TwentyFour ABS Strategies · This presentation is for professional investors only / not for public...

A BOUTIQUE OF VONTOBEL

ASSET MANAGEMENT

This presentation is for professional investors only / not for public viewing or distribution

TwentyFour ABS Strategies

June 2020

2


Ben HaywardPartner, Portfolio

Management

Aza Teeuwen Partner, Portfolio

Management

Right hand side Engagement Panel:

can be submitted at any point throughout todays update Questions >

your feedback is important to us Feedback form >

view and download our latest factsheets and whitepapers Document Downloader >

3


European ABS overview

• Market is in recovery phase after COVID-19 disruption

since March

• Spreads continue to regain some of the performance lost during the “dash

for cash” sell-off

• Liquidity in secondary market is more balanced, and currently biased

towards adding risk

• Primary markets are slowly reopening, but so far have been limited to autos,

RMBS and CLOs, with some deals placed on a private/club basis

• We expect a material increase in new issues either side of the summer

break, but that the long term technical is for lower levels of issuance

• Fundamental performance of loan pools is expected to remain positive but

will require detailed analysis and dynamic scenario testing to assist modelling

Past performance is not a reliable indicator of future performance. These views represent the opinions of TwentyFour as at 26 June 2020, they may change and may have already been acted upon,

and do not constitute investment advice or a personal recommendation. Observations are based on TwentyFour’s trading experience and market observations which may not be reflective of those

experienced by others.

4


Spreads movements and funds’ performances since Covid-19 sell-off

50

55

60

65

70

75

80

85

90

95

100

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

02.20 03.20 04.20 05.20 06.20

UK Prime RMBS AAA(lhs)BBB CLO (lhs)

B CLO (lhs)

TFIF net performance(rhs)Monument netperformance (rhs)

Past performance is not a reliable indicator of future performance. The performance figures shown are in GBP on a mid-to-mid basis inclusive of net reinvested income and net of all fund expenses. Performance

data does not take into account any commissions and costs charged when shares of the TwentyFour Income Fund are bought or disposed or when shares of the Monument Bond Fund are issued and redeemed. The

value of an investment and 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. TFIF and Monument performance figures

have been rebased to 100 as of 14 February 2020. Source: TwentyFour AM, Citi Velocity, Morgan Stanley, 26 June 2020.

TwentyFour ABS performance

ABS and CLOs BWICs Volume ($mm) since Covid-19 sell off

0

1,000

2,000

3,000

4,000

5,000

02.20 03.20 04.20 05.20 06.20

Autos

CMBS

European RMBS

CLOs

UK RMBS

Others

Average since Jan 2017

5


Changes in spreads since February 2020

CLO spread includes the value of the floor; 3m Euribor – 40bps.

Source: TwentyFour, Barclays, Citi Velocity, Morgan Stanley, Bloomberg, ICE BofA Indices for EUR IG, GBP IG Corps, EUR High Yield and AT1 Index

26 June, 2020

26-JunWorst Spread since

COVID-19 sell-offChange from Worst 21-Feb-20

Change from pre

COVID-19 sell-off

EUR AAA CLO 170 350 -180 115 +55

EUR AA CLO 230 450 -220 160 +70

EUR A CLO 313 613 -300 205 +108

EUR BBB CLO 475 875 -400 295 +180

EUR BB CLO 760 1525 -765 535 +225

EUR B CLO 1150 2125 -975 795 +355

UK Prime AAA (£3mL) 50 200 -150 38 +12

UK NC AAA (£3mL) 120 300 -180 69 +51

UK 2nd Pay (£3mL) 200 500 -300 110 +90

UK NC Deep Mezz (£3mL) 385 800 -415 245 +140

Dutch Prime AAAs 26 75 -49 10 +16

EUR IG Corps 117 199 -82 63 +54

GBP IG Corps 181 279 -98 129 +52

EU Leveraged Loans 612 1212 -600 409 +203

EUR High Yield 465 708 -243 270 +195

6


COVID implications for loan pool performance

• Payment holidays

> Data transparency – monthly reports quick to add payment holiday data

> Request/Approvals numbers

> High LTV loans – no link of LTV level to PH requests

> UK vs € – differentiated approach to support the consumer

> Extension of PHs from initial 3 month period – how are lenders adapting?

> Will PHs ultimately convert to arrears?

> How do borrowers arrange to pay the deferred amounts?

• Furlough & unemployment – how does the transition out of support schemes evolve?

• Commercial property exposure – impact on retail & hotels expected to be

significantly greater than on offices & logistics

• CLO – most affected sectors – travel and hospitality, transport, retail, leisure etc.

• 24AM ABS team – adding COVID relevant stress tests, ongoing due diligence with

originators, servicers and managers

• Rating agency adjustments to scoring has helped lead to higher support in new issue

transactions, but there remains ongoing downgrade risk in pre-COVID deals

Source: TwentyFour

7


How will CLOs behave in a COVID recession?

• Q2 Earnings reports could trigger another wave of downgrades of leverage loans

• Lower peak of defaults due to Government interventions and higher levels of corporate liquidity than during GFC

• But we expect similar cumulative levels of defaults over a longer period of time

• Deal specific stress added on top of base lines depends on its exposure to distressed names in the sectors mostly affected by the

COVID-19 lock down (Travel, Hospitality & Leisure, Retail, Oil & Gas, etc.)

• A second lockdown will provide a lot of uncertainty but we think it will likely be less disruptive for businesses

% CCC represents the median % of Caa1/CCC+ or Less in 1.0 and 2.0 CLOs (All CLOs issued from 2007).

LHS source: 24 Asset Management, LCD, Barclays, 19 June 2020. RHS source: 24 Asset Management, Morgan Stanley before February 2019, Intex thereafter, 19 June 2020.

European leverage loan default rate CCC scenarios

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

02.09 02.11 02.13 02.15 02.17 02.19 02.21 02.23 02.25

Typical exposure limit to CCC and below rated loans in CLOs (7.5%)Median % Caa1/CCC24AM Forecast2nd Lockdown scenario

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

06.07 06.09 06.11 06.13 06.15 06.17 06.19 06.21 06.23

Leverage loan defaults

24AM Forecast

2nd Lockdown scenario

8


RMBS COVID modelling

• Updated stress modelling based on COVID impact on consumer ability to pay and the introduction of payment holidays

> Expect UK unemployment to peak c9% with ongoing furlough for additional c.5%*

> House price impact of -20%

> Arrears will be lower than GFC due to better underwriting standards, but payment holidays higher than arrears

> 2/3 of borrowers on payment holidays will not pay immediately and will fall into arrears

> Restrictions on foreclosures until y/e 2020 = lower defaults but higher arrears, lower asset yield and longer recovery lag

> Defaults peak at a lower level than GFC but continue for longer, prepayments adjusted materially lower

* NB – this is stress model assumption NOT core 24AM outlook

Source: TwentyFourAM, Intex, 26 June 2020

UK Non Conforming, Non Prime BTL and Prime BTL RMBS –

arrears rates (adjusted for partial payments)

UK Non Conforming, Non Prime BTL and Prime BTL

RMBS default rate

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

04.20 10.20 04.21 10.21 04.22 10.22 04.23 10.23

Prime BTL Non Prime BTL Non Conforming

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

04.20 10.20 04.21 10.21 04.22 10.22 04.23 10.23

Non Conforming/ Non Prime BTL Prime BTL

9


Engagement and ESG

• Use of proprietary Observatory database to record all

engagement with lenders and servicers on current expectations

and policies

• Informs ESG component of investment thesis

>Social – treating customers fairly

>Governance – ability to react to evolving challenges of COVID

Source: TwentyFour

10


Monument Bond Fund overview

Subject to change, without notice, only the current prospectus or comparable document of the fund is legally binding. There is no guarantee that the objectives will be met.

Aims to provide an attractive level of income relative to prevailing interest rates with a strong focus on capital preservation

High quality Investment Grade European ABS strategy which aims to remove interest rate risk

Seeks to effectively track base rate (floating rate notes linked to LIBOR)

A portion of the portfolio may be held in cash or equivalents to help further enhance liquidity. All currency risks fully hedged

Focused on the selection of underlying securities with confidence as to the issuer’s ability to repay the principal due

Only invests in floating rate securities – seeking to remove the volatility associated with core government bonds and replace interest rate duration risk/return with credit duration risk/return

Strong alternative to investment grade corporate bond funds – comparable return, but with the expectation of better credit rating and minimal interest rate risk

Goal

Concept

How

Consequence

11


Monument Bond Fund highlights

Past performance is not a reliable indicator of future performance. (1) Annualised standard deviation of monthly returns over previous 1 year period. Mark to Market Yield is calculated to the bond’s expected maturity. It is

the discount rate that makes the current bond price equal to the present value of all cash flows due. Yield shown is at hedged portfolio level and gross of fund expenses. Performance data does not take into account any

commission or costs charged when shares of the fund are issued and redeemed. The value of an investment and 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. See Important Information slides for average credit rating methodology. Source: TwentyFour; 29 May 2020

Monument Bond Fund

Fund Size £1,355.3 mn

Launch Date 10th August 2009

Mark to Market Yield 2.91%

Interest Rate Duration 0.10yrs

Credit Spread Duration 2.30yrs

3 Year Volatility1 3.98%

Average Rating AA-

Line Items 266

12


Monument Bond Fund portfolio positioning

Sector breakdown*

63.4%

13.9%

7.1% 5.6%1.9% 0.7% 0.7%

6.7%

2.1

5.6

1.8

3.1

0.70.4

0.7

RM

BS

CL

O

Au

tolo

an

s

CM

BS

Co

nsu

me

rA

BS

Cre

dit

Ca

rds

Lea

ses

Ca

sh

Rating breakdown

43.8%

20.2%

20.4%

15.6%

AAA/Cash & Equiv

AA

A

BBB

Geographic breakdown

63.1%13.9%

8.5%

6.7%3.2%

1.6%

1.4% 1.1% 0.4%0.1%

UK Mixed Netherlands Cash

Germany Italy Spain France

Finland Ireland

Past performance is not a reliable indicator of future performance. Yield shown is at hedged portfolio level and gross of expenses. Performance data does not take into account any commissions and costs

charged when shares of the fund are issued and redeemed. The value of an investment and 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. *Full descriptions of these can be found in the glossary in the appendix. See Important Information slides for credit rating methodology.

Source: TwentyFour; 29 May 2020

Volatility: 3.98%, Mark to Market Yield: 2.91%

Sector Breakdown

Weighted Average Life, yrs

Weighted Average Spread

191257 219434467 125 124

13


Monument Bond Fund performance

Past performance is not a reliable indicator of future performance. The performance figures shown are in GBP on a mid-to-mid basis inclusive of net reinvested income and net of all fund expenses. Performance data does

not take into account any commissions and costs charged when shares of the fund are issued and redeemed.The value of an investment and 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. *Inception date: 10 August 2009.

Source: TwentyFour; 29 May 2020

Cumulative performance 1 month 3 months 6 months 1 Year 3 Years 5 Years

I Gross Acc Shares 2.37% -3.56% -2.70% -1.76% 2.35% 7.89%

Discrete performance YTD 2019 2018 2017 2016 2015Since

Inception*

I Gross Acc Shares -3.02% 3.07% 0.00% 5.30% 4.46% -1.89% 40.91%

Rolling performance 05.19-05.20 05.18-05.19 05.17-05.18 05.16-05.17 05.15-05.16

I Gross Acc Shares -1.76% 0.74% 3.42% 6.85% -1.35%

14


Monument Bond Fund

The listed potential risks concern the current investment strategy of the fund and not necessarily the current portfolio. Please refer to the offering documents for the full list of risks.

Key risks

• All financial investment involves risk. The value of your investment isn't guaranteed, and its value and income will rise

and fall. Investors may not get back the full amount invested. The issuer of ABS products may not receive the full

amounts owed to them by underlying borrowers, which would affect the value of the fund. Credit and prepayment risks

also vary by tranche which may affect the fund's performance.

• Past performance is not a reliable indicator of future performance, and the fund may not achieve its investment

objective.

• The fund has the ability to use derivatives, including but not limited to FX forwards, for hedging and EPM purposes

only. This may magnify gains or losses.

15


TwentyFour Income Fund overview

Aims to provide attractive risk-adjusted returns, principally through income distributions with a minimum dividend of 6pps per annum after fees

A closed-ended fund that invests in less liquid, higher yielding UK and European asset backed securities. Returns are expected to increase in a rising interest rate environment as the portfolio is predominantly floating rate

Seeks to effectively track base rate (Floating rate notes linked to LIBOR), reducing interest rate risk

Flexible mandate to seek value across the ABS market

Uninvested cash, surplus capital and/or assets may be invested on a temporary basis in cash and/or a range of assets including money market instruments and government bonds

Investor-friendly structure to help drive performance

Efficient portfolio management techniques will be employed such as currency hedging, interest rate hedging and use of derivatives such as credit default swaps with the intention of mitigating market volatility

Aims to generate an attractive level of income through a flexible mandate by seeking value across the ABS market

*This is a target only and does not represent a forecast of TFIF’s profits. Past performance is not an indication of future performance. Subject to change, without notice, only the current prospectus or

comparable document of the fund is legally binding. There is no guarantee that the objectives will be met.

Goal*

Concept

How

Consequence

16


TwentyFour Income Fund highlights

TwentyFour Income Fund

Fund Size £457.7 million

Launch Date 6 March 2013

Gross Purchase Yield* 7.17%

Gross Mark-to-Market (MTM) Yield 12.86%

Interest Rate Duration 0.09yrs

Credit Spread Duration 2.81yrs

3 Year Volatility1 10.59%

Average Rating BB-

Performance Since Launch 51.61%

2019 Performance 5.04%

2020 YTD Performance -7.87%

Past performance is not a reliable indicator of future performance. *The Gross Purchase Yield is shown at hedged portfolio level by calculating the return each bond earns on the price at which it was purchased, if held to

maturity and gross of fund expenses. (1) Annualised standard deviation of monthly returns over previous 3 year period. Performance is presented in GBP on a NAV mid-to-mid basis inclusive of net reinvested income and net of

all fund expenses. Performance data does not take into account any commissions and costs charged when shares are purchased and/or disposed. The value of an investment and 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. See Important Information slides for average credit rating methodology. Source: TwentyFour; 29 May, 2020

17


TwentyFour Income Fund portfolio positioning

Sector breakdown Rating breakdown

-5.4%

24.5%

1.6%

24.2%

23.2%

13.2%

8.5%

4.6%

5.7%

Repo funding

NR

CCC

B

BB

BBB

A

AA

AAA/Cash & Equiv

Geographic breakdown

45.7%

31.3%

15.5%

4.9%3.6%

2.7%1.4% 0.3%

-5.4%

UK

Mix

ed

Ne

the

rla

nd

s

Ita

ly

Ad

juste

d C

ash

Ge

rma

ny

Fra

nce

Sp

ain

Re

po

fu

nd

ing

See Important Information slides for average credit rating methodology. Repo funding max. 25% of net assets.

Source: TwentyFour

29 May 2020

Sector Breakdown

Weighted Average Life, yrs

Weighted Average Spread

9831020 8129861347 1255 89

53.7%

31.3%

6.7%4.9% 4.6%

0.8%

-5.4%

3.6%

2.9

4.4

2.3

3.1

1.2

4.9

RM

BS

CL

O

Au

toLoans

CM

BS

Co

nsu

me

rA

BS

Stu

de

nt

Loans

Re

po

fund

ing

Cash

18


TwentyFour Income Fund – positioned for increased risk

Rating breakdown

1.5

%

1.9

%

8.7

%

17.9

%

18.3

%

28.7

%

2.0

%

19.6

%

1.5

%

2.1

% 4.6

%

8.5

% 13.2

%

23.2

%

24.2

%

1.6

%

24.5

%

3.6

%

-5.4

%

AA

A

AA A

BB

B

BB B

CC

C

NR

Ca

sh

Re

po

fu

nd

ing

End 2018 May 2020

Sector breakdown

-5.4%

3.6%

0.8%

4.6%

4.9%

6.7%

31.3%

53.7%

1.5%

0.7%

9.8%

1.9%

1.6%

36.7%

47.8%

Repo funding

Cash

Student Loan

Consumer

CMBS

Auto

CLO

RMBS

End 2018 May 2020

WAL breakdown

8.2

%

28.1

%

22.7

%

33.1

%

2.4

%

4.1

%

1.5

%

17.4

%

23.7

% 27.1

%

24.4

%

9.2

%

3.6

%

-5.4

%

0-1

y

1y-3

y

3y-5

y

5y-7

y

7y-1

0y

10y-1

5y

Ca

sh

Re

po

fu

nd

ing

End 2018 May-20

End 2018 – 31 December 2018, May 2020 – 31 May 2020. See Important Information slides for credit rating methodology. Repo funding – max. 25% of net assets.

Source: TwentyFour, Bloomberg

19


TwentyFour Income Fund performance

Past performance is not a reliable indicator of future performance. Performance is presented in GBP on a mid-to-mid basis and net of all fund expenses. Performance data does not take into account any

commissions and costs charged when shares are purchased and/or disposed. The value of an investment and 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. *Inception date: 6 March, 2013.

Source: TwentyFour; 29 May, 2020

Cumulative performance 1 month 3 months 6 months YTD 1 Year 3 Years 5 YearsSince

Inception*

NAV per share incl. dividends 7.52% -10.83% -8.89% -10.01% -7.87% 2.44% 11.16% 51.61%

Rolling Performance 05.19-05.20 05.18-05.19 05.17-05.18 05.16-05.17 05.15-05.16

NAV per share incl. dividends -7.87% 2.13% 8.88% 12.83% -3.83%

20


TwentyFour Income Fund

The listed risks concern the current investment strategy of the fund and not necessarily the current portfolio. Please refer to the offering documents for full list of risks.

Key Risks

• All financial investment involves risk. The value of your investment isn't guaranteed, and its value and income will rise and fall.

Investors may not get back the full amount invested.

• The issuer of ABS products may not receive the full amounts owed to them by underlying borrowers, which would affect the value of

the fund. Credit and prepayment risks also vary by tranche which may affect the fund's performance

• Past performance is not a reliable indicator of future performance, and the fund may not achieve its investment objective

• The fund has the ability to use derivatives, including but not limited to FX forwards, for hedging and EPM purposes only. This may

magnify gains or losses

• Typically, sub-investment grade securities will have a higher risk of issuer default, and are generally considered to be more illiquid than

investment grade securities

21


Outlook

• The arguments in favour of European ABS continue to be relevant

> Income will be an increasingly scarce commodity as yields will be lower for longer

> We believe the best income solution will be credit spreads

> Spreads and credit performance in European ABS continue to be best in class versus similarly rated opportunities

• Issuance volumes are expected to be market friendly – short term increase to clear COVID

backlog, but medium and long term reduced

> Banks have access to cheap funding via central banks, less likely to issue expensive ABS

> Lower expected volumes of new CLOs as banks become less willing to rent their balance sheet during

pre-launch phase

• Whilst fundamental performance should remain at a level to comfortably support coupon and

principal payments, tiering of performance will become more apparent within ABS sectors

• As a result due diligence and ongoing engagement, modelling and stressing will

remain a key focus for market participants

• Whilst the focus remains on COVID’s impact on the economy and markets,

the issues that drove markets in 2019 remain in the background – Brexit

negotiations, US/China relations and US domestic politics

18

These views represent the opinions of TwentyFour as at 26 June 2020, they may change and may have already been acted upon, and do not constitute investment advice or a personal recommendation.

22


Questions?

23


Appendix

24


European ABS and CLO primary issuance

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

RM

BS

CLO

Auto

CM

BS

Consu

me

r

Cre

dit C

ard

s

Oth

ers

2018 2019 2020

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

UK

Mix

ed

(CLO

s)

Germ

any

Neth

erla

nds

Italy

Fra

nce

Ire

land

Spa

in

Oth

er

2018 2019 2020

• 2020 YTD issuance of €25.8bn, net redemption of €2.4bn

• Current size of the European ABS market is €467.8bn

• Central bank funding has stopped RMBS issuance by banks as a funding tool

• Current ABS spreads are too wide for material new issues to take place given the funding cost is greater than the asset yield

• Lack of supply helps create beneficial technical support not seen in corporate bonds

Source: JPM Morgan Stanley, TwentyFour

1 June 2020

Primary issuance per sector (€mn) Primary issuance per country (€mn)

25


Short term spread movements

CLO spread includes the value of the floor.

Source: Citi Velocity, TwentyFour

26 June 2020

Spreads pre & post corona virus impact

219

270

409

330

250

320

295

535

795

610

408

465

612

468

385

500

475

760

1150

957

0 200 400 600 800 1000 1200 1400

iTraxx Crossover

BAML Euro HY Index

European Leveraged Loans (ELLI)

AT1 Index

£ RMBS BB/B (over Sonia)

Euro CMBS BB/B

CLO BBB

CLO BB

CLO B

TFIF

Top bar chart 26-Jun-20

Bottom bar chart 21-Feb-20

26


Changes in spreads since February 2020

CLO spread includes the value of the floor.

Source: TwentyFour, Bloomberg, Citi Velocity, Morgan Stanley

26 June 2020

21 Feb 2020 – 26 June 2020 – Peak

0

500

1000

1500

2000

2500

EU

R A

AA

CLO

EU

R A

AC

LO

EU

R A

CLO

EU

R B

BB

CLO

EU

R B

BC

LO

EU

R B

CLO

UK

Pri

me

AA

A (

£3m

L)

UK

NC

AA

A (

£3m

L)

UK

NC

2nd

Pa

y (

£3m

L)

UK

NC

De

ep

Me

zz (

£3m

L)

Dutc

h P

rim

eA

AA

s

Xove

r

EU

Le

ve

rage

dL

oa

ns

EU

Hig

h Y

ield

AT

1(C

OC

O I

nde

x)

EU

R I

nve

stm

ent

Gra

de

Co

rps

GB

P I

nve

stm

ent

Gra

de

Co

rps

Spread (bps)

26-Jun-20

27


Fundamentals

&

Historical Performance

28


Unemployment & house price change

0

5

10

15

20

25

30

03.05 07.06 11.07 03.09 07.10 11.11 03.13 07.14 11.15 03.17 07.18 11.19

%

UK Netherlands Italy Spain Germany

-20

-15

-10

-5

0

5

10

15

20

03.05 03.07 03.09 03.11 03.13 03.15 03.17 03.19

%

Italy Spain UK Netherlands Germany

• Expecting material deterioration of fundamental data including unemployment, wages and subsequently house prices

• UK payment holidays are being disclosed in a transparent manner by originators and servicers

Source: Bloomberg,

Unemployment: Germany – April 2020; UK, Netherlands, Italy, Spain – March 2020; Portugal – December 2019

YoY house price change. Nationwide Index for the UK – May 2020; Netherlands – April 2020; Italy, Spain & Germany – December 2019

Unemployment YoY house price change

29


Unemployment is normally the main driver for foreclosures

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

01.94 01.96 01.98 01.00 01.02 01.04 01.06 01.08 01.10 01.12 01.14 01.16 01.18 01.20

Rolling Mortgage Loss Rate (lhs) UK Unemployment Rate (rhs)

• Mortgage loss rates have remained very low through recessions

• Lenders have full recourse in Europe

Source: Bloomberg, Bank of England, TwentyFour

31 December 2019 – mortgage loss rate, 31 January 2020 for UK unemployment

30


UK RMBS loan historical performance

Mortgages in 3 months arrears in

UK RMBS

UK RMBS default rate UK RMBS prepayment rate

3 months+ arrears, prepayment rate (CPR), default rate (CDR) are annualised and as % of outstanding portfolio balance for Fitch UK NC, BTL and Prime RMBS indices. Cumulative Realised Losses calculated as

% of original balance.

Source: Fitch, TwentyFour. 15 May 2020.

Historical performance

• UK Buy-To-Let and Prime RMBS have performed significantly better than UK Non-Conforming historically

• 90 days delinquencies reached almost 20% for UK NC and just over 4% for UK BTL during the GFC

• Default rate peaked at 5.5% for UK NC and 0.6% for UK BTL during the GFC

• Cumulative realised losses are 3.4% for UK NC, 0.7% for UK BTL and 0.1% for Prime RMBS issued in 2006

0%

5%

10%

15%

20%

25%

01.05 12.06 11.08 10.10 09.12 08.14 07.16 06.18

UK BTL UK Non-Conforming UK Prime

0%

1%

2%

3%

4%

5%

6%

01.05 12.06 11.08 10.10 09.12 08.14 07.16 06.18


0%

5%

10%

15%

20%

25%

30%

35%

40%

01.05 12.06 11.08 10.10 09.12 08.14 07.16 06.18


31


European auto & consumer ABS loan historical performance

Auto & consumer loans in

3 months arrears

Auto & consumer ABS default rate Cumulative losses after origination

for auto ABS

3 months+ arrears, default rate are annualised and as % of outstanding portfolio balance. Consumer ABS represents the Fitch EMEA unsecured consumer loans index and includes unsecured consumer loans,

credit cards, SMEs and auto loans. Auto ABS represents the Fitch EMEA All Auto loans & leases. Cumulative losses after origination from Moody’s consumer strength report.

Source: Fitch, Moody’s, TwentyFour. February 2020.

Historical performance• Performance of auto ABS has been stronger and more stable than consumer ABS historically

• Consumer ABS performance is impacted negatively by unsecured consumer loans, credit cards and SME loans

• Peripheral Auto have underperformed Core European Auto ABS.

• 90 days delinquencies reached 1.5% for auto and 3.6% for consumer during the GFC

• Default rate peaked at 1.7% for auto and 3.8% for consumer during the GFC

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

01.05 01.07 01.09 01.11 01.13 01.15 01.17 01.19

Auto ABS Consumer ABS

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

01.05 01.07 01.09 01.11 01.13 01.15 01.17 01.19

Auto ABS Consumer ABS

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1 6 11 16 21 26 31 36 41 46 51 56Months after origination

Germany Italy Netherlands Spain UK

32


0%

2%

4%

6%

8%

10%

12%

06.07 01.09 08.10 03.12 10.13 05.15 12.16 07.18 02.20

Leverage loan historical performance

Leveraged loans default rate by principal amountCLOs exposure to CCC and below rated loans

TwentyFour COVID-19 base case CLO modelHistorical performance

• CCC-and-lower bucket in European CLO has peaked at 16% on average, with a median at

12%, but many deals reported median CCCs at 15-20%

• Default rates peaked at just over 10% in 2009

• Loss severity on European senior secured loans have historically been in the range of 25-

30%

• Only 15 rated tranches (out of 9 pre-crisis deals) reported a loss

• There was substantial difference in performance between managers and vintages

• Average prepayments over the last 10 years was 20%

• CLO managers were able to reinvest cash into loans with low cash prices which helped build

protection for debt investors

• CLOs with greater diversification, less exposure to second lien loans and middle market loans

performed significantly better

Based on the below assumptions, we don’t expect credit losses for our holdings but single B

tranches are at risk of short term interest deferrals.

• Rapid increase in CCC exposures to 15% for at least 1 year and higher for longer

• Defaults to lag downgrades and peak at 6% for 1 year on top of high expected defaults in the

leisure, hospitality, aviation, retail and oil & gas sectors and in general loans trading at

distressed levels

• Loss severity of 40% due to the lack of covenants

• Most corporate defaults will likely result in debt restructurings or debt for equity swaps

• Low prepayments as refinancing is expensive and because the maturity wall has been

pushed out to 2024 and later due to many refinancing's in 2019 and early 2020

• CLO managers will likely be able to reinvest in collateral at discounts to par and higher

coupons, as witnessed during the GFC recession

MS up to February 2019, Intex thereafter. % CCC represents the median % of Caa1/CCC+ or Less in 1.0 and 2.0 CLOs (All CLOs issued from 2007) . Default rate for the S&P ELLI index (European leveraged

loans index). Modelling is a form of forecasting future results based on the scenarios tested. Past and forecasted performance are not reliable indicators of future performance.

Source: Intex, LCD, MS. 29 May 2020

0%

5%

10%

15%

20%

02.09 01.10 12.10 11.11 10.12 09.13 08.14 07.15 06.16 05.17 04.18 03.19 02.20

% CCC Typical exposure limit to CCC and below rated loans in CLOs (7.5%)

33


CLO exposure to distressed loans and leveraged loan prices

Assets with Price < 80 correspond to the median % of obligations with market price < 80 in 1.0 and 2.0 CLOs (All CLOs issued from 2007).

Source: Intex, Bloomberg

29 May 2020

(lhs)

0

10

20

30

40

50

60

70

80

90

100

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

01.14 05.14 09.14 01.15 05.15 09.15 01.16 05.16 09.16 01.17 05.17 09.17 01.18 05.18 09.18 01.19 05.19 09.19 01.20 05.20

Assets with Price < 80 Leveraged Loan Price (rhs) (ELLI Index)

34


Trade examples – Monument Bond Fund

Past and forecasted performance are not reliable indicators of future performance. The bonds identified above are used for illustrative purposes only and should not be seen as investment advice or a personal

recommendation to hold the same or similar. No assumption should be made as to the profitability or performance of any security identified. The position detailed above are as at the date below and may or may not represent a

position held at any other point. Stress tests are a forecast of results based on the scenarios tested. *Yield is Mark to Market Yield calculated to the bond’s expected maturity. It is the discount rate that makes the current bond

price equal to the present value of all cash flows due. Yields shown are gross of expenses. See Important Information slides for credit rating methodology. Source: TwentyFour; 4 June 2020

AVOCA 14 (European CLO) TPMF 2019-GR4X D (UK Prime RMBS)

Originator KKR Credit Landmark Mortgages (Northern Rock)

• 2015 European CLO that was refinanced in October 2017

• Managed by KKR Credit, (part of KKR) $59bn AUM, including 19

CLOs in Europe

• 15 year Manager and CLO track record

• Strong defensive structure with 15.5% loss cushion for Class D and

2% excess cash. The class D can withstand an annual default rate

> 10% at 50% loss severity

• Diversified pool of senior secured obligation: 23.3% US, 21.0%

France, 17.3% Germany and 9.3% the Netherlands

• Manager retains 5% of the equity tranche in the CLO

• Securitisation of £3.9bn UK residential mortgages, launched in

March 2019

• Cerberus is the sponsor and has owned the pool since 2016, after

its acquisition from UK Asset Resolution, and retains the equity in

the transaction

• Long track record (since late 1990s) and strong demonstrated

performance history (cumulative net losses of 0.95% between 2006

and 2015)

• A low weighted average LTV of 71% and indexed LTV of 50%

• 6.6% loss cushion provided by junior bonds and cash reserve

(~1.5% per annum)

• Forecast to withstand more than 15x the worst annual default rate

seen during the GFC at 40% loss severity

Rating/WA Life BBB/Baa2 / 5.10yrs • A/A- / 3.90 yrs

Price/Yield* 93.26 / Euribor + 4.37% • 97.60 / Libor + 3.40%

35


Trade examples – TwentyFour Income Fund

Past and forecasted performance are not reliable indicators of future performance. The bonds identified above are used for illustrative purposes only and should not be seen as investment advice or a personal

recommendation to hold the same or similar. No assumption should be made as to the profitability or performance of any security identified. The positions detailed above are as at the date below and may or may not represent a

position held at any other point. Stress tests are a forecast of results based on the scenarios tested. *Yield is Mark to Market Yield calculated to the bond’s expected maturity and is shown gross of expenses. See Important

Information slides for credit rating methodology. Source: TwentyFour; 22 June, 2020

CORDA 4X FRR (CLO) SYON 2019-1 Z (UK Prime RMBS)

Originator CVC Credit Lloyds/BoS

• Refinancing of a 2014 CLO, managed by CVC Credit Partners, an

experienced CLO manager globally ($22bn AUM, 59 investment

professionals)

• Strong historical track record through multiple cycles (14 CLOs), with

an average loan loss rate of 0.24% p.a. since 2006

• 2.1 year reinvestment period and 1 year non call period

• Largest geographical exposures to France, Germany & the

Netherlands

• ~8% subordination and ~1.75% excess spread

• Shock test shows capable of withstanding over 1.5x stress seen

during the financial crisis

• Synthetic Prime RMBS transaction of owner occupied mortgages,

originated by Bank of Scotland (Lloyds) under the Halifax brand

• 94% WA LTV (Max 95%), repayment mortgages, mostly first

time buyers

• Publicly placed full capital risk transfer transaction

• First loss tranche, Sonia + 12% coupon, 0% of subordination,

pro rata amortisation

• 5% IRR in a recessionary scenario as observed during the

global financial crisis

Rating/WA Life B-/B2 / 4.26 years NR / 4.97 years

Price/Yield* 94.98 / Euribor +9.90% 89.20 / Sonia +12.46%

36


TwentyFour Asset Management

• Fixed income specialist in Europe

> All resources dedicated to one asset class, investment team are all fixed income specialists

> 32 consecutive quarters of net inflows, with AUM of £17.2bn

> Majority-owned by the Swiss-listed Vontobel Group, which supports and invests in our future

• Performance is our primary goal

> Committed to an active, high conviction approach to fund management

> Long term continuity of investment team and process is paramount

> Products created only when we believe we can add value (and we invest in them ourselves)

• We build partnerships with our clients

> We have a deep commitment to client service and transparency

> We share our specialist fixed income insight through constant client engagement

> Flat management structure and dynamic culture makes the most of our size and entrepreneurial spirit

Source: TwentyFour

29 May 2020

Partnership Process Performance

37


Why TwentyFour for asset backed securities?

Experience Senior partners have been involved in the European ABS market since its inception.

ExpertiseTeam backgrounds deliberately cover a wide variety of skills including portfolio management, trading, ratings,

structuring and modelling.

IndependenceDeveloped internal models and stress tests for assessing risk – no reliance on external ‘black box’ systems,

ratings or research.

Rigour Significant resource given to regular due diligence meetings with issuers, servicers and CLO managers.

Engagement Leading role advising on and steering regulatory developments within the asset class.

InfluenceOne of few European ABS investors active across the capital structure, giving potential for greater access and material

benefits on pricing and structuring of transactions.

38


RMBS: A sample structure

For illustrative purposes to demonstrate the typical structure and not based on a particular security.

Source: TwentyFour

£1bnproperty pool

£720m mortgage pool

£720m Total notes issued

House owner’s equity: absorbs first loss

Further losses

Mortgages 72%Loan-to-Value (LTV)

Interest &Principal

AAA Notes

AA Notes

A Notes

BBB Notes

BB Notes

Reserve fund

Excess interest

£

£

39


European vs. US asset backed securities

*Fitch Global Structured Finance Losses, original rating AAAsf 2000-2018

July 2019

Europe and US are different

Majority of ABS originated by banks P O

Typically recourse lending P O

Banks generally service securitised assets P O

Banks typically retain first loss P O

Generally higher lending criteria P O

Historical use of affordability tests P O

Personal stigma of insolvency P O

Projected AAA total loss rate* 0.0% 2.7%

40


European ABS market overview

Source: JP Morgan International ABS & CB Research

31 December 2019

Public Outstanding by Asset Category and Jurisdiction, €mm

Collateral / Country CLO Auto Cards CDO CMBS Consumer Leases Other RMBS Total

Belgium - - 214 - 58 - - - 248 521

Europe - - - - 1,403 - - 177 - 1,580

France - 3,064 920 - 212 859 - - 5,021 10,075

Germany - 20,246 - - 2,175 380 1,435 3,144 334 27,714

Greece - 72 - - - - - - 385 458

Ireland - 151 - - 270 - - 1,544 5,751 7,715

Italy - 4,630 - 1,258 1,462 4,638 735 9,332 4,166 26,223

Netherlands - 260 - - 684 1,034 - - 37,203 39,180

Portugal - 145 - 3 - - - 1,641 3025 4,814

Spain - 2,585 351 1,241 - 1,852 55 199 29,514 35,798

Switzerland - 2,548 916 0 23 - - - 161 3,647

UK - 12,235 6,022 617 24,891 4,640 215 26,513 90,075 165,208

Other Europe - 2,256 - - 759 187 81 1,529 407 5,219

Mixed 129,430 - - - - - - - - 129,430

Total 129,430 48,193 8,423 3,120 31,936 13,590 2,521 44,079 176,290 457,582

41


ESG investment process and beliefs

• We believe ESG factors can have a material impact on the future performance of credit assets

• We know that regulatory initiatives are pushing asset owners into more sustainable strategies

• We expect that significant capital will flow into companies that are seen as running sustainable businesses

• We estimate that there will be periods of outperformance and underperformance of sustainable strategies

versus other strategies

• We recognise that not every client will want their capital to be managed on a sustainable basis, but ESG

integration can still benefit risk-adjusted returns

Source: TwentyFour

42


ESG in ABS

• Unique nature of ABS – exposure to pools of financial assets – means that many key ESG risks are not

materially present e.g. corruption, employment considerations, exposure to fossil fuels/gambling/munitions

• We consider ABS risk in two ways> External risk – essentially reputational risk that an associated party has an ESG event unrelated to the ABS deal. Typically introduces temporary price

volatility but no credit impact

e.g. Co-op bank capital shortfall, VW emissions scandal

> Deal specific – direct exposure to risks that might create price volatility or credit risk

e.g. Social aspects of not treating consumers properly – unfair lending standards, aggressive servicing of delinquent loans

• Both these types of risks are scored, and aggregated together based on the strength of the external

exposure (i.e. a strong branding link to the sponsor increases the weighting of the external risk)

• Effectiveness is heavily reliant on strong due diligence process and wide ranging team experience

• Scores recorded in Pathfinder database and incorporated as a factor in relative value decision

Source: TwentyFour

43


Asset Backed Securities Outcome DrivenMulti-Sector Bond

Ben Hayward

RobFord

Aza Teeuwen

Douglas Charleston

Gary Kirk

Eoin Walsh

Mark Holman

Felipe Villarroel

Chris Bowie

Gordon Shannon

Silvia Piva

John Lawler

Marko Feiertag

Elena Rinaldi

DavidNorris

Pierre Beniguel

Scott Crichton

Paul Kim

Graeme Anderson

Jack Daley

Shilpa Pathak

Jack Armitage

Pauline Quirin

George Curtis

Dillon Lancaster

Mirana Ramanana

Charlene Malik

Jonathan Owen

Sagar Sharma

TwentyFour Portfolio Management Team

44


ABS glossary

1Securities Industry and Financial Market Association as of Q4 2017, TwentyFour Asset Management. Note definition of each market segment is not precise and differs between market data providers.

Source: TwentyFour. Q3 2018.

Type DescriptionVolume1

Total Issued Out (bn)Total Distributed Out

(bn)

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 normally the most liquid.

€657.50 €190.50

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.

€253.30 €70.90

Commercial mortgage backed securities

(CMBS)

CMBS are mortgage-backed securities backed by commercial mortgages rather

than residential mortgages. CMBS typically use structures similar to other forms of

ABS.

€32.10 €31.40

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.

€110.50 €105.00

Total €1,053.40 €397.80

45


TwentyFour industry recognition

46


Important information

This document has been prepared and approved by TwentyFour Asset Management LLP, a company of the Vontobel Group (“Vontobel”; collectively “we, our”), for information purposes only. The monument Bond Fund is a sub-fund of MI

TwentyFour Investment Funds, a UCITS open-ended investment company incorporated with limited liability and registered in England and Wales under registered number IC000765 and with Product Reference Number 501573. Maitland

Institutional Services Ltd, the authorised corporate director (ACD) of MI TwentyFour Investment Funds, has appointed TwentyFour Asset Management LLP as the investment manager to the ACD in respect of MI TwentyFour Investment Funds.

TwentyFour Income Fund Limited is a non-cellular company limited by shares incorporated in Guernsey under the Companies (Guernsey) Law 2008, as amended, with registered number 56128, and is a London listed closed-ended investment

company. This product is an Alternative Investment Fund (AIF). TwentyFour Income Fund Limited has appointed TwentyFour Asset Management LLP as its portfolio manager.

This document, its contents and any information provided or discussed in connection with it are strictly private and confidential and may not be reproduced, redistributed, referenced, or passed on, directly or indirectly, to any other person or

published, in whole or in part, for any purpose, without the consent of TwentyFour (provided that you may disclose this document on a confidential basis to your legal, tax, or investment advisers (if any) for the purpose of obtaining advice).

Acceptance of delivery of any part of this document by you constitutes unconditional acceptance of the terms and conditions of this notice. This document is an indicative summary 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 or invitation or any solicitation of any offer to sell or to subscribe for or buy any securities described herein or to effect any transactions or to conclude any legal act of any kind whatsoever. This

document is not intended to be relied upon as the basis for an investment decision, and is not, and should not be assumed to be, complete. 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. You are not entitled to rely on this document and TwentyFour accepts no liability whatsoever for any consequential losses arising from the use of this document or

reliance on the information contained herein.

This document has not been submitted to or approved by the securities regulatory authority of any state or jurisdiction. It is not intended for this document to be distributed to or used by retail clients as defined in MiFID II (Directive 2014/65/EU)

and is directed only at recipients who are institutional clients such as eligible counterparties or professional clients as defined by MiFID II or similar regulations in other jurisdictions. 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. No offers, sales, resales or delivery of any securities managed by TwentyFour or any of its affiliates 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 the above. Neither this

document nor any copy of it may be distributed in any jurisdiction where its distribution may be restricted by law. Persons who receive this document should make themselves aware of and adhere to any such restrictions.

In addition, the information contained herein is directed exclusively at persons outside the United States who are not U.S. persons (as defined in Regulation S of the Securities Act (“Regulation S”)) or acting for the account or benefit of a U.S.

person in offshore transactions in reliance on Regulation S and in accordance with applicable laws. The securities discussed herein have not been and will not be registered or qualified under the United States Investment Company Act of 1940,

as amended, nor the United States Securities Act of 1933, (the “Act”), as amended, nor with any securities regulatory authority of any State or other jurisdiction of the United States. Consequently, they may not be offered, sold, transferred or

delivered, directly or indirectly in the United States or to any US Person unless the securities are registered under the Act, an exemption from the registration requirements of the Act and any applicable US state securities laws is available, or the

transaction would not be subject to the Act.

Nothing in this document should be construed as legal, tax, regulatory, accounting or investment advice or as a recommendation, or making any representations as to suitability of any investment and/or strategies discussed and any reference to

a specific security, asset classes and financial markets are for the purposes of illustration only and there is no assurance that the manager will make any investments with the same or similar characteristics as any investments presented. The

investments are presented for discussion purposes only and are not a reliable indicator of the performance or investment profile of any composite or client account. Further, the reader should not assume that any investments identified were or

will be profitable or that any investment recommendations or that investment decisions we make in the future will be profitable. Prospective investors are reminded that it is not possible to invest directly in an index. As the material was prepared

without regard to specific objectives, financial situation or needs of any potential investors, they should seek professional guidance before deciding on whether to make an investment. Investments into shares or other securities should in any

event be made solely on the basis of the relevant offering document and after seeking the advice of an independent finance, legal, accounting and tax specialist.

To the maximum extent permitted by law, we will not be liable in any way for any loss or damage suffered by you through use or access to this information, or our failure to provide this information. Our liability for negligence, breach of contract or

contravention of any law as a result of our failure to provide this information or any part of it, or for any problems with this information, which cannot be lawfully excluded, is limited, at our option and to the maximum extent permitted by law, to

resupplying this information or any part of it to you, or to paying for the resupply of this information or any part of it to you.

For the purposes of MiFID II, this communication is not in scope for any MiFID II / MiFIR (Regulation (EU) No 600/2014) requirements specifically related to investment research. Furthermore, as non-independent research, it has not been

prepared in accordance with legal requirements designed to promote the independence of investment research, nor are TwentyFour subject to any prohibition on dealing ahead of the dissemination of investment research.

47


Important information

All information contained in this document, particularly any share prices, calculation data and forecasts, are based on the best information available at the date indicated in the document. The information in this document is not intended to

predict actual results and no assurances are given with respect thereto. Neither TwentyFour, nor any other person undertakes to provide the recipient with access to any additional information or update this document or to correct any

inaccuracies therein which may become apparent. Although TwentyFour believe that the information provided in this document is based on reliable sources, it does not guarantee the accuracy or completeness of information contained in this

document which is stated to have been obtained from or is based upon trade and statistical services or other third party sources. 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.

Past and forecasted performance are not reliable indicators of future performance. Additionally, there can be no assurance that targeted or projected returns will be achieved, that TwentyFour or the securities discussed will achieve

comparable results or that TwentyFour will be able to implement the investment strategy or any securities will achieve the investment objectives. In particular, statements contained in this document that are not historical facts are based on

current expectations, estimates, projections, opinions and beliefs of TwentyFour. Such statements involve known and unknown risks, uncertainties and other factors, and reliance should not be placed thereon. In addition, this document contains

"forward-looking statements." Actual events or results or the actual performance of accounts may differ materially from those reflected or contemplated in such forward looking statements. Prospective investors are reminded that the actual

performance realised will depend on numerous factors and circumstances, some of which will be personal to the investor. All opinions and estimates are those of TwentyFour given as of the date thereof and are subject to change, may have

already been acted upon and may not be shared by Vontobel.

Unless otherwise stated, any performance data will be calculated in GBP terms, inclusive of net reinvested income and net of all portfolio expenses but does not take into account any commissions and costs charged when the investment is

issued or redeemed. Where ratings are available from the credit rating agencies specified in the portfolio’s rating methodology, including S&P Global Ratings Inc, Moody’s Investor Services Inc & Fitch Ratings Inc, the Firm will use the highest of

the available ratings. The average credit quality (ACQ) is provided to indicate the average credit rating of the portfolio's underlying investments’ rating and may change over time. The portfolio itself has not been rated by an independent rating

agency. The ACQ is determined by using a market-weighted equivalent rating and rounding to the nearest rating. For unrated bonds and cash and equivalents, when calculating the ACQ ratings, the Firm will determine an internal rating by

considering all relevant factors, including but not restricted to, the relationship between the bond’s maturity and its price and/or yield, the ratings of comparable bonds, the issuer’s financial statements and the issuer’s credit rating if available. The

risk of default increases as a bond's rating decreases, so the ACQ provided is not a statistical measurement of the portfolio’s default risk because a simple, weighted average does not measure the increasing level of risk from lower-rated bonds.

The ACQ is provided for informational purposes only. The ACQ may be lower if cash and equivalents are excluded from the calculation. Derivative positions are not reflected in the ACQ.

Please remember that all investments come with risk. Positive returns, including income, are not guaranteed. Your investment may go down as well as up and you may not get back what you invested. Asset allocation,

diversification and rebalancing do not ensure a profit or protection against possible losses in declining markets. Commissions, fees and other forms of remuneration may affect the performance negatively. This document does not disclose all the

risks and other significant issues related to the securities discussed. Investing in fixed income securities comes with risks that can include but are not necessarily limited to credit risk of issuers, default risk, possible prepayments, market or

economic developments, inflation risk and interest rate risk. The issuer of ABS products may not receive the full amounts owed to them by underlying borrowers, which would affect the performance of related securities. Credit and prepayment

risks also vary by tranche which may also affect the performance of related securities. Investments in high-yield bonds may be subject to greater market fluctuations and risk of loss of income and principal than securities in higher rated

categories. Investments in foreign securities involve special risks, including foreign currency risk and the possibility of substantial volatility due to adverse political, economic or other developments. Similarly, investments focused in a certain

industry may pose additional risks due to lack of diversification, industry volatility, economic turmoil, susceptibility to economic, political or regulatory risks and other sector concentration risks.

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. As the Monument Bond Fun may not be sold or offered or otherwise made available to retail investors in the European Economic Area, no Key Information Document

required by Regulation (EU) No 1286/2014 (as amended the “PRIIPS Regulation”) will be prepared. Investors should only subscribe for any securities described herein on the basis of information in the relevant offering documents (which has

been or will be published and may be obtained in English by visiting 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. Calls may be recorded for training and monitoring purposes. Copyright TwentyFour Asset Management LLP, 2020 (all rights reserved).

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