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For institutional investors only/not for public viewing or distribution

TwentyFour Income Fund (TFIF)

March 2017


Overview

2

Introduction to TwentyFour Asset Management

Asset Backed Securities

TwentyFour Income Fund

Appendix


TwentyFour Asset Management

London based fixed income specialist, founded in 2008

Owned by 13 Partners including Corporate Partner, Zurich based Vontobel Group

All our key personnel are highly skilled fixed income professionals

- Partners have an average experience of 25 years

- Talented portfolio managers and traders

- High quantitative literacy

Total assets under management, £8.80bn as at 28th February 2017

Investment team split into 3 separate but highly integrated units

- Unconstrained Fixed Income, Asset Backed Securities and Outcome Driven

9 pooled funds (6 open ended and 3 closed) and 16 segregated mandates

3

Source: TwentyFour28th February 2017


0.9 0.8 1.01.6

2.8 3.0

4.34.8

0.4

0.7

1.2

2.3

2.8

2.9

0.7

1.1

12.2008 12.2009 12.2010 12.2011 12.2012 12.2013 12.2014 12.2015 12.2016 02.2017

AUM growth, £ bn

4

Source: TwentyFour28th February 2017

5.49

4.02

2.23

1.420.991.07

0.280.09

Total AUM: £8.80 billion

Asset BackedSecurities

Unconstrained

Outcome Driven7.84


Leadership in the asset class

5

1 Association for Financial Markets in Europe2 HM Treasury

Experienced senior team

- Rob Ford helped Barclays issue its first mortgage securitisation back in 1989 before going on to head up the tradingunit at Europe’s leading securitisation house

- Ben Hayward managed Europe’s largest ABS funds prior to joining TwentyFour

- Aza Teeuwen has 10 years experience managing European ABS in IG and non-IG from IMC

- John Lawler previously served as Head of European ABS distribution at Nomura as well as experience working atsome of the major banks within the ABS market such as Royal Bank of Scotland and Barclays

- Doug Charleston gained extensive experience structuring, managing and rating mortgage-backed securitisationswith Lloyds, Nationwide and S&P

- Silvia Piva spent 9 years originating and structuring ABS at RBS

- Additional support from 3 analysts

Leadership in the sector - Rob Ford is currently:

- Vice-chair of the AFME Securitisation Board and Executive Committee for third term1

- Advisor to the Tri-Partite Securitisation Technical Group (FCA, BofE, HMT2)

- Member of the Bank of England Residential Property Forum


TwentyFour’s ABS product range

6

OEIC

Investment Co.

Direct Lending(Inv.Co.)

Bank

Pension Fund

Insurance Co

Mandated Fund

Fiduciary Manager

Segregated MandatesABS FundsEuropean


UK Mortgages Limited

Monument Bond Fund

Senior Secured Bond Fund (Senior Tier ABS)

Senior

Liquid Investment

Grade

Less Liquid/High

Yield

UK CoveredBonds

Senior UK RMBS

High Yield ABS

IG ABS

Senior UK RMBS

High Yield ABS

Senior UK RMBS

Local Authority

IG ABS


Overview

7




Appendix


2016 market drivers

8

ABS suffered contagion from the broader credit markets in Q1 and there was dislocation in the CLO market when CreditSuisse liquidated its entire book as part of a more general Fixed Income reorganisation

Q2 saw strong return of risk appetite, with positive price action across all markets, led by CLOs and a rally in PortugueseRMBS as deals became eligible for ECB’s ABS Purchase Programme

By June, the market braced itself for a potential Brexit, causing both dealer and investor appetite for sterling credit to dryup

Post Brexit, the trading environment was orderly and muted after a nervous start, but there was a degree of spreadwidening. However, prices recovered steadily, and new issuance saw strong demand despite quieter summer secondarymarkets

Since late summer the market saw continued spread tightening and consistent performance, with none of the volatilityseen in the fixed rate space

2017 has started with strong technically-driven performance as supply has been low

Source: TwentyFour,2nd February 2017


0

100

200

300

400

500

600

700

800

900

AAA AA A BBB BB B

Cre

dit

Sp

read

s (b

ps)

ABS/Corporate spreads

9

Source: TwentyFour, Barclays24th February 2017

AAA AA A BBB BB B

Prime RMBS 65 120 200 305 395

Buy To Let RMBS 70 180 235 335

Near Prime RMBS 70 150 215 315

CMBS 145 210 260 330

CLOs 100 160 235 330 560 800

Euro Corps 47 61 96 147 274 470

£ Corps 35 66 120 178 334 493

$ Corps 62 63 95 152 274 407


Monument Bond Fund

Senior Secured Bond Fund


Investment grade credit index

European high yield index

US high yield index

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

AAA AA A BBB BB B

Gro

ss P

ort

folio

Yie

ld

Credit Rating

Yields & ratings of TwentyFour ABS funds

10

Past performance is no indication of current or future performance. Source: TwentyFour, Bloomberg 31st January 2017


Unemployment rate (%)

11

Source: Bloomberg23rd February 2017

0

5

10

15

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25

30

Jan

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Jul-

10

Sep

-10

No

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Sep

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No

v-1

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v-1

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-15

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v-1

5

Jan

-16

Mar

-16

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-16

Jul-

16

Sep

-16

No

v-1

6

Jan

-17

UK Netherlands Portugal Italy Spain


House price growth (HPI YoY*)

12

*HPI YoY refers to House Price Index year-on-yearSource: Bloomberg23rd February 2017

0

0.2

0.4

0.6

0.8

1

1.2

-15

-10

-5

0

5

10

15

Jan

-10

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-10

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10

Sep

-10

No

v-1

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-11

No

v-1

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-12

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v-1

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v-1

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-14

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-14

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v-1

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-15

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-15

No

v-1

5

Jan

-16

Mar

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No

v-1

6

Jan

-17

Italy Portugal Spain UK Netherlands


Overview

13




Appendix


TwentyFour Income Fund: introduction

14

TwentyFour Income Fund is a closed ended fund that invests in less liquid UK and European asset backed securities

TwentyFour has access to bonds that it believes are attractive but not liquid enough for its existing daily priced funds

TwentyFour Income Fund will target:

- Annual dividend of at least 6pps

- Total return of 6-9% per annum after fees

- Returns expected to increase as rates rise and to give some inflation protection – Libor tracking, reducing interest

rate risk

Redemption opportunity every 3 years (March 2019)



15

Portfolio Highlights

Portfolio size (£) 448.4m

Gross yield (%) 7.59

Interest rate duration (years) 0.15

Weighted average life (years) 4.25

Current NAV per share (p) 112.48 (28.02.2017)

Current Share price (p) 115 (28.02.2017)

Source: TwentyFour. Past performance is not an indication of future performance. The gross yield is the yield on an investment before the deduction of taxes and expenses. It is calculated as the annual return on an investment prior to taxes and expenses divided by the current price of the investment.31st January 2017


TFIF portfolio positioning

16

Source: TwentyFour31st January 2017

Geographical breakdown

38

.8%

6.3

%

1.4

%

6.0

%

5.5

%

6.8

%

12

.7%

4.13%

3.89%

1.39%0.78% 0.15%

5.80%

6.22%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

UK

Net

her

lan

ds

Spai

n

Ital

y

Po

rtu

gal

Ger

man

y

Fran

ce

Mix

ed

- O

ther

Mixed Jurisdiction Exposure (look-through basis)

0.2%

1.5%

4.6%

6.9%

8.5%

19.4%

25.4%

33.5%

0% 10% 20% 30% 40%

Student Loans

CMBS

Adjusted Cash

BTL RMBS

Consumer ABS

Prime RMBS

NC RMBS

CLO

Rating breakdown

4.6

%

4.6

%

14

.8%

18

.5%

20

.4%

22

.4%

14

.8%

0%

5%

10%

15%

20%

25%

AA

A/C

ash

& E

qu

iv AA A

BB

B

BB B

NR

Sector breakdown


TFIF NAV performance*

17

Past performance is not an indication of future performance. *Inclusive of dividendSource: TwentyFour28th February 2017

The performance figures shown are of the GBP performance. Performance figures based on data as at 28.02.2017. Past performance is not an indication of future performance. Performance is shown in GBP on a mid-to-mid basis, inclusive of net reinvested income and inclusive of all expenses except the annual management charge. The figures do not reflect the entry charge paid by individual investors. The value of an investmentand the income from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

95

100

105

110

115

120

125

130

135

140

145

03

/20

13

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/20

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/20

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/20

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/20

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/20

17

NAV per Share NAV per Share including coupons Share Price Share Price including coupons


Trade example I:

18

Non-rated private mezzanine financing transaction for UK specialist lender with a strong track record

Newly originated Prime Second lien residential mortgages, pool of loans that is expected to grow from £190m to£300m before there will be a public securitisation

Loss cushion of at least 5% (current 9%) from a junior bond, also supported by 3% of excess cash per annum that can beused to cover losses

Maximum loan-to-value of 85% and average of 65%, including first lien

Strong performance, current arrears over 3 months are 0.10%

Potential losses are recognised before they have occurred and covered by excess cash – significantly conservative policy

0.7yr bond with a current yield of L+10% at 100 and is NR

Mezzanine warehousing Second Lien UK RMBS

Source: TwentyFour2nd March 2017


Trade example II:

19

2013 European CLO that was refinanced in January 2017

Managed by Alcentra, $28bn AUM, including 17 CLOs

16 year Manager and 4 year CLO track record

Strong defensive structure with 11.2% loss cushion for Class E and 8.3% on Class F and 2% excess cash

Diversified pool of senior secured obligation: 15% UK, 14% Germany, 11% France, 11% US (Global) and 11% theNetherlands

Manager retains 5% in every tranche in the CLO

Class E – 6.1yr bond with a current yield of E+6.6% at 99.55 and is BB/BB rated

Class F – 6.1yr bond with a current yield of E+9.5% at 93.95 and is rated B-/B-

European CLO – Jubilee 2013-X

Source: TwentyFour2nd March 2017


Outlook

20

Strong rally expected to continue driven by low supply outlook, excellent fundamental performance and increasing

demand. European ABS expected to be a top performing asset class in 2017

A number of potential threats to sentiment and spread stability exist (e.g. French elections)

Current positioning is cautious

Lower risk appetite and less supply allow less opportunities for fund growth

Should external events overpower the strong technical, then we would expect short windows of excellent value when

further capital may be raised to benefit existing holders (e.g. Feb 2016)


Overview

21




Appendix


European vs. US asset backed securities

22

Europe and US are different

Majority of ABS originated by banks P O

Generally higher lending criteria P O

Historical use of affordability tests P O

Typically recourse lending P O

Personal stigma of insolvency P O

Limited “originate to distribute” model P O

Banks generally service securitised assets P O

Banks typically retain first loss P O

Projected total loss rate* 0.0% 4.0%

*Fitch Global Structured Finance Losses, original rating AAAsf 2000-2014, February 2015


The European ABS market

23

1 RMBS Losses 2000 – 2014, Fitch Global7th February 2015

First securitisations completed in late 1980s

Main purpose of issuance has been as a funding tool for banks and other financial institutions

Publicly placed market c. €424bn, not including significant amounts retained by banks on balance sheets for central bank

funding collateral (€709bn)

Performance has been exceptionally strong, Fitch estimates lifetime cumulative loss rate of 0.3% for European RMBS1,

with a High yield average annual default rate of 4.7% (2001-2015)

Investors include central banks, bank treasuries, insurers, pension funds and wholesale clients


Why European asset backed securities?

24

Bankruptcy remote: Assets sit within a segregated legal entity, thereby fully protecting them from outside events e.g.

bank bail-ins

Direct recourse: Backed by specific asset pools, where the coupons and principal are generated by the underlying assets

Built-in loss protection: Structured into layers of risk, with the junior tranches and sponsoring bank acting as loss

absorbers to the more senior ones

Highly granular: Geographically diverse pools containing thousands of real economy assets such as residential mortgages,

auto loans, credit cards or SME loans

Highly transparent: Detailed, frequent reporting thereby enabling investors to conduct quantitative and qualitative

research and giving conviction in performance

Alignment of interest: Issuers/Originators are required by regulatory authorities to retain “skin in the game”

Excellent performance of the underlying assets


RMBS: A sample structure

25

AAA Notes

Mortgages

£720m mortgage pool

Further losses

Interest & Principal

£1bn property pool

Total Notes Issued: £720m

AA Notes

A Notes

BBB Notes

BB Notes

Reserve fund

Excess interest

House owner’s equity: absorbs

first loss


Investment committee

26

*Fixed Income experience

Determines the key risk metrics and sector allocations for each portfolio

Chairman

Graeme Anderson

30 years*

Mark Holman27 years*

Gary Kirk29 years*

Ben Hayward18 years*

Rob Ford30 years*

Eoin Walsh

19 years*

Aza Teeuwen9 years*

John Lawler30 years*

Robert Arnold14 years*

Chris Bowie21 years*

Felipe Villarroel7 years*

Silvia Piva9 years*

Pierre Beniguel7 years*

Gordon Shannon9 years*

Doug Charleston9 years*


Investment process

27

1 The investment committee comprises of the chairman, senior portfolio managers, head of risk and senior sales representative

Investment committee¹

Top-down asset allocation

Bottom-up stock selection

Economic & market debate

Market Performance Fund AttributionGlobal Relative Value

Analysis

DiscussHedging Strategies

Fund Asset Allocation

Weekly validation meeting

The Month Ahead

Idea generation AnalysisCredit approval and

monitoring

Monthly meetings Macro level viewSet key risk metrics


Principles

28

We do not have a CIO but a Chairman of our ‘process’

The Chairman’s role ensures:

- That there is discipline around our process

- Maximise inclusion while optimising focus

- Ensure the process continually evolves

- Ensure the cycle is flexible during times of extreme market volatility

No ‘star’ asset allocator, the team makes the difference


What’s special about our process?

29

Collegiate approach

No reliance on internal analysts - we prefer a combination of our own analysis plus the ability to tap into a broad range of

external research

Portfolio managers execute their own trades - direct interaction with sell-side counterparts builds invaluable knowledge

of the market’s technical picture as well as maximising efficient execution

Optimisation team ensures portfolios adhere very accurately to top down asset allocation as well as single stock targets

Our people make our process work


Idea generation

30

Begins with a highly experienced team of PMs focusing on markets they know well

Constantly streaming markets for new ideas

Technology plays a part, everyone has “Bloomberg Anywhere”

Pinpointing security selection through proprietary “Observatory” database

Access to deep bench of analysts and strategists on the “sell-side” for each sector

Subscribe to various third parties for additional research

No reliance on internal junior analysts therefore also not trapped within a house view


TwentyFour portfolio management team

31

Unconstrained Outcome DrivenAsset Backed Securities

Elena Rinaldi

Silvia Piva

Shilpa Pathak

Aza Teeuwen

Doug Charleston John Lawler

Rob Ford

Luca Beldi

Ben Hayward Chris Bowie

Gordon Shannon

Jack Daley

Mark Holman

Scott Crichton

Robert Arnold Felipe Villarroel

Eoin WalshGary Kirk

Pierre Beniguel

George Curtis


John Lawler, Portfolio Manager30 years’ ABS experience, and was

previously a Managing Director at three Global Investment Banks.

Asset backed securities team

32

Aza Teeuwen, Partner & Portfolio Manager

9 years RMBS experience across portfolio management and analytics for

mezzanine structured finance

Ben Hayward, Founding Partner18 years RMBS experience across

portfolio management, modelling and analytics

Rob Ford, Founding Partner30 years RMBS experience across trading, securitisation, portfolio

management

Doug Charleston, Portfolio Manager9 years experience structuring,

managing and rating mortgage-backed securitisations

Silvia Piva, Portfolio Manager9 years experience structuring and

managing asset-backed securitisations

Shilpa Pathak Develops system architecture, models

mortgage securities

Luca BeldiModels mortgage securities, builds

stress tests

Elena RinaldiModels mortgage securities, builds

stress tests


Ben Hayward – Partner, Portfolio Manager

Ben is one of the founding partners of TwentyFour and a Portfolio Manager.

He is a member of the firm’s Executive Committee which has the overall

responsibility for the day to day running of the business.

Ben’s main responsibility is managing the ABS business, having launched the

Monument Bond Fund, the TwentyFour Income Fund and more recently UK

Mortgages Ltd, as well as managing a number of institutional mandates. He

is a member of the Investment, Risk and Product Committees.

Ben has 18 years fixed income portfolio management experience, having

spent 9 years at Citigroup Alternative Investments where he was responsible

for managing four vehicles that invested $100bn across asset-backed

securities and credit.

33


Aza Teeuwen – Partner, Portfolio Manager

34

Aza is one of the partners of TwentyFour and a Portfolio Manager. His

main responsibility is managing the firm’s ABS funds, including the

Monument Bond Fund and the TwentyFour Income Fund, in addition to a

number of institutional mandates. He is also a member of the firm’s

Investment Committee.

Aza has 8 years of experience of fixed income portfolio management. He

joined TwentyFour in 2011, after having spent 4 years working for IMC

asset management in Amsterdam, where he focused on the European

RMBS, CLO and ABS CDO sectors. He holds a master’s degree in Financial

Engineering & Management from the University of Twente (the

Netherlands).


ABS glossary

35

1 Securities Industry and Financial Market Association as of end 2015, TwentyFour Asset Management. Note definition of each market segment is not precise and differs between market data providers.Source: TwentyFour31st August 2016

Type Description Volume1

Residential mortgage backed securities (RMBS)

RMBS are pools of mortgage loans created by banks and other financial institutions. They represent the largest component of the European ABS market and are the most liquid. € 910 bn

Consumer receivables Consumer receivables include a large variety of unsecured consumer debt types that have been securitised including auto loans, credit card receivables and unsecured personal loans.

€ 230 bn

Commercial mortgage backed securities (CMBS)

CMBS are mortgage-backed securities backed by commercial mortgages rather than residential mortgages. CMBS use structures similar to other forms of ABS.

€ 95 bn

Collateralised loan obligations (CLOs)

CLOs are pools of corporate loans, refinanced in a securitised structure. These can either be static pools from a bank balance sheet or a managed product run by a specialist loan manager.

€ 60 bn

Total € 1.4 tn


TwentyFour industry recognition

36


Contact details

TwentyFour Asset Management LLP

8th Floor

The Monument Building

11 Monument Street

London

EC3R 8AF

T: +44 (0)20 7015 8900

twentyfouram.com

[email protected]

[email protected]

[email protected]

[email protected]

[email protected]

37


TwentyFour Asset Management LLP8th FloorThe Monument Building11 Monument StreetLondonEC3R 8AFT: +44 (0)20 7015 8900twentyfouram.com

38


Disclaimer

This document has been prepared by TwentyFour Asset Management LLP ("TwentyFour"), portfolio manager of the Funds, for information purposes only. This document is an indicative summary of the terms and conditions of the

securities described herein and may be amended, superseded or replaced by subsequent summaries. The final terms and conditions of the securities will be set out in full in the applicable offering document(s).

This document shall not constitute an offer to sell or the solicitation of an offer to buy any securities described herein. TwentyFour is not acting as advisor or fiduciary. Accordingly you must independently determine, with your

own advisors, the appropriateness for you of the securities before investing. TwentyFour accepts no liability whatsoever for any consequential losses arising from the use of this document or reliance on the information contained

herein.

No offers, sales, resales or delivery of the securities described herein or distribution of any offering material relating to such securities may be made in or from any jurisdiction except in circumstances which will result in compliance

with any applicable laws and regulations and which will not impose any obligation on TwentyFour or any of its affiliates.

TwentyFour does not guarantee the accuracy or completeness of information which is contained in this document and which is stated to have been obtained from or is based upon trade and statistical services or other third party

sources. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance and there can be no assurance that targeted or projected returns will be achieved, that TwentyFour will

achieve comparable results or it will be able to implement its investment strategy or achieve its investment objectives. No representation is made as to the reasonableness of the assumptions made within or the accuracy or

completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The value of any investment may fluctuate as a result of market changes. The information in this

document is not intended to predict actual results and no assurances are given with respect thereto.

TwentyFour, its affiliates and the individuals associated therewith may (in various capacities) have positions or deal in securities (or related derivatives) identical or similar to those described herein.

This document is being made available in the UK to persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2005. Outside of the UK, it is directed at persons who have

professional experience in matters relating to investments. Any investments to which this document relates will be entered into only with such persons. This document is not for distribution to retail customers.

No action has been made or will be taken that would permit a public offering of the securities described herein in any jurisdiction in which action for that purpose is required.

This document does not disclose all the risks and other significant issues related to an investment in the securities. Prior to transacting, potential investors should ensure that they fully understand the terms of the securities and

any applicable risks. This document is not a prospectus for any securities described herein. Investors should only subscribe for any securities described herein on the basis of information in the relevant prospectus (which has been

or will be published and may be obtained from TwentyFour by visiting it’s website www.Twentyfouram.Com), and not on the basis of any information provided herein.

TwentyFour Asset Management LLP is registered in England No. OC335015, and is authorised and regulated in the UK by the Financial Conduct Authority, FRN No. 481888. Registered Office: 8th Floor, The Monument Building, 11 Monument Street, London, EC3R 8AF.

Copyright TwentyFour Asset Management LLP, 2017 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of TwentyFour.

39

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