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Transcript of TwentyFour Income Fund (TFIF) · PDF fileTwentyFour Income Fund (TFIF) ... -Aza Teeuwen has 10...
For institutional investors only/not for public viewing or distribution
TwentyFour Income Fund (TFIF)
March 2017
For institutional investors only/not for public viewing or distribution
Overview
2
Introduction to TwentyFour Asset Management
Asset Backed Securities
TwentyFour Income Fund
Appendix
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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
TwentyFour Income Fund
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
For institutional investors only/not for public viewing or distribution
Overview
7
Introduction to TwentyFour Asset Management
Asset Backed Securities
TwentyFour Income Fund
Appendix
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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100
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AAA AA A BBB BB B
Cre
dit
Sp
read
s (b
ps)
ABS/Corporate spreads
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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
For institutional investors only/not for public viewing or distribution
Monument Bond Fund
Senior Secured Bond Fund
TwentyFour Income 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
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Past performance is no indication of current or future performance. Source: TwentyFour, Bloomberg 31st January 2017
For institutional investors only/not for public viewing or distribution
Unemployment rate (%)
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Source: Bloomberg23rd February 2017
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UK Netherlands Portugal Italy Spain
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House price growth (HPI YoY*)
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*HPI YoY refers to House Price Index year-on-yearSource: Bloomberg23rd February 2017
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For institutional investors only/not for public viewing or distribution
Overview
13
Introduction to TwentyFour Asset Management
Asset Backed Securities
TwentyFour Income Fund
Appendix
For institutional investors only/not for public viewing or distribution
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)
For institutional investors only/not for public viewing or distribution
TwentyFour Income Fund
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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
For institutional investors only/not for public viewing or distribution
TFIF portfolio positioning
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Source: TwentyFour31st January 2017
Geographical breakdown
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.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
For institutional investors only/not for public viewing or distribution
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.
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NAV per Share NAV per Share including coupons Share Price Share Price including coupons
For institutional investors only/not for public viewing or distribution
Trade example I:
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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
For institutional investors only/not for public viewing or distribution
Trade example II:
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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
For institutional investors only/not for public viewing or distribution
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)
For institutional investors only/not for public viewing or distribution
Overview
21
Introduction to TwentyFour Asset Management
Asset Backed Securities
TwentyFour Income Fund
Appendix
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
The European ABS market
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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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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*
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
Idea generation
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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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
John Lawler, Portfolio Manager30 years’ ABS experience, and was
previously a Managing Director at three Global Investment Banks.
Asset backed securities team
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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
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
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).
For institutional investors only/not for public viewing or distribution
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
For institutional investors only/not for public viewing or distribution
TwentyFour industry recognition
36
For institutional investors only/not for public viewing or distribution
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
37
For institutional investors only/not for public viewing or distribution
TwentyFour Asset Management LLP8th FloorThe Monument Building11 Monument StreetLondonEC3R 8AFT: +44 (0)20 7015 8900twentyfouram.com
38
For institutional investors only/not for public viewing or distribution
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.
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