The Board also considers whether the appointment of an internal auditor is required and has determined that there is no requirement for a direct internal audit function.

The Board has delegated the day to day responsibilities for the management of the Companyâ€™s investment portfolio, the provision of depositary services and administration, registrar and corporate secretarial functions including the independent calculation of the Companyâ€™s NAV and the production of the Annual Report and Financial Statements which are independently audited.

Formal contractual agreements have been put in place between the Company and providers of these services. Even though the Board has delegated responsibility for these functions, it retains accountability for these functions and is responsible for the systems of internal control. At each quarterly Board meeting, compliance reports are provided by the Administrator, Company Secretary, Portfolio Manager, AIFM and Depositary. The Board also receives confirmation from the Administrator of its accreditation under its Service Organisation Controls 1 report.

Principal Risks and Uncertainties
The Board is responsible for the Companyâ€™s system of internal financial and reporting controls and for reviewing its effectiveness. The Board is satisfied that by using the Companyâ€™s risk matrix as its core element in establishing the Companyâ€™s system, internal financial and reporting controls while monitoring the investment limits and restrictions set out in the Companyâ€™s investment objective and policy, that the Board has carried out a robust assessment of the principal risks and uncertainties facing the Company.

The principal risks which have been identified and the steps which are taken by the Board to mitigate them are as follows:

Market risk
The underlying investments comprised in the portfolio are subject to market risk. The Company is therefore at risk that market events may affect performance and in particular may affect the value of the Companyâ€™s investments which are valued on a marked to market basis. Market risk is risk associated with changes in market prices, including spreads, interest rates, economic uncertainty, changes in laws and political (national and international) circumstances. While the Company, through its investments in Asset Backed Securities, intends to hold a diversified portfolio of assets, any of these factors including specific market events, such as the global financial crisis and levels of sovereign debt and the UKâ€™s exit from the EU, may have a material impact which could be materially detrimental to the performance of the Companyâ€™s investments. As the process of a major country leaving the EU has no precedent, the Board and the Portfolio Manager regularly assess the risks and ongoing uncertainties and expect an ongoing period of market uncertainty as the implications are processed.

Under extreme market conditions the portfolio may not benefit from diversification.

Liquidity risk
Investments made by the Company may be relatively illiquid and this may limit the ability of the Company to realise its investments and in turn pay dividends. Substantially all of the assets of the Company are invested in Asset Backed Securities. There may be no active market in the Companyâ€™s interests in Asset Backed Securities. The Company does not have redemption rights in relation to any of its investments. As a consequence, the value of the Companyâ€™s investments may be materially adversely affected.

Credit risk
The Company may not achieve the Dividend Target and investors may not get back the full value of their investment because it is invested in Asset Backed Securities comprising debt securities issued by companies, trusts or other investment vehicles which, compared to bonds issued or guaranteed by governments, are generally exposed to greater risk of default in the repayment of the capital provided to the issuer or interest payments due to the Company. The amount of credit risk is indicated by the issuerâ€™s credit rating which is assigned by one or more internationally recognised rating agencies. This does not amount to a guarantee of the issuerâ€™s creditworthiness but generally provides a strong indicator of the likelihood of default. Securities which have a lower credit rating are generally considered to have a higher credit risk and a greater possibility of default than more highly rated securities. There is a risk that an internationally recognised rating agency may assign incorrect or inappropriate credit ratings to issuers. Issuers often issue securities which are ranked in order of seniority which, in the event of default, would be reflected in the priority in which investors might be paid back. The level of defaults in the portfolio and the losses suffered on such defaults may increase in the event of adverse financial or credit market conditions.

In the event of a default under an Asset Backed Security, the Companyâ€™s right to recover under the Asset Backed Security will depend on the ability of the Company to exercise any rights that it has against the borrower under the insolvency legislation of the jurisdiction in which the borrower is incorporated. As a creditor, the Companyâ€™s level of protection and rights of enforcement may therefore vary significantly from one country to another, may change over time and may be subject to rights and protections which the relevant borrower or its other creditors might be entitled to exercise. Refer to the Investment Objective and Policy for information regarding investment restrictions currently in place in order to manage credit risk. The credit ratings on the Companyâ€™s underlying investments are disclosed in note 16.

Foreign currency risk
The Company is exposed to foreign currency risk through its investments in predominantly Euro denominated assets. The Companyâ€™s share capital is denominated in Sterling and its expenses are incurred in Sterling. The Companyâ€™s financial statements are maintained and presented in Sterling. Amongst other factors affecting the foreign exchange markets, events in the Eurozone may have an impact upon the value of the Euro which in turn will impact the value of the Companyâ€™s Euro denominated investments. The Company manages its exposure to currency movements by using spot and forward foreign exchange contracts, which are rolled forward periodically.

Reinvestment risk
The Portfolio Manager is conscious of the challenge to reinvest any monies that result from principal and income payments and to minimise reinvestment risk as much as possible. Cash flow analysis is conducted on an ongoing basis and is an important part of the Portfolio Management process, ensuring such proceeds can be invested efficiently and in the best interests of the Company.

The Portfolio Manager expects amortisations of around Â£103m over the next 12 months, however, while market conditions are always subject to change, the Portfolio Manager does not currently foresee reinvestment risk significantly impacting the yield and affecting each quarterâ€™s minimum dividend. The Portfolio Manager also recognises the need to be opportunistic as and when market conditions are particularly favourable in order to reinvest any proceeds.

Other risks and uncertainties
The Board has identified the following other risks and uncertainties along with the steps taken to mitigate them:

Operational risks
The Company is exposed to the risk arising from any failures of systems and controls in the operations of the Portfolio Manager, Administrator, AIFM, Custodian and the Depositary amongst others. The Board and its Audit Committee regularly review reports from the Portfolio Manager, AIFM, the Administrator, Custodian and Depositary on their internal controls. The Administrator, Custodian and Depositary will report to the Portfolio Manager any operational issues which will be brought to the Board for final approval as required.

Accounting, Legal and Regulatory risks
The Company is exposed to the risk that it may fail to maintain accurate accounting records or fail to comply with requirements of its Admission document and fail to meet listing obligations. The accounting records prepared by the Administrator are reviewed by the Portfolio Manager. The Portfolio Manager, Administrator, AIFM, Custodian, Depositary and Corporate Broker provide regular updates to the Board on compliance with the Admission document and changes in regulation. Changes in the legal or the regulatory environment can have a major impact on some classes of debt. The Portfolio Manager monitors this and takes appropriate action.

Income Recognition risk
The Board considers income recognition to be a principal risk and uncertainty of the Company as the Portfolio Manager estimates the remaining expected life of the security and its likely terminal value, which has an impact on the effective interest rate of the Asset Backed Securities which in turn impacts the calculation of interest income. The Board asked the Audit Committee to consider this risk with work undertaken by the Audit Committee as discussed in the Audit Committee report. As a result of the work undertaken by the Audit Committee, the Board is satisfied that income is appropriately stated in all material aspects in the Financial Statements.

Cyber security risks
The Company is exposed to risk arising from a successful cyber-attack through its service providers. The Company requests of its service providers that they have appropriate safeguards in place to mitigate the risk of cyber-attacks (including minimising the adverse consequences arising from any such attack), that they provide regular updates to the Board on cyber security, and conduct ongoing monitoring of industry developments in this area. The Board is satisfied that the Companyâ€™s service providers have the relevant controls in place to mitigate this risk.

Shareholder Engagement
The Board welcomes shareholdersâ€™ views and places great importance on communication with its shareholders. Shareholders wishing to meet the Chairman and other Board members should contact the Companyâ€™s Administrator.

The Portfolio Manager and Listing Sponsor maintain a regular dialogue with institutional shareholders, the feedback from which is reported to the Board.

The Companyâ€™s Annual General Meeting (â€œAGMâ€) provides a forum for shareholders to meet and discuss issues of the Company and shareholders with the opportunity to vote on the resolutions as specified in the Notice of AGM. The Notice of the AGM and the results are released to the London Stock Exchange in the form of an announcement. Board members will be available to respond to shareholdersâ€™ questions at the AGM.

In addition, the Company maintains a website, www.twentyfourincomefund.com, which contains comprehensive information, including links to regulatory announcements, share price information, financial reports, investment objective and investor contacts.

Significant Shareholdings
Shareholders with holdings of more than 3.0% of the Ordinary Shares of the Company at 8 June 2018 (latest available) were as follows:

	Number of shares	Percentage of issued share capital

Investec Wealth & Investment	46,335,633	11.71%
Brewin Dolphin, stockbrokers	33,194,696	8.39%
Sarasin & Partners	24,549,294	6.20%
Premier Asset Management	22,635,113	5.72%
Fidelity International	19,939,602	5.04%
Charles Stanley	17,271,508	4.36%
BMO Global Asset Management (UK)	15,814,862	4.00%
Killik, stockbrokers	14,310,774	3.62%
Baillie Gifford	13,620,584	3.44%
East Riding of Yorkshire	12,500,000	3.16%

Those invested directly or indirectly in 3.0% or more of the issued share capital of the Company will have the same voting rights as other holders of Shares.

Disclosure of Information to Auditors
The Directors who held office at the date of approval of these Financial Statements confirm that, so far as they are each aware, there is no relevant audit information of which the Companyâ€™s auditor is unaware; and each Director has taken all the steps that they ought to have taken as a Director to make themselves aware of any relevant audit information and to establish that the Companyâ€™s auditor is aware of that information.

Independent Auditors
A resolution for the reappointment of PricewaterhouseCoopers CI LLP will be proposed at the forthcoming AGM.

Signed on behalf of the Board of Directors on 3 July 2018 by:

Trevor Ash Ian Burns
Chairman Director

STATEMENT OF DIRECTORSâ€™ RESPONSIBILITIES

The Directors are responsible for preparing the Annual Report and the Financial Statements in accordance with applicable Guernsey law and regulations.

Guernsey company law requires the Directors to prepare Financial Statements for each financial year. Under that law they have elected to prepare the Financial Statements in accordance with International Financial Reporting Standards (â€œIFRSâ€) and applicable law.

The Financial Statements are required by law to give a true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that period.

In preparing these Financial Statements, the Directors are required to:

- select suitable accounting policies and then apply them consistently;

- make judgements and estimates that are reasonable and prudent;

- state whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the Financial Statements; and

- prepare the Financial Statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors confirm that they have complied with these requirements in preparing the Financial Statements.

The Directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the Financial Statements have been properly prepared in accordance with The Companies (Guernsey) Law, 2008. They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and other irregularities.

The Directors are responsible for the oversight of the maintenance and integrity of the corporate and financial information in relation to the Company website; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website.

Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

The Directors confirm that to the best of their knowledge:

(a) The Financial Statements have been prepared in accordance with IFRS and give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company as at and for the year ended 31 March 2018; and

(b) The Annual Report includes information detailed in the Chairmanâ€™s Statement, Portfolio Managerâ€™s Report, Directorsâ€™ Report, Directorsâ€™ Remuneration Report, Audit Committee Report, Alternative Investment Fund Managerâ€™s Report and Depositary Statement provides a fair review of the information required by:

(i) DTR 4.1.8 and DTR 4.1.9 of the Disclosure and Transparency Rules, being a fair review of the Company business and a description of the principal risks and uncertainties facing the Company; and

(ii) DTR 4.1.11 of the Disclosure and Transparency Rules, being an indication of important events that have occurred since the end of the financial year and the likely future development of the Company.

In the opinion of the Board, the Financial Statements taken as a whole, are fair, balanced and understandable and provide the information necessary to assess the Companyâ€™s performance, business model and strategy:

By order of the Board

Trevor Ash Ian Burns
Chairman Director
3 July 2018

DIRECTORSâ€™ REMUNERATION REPORT

The Directors' remuneration report has been prepared on behalf of the Directors in accordance with the UK Code as issued by the UK Listing Authority. An ordinary resolution for the approval of the annual remuneration report will be put to the shareholders at the AGM to be held on 20 September 2018.

Remuneration Policy
The Company's policy in regard to Directors' remuneration is to ensure that the Company maintains a competitive fee structure in order to recruit, retain and motivate non-executive Directors of excellent quality in the overall interests of shareholders.

The Directors do not consider it necessary for the Company to establish a separate Remuneration Committee. All of the matters recommended by the UK Code that would be delegated to such a committee are considered by the Board as a whole.

It is the responsibility of the Board as a whole to determine and approve the Directors' fees, following a recommendation from the Chairman who will have given the matter proper consideration, having regard to the level of fees payable to non-executive Directors in the industry generally, the role that individual Directors fulfil in respect of Board and Committee responsibilities and the time committed to the Company's affairs. The Chairman's remuneration is decided and approved separately by the Board as a whole.

No element of the Directors' remuneration is performance related, nor does any Director have any entitlement to pensions, share options or any long term incentive plans from the Company.

Remuneration
The Directors of the Company are remunerated for their services at such a rate as the Directors determine, provided that the aggregate amount of such fees does not exceed Â£150,000 per annum.

Directors are remunerated in the form of fees, payable quarterly in arrears, to the Director personally. No Directors have been paid additional remuneration outside the normal Directorsâ€™ fees and expenses.

In the year ended 31 March 2018, the Directors received the following annual remuneration in the form of Directorsâ€™ fees:

Trevor Ash (Chairman of the Board)	Â£35,000
Ian Burns (Audit Committee Chairman)	Â£32,500
Richard Burwood	Â£30,000
Jeannette Etherden	Â£30,000
Total	Â£127,500

The remuneration policy set out above is the one applied for the year ended 31 March 2018 and is not expected to change in the foreseeable future.

Directors' and Officersâ€™ liability insurance cover is maintained by the Company on behalf of the Directors.

The Directors were appointed as non-executive Directors by letters issued in January 2013. Each Directorâ€™s appointment letter provides that, upon the termination of his/her appointment, he/she must resign in writing and all records remain the property of the Company. The Directorsâ€™ appointments can be terminated in accordance with the Articles and without compensation. There is no notice period specified in the Articles for the removal of Directors. The Articles provide that the office of director shall be terminated by, among other things: (a) written resignation; (b) unauthorised absences from board meetings for six months or more; (c) unanimous written request of the other directors; and (d) an ordinary resolution of the Company.

Under the terms of their appointment, each Director is required to retire by rotation and be subject to re-election at least every three years. The Directors are required to seek re-election on an annual basis if they have already served for more than nine years. At the 21 September 2017 Annual General Meeting, Richard Burwood was re-elected. The Company may terminate the appointment of a Director immediately on serving written notice and no compensation is payable upon termination of office as a director of the Company becoming effective.

The amounts payable to Directors shown in note 14 were for services as non-executive Directors.

No Director has a service contract with the Company, nor are any such contracts proposed.

Signed on behalf of the Board of Directors on 3 July 2018 by:

Trevor Ash Ian Burns
Chairman Director

AUDIT COMMITTEE REPORT

On the following pages, we present the Audit Committee's Report, setting out the responsibilities of the Audit Committee and its key activities for the year ended 31 March 2018.

The Audit Committee has continued its detailed scrutiny of the appropriateness of the Companyâ€™s system of risk management and internal controls, the robustness and integrity of the Companyâ€™s financial reporting, along with the external audit process. The Committee has devoted time to ensuring that the internal financial and operating controls and processes have been properly established, documented and implemented.

During the course of the year, the information that the Audit Committee has received has been timely and clear and has enabled the Audit Committee to discharge its duties effectively.

The Audit Committee supports the aims of the UK Code and the best practice recommendations of other corporate governance organisations such as the AIC, and believes that reporting against the revised AIC Code allows the Audit Committee to further strengthen its role as a key independent oversight Committee.

Role and Responsibilities
The primary function of the Audit Committee is to assist the Board in fulfilling its oversight responsibilities. This includes reviewing the financial reports and other financial information and any significant financial judgement contained therein, before publication.

In addition, the Audit Committee reviews the systems of internal financial and operating controls on a continuing basis that the Administrator, Portfolio Manager, AIFM, and Custodian Depositary and the Board have established with respect to finance, accounting, risk management, compliance, fraud and audit. The Audit Committee also reviews the accounting and financial reporting processes, along with reviewing the roles, independence and effectiveness of the external auditor.

The ultimate responsibility for reviewing and approving the Annual and Interim Financial Statements remains with the Board.

The Audit Committee's full terms of reference can be obtained by contacting the Company's Administrator.

Risk Management and Internal Control
The Board, as a whole, considers the nature and extent of the Companyâ€™s risk management framework and the risk profile that is acceptable in order to achieve the Companyâ€™s strategic objectives. As a result, it is considered that the Board has fulfilled its obligations under the AIC Code.

The Audit Committee continues to be responsible for reviewing the adequacy and effectiveness of the Companyâ€™s ongoing risk management systems and processes. Its system of internal controls, along with its design and operating effectiveness, is subject to review by the Audit Committee through reports received from the Portfolio Manager, AIFM and Custodian and Depositary, along with those from the Administrator and external auditor.

Fraud, Bribery and Corruption
The Audit Committee, in conjunction with the Management Engagement Committee, has relied on the overarching requirement placed on the service providers under the relevant agreements to comply with applicable law, including anti-bribery laws. A review of the service provider policies took place at the Management Engagement Committee Meeting, held on 21 September 2017. The Board receives regular confirmation from all service providers that there has been no fraud, bribery or corruption.

Financial Reporting and Significant Financial Issues
The Audit Committee assesses whether suitable accounting policies have been adopted and whether the Portfolio Manager has made appropriate estimates and judgements. The Audit Committee reviews accounting papers prepared by the Portfolio Manager and Administrator which provide details on the main financial reporting judgements.

The Audit Committee also reviews reports by the external auditors which highlight any issues with respect to the work undertaken on the audit.

The significant issues considered during the period by the Audit Committee in relation to the Financial Statements and how they were addressed are detailed below:

(i) Valuation of investments:
The Companyâ€™s investments had a fair value of Â£457,332,017 as at 31 March 2018 (31 March 2017: Â£429,399,068) and represent a substantial portion of net assets of the Company. As such this is the largest factor in relation to the consideration of the Financial Statements. These investments are valued in accordance with the Accounting Policies set out in note 2 to the Financial Statements. In March 2018 the committee carried out an on-site review of the revaluation processes, systems and controls at the London offices of the Portfolio Manager. By this and through regular reporting during the year by the Portfolio Manager, AIFM, Administrator, Custodian and Depositary the Audit Committee satisfied itself that both the sources of price information and valuation process itself are robust and reliable, and considered the valuation of the investments held by the Company as at 31 March 2018 to be reasonable.

(ii) Income Recognition:
The Audit Committee considered the calculation of income from investments recorded in the Financial Statements as at 31 March 2018. As disclosed in note 3(ii)(b) of the Notes to the Financial Statements, the estimated life of Asset Backed Securities is determined by the Portfolio Manager, impacting the effective interest rate of the Asset Backed Securities which in turn impacts the calculation of income from investments. The Audit Committee reviewed the Portfolio Manager's process for determining the expected life of the Company's investments and found it to be reasonable based on the explanations provided and information obtained from the Portfolio Manager. The Audit Committee is therefore satisfied that income is correctly stated in the Financial Statements.

Following a review of the presentations and reports from the Portfolio Manager and Administrator and consulting where necessary with the external auditor, the Audit Committee is satisfied that the Financial Statements appropriately address the critical judgements and key estimates (both in respect to the amounts reported and the disclosures). The Audit Committee is also satisfied that the significant assumptions used for determining the value of assets and liabilities have been appropriately scrutinised, challenged and are sufficiently robust.

The Companyâ€™s reporting currency is Sterling while a significant proportion of the investments owned are denominated in foreign currencies. The Company operates a hedging strategy designed to mitigate the impact of foreign currency rate changes on the performance of the fund. The Audit Committee has used information from the Administrator and Portfolio Manager to satisfy itself concerning the effectiveness of the hedging process, as well as to confirm that realised and unrealised foreign currency gains and losses have been correctly recorded.

At the request of the Audit Committee, the Administrator confirmed that it was not aware of any material misstatements including matters relating to Financial Statement presentation. At the Audit Committee meeting to review the Annual Report and Audited Financial Statements, the Audit Committee received and reviewed a report on the audit from the external auditors. On the basis of its review of this report, the Audit Committee is satisfied that the external auditor has fulfilled its responsibilities with diligence and professional scepticism. The Audit Committee advised the Board that these Annual Financial Statements, taken as a whole, are fair, balanced and understandable.

The Audit Committee is satisfied that the judgements made by the Portfolio Manager and Administrator are reasonable, and that appropriate disclosures have been included in the Financial Statements.

Going Concern
The going concern basis can be found in the Directorsâ€™ Report.

External Auditors
The Audit Committee has responsibility for making a recommendation on the appointment, re-appointment and removal of the external auditors. PricewaterhouseCoopers CI LLP (â€œPwCâ€) was appointed as the first auditors of the Company. During the year the Audit Committee received and reviewed audit plans and reports from the external auditors. It is standard practice for the external auditors to meet privately with the Audit Committee without the Portfolio Manager and other service providers being present at each Audit Committee meeting.

To assess the effectiveness of the external audit process, the auditors were asked to articulate the steps that they have taken to ensure objectivity and independence, including where the auditor provides non-audit services. The Audit Committee monitors the auditorsâ€™ performance, behaviour and effectiveness during the exercise of their duties, which informs the decision to recommend reappointment on an annual basis.

During the year, the Committee performed its annual review of the independence, effectiveness and objectivity of the external auditor and considered the Financial Reporting Councilâ€™s (â€œFRCâ€) Audit Quality Review of PwCâ€™s previous audit work. The Committee concluded that the effectiveness of the external auditor and the audit process were satisfactory and recommend to the Board the reappointment of PwC as external auditor for the 2019 financial year.

As a general rule, the Company does not utilise external auditors for internal audit purposes, secondments or valuation advice. Services which do not compromise auditor independence, such as tax compliance, tax structuring, private letter rulings, accounting advice, quarterly reviews and disclosure advice are normally permitted but will be pre-approved by the Audit Committee.

The following tables summarise the remuneration paid to PwC and to other PwC member firms for audit and non-audit services during the year ended 31 March 2018 and the year ended 31 March 2017.

	01.04.17 to 31.03.18		01.04.16 to 31.03.17
PricewaterhouseCoopers CI LLP - Assurance work		Â£		Â£
- Annual audit		55,000		51,700
- Interim review		16,995		16,500
PricewaterhouseCoopers CI LLP - Non-assurance work
- Reportable Income calculation		8,000		8,000

Ratio of assurance to non-assurance work		90% / 10%		90% / 10%

The Company does not qualify as an EU Public Interest Entity and is therefore not subject to the restrictions on non-audit services provided by its auditor under this regime.

For any questions on the activities of the Audit Committee not addressed in the foregoing, a member of the Audit Committee remains available to attend each AGM to respond to such questions.

The Audit Committee Report was approved by the Audit Committee on 3 July 2018 and signed on behalf by:

Ian Burns
Chairman, Audit Committee
3 July 2018

ALTERNATIVE INVESTMENT FUND MANAGERâ€™S REPORT

Maitland Institutional Services Ltd acts as the Alternative Investment Fund Manager (â€œAIFMâ€) of TwentyFour Income Fund Limited (the â€œCompanyâ€) providing portfolio management and risk management services to the Company.

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

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

The AIFM is required by the Alternative Investment Fund Managers Directive 2011, 61/EU (the â€œAIFM Directiveâ€) and all applicable rules and regulations implementing the AIFM Directive in the UK (the â€œAIFMâ€ Rules):

to make the annual report available to investors and to ensure that the annual report is prepared in accordance with applicable accounting standards, the Companyâ€™s articles of incorporation and the AIFM Rules and that the annual report is audited in accordance with International Standards on Auditing;
be responsible for the proper valuation of the Companyâ€™s assets, the calculation of the Companyâ€™s net asset value and the publication of the Companyâ€™s net asset value; and,
to make available to the Companyâ€™s shareholders, a description of all fees, charges and expenses and the amounts thereof, which have been directly or indirectly borne by them,
ensure that the Companyâ€™s shareholders have the ability to redeem their share in the capital of the Company in a manner consistent with the principle of fair treatment of investors under the AIFM Rules and in accordance with the Companyâ€™s redemption policy and its obligations.

The AIFM is required to ensure that the annual report contains a report that shall include a fair and balanced review of the activities and performance of the Company, containing also a description of the principal risks and investment or economic uncertainties that the Company might face.

AIFM Remuneration
Under the Alternative Investment Fund Managers Directive, acting as the AIFM, Maitland Institutional Services Ltd is required to disclose how those whose actions have a material impact on the Company are remunerated.

Due to the nature of the activities conducted by Maitland Institutional Services Ltd, it has deemed itself as a lower risk firm in accordance with SYSC 19B and the remuneration code. The only employees at Maitland Institutional Services Ltd permitted to have a material impact on the risk profile of the AIF are the Board and the Head of Risk and Compliance.

The delegated Portfolio Manager, TwentyFour Asset Management LLP, is subject to regulatory requirements on remuneration that are broadly equivalent to those detailed in the Alternative Investment Fund Managers Directive, which include the Capital Requirements Directive or Markets in Financial Instruments Directive. While a portion of the remuneration paid by the Portfolio Manager is variable and based, in part, on the performance of the investment portfolio, the investment discretion of the Portfolio Manager is strictly controlled within certain pre-defined parameters as detailed in the prospectus of the Company.

Under the AIFM Directive, the AIFM is required to stipulate how much it pays to its staff, in relation to fixed and variable remuneration and how much, in relation to the Company, is firstly attributed to all staff and those that are deemed, under the directive, to have an impact on the risk profile of the Company. Maitland Institutional Services Ltd does not pay any form of variable remuneration.

March 2018	Number of Beneficiaries	Total remuneration paid	Fixed remuneration
Total remuneration paid by the AIFM during the year	67	Â£166,851	Â£166,851
Remuneration paid to employees of the AIFM who have a material impact on the risk profile of the AIF	5	Â£29,721.78	Â£29,721.78

In so far as the AIFM is aware:

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

We hereby certify that this report is made on behalf of the AIFM, Maitland Institutional Services Ltd.

D. Jones
R.W. Leedham
Directors
Maitland Institutional Services Ltd
3 July 2018

REPORT OF THE DEPOSITORY TO THE SHAREHOLDERS
for the year ended 31 March 2018

Northern Trust (Guernsey) Limited has been appointed as Depositary to TwentyFour Income Fund Limited (the â€œCompanyâ€) in accordance with the requirements of Article 36 and Articles 21(7), (8) and (9) of the Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (the â€œAIFM Directiveâ€).

We have enquired into the conduct of Maitland Institutional Services Limited (the â€œAIFMâ€) and the Company for the year ended 31 March 2018, in our capacity as Depositary to the Company.

This report including the review provided below has been prepared for and solely for the Shareholders in the Company. We do not, in giving this report, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

Our obligations as Depositary are stipulated in the relevant provisions of the AIFM Directive and the relevant sections of Commission Delegated Regulation (EU) No 231/2013 (collectively the â€œAIFMD legislationâ€) and The Authorised Closed Ended Investment Scheme Rules 2008.

Amongst these obligations is the requirement to enquire into the conduct of the AIFM and the Company and their delegates in each annual accounting period.

Our report shall state whether, in our view, the Company has been managed in that period in accordance with the AIFMD legislation. It is the overall responsibility of the AIFM and the Company to comply with these provisions. If the AIFM, the Company or their delegates have not so complied, we as the Depositary will state why this is the case and outline the steps which we have taken to rectify the situation.

The Depositary and its affiliates are or may be involved in other financial and professional activities which may on occasion cause a conflict of interest with its roles with respect to the Company. The Depositary will take reasonable care to ensure that the performance of its duties will not be impaired by any such involvement and that any conflicts which may arise will be resolved fairly and any transactions between the Depositary and its affiliates and the Company shall be carried out as if effected on normal commercial terms negotiated at armâ€™s length and in the best interests of Shareholders.

Basis of Depositary Review
The Depositary conducts such reviews as it, in its reasonable discretion, considers necessary in order to comply with its obligations and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the constitutional documentation and the appropriate regulations. Such reviews vary based on the type of fund, the assets in which a fund invests and the processes used, or experts required, in order to value such assets.

Review
In our view, the Company has been managed during the period, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the

Company by the constitutional documents and by the AIFMD legislation; and

(ii) otherwise in accordance with the provisions of the principal documents and the AIFMD

legislation.

For and on behalf of
Northern Trust (Guernsey) Limited
3 July 2018

INDEPENDENT AUDITORâ€™S REPORT
TO THE MEMBERS OF TWENTYFOUR INCOME FUND LIMITED

Report on the audit of the financial statements

_________________________________________________________________________ÂÂÂÂ___________

Our opinion
In our opinion, the financial statements give a true and fair view of the financial position of TwentyFour Income Fund Limited (the â€œCompanyâ€) as at 31 March 2018, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards and have been properly prepared in accordance with the requirements of The Companies (Guernsey) Law, 2008.

_________________________________________________________________________ÂÂÂÂ___________

What we have audited
The Companyâ€™s financial statements comprise:

the Statement of Financial Position as at 31 March 2018;
the Statement of Comprehensive Income for the year then ended;
the Statement of Changes in Equity for the year then ended;
the Statement of Cash Flows for the year then ended; and
the Notes to the Financial Statements, which include a summary of significant accounting policies.

____________________________________________________________________________________

Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (â€œISAsâ€). Our responsibilities under those standards are further described in the Auditorâ€™s responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

_________________________________________________________________________ÂÂÂÂ___________

Independence
We are independent of the Company in accordance with the International Ethics Standards Board for Accountantsâ€™ Code of Ethics for Professional Accountants (â€œIESBA Codeâ€). We have fulfilled our other ethical responsibilities in accordance with the IESBA Code.

_________________________________________________________________________ÂÂÂÂ___________

Our audit approach
Materiality
Overall Company materiality was Â£10.6 million which represents 2.25% of net assets.

________________________________________________________________________ÂÂÂÂ___________

Audit scope

The Company is incorporated and based in Guernsey.
We conducted our audit of the financial statements from information provided by Northern Trust International Fund Administration Services (Guernsey) Limited (the â€œAdministratorâ€) to whom the board of directors has delegated the provision of certain functions. The Company engages TwentyFour Asset Management LLP (the â€œPortfolio Managerâ€) to manage the investment portfolio. We had significant interaction with the Portfolio Manager in completing aspects of our audit work.
We conducted all of our audit work in Guernsey, with the exception of our on-site visit to the Portfolio Manager in London at the planning stage of the audit.

_________________________________________________________________________ÂÂÂÂ___________

Key audit matters

Risk of fraud in interest income
Valuation of investments

_________________________________________________________________________ÂÂÂÂ___________

Audit scope
As part of designing our audit, we determined materiality and assessed the risks of material misstatement in the financial statements. In particular, we considered where the directors made subjective judgements; for example, in respect of significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain. As in all of our audits, we also addressed the risk of management override of internal controls, including among other matters, consideration of whether there was evidence of bias that represented a risk of material misstatement due to fraud.

We tailored the scope of our audit in order to perform sufficient work to enable us to provide an opinion on the financial statements as a whole, taking into account the structure of the Company, the accounting processes and controls, and the industry in which the Company operates.

_________________________________________________________________________ÂÂÂÂ___________

Materiality
The scope of our audit was influenced by our application of materiality. An audit is designed to obtain reasonable assurance whether the financial statements are free from material misstatement. Misstatements may arise due to fraud or error. They are considered material if individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.

Based on our professional judgement, we determined certain quantitative thresholds for materiality, including the overall Company materiality for the financial statements as a whole as set out in the table below. These, together with qualitative considerations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures and to evaluate the effect of misstatements, both individually and in aggregate on the financial statements as a whole.

Overall Company materiality	Â£10.6 million (2017: Â£11.3 million)
How we determined it	2.25% of net assets (2017: 2.5% of net assets)
Rationale for the materiality benchmark	We believe that net assets is the most appropriate benchmark because this is the key metric of interest to members of the Company.

We agreed with the Audit Committee that we would report to them misstatements identified during our audit above Â£525,000, as well as misstatements below that amount that, in our view, warranted reporting for qualitative reasons.

_________________________________________________________________________ÂÂÂÂ___________

Key audit matters
Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

Key audit matter

How our audit addressed the Key audit matter

Risk of fraud in interest income
Interest income for the year, Â£29.5 million, as reflected within the Statement of Comprehensive Income Statement, is measured in accordance with the effective interest rate method.

The requirement to estimate the expected cash flows when forming an effective interest rate model is subject to significant management estimate and judgement, as detailed under note 3(ii)(b), and could be open to manipulation by management.

Â·       We assessed the accounting policy for the recognition of interest income for compliance with International Financial Reporting Standards and ensured that interest income had been accounted for in accordance with the stated accounting policy.

Â·       We held discussions with the Portfolio Manager to understand and evaluate the processes in place for recognising interest income and to understand the estimates required by the Portfolio Manager in respect of prepayments and expected losses. We tested the effective interest rate models and verified key inputs into the models, on a sample basis, and verified the arithmetical accuracy of the models and the interest income summary spreadsheet.

Â·       Through discussions with the Portfolio Manager, we have assessed the expected losses and prepayment assumptions applied for a sample of securities selected. We obtained supporting documentation to corroborate the Portfolio Managerâ€™s estimates.

Â·       We selected a sample of securities to assess if there had been any significant changes to the expected repayment dates from the prior year. Where there had been changes, we obtained supporting explanation and analysis to support those changes.

Â·        No matters were noted which required reporting to those charged with governance.

Valuation of investments
Investments, valued at Â£457.3 million at year end, as shown within note 9 and covered within note 17, are measured at fair value through profit or loss and comprise a diverse portfolio of asset backed securities.

Investments represent the most significant balance on the Statement of Financial Position and, due to the market liquidity and assumptions underlying each security, the valuations are subject to management estimate and judgment, as detailed under note 3(ii) (a).

Â·       We understood and evaluated the internal control environment in place at the Administrator and the Portfolio Manager over the valuation of the investment portfolio.

Â·       We assessed the accounting policy for investment valuation for compliance with International Financial Reporting Standards. We performed testing to check that the investment valuation had been accounted for and applied consistently in accordance with the stated accounting policy.

Â·       We tested the valuation of investments using an independent third party price provider to reprice the portfolio. Prices were obtained from a range of sources, including exchange traded and consensus prices. We sought to reprice the entire portfolio, however all investments which we were unable to be reprice, or investments that were repriced yet exceeded a tolerable variance threshold from the Companyâ€™s own final year end prices, were followed up by the engagement team and supporting evidence for these prices was obtained from the Administrator and/or the Portfolio Manager. We assessed the independence, reputation and reliability of the providers of the supporting evidence provided in these instances.

Â·       For a sample of disposals, we compared the sales transaction price to the most recently recorded valuation prior to the disposal, which allowed us to assess the reliability of the valuation data at that point.

Â·        No matters were noted which required reporting to those charged with governance.

Other information
The directors are responsible for the other information. The other information comprises Corporate Information, Summary Information, Chairmanâ€™s Statement, Portfolio Managerâ€™s Report, Top Twenty Holdings, Board Members, Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges, Directorsâ€™ Report, Statement of Directorsâ€™ Responsibilities, Directorsâ€™ Remuneration Report, Audit Committee Report, Alternative Investment Fund Managerâ€™s Report and the Report of the Depositary to the Shareholders (but does not include the financial statements and our auditorâ€™s report thereon).

Other than as specified in our report, our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

_________________________________________________________________________ÂÂÂÂ___________

Responsibilities of the directors for the financial statements
The directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards, the requirements of Guernsey law and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the directors are responsible for assessing the Companyâ€™s ability to continue as a going concern, disclosing, as applicable, matters relating to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

_________________________________________________________________________ÂÂÂÂ___________

Auditorâ€™s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditorâ€™s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with ISAs, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Companyâ€™s internal control.

Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the directors.

Conclude on the appropriateness of the directorsâ€™ use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Companyâ€™s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditorâ€™s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditorâ€™s report. However, future events or conditions may cause the Company to cease to continue as a going concern.

Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditorâ€™s report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication.

_________________________________________________________________________ÂÂÂÂ___________

Report on other legal and regulatory requirements
Under The Companies (Guernsey) Law, 2008 we are required to report to you if, in our opinion:

we have not received all the information and explanations we require for our audit;
proper accounting records have not been kept; or
the financial statements are not in agreement with the accounting records.

We have no exceptions to report arising from this responsibility.

We have nothing to report in respect of the following matters which we have reviewed:

the directorsâ€™ statement set out in the Directorsâ€™ Report in relation to going concern. As noted in the directorsâ€™ statement, the directors have concluded that it is appropriate to adopt the going concern basis in preparing the financial statements. The going concern basis presumes that the Company has adequate resources to remain in operation, and that the directors intend it to do so, for at least one year from the date the financial statements were signed. As part of our audit we have concluded that the directorsâ€™ use of the going concern basis is appropriate. However, because not all future events or conditions can be predicted, these statements are not a guarantee as to the Companyâ€™s ability to continue as a going concern;

the directorsâ€™ statement that they have carried out a robust assessment of the principal risks facing the Company and the directorsâ€™ statement in relation to the longer-term viability of the Company. Our review was substantially less in scope than an audit and only consisted of making inquiries and considering the directorsâ€™ process supporting their statements; checking that the statements are in alignment with the relevant provisions of the UK Corporate Governance Code; and considering whether the statements are consistent with the knowledge acquired by us in the course of performing our audit; and

the part of the Corporate Governance Statement relating to the Companyâ€™s compliance with the ten further provisions of the UK Corporate Governance Code specified for our review.

This report, including the opinion, has been prepared for and only for the members as a body in accordance with Section 262 of The Companies (Guernsey) Law, 2008 and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Evelyn Brady
For and on behalf of PricewaterhouseCoopers CI LLP
Chartered Accountants and Recognised Auditor
Guernsey, Channel Islands
3 July 2018

STATEMENT OF COMPREHENSIVE INCOME
for the year ended 31 March 2018

		01.04.17 to 31.03.18	01.04.16 to 31.03.17
	Note	Â£	Â£
Income

Interest income		29,489,045	26,091,603
Net foreign currency losses	8	(5,773,678)	(14,196,044)
Net gains on financial assets
at fair value through profit or loss	9	25,585,816	47,358,575

Total income		49,301,183	59,254,134

Portfolio management fees	14	(3,425,378)	(2,984,744)
Directors' fees	14	(127,500)	(127,151)
Administration and secretarial fees	15	(237,384)	(214,152)
Audit fees		(55,000)	(51,700)
Custody fees	15	(45,672)	(41,021)
Broker fees		(25,167)	(76,074)
AIFM management fees	15	(166,851)	(150,719)
Depositary fees	15	(64,549)	(57,277)
Legal and professional fees		(29,325)	(25,482)
Listing fees		(24,034)	(56,254)
Registration fees		(28,415)	(31,163)
Other expenses		(3,417)	(194,753)

Total expenses		(4,232,692)	(4,010,490)


Total comprehensive income for the year		45,068,491	55,243,644


Earnings per Ordinary Redeemable Share -
Basic & Diluted	4	0.114	0.152

All items in the above statement derive from continuing operations.

The notes form an integral part of these Financial Statements.

STATEMENT OF FINANCIAL POSITION
as at 31 March 2018

		31.03.2018	31.03.2017
Assets	Note	Â£	Â£

Current assets
Financial assets at fair value through profit and loss
- Investments	9	457,332,017	429,399,068
- Derivative assets: Forward currency contracts	17	4,135,400	4,173,555
Amounts due from broker		2,607,294	6,117,241
Other receivables	10	2,844,683	3,177,504
Cash and cash equivalents		11,624,245	24,561,068

Total current assets		478,543,639	467,428,436


Liabilities
Current liabilities
Financial liabilities at fair value through profit and loss
- Derivative liabilities: Forward currency contracts	17	202,337	163,495
Amounts due to brokers		7,560,754	14,072,249
Other payables	11	767,417	580,643

Total liabilities		8,530,508	14,816,387


Net current assets		470,013,131	452,612,049



Equity
Share capital account	12	407,509,059	407,509,059
Retained earnings		62,504,072	45,102,990


Total equity		470,013,131	452,612,049



Ordinary Redeemable Shares in issue	12	395,814,151	395,814,151


Net Asset Value per Ordinary Redeemable Share (pence)	6	118.75	114.35

The Financial Statements were approved by the Board of Directors on 3 July 2018 and signed on its behalf by:

Trevor Ash Ian Burns
Chairman Director

The notes form an integral part of these Financial Statements.

STATEMENT OF CHANGES IN EQUITY
for the year ended to 31 March 2018

		Share capital	Retained
		account	earnings	Total
	Note	Â£	Â£	Â£
Balances at 1 April 2017		407,509,059	45,102,990	452,612,049

Distributions paid		-	(27,667,409)	(27,667,409)
Total comprehensive gain for the year		-	45,068,491	45,068,491


Balances at 31 March 2018		407,509,059	62,504,072	470,013,131


		Share capital	Retained
		account	earnings	Total
	Note	Â£	Â£	Â£
Balances at 1 April 2016		327,589,440	5,821,364	333,410,804

Issue of shares		125,024,470	-	125,024,470
Repurchase of own shares to hold in treasury		(43,083,300)	-	(43,083,300)
Share issue costs		(1,293,088)	-	(1,293,088)
Distributions paid		-	(16,690,481)	(16,690,481)
Income equalisation on new issues	5	(728,463)	728,463	-
Total comprehensive gain for the year		-	55,243,644	55,243,644


Balances at 31 March 2017		407,509,059	45,102,990	452,612,049

The notes form an integral part of these Financial Statements.

STATEMENT OF CASH FLOWS
for the year ended 31 March 2018

	Note	01.04.17 to 31.03.18	01.04.16 to 31.03.17
		Â£	Â£
Cash flows from operating activities
Total comprehensive income for the year		45,068,491	55,243,644

Adjustments for:
Net gain on investments	9	(25,585,816)	(47,358,575)
Amortisation adjustment under effective interest rate method	9	(9,424,396)	(10,247,547)
Decrease/(increase) in other receivables		332,821	(1,087,705)
Increase/(decrease) other payables		186,774	(24,731)
Unrealised losses/(gains) on forward currency contracts	8	76,997	(9,816,835)
Purchase of investments		(383,161,384)	(308,078,505)
Sale of investments		387,237,099	284,581,705

Net cash generated from/(used in) operating activities		14,730,586	(36,788,549)



Cash flows from financing activities

Proceeds from issue of Ordinary Redeemable Shares		-	81,941,170
Share issue costs		-	(1,293,088)
Dividend distribution		(27,667,409)	(24,212,071)


Net cash (outflow)/inflow from financing activities		(27,667,409)	56,436,011



(Decrease)/increase in cash and cash equivalents		(12,936,823)	19,647,462



Cash and cash equivalents at beginning of the year		24,561,068	4,913,606



Cash and cash equivalents at end of the year		11,624,245	24,561,068

The notes form an integral part of these Financial Statements.

NOTES TO THE FINANCIAL STATEMENTS
for the year ended 31 March 2018

1. General Information
TwentyFour Income Fund Limited (the â€œCompanyâ€) was incorporated with limited liability in Guernsey, as a closed-ended investment company on 11 January 2013. The Companyâ€™s Shares were listed with a Premium Listing on the Official List of the UK Listing Authority and admitted to trading on the Main Market of the London Stock Exchange on 6 March 2013.

The Companyâ€™s investment objective and policy is set out in the Summary Information.

The Portfolio Manager of the Company is TwentyFour Asset Management LLP (the â€œPortfolio Managerâ€).

2. Principal Accounting Policies
a) Statement of compliance
The Financial Statements have been prepared in accordance with International Financial Reporting Standards (â€œIFRSâ€) as issued by the International Accounting Standards Board (â€œIASBâ€) and are in compliance with The Companies (Guernsey) Law, 2008.

b) Presentation of information
The Financial Statements have been prepared on a going concern basis under the historical cost convention adjusted to take account of the revaluation of the Company's financial assets and liabilities at fair value through profit or loss.

c) Standards, amendments and interpretations issued but not yet effective
At the reporting date of these Financial Statements, the following standards, interpretations and amendments, which have not been applied in these Financial Statements, were in issue but not yet effective:

- IFRS 9 Financial Instruments (Effective 1 January 2018)
- IFRS 15 Revenue from Contracts with Customers (Effective 1 January 2018)

IFRS 9 'Financial Instruments' amends IAS 39. IFRS 9 specifies how an entity should classify and measure financial assets. The standard requires all financial assets to be classified on the basis of the entityâ€™s business model for managing the financial assets and the contractual cash flow characteristics of the financial asset. These requirements improve and simplify the approach for classification and measurement of financial assets compared with the requirements of IAS 39.

The standard also results in one impairment method, replacing the numerous impairment methods in IAS 39 that arise from the different classification.

Material Financial Instruments have been reviewed and it is not anticipated that there will be a material impact on the Companyâ€™s financial statements.

IFRS 15 â€˜Revenue from Contracts with Customersâ€™ was published in May 2016 and specifies how and when to recognise revenue as well as requiring entities to provide users of financial statements with more informative, relevant disclosures. The standard provides a single, principles based five-step model to be applied to all contracts with customers. IFRS 15 is effective for annual reporting periods beginning on or after 1 January 2018. Material revenue streams have been reviewed and it is not anticipated that there will be a material impact on timing of recognition or gross up for principal/agent considerations. There will be no material impact on the Company's financial statements.

No new accounting standards were effective or adopted during the year having an effect on the financial statements.

d) Financial assets at fair value through profit or loss
Classification
The Company classifies its investments in debt securities and derivatives as financial assets at fair value through profit or loss.

This category has two sub-categories: financial assets or financial liabilities held for trading; and those designated at fair value through profit or loss at inception.

(i) Financial assets and liabilities held for trading
A financial asset or financial liability is classified as held for trading if it is acquired or incurred principally for the purpose of selling or repurchasing in the near term or if on initial recognition is part of a portfolio of identifiable financial investments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking. Derivatives are categorised as held for trading. The Company does not classify any derivatives as hedges in a hedging relationship.

(ii) Financial assets and financial liabilities designated at fair value through profit or loss: Financial assets and financial liabilities designated at fair value through profit or loss at inception are financial instruments that are not classified as held for trading but are managed, and their performance is evaluated on a fair value basis in accordance with the Companyâ€™s documented investment strategy.

The Companyâ€™s policy requires the Portfolio Manager and the Board of Directors to evaluate the information about these financial assets and liabilities on a fair value basis together with other related financial information.

Recognition, derecognition and measurement
Regular purchases and sales of investments are recognised on the trade date â€“ the date on which the Company commits to purchase or sell the investment. Financial assets and financial liabilities at fair value through profit or loss are initially recognised at fair value. Transaction costs are expensed as incurred in the Statement of Comprehensive Income. Financial assets are derecognised when the rights to receive cash flows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership.

Investments in Asset Backed Securities are the purchase of an interest in pools of loans. The investment characteristics of Asset Backed Securities are such that principal payments are made more frequently than traditional debt securities. The principal may be repaid at any time because the underlying debt or other assets generally may be repaid at any time.

The Company records these principal repayments as they arise and realises a gain or loss in the net gains on financial assets at fair value through profit or loss in the Statement of Comprehensive Income in the period in which they occur.

The interest income arising on these securities is recognised within income in the Statement of Comprehensive Income.

Fair value estimation
Fair value is 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. Investments in Asset Backed Securities are fair valued in accordance with either i) or ii) below and the change in fair value, if any, is recorded as net gains/(losses) on financial assets/(liabilities) at fair value through profit or loss in the Statement of Comprehensive Income.

i) Asset Backed Securities traded or dealt on an active market or exchange.
Asset Backed Securities that are traded or dealt on an active market or exchange are valued by reference to their quoted mid-market price as at the close of trading on the reporting date as management deem the mid-market price to be a reasonable approximation of an exit price.

ii) Asset Backed Securities not traded or dealt on an active market or exchange.
Asset Backed Securities which are not traded or dealt on active markets or exchanges are valued by reference to their price, as at the close of business on the reporting date as determined by an independent price vendor. If a price cannot be obtained from an independent price vendor, or where the Portfolio Manager determines that the provided price is not an accurate representation of the fair value of the Asset Backed Security, the Portfolio Manager will source prices at the close of business on the reporting date from third party broker/dealer quotes for the relevant security.

In cases where no third party price is available (either from an independent price vendor or third party broker/dealer quotes), or where the Portfolio Manager determines that the provided price is not an accurate representation of the fair value of the Asset Backed Security, the Portfolio Manager will determine the valuation based on the Portfolio Managerâ€™s valuation policy. This may include the use of a comparable armâ€™s length transaction, reference to other securities that are substantially the same, discounted cash flow analysis and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity-specific inputs.

Forward foreign currency contracts
Forward foreign currency contracts are derivative contracts and as such are recognised at fair value on the date on which they are entered into and subsequently measured at their fair value. Fair value is determined by rates in active currency markets. All forward foreign currency contracts are carried as assets when fair value is positive and as liabilities when fair value is negative. Gains and losses on forward currency contracts are recognised as part of net foreign currency gains in the Statement of Comprehensive Income.

Impairment
Financial assets that are stated at cost or amortised cost are reviewed at each reporting date to determine whether there is objective evidence of impairment. If any such indication exists, an impairment loss is recognised in the Statement of Comprehensive Income as the difference between the assetâ€™s carrying amount and the present value of estimated future cash flows discounted at the financial assetâ€™s effective interest rate.

e) Offsetting financial instruments
Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the asset and settle the liability simultaneously.

f) Amounts due from and due to brokers
Amounts due from and to brokers represent receivables for securities sold and payables for securities purchased that have been contracted for but not yet settled or delivered on the statement of financial position date respectively. These amounts are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method.

g) Income
Interest income is recognised on a time-proportionate basis using the effective interest method. Discounts received or premiums paid in connection with the acquisition of Asset Backed Securities are amortised into interest income using the effective interest method over the estimated life of the related security.

The effective interest rate method is a method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or interest expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts throughout the expected life of the financial instrument, or, when appropriate (see note 3(ii)(b)), a shorter period, to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate, the Company estimates cash flows considering the expected life of the financial instrument but does not consider future credit losses. The calculation includes all fees and points paid or received between parties to the contract that are an integral part of the effective interest rate and all other premiums or discounts.

h) Cash and cash equivalents
Cash and cash equivalents comprises cash in hand and deposits held at call with banks and other short-term investments in an active market with original maturities of three months or less and bank overdrafts. Bank overdrafts are shown in current liabilities in the Statement of Financial Position.

i) Share capital
As there are only Ordinary Redeemable Shares in issue, which are redeemable at the discretion of the Board, the shares are presented as equity in accordance with IAS 32 â€“ â€œFinancial Instruments: Disclosure and Presentationâ€. Incremental costs directly attributable to the issue of ordinary redeemable shares are shown in equity as a deduction, net of tax, from the proceeds and disclosed in the Statement of Changes in Equity.

j) Foreign currency translation
Functional and presentation currency
Items included in the financial statements are measured using Sterling, the currency of the primary economic environment in which the Company operates (the â€œfunctional currencyâ€). The Financial Statements are presented in Sterling, which is the Companyâ€™s presentation currency.

Transactions and balances
Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign currency assets and liabilities are translated into the functional currency using the exchange rate prevailing at the statement of financial position date.

Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the Statement of Comprehensive Income.

k) Transaction costs
Transaction costs on financial assets at fair value through profit or loss include fees and commissions paid to agents, advisers, brokers and dealers. Transaction costs, when incurred, are immediately recognised in the Statement of Comprehensive Income.

l) Segment reporting
Operating segments are reported in a manner consistent with the internal reporting provided to the chief operating decision-maker. The chief operating decision-maker, who is responsible for allocating resources and assessing performance of the operating segments, has been identified as the Board. The Directors are of the opinion that the Company is engaged in a single segment of business, being investments in Asset Backed Securities. The Directors manage the business in this way. Additional information can be found in note 18.

m) Expenses
All expenses are included in the Statement of Comprehensive Income on an accruals basis. Expenses incurred on the acquisition of investments at fair value through profit or loss are charged to the Statement of Comprehensive Income. All other expenses are recognised through profit or loss in the Statement of Comprehensive Income.

n) Other receivables
Other receivables are amounts due in the ordinary course of business. If collection is expected in one year or less, they are classified as current assets. If not, they are presented as non-current assets. Other receivables are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method, less provision for impairment.

o) Other payables
Other payables are obligations to pay for services that have been acquired in the ordinary course of business. Other payables are classified as current liabilities if payment is due within one year or less. If not, they are presented as non-current liabilities. Other payables are recognised initially at fair value and subsequently measured at amortised cost using the effective interest method.

p) Dividend distribution
Dividend distribution to the Companyâ€™s shareholders is recognised as a liability in the Companyâ€™s financial statements and disclosed in the Statement of Changes in Equity in the period in which the dividends are approved by the Board.

q) Income equalisation on new issues
In order to ensure there are no dilutive effects on earnings per share for current shareholders when issuing new shares, a transfer is made between share capital and income to reflect that amount of income included in the purchase price of the new shares.

r) Treasury Shares
The Company has the right to issue and purchase up to 14.99% of the total number of its own shares, as disclosed in note 12.

Shares held in Treasury are excluded from calculations when determining Earnings/(loss) per Ordinary Redeemable Share or Net Asset Value per Ordinary Redeemable Share as detailed in notes 4 and 6.

3. Significant accounting judgements, estimates and assumptions
The preparation of the Companyâ€™s Financial Statements requires management to make judgements, estimates and assumptions that affect the reported amounts of revenues, expenses, assets and liabilities and the accompanying disclosures. Uncertainty about these assumptions and estimates could result in outcomes that require a material adjustment to the carrying amount of assets or liabilities affected in future periods.

(i) Judgements
In the process of applying the Companyâ€™s accounting policies, management has made the following judgements, which have the most significant effect on the amounts recognised in the Financial Statements:

Functional currency
As disclosed in note 2(j), the Companyâ€™s functional currency is Sterling. Sterling is the currency in which the Company measures its performance and reports its results, as well as the currency in which it receives subscriptions from its investors. Dividends are also paid to its investors in Sterling. The Directors believe that Sterling best represents the functional currency.

(ii) Estimates and assumptions
The key assumptions concerning the future and other key sources of estimation uncertainty at the reporting date, that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial year, are described below. The Company based its assumptions and estimates on parameters available when the Financial Statements were prepared. Existing circumstances and assumptions about future developments, however, may change due to market changes or circumstances arising which are beyond the control of the Company. Such changes are reflected in the assumptions when they occur.

(a) Fair value of securities not quoted in an active markets
The Company carries its investments in Asset Backed Securities at fair value, with changes in value being recognised in the Statement of Comprehensive Income. In cases where prices of Asset Backed Securities are not quoted in an active market, the Portfolio Manager will obtain prices determined at the close of business on the reporting date from an independent price vendor. The Portfolio Manager exercises its judgement on the quality of the independent price vendor and information provided. If a price cannot be obtained from an independent price vendor or where the Portfolio Manager determines that the provided price is not an accurate representation of the fair value of the Asset Backed Security, the Portfolio Manager will source prices from third party broker or dealer quotes for the relevant security. Where no third party price is available, or where the Portfolio Manager determines that the third party quote is not an accurate representation of the fair value, the Portfolio Manager will determine the valuation based on the Portfolio Manager's valuation policy. This may include the use of a comparable arm's length transaction, reference to other securities that are substantially the same, discounted cash flow analysis and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity-specific inputs.

(b) Estimated life of Asset Backed Securities
In determining the estimated life of the Asset Backed Securities held by the Company, the Portfolio Manager estimates the remaining life of the security with respect to expected prepayment rates, default rates and loss rates together with other information available in the market underlying the security. The estimated life of the Asset Backed Securities as determined by the Portfolio Manager, impacts the effective interest rate of the Asset Backed Securities which in turn impacts the calculation of income as discussed in note 2(g).

(c) Determination of observable inputs
In note 17, Fair Value Measurement, when determining the levels of investments within the fair value hierarchy, the determination of what constitutes â€˜observableâ€™ requires significant

judgement by the Company. The Company considers observable data to be market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

4. Earnings per Ordinary Redeemable Share - Basic & Diluted
The earnings per Ordinary Redeemable Share - Basic and Diluted has been calculated based on the weighted average number of Ordinary Redeemable Shares of 395,814,151 (31 March 2017: 364,078,267) and a net gain of Â£45,068,491 (31 March 2017: net gain of Â£55,243,644).

5. Income equalisation on new issues
In order to ensure there are no dilutive effects on earnings per share for current shareholders when issuing new shares, earnings are calculated in respect of accrued income at the time of purchase and a transfer is made from share capital to income to reflect this. The transfer for the year is Â£Nil as there were no share issues (31 March 2017: Â£728,463).

6. Net Asset Value per Ordinary Redeemable Share
The net asset value of each Share of Â£1.19 (31 March 2017: Â£1.14) is determined by dividing the net assets of the Company attributed to the Shares of Â£470,013,131 (31 March 2017: Â£452,612,049) by the number of Shares in issue at 31 March 2018 of 395,814,151 (31 March 2017: 395,814,151).

7. Taxation
The Company has been granted Exempt Status under the terms of The Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 to income tax in Guernsey. Its liability for Guernsey taxation is limited to an annual fee of Â£1,200 (2017: Â£1,200).

8. Net foreign currency losses

	01.04.17 to 31.03.18	01.04.16 to 31.03.17
	Â£	Â£
Movement on unrealised (loss)/gain on forward currency contracts	(76,997)	9,816,835
Realised loss on foreign currency contracts	(5,577,904)	(24,122,732)
Unrealised foreign currency (loss)/gain on receivables/payables	(117,892)	168,631
Unrealised foreign currency exchange loss on interest receivable	(885)	(58,778)

	(5,773,678)	(14,196,044)

9. Investments

	01.04.17 to 31.03.18	01.04.16 to 31.03.17
Financial assets at fair value through profit or loss:	Â£	Â£
Unlisted Investments:
Opening book cost	400,893,973	339,411,981
Purchases at cost	376,649,889	316,045,880
Proceeds on sale/principal repayment	(383,727,152)	(277,600,058)
Amortisation adjustment under effective interest rate method	9,424,396	10,247,547
Realised gains on sale/principal repayment	33,089,087	21,558,885
Realised losses on sale/principal repayment	(1,913,419)	(8,770,262)


Closing book cost	434,416,774	400,893,973

Unrealised gains on investments	24,351,361	31,105,493
Unrealised losses on investments	(1,436,118)	(2,600,398)


Fair value	457,332,017	429,399,068

	01.04.17 to 31.03.18	01.04.16 to 31.03.17
	Â£	Â£
Realised gains on sale/principal repayment	33,089,087	21,558,885
Realised losses on sales/principal repayment	(1,913,419)	(8,770,262)
Movement in unrealised gains	(6,754,132)	23,119,798
Movement in unrealised losses	1,164,280	11,450,154
Net gains on financial assets at fair value through profit or loss	25,585,816	47,358,575

10. Other receivables

	As at	As at
	31.03.18	31.03.17
	Â£	Â£

Coupon interest receivable	2,825,071	3,174,960
Prepaid expenses	19,612	2,544

	2,844,683	3,177,504

11. Other payables

	As at	As at
	31.03.18	31.03.17
	Â£	Â£

Portfolio management fees payable	546,666	284,428
Custody fee payable	2,957	2,424
Administration and secretarial fees payable	60,044	58,314
Directors' fee payable	31,875	31,526
Audit fee payable	55,000	51,700
AIFM management fee payable	35,991	36,751
Depositary fees payable	5,257	5,413
General expenses payable	29,627	110,087


	767,417	580,643

Share Capital

Authorised Share Capital
Unlimited number of Ordinary Redeemable Shares at no par value.

Issued Share Capital

	As at	As at
	31.03.18	31.03.17
	Â£	Â£
Ordinary Redeemable Shares
Share Capital at the beginning of the year	407,509,059	327,589,440
Issued Share Capital	-	81,941,170
Share issue costs	-	(1,293,088)
Shares issued for repurchase	-	43,083,300
Purchase of own shares to hold in treasury	-	(43,083,300)
Income equalisation on new issues	-	(728,463)

Total Share Capital at the end of the year	407,509,059	407,509,059

	As at	As at
	31.03.18	31.03.17
	Shares	Shares
Ordinary Redeemable Shares
Shares at the beginning of the year	395,814,151	321,420,417
Issue of Shares	-	74,393,734
Shares issued for repurchase	-	39,000,000
Repurchase of own shares to hold in treasury	-	(39,000,000)

Total Shares in issue at the end of the year	395,814,151	395,814,151

	As at	As at
	31.03.18	31.03.17
	Shares	Shares
Treasury Shares
Treasury shares at the beginning of the year	39,000,000	-
Purchased shares	-	39,000,000

Total Shares in issue at the end of the year	39,000,000	39,000,000

The Share Capital of the Company consists of an unlimited number of Shares with or without par value which, upon issue, the Directors may designate as: Ordinary Redeemable Shares; Realisation Shares or such other class as the Board shall determine and denominated in such currencies as shall be determined at the discretion of the Board.

As at 31 March 2018, one share class has been issued, being the Ordinary Redeemable Shares of the Company.

The Ordinary Redeemable Shares carry the following rights:

a) the Ordinary Redeemable Shares carry the right to receive all income of the Company attributable to the Ordinary Redeemable Shares.

b) the Shareholders present in person or by proxy or present by a duly authorised representative at a general meeting has, on a show of hands, one vote and, on a poll, one vote for each Share held.

c) 56 days before the annual general meeting date of the Company in each third year (the â€œReorganisation Dateâ€), the Shareholders are entitled to serve a written notice (a â€œRealisation Electionâ€) requesting that all or a part of the Ordinary Redeemable Shares held by them be redesignated to Realisation Shares, subject to the aggregate NAV of the continuing Ordinary Redeemable Shares on the last business day before the Reorganisation Date being not less than Â£100 million. A Realisation Notice, once given is irrevocable unless the Board agrees otherwise. If one or more Realisation Elections be duly made and the aggregate NAV of the continuing Ordinary Redeemable Shares on the last business day before the Reorganisation Date is less than Â£100 million, the Realisation will not take place. Shareholders do not have a right to have their shares redeemed and shares are redeemable at the discretion of the Board. The next realisation opportunity is due to occur at the end of the next three year term, at the date of the AGM in September 2019.

The Company has the right to issue and purchase up to 14.99% of the total number of its own shares at Â£0.01 each, to be classed as Treasury Shares and may cancel those Shares or hold any such Shares as Treasury Shares, provided that the number of Shares held as Treasury Shares shall not at any time exceed 10% of the total number of Shares of that class in issue at that time or such amount as provided in the Companies Law.

On 24 January 2017, the Company issued and purchased 39,000,000 Ordinary Shares of Â£0.01 at a price of 110.47p, to be held in treasury. The total amount paid to purchase these shares was Â£43,083,300 and has been deducted from the shareholdersâ€™ equity. The Company has the right to re-issue these shares at a later date. All shares issued were fully paid.

Shares held in Treasury are excluded from calculations when determining Earnings per Ordinary Redeemable Share or Net Asset Value per Ordinary Redeemable Share, as detailed in notes 4 and 6.

13. Analysis of Financial Assets and Liabilities by Measurement Basis

	Assets at fair
	value through	Loans and
	profit and loss	receivables	Total
	Â£	Â£	Â£
31 March 2018

Financial Assets as per Statement of Financial Position
Financial assets at fair value through profit or loss:
- Investments	457,332,017	-	457,332,017
- Derivative assets: Forward currency contracts	4,135,400	-	4,135,400
Amounts due from broker	-	2,607,294	2,607,294
Other receivables (excluding prepayments)	-	2,825,071	2,825,071
Cash and cash equivalents	-	11,624,245	11,624,245
	461,467,417	17,056,610	478,524,027


	Liabilities at fair	Other
	value through	financial
	profit and loss	liabilities	Total
	Â£	Â£	Â£
Financial Liabilities as per Statement of Financial Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts	202,337	-	202,337
Amounts due to brokers	-	7,560,754	7,560,754
Other payables	-	767,417	767,417
	202,337	8,328,171	8,530,508

	Assets at fair
	value through	Loans and
	profit and loss	receivables	Total
	Â£	Â£	Â£
31 March 2017

Financial Assets as per Statement of Financial Position
Financial assets at fair value through profit or loss:
- Investments	429,399,068	-	429,399,068
- Derivative assets: Forward currency contracts	4,173,555	-	4,173,555
Amounts due from broker	-	6,117,241	6,117,241
Other receivables (excluding prepayments)	-	3,174,960	3,174,960
Cash and cash equivalents	-	24,561,068	24,561,068
	433,572,623	33,853,269	467,425,892

	Liabilities at fair	Other
	value through	financial
	profit and loss	liabilities	Total
	Â£	Â£	Â£
Financial Liabilities as per Statement of Financial Position
Financial liabilities at fair value through profit or loss:
- Derivative liabilities: Forward currency contracts	163,495	-	163,495
Amounts due to brokers	-	14,072,249	14,072,249
Other payables	-	580,643	580,643
	163,495	14,652,892	14,816,387

14. Related Parties
a) Directorsâ€™ Remuneration & Expenses
The Directors of the Company are remunerated for their services at such a rate as the Directors determine. The aggregate fees of the Directors will not exceed Â£150,000.

The annual Directorsâ€™ fees comprise Â£35,000 payable to Mr Ash, the Chairman, Â£32,500 to Mr Burns as Chairman of the Audit Committee and Â£30,000 to Mr Burwood and Ms Etherden for the year ended 31 March 2018. During the year ended 31 March 2018, Directors fees of Â£127,500 (31 March 2017: Â£127,151) were charged to the Company, of which Â£31,875 (31 March 2017: Â£31,526) remained payable at the end of the year.

b) Shares held by related parties
As at 31 March 2018, Directors of the Company held the following shares beneficially:

	Number of Shares	Number of Shares
	31.03.18	31.03.17
Trevor Ash	50,000	50,000
Ian Burns	29,242	29,242
Richard Burwood	5,000	5,000
Jeannette Etherden	25,000	25,000

As at 31 March 2018, the Portfolio Manager held Nil Shares (31 March 2017: Nil Shares) and partners and employees of the Portfolio Manager held 1,689,670 Shares (31 March 2017: 1,266,377 Shares), which is 0.43% (31 March 2017: 0.32%) of the Issued Share Capital.

c) Portfolio Manager
The portfolio management fee is payable to the Portfolio Manager, TwentyFour Asset Management LLP, monthly in arrears at a rate of 0.75% per annum of the lower of Net Asset Value, which is calculated weekly on each valuation day, or market capitalisation of each class of shares. Total portfolio management fees for the year amounted to Â£3,425,378 (31 March 2017: Â£2,984,744) of which Â£546,666 (31 March 2017: Â£284,428) is due and payable at the period end. The Portfolio Management Agreement dated 29 May 2014 remains in force until determined by the Company or the Portfolio Manager giving the other party not less than twelve months' notice in writing. Under certain circumstances, the Company or the Portfolio Manager is entitled to immediately terminate the agreement in writing.

The Portfolio Manager is also entitled to a commission of 0.15% of the aggregate gross offering proceeds plus any applicable VAT in relation to any issue of new Shares, following admission, in consideration of marketing services that it provides to the Company. During the year, the Portfolio Manager received Â£Nil (31 March 2017: Â£140,699) in commission.

15. Material Agreements
a) Alternative Investment Fund Manager
The Companyâ€™s Alternative Investment Fund Manager (the â€œAIFMâ€) is Maitland Institutional Services Limited. In consideration for the services provided by the AIFM under the AIFM Agreement the AIFM is entitled to receive from the Company a minimum fee of Â£20,000 per annum and fees payable quarterly in arrears at a rate of 0.07% of the Net Asset Value of the Company below Â£50 million, 0.05% on Net Assets between Â£50 million and Â£100 million and 0.03% on Net Assets in excess of Â£100 million. During the year ended 31 March 2018, AIFM fees of Â£166,851 (31 March 2017: Â£150,719) were charged to the Company, of which Â£35,991 (31 March 2017: Â£36,751) remained payable at the end of the year.

b) Administrator and Secretary
Administration fees are payable to Northern Trust International Fund Administration Services (Guernsey) Limited monthly in arrears at a rate of 0.06% of the Net Asset Value of the Company below Â£100 million, 0.05% on Net Assets between Â£100 million and Â£200 million and 0.04% on Net Assets in excess of Â£200 million as at the last business day of the month subject to a minimum Â£75,000 each year. In addition, an annual fee of Â£25,000 will be charged for corporate governance and company secretarial services. Total administration and secretarial fees for the year amounted to Â£237,384 (31 March 2017: Â£214,152) of which Â£60,044 (31 March 2017: Â£58,314) is due and payable at the year end.

c) Depositary
Depositary fees are payable to Northern Trust (Guernsey) Limited, monthly in arrears, at a rate of 0.0175% of the Net Asset Value of the Company up to Â£100 million, 0.0150% on Net Assets between Â£100 million and Â£200 million and 0.0125% on Net Assets in excess of Â£200 million as at the last business day of the month subject to a minimum Â£25,000 each year. Total depositary fees and charges for the year amounted to Â£64,549 (31 March 2017: Â£57,277) of which Â£5,257 (31 March 2017: Â£5,413) is due and payable at the year end.

The Depositary is also entitled to a Global Custody fee of a minimum of Â£8,500 per annum plus transaction fees. Total Global Custody fees and charges for the year amounted to Â£45,672 (31 March 2017: Â£41,021) of which Â£2,957 (31 March 2017: Â£2,424) is due and payable at the year end.

16. Financial Risk Management
The Companyâ€™s objective in managing risk is the creation and protection of shareholder value. Risk is inherent in the Companyâ€™s activities, but it is managed through an ongoing process of identification, measurement and monitoring.

The Companyâ€™s financial instruments include investments designated at fair value through profit or loss and cash and cash equivalents. The main risks arising from the Companyâ€™s financial instruments are market risk, credit risk and liquidity risk. The techniques and instruments utilised for the purposes of efficient portfolio management are those which are reasonably believed by the Board to be economically appropriate to the efficient management of the Company.

Market risk
Market risk embodies the potential for both losses and gains and includes currency risk, interest rate risk, reinvestment risk and price risk. The Companyâ€™s strategy on the management of market risk is driven by the Companyâ€™s investment objective. The Companyâ€™s investment objective is to generate attractive risk adjusted returns principally through investment in Asset Backed Securities.

(i) Price risk
The underlying investments comprised in the portfolio are subject to market risk. The Company is therefore at risk that market events may affect performance and in particular may affect the value of the Companyâ€™s investments which are valued on a mark to market basis. Market risk is risk associated with changes in market prices or rates, including interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, national and international political circumstances such as the recent UK vote to leave the EU. The Companyâ€™s policy is to manage price risk by holding a diversified portfolio of assets, through its investments in Asset Backed Securities.

The Companyâ€™s policy also stipulates that no more than 5% of the Portfolio value can be exposed to any single Asset Backed Security or issuer of Asset Backed Securities.

The price of an Asset Backed Security can be affected by a number of factors, including: (i) changes in the marketâ€™s perception of the underlying assets backing the security; (ii) economic and political factors such as interest rates and levels of unemployment and taxation which can have an impact on the arrears, foreclosures and losses incurred with respect to the pool of assets backing the security; (iii) changes in the marketâ€™s perception of the adequacy of credit support built into the securityâ€™s structure to protect against losses caused by arrears and foreclosures; (iv) changes in the perceived creditworthiness of the originator of the security or any other third parties to the transaction; (v) the speed at which mortgages or loans within the pool are repaid by the underlying borrowers (whether voluntary or due to arrears or foreclosures).

(ii) Interest rate risk
Interest rate risk arises from the possibility that changes in interest rates will affect the fair value of financial assets at fair value through profit or loss.

The tables below summarise the Companyâ€™s exposure to interest rate risk:

	Floating rate	Fixed rate	Non-interest bearing	Total
As at 31 March 2018	Â£	Â£	Â£	Â£
Financial assets at fair value through profit or loss	457,332,017	-	-	457,332,017
Derivative assets	-	-	4,135,400	4,135,400
Amounts due from broker	-	-	2,607,294	2,607,294
Other receivables	-	-	2,844,683	2,844,683
Cash and cash equivalents	11,624,245	-	-	11,624,245
Amounts due to broker	-	-	(7,560,754)	(7,560,754)
Other payables	-	-	(767,417)	(767,417)
Derivative liabilities	-	-	(202,337)	(202,337)

Net current assets	468,956,262	-	1,056,869	470,013,131

	Floating rate	Fixed rate	Non-interest bearing	Total
As at 31 March 2018	Â£	Â£	Â£	Â£
Financial assets at fair value through profit or loss	429,399,068	-	-	429,399,068
Derivative assets	-	-	4,173,555	4,173,555
Amounts due from broker	-	-	6,117,241	6,117,241
Other receivables	-	-	3,177,504	3,177,504
Cash and cash equivalents	24,561,068	-	-	24,561,068
Amounts due to broker	-	-	(14,072,249)	(14,072,249)
Other payables	-	-	(580,643)	(580,643)
Derivative liabilities	-	-	(163,495)	(163,495)

Net current assets	453,960,136	-	(1,348,087)	452,612,049

The Company only holds floating rate financial instruments and when short-term interest rates increase, the interest rate on a floating rate will increase. The time to re-fix interest rates ranges from 1 month to a maximum of 6 months and therefore the Company has minimal interest rate risk. However the Company may choose to utilise appropriate strategies to achieve the desired level of interest rate exposure (the Company is permitted to use, for example, interest rate swaps to accomplish this). The value of asset backed securities may be affected by interest rate movements. Interest receivable on bank deposits or payable on bank overdraft positions will be affected by fluctuations in interest rates, however the underlying cash positions will not be affected.

The Companyâ€™s continuing position in relation to interest rate risk is monitored on a weekly basis by the Portfolio Manager as part of its review of the weekly NAV calculations prepared by the Companyâ€™s Administrator.

(iii) Foreign currency risk Foreign currency risk is the risk that the value of a financial instrument will fluctuate due to changes in foreign exchange rates. The Company invests predominantly in non-Sterling assets while its Shares are denominated in Sterling, its expenses are incurred in Sterling. Therefore the Statement of Financial Position may be significantly affected by movements in the exchange rate between Euro and Sterling. The Company manages the exposure to currency movements by using spot and forward foreign exchange contracts, rolling forward on a periodic basis.

Outstanding contracts

Mark to market equivalent

Unrealised gains/(losses)

Contract values

31.03.2018

â‚¬

Â£

Four Sterling forward foreign currency

contracts totaling:

Settlement date 13 April 2018

322,894,014

287,255,340

283,125,370

4,129,970

Five Euro forward foreign currency

contracts totaling:

Settlement date 13 April 2018

(17,853,633)

(15,846,967)

(15,654,723)

(192,244)

Spot Contracts Payable

(4,663)

3,933,063

Mark to market equivalent

Unrealised gains/(losses)

Contract values

Outstanding contracts

31.03.2017

â‚¬

Â£

Two Sterling forward foreign currency

contracts totaling:

Settlement date 25 April 2017

329,674,023

286,255,696

282,082,141

4,173,555

Three Euro forward foreign currency

contracts totaling:

Settlement date 18 April 2017

(10,625,413)

(9,225,799)

(9,090,178)

(135,621)

Settlement date 25 April 2017

(3,017,167)

(2,609,481)

(2,581,607)

(27,874)

4,010,060

As at 31 March 2018 and as at 31 March 2017 the Company held the following assets and liabilities denominated in Euro:

	As at	As at
	31.03.2018	31.03.2017
Assets:	Â£	Â£

Investments	271,324,285	277,225,290
Cash and cash equivalents	682,980	173,531
Other receivables	2,319,599	8,783,797
Amounts due from broker	2,607,294	6,117,241
Amounts due to broker	(7,560,754)	(9,088,257)
Less: Open forward currency contracts	(267,470,647)	(270,410,355)


	1,902,757	12,801,247

The tables below summarise the sensitivity of the Companyâ€™s assets and liabilities to changes in foreign exchange movements between Euro and Sterling at 31 March 2018 and 31 March 2017. The analysis is based on the assumption that the relevant foreign exchange rate increased/decreased by the percentage disclosed in the table, with all other variables held constant. This represents managementâ€™s best estimate of a reasonable possible shift in the foreign exchange rates, having regard to historical volatility of those rates.

	As at	As at
	31.03.2018	31.03.2017
	Â£	Â£
Impact on Statement of Comprehensive Income in response to a:

- 10% increase	(138,041)	(65,178)

- 10% decrease	254,059	298,239

Impact on Statement of Changes in Equity in response to a:

- 10% increase	(138,041)	(65,178)

- 10% decrease	254,059	298,239

(iv) Reinvestment risk
Reinvestment risk is the risk that future coupons from a bond will not be reinvested at the prevailing interest rate when the bond was initially purchased.

A key determinant of a bondâ€™s yield is the price at which it is purchased and, therefore, when the market price of bonds generally increases, the yield of bonds purchased generally decreases. As such, the overall yield of the portfolio, and therefore the level of dividends payable to Shareholders, would fall to the extent that the market prices of Asset Backed Securities generally rise and the proceeds of Asset Backed Securities held by the Company that mature or are sold are not able to be reinvested in Asset Backed Securities with a yield comparable to that of the portfolio as a whole.

Price sensitivity analysis
The following details the Companyâ€™s sensitivity to movement in market prices. The analysis is based on a 5% increase or decrease in market prices. This represents managementâ€™s best estimate of a reasonable possible shift in market prices, having regard to historical volatility.

At 31 March 2018, if the market prices had been 5% higher with all other variables held constant, the increase in the net assets attributable to equity Shareholders would have been Â£22,866,601 (31 March 2017: Â£21,469,953). An equal change in the opposite direction would have decreased the net assets attributable to equity Shareholders by the same amount.

Actual trading results may differ from the above sensitivity analysis and those differences may be material.

Credit risk
Credit risk refers to the risk that a counterparty will default on its contractual obligations resulting in financial loss to the Company. The Company has a credit policy in place and the exposure to credit risk is monitored on an on-going basis.

The main concentration of credit risk to which the Company is exposed arises from the Companyâ€™s investments in Asset Backed Securities. The Company is also exposed to counterparty credit risk on forwards, cash and cash equivalents, amounts due from brokers and other receivable balances. At the year end, one of the Companyâ€™s investments in Asset Backed Securities was impaired (31 March 2017: none).

The Companyâ€™s policy to manage this risk is by no more than 20% of the portfolio value being backed by collateral in any single country (save that this restriction will not apply to Northern European countries). The Company also manages this credit risk by no more than 5% of the portfolio being exposed to any single Asset Backed Security or issuer of Asset Back Securities and no more than 10% of the portfolio value being exposed to instruments not deemed securities for the purposes of the Financial Services and Market Act 2000.

Portfolio of Asset Backed Securities by ratings category using the highest rating assigned by Standard and Poorâ€™s (â€œS&Pâ€), Moodyâ€™s Analytics (Moodyâ€™sâ€) or Fitch Ratings (â€œFitchâ€):

	31.03.18	31.03.17
AAA	3.31%	4.72%
AA+	1.21%	0.00%
AA	0.81%	1.70%
AA-	1.15%	2.94%
A+	0.69%	3.99%
A	7.38%	3.88%
A-	4.52%	4.50%
BBB+	5.40%	6.21%
BBB	8.88%	10.37%
BBB-	3.90%	2.18%
BB+	2.75%	0.00%
BB	14.60%	19.21%
BB-	1.98%	1.77%
B+	4.11%	1.22%
B	22.90%	21.11%
B-	1.42%	1.38%
CCC+	1.33%	0.00%
CCC	0.27%	0.00%
NR*	13.39%	14.82%

	100.00%	100.00%

*The non-rated exposure within the Company is managed in exactly the same way as the exposure to any other rated bond in the portfolio. A bond not rated by any of Moodyâ€™s, S&P or Fitch does not necessarily translate as poor credit quality. Often smaller issues/tranches, or private deals which the Company holds, wonâ€™t apply for a rating due to the cost of doing so from the relevant credit agencies. The Portfolio Managers have no credit concerns with the unrated, or rated, bonds currently held.

To further minimise credit risk, the Portfolio Manager undertakes extensive due diligence procedures on investments in Asset Backed Securities and monitors the on-going investment in these securities. The Company may also use credit default swaps to mitigate the effects of market volatility on credit risk.

The Company manages its counterparty exposure in respect of cash and cash equivalents and forwards by investing with counterparties with a â€œsingle Aâ€ or higher credit rating. All cash is currently placed with The Northern Trust Company. The Company is subject to credit risk to the extent that this institution may be unable to return this cash. The Northern Trust Company is a wholly owned subsidiary of The Northern Trust Corporation. The Northern Trust Corporation is publicly traded and a constituent of the S&P 500. The Northern Trust Corporation has a credit rating of A+ from Standard & Poor's and A2 from Moody's.

The Companyâ€™s maximum credit exposure is limited to the carrying amount of financial assets recognised as at the statement of financial position date, as summarised below:

	As at	As at
	31.03.18	31.03.17
	Â£	Â£
Investments	457,332,017	429,399,068
Cash and cash equivalents	11,624,245	24,561,068
Unrealised gains on derivative assets	4,135,400	4,173,555
Amounts due from broker	2,607,294	6,117,241
Other receivables	2,844,683	3,177,504
	478,543,639	467,428,436

Investments in Asset Backed Securities that are not backed by mortgages present certain risks that are not presented by Mortgage-Backed Securities (â€œMBSâ€). Primarily, these securities may not have the benefit of the same security interest in the related collateral. Therefore, there is a possibility that recoveries on defaulted collateral may not, in some cases, be available to support payments on these securities. The risk of investing in these types of Asset Backed Securities is ultimately dependent upon payment of the underlying debt by the debtor.

Liquidity risk
Liquidity risk is the risk that the Company may not be able to generate sufficient cash resources to settle its obligations in full as they fall due or can only do so on terms that are materially disadvantageous.

Investments made by the Company in Asset Backed Securities may be relatively illiquid and this may limit the ability of the Company to realise its investments. Investments in Asset Backed Securities may also have no active market and the Company also has no redemption rights in respect of these investments. The Company has the ability to borrow to ensure sufficient cash flows.

The Portfolio Manager considers expected cash flows from financial assets in assessing and managing liquidity risk, in particular its cash resources and trade receivables. Cash flows from trade and other receivables are all contractually due within twelve months.

The Portfolio Manager maintains a liquidity management policy to monitor the liquidity risk of the Company.

Shareholders have no right to have their shares redeemed or repurchased by the Company, however Shareholders may elect to realise their holdings as detailed under note 12 and the Capital Risk Management section of this note.

Shareholders wishing to release their investment in the Company are therefore required to dispose of their shares on the market. Therefore there is no risk that the Company will not be able to fund redemption requests.

The tables below analyse the Companyâ€™s liabilities into relevant maturity groupings based on the maturities at the statement of financial position date. The amounts in the table are the undiscounted net cash flows on the financial liabilities:

	Up to 1 month	1-6 months	6-12 months	Total
As at 31 March 2018	Â£	Â£	Â£	Â£
Financial liabilities
Amounts due to brokers	-	(7,560,754)	-	(7,560,754)
Unrealised loss on derivative liabilities	(202,337)	-	-	(202,337)
Other payables	(712,417)	(55,000)	-	(767,417)

Total	(914,754)	(7,615,754)	-	(8,530,508)

	Up to 1 month	1-6 months	6-12 months	Total
As at 31 March 2017	Â£	Â£	Â£	Â£
Financial liabilities
Amounts due to brokers	-	(14,072,249)	-	(14,072,249)
Unrealised loss on derivatives	(163,495)	-	-	(163,495)
Other payables	(528,943)	(51,700)	-	(580,643)

Total	(692,438)	(14,123,949)	-	(14,816,387)

Capital risk management
The Company manages its capital to ensure that it is able to continue as a going concern while following the Companyâ€™s stated investment policy. The capital structure of the Company consists of Shareholdersâ€™ equity, which comprises share capital and other reserves. To maintain or adjust the capital structure, the Company may return capital to Shareholders or issue new Shares. There are no regulatory requirements to return capital to Shareholders.

(i) Share buybacks
The Company has been granted the authority to make market purchases of up to a maximum of 14.99% of the aggregate number of Ordinary Redeemable Shares in issue immediately following Admission at a price not exceeding the higher of (i) 5% above the average of the mid-market values of the Ordinary Redeemable Shares for the 5 business days before the purchase is made or, (ii) the higher of the price of the last independent trade and the highest current investment bid for the Ordinary Redeemable Shares.

In deciding whether to make any such purchases the Directors will have regard to what they believe to be in the best interests of Shareholders as a whole, to the applicable legal requirements and any other requirements in its Articles. The making and timing of any buybacks will be at the absolute discretion of the Board and not at the option of the Shareholders, and is expressly subject to the Company having sufficient surplus cash resources available (excluding borrowed moneys). The Listing Rules prohibit the Company from conducting any share buybacks during close periods immediately preceding the publication of annual and interim results.

(ii) Realisation opportunity
The realisation opportunity shall be at the annual general meeting of the Company in each third year, with the next realisation opportunity being in 2019, subject to the aggregate NAV of the continuing Ordinary Redeemable Shares on the last Business Day before Reorganisation being not less than Â£100 million.

It is anticipated that realisations will be satisfied by the assets underlying the relevant shares being managed on a realisation basis, which is intended to generate cash for distribution as soon as practicable and may ultimately generate cash which is less than the published NAV per Realisation Share.

In the event that the Realisation takes place, it is anticipated that the ability of the Company to make returns of cash to the holders of Realisation Shares will depend in part on the ability of the Portfolio Manager to realise the portfolio.

(iii) Continuation votes
In the event that the Company does not meet the dividend target in any financial reporting period as disclosed in note 19, the Directors may convene a general meeting of the Company where the Directors will propose a resolution that the Company should continue as an Investment Company.

17. Fair Value Measurement
All assets and liabilities are carried at fair value or at carrying value which equates to fair value.

IFRS 13 requires the Company to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels:

(i) Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1).
(ii) Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices including interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs (level 2).
(iii) Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3).

The following tables analyse within the fair value hierarchy the Companyâ€™s financial assets and liabilities (by class) measured at fair value for the period and year ended 31 March 2018 and 31 March 2017.

	Level 1	Level 2	Level 3	Total
	Â£	Â£	Â£	Â£
Assets
Financial assets at fair value through profit or loss:
Asset Backed Securities:
Auto Loans	-	7,478,778	-	7,478,778
Buy-to-Let RMBS	-	37,148,081	11,415,545	48,563,626
CMBS	-	4,376,846	-	4,376,846
Consumer ABS	-	44,719,647	4,624,151	49,343,798
Leveraged Loan CLO	-	137,037,519	26,925,077	163,962,596
Non-Conforming RMBS	-	88,225,309	56,869,802	145,095,111
Prime RMBS	-	7,930,225	27,739,640	35,669,865
Student Loans	-	1,235,651	1,605,746	2,841,397
Forward currency contracts	-	4,135,400	-	4,135,400

Total assets as at 31 March 2018
Total assets as at 31 March 2018	-	332,287,456	129,179,961	461,467,417


Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts	-	202,337	-	202,337
Total liabilities as at 31 March 2018
Total liabilities as at 31 March 2018	-	202,337	-	202,337

	Level 1	Level 2	Level 3	Total
	Â£	Â£	Â£	Â£
Assets
Financial assets at fair value through profit or loss:
Asset Backed Securities:
Buy-to-Let RMBS	-	26,151,150	3,521,770	29,672,920
CMBS	-	6,380,449	-	6,380,449
Consumer ABS	-	17,381,807	19,375,719	36,757,526
Leveraged Loan CLO	-	142,981,296	11,236,233	154,217,529
Non-Conforming RMBS	-	115,564,375	3,800,826	119,365,201
Prime RMBS	-	80,760,181	1,411,834	82,172,015
Student Loans	-	833,428	-	833,428
Forward currency contracts	-	4,173,555	-	4,173,555

Total assets as at 31 March 2017
Total assets as at 31 March 2017	-	394,226,241	39,346,382	433,572,623


Liabilities
Financial liabilities at fair value through profit or loss:
Forward currency contracts	-	163,495	-	163,495

Total liabilities as at 31 March 2017	-	163,495	-	163,495

Asset Backed Securities which have a value based on quoted market prices in active markets are classified in level 1. At the end of the year, no Asset Backed Securities held by the Company are classified as level 1.

Asset Backed Securities which are not traded or dealt on organised markets or exchanges are classified in level 2 or level 3. Asset Backed securities priced at cost are classified as level 3. Asset Backed securities with prices obtained from independent price vendors, where the Portfolio Manager is able to assess whether the observable inputs used for their modelling of prices is accurate and the Portfolio Manager has the ability to challenge these vendors with further observable inputs, are classified as level 2. Prices obtained from vendors who are not easily challengeable or transparent in showing their assumptions for the method of pricing these assets, are classified as level 3. Asset Backed Securities priced at an average of two vendorsâ€™ prices are classified as level 3.

Where the Portfolio Manager determines that the price obtained from an independent price vendor is not an accurate representation of the fair value of the Asset Backed Security, the Portfolio Manager may source prices from third party broker or dealer quotes and if the price represents a reliable and an observable price, the Asset Backed Security is classified in level 2. Any broker quote that is over 20 days old is considered stale and is classified as level 3.

There were no transfers between level 1 and 2 during the year, however transfers between level 2 and level 3 occur based on the Portfolio Managerâ€™s ability to obtain a reliable and observable price as detailed above.

Due to the inputs into the valuation of Asset Backed Securities classified as level 3 not being available or visible to the Company, no meaningful sensitivity on inputs can be performed.

The following tables present the movement in level 3 instruments for the years ended 31 March 2018 and 31 March 2017 by class of financial instrument.

	Opening balance	Net Purchases /(sales)	Net realised gain/(loss) for the year included in the Statement of Comprehensive Income for level 3 Investments held at 31 March 2018	Net unrealised (gain/(loss) for the period included in the Statement of Comprehensive Income for level 3 Investments held at 31 March 2018	Transfer into Level 3	Transfer out Level 3	Closing balance
	Â£	Â£	Â£	Â£	Â£	Â£	Â£
Buy-to-Let RMBS	3,521,770	7,721,719	89,305	82,751	-	-	11,415,545
Consumer ABS	19,375,719	(7,371,112)	955,419	(179,095)	-	(8,156,780)	4,624,151
Leveraged Loan CLO	11,236,233	11,744,605	1,105,869	340,083	9,539,914	(7,041,627)	26,925,077
Non-Conforming RMBS	3,800,826	36,741,849	(114,809)	1,154,226	19,088,536	(3,800,826)	56,869,802
Prime RMBS	1,411,834	(2,295,001)	540,318	1,808,040	27,686,283	(1,411,834)	27,739,640
Student Loans	-	1,553,260	17,700	34,786	-	-	1,605,746

Total at 31 March 2018	39,346,382	48,095,320	2,593,802	3,240,791	56,314,733	(20,411,067)	129,179,961

	Opening balance	Net Purchases /(sales)	Net realised gain/(loss) for the year included in the Statement of Comprehensive Income for level 3 Investments held at 31 March 2017	Net unrealised gain/(loss) for the year included in the Statement of Comprehensive Income for level 3 Investments held at 31 March 2017	Transfer into Level 3	Transfer out Level 3	Closing balance
	Â£	Â£	Â£	Â£	Â£	Â£	Â£
Buy-to-Let RMBS	-	(2,017,018)	67,152	(8,113)	5,479,749	-	3,521,770
CMBS	-	(973,931)	(10,542)	24,400	960,073	-	-
Consumer ABS	-	19,165,711	8,746	201,262	-	-	19,375,719
Leases	-	(8,154,565)	1,215,073	90,413	6,849,079	-	-
Leveraged Loan CLO	25,025,496	(60,120,439)	9,286,434	1,872,148	52,848,703	(17,676,109)	11,236,233
Non-Conforming RMBS	-	(21,409,645)	2,301,681	141,765	22,767,025	-	3,800,826
Peripheral RMBS	1,786,704	(13,318,258)	1,434,630	(360,192)	10,457,116	-	-
Prime RMBS	2,263,309	1,047,225	367,356	(2,746)	-	(2,263,310)	1,411,834

Total at 31 March 2017	29,075,509	(85,780,920)	14,670,530	1,958,937	99,361,745	(19,939,419)	39,346,382

The following tables analyse within the fair value hierarchy the Companyâ€™s assets and liabilities not measured at fair value at 31 March 2018 and 31 March 2017 but for which fair value is disclosed.

		Level 1	Level 2	Level 3	Total
		Â£	Â£	Â£	Â£
	Assets
	Cash and cash equivalents	11,624,245	-	-	11,624,245
	Amounts due from broker	-	2,607,294	-	2,607,294
	Other receivables	-	2,844,683	-	2,844,683
	Total assets as at 31 March 2018	11,624,245	5,451,977	-	17,076,222

	Liabilities
	Amounts due to brokers	-	7,560,754	-	7,560,754
	Other payables	-	767,417	-	767,417
	Total liabilities as at 31 March 2018	-	8,328,171	-	8,328,171
		Level 1	Level 2	Level 3	Total
		Â£	Â£	Â£	Â£
Assets
Cash and cash equivalents		24,561,068	-	-	24,561,068
Amounts due from broker		-	6,117,241	-	6,117,241
Other receivables		-	3,177,504	-	3,177,504
Total assets as at 31 March 2017		24,561,068	9,294,745	-	33,855,813

Liabilities
Amounts due to brokers		-	14,072,249	-	14,072,249
Other payables		-	580,643	-	580,643
Total liabilities as at 31 March 2017		-	14,652,892	-	14,652,892

The assets and liabilities included in the above table are carried at amortised cost; their carrying values are a reasonable approximation of fair value.

Cash and cash equivalents include cash in hand and deposits held with banks.

Amounts due to brokers and other payables represent the contractual amounts and obligations due by the Company for settlement of trades and expenses. Amounts due from brokers and other receivables represent the contractual amounts and rights due to the Company for settlement of trades and income.

18. Segmental Reporting
The Board is responsible for reviewing the Companyâ€™s entire portfolio and considers the business to have a single operating segment. The Boardâ€™s asset allocation decisions are based on a single, integrated investment strategy, and the Companyâ€™s performance is evaluated on an overall basis.

The Company invests in a diversified portfolio of Asset Backed Securities. The fair value of the major financial instruments held by the Company and the equivalent percentages of the total value of the Company, are reported in the Top Twenty Holdings, included within the Directorsâ€™ Report.

Revenue earned is reported separately on the face of the Statement of Comprehensive Income as investment income being interest income received from Asset Backed Securities.

19. Dividend Policy
The Board intends to distribute an amount at least equal to the value of the Companyâ€™s net income arising each quarter to the holders of Ordinary Redeemable Shares. For these purposes, the Companyâ€™s income will include the interest payable by the Asset Backed Securities in the Portfolio and the amortisation of any discount or premium to par at which an Asset Backed Security is purchased over its remaining expected life, prior to its maturity, however there is no guarantee that the dividend target for future financial years will be met or that the Company will make any distributions at all.

Distributions made with respect to any income period comprise (a) the accrued income of the portfolio for the period, and (b) an additional amount to reflect any income purchased in the course of any share subscriptions that took place during the period. Including purchased income in this way ensures that the income yield of the shares is not diluted as a consequence of the issue of new shares during an income period and (c) any income on the foreign exchange contracts created by the LIBOR differentials between each foreign currency pair.

The Board expects that dividends will constitute the principal element of the return to the holders of Ordinary Redeemable Shares.

The Company declared the following dividends in respect of distributable profit for the year ended 31 March 2018:

Period to	Dividend rate per Share (pence)	Net dividend payable (Â£)	Record date	Ex-dividend date	Pay date
30 June 2017	0.0150	5,937,212	21 July 2017	20 July 2017	31 July 2017
29 September 2017	0.0150	5,937,212	20 October 2017	19 October 2017	31 October 2017
29 December 2017	0.0150	5,937,212	18 January 2018	19 January 2018	31 January 2018
31 March 2018	0.0273	10,805,726	19 April 2018	20 April 2018	30 April 2018

Under the Companies (Guernsey) Law, 2008, the Company can distribute dividends from capital and revenue reserves, subject to the net asset and solvency test. The net asset and solvency test considers whether a company is able to pay its debts when they fall due, and whether the value of a companyâ€™s assets is greater than its liabilities. The Board confirms that the Company passed the net asset and solvency test for each dividend paid.

20. Ultimate Controlling Party
In the opinion of the Directors on the basis of shareholdings advised to them, the Company has no ultimate controlling party.

21. Subsequent Events
These Financial Statements were approved for issuance by the Board on 3 July 2018. Subsequent events have been evaluated until this date.

On 30 April 2018, the Company paid a dividend as detailed in note 19.

CORPORATE INFORMATION

Directors Trevor Ash (Chairman) Ian Burns (Senior Independent Director) Richard Burwood Jeannette Etherden	Custodian, Principal Banker and Depositary Northern Trust (Guernsey) Limited PO Box 71 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3DA
Registered Office PO Box 255 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3QL	Administrator and Company Secretary Northern Trust International Fund Administration Services (Guernsey) Limited PO Box 255 Trafalgar Court Les Banques St Peter Port Guernsey, GY1 3QL
Alternative Investment Fund Manager (â€œAIFMâ€) Maitland Institutional Services Limited Springfield Lodge Colchester Road Chelmsford, CM2 5PW	Broker and Financial Adviser Numis Securities Limited The London Stock Exchange Building 10 Paternoster Square London, EC4M 7LT
Portfolio Manager TwentyFour Asset Management LLP ^th Floor, The Monument Building 11 Monument Street, London, EC3R 8AF	Independent Auditor PricewaterhouseCoopers CI LLP PO Box 321 Royal Bank Place 1 Glategny Esplanade St Peter Port Guernsey, GY1 4ND
UK Legal Advisers to the Company Eversheds Sutherland (International) LLP One Wood Street London, EC2V 7WS	Receiving Agent Computershare Investor Services PLC The Pavilions Bridgwater Road Bristol, BS13 8AE
Guernsey Legal Advisers to the Company Carey Olsen Carey House Les Banques St Peter Port Guernsey, GY1 4BZ	Registrars Computershare Investor Services (Guernsey) Limited ^st Floor Tudor House Le Bordage St Peter Port Guernsey, GY1 1DB

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