Key Performance Indicators

Balance Sheet

31 Mar 2020

31 Mar 2019

Net Asset Value (“NAV”) per Ordinary Share

£1.47

£1.65

Share price

£1.16

£1.68

Premium/(discount)

(21.40)%

1.70%

Average premium/(discount) in year*

0.16%

1.50%

Leverage (% of NAV)**

24.20%

39.50%

* Average Premium is the average of the difference in the share price and the NAV per share divided by NAV per share.

** Leverage is the financing divided by the net assets.

Profit and Loss

31 Mar 2020

31 Mar 2019

(Loss)/earnings per Ordinary Share

(8.7)p

13.1p

Dividends per Ordinary Share declared for the year

12.0p

12.0p

NAV total return (including dividends) annualised

(3.64)%

8.00%

Financial Highlights

Balance Sheet

31 Mar 2020

31 Mar 2019

Fair value of bilateral loans and bonds*

£287.3m

£210.0m

Fair value of market bonds*

£87.9m

£92.5m

Financing**

£(97.0)m

£(100.1)m

Cash, cash equivalents and cash held by brokers

£52.0m

£39.9m

Other assets and liabilities

£7.0m

£10.9m

Net assets

£337.2m

£253.2m

* The Company’s two reportable segments have changed for the year ending 31 March 2020 to reflect the separate management of the two portfolios by the Investment Manager. Please refer to Note 16 to the financial statements for further detail.

** Financing comprised of short-term repo financing.

Profit and Loss

31 Mar 2020

31 Mar 2019

Operating (loss)/income

£(9.5)m

£25.2m

Finance costs

£(1.5)m

£(1.2)m

Operating expenses

£(5.6)m

£(4.8)m

Provision for expected credit losses

£(0.9)m

Net (loss)/profit*

£(17.4)m

£19.2m

Weighted average yield of bilateral loan and bond portfolio (unlevered)**

10.20%

8.80%

Weighted average yield of market bond portfolio (unlevered)***

10.60%

5.80%

* Net (loss)/profit may not sum due to rounding

** The effective yield of the loans is the accounting yield based on the funded loan balances, which includes interest and fees. Some loans also enjoy equity upside participation, which is only recognised following evidenced high probability of receipt, which can result in significant incremental gains in excess of the accounting yield. The yield is based on Cheyne Capital’s pricing assumptions and actual returns may differ materially from those expressed or implied herein.

*** The weighted average effective yield is based on Cheyne Capital’s pricing assumptions and actual returns may differ materially from those expressed or implied herein.